OMB APPROVAL |
OMB Number: 3235-0570 Expires: August 31, 2011 Estimated average burden hours per response: 18.9 |
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: 811-05629
ING Investors Trust
(Exact name of registrant as specified in charter)
7337 E. Doubletree Ranch Rd., Scottsdale, AZ 85258
(Address of principal executive offices) (Zip code)
CT Corporation System, 101 Federal Street, Boston, MA 02110
(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, 2011 to June 30, 2011
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):
n | ING Artio Foreign Portfolio | |
n | ING BlackRock Health Sciences Opportunities Portfolio (formerly, ING Wells Fargo Health Care Portfolio) | |
n | ING Clarion Global Real Estate Portfolio | |
n | ING FMRSM Diversified Mid Cap Portfolio | |
n | ING Global Resources Portfolio | |
n | ING Invesco Van Kampen Growth and Income Portfolio (formerly, ING Van Kampen Growth and Income Portfolio) | |
n | ING Janus Contrarian Portfolio | |
n | ING JPMorgan Emerging Markets Equity Portfolio | |
n | ING Liquid Assets Portfolio | |
n | ING Marsico Growth Portfolio | |
n | ING MFS Total Return Portfolio | |
n | ING MFS Utilities Portfolio | |
n | ING Morgan Stanley Global Franchise Portfolio | |
n | ING PIMCO Total Return Bond Portfolio | |
n | ING Pioneer Mid Cap Value Portfolio | |
n | ING T. Rowe Price Capital Appreciation Portfolio | |
n | ING T. Rowe Price Equity Income Portfolio | |
n | ING T. Rowe Price International Stock Portfolio (formerly, ING Marsico International Opportunities 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. |
President’s Letter | 2 | |||||
Market Perspective | 3 | |||||
Shareholder Expense Examples | 5 | |||||
Statements of Assets and Liabilities | 8 | |||||
Statements of Operations | 18 | |||||
Statements of Changes in Net Assets | 23 | |||||
Financial Highlights | 32 | |||||
Notes to Financial Statements | 43 | |||||
Summary Portfolios of Investments | 72 | |||||
Advisory Contract Approval Discussion | 157 | |||||
Shareholder Meeting Information | 161 |
Market Impact of the S&P Downgrade
President and Chief Executive Officer
ING Funds
August 12, 2011
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 | |||||
---|---|---|---|---|---|---|
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/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. | |||||
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. 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. | |||||
Barclays Capital Corporate Investment Grade Bond Index | The corporate component of the Barclays Capital U.S. Credit Index. The U.S. Credit Index includes publicly-issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. The index includes both corporate and non-corporate sectors. The corporate sectors are industrial, utility and finance, which includes both U.S. and non-U.S. corporations. | |||||
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. | |||||
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. | |||||
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. | |||||
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 UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. |
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value January 1, 2011 | Ending Account Value June 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2011* | Beginning Account Value January 1, 2011 | Ending Account Value June 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2011* | ||||||||||||||||||||||||||||
ING Artio Foreign Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,009.60 | 1.50 | % | $ | 7.47 | $ | 1,000.00 | $ | 1,017.36 | 1.50 | % | $ | 7.50 | |||||||||||||||||||
Class I | 1,000.00 | 1,012.00 | 0.90 | 4.49 | 1,000.00 | 1,020.33 | 0.90 | 4.51 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,011.30 | 1.15 | 5.73 | 1,000.00 | 1,019.09 | 1.15 | 5.76 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,009.60 | 1.30 | 6.48 | 1,000.00 | 1,018.35 | 1.30 | 6.51 | |||||||||||||||||||||||||||
ING BlackRock Health Sciences Opportunities Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,116.20 | 1.35 | 7.08 | 1,000.00 | 1,018.10 | 1.35 | 6.76 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,120.80 | 0.75 | 3.94 | 1,000.00 | 1,021.08 | 0.75 | 3.76 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,119.00 | 1.00 | 5.25 | 1,000.00 | 1,019.84 | 1.00 | 5.01 | |||||||||||||||||||||||||||
ING Clarion Global Real Estate Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,064.30 | 1.49 | 7.63 | 1,000.00 | 1,017.41 | 1.49 | 7.45 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,067.70 | 0.89 | 4.56 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,067.00 | 1.14 | 5.84 | 1,000.00 | 1,019.14 | 1.14 | 5.71 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,066.70 | 1.29 | 6.61 | 1,000.00 | 1,018.40 | 1.29 | 6.46 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half-year. |
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value January 1, 2011 | Ending Account Value June 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2011* | Beginning Account Value January 1, 2011 | Ending Account Value June 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2011* | ||||||||||||||||||||||||||||
ING FMRSM Diversified Mid Cap Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,008.70 | 1.23 | % | $ | 6.13 | $ | 1,000.00 | $ | 1,018.70 | 1.23 | % | $ | 6.16 | |||||||||||||||||||
Class I | 1,000.00 | 1,011.80 | 0.63 | 3.14 | 1,000.00 | 1,021.67 | 0.63 | 3.16 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,009.90 | 0.88 | 4.39 | 1,000.00 | 1,020.43 | 0.88 | 4.41 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,009.90 | 1.03 | 5.13 | 1,000.00 | 1,019.69 | 1.03 | 5.16 | |||||||||||||||||||||||||||
ING Global Resources Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,034.20 | 1.24 | 6.25 | 1,000.00 | 1,018.65 | 1.24 | 6.21 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,037.40 | 0.64 | 3.23 | 1,000.00 | 1,021.62 | 0.64 | 3.21 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,035.80 | 0.89 | 4.49 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,035.60 | 1.04 | 5.25 | 1,000.00 | 1,019.64 | 1.04 | 5.21 | |||||||||||||||||||||||||||
ING Invesco Van Kampen Growth and Income Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,042.60 | 1.24 | 6.28 | 1,000.00 | 1,018.65 | 1.24 | 6.21 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,045.80 | 0.64 | 3.25 | 1,000.00 | 1,021.62 | 0.64 | 3.21 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,044.70 | 0.89 | 4.51 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,043.60 | 1.04 | 5.27 | 1,000.00 | 1,019.64 | 1.04 | 5.21 | |||||||||||||||||||||||||||
ING Janus Contrarian Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 981.40 | 1.39 | 6.83 | 1,000.00 | 1,017.90 | 1.39 | 6.95 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 985.10 | 0.79 | 3.89 | 1,000.00 | 1,020.88 | 0.79 | 3.96 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 983.40 | 1.04 | 5.11 | 1,000.00 | 1,019.64 | 1.04 | 5.21 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 983.30 | 1.19 | 5.85 | 1,000.00 | 1,018.89 | 1.19 | 5.96 | |||||||||||||||||||||||||||
ING JPMorgan Emerging Markets Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 998.20 | 1.85 | 9.17 | 1,000.00 | 1,015.62 | 1.85 | 9.25 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,000.40 | 1.25 | 6.20 | 1,000.00 | 1,018.60 | 1.25 | 6.26 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 999.60 | 1.50 | 7.44 | 1,000.00 | 1,017.36 | 1.50 | 7.50 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 998.70 | 1.65 | 8.18 | 1,000.00 | 1,016.61 | 1.65 | 8.25 | |||||||||||||||||||||||||||
ING Liquid Assets Portfolio | |||||||||||||||||||||||||||||||||||
Class I | 1,000.00 | 1,000.10 | 0.27 | ** | 1.34 | 1,000.00 | 1,023.46 | 0.27 | ** | 1.35 | |||||||||||||||||||||||||
Class S | 1,000.00 | 1,000.00 | 0.29 | ** | 1.44 | 1,000.00 | 1,023.36 | 0.29 | ** | 1.45 | |||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,000.00 | 0.29 | ** | 1.44 | 1,000.00 | 1,023.36 | 0.29 | ** | 1.45 | |||||||||||||||||||||||||
ING Marsico Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,057.10 | 1.41 | 7.19 | 1,000.00 | 1,017.80 | 1.41 | 7.05 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,060.70 | 0.81 | 4.14 | 1,000.00 | 1,020.78 | 0.81 | 4.06 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,059.00 | 1.06 | 5.41 | 1,000.00 | 1,019.54 | 1.06 | 5.31 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,058.80 | 1.21 | 6.18 | 1,000.00 | 1,018.79 | 1.21 | 6.06 | |||||||||||||||||||||||||||
ING MFS Total Return Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,039.50 | 1.30 | 6.57 | 1,000.00 | 1,018.35 | 1.30 | 6.51 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,042.70 | 0.70 | 3.55 | 1,000.00 | 1,021.32 | 0.70 | 3.51 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,041.40 | 0.95 | 4.81 | 1,000.00 | 1,020.08 | 0.95 | 4.76 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,040.40 | 1.10 | 5.56 | 1,000.00 | 1,019.34 | 1.10 | 5.51 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half-year. |
** | Expense ratios reflect waivers of 0.00%, 0.12% and 0.19% of distribution and shareholder servicing fees for Classes I, S, and S2, respectively, in order to maintain a yield of not less than zero. |
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value January 1, 2011 | Ending Account Value June 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2011* | Beginning Account Value January 1, 2011 | Ending Account Value June 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2011* | ||||||||||||||||||||||||||||
ING MFS Utilities Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,103.60 | 1.37 | % | $ | 7.15 | $ | 1,000.00 | $ | 1,018.00 | 1.37 | % | $ | 6.85 | |||||||||||||||||||
Class I | 1,000.00 | 1,106.40 | 0.77 | 4.02 | 1,000.00 | 1,020.98 | 0.77 | 3.86 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,106.00 | 1.02 | 5.33 | 1,000.00 | 1,019.74 | 1.02 | 5.11 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,105.50 | 1.17 | 6.11 | 1,000.00 | 1,018.99 | 1.17 | 5.86 | |||||||||||||||||||||||||||
ING Morgan Stanley Global Franchise Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,120.10 | 1.57 | 8.25 | 1,000.00 | 1,017.01 | 1.57 | 7.85 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,121.50 | 1.22 | 6.42 | 1,000.00 | 1,018.74 | 1.22 | 6.11 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,120.80 | 1.37 | 7.20 | 1,000.00 | 1,018.00 | 1.37 | 6.85 | |||||||||||||||||||||||||||
ING PIMCO Total Return Bond Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,026.90 | 1.12 | 5.63 | 1,000.00 | 1,019.24 | 1.12 | 5.61 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,029.50 | 0.56 | 2.82 | 1,000.00 | 1,022.02 | 0.56 | 2.81 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,028.70 | 0.81 | 4.07 | 1,000.00 | 1,020.78 | 0.81 | 4.06 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,028.00 | 0.96 | 4.83 | 1,000.00 | 1,020.03 | 0.96 | 4.81 | |||||||||||||||||||||||||||
ING Pioneer Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,055.60 | 1.24 | 6.32 | 1,000.00 | 1,018.65 | 1.24 | 6.21 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,059.20 | 0.64 | 3.27 | 1,000.00 | 1,021.62 | 0.64 | 3.21 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,057.40 | 0.89 | 4.54 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,056.00 | 1.04 | 5.30 | 1,000.00 | 1,019.64 | 1.04 | 5.21 | |||||||||||||||||||||||||||
ING T. Rowe Price Capital Appreciation Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,058.40 | 1.24 | 6.33 | 1,000.00 | 1,018.65 | 1.24 | 6.21 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,061.40 | 0.64 | 3.27 | 1,000.00 | 1,021.62 | 0.64 | 3.21 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,060.00 | 0.89 | 4.55 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,058.90 | 1.04 | 5.31 | 1,000.00 | 1,019.64 | 1.04 | 5.21 | |||||||||||||||||||||||||||
ING T. Rowe Price Equity Income Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,045.40 | 1.24 | 6.29 | 1,000.00 | 1,018.65 | 1.24 | 6.21 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,047.60 | 0.64 | 3.25 | 1,000.00 | 1,021.62 | 0.64 | 3.21 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,046.70 | 0.89 | 4.52 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,047.00 | 1.04 | 5.28 | 1,000.00 | 1,019.64 | 1.04 | 5.21 | |||||||||||||||||||||||||||
ING T. Rowe Price International Stock Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,044.30 | 1.39 | 7.05 | 1,000.00 | 1,017.90 | 1.39 | 6.95 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,047.00 | 0.79 | 4.01 | 1,000.00 | 1,020.88 | 0.79 | 3.96 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,045.50 | 1.04 | 5.27 | 1,000.00 | 1,019.64 | 1.04 | 5.21 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,045.10 | 1.19 | 6.03 | 1,000.00 | 1,018.89 | 1.19 | 5.96 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half-year. |
ING Artio Foreign Portfolio | ING BlackRock Health Sciences Opportunities Portfolio | ING Clarion Global Real Estate Portfolio | ING FMRSM Diversified Mid Cap Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||||||
Investments in securities at value+* | $ | 650,333,218 | $ | 231,185,994 | $ | 425,751,321 | $ | 1,151,191,413 | ||||||||||
Short-term investments at value** | 26,898,821 | 30,799,959 | 37,902,166 | 234,047,991 | ||||||||||||||
Cash | — | — | — | 805,818 | ||||||||||||||
Foreign currencies at value*** | 28,470,726 | 2,207 | 267,921 | 462,404 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investment securities sold | 10,658,156 | — | 2,966,863 | 15,625,981 | ||||||||||||||
Fund shares sold | 895,717 | 22,519 | 800,640 | 2,793,604 | ||||||||||||||
Dividends and interest | 1,934,007 | 259,673 | 1,423,917 | 581,976 | ||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | 492,899 | — | — | ||||||||||||||
Prepaid expenses | — | — | 1,875 | — | ||||||||||||||
Reimbursement due from manager | — | — | 21,137 | — | ||||||||||||||
Total assets | 719,190,645 | 262,763,251 | 469,135,840 | 1,405,509,187 | ||||||||||||||
LIABILITIES: | ||||||||||||||||||
Payable for investment securities purchased | 15,674,107 | 1,125,226 | 1,934 | 1,882,111 | ||||||||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | — | 5,321 | — | — | ||||||||||||||
Payable for fund shares redeemed | 40,743 | 1,057,548 | 888,206 | 13,732 | ||||||||||||||
Payable upon receipt of securities loaned | 20,903,245 | 19,220,007 | 33,309,114 | 84,979,274 | ||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 222,419 | 170,635 | — | 9 | ||||||||||||||
Payable to affiliates | 634,547 | 192,478 | 354,282 | 944,541 | ||||||||||||||
Payable for trustee fees | — | — | 2,274 | — | ||||||||||||||
Other accrued expenses and liabilities | 645 | — | 178,463 | — | ||||||||||||||
Total liabilities | 37,475,706 | 21,771,215 | 34,734,273 | 87,819,667 | ||||||||||||||
NET ASSETS | $ | 681,714,939 | $ | 240,992,036 | $ | 434,401,567 | $ | 1,317,689,520 | ||||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||||
Paid-in capital | $ | 1,113,086,338 | $ | 215,935,044 | $ | 576,752,700 | $ | 1,220,844,705 | ||||||||||
Undistributed net investment income | 15,244,379 | 1,009,441 | 18,640,646 | 2,308,179 | ||||||||||||||
Accumulated net realized gain (loss) | (506,079,510 | ) | 12,482,746 | (296,202,380 | ) | (87,762,688 | ) | |||||||||||
Net unrealized appreciation | 59,463,732 | 11,564,805 | 135,210,601 | 182,299,324 | ||||||||||||||
NET ASSETS | $ | 681,714,939 | $ | 240,992,036 | $ | 434,401,567 | $ | 1,317,689,520 | ||||||||||
+ Including securities loaned at value | $ | 19,845,212 | $ | 18,722,695 | $ | 31,708,978 | $ | 81,327,814 | ||||||||||
* Cost of investments in securities | $ | 590,274,739 | $ | 219,948,637 | $ | 290,479,782 | $ | 968,552,407 | ||||||||||
** Cost of short-term investments | $ | 27,391,176 | $ | 30,799,959 | $ | 37,976,715 | $ | 234,397,751 | ||||||||||
*** Cost of foreign currencies | $ | 28,391,115 | $ | 2,199 | $ | 267,814 | $ | 463,736 |
ING Artio Foreign Portfolio | ING BlackRock Health Sciences Opportunities Portfolio | ING Clarion Global Real Estate Portfolio | ING FMRSM Diversified Mid Cap Portfolio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV: | |||||||||||||||||||
Net assets | $ | 2,360,065 | $ | 15,422 | $ | 9,604,562 | $ | 45,726,331 | |||||||||||
Shares outstanding(1) | 203,183 | 1,284 | 935,715 | 3,018,101 | |||||||||||||||
Net asset value and redemption price per share | $ | 11.62 | $ | 12.01 | $ | 10.26 | $ | 15.15 | |||||||||||
Class I: | |||||||||||||||||||
Net assets | $ | 43,033,151 | $ | 6,840,088 | $ | 234,036,176 | $ | 90,503,930 | |||||||||||
Shares outstanding(1) | 3,639,781 | 550,452 | 22,475,550 | 5,869,247 | |||||||||||||||
Net asset value and redemption price per share | $ | 11.82 | $ | 12.43 | $ | 10.41 | $ | 15.42 | |||||||||||
Class S: | |||||||||||||||||||
Net assets | $ | 592,061,252 | $ | 234,136,526 | $ | 188,527,850 | $ | 1,108,476,724 | |||||||||||
Shares outstanding(1) | 50,695,067 | 19,009,756 | 18,210,043 | 72,238,334 | |||||||||||||||
Net asset value and redemption price per share | $ | 11.68 | $ | 12.32 | $ | 10.35 | $ | 15.34 | |||||||||||
Class S2: | |||||||||||||||||||
Net assets | $ | 44,260,471 | n/a | $ | 2,232,979 | $ | 72,982,535 | ||||||||||||
Shares outstanding(1) | 3,814,491 | n/a | 214,961 | 4,777,274 | |||||||||||||||
Net asset value and redemption price per share | $ | 11.60 | n/a | $ | 10.39 | $ | 15.28 | ||||||||||||
_____________________ (1) Unlimited shares authorized; $0.001 par value, except for share classes not available. |
ING Global Resources Portfolio | ING Invesco Van Kampen Growth and Income Portfolio | ING Janus Contrarian Portfolio | ING JPMorgan Emerging Markets Equity Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||||||
Investments in securities at value+* | $ | 1,071,028,861 | $ | 590,111,342 | $ | 442,477,112 | $ | 1,128,272,160 | ||||||||||
Short-term investments at value** | 28,693,270 | 34,913,736 | 77,023,319 | 95,083,098 | ||||||||||||||
Cash | 297 | 203,322 | 122,019 | 28,747,508 | ||||||||||||||
Foreign currencies at value*** | 400,128 | — | 2,303,187 | 1,801,467 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investment securities sold | — | 4,291,598 | 166,106 | 174,193 | ||||||||||||||
Fund shares sold | 2,502,008 | 212,047 | 1,585,872 | 3,199,045 | ||||||||||||||
Dividends and interest | 892,336 | 1,299,580 | 677,916 | 3,010,923 | ||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | 5,879 | 102,551 | — | ||||||||||||||
Total assets | 1,103,516,900 | 631,037,504 | 524,458,082 | 1,260,288,394 | ||||||||||||||
LIABILITIES: | ||||||||||||||||||
Payable for investment securities purchased | — | 344,501 | 3,223 | 451,626 | ||||||||||||||
Payable for fund shares redeemed | 484,498 | 3,931,176 | 422,951 | 2,985,542 | ||||||||||||||
Payable upon receipt of securities loaned | 13,301,135 | 9,318,495 | 24,951,060 | 95,722,611 | ||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 80 | 355,521 | 12,978 | — | ||||||||||||||
Payable to affiliates | 800,198 | 452,415 | 428,840 | 1,348,496 | ||||||||||||||
Payable for trustee fees | 494 | — | — | 67,646 | ||||||||||||||
Accrued foreign taxes on capital gains | — | — | — | 79,729 | ||||||||||||||
Total liabilities | 14,586,405 | 14,402,108 | 25,819,052 | 100,655,650 | ||||||||||||||
NET ASSETS | $ | 1,088,930,495 | $ | 616,635,396 | $ | 498,639,030 | $ | 1,159,632,744 | ||||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||||
Paid-in capital | $ | 1,066,201,682 | $ | 553,084,337 | $ | 764,579,057 | $ | 803,090,407 | ||||||||||
Undistributed net investment income | 9,118,158 | 11,083,158 | 4,839,225 | 15,014,072 | ||||||||||||||
Accumulated net realized gain (loss) | (185,969,443 | ) | (42,404,398 | ) | (282,442,705 | ) | 24,612,318 | |||||||||||
Net unrealized appreciation | 199,580,098 | 94,872,299 | 11,663,453 | 316,915,947 | ||||||||||||||
NET ASSETS | $ | 1,088,930,495 | $ | 616,635,396 | $ | 498,639,030 | $ | 1,159,632,744 | ||||||||||
____________________ | ||||||||||||||||||
+ Including securities loaned at value | $ | 12,960,117 | $ | 9,114,506 | $ | 24,093,080 | $ | 92,720,098 | ||||||||||
* Cost of investments in securities | $ | 871,297,251 | $ | 494,553,308 | $ | 430,730,390 | $ | 810,739,413 | ||||||||||
** Cost of short-term investments | $ | 28,850,135 | $ | 35,249,829 | $ | 77,347,078 | $ | 95,722,611 | ||||||||||
*** Cost of foreign currencies | $ | 396,262 | $ | — | $ | 2,171,803 | $ | 1,785,991 |
ING Global Resources Portfolio | ING Invesco Van Kampen Growth and Income Portfolio | ING Janus Contrarian Portfolio | ING JPMorgan Emerging Markets Equity Portfolio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV: | |||||||||||||||||||
Net assets | $ | 119,353,760 | $ | 10,501,784 | $ | 689,286 | $ | 35,253,430 | |||||||||||
Shares outstanding(1) | 5,484,842 | 465,845 | 59,462 | 1,579,742 | |||||||||||||||
Net asset value and redemption price per share | $ | 21.76 | $ | 22.54 | $ | 11.59 | $ | 22.32 | |||||||||||
Class I: | |||||||||||||||||||
Net assets | $ | 45,241,241 | $ | 8,167,038 | $ | 18,051,933 | $ | 346,963,210 | |||||||||||
Shares outstanding(1) | 2,012,706 | 361,010 | 1,512,436 | 15,129,484 | |||||||||||||||
Net asset value and redemption price per share | $ | 22.48 | $ | 22.62 | $ | 11.94 | $ | 22.93 | |||||||||||
Class S: | |||||||||||||||||||
Net assets | $ | 894,469,318 | $ | 546,779,197 | $ | 459,317,709 | $ | 743,861,591 | |||||||||||
Shares outstanding(1) | 40,158,188 | 24,117,253 | 38,691,290 | 32,573,216 | |||||||||||||||
Net asset value and redemption price per share | $ | 22.27 | $ | 22.67 | $ | 11.87 | $ | 22.84 | |||||||||||
Class S2: | |||||||||||||||||||
Net assets | $ | 29,866,176 | $ | 51,187,377 | $ | 20,580,102 | $ | 33,554,513 | |||||||||||
Shares outstanding(1) | 1,351,043 | 2,272,634 | 1,748,891 | 1,481,547 | |||||||||||||||
Net asset value and redemption price per share | $ | 22.11 | $ | 22.52 | $ | 11.77 | $ | 22.65 | |||||||||||
____________________ (1) Unlimited shares authorized; $0.001 par value. |
ING Liquid Assets Portfolio | ING Marsico Growth Portfolio | ING MFS Total Return Portfolio | ING MFS Utilities Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||||||
Investments in securities at value+* | $ | — | $ | 772,150,914 | $ | 963,039,361 | $ | 574,349,184 | ||||||||||
Short-term investments at value** | — | 111,827,201 | 9,271,686 | — | ||||||||||||||
Short-term investments at amortized cost | 1,215,826,369 | — | 7,512,993 | 11,475,981 | ||||||||||||||
Cash | 22,744 | — | 6,454 | 161,272 | ||||||||||||||
Foreign currencies at value*** | — | — | — | 3,614 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investment securities sold | 131,749,061 | 236,115 | 1,002,641 | 2,758,065 | ||||||||||||||
Fund shares sold | 3,027,286 | 19,566 | 19,677 | 10,979 | ||||||||||||||
Dividends and interest | 997,056 | 705,642 | 4,030,809 | 2,878,057 | ||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | 512,109 | ||||||||||||||
Prepaid expenses | 6,055 | — | — | 2,316 | ||||||||||||||
Total assets | 1,351,628,571 | 884,939,438 | 984,883,621 | 592,151,577 | ||||||||||||||
LIABILITIES: | ||||||||||||||||||
Payable for investment securities purchased | — | 39,323,856 | 793,245 | 5,006,207 | ||||||||||||||
Payable for fund shares redeemed | 428,527 | 3,206,604 | 381,173 | 1,669,566 | ||||||||||||||
Payable upon receipt of securities loaned | — | 51,687,833 | 9,748,750 | — | ||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | 1,064,123 | ||||||||||||||
Payable to affiliates | 280,822 | 631,349 | 735,995 | 451,174 | ||||||||||||||
Payable for trustee fees | 28,700 | — | — | 4,058 | ||||||||||||||
Other accrued expenses and liabilities | — | — | — | 184,823 | ||||||||||||||
Total liabilities | 738,049 | 94,849,642 | 11,659,163 | 8,379,951 | ||||||||||||||
NET ASSETS | $ | 1,350,890,522 | $ | 790,089,796 | $ | 973,224,458 | $ | 583,771,626 | ||||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||||
Paid-in capital | $ | 1,350,483,539 | $ | 813,655,892 | $ | 1,005,431,166 | $ | 577,966,444 | ||||||||||
Undistributed net investment income | 43 | 3,023,819 | 33,411,978 | 14,657,911 | ||||||||||||||
Accumulated net realized gain (loss) | 406,940 | (202,967,367 | ) | (202,270,955 | ) | (120,500,307 | ) | |||||||||||
Net unrealized appreciation | — | 176,377,452 | 136,652,269 | 111,647,578 | ||||||||||||||
NET ASSETS | $ | 1,350,890,522 | $ | 790,089,796 | $ | 973,224,458 | $ | 583,771,626 | ||||||||||
____________________ | ||||||||||||||||||
+ Including securities loaned at value | $ | — | $ | 50,637,304 | $ | 9,537,663 | $ | — | ||||||||||
* Cost of investments in securities | $ | — | $ | 595,292,940 | $ | 825,929,347 | $ | 462,132,080 | ||||||||||
** Cost of short-term investments | $ | — | $ | 112,307,723 | $ | 9,748,750 | $ | — | ||||||||||
*** Cost of foreign currencies | $ | — | $ | — | $ | — | $ | 3,614 |
ING Liquid Assets Portfolio | ING Marsico Growth Portfolio | ING MFS Total Return Portfolio | ING MFS Utilities Portfolio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV: | |||||||||||||||||||
Net assets | n/a | $ | 6,455,832 | $ | 4,967,559 | $ | 13,590,708 | ||||||||||||
Shares outstanding(1) | n/a | 359,223 | 320,236 | 931,537 | |||||||||||||||
Net asset value and redemption price per share | n/a | $ | 17.97 | $ | 15.51 | $ | 14.59 | ||||||||||||
Class I: | |||||||||||||||||||
Net assets | $ | 121,032,992 | $ | 183,767,444 | $ | 119,490,523 | $ | 5,083,224 | |||||||||||
Shares outstanding(1) | 120,989,727 | 10,022,218 | 7,649,886 | 344,076 | |||||||||||||||
Net asset value and redemption price per share | $ | 1.00 | $ | 18.34 | $ | 15.62 | $ | 14.77 | |||||||||||
Class S: | |||||||||||||||||||
Net assets | $ | 1,034,928,025 | $ | 581,051,070 | $ | 813,715,908 | $ | 564,968,102 | |||||||||||
Shares outstanding(1) | 1,034,502,918 | 32,043,176 | 52,166,405 | 38,413,685 | |||||||||||||||
Net asset value and redemption price per share | $ | 1.00 | $ | 18.13 | $ | 15.60 | $ | 14.71 | |||||||||||
Class S2: | |||||||||||||||||||
Net assets | $ | 194,929,505 | $ | 18,815,450 | $ | 35,050,468 | $ | 129,592 | |||||||||||
Shares outstanding(1) | 194,880,218 | 1,045,582 | 2,268,405 | 8,769 | |||||||||||||||
Net asset value and redemption price per share | $ | 1.00 | $ | 18.00 | $ | 15.45 | $ | 14.78 | |||||||||||
____________________ (1) Unlimited shares authorized; $0.001 par value, except for share classes not available. |
ING Morgan Stanley Global Franchise Portfolio | ING PIMCO Total Return Bond Portfolio | ING Pioneer Mid Cap Value Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in securities at value+* | $ | 412,803,723 | $ | 3,086,506,243 | $ | 930,837,998 | ||||||||
Short-term investments at value** | 3,057,338 | 219,392,721 | 43,303,182 | |||||||||||
Short-term investments at amortized cost | — | 613,689,777 | — | |||||||||||
Cash | 8,558,396 | — | — | |||||||||||
Cash collateral for futures | — | 1,348,495 | — | |||||||||||
Foreign currencies at value*** | 348,861 | 8,392,340 | — | |||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 2,511,163 | 42,677,130 | 10,197,839 | |||||||||||
Investment securities sold on a delayed-delivery or when-issued basis | — | 190,936,133 | — | |||||||||||
Fund shares sold | — | 400,132 | 1,533,124 | |||||||||||
Dividends and interest | 828,821 | 26,427,269 | 1,577,996 | |||||||||||
Unrealized appreciation on forward foreign currency contracts | — | 9,736,532 | — | |||||||||||
Upfront payments made on swap agreements | — | 15,529,462 | — | |||||||||||
Unrealized appreciation on swap agreements | — | 10,654,634 | — | |||||||||||
Total assets | 428,108,302 | 4,225,690,868 | 987,450,139 | |||||||||||
LIABILITIES: | ||||||||||||||
Payable for investment securities purchased | 1,414,639 | 5,180,805 | 5,181,660 | |||||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | — | 437,143,949 | — | |||||||||||
Payable to custodian due to bank overdraft | — | 5,361,194 | — | |||||||||||
Payable for foreign cash collateral for futures**** | — | 611,474 | — | |||||||||||
Payable for fund shares redeemed | 2,179,557 | 29,527,815 | 2,184,614 | |||||||||||
Payable upon receipt of securities loaned | 3,202,856 | 69,167,017 | 36,532,783 | |||||||||||
Sales commitmentsˆ | — | 144,212,173 | — | |||||||||||
Unrealized depreciation on forward foreign currency contracts | — | 14,651,204 | — | |||||||||||
Upfront payments received on swap agreements | — | 3,931,115 | — | |||||||||||
Unrealized depreciation on swap agreements | — | 16,370,035 | — | |||||||||||
Payable for collateral due to counterparties | — | 11,985,000 | — | |||||||||||
Payable to affiliates | 430,060 | 2,258,555 | 607,976 | |||||||||||
Written optionsˆˆ | — | 7,312,883 | — | |||||||||||
Total liabilities | 7,227,112 | 747,713,219 | 44,507,033 | |||||||||||
NET ASSETS | $ | 420,881,190 | $ | 3,477,977,649 | $ | 942,943,106 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||
Paid-in capital | $ | 316,980,686 | $ | 3,043,756,418 | $ | 978,961,941 | ||||||||
Undistributed net investment income | 14,583,312 | 173,813,443 | 6,101,194 | |||||||||||
Accumulated net realized gain (loss) | 7,001,637 | 127,661,286 | (146,082,960 | ) | ||||||||||
Net unrealized appreciation | 82,315,555 | 132,746,502 | 103,962,931 | |||||||||||
NET ASSETS | $ | 420,881,190 | $ | 3,477,977,649 | $ | 942,943,106 | ||||||||
____________________ | ||||||||||||||
+ Including securities loaned at value | $ | 3,082,588 | $ | 67,521,909 | $ | 35,694,016 | ||||||||
* Cost of investments in securities | $ | 330,362,989 | $ | 2,957,366,324 | $ | 826,832,195 | ||||||||
** Cost of short-term investments | $ | 3,202,856 | $ | 219,781,744 | $ | 43,346,054 | ||||||||
*** Cost of foreign currencies | $ | 349,652 | $ | 8,386,736 | $ | — | ||||||||
**** Cost of foreign cash collateral for futures | $ | — | $ | 611,474 | $ | — | ||||||||
ˆ Proceeds from sales commitments | $ | — | $ | 144,671,250 | $ | — | ||||||||
ˆˆ Premiums received on written options | $ | — | $ | 11,160,674 | $ | — |
ING Morgan Stanley Global Franchise Portfolio | ING PIMCO Total Return Bond Portfolio | ING Pioneer Mid Cap Value Portfolio | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV: | |||||||||||||||
Net assets | $ | 6,817,858 | $ | 96,572,993 | $ | 4,199,694 | |||||||||
Shares outstanding(1) | 434,960 | 7,901,220 | 368,608 | ||||||||||||
Net asset value and redemption price per share | $ | 15.67 | $ | 12.22 | $ | 11.39 | |||||||||
Class I: | |||||||||||||||
Net assets | n/a | $ | 343,753,256 | $ | 354,788,735 | ||||||||||
Shares outstanding(1) | n/a | 27,322,719 | 30,515,565 | ||||||||||||
Net asset value and redemption price per share | n/a | $ | 12.58 | $ | 11.63 | ||||||||||
Class S: | |||||||||||||||
Net assets | $ | 349,037,676 | $ | 2,967,051,771 | $ | 583,910,584 | |||||||||
Shares outstanding(1) | 21,849,131 | 236,244,781 | 50,323,532 | ||||||||||||
Net asset value and redemption price per share | $ | 15.97 | $ | 12.56 | $ | 11.60 | |||||||||
Class S2: | |||||||||||||||
Net assets | $ | 65,025,656 | $ | 70,599,629 | $ | 44,093 | |||||||||
Shares outstanding(1) | 4,096,908 | 5,654,562 | 3,769 | ||||||||||||
Net asset value and redemption price per share | $ | 15.87 | $ | 12.49 | $ | 11.70 | |||||||||
____________________ (1) Unlimited shares authorized; $0.001 par value, except for share classes not available. |
ING T. Rowe Price Capital Appreciation Portfolio | ING T. Rowe Price Equity Income Portfolio | ING T. Rowe Price International Stock Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in securities at value+* | $ | 3,794,418,746 | $ | 1,529,234,670 | $ | 264,824,306 | ||||||||
Short-term investments at value** | 2,685,826 | 35,422,003 | 13,459,465 | |||||||||||
Short-term investments at amortized cost | 352,626,358 | 31,388,804 | 2,229,604 | |||||||||||
Cash | 12,208,000 | 22,074,806 | 1,397,335 | |||||||||||
Foreign currencies at value*** | 574 | — | 160,365 | |||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 48,867,641 | 13,867,834 | 2,630,913 | |||||||||||
Fund shares sold | 1,491,417 | 1,124,310 | 112,621 | |||||||||||
Dividends and interest | 8,071,202 | 2,656,203 | 828,064 | |||||||||||
Prepaid expenses | — | — | 2,029 | |||||||||||
Total assets | 4,220,369,764 | 1,635,768,630 | 285,644,702 | |||||||||||
LIABILITIES: | ||||||||||||||
Payable for investment securities purchased | 55,259,947 | 6,174,834 | 2,683,760 | |||||||||||
Payable for fund shares redeemed | 3,135,102 | 915,356 | 302,545 | |||||||||||
Payable upon receipt of securities loaned | 3,196,250 | 35,911,910 | 13,639,735 | |||||||||||
Securities sold shortˆ | — | 2,948,936 | — | |||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 11 | |||||||||||
Payable to affiliates | 2,951,082 | 1,070,125 | 182,818 | |||||||||||
Payable for trustee fees | — | — | 4,664 | |||||||||||
Other accrued expenses and liabilities | — | 31,100 | 196,835 | |||||||||||
Written optionsˆˆ | 10,626,187 | — | — | |||||||||||
Total liabilities | 75,168,568 | 47,052,261 | 17,010,368 | |||||||||||
NET ASSETS | $ | 4,145,201,196 | $ | 1,588,716,369 | $ | 268,634,334 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||
Paid-in capital | $ | 3,585,470,274 | $ | 1,522,587,512 | $ | 370,957,655 | ||||||||
Undistributed net investment income | 51,458,240 | 18,042,657 | 9,511,908 | |||||||||||
Accumulated net realized gain (loss) | 42,250,236 | (132,920,379 | ) | (120,222,885 | ) | |||||||||
Net unrealized appreciation | 466,022,446 | 181,006,579 | 8,387,656 | |||||||||||
NET ASSETS | $ | 4,145,201,196 | $ | 1,588,716,369 | $ | 268,634,334 | ||||||||
____________________ | ||||||||||||||
+ Including securities loaned at value | $ | 3,127,374 | $ | 35,048,908 | $ | 13,106,178 | ||||||||
* Cost of investments in securities | $ | 3,331,707,020 | $ | 1,347,732,732 | $ | 256,258,210 | ||||||||
** Cost of short-term investments | $ | 3,196,250 | $ | 35,911,910 | $ | 13,639,735 | ||||||||
*** Cost of foreign currencies | $ | 565 | $ | — | $ | 159,828 | ||||||||
ˆ Proceeds from short sales | $ | 2,948,936 | $ | — | ||||||||||
ˆˆ Premiums received on written options | $ | 14,446,193 | $ | — | $ | — |
ING T. Rowe Price Capital Appreciation Portfolio | ING T. Rowe Price Equity Income Portfolio | ING T. Rowe Price International Stock Portfolio | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV: | |||||||||||||||
Net assets | $ | 124,496,552 | $ | 36,224,255 | $ | 5,666,060 | |||||||||
Shares outstanding(1) | 5,284,238 | 2,967,429 | 461,910 | ||||||||||||
Net asset value and redemption price per share | $ | 23.56 | $ | 12.21 | $ | 12.27 | |||||||||
Class I: | |||||||||||||||
Net assets | $ | 468,877,175 | $ | 440,923,728 | $ | 58,220,870 | |||||||||
Shares outstanding(1) | 19,505,233 | 35,749,009 | 4,751,025 | ||||||||||||
Net asset value and redemption price per share | $ | 24.04 | $ | 12.33 | $ | 12.25 | |||||||||
Class S: | |||||||||||||||
Net assets | $ | 3,466,641,743 | $ | 1,026,509,123 | $ | 204,192,960 | |||||||||
Shares outstanding(1) | 144,275,084 | 83,226,514 | 16,749,222 | ||||||||||||
Net asset value and redemption price per share | $ | 24.03 | $ | 12.33 | $ | 12.19 | |||||||||
Class S2: | |||||||||||||||
Net assets | $ | 85,185,726 | $ | 85,059,263 | $ | 554,444 | |||||||||
Shares outstanding(1) | 3,562,222 | 6,946,341 | 45,181 | ||||||||||||
Net asset value and redemption price per share | $ | 23.91 | $ | 12.25 | $ | 12.27 | |||||||||
____________________ (1) Unlimited shares authorized; $0.001 par value. |
ING Artio Foreign Portfolio | ING BlackRock Health Sciences Opportunities Portfolio | ING Clarion Global Real Estate Portfolio | ING FMRSM Diversified Mid Cap Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 8,495,869 | $ | 886,504 | $ | 6,230,573 | $ | 5,451,697 | ||||||||||
Interest, net of foreign taxes withheld* | 15,107 | — | — | 87,054 | ||||||||||||||
Securities lending income, net | 260,741 | 3,577 | 238,383 | 440,850 | ||||||||||||||
Total investment income | 8,771,717 | 890,081 | 6,468,956 | 5,979,601 | ||||||||||||||
EXPENSES: | ||||||||||||||||||
Investment management fees | — | — | 1,673,941 | — | ||||||||||||||
Unified fees | 3,650,933 | 793,370 | — | 4,351,217 | ||||||||||||||
Distribution and service fees: | ||||||||||||||||||
Class ADV | 11,946 | 11 | 27,619 | 158,205 | ||||||||||||||
Class S | 767,898 | 258,081 | 232,539 | 1,469,388 | ||||||||||||||
Class S2 | 114,146 | 4 | 5,586 | 182,614 | ||||||||||||||
Transfer agent fees | — | — | 149 | — | ||||||||||||||
Administrative service fees | — | — | 211,991 | — | ||||||||||||||
Shareholder reporting expense | — | — | 40,661 | — | ||||||||||||||
Professional fees | — | — | 14,256 | — | ||||||||||||||
Custody and accounting expense | — | — | 95,150 | — | ||||||||||||||
Trustee fees and expenses | 18,738 | 4,100 | 5,506 | 31,286 | ||||||||||||||
Miscellaneous expense | — | — | 9,085 | — | ||||||||||||||
Interest expense | 4,089 | — | — | 45 | ||||||||||||||
Total expenses | 4,567,750 | 1,055,566 | 2,316,483 | 6,192,755 | ||||||||||||||
Net waived and reimbursed fees | (25,218 | ) | (2 | ) | (168,320 | ) | (68,164 | ) | ||||||||||
Brokerage commission recapture | (12,756 | ) | (27,454 | ) | — | — | ||||||||||||
Net expenses | 4,529,776 | 1,028,110 | 2,148,163 | 6,124,591 | ||||||||||||||
Net investment income (loss) | 4,241,941 | (138,029 | ) | 4,320,793 | (144,990 | ) | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||
Investments | 91,775,855 | 35,850,260 | 11,917,449 | 221,479,164 | ||||||||||||||
Foreign currency related transactions | (2,592,464 | ) | (58,791 | ) | (53,049 | ) | (66,719 | ) | ||||||||||
Equity forwards | (1,737,940 | ) | — | — | — | |||||||||||||
Net realized gain | 87,445,451 | 35,791,469 | 11,864,400 | 221,412,445 | ||||||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||||
Investments (net of Indian capital gains tax accrued)** | (80,280,761 | ) | (13,175,431 | ) | 11,997,823 | (205,266,421 | ) | |||||||||||
Foreign currency related transactions | (222,107 | ) | 332,305 | 1,203 | (8,914 | ) | ||||||||||||
Net change in unrealized appreciation or depreciation | (80,502,868 | ) | (12,843,126 | ) | 11,999,026 | (205,275,335 | ) | |||||||||||
Net realized and unrealized gain | 6,942,583 | 22,948,343 | 23,863,426 | 16,137,110 | ||||||||||||||
Increase in net assets resulting from operations | $ | 11,184,524 | $ | 22,810,314 | $ | 28,184,219 | $ | 15,992,120 | ||||||||||
____________________ | ||||||||||||||||||
* Foreign taxes withheld | $ | 910,728 | $ | 18,140 | $ | 443,973 | $ | 88,649 | ||||||||||
** Foreign taxes accrued on Indian investments | $ | — | $ | 5,321 | $ | — | $ | — |
ING Global Resources Portfolio | ING Invesco Van Kampen Growth and Income Portfolio | ING Janus Contrarian Portfolio | ING JPMorgan Emerging Markets Equity Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 8,191,293 | $ | 6,834,649 | $ | 3,147,945 | $ | 13,030,696 | ||||||||||
Interest | — | — | 4,494 | — | ||||||||||||||
Securities lending income, net | 28,517 | 25,937 | 1,559,378 | 18,700 | ||||||||||||||
Total investment income | 8,219,810 | 6,860,586 | 4,711,817 | 13,049,396 | ||||||||||||||
EXPENSES: | ||||||||||||||||||
Unified fees | 3,490,919 | 2,041,462 | 2,108,578 | 6,777,362 | ||||||||||||||
Distribution and service fees: | ||||||||||||||||||
Class ADV | 306,030 | 34,482 | 2,774 | 116,446 | ||||||||||||||
Class S | 1,164,343 | 706,039 | 617,710 | 918,195 | ||||||||||||||
Class S2 | 77,288 | 132,050 | 54,130 | 83,682 | ||||||||||||||
Trustee fees and expenses | 20,845 | 13,470 | 12,209 | 21,231 | ||||||||||||||
Interest expense | 1,487 | 18 | 900 | — | ||||||||||||||
Total expenses | 5,060,912 | 2,927,521 | 2,796,301 | 7,916,916 | ||||||||||||||
Net waived and reimbursed fees | (76,663 | ) | (33,307 | ) | (11,381 | ) | (40,025 | ) | ||||||||||
Brokerage commission recapture | — | (21,793 | ) | (88,757 | ) | — | ||||||||||||
Net expenses | 4,984,249 | 2,872,421 | 2,696,163 | 7,876,891 | ||||||||||||||
Net investment income | 3,235,561 | 3,988,165 | 2,015,654 | 5,172,505 | ||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||
Investments (net of Indian capital gains tax withheld)** | 44,087,363 | 23,353,541 | 33,326,571 | 10,317,361 | ||||||||||||||
Foreign currency related transactions | (26,189 | ) | 111,696 | (237,207 | ) | (333,137 | ) | |||||||||||
Written options | — | — | 5,906,697 | — | ||||||||||||||
Net realized gain | 44,061,174 | 23,465,237 | 38,996,061 | 9,984,224 | ||||||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||||
Investments (net of Indian capital gains tax accrued)*** | (14,582,221 | ) | 1,854,978 | (48,442,814 | ) | (19,175,684 | ) | |||||||||||
Foreign currency related transactions | 1,932 | (349,642 | ) | (53,814 | ) | 12,569 | ||||||||||||
Written options | — | — | (505,146 | ) | — | |||||||||||||
Net change in unrealized appreciation or depreciation | (14,580,289 | ) | 1,505,336 | (49,001,774 | ) | (19,163,115 | ) | |||||||||||
Net realized and unrealized gain (loss) | 29,480,885 | 24,970,573 | (10,005,713 | ) | (9,178,891 | ) | ||||||||||||
Increase (decrease) in net assets resulting from operations | $ | 32,716,446 | $ | 28,958,738 | $ | (7,990,059 | ) | $ | (4,006,386 | ) | ||||||||
____________________ | ||||||||||||||||||
* Foreign taxes withheld | $ | 391,010 | $ | 98,158 | $ | 240,652 | $ | 1,130,597 | ||||||||||
** Foreign taxes withheld on Indian investments | $ | — | $ | — | $ | — | $ | 159,458 | ||||||||||
*** Foreign taxes accrued on Indian investments | $ | — | $ | — | $ | — | $ | 79,729 |
ING Liquid Assets Portfolio | ING Marsico Growth Portfolio | ING MFS Total Return Portfolio | ING MFS Utilities Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 96 | $ | 4,909,140 | $ | 6,935,733 | $ | 14,606,989 | ||||||||||
Interest, net of foreign taxes withheld* | 1,982,047 | — | 8,172,201 | 125,897 | ||||||||||||||
Securities lending income, net | — | 152,934 | 21,602 | — | ||||||||||||||
Total investment income | 1,982,143 | 5,062,074 | 15,129,536 | 14,732,886 | ||||||||||||||
EXPENSES: | ||||||||||||||||||
Investment management fees | — | — | — | 1,653,358 | ||||||||||||||
Unified fees | 1,848,870 | 3,283,723 | 3,460,992 | — | ||||||||||||||
Distribution and service fees: | ||||||||||||||||||
Class ADV | — | 28,661 | 18,339 | 35,150 | ||||||||||||||
Class S | 1,320,679 | 750,166 | 1,043,117 | 670,881 | ||||||||||||||
Class S2 | 465,678 | 47,110 | 87,760 | 248 | ||||||||||||||
Transfer agent fees | — | — | — | 381 | ||||||||||||||
Administrative service fees | — | — | — | 275,556 | ||||||||||||||
Shareholder reporting expense | — | — | — | 61,604 | ||||||||||||||
Professional fees | — | — | — | 23,705 | ||||||||||||||
Custody and accounting expense | — | — | — | 96,822 | ||||||||||||||
Trustee fees and expenses | 19,523 | 17,864 | 20,851 | 7,602 | ||||||||||||||
Miscellaneous expense | — | — | — | 11,008 | ||||||||||||||
Interest expense | — | 1,578 | 129 | 1,082 | ||||||||||||||
Total expenses | 3,654,750 | 4,129,102 | 4,631,188 | 2,837,397 | ||||||||||||||
Net waived and reimbursed fees | (1,685,373 | ) | (15,154 | ) | (21,220 | ) | (7,080 | ) | ||||||||||
Brokerage commission recapture | — | — | (9,554 | ) | (24,705 | ) | ||||||||||||
Net expenses | 1,969,377 | 4,113,948 | 4,600,414 | 2,805,612 | ||||||||||||||
Net investment income | 12,766 | 948,126 | 10,529,122 | 11,927,274 | ||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||
Investments | 115,447 | 82,365,403 | 18,455,810 | 23,288,862 | ||||||||||||||
Foreign currency related transactions | — | 846 | (1,230 | ) | (4,646,777 | ) | ||||||||||||
Net realized gain | 115,447 | 82,366,249 | 18,454,580 | 18,642,085 | ||||||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||||
Investments | — | (35,484,725 | ) | 12,201,520 | 25,210,214 | |||||||||||||
Foreign currency related transactions | — | — | 11,791 | (550,964 | ) | |||||||||||||
Net change in unrealized appreciation or depreciation | — | (35,484,725 | ) | 12,213,311 | 24,659,250 | |||||||||||||
Net realized and unrealized gain | 115,447 | 46,881,524 | 30,667,891 | 43,301,335 | ||||||||||||||
Increase in net assets resulting from operations | $ | 128,213 | $ | 47,829,650 | $ | 41,197,013 | $ | 55,228,609 | ||||||||||
____________________ | ||||||||||||||||||
* Foreign taxes withheld | $ | — | $ | — | $ | 83,667 | $ | 915,432 |
ING Morgan Stanley Global Franchise Portfolio | ING PIMCO Total Return Bond Portfolio | ING Pioneer Mid Cap Value Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 7,585,374 | $ | 1,852,420 | $ | 8,231,597 | ||||||||
Interest, net of foreign taxes withheld* | 222 | 57,571,569 | — | |||||||||||
Securities lending income, net | 88,081 | 42,192 | 7,167 | |||||||||||
Total investment income | 7,673,677 | 59,466,181 | 8,238,764 | |||||||||||
EXPENSES: | ||||||||||||||
Unified fees | 1,934,170 | 9,524,315 | 2,942,851 | |||||||||||
Distribution and service fees: | ||||||||||||||
Class ADV | 15,228 | 301,960 | 14,986 | |||||||||||
Class S | 418,716 | 3,596,549 | 750,417 | |||||||||||
Class S2 | 158,076 | 177,260 | 32 | |||||||||||
Trustee fees and expenses | 7,954 | 61,142 | 18,746 | |||||||||||
Total expenses | 2,534,144 | 13,661,226 | 3,727,032 | |||||||||||
Net waived and reimbursed fees | (34,661 | ) | (220,000 | ) | (3,003 | ) | ||||||||
Brokerage commission recapture | — | — | (75,708 | ) | ||||||||||
Net expenses | 2,499,483 | 13,441,226 | 3,648,321 | |||||||||||
Net investment income | 5,174,194 | 46,024,955 | 4,590,443 | |||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||
Net realized gain (loss) on: | ||||||||||||||
Investments | 17,048,917 | (2,983,806 | ) | 63,256,199 | ||||||||||
Foreign currency related transactions | 84,938 | 9,307,240 | — | |||||||||||
Futures | — | 625,813 | — | |||||||||||
Swaps | — | 1,814,983 | — | |||||||||||
Written options | — | 1,188,897 | — | |||||||||||
Net realized gain | 17,133,855 | 9,953,127 | 63,256,199 | |||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||
Investments | 24,057,317 | 47,155,841 | (18,302,696 | ) | ||||||||||
Foreign currency related transactions | (5,551 | ) | (12,313,822 | ) | — | |||||||||
Futures | — | 13,588,335 | — | |||||||||||
Swaps | — | (14,999,843 | ) | — | ||||||||||
Written options | — | 8,802,447 | — | |||||||||||
Sales commitments | — | 459,077 | — | |||||||||||
Net change in unrealized appreciation or depreciation | 24,051,766 | 42,692,035 | (18,302,696 | ) | ||||||||||
Net realized and unrealized gain | 41,185,621 | 52,645,162 | 44,953,503 | |||||||||||
Increase in net assets resulting from operations | $ | 46,359,815 | $ | 98,670,117 | $ | 49,543,946 | ||||||||
____________________ | ||||||||||||||
* Foreign taxes withheld | $ | 395,654 | $ | 13,987 | $ | 21,633 |
ING T. Rowe Price Capital Appreciation Portfolio | ING T. Rowe Price Equity Income Portfolio | ING T. Rowe Price International Stock Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 31,251,477 | $ | 20,066,416 | $ | 3,661,902 | ||||||||
Interest | 20,828,045 | 922 | 17,295 | |||||||||||
Securities lending income, net | 153,829 | 109,717 | 86,178 | |||||||||||
Total investment income | 52,233,351 | 20,177,055 | 3,765,375 | |||||||||||
EXPENSES: | ||||||||||||||
Investment management fees | — | — | 735,717 | |||||||||||
Unified fees | 13,172,844 | 5,115,502 | — | |||||||||||
Distribution and service fees: | ||||||||||||||
Class ADV | 405,915 | 119,652 | 21,718 | |||||||||||
Class S | 4,336,054 | 1,281,102 | 253,316 | |||||||||||
Class S2 | 215,388 | 202,982 | 1,984 | |||||||||||
Transfer agent fees | — | — | 470 | |||||||||||
Administrative service fees | — | — | 136,243 | |||||||||||
Shareholder reporting expense | — | — | 31,400 | |||||||||||
Professional fees | — | — | 20,693 | |||||||||||
Custody and accounting expense | — | — | 131,340 | |||||||||||
Trustee fees and expenses | 84,630 | 33,794 | 6,335 | |||||||||||
Miscellaneous expense | — | — | 8,093 | |||||||||||
Interest expense | — | — | 5,010 | |||||||||||
Total expenses | 18,214,831 | 6,753,032 | 1,352,319 | |||||||||||
Net waived and reimbursed fees | (124,260 | ) | (66,226 | ) | (4,741 | ) | ||||||||
Brokerage commission recapture | (29,305 | ) | (6,300 | ) | — | |||||||||
Net expenses | 18,061,266 | 6,680,506 | 1,347,578 | |||||||||||
Net investment income | 34,172,085 | 13,496,549 | 2,417,797 | |||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||
Net realized gain (loss) on: | ||||||||||||||
Investments | 256,562,435 | 34,466,601 | 41,489,955 | |||||||||||
Foreign currency related transactions | (35,837 | ) | 4,299 | (506,052 | ) | |||||||||
Written options | (11,486,694 | ) | — | — | ||||||||||
Net realized gain | 245,039,904 | 34,470,900 | 40,983,903 | |||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||
Investments | (47,035,338 | ) | 25,170,425 | (31,238,228 | ) | |||||||||
Foreign currency related transactions | 1,138 | (3,512 | ) | 81,699 | ||||||||||
Written options | 6,651,201 | — | — | |||||||||||
Unfunded loan commitments | (435,690 | ) | — | — | ||||||||||
Net change in unrealized appreciation or depreciation | (40,818,689 | ) | 25,166,913 | (31,156,529 | ) | |||||||||
Net realized and unrealized gain | 204,221,215 | 59,637,813 | 9,827,374 | |||||||||||
Increase in net assets resulting from operations | $ | 238,393,300 | $ | 73,134,362 | $ | 12,245,171 | ||||||||
____________________ | ||||||||||||||
* Foreign taxes withheld | $ | 500,445 | $ | 142,331 | $ | 318,197 |
ING Artio Foreign Portfolio | ING BlackRock Health Sciences Opportunities Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 4,241,941 | $ | 10,335,247 | $ | (138,029 | ) | $ | 1,164,644 | ||||||||||
Net realized gain | 87,445,451 | 29,748,424 | 35,791,469 | 11,950,984 | |||||||||||||||
Net change in unrealized appreciation or depreciation | (80,502,868 | ) | 20,678,368 | (12,843,126 | ) | (1,191,888 | ) | ||||||||||||
Increase in net assets resulting from operations | 11,184,524 | 60,762,039 | 22,810,314 | 11,923,740 | |||||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 20,736,041 | 98,980,381 | 50,780,212 | 23,025,957 | |||||||||||||||
Cost of shares redeemed | (372,835,032 | ) | (203,809,525 | ) | (28,175,450 | ) | (49,428,775 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (352,098,991 | ) | (104,829,144 | ) | 22,604,762 | (26,402,818 | ) | ||||||||||||
Net increase (decrease) in net assets | (340,914,467 | ) | (44,067,105 | ) | 45,415,076 | (14,479,078 | ) | ||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 1,022,629,406 | 1,066,696,511 | 195,576,960 | 210,056,038 | |||||||||||||||
End of period | $ | 681,714,939 | $ | 1,022,629,406 | $ | 240,992,036 | $ | 195,576,960 | |||||||||||
Undistributed net investment income at end of period | $ | 15,244,379 | $ | 11,002,438 | $ | 1,009,441 | $ | 1,147,470 |
ING Clarion Global Real Estate Portfolio | ING FMRSM Diversified Mid Cap Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 4,320,793 | $ | 6,835,787 | $ | (144,990 | ) | $ | 2,751,079 | ||||||||||
Net realized gain | 11,864,400 | 16,328,501 | 221,412,445 | 94,458,345 | |||||||||||||||
Net change in unrealized appreciation or depreciation | 11,999,026 | 35,625,281 | (205,275,335 | ) | 205,554,622 | ||||||||||||||
Increase in net assets resulting from operations | 28,184,219 | 58,789,569 | 15,992,120 | 302,764,046 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | — | (127,771 | ) | — | (10,206 | ) | |||||||||||||
Class I | — | (18,347,163 | ) | — | (315,799 | ) | |||||||||||||
Class S | — | (15,744,535 | ) | — | (1,541,654 | ) | |||||||||||||
Class S2 | — | (188,882 | ) | — | (24,088 | ) | |||||||||||||
Total distributions | — | (34,408,351 | ) | — | (1,891,747 | ) | |||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 43,821,606 | 43,305,655 | 54,339,345 | 156,498,079 | |||||||||||||||
Reinvestment of distributions | — | 34,408,351 | — | 1,891,747 | |||||||||||||||
43,821,606 | 77,714,006 | 54,339,345 | 158,389,826 | ||||||||||||||||
Cost of shares redeemed | (55,333,999 | ) | (62,397,111 | ) | (153,103,643 | ) | (178,734,623 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (11,512,393 | ) | 15,316,895 | (98,764,298 | ) | (20,344,797 | ) | ||||||||||||
Net increase (decrease) in net assets | 16,671,826 | 39,698,113 | (82,772,178 | ) | 280,527,502 | ||||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 417,729,741 | 378,031,628 | 1,400,461,698 | 1,119,934,196 | |||||||||||||||
End of period | $ | 434,401,567 | $ | 417,729,741 | $ | 1,317,689,520 | $ | 1,400,461,698 | |||||||||||
Undistributed net investment income at end of period | $ | 18,640,646 | $ | 14,319,853 | $ | 2,308,179 | $ | 2,453,169 |
ING Global Resources Portfolio | ING Invesco Van Kampen Growth and Income Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 3,235,561 | $ | 5,843,990 | $ | 3,988,165 | $ | 7,092,211 | |||||||||||
Net realized gain | 44,061,174 | 50,468,869 | 23,465,237 | 31,708,199 | |||||||||||||||
Net change in unrealized appreciation or depreciation | (14,580,289 | ) | 119,166,192 | 1,505,336 | 33,807,238 | ||||||||||||||
Increase in net assets resulting from operations | 32,716,446 | 175,479,051 | 28,958,738 | 72,607,648 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | — | (96,283 | ) | — | (12,166 | ) | |||||||||||||
Class I | — | (391,456 | ) | — | (42,757 | ) | |||||||||||||
Class S | — | (7,775,152 | ) | — | (1,351,434 | ) | |||||||||||||
Class S2 | — | (227,870 | ) | — | (125,744 | ) | |||||||||||||
Total distributions | — | (8,490,761 | ) | — | (1,532,101 | ) | |||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 161,422,354 | 61,346,947 | 33,781,846 | 37,042,713 | |||||||||||||||
Reinvestment of distributions | — | 8,490,761 | — | 1,532,101 | |||||||||||||||
161,422,354 | 69,837,708 | 33,781,846 | 38,574,814 | ||||||||||||||||
Cost of shares redeemed | (110,968,536 | ) | (195,615,847 | ) | (85,624,856 | ) | (111,495,870 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 50,453,818 | (125,778,139 | ) | (51,843,010 | ) | (72,921,056 | ) | ||||||||||||
Net increase (decrease) in net assets | 83,170,264 | 41,210,151 | (22,884,272 | ) | (1,845,509 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 1,005,760,231 | 964,550,080 | 639,519,668 | 641,365,177 | |||||||||||||||
End of period | $ | 1,088,930,495 | $ | 1,005,760,231 | $ | 616,635,396 | $ | 639,519,668 | |||||||||||
Undistributed net investment income at end of period | $ | 9,118,158 | $ | 5,882,597 | $ | 11,083,158 | $ | 7,094,993 |
ING Janus Contrarian Portfolio | ING JPMorgan Emerging Markets Equity Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 2,015,654 | $ | 1,080,923 | $ | 5,172,505 | $ | 2,594,567 | |||||||||||
Net realized gain | 38,996,061 | 97,229,327 | 9,984,224 | 43,312,772 | |||||||||||||||
Net change in unrealized appreciation or depreciation | (49,001,774 | ) | (27,306,342 | ) | (19,163,115 | ) | 136,993,670 | ||||||||||||
Increase (decrease) in net assets resulting from operations | (7,990,059 | ) | 71,003,908 | (4,006,386 | ) | 182,901,009 | |||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | — | — | — | (58,960 | ) | ||||||||||||||
Class I | — | — | — | (1,704,790 | ) | ||||||||||||||
Class S | — | — | — | (3,785,438 | ) | ||||||||||||||
Class S2 | — | — | — | (140,178 | ) | ||||||||||||||
Net realized gains: | |||||||||||||||||||
Class ADV | — | — | — | (585,045 | ) | ||||||||||||||
Class I | — | — | — | (12,929,047 | ) | ||||||||||||||
Class S | — | — | — | (40,780,399 | ) | ||||||||||||||
Class S2 | — | — | — | (1,878,544 | ) | ||||||||||||||
Total distributions | — | — | — | (61,862,401 | ) | ||||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 4,280,750 | 16,740,248 | 164,941,112 | 99,931,990 | |||||||||||||||
Reinvestment of distributions | — | — | — | 61,862,401 | |||||||||||||||
4,280,750 | 16,740,248 | 164,941,112 | 161,794,391 | ||||||||||||||||
Cost of shares redeemed | (55,059,928 | ) | (94,558,431 | ) | (88,800,193 | ) | (221,794,336 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (50,779,178 | ) | (77,818,183 | ) | 76,140,919 | (59,999,945 | ) | ||||||||||||
Net increase (decrease) in net assets | (58,769,237 | ) | (6,814,275 | ) | 72,134,533 | 61,038,663 | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 557,408,267 | 564,222,542 | 1,087,498,211 | 1,026,459,548 | |||||||||||||||
End of period | $ | 498,639,030 | $ | 557,408,267 | $ | 1,159,632,744 | $ | 1,087,498,211 | |||||||||||
Undistributed net investment income at end of period | $ | 4,839,225 | $ | 2,823,571 | $ | 15,014,072 | $ | 9,841,567 |
ING Liquid Assets Portfolio | ING Marsico Growth Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 12,766 | $ | 84,842 | $ | 948,126 | $ | 2,070,450 | |||||||||||
Net realized gain | 115,447 | 292,251 | 82,366,249 | 57,537,916 | |||||||||||||||
Net change in unrealized appreciation or depreciation | — | — | (35,484,725 | ) | 79,059,694 | ||||||||||||||
Increase in net assets resulting from operations | 128,213 | 377,093 | 47,829,650 | 138,668,060 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | — | — | — | (15,467 | ) | ||||||||||||||
Class I | (12,723 | ) | (85,550 | ) | — | (1,381,948 | ) | ||||||||||||
Class S | — | — | — | (2,997,442 | ) | ||||||||||||||
Class S2 | — | — | — | (73,088 | ) | ||||||||||||||
Net realized gains: | |||||||||||||||||||
Class I | — | (5,014 | ) | — | — | ||||||||||||||
Class S | — | (49,655 | ) | — | — | ||||||||||||||
Class S2 | — | (5,349 | ) | — | — | ||||||||||||||
Total distributions | (12,723 | ) | (145,568 | ) | — | (4,467,945 | ) | ||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 233,158,666 | 628,460,866 | 40,299,786 | 90,049,516 | |||||||||||||||
Reinvestment of distributions | 12,723 | 145,568 | — | 4,467,945 | |||||||||||||||
233,171,389 | 628,606,434 | 40,299,786 | 94,517,461 | ||||||||||||||||
Cost of shares redeemed | (355,204,062 | ) | (1,054,396,885 | ) | (123,009,414 | ) | (154,187,540 | ) | |||||||||||
Net decrease in net assets resulting from capital share transactions | (122,032,673 | ) | (425,790,451 | ) | (82,709,628 | ) | (59,670,079 | ) | |||||||||||
Net increase (decrease) in net assets | (121,917,183 | ) | (425,558,926 | ) | (34,879,978 | ) | 74,530,036 | ||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 1,472,807,705 | 1,898,366,631 | 824,969,774 | 750,439,738 | |||||||||||||||
End of period | $ | 1,350,890,522 | $ | 1,472,807,705 | $ | 790,089,796 | $ | 824,969,774 | |||||||||||
Undistributed net investment income at end of period | $ | 43 | $ | — | $ | 3,023,819 | $ | 2,075,693 |
ING MFS Total Return Portfolio | ING MFS Utilities Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 10,529,122 | $ | 22,217,163 | $ | 11,927,274 | $ | 15,191,300 | |||||||||||
Net realized gain | 18,454,580 | 13,471,087 | 18,642,085 | 68,309 | |||||||||||||||
Net change in unrealized appreciation or depreciation | 12,213,311 | 59,628,091 | 24,659,250 | 48,418,254 | |||||||||||||||
Increase in net assets resulting from operations | 41,197,013 | 95,316,341 | 55,228,609 | 63,677,863 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | — | (13,111 | ) | — | (149,035 | ) | |||||||||||||
Class I | — | (551,595 | ) | — | (131,351 | ) | |||||||||||||
Class S | — | (3,933,509 | ) | — | (12,932,316 | ) | |||||||||||||
Class S2 | — | (156,131 | ) | — | (2,200 | ) | |||||||||||||
Total distributions | — | (4,654,346 | ) | — | (13,214,902 | ) | |||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 17,174,216 | 37,873,984 | 39,494,073 | 38,127,136 | |||||||||||||||
Reinvestment of distributions | — | 4,654,346 | — | 13,214,902 | |||||||||||||||
17,174,216 | 42,528,330 | 39,494,073 | 51,342,038 | ||||||||||||||||
Cost of shares redeemed | (94,202,605 | ) | (193,497,351 | ) | (37,515,667 | ) | (74,207,500 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (77,028,389 | ) | (150,969,021 | ) | 1,978,406 | (22,865,462 | ) | ||||||||||||
Net increase (decrease) in net assets | (35,831,376 | ) | (60,307,026 | ) | 57,207,015 | 27,597,499 | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 1,009,055,834 | 1,069,362,860 | 526,564,611 | 498,967,112 | |||||||||||||||
End of period | $ | 973,224,458 | $ | 1,009,055,834 | $ | 583,771,626 | $ | 526,564,611 | |||||||||||
Undistributed net investment income at end of period | $ | 33,411,978 | $ | 22,882,856 | $ | 14,657,911 | $ | 2,730,637 |
ING Morgan Stanley Global Franchise Portfolio | ING PIMCO Total Return Bond Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 5,174,194 | $ | 6,145,812 | $ | 46,024,955 | $ | 90,572,425 | |||||||||||
Net realized gain | 17,133,855 | 13,336,071 | 9,953,127 | 177,452,433 | |||||||||||||||
Net change in unrealized appreciation or depreciation | 24,051,766 | 25,451,128 | 42,692,035 | 4,405,876 | |||||||||||||||
Increase in net assets resulting from operations | 46,359,815 | 44,933,011 | 98,670,117 | 272,430,734 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | — | (762 | ) | — | (773,973 | ) | |||||||||||||
Class I | — | (6 | ) | — | (16,321,396 | ) | |||||||||||||
Class S | — | (1,246,933 | ) | — | (158,143,812 | ) | |||||||||||||
Class S2 | — | (186,281 | ) | — | (3,498,739 | ) | |||||||||||||
Net realized gains: | |||||||||||||||||||
Class ADV | — | — | — | (407,030 | ) | ||||||||||||||
Class I | — | — | — | (8,583,456 | ) | ||||||||||||||
Class S | — | — | — | (86,663,534 | ) | ||||||||||||||
Class S2 | — | — | — | (1,982,769 | ) | ||||||||||||||
Total distributions | — | (1,433,982 | ) | — | (276,374,709 | ) | |||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 35,221,694 | 62,662,067 | 464,357,038 | 924,159,542 | |||||||||||||||
Reinvestment of distributions | — | 1,433,982 | — | 276,374,709 | |||||||||||||||
35,221,694 | 64,096,049 | 464,357,038 | 1,200,534,251 | ||||||||||||||||
Cost of shares redeemed | (57,773,849 | ) | (49,237,189 | ) | (614,366,889 | ) | (1,052,627,500 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (22,552,155 | ) | 14,858,860 | (150,009,851 | ) | 147,906,751 | |||||||||||||
Net increase (decrease) in net assets | 23,807,660 | 58,357,889 | (51,339,734 | ) | 143,962,776 | ||||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 397,073,530 | 338,715,641 | 3,529,317,383 | 3,385,354,607 | |||||||||||||||
End of period | $ | 420,881,190 | $ | 397,073,530 | $ | 3,477,977,649 | $ | 3,529,317,383 | |||||||||||
Undistributed net investment income at end of period | $ | 14,583,312 | $ | 9,409,118 | $ | 173,813,443 | $ | 127,788,488 |
ING Pioneer Mid Cap Value Portfolio | ING T. Rowe Price Capital Appreciation Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 4,590,443 | $ | 7,984,534 | $ | 34,172,085 | $ | 61,030,735 | |||||||||||
Net realized gain | 63,256,199 | 79,529,458 | 245,039,904 | 301,253,226 | |||||||||||||||
Net change in unrealized appreciation or depreciation | (18,302,696 | ) | 51,068,153 | (40,818,689 | ) | 130,362,572 | |||||||||||||
Increase in net assets resulting from operations | 49,543,946 | 138,582,145 | 238,393,300 | 492,646,533 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | — | (20,956 | ) | — | (1,120,961 | ) | |||||||||||||
Class I | — | (3,006,025 | ) | — | (7,767,901 | ) | |||||||||||||
Class S | — | (4,891,933 | ) | — | (52,294,597 | ) | |||||||||||||
Class S2 | — | (4 | ) | — | (1,209,755 | ) | |||||||||||||
Total distributions | — | (7,918,918 | ) | — | (62,393,214 | ) | |||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 85,118,516 | 71,187,437 | 235,280,773 | 426,990,306 | |||||||||||||||
Reinvestment of distributions | — | 7,918,918 | — | 62,393,214 | |||||||||||||||
85,118,516 | 79,106,355 | 235,280,773 | 489,383,520 | ||||||||||||||||
Cost of shares redeemed | (75,948,263 | ) | (145,827,416 | ) | (333,169,281 | ) | (485,188,533 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 9,170,253 | (66,721,061 | ) | (97,888,508 | ) | 4,194,987 | |||||||||||||
Net increase in net assets | 58,714,199 | 63,942,166 | 140,504,792 | 434,448,306 | |||||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 884,228,907 | 820,286,741 | 4,004,696,404 | 3,570,248,098 | |||||||||||||||
End of period | $ | 942,943,106 | $ | 884,228,907 | $ | 4,145,201,196 | $ | 4,004,696,404 | |||||||||||
Undistributed net investment income at end of period | $ | 6,101,194 | $ | 1,510,751 | $ | 51,458,240 | $ | 17,286,155 |
ING T. Rowe Price Equity Income Portfolio | ING T. Rowe Price International Stock Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 13,496,549 | $ | 24,661,942 | $ | 2,417,797 | $ | 3,766,400 | |||||||||||
Net realized gain (loss) | 34,470,900 | (8,914,574 | ) | 40,983,903 | 65,058,576 | ||||||||||||||
Net change in unrealized appreciation or depreciation | 25,166,913 | 182,440,702 | (31,156,529 | ) | (11,697,458 | ) | |||||||||||||
Increase in net assets resulting from operations | 73,134,362 | 198,188,070 | 12,245,171 | 57,127,518 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | — | (359,907 | ) | — | (43,156 | ) | |||||||||||||
Class I | — | (7,869,777 | ) | — | (3,023,830 | ) | |||||||||||||
Class S | — | (14,666,809 | ) | — | (2,938,875 | ) | |||||||||||||
Class S2 | — | (1,040,339 | ) | — | (12 | ) | |||||||||||||
Total distributions | — | (23,936,832 | ) | — | (6,005,873 | ) | |||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 101,837,450 | 228,375,675 | 7,946,793 | 103,363,341 | |||||||||||||||
Proceeds from shares issued in merger (Note 13) | 43,172,801 | — | — | — | |||||||||||||||
Reinvestment of distributions | — | 23,936,832 | — | 6,005,873 | |||||||||||||||
145,010,251 | 252,312,507 | 7,946,793 | 109,369,214 | ||||||||||||||||
Cost of shares redeemed | (141,192,997 | ) | (216,059,622 | ) | (153,313,708 | ) | (146,774,549 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 3,817,254 | 36,252,885 | (145,366,915 | ) | (37,405,335 | ) | |||||||||||||
Net increase (decrease) in net assets | 76,951,616 | 210,504,123 | (133,121,744 | ) | 13,716,310 | ||||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 1,511,764,753 | 1,301,260,630 | 401,756,078 | 388,039,768 | |||||||||||||||
End of period | $ | 1,588,716,369 | $ | 1,511,764,753 | $ | 268,634,334 | $ | 401,756,078 | |||||||||||
Undistributed net investment income at end of period | $ | 18,042,657 | $ | 4,546,108 | $ | 9,511,908 | $ | 7,094,111 |
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 | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3) | | Expenses net of fee waivers and/or recoupments, if any(2)(3) | | Expenses net of all reductions/ additions(2)(3) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||
ING Artio Foreign Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.51 | 0.04 | • | 0.07 | 0.11 | — | — | — | — | 11.62 | 0.96 | 1.65 | 1.50 | 1.50 | 0.67 | 2,360 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.81 | 0.04 | 0.66 | 0.70 | — | — | — | — | 11.51 | 6.48 | 1.65 | 1.50 | † | 1.49 | † | 0.45 | † | 3,730 | 135 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.18 | 0.12 | • | 1.69 | 1.81 | 0.18 | — | — | 0.18 | 10.81 | 20.12 | 1.64 | 1.48 | † | 1.48 | † | 1.28 | † | 1,707 | 179 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.22 | 0.21 | • | (7.71 | ) | (7.50 | ) | — | 1.54 | — | 1.54 | 9.18 | (43.95 | ) | 1.62 | 1.47 | † | 1.47 | † | 1.45 | † | 1,372 | 138 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 16.81 | 0.01 | 2.66 | 2.67 | 0.05 | 1.21 | — | 1.26 | 18.22 | 16.04 | 1.62 | 1.47 | 1.47 | 0.08 | 6,491 | 77 | ||||||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4)–12-31-06 | 15.39 | (0.04 | )• | 1.46 | 1.42 | — | 0.00 | * | — | 0.00 | * | 16.81 | 9.24 | 1.64 | 1.49 | 1.49 | (0.52 | ) | 460 | 62 | ||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.68 | 0.05 | • | 0.09 | 0.14 | — | — | — | — | 11.82 | 1.20 | 0.90 | 0.90 | 0.90 | 0.88 | 43,033 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.90 | 0.13 | 0.65 | 0.78 | — | — | — | — | 11.68 | 7.16 | 0.90 | 0.90 | † | 0.89 | † | 1.23 | † | 319,125 | 135 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.40 | 0.21 | • | 1.67 | 1.88 | 0.38 | — | — | 0.38 | 10.90 | 20.77 | 0.89 | 0.88 | † | 0.88 | † | 2.25 | † | 275,235 | 179 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.48 | 0.28 | • | (7.82 | ) | (7.54 | ) | — | 1.54 | — | 1.54 | 9.40 | (43.53 | ) | 0.87 | 0.87 | † | 0.87 | † | 2.03 | † | 821,760 | 138 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 16.94 | 0.21 | 2.59 | 2.80 | 0.05 | 1.21 | — | 1.26 | 18.48 | 16.74 | 0.87 | 0.87 | 0.87 | �� | 1.30 | 1,259,238 | 77 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.07 | 0.18 | • | 3.69 | 3.87 | — | 0.00 | * | — | 0.00 | * | 16.94 | 29.63 | 0.89 | 0.89 | 0.88 | 1.20 | 864,923 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.55 | 0.06 | • | 0.07 | 0.13 | — | — | — | — | 11.68 | 1.13 | 1.15 | 1.15 | 1.15 | 1.09 | 592,061 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.81 | 0.11 | 0.63 | 0.74 | — | — | — | — | 11.55 | 6.85 | 1.15 | 1.15 | † | 1.14 | † | 1.00 | † | 651,993 | 135 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.32 | 0.16 | 1.67 | 1.83 | 0.34 | — | — | 0.34 | 10.81 | 20.37 | 1.14 | 1.13 | † | 1.13 | † | 1.62 | † | 740,140 | 179 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.39 | 0.26 | (7.79 | ) | (7.53 | ) | — | 1.54 | — | 1.54 | 9.32 | (43.69 | ) | 1.12 | 1.12 | † | 1.12 | † | 1.87 | † | 616,030 | 138 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 16.87 | 0.19 | • | 2.56 | 2.75 | 0.02 | 1.21 | — | 1.23 | 18.39 | 16.47 | 1.12 | 1.12 | 1.12 | 1.05 | 1,083,647 | 77 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.06 | 0.13 | 3.68 | 3.81 | — | 0.00 | * | — | 0.00 | * | 16.87 | 29.19 | 1.14 | 1.14 | 1.13 | 0.89 | 727,745 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.49 | 0.05 | • | 0.06 | 0.11 | — | — | — | — | 11.60 | 0.96 | 1.40 | 1.30 | 1.30 | 0.95 | 44,260 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.76 | 0.09 | 0.64 | 0.73 | — | — | — | — | 11.49 | 6.78 | 1.40 | 1.30 | † | 1.29 | † | 0.84 | † | 47,781 | 135 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.27 | 0.14 | • | 1.66 | 1.80 | 0.31 | — | — | 0.31 | 10.76 | 20.14 | 1.39 | 1.28 | † | 1.28 | † | 1.47 | † | 49,614 | 179 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.32 | 0.24 | (7.75 | ) | (7.51 | ) | — | 1.54 | — | 1.54 | 9.27 | (43.76 | ) | 1.37 | 1.27 | † | 1.27 | † | 1.69 | † | 41,667 | 138 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 16.83 | 0.17 | 2.53 | 2.70 | — | 1.21 | — | 1.21 | 18.32 | 16.23 | 1.37 | 1.27 | 1.27 | 0.96 | 83,194 | 77 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.04 | 0.13 | • | 3.66 | 3.79 | — | 0.00 | * | — | 0.00 | * | 16.83 | 29.08 | 1.39 | 1.29 | 1.28 | 0.90 | 73,497 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
ING BlackRock Health Sciences Opportunities Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.76 | (0.01 | )• | 1.26 | 1.25 | — | — | — | — | 12.01 | 11.62 | 1.50 | 1.35 | 1.33 | (0.19 | ) | 15 | 103 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.13 | 0.03 | 0.60 | 0.63 | — | — | — | — | 10.76 | 6.22 | 1.50 | 1.35 | † | 1.34 | † | 0.32 | † | 1 | 60 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.47 | (0.03 | ) | 1.69 | 1.66 | — | — | — | — | 10.13 | 19.60 | 1.51 | 1.35 | 1.34 | (0.38 | ) | 1 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.64 | (0.07 | ) | (3.48 | ) | (3.55 | ) | — | 0.62 | — | 0.62 | 8.47 | (29.14 | ) | 1.50 | 1.35 | † | 1.34 | † | (0.62 | )† | 1 | 56 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12.17 | (0.02 | ) | 0.99 | 0.97 | 0.04 | 0.46 | — | 0.50 | 12.64 | 8.13 | 1.50 | 1.35 | 1.33 | (0.16 | ) | 1 | 81 | ||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4)–12-31-06 | 12.17 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 12.17 | — | 1.52 | 1.37 | 1.35 | (1.35 | ) | 1 | 37 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.09 | 0.01 | • | 1.33 | 1.34 | — | — | — | — | 12.43 | 12.08 | 0.75 | 0.75 | 0.73 | 0.13 | 6,840 | 103 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.34 | 0.08 | • | 0.67 | 0.75 | — | — | — | — | 11.09 | 7.25 | 0.75 | 0.75 | † | 0.74 | † | 0.74 | † | 4,640 | 60 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.59 | 0.01 | 1.74 | 1.75 | — | — | — | — | 10.34 | 20.37 | 0.76 | 0.75 | 0.74 | 0.17 | 7,890 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.75 | 0.01 | (3.50 | ) | (3.49 | ) | 0.05 | 0.62 | — | 0.67 | 8.59 | (28.49 | ) | 0.75 | 0.75 | † | 0.74 | † | 0.11 | † | 5,626 | 56 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12.20 | 0.04 | 1.01 | 1.05 | 0.04 | 0.46 | — | 0.50 | 12.75 | 8.78 | 0.75 | 0.75 | 0.73 | 0.37 | 4,857 | 81 | ||||||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4)–12-31-06 | 11.24 | 0.02 | 0.94 | 0.96 | — | 0.00 | * | — | 0.00 | * | 12.20 | 8.59 | 0.77 | 0.77 | 0.75 | 0.29 | 3,963 | 37 | ||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.01 | (0.01 | ) | 1.32 | 1.31 | — | — | — | — | 12.32 | 11.90 | 1.00 | 1.00 | 0.98 | (0.14 | ) | 234,137 | 103 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.29 | 0.06 | 0.66 | 0.72 | — | — | — | — | 11.01 | 7.00 | 1.00 | 1.00 | † | 0.99 | † | 0.57 | † | 190,935 | 60 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.57 | (0.01 | ) | 1.73 | 1.72 | — | — | — | — | 10.29 | 20.07 | 1.01 | 1.00 | 0.99 | (0.07 | ) | 202,164 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.72 | (0.01 | ) | (3.50 | ) | (3.51 | ) | 0.02 | 0.62 | — | 0.64 | 8.57 | (28.68 | ) | 1.00 | 1.00 | † | 0.99 | † | (0.08 | )† | 181,234 | 56 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12.17 | 0.02 | 1.01 | 1.03 | 0.02 | 0.46 | — | 0.48 | 12.72 | 8.56 | 1.00 | 1.00 | 0.98 | 0.14 | 219,634 | 81 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 10.69 | 0.02 | 1.46 | 1.48 | — | 0.00 | * | — | 0.00 | * | 12.17 | 13.89 | 1.02 | 1.02 | 1.00 | 0.14 | 202,218 | 37 |
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 | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3) | | Expenses net of fee waivers and/or recoupments, if any(2)(3) | | Expenses net of all reductions/ additions(2)(3) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||
ING Clarion Global Real Estate Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 9.64 | 0.09 | • | 0.53 | 0.62 | — | — | — | — | 10.26 | 6.43 | 1.72 | 1.49 | 1.49 | 1.77 | 9,605 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.22 | 0.13 | • | 1.15 | 1.28 | 0.86 | — | — | 0.86 | 9.64 | 15.61 | 1.73 | 1.49 | † | 1.49 | † | 1.39 | † | 5,304 | 56 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.07 | 0.18 | 2.10 | 2.28 | 0.13 | — | — | 0.13 | 9.22 | 32.88 | 1.76 | 1.49 | † | 1.49 | † | 2.36 | † | 1 | 76 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.08 | 0.19 | (5.20 | ) | (5.01 | ) | — | — | — | — | 7.07 | (41.47 | ) | 1.72 | 1.50 | † | 1.50 | † | 1.79 | † | 1 | 53 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 13.34 | 0.07 | • | (1.08 | ) | (1.01 | ) | 0.20 | 0.01 | 0.04 | 0.25 | 12.08 | (7.63 | ) | 1.72 | 1.50 | 1.50 | 0.50 | 1 | 58 | ||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4)–12-31-06 | 11.05 | 0.09 | • | 2.54 | 2.63 | 0.24 | 0.10 | — | 0.34 | 13.34 | 23.82 | 1.83 | 1.52 | 1.52 | 1.08 | 1 | 37 | |||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 9.75 | 0.11 | • | 0.55 | 0.66 | — | — | — | — | 10.41 | 6.77 | 0.97 | 0.89 | 0.89 | 2.16 | 234,036 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.26 | 0.17 | • | 1.18 | 1.35 | 0.86 | — | — | 0.86 | 9.75 | 16.33 | 0.98 | 0.89 | † | 0.89 | † | 1.92 | † | 222,983 | 56 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.12 | 0.23 | • | 2.11 | 2.34 | 0.20 | — | — | 0.20 | 9.26 | 33.75 | 1.01 | 0.89 | † | 0.89 | † | 3.20 | † | 190,880 | 76 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.08 | 0.26 | • | (5.22 | ) | (4.96 | ) | — | — | — | — | 7.12 | (41.06 | ) | 0.97 | 0.90 | † | 0.90 | † | 2.73 | † | 272,111 | 53 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 13.42 | 0.22 | • | (1.16 | ) | (0.94 | ) | 0.35 | 0.01 | 0.04 | 0.40 | 12.08 | (7.03 | ) | 0.97 | 0.90 | 0.90 | 1.65 | 141,367 | 58 | ||||||||||||||||||||||||||||||||||||||||||||
01-03-06(4)–12-31-06 | 10.00 | 0.15 | 3.62 | 3.77 | 0.25 | 0.10 | — | 0.35 | 13.42 | 37.77 | 1.08 | 0.92 | 0.92 | 1.54 | 44,706 | 37 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 9.70 | 0.09 | • | 0.56 | 0.65 | — | — | — | — | 10.35 | 6.70 | 1.22 | 1.14 | 1.14 | 1.90 | 188,528 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.22 | 0.15 | • | 1.17 | 1.32 | 0.84 | — | — | 0.84 | 9.70 | 16.00 | 1.23 | 1.14 | † | 1.14 | † | 1.66 | † | 187,177 | 56 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.09 | 0.21 | 2.10 | 2.31 | 0.18 | — | — | 0.18 | 9.22 | 33.42 | 1.26 | 1.14 | † | 1.14 | † | 2.79 | † | 184,853 | 76 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.07 | 0.23 | • | (5.21 | ) | (4.98 | ) | — | — | — | — | 7.09 | (41.26 | ) | 1.22 | 1.15 | † | 1.15 | † | 2.33 | † | 144,199 | 53 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 13.41 | 0.17 | • | (1.14 | ) | (0.97 | ) | 0.32 | 0.01 | 0.04 | 0.37 | 12.07 | (7.29 | ) | 1.22 | 1.15 | 1.15 | 1.26 | 151,893 | 58 | ||||||||||||||||||||||||||||||||||||||||||||
01-03-06(4)–12-31-06 | 10.00 | 0.16 | • | 3.59 | 3.75 | 0.24 | 0.10 | — | 0.34 | 13.41 | 37.54 | 1.33 | 1.17 | 1.17 | 1.37 | 80,218 | 37 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 9.74 | 0.09 | • | 0.56 | 0.65 | — | — | — | — | 10.39 | 6.67 | 1.47 | 1.29 | 1.29 | 1.74 | 2,233 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.26 | 0.14 | • | 1.17 | 1.31 | 0.83 | — | — | 0.83 | 9.74 | 15.77 | 1.48 | 1.29 | † | 1.29 | † | 1.51 | † | 2,265 | 56 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.11 | 0.18 | 2.14 | 2.32 | 0.17 | — | — | 0.17 | 9.26 | 33.26 | 1.51 | 1.29 | † | 1.29 | † | 2.62 | † | 2,298 | 76 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.12 | 0.21 | • | (5.22 | ) | (5.01 | ) | — | — | — | — | 7.11 | (41.34 | ) | 1.47 | 1.30 | † | 1.30 | † | 2.02 | † | 1,695 | 53 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 13.45 | 0.14 | • | (1.13 | ) | (0.99 | ) | 0.29 | 0.01 | 0.04 | 0.34 | 12.12 | (7.39 | ) | 1.47 | 1.30 | 1.30 | 1.04 | 2,736 | 58 | ||||||||||||||||||||||||||||||||||||||||||||
05-03-06(4)–12-31-06 | 11.05 | 0.08 | • | 2.60 | 2.68 | 0.18 | 0.10 | — | 0.28 | 13.45 | 24.25 | 1.58 | 1.32 | 1.32 | 1.02 | 1,807 | 37 | |||||||||||||||||||||||||||||||||||||||||||||||
ING FMRSM Diversified Mid Cap Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 15.02 | (0.03 | ) | 0.16 | 0.13 | — | — | — | — | 15.15 | 0.87 | 1.38 | 1.23 | 1.23 | (0.35 | ) | 45,726 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.75 | (0.01 | ) | 3.29 | 3.28 | 0.01 | — | — | 0.01 | 15.02 | 27.89 | 1.39 | 1.24 | † | 1.24 | † | (0.11 | )† | 38,961 | 34 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.49 | 0.00 | * | 3.28 | 3.28 | 0.02 | — | — | 0.02 | 11.75 | 38.65 | 1.40 | 1.24 | 1.24 | 0.05 | 11,364 | 59 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 15.09 | 0.01 | (5.64 | ) | (5.63 | ) | 0.02 | 0.95 | — | 0.97 | 8.49 | (39.35 | ) | 1.39 | 1.24 | † | 1.24 | † | 0.11 | † | 6,321 | 146 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 13.28 | (0.04 | ) | 1.92 | 1.88 | 0.01 | 0.06 | — | 0.07 | 15.09 | 14.16 | 1.38 | 1.23 | 1.23 | (0.22 | ) | 9,615 | 147 | ||||||||||||||||||||||||||||||||||||||||||||||
01-17-06(4)–12-31-06 | 13.92 | (0.02 | ) | 0.75 | 0.73 | — | 1.37 | — | 1.37 | 13.28 | 5.62 | 1.40 | 1.25 | 1.25 | (0.17 | ) | 3,276 | 160 | ||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 15.24 | 0.02 | 0.16 | 0.18 | — | — | — | — | 15.42 | 1.18 | 0.63 | 0.63 | 0.63 | 0.23 | 90,504 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.89 | 0.06 | 3.34 | 3.40 | 0.05 | — | — | 0.05 | 15.24 | 28.62 | 0.64 | 0.64 | † | 0.64 | † | 0.48 | † | 93,325 | 34 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.57 | 0.07 | • | 3.32 | 3.39 | 0.07 | — | — | 0.07 | 11.89 | 39.61 | 0.65 | 0.64 | 0.64 | 0.68 | 74,080 | 59 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 15.33 | 0.11 | (5.77 | ) | (5.66 | ) | 0.15 | 0.95 | — | 1.10 | 8.57 | (39.02 | ) | 0.64 | 0.64 | † | 0.64 | † | 0.70 | † | 158,268 | 146 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 13.44 | 0.05 | • | 1.94 | 1.99 | 0.04 | 0.06 | — | 0.10 | 15.33 | 14.81 | 0.63 | 0.63 | 0.63 | 0.36 | 345,200 | 147 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.25 | 0.07 | • | 1.49 | 1.56 | — | 1.37 | — | 1.37 | 13.44 | 12.21 | 0.65 | 0.65 | 0.65 | 0.50 | 84,973 | 160 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 15.19 | 0.00 | * | 0.15 | 0.15 | — | — | — | — | 15.34 | 0.99 | 0.88 | 0.88 | 0.88 | (0.02 | ) | 1,108,477 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.85 | 0.03 | 3.33 | 3.36 | 0.02 | — | — | 0.02 | 15.19 | 28.36 | 0.89 | 0.89 | † | 0.89 | † | 0.23 | † | 1,196,633 | 34 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.55 | 0.04 | 3.31 | 3.35 | 0.05 | — | — | 0.05 | 11.85 | 39.18 | 0.90 | 0.89 | 0.89 | 0.40 | 984,825 | 59 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 15.24 | 0.06 | (5.71 | ) | (5.65 | ) | 0.09 | 0.95 | — | 1.04 | 8.55 | (39.14 | ) | 0.89 | 0.89 | † | 0.89 | † | 0.46 | † | 688,119 | 146 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 13.38 | 0.01 | 1.93 | 1.94 | 0.02 | 0.06 | — | 0.08 | 15.24 | 14.49 | 0.88 | 0.88 | 0.88 | 0.14 | 1,140,647 | 147 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.23 | 0.02 | 1.50 | 1.52 | — | 1.37 | — | 1.37 | 13.38 | 11.91 | 0.90 | 0.90 | 0.90 | 0.16 | 665,138 | 160 |
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 | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3) | | Expenses net of fee waivers and/or recoupments, if any(2)(3) | | Expenses net of all reductions/ additions(2)(3) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||
ING FMRSM Diversified Mid Cap Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 15.13 | (0.01 | ) | 0.16 | 0.15 | — | — | — | — | 15.28 | 0.99 | 1.13 | 1.03 | 1.03 | (0.16 | ) | 72,983 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.81 | 0.01 | 3.32 | 3.33 | 0.01 | — | — | 0.01 | 15.13 | 28.17 | 1.14 | 1.04 | † | 1.04 | † | 0.08 | † | 71,542 | 34 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.52 | 0.02 | 3.31 | 3.33 | 0.04 | — | — | 0.04 | 11.81 | 39.05 | 1.15 | 1.04 | 1.04 | 0.25 | 49,665 | 59 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 15.16 | 0.04 | (5.68 | ) | (5.64 | ) | 0.05 | 0.95 | — | 1.00 | 8.52 | (39.26 | ) | 1.14 | 1.04 | † | 1.04 | † | 0.30 | † | 34,326 | 146 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 13.32 | (0.01 | ) | 1.91 | 1.90 | 0.00 | * | 0.06 | — | 0.06 | 15.16 | 14.28 | 1.13 | 1.03 | 1.03 | (0.02 | ) | 59,534 | 147 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.19 | 0.00 | * | 1.50 | 1.50 | — | 1.37 | — | 1.37 | 13.32 | 11.79 | 1.15 | 1.05 | 1.05 | 0.02 | 42,398 | 160 | |||||||||||||||||||||||||||||||||||||||||||||||
ING Global Resources Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.04 | 0.05 | • | 0.67 | 0.72 | — | — | — | — | 21.76 | 3.42 | 1.39 | 1.24 | 1.24 | 0.42 | 119,354 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 17.55 | 0.06 | • | 3.61 | 3.67 | 0.18 | — | — | 0.18 | 21.04 | 21.26 | 1.40 | 1.25 | † | 1.25 | † | 0.33 | † | 20,655 | 45 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 12.82 | 0.09 | • | 4.65 | 4.74 | 0.01 | — | — | 0.01 | 17.55 | 36.96 | 1.41 | 1.26 | † | 1.26 | † | 0.64 | † | 4,007 | 77 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 25.93 | 0.09 | • | (8.99 | ) | (8.90 | ) | 0.38 | 3.83 | — | 4.21 | 12.82 | (41.22 | ) | 1.39 | 1.24 | † | 1.24 | † | 0.46 | † | 1,983 | 85 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 21.64 | 0.30 | • | 6.51 | 6.81 | 0.03 | 2.49 | — | 2.52 | 25.93 | 32.81 | 1.39 | 1.24 | † | 1.24 | † | 1.26 | † | 1,880 | 166 | ||||||||||||||||||||||||||||||||||||||||||||
12-18-06(4)–12-31-06 | 21.75 | (0.00 | )* | (0.11 | ) | (0.11 | ) | — | — | — | — | 21.64 | (0.51 | ) | 1.40 | 1.25 | 1.25 | (0.79 | ) | 181 | 159 | |||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.67 | 0.10 | • | 0.71 | 0.81 | — | — | — | — | 22.48 | 3.74 | 0.64 | 0.64 | 0.64 | 0.85 | 45,241 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 18.00 | 0.16 | • | 3.73 | 3.89 | 0.22 | — | — | 0.22 | 21.67 | 21.96 | 0.65 | 0.65 | † | 0.65 | † | 0.90 | † | 46,813 | 45 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 13.14 | 0.19 | • | 4.76 | 4.95 | 0.09 | — | — | 0.09 | 18.00 | 37.87 | 0.66 | 0.66 | † | 0.66 | † | 1.25 | † | 29,788 | 77 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 26.36 | 0.21 | • | (9.18 | ) | (8.97 | ) | 0.42 | 3.83 | — | 4.25 | 13.14 | (40.86 | ) | 0.64 | 0.64 | † | 0.64 | † | 0.97 | † | 23,664 | 85 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 21.84 | 0.32 | • | 6.72 | 7.04 | 0.03 | 2.49 | — | 2.52 | 26.36 | 33.60 | 0.64 | 0.64 | † | 0.64 | † | 1.32 | † | 35,734 | 166 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 20.41 | 0.10 | • | 4.21 | 4.31 | 0.07 | 2.81 | — | 2.88 | 21.84 | 21.72 | 0.65 | 0.65 | 0.65 | 0.48 | 19,960 | 159 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.50 | 0.07 | • | 0.70 | 0.77 | — | — | — | — | 22.27 | 3.58 | 0.89 | 0.89 | 0.89 | 0.60 | 894,469 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 17.86 | 0.12 | • | 3.69 | 3.81 | 0.17 | — | — | 0.17 | 21.50 | 21.64 | 0.90 | 0.90 | † | 0.90 | † | 0.65 | † | 907,755 | 45 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 13.03 | 0.15 | 4.73 | 4.88 | 0.05 | — | — | 0.05 | 17.86 | 37.51 | 0.91 | 0.91 | † | 0.91 | † | 1.00 | † | 902,260 | 77 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 26.19 | 0.16 | • | (9.11 | ) | (8.95 | ) | 0.38 | 3.83 | — | 4.21 | 13.03 | (41.00 | ) | 0.89 | 0.89 | † | 0.89 | † | 0.74 | † | 691,845 | 85 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 21.74 | 0.25 | • | 6.69 | 6.94 | 0.00 | * | 2.49 | — | 2.49 | 26.19 | 33.27 | 0.89 | 0.89 | † | 0.89 | † | 1.07 | † | 1,039,716 | 166 | |||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 20.35 | 0.05 | • | 4.19 | 4.24 | 0.04 | 2.81 | — | 2.85 | 21.74 | 21.41 | 0.90 | 0.90 | 0.90 | 0.23 | 540,037 | 159 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.35 | 0.06 | 0.70 | 0.76 | — | — | — | — | 22.11 | 3.56 | 1.14 | 1.04 | 1.04 | 0.45 | 29,866 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 17.74 | 0.09 | • | 3.67 | 3.76 | 0.15 | — | — | 0.15 | 21.35 | 21.46 | 1.15 | 1.05 | † | 1.05 | † | 0.51 | † | 30,537 | 45 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 12.93 | 0.12 | • | 4.70 | 4.82 | 0.01 | — | — | 0.01 | 17.74 | 37.26 | 1.16 | 1.06 | † | 1.06 | † | 0.85 | † | 28,494 | 77 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 26.01 | 0.12 | (9.04 | ) | (8.92 | ) | 0.33 | 3.83 | — | 4.16 | 12.93 | (41.09 | ) | 1.14 | 1.04 | † | 1.04 | † | 0.58 | † | 22,534 | 85 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 21.63 | 0.20 | 6.67 | 6.87 | — | 2.49 | — | 2.49 | 26.01 | 33.09 | 1.14 | 1.04 | † | 1.04 | † | 0.85 | † | 41,174 | 166 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 20.28 | 0.02 | • | 4.16 | 4.18 | 0.02 | 2.81 | — | 2.83 | 21.63 | 21.19 | 1.15 | 1.05 | 1.05 | 0.08 | 31,793 | 159 | |||||||||||||||||||||||||||||||||||||||||||||||
ING Invesco Van Kampen Growth and Income Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.62 | 0.10 | • | 0.82 | 0.92 | — | — | — | — | 22.54 | 4.26 | 1.39 | 1.24 | 1.24 | 0.93 | 10,502 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 19.33 | 0.16 | • | 2.18 | 2.34 | 0.05 | — | — | 0.05 | 21.62 | 12.14 | 1.40 | 1.25 | † | 1.24 | † | 0.80 | † | 7,565 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 15.80 | 0.17 | • | 3.55 | 3.72 | 0.19 | — | — | 0.19 | 19.33 | 23.57 | 1.41 | 1.26 | † | 1.26 | † | 1.03 | † | 2,692 | 52 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 26.40 | 0.32 | • | (8.51 | ) | (8.19 | ) | 0.41 | 2.00 | — | 2.41 | 15.80 | (32.49 | ) | 1.40 | 1.25 | 1.25 | 1.48 | 1,886 | 43 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 27.87 | 0.32 | • | 0.43 | 0.75 | 0.35 | 1.87 | — | 2.22 | 26.40 | 2.20 | 1.39 | 1.24 | 1.24 | 1.14 | 5,264 | 25 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 26.86 | 0.33 | • | 3.53 | 3.86 | 0.38 | 2.47 | — | 2.85 | 27.87 | 15.59 | 1.40 | 1.25 | 1.24 | 1.22 | 8,391 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.63 | 0.17 | • | 0.82 | 0.99 | — | — | — | — | 22.62 | 4.58 | 0.64 | 0.64 | 0.64 | 1.50 | 8,167 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 19.23 | 0.28 | • | 2.17 | 2.45 | 0.05 | — | — | 0.05 | 21.63 | 12.78 | 0.65 | 0.65 | † | 0.64 | † | 1.40 | † | 20,244 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 15.69 | 0.27 | 3.54 | 3.81 | 0.27 | — | — | 0.27 | 19.23 | 24.30 | 0.66 | 0.66 | † | 0.66 | † | 1.67 | † | 16,614 | 52 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 26.82 | 0.45 | • | (8.59 | ) | (8.14 | ) | 0.99 | 2.00 | — | 2.99 | 15.69 | (32.08 | ) | 0.65 | 0.65 | 0.65 | 2.11 | 12,953 | 43 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 28.24 | 0.49 | • | 0.46 | 0.95 | 0.50 | 1.87 | — | 2.37 | 26.82 | 2.87 | 0.64 | 0.64 | 0.64 | 1.72 | 13,860 | 25 | |||||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4)–12-31-06 | 28.61 | 0.31 | • | 2.19 | 2.50 | 0.40 | 2.47 | — | 2.87 | 28.24 | 9.90 | 0.65 | 0.65 | 0.65 | 1.73 | 13,217 | 30 |
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 | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3) | | Expenses net of fee waivers and/or recoupments, if any(2)(3) | | Expenses net of all reductions/ additions(2)(3) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||
Year or period ended | | ($) | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||
ING Invesco Van Kampen Growth and Income Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.70 | 0.14 | • | 0.83 | 0.97 | — | — | — | — | 22.67 | 4.47 | 0.89 | 0.89 | 0.89 | 1.26 | 546,779 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 19.34 | 0.23 | • | 2.18 | 2.41 | 0.05 | — | — | 0.05 | 21.70 | 12.50 | 0.90 | 0.90 | † | 0.89 | † | 1.16 | † | 559,031 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 15.78 | 0.23 | • | 3.56 | 3.79 | 0.23 | — | — | 0.23 | 19.34 | 24.02 | 0.91 | 0.91 | † | 0.91 | † | 1.43 | † | 570,662 | 52 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 26.84 | 0.45 | (8.66 | ) | (8.21 | ) | 0.85 | 2.00 | — | 2.85 | 15.78 | (32.26 | ) | 0.90 | 0.90 | 0.90 | 1.86 | 499,353 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 28.27 | 0.42 | • | 0.45 | 0.87 | 0.43 | 1.87 | — | 2.30 | 26.84 | 2.59 | 0.89 | 0.88 | 0.88 | 1.49 | 857,470 | 25 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 27.07 | 0.42 | • | 3.58 | 4.00 | 0.33 | 2.47 | — | 2.80 | 28.27 | 15.99 | 0.90 | 0.90 | 0.89 | 1.56 | 976,161 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.58 | 0.12 | • | 0.82 | 0.94 | — | — | — | — | 22.52 | 4.36 | 1.14 | 1.04 | 1.04 | 1.11 | 51,187 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 19.26 | 0.20 | • | 2.17 | 2.37 | 0.05 | — | — | 0.05 | 21.58 | 12.34 | 1.15 | 1.05 | † | 1.04 | † | 1.01 | † | 52,679 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 15.72 | 0.21 | • | 3.53 | 3.74 | 0.20 | — | — | 0.20 | 19.26 | 23.83 | 1.16 | 1.06 | † | 1.06 | † | 1.28 | † | 51,397 | 52 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 26.69 | 0.41 | (8.60 | ) | (8.19 | ) | 0.78 | 2.00 | — | 2.78 | 15.72 | (32.36 | ) | 1.15 | 1.05 | 1.05 | 1.71 | 44,674 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 28.13 | 0.37 | • | 0.45 | 0.82 | 0.39 | 1.87 | — | 2.26 | 26.69 | 2.43 | 1.14 | 1.04 | 1.04 | 1.32 | 77,135 | 25 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 26.96 | 0.38 | • | 3.56 | 3.94 | 0.30 | 2.47 | — | 2.77 | 28.13 | 15.81 | 1.15 | 1.05 | 1.04 | 1.40 | 80,628 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||
ING Janus Contrarian Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.81 | 0.03 | (0.25 | ) | (0.22 | ) | — | — | — | — | 11.59 | (1.86 | ) | 1.54 | 1.39 | 1.36 | 0.40 | 689 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.40 | (0.02 | ) | 1.43 | 1.41 | — | — | — | — | 11.81 | 13.56 | 1.54 | 1.39 | 1.38 | (0.18 | ) | 779 | 111 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.70 | (0.00 | )* | 2.76 | 2.76 | 0.06 | — | — | 0.06 | 10.40 | 36.05 | 1.54 | 1.38 | 1.36 | (0.12 | ) | 805 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.58 | (0.05 | )• | (7.86 | ) | (7.91 | ) | 0.11 | 1.86 | — | 1.97 | 7.70 | (49.18 | ) | 1.50 | 1.34 | 1.33 | (0.46 | ) | 501 | 48 | |||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.81 | 0.00 | •,* | 3.07 | 3.07 | — | 0.30 | — | 0.30 | 17.58 | 20.80 | 1.49 | 1.34 | 1.32 | 0.01 | 2 | 112 | |||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4)–12-31-06 | 14.81 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 14.81 | — | 1.53 | 1.38 | 1.38 | (1.38 | ) | 1 | 34 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 12.12 | 0.06 | (0.24 | ) | (0.18 | ) | — | — | — | — | 11.94 | (1.49 | ) | 0.79 | 0.79 | 0.76 | 1.02 | 18,052 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.60 | 0.05 | 1.47 | 1.52 | — | — | — | — | 12.12 | 14.34 | 0.79 | 0.79 | 0.78 | 0.44 | 18,196 | 111 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.84 | (0.06 | ) | 2.91 | 2.85 | 0.09 | — | — | 0.09 | 10.60 | 36.55 | 0.79 | 0.78 | 0.76 | 0.82 | 15,845 | 99 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.75 | 0.11 | • | (8.05 | ) | (7.94 | ) | 0.11 | 1.86 | — | 1.97 | 7.84 | (48.85 | ) | 0.75 | 0.74 | 0.73 | 0.92 | 156,515 | 48 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.89 | 0.09 | 3.07 | 3.16 | — | 0.30 | — | 0.30 | 17.75 | 21.30 | 0.74 | 0.74 | 0.72 | 0.67 | 2 | 112 | ||||||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4)–12-31-06 | 13.88 | 0.09 | • | 1.58 | 1.67 | 0.08 | 0.58 | — | 0.66 | 14.89 | 12.85 | 0.78 | 0.78 | 0.78 | 0.72 | 1 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 12.07 | 0.05 | (0.25 | ) | (0.20 | ) | — | — | — | — | 11.87 | (1.66 | ) | 1.04 | 1.04 | 1.01 | 0.75 | 459,318 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.59 | 0.02 | 1.46 | 1.48 | — | — | — | — | 12.07 | 13.98 | 1.04 | 1.04 | 1.03 | 0.20 | 515,937 | 111 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.81 | 0.02 | 2.81 | 2.83 | 0.05 | — | — | 0.05 | 10.59 | 36.44 | 1.04 | 1.03 | 1.01 | 0.24 | 525,708 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.70 | 0.08 | (8.03 | ) | (7.95 | ) | 0.08 | 1.86 | — | 1.94 | 7.81 | (48.98 | ) | 1.00 | 0.99 | 0.98 | �� | 0.66 | 447,678 | 48 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.90 | 0.06 | • | 3.04 | 3.10 | — | 0.30 | — | 0.30 | 17.70 | 20.88 | 0.99 | 0.99 | 0.97 | 0.34 | 810,064 | 112 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 12.72 | 0.07 | • | 2.75 | 2.82 | 0.06 | 0.58 | — | 0.64 | 14.90 | 23.04 | 1.03 | 1.03 | 1.03 | 0.51 | 150,930 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.97 | 0.04 | (0.24 | ) | (0.20 | ) | — | — | — | — | 11.77 | (1.67 | ) | 1.29 | 1.19 | 1.16 | 0.60 | 20,580 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.52 | 0.00 | * | 1.45 | 1.45 | — | — | — | — | 11.97 | 13.78 | 1.29 | 1.19 | 1.18 | 0.04 | 22,497 | 111 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.75 | 0.01 | 2.79 | 2.80 | 0.03 | — | — | 0.03 | 10.52 | 36.20 | 1.29 | 1.18 | 1.16 | 0.08 | 21,864 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.58 | 0.07 | (7.99 | ) | (7.92 | ) | 0.05 | 1.86 | — | 1.91 | 7.75 | (49.07 | ) | 1.25 | 1.14 | 1.13 | 0.53 | 18,751 | 48 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.81 | 0.02 | 3.05 | 3.07 | — | 0.30 | — | 0.30 | 17.58 | 20.81 | 1.24 | 1.14 | 1.12 | 0.19 | 39,409 | 112 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 12.66 | 0.05 | 2.73 | 2.78 | 0.05 | 0.58 | — | 0.63 | 14.81 | 22.81 | 1.28 | 1.18 | 1.18 | 0.37 | 7,238 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||
ING JPMorgan Emerging Markets Equity Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 22.36 | 0.07 | • | (0.11 | ) | (0.04 | ) | — | — | — | — | 22.32 | (0.18 | ) | 2.00 | 1.85 | 1.85 | 0.61 | 35,253 | 6 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 20.00 | (0.05 | ) | 3.75 | 3.70 | 0.12 | 1.22 | — | 1.34 | 22.36 | 19.87 | 2.01 | 1.86 | 1.86 | (0.29 | ) | 26,579 | 13 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.80 | 0.01 | 8.32 | 8.33 | 0.13 | — | — | 0.13 | 20.00 | 70.91 | 2.01 | 1.86 | 1.86 | 0.15 | 4,140 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 26.43 | 0.25 | • | (13.17 | ) | (12.92 | ) | 0.48 | 1.23 | — | 1.71 | 11.80 | (51.46 | ) | 2.00 | 1.85 | 1.85 | 1.27 | 2,318 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 19.42 | (0.00 | )•,* | 7.33 | 7.33 | 0.27 | 0.05 | — | 0.32 | 26.43 | 38.02 | 2.00 | 1.85 | 1.85 | (0.00 | )* | 5,040 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||
03-23-06(4)–12-31-06 | 15.99 | (0.02 | ) | 3.75 | 3.73 | 0.11 | 0.19 | — | 0.30 | 19.42 | 23.74 | 2.01 | 1.86 | 1.86 | (0.36 | ) | 431 | 5 |
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 | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3) | | Expenses net of fee waivers and/or recoupments, if any(2)(3) | | Expenses net of all reductions/ additions(2)(3) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||
ING JPMorgan Emerging Markets Equity Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 22.92 | 0.13 | • | (0.12 | ) | 0.01 | — | — | — | — | 22.93 | 0.04 | 1.25 | 1.25 | 1.25 | 1.21 | 346,963 | 6 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 20.38 | 0.09 | 3.83 | 3.92 | 0.16 | 1.22 | — | 1.38 | 22.92 | 20.63 | 1.26 | 1.26 | 1.26 | 0.46 | 261,290 | 13 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 12.03 | 0.13 | • | 8.48 | 8.61 | 0.26 | — | — | 0.26 | 20.38 | 72.16 | 1.26 | 1.26 | 1.26 | 0.86 | 202,720 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 26.85 | 0.36 | • | (13.40 | ) | (13.04 | ) | 0.55 | 1.23 | — | 1.78 | 12.03 | (51.21 | ) | 1.25 | 1.25 | 1.25 | 1.86 | 203,797 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 19.61 | 0.16 | • | 7.40 | 7.56 | 0.27 | 0.05 | — | 0.32 | 26.85 | 38.86 | 1.25 | 1.25 | 1.25 | 0.72 | 333,429 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 14.67 | 0.12 | • | 5.12 | 5.24 | 0.11 | 0.19 | — | 0.30 | 19.61 | 36.18 | 1.26 | 1.26 | 1.26 | 0.72 | 193,413 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 22.85 | 0.10 | (0.11 | ) | (0.01 | ) | — | — | — | — | 22.84 | (0.04 | ) | 1.50 | 1.50 | 1.50 | 0.88 | 743,862 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 20.33 | 0.06 | 3.79 | 3.85 | 0.11 | 1.22 | — | 1.33 | 22.85 | 20.29 | 1.51 | 1.51 | 1.51 | 0.22 | 764,106 | 13 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 12.00 | 0.08 | • | 8.46 | 8.54 | 0.21 | — | — | 0.21 | 20.33 | 71.70 | 1.51 | 1.51 | 1.51 | 0.52 | 786,256 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 26.79 | 0.32 | • | (13.38 | ) | (13.06 | ) | 0.50 | 1.23 | — | 1.73 | 12.00 | (51.32 | ) | 1.50 | 1.50 | 1.50 | 1.61 | 464,609 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 19.58 | 0.10 | • | 7.39 | 7.49 | 0.23 | 0.05 | — | 0.28 | 26.79 | 38.53 | 1.50 | 1.50 | 1.50 | 0.45 | 974,312 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 14.67 | 0.10 | 5.09 | 5.19 | 0.09 | 0.19 | — | 0.28 | 19.58 | 35.79 | 1.51 | 1.51 | 1.51 | 0.69 | 556,576 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 22.68 | 0.09 | (0.12 | ) | (0.03 | ) | — | — | — | — | 22.65 | (0.13 | ) | 1.75 | 1.65 | 1.65 | 0.73 | 33,555 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 20.19 | 0.02 | 3.78 | 3.80 | 0.09 | 1.22 | — | 1.31 | 22.68 | 20.15 | 1.76 | 1.66 | 1.66 | 0.06 | 35,523 | 13 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.92 | 0.06 | 8.39 | 8.45 | 0.18 | — | — | 0.18 | 20.19 | 71.27 | 1.76 | 1.66 | 1.66 | 0.37 | 33,343 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 26.59 | 0.30 | • | (13.29 | ) | (12.99 | ) | 0.45 | 1.23 | — | 1.68 | 11.92 | (51.37 | ) | 1.75 | 1.65 | 1.65 | 1.48 | 20,682 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 19.45 | 0.08 | 7.32 | 7.40 | 0.21 | 0.05 | — | 0.26 | 26.59 | 38.29 | 1.75 | 1.65 | 1.65 | 0.34 | 47,835 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 14.58 | 0.08 | • | 5.06 | 5.14 | 0.08 | 0.19 | — | 0.27 | 19.45 | 35.68 | 1.76 | 1.66 | 1.66 | 0.50 | 35,282 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||
ING Liquid Assets Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | — | — | — | 1.00 | 0.01 | 0.27 | 0.27 | 0.27 | 0.02 | 121,033 | — | |||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | — | 0.00 | * | 1.00 | 0.06 | 0.27 | 0.27 | 0.27 | 0.06 | 129,360 | — | ||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | — | 0.00 | * | 1.00 | 0.52 | 0.29 | 0.29 | 0.29 | 0.31 | 153,190 | — | ||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 1.00 | 0.03 | 0.00 | * | 0.03 | 0.03 | — | — | 0.03 | 1.00 | 2.70 | 0.28 | 0.28 | 0.28 | 2.64 | 204,155 | — | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 1.00 | 0.05 | (0.00 | )* | 0.05 | 0.05 | — | — | 0.05 | 1.00 | 5.22 | 0.28 | 0.28 | 0.28 | 5.10 | 184,187 | — | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 1.00 | 0.05 | — | 0.05 | 0.05 | — | — | 0.05 | 1.00 | 4.93 | 0.29 | 0.29 | 0.29 | 4.89 | 204,662 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | — | — | — | 1.00 | 0.00 | 0.52 | 0.29 | 0.29 | 0.00 | 1,034,928 | — | |||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 1.00 | (0.00 | )* | 0.00 | * | 0.00 | * | — | 0.00 | * | — | 0.00 | * | 1.00 | 0.00 | 0.52 | 0.33 | 0.33 | 0.00 | * | 1,157,898 | — | ||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | — | 0.00 | * | 1.00 | 0.31 | 0.54 | 0.51 | 0.51 | 0.10 | 1,610,786 | — | ||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 1.00 | 0.02 | 0.00 | * | 0.02 | 0.02 | — | 0.02 | 1.00 | 2.44 | 0.53 | 0.53 | 0.53 | 2.28 | 2,461,486 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 1.00 | 0.05 | 0.00 | * | 0.05 | 0.05 | — | — | 0.05 | 1.00 | 4.96 | 0.53 | 0.53 | 0.53 | 4.85 | 1,136,300 | — | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 1.00 | 0.05 | — | 0.05 | 0.05 | — | — | 0.05 | 1.00 | 4.67 | 0.54 | 0.54 | 0.54 | 4.60 | 767,059 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | — | — | — | 1.00 | 0.00 | 0.77 | 0.29 | 0.29 | 0.00 | 194,930 | — | |||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 1.00 | (0.00 | )* | 0.00 | * | 0.00 | * | — | 0.00 | * | — | 0.00 | * | 1.00 | 0.00 | 0.77 | 0.34 | 0.34 | 0.00 | * | 185,550 | — | ||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 1.00 | 0.00 | * | 0.00 | * | �� | 0.00 | * | 0.00 | * | 0.00 | * | — | 0.00 | * | 1.00 | 0.27 | 0.79 | 0.55 | 0.55 | 0.05 | 134,392 | — | |||||||||||||||||||||||||||||||||||||||||
12-31-08 | 1.00 | 0.02 | 0.00 | * | 0.02 | 0.02 | — | — | 0.02 | 1.00 | 2.29 | 0.78 | 0.68 | 0.68 | 2.06 | 171,930 | — | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 1.00 | 0.05 | — | 0.05 | 0.05 | — | — | 0.05 | 1.00 | 4.80 | 0.78 | 0.68 | 0.68 | 4.70 | 55,304 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 1.00 | 0.05 | — | 0.05 | 0.05 | — | — | 0.05 | 1.00 | 4.51 | 0.79 | 0.69 | 0.69 | 4.48 | 20,509 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
ING Marsico Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 17.00 | (0.00 | )* | 0.97 | 0.97 | — | — | — | — | 17.97 | 5.71 | 1.56 | 1.41 | 1.41 | (0.18 | ) | 6,456 | 35 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 14.29 | (0.01 | )• | 2.77 | 2.76 | 0.05 | — | — | 0.05 | 17.00 | 19.35 | 1.56 | 1.41 | † | 1.41 | † | (0.10 | )† | 8,140 | 79 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.11 | 0.02 | • | 3.16 | 3.18 | 0.00 | * | — | — | 0.00 | * | 14.29 | 28.63 | 1.56 | 1.41 | † | 1.41 | † | 0.19 | † | 4,313 | 74 | ||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.68 | 0.04 | • | (7.61 | ) | (7.57 | ) | — | — | — | — | 11.11 | (40.52 | ) | 1.53 | 1.38 | † | 1.38 | † | 0.24 | † | 3,818 | 76 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 16.42 | 0.06 | 2.20 | 2.26 | — | — | — | — | 18.68 | 13.76 | 1.52 | 1.37 | 1.37 | 0.34 | 14,649 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 15.70 | (0.04 | ) | 0.76 | 0.72 | — | — | — | — | 16.42 | 4.59 | 1.52 | 1.37 | 1.36 | (0.34 | ) | 11,394 | 64 |
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 | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3) | | Expenses net of fee waivers and/or recoupments, if any(2)(3) | | Expenses net of all reductions/ additions(2)(3) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||
ING Marsico Growth Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 17.29 | 0.04 | 1.01 | 1.05 | — | — | — | — | 18.34 | 6.07 | 0.81 | 0.81 | 0.81 | 0.43 | 183,767 | 35 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 14.51 | 0.08 | 2.82 | 2.90 | 0.12 | — | — | 0.12 | 17.29 | 20.13 | 0.81 | 0.81 | † | 0.81 | † | 0.47 | † | 188,224 | 79 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.36 | 0.10 | • | 3.20 | 3.30 | 0.15 | — | — | 0.15 | 14.51 | 29.30 | 0.81 | 0.81 | † | 0.81 | † | 0.80 | † | 182,448 | 74 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 19.14 | 0.15 | • | (7.80 | ) | (7.65 | ) | 0.13 | — | — | 0.13 | 11.36 | (40.16 | ) | 0.78 | 0.78 | † | 0.78 | † | 0.95 | † | 249,020 | 76 | |||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 16.73 | 0.17 | • | 2.24 | 2.41 | 0.00 | * | — | — | 0.00 | * | 19.14 | 14.43 | 0.77 | 0.77 | 0.77 | 0.96 | 145,442 | 51 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 15.90 | 0.05 | • | 0.78 | 0.83 | — | — | — | — | 16.73 | 5.22 | 0.77 | 0.77 | 0.76 | 0.30 | 75,920 | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 17.12 | 0.02 | 0.99 | 1.01 | — | — | — | — | 18.13 | 5.90 | 1.06 | 1.06 | 1.06 | 0.18 | 581,051 | 35 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 14.37 | 0.04 | 2.79 | 2.83 | 0.08 | — | — | 0.08 | 17.12 | 19.83 | 1.06 | 1.06 | † | 1.06 | † | 0.22 | † | 609,780 | 79 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.24 | 0.07 | 3.17 | 3.24 | 0.11 | — | — | 0.11 | 14.37 | 29.00 | 1.06 | 1.06 | † | 1.06 | † | 0.54 | † | 546,201 | 74 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.93 | 0.11 | (7.72 | ) | (7.61 | ) | 0.08 | — | — | 0.08 | 11.24 | (40.31 | ) | 1.03 | 1.03 | † | 1.03 | † | 0.65 | † | 455,225 | 76 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 16.58 | 0.12 | 2.23 | 2.35 | — | — | — | — | 18.93 | 14.17 | 1.02 | 1.02 | 1.02 | 0.64 | 833,885 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 15.80 | (0.00 | )* | 0.78 | 0.78 | — | — | — | — | 16.58 | 4.94 | 1.02 | 1.02 | 1.01 | (0.00 | )* | 801,219 | 64 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 17.00 | 0.01 | 0.99 | 1.00 | — | — | — | — | 18.00 | 5.88 | 1.31 | 1.21 | 1.21 | 0.03 | 18,815 | 35 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 14.28 | 0.02 | 2.76 | 2.78 | 0.06 | — | — | 0.06 | 17.00 | 19.58 | 1.31 | 1.21 | † | 1.21 | † | 0.07 | † | 18,825 | 79 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.16 | 0.05 | 3.16 | 3.21 | 0.09 | — | — | 0.09 | 14.28 | 28.88 | 1.31 | 1.21 | † | 1.21 | † | 0.39 | † | 17,478 | 74 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.79 | 0.08 | • | (7.66 | ) | (7.58 | ) | 0.05 | — | — | 0.05 | 11.16 | (40.42 | ) | 1.28 | 1.18 | † | 1.18 | † | 0.49 | † | 14,280 | 76 | |||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 16.48 | 0.09 | 2.22 | 2.31 | — | — | — | — | 18.79 | 14.02 | 1.27 | 1.17 | 1.17 | 0.49 | 26,473 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 15.73 | (0.02 | ) | 0.77 | 0.75 | — | — | — | — | 16.48 | 4.77 | 1.27 | 1.17 | 1.16 | (0.15 | ) | 24,805 | 64 | ||||||||||||||||||||||||||||||||||||||||||||||||
ING MFS Total Return Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 14.92 | 0.13 | • | 0.46 | 0.59 | — | — | — | — | 15.51 | 3.95 | 1.45 | 1.30 | 1.30 | 1.76 | 4,968 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 13.69 | 0.25 | • | 1.04 | 1.29 | 0.06 | — | — | 0.06 | 14.92 | 9.49 | 1.45 | 1.30 | 1.29 | 1.78 | 4,361 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.90 | 0.29 | 1.79 | 2.08 | 0.29 | — | — | 0.29 | 13.69 | 17.48 | 1.45 | 1.30 | 1.29 | 2.39 | 2,184 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.99 | 0.37 | • | (4.17 | ) | (3.80 | ) | 0.68 | 1.61 | — | 2.29 | 11.90 | (22.63 | ) | 1.41 | 1.26 | 1.25 | 2.40 | 1,960 | 59 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 18.78 | 0.40 | 0.31 | 0.71 | 0.48 | 1.02 | — | 1.50 | 17.99 | 3.61 | 1.39 | 1.24 | 1.23 | 2.12 | 6,428 | 60 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 18.05 | 0.40 | • | 1.57 | 1.97 | 0.40 | 0.84 | — | 1.24 | 18.78 | 11.55 | 1.39 | 1.24 | 1.23 | 2.28 | 6,428 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 14.98 | 0.18 | • | 0.46 | 0.64 | — | — | — | — | 15.62 | 4.27 | 0.70 | 0.70 | 0.70 | 2.34 | 119,491 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 13.66 | 0.34 | • | 1.04 | 1.38 | 0.06 | — | — | 0.06 | 14.98 | 10.17 | 0.70 | 0.70 | 0.69 | 2.39 | 122,406 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.87 | 0.37 | • | 1.78 | 2.15 | 0.36 | — | — | 0.36 | 13.66 | 18.14 | 0.70 | 0.70 | 0.69 | 3.00 | 127,025 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.26 | 0.48 | • | (4.23 | ) | (3.75 | ) | 1.03 | 1.61 | — | 2.64 | 11.87 | (22.17 | ) | 0.66 | 0.66 | 0.65 | 3.06 | 121,270 | 59 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 19.03 | 0.51 | 0.34 | 0.85 | 0.60 | 1.02 | — | 1.62 | 18.26 | 4.27 | 0.64 | 0.64 | 0.63 | 2.75 | 200,345 | 60 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 18.26 | 0.53 | • | 1.57 | 2.10 | 0.49 | 0.84 | — | 1.33 | 19.03 | 12.22 | 0.64 | 0.64 | 0.63 | 2.86 | 151,940 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 14.98 | 0.16 | • | 0.46 | 0.62 | — | — | — | — | 15.60 | 4.14 | 0.95 | 0.95 | 0.95 | 2.09 | 813,716 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 13.70 | 0.30 | • | 1.04 | 1.34 | 0.06 | — | — | 0.06 | 14.98 | 9.85 | 0.95 | 0.95 | 0.94 | 2.14 | 847,131 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.90 | 0.34 | • | 1.79 | 2.13 | 0.33 | — | — | 0.33 | 13.70 | 17.91 | 0.95 | 0.95 | 0.94 | 2.74 | 904,853 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.23 | 0.44 | • | (4.22 | ) | (3.78 | ) | 0.94 | 1.61 | — | 2.55 | 11.90 | (22.35 | ) | 0.91 | 0.91 | 0.90 | 2.82 | 836,604 | 59 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 19.00 | 0.47 | • | 0.33 | 0.80 | 0.55 | 1.02 | — | 1.57 | 18.23 | 4.01 | 0.89 | 0.89 | 0.88 | 2.47 | 1,265,296 | 60 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 18.23 | 0.48 | • | 1.57 | 2.05 | 0.44 | 0.84 | — | 1.28 | 19.00 | 11.93 | 0.89 | 0.89 | 0.88 | 2.62 | 1,400,960 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 14.85 | 0.15 | • | 0.45 | 0.60 | — | — | — | — | 15.45 | 4.04 | 1.20 | 1.10 | 1.10 | 1.94 | 35,050 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 13.60 | 0.28 | • | 1.03 | 1.31 | 0.06 | — | — | 0.06 | 14.85 | 9.70 | 1.20 | 1.10 | 1.09 | 1.99 | 35,158 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.82 | 0.32 | • | 1.77 | 2.09 | 0.31 | — | — | 0.31 | 13.60 | 17.69 | 1.20 | 1.10 | 1.09 | 2.60 | 35,301 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.08 | 0.41 | • | (4.18 | ) | (3.77 | ) | 0.88 | 1.61 | — | 2.49 | 11.82 | (22.44 | ) | 1.16 | 1.06 | 1.05 | 2.67 | 33,529 | 59 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 18.87 | 0.45 | 0.31 | 0.76 | 0.53 | 1.02 | — | 1.55 | 18.08 | 3.82 | 1.14 | 1.04 | 1.03 | 2.32 | 51,016 | 60 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 18.12 | 0.45 | 1.56 | 2.01 | 0.42 | 0.84 | — | 1.26 | 18.87 | 11.79 | 1.14 | 1.04 | 1.03 | 2.48 | 54,492 | 44 |
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 | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3) | | Expenses net of fee waivers and/or recoupments, if any(2)(3) | | Expenses net of all reductions/ additions(2)(3) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||
Year or period ended | | ($) | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||
ING MFS Utilities Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 13.22 | 0.30 | • | 1.07 | 1.37 | — | — | — | — | 14.59 | 10.36 | 1.52 | 1.37 | 1.36 | 4.28 | 13,591 | 26 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.97 | 0.35 | • | 1.24 | 1.59 | 0.34 | — | — | 0.34 | 13.22 | 13.29 | 1.52 | 1.37 | 1.36 | 2.79 | 5,970 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.49 | 0.48 | • | 2.57 | 3.05 | 0.55 | — | 0.02 | 0.57 | 11.97 | 32.35 | 1.55 | 1.40 | 1.38 | 4.61 | 658 | 71 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.74 | 0.30 | (6.42 | ) | (6.12 | ) | 0.38 | 1.75 | — | 2.13 | 9.49 | (37.91 | ) | 1.53 | 1.38 | 1.36 | 2.13 | 618 | 67 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.54 | 0.29 | • | 3.59 | 3.88 | 0.14 | 0.54 | — | 0.68 | 17.74 | 26.97 | 1.52 | 1.37 | 1.34 | 1.73 | 987 | 81 | |||||||||||||||||||||||||||||||||||||||||||||||
07-18-06(4)–12-31-06 | 11.95 | 0.05 | 2.54 | 2.59 | — | — | — | — | 14.54 | 21.67 | 1.54 | 1.39 | 1.37 | 1.23 | 86 | 93 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 13.35 | 0.32 | • | 1.10 | 1.42 | — | — | — | — | 14.77 | 10.64 | 0.77 | 0.77 | 0.76 | 4.57 | 5,083 | 26 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.03 | 0.41 | • | 1.28 | 1.69 | 0.37 | — | — | 0.37 | 13.35 | 14.08 | 0.77 | 0.77 | 0.76 | 3.35 | 4,844 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.53 | 0.53 | • | 2.60 | 3.13 | 0.61 | — | 0.02 | 0.63 | 12.03 | 33.11 | 0.80 | 0.80 | 0.78 | 5.11 | 5,180 | 71 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.92 | 0.40 | • | (6.52 | ) | (6.12 | ) | 0.52 | 1.75 | — | 2.27 | 9.53 | (37.56 | ) | 0.78 | 0.78 | 0.76 | 2.73 | 4,858 | 67 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.60 | 0.37 | 3.63 | 4.00 | 0.14 | 0.54 | — | 0.68 | 17.92 | 27.72 | 0.77 | 0.77 | 0.74 | 2.24 | 9,192 | 81 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 11.22 | 0.28 | 3.18 | 3.46 | 0.02 | 0.06 | — | 0.08 | 14.60 | 31.04 | 0.79 | 0.79 | 0.77 | 2.34 | 7,489 | 93 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 13.30 | 0.30 | 1.11 | 1.41 | — | — | — | — | 14.71 | 10.60 | 1.02 | 1.02 | 1.01 | 4.33 | 564,968 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.00 | 0.38 | • | 1.26 | 1.64 | 0.34 | — | — | 0.34 | 13.30 | 13.68 | 1.02 | 1.02 | 1.01 | 3.10 | 515,667 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.51 | 0.50 | • | 2.59 | 3.09 | 0.58 | — | 0.02 | 0.60 | 12.00 | 32.80 | 1.05 | 1.05 | 1.03 | 4.75 | 493,128 | 71 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.84 | 0.36 | • | (6.48 | ) | (6.12 | ) | 0.46 | 1.75 | — | 2.21 | 9.51 | (37.70 | ) | 1.03 | 1.03 | 1.01 | 2.55 | 404,884 | 67 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.56 | 0.33 | • | 3.61 | 3.94 | 0.12 | 0.54 | — | 0.66 | 17.84 | 27.38 | 1.02 | 1.02 | 0.99 | 1.99 | 587,399 | 81 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 11.20 | 0.26 | • | 3.17 | 3.43 | 0.01 | 0.06 | — | 0.07 | 14.56 | 30.81 | 1.04 | 1.04 | 1.02 | 2.07 | 306,300 | 93 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 13.37 | 0.30 | • | 1.11 | 1.41 | — | — | — | — | 14.78 | 10.55 | 1.27 | 1.17 | 1.16 | 4.21 | 130 | 26 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.15 | 0.41 | • | 1.17 | 1.58 | 0.36 | — | — | 0.36 | 13.37 | 13.02 | 1.27 | 1.17 | 1.16 | 3.08 | 83 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.67 | 0.51 | • | 2.60 | 3.11 | 0.61 | — | 0.02 | 0.63 | 12.15 | 32.42 | 1.30 | 1.20 | 1.18 | 4.83 | 1 | 71 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.83 | 0.35 | (6.50 | ) | (6.15 | ) | 0.26 | 1.75 | — | 2.01 | 9.67 | (37.71 | ) | 1.28 | 1.18 | 1.16 | 2.42 | 1 | 67 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.54 | 0.30 | 3.67 | 3.97 | 0.14 | 0.54 | — | 0.68 | 17.83 | 27.61 | 1.27 | 1.17 | 1.14 | 1.88 | 1 | 81 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4)–12-31-06 | 14.54 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 14.54 | — | 1.29 | 1.19 | 1.17 | (1.17 | ) | 1 | 93 | |||||||||||||||||||||||||||||||||||||||||||||
ING Morgan Stanley Global Franchise Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 13.99 | 0.16 | • | 1.52 | 1.68 | — | — | — | — | 15.67 | 12.01 | 1.72 | 1.57 | 1.57 | 2.11 | 6,818 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.42 | 0.03 | • | 1.63 | 1.66 | 0.09 | — | — | 0.09 | 13.99 | 13.40 | 1.73 | 1.58 | 1.58 | 0.22 | 2,567 | 47 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10.78 | 0.15 | 2.65 | 2.80 | 0.79 | 0.37 | — | 1.16 | 12.42 | 28.15 | 1.74 | 1.59 | 1.59 | 1.29 | 1 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 16.80 | 0.30 | (4.98 | ) | (4.68 | ) | 0.22 | 1.12 | — | 1.34 | 10.78 | (28.87 | ) | 1.72 | 1.57 | 1.57 | 2.13 | 1 | 28 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15.85 | 0.23 | 1.21 | 1.44 | — | 0.49 | — | 0.49 | 16.80 | 9.11 | 1.71 | 1.56 | 1.56 | 1.44 | 1 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4)–12-31-06 | 15.85 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 15.85 | — | 1.73 | 1.58 | 1.58 | (1.58 | ) | 1 | 16 | |||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 14.24 | 0.19 | • | 1.54 | 1.73 | — | — | — | — | 15.97 | 12.15 | 1.22 | 1.22 | 1.22 | 2.60 | 349,038 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.56 | 0.23 | 1.51 | 1.74 | 0.06 | — | — | 0.06 | 14.24 | 13.89 | 1.23 | 1.23 | 1.23 | 1.79 | 331,750 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10.89 | 0.17 | • | 2.72 | 2.89 | 0.85 | 0.37 | — | 1.22 | 12.56 | 28.90 | 1.24 | 1.24 | 1.24 | 1.57 | 277,784 | 21 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 16.97 | 0.35 | (5.03 | ) | (4.68 | ) | 0.28 | 1.12 | — | 1.40 | 10.89 | (28.57 | ) | 1.22 | 1.22 | 1.22 | 2.43 | 219,215 | 28 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15.92 | 0.31 | 1.23 | 1.54 | — | 0.49 | — | 0.49 | 16.97 | 9.71 | 1.21 | 1.21 | 1.21 | 1.86 | 345,262 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.88 | 0.19 | 2.67 | 2.86 | 0.26 | 0.56 | — | 0.82 | 15.92 | 21.33 | 1.23 | 1.23 | 1.23 | 1.41 | 310,365 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 14.16 | 0.18 | • | 1.53 | 1.71 | — | — | — | — | 15.87 | 12.08 | 1.47 | 1.37 | 1.37 | 2.47 | 65,026 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.48 | 0.22 | • | 1.50 | 1.72 | 0.04 | — | — | 0.04 | 14.16 | 13.82 | 1.48 | 1.38 | 1.38 | 1.67 | 62,756 | 47 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10.83 | 0.16 | • | 2.69 | 2.85 | 0.83 | 0.37 | — | 1.20 | 12.48 | 28.58 | 1.49 | 1.39 | 1.39 | 1.46 | 60,930 | 21 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 16.87 | 0.34 | (5.01 | ) | (4.67 | ) | 0.25 | 1.12 | — | 1.37 | 10.83 | (28.66 | ) | 1.47 | 1.37 | 1.37 | 2.28 | 53,297 | 28 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15.85 | 0.29 | • | 1.22 | 1.51 | — | 0.49 | — | 0.49 | 16.87 | 9.56 | 1.46 | 1.36 | 1.36 | 1.73 | 86,796 | 26 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.83 | 0.18 | 2.65 | 2.83 | 0.25 | 0.56 | — | 0.81 | 15.85 | 21.13 | 1.48 | 1.38 | 1.38 | 1.30 | 84,086 | 16 |
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 | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3) | | Expenses net of fee waivers and/or recoupments, if any(2)(3) | | Expenses net of all reductions/ additions(2)(3) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||
Year or period ended | | ($) | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||
ING PIMCO Total Return Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.90 | 0.14 | • | 0.18 | 0.32 | — | — | — | — | 12.22 | 2.69 | 1.31 | 1.12 | 1.12 | 2.39 | 96,573 | 416 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.01 | 0.27 | • | 0.58 | 0.85 | 0.63 | 0.33 | — | 0.96 | 11.90 | 7.28 | 1.31 | 1.11 | 1.11 | 2.27 | 68,384 | 553 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.30 | 0.42 | • | 1.09 | 1.51 | 0.42 | 0.38 | — | 0.80 | 12.01 | 13.84 | 1.31 | 1.16 | 1.16 | 3.63 | 1 | 585 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 11.29 | 0.52 | • | (0.11 | ) | 0.41 | 0.30 | 0.10 | — | 0.40 | 11.30 | 3.70 | 1.31 | 1.16 | 1.16 | 4.63 | 1 | 537 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 10.82 | 0.44 | 0.43 | 0.87 | 0.40 | — | — | 0.40 | 11.29 | 8.32 | 1.32 | 1.17 | 1.17 | 4.08 | 1 | 803 | ||||||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4)–12-31-06 | 10.63 | 0.28 | • | 0.22 | 0.50 | 0.31 | — | — | 0.31 | 10.82 | 4.84 | 1.33 | 1.18 | 1.18 | 3.53 | 1 | 750 | |||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 12.21 | 0.19 | 0.18 | 0.37 | — | — | — | — | 12.58 | 3.03 | 0.56 | 0.56 | 0.56 | 2.92 | 343,753 | 416 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.21 | 0.34 | • | 0.62 | 0.96 | 0.63 | 0.33 | — | 0.96 | 12.21 | 8.09 | 0.56 | 0.55 | 0.55 | 2.72 | 323,398 | 553 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.47 | 0.52 | • | 1.09 | 1.61 | 0.49 | 0.38 | — | 0.87 | 12.21 | 14.63 | 0.56 | 0.56 | 0.56 | 4.41 | 266,881 | 585 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 11.45 | 0.59 | • | (0.09 | ) | 0.50 | 0.38 | 0.10 | — | 0.48 | 11.47 | 4.42 | 0.56 | 0.56 | 0.56 | 5.13 | 778,611 | 537 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 10.88 | 0.49 | 0.48 | 0.97 | 0.40 | — | — | 0.40 | 11.45 | 9.22 | 0.57 | 0.57 | 0.57 | 4.63 | 932,677 | 803 | ||||||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4)–12-31-06 | 10.67 | 0.30 | • | 0.22 | 0.52 | 0.31 | — | — | 0.31 | 10.88 | 5.01 | 0.58 | 0.58 | 0.58 | 4.17 | 795,704 | 750 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 12.20 | 0.16 | • | 0.20 | 0.36 | — | — | — | — | 12.56 | 2.95 | 0.81 | 0.81 | 0.81 | 2.68 | 2,967,052 | 416 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.22 | 0.31 | • | 0.61 | 0.92 | 0.61 | 0.33 | — | 0.94 | 12.20 | 7.69 | 0.81 | 0.80 | 0.80 | 2.46 | 3,064,266 | 553 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.48 | 0.47 | • | 1.12 | 1.59 | 0.47 | 0.38 | — | 0.85 | 12.22 | 14.44 | 0.81 | 0.81 | 0.81 | 3.96 | 3,044,602 | 585 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 11.47 | 0.57 | • | (0.09 | ) | 0.48 | 0.37 | 0.10 | — | 0.47 | 11.48 | 4.21 | 0.81 | 0.81 | 0.81 | 5.00 | 2,150,994 | 537 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 10.89 | 0.48 | • | 0.47 | 0.95 | 0.37 | — | — | 0.37 | 11.47 | 8.99 | 0.82 | 0.82 | 0.82 | 4.39 | 979,690 | 803 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 10.71 | 0.41 | • | 0.04 | 0.45 | 0.27 | — | — | 0.27 | 10.89 | 4.32 | 0.85 | 0.85 | 0.85 | 3.84 | 643,131 | 750 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 12.14 | 0.15 | • | 0.20 | 0.35 | — | — | — | — | 12.49 | 2.88 | 1.06 | 0.96 | 0.96 | 2.53 | 70,600 | 416 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.16 | 0.29 | • | 0.61 | 0.90 | 0.59 | 0.33 | — | 0.92 | 12.14 | 7.56 | 1.06 | 0.95 | 0.95 | 2.31 | 73,270 | 553 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 11.42 | 0.45 | • | 1.12 | 1.57 | 0.45 | 0.38 | — | 0.83 | 12.16 | 14.30 | 1.06 | 0.96 | 0.96 | 3.82 | 73,871 | 585 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 11.41 | 0.55 | • | (0.10 | ) | 0.45 | 0.34 | 0.10 | — | 0.44 | 11.42 | 4.02 | 1.06 | 0.96 | 0.96 | 4.80 | 61,402 | 537 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 10.85 | 0.46 | • | 0.46 | 0.92 | 0.36 | — | — | 0.36 | 11.41 | 8.77 | 1.07 | 0.97 | 0.97 | 4.23 | 47,666 | 803 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 10.68 | 0.40 | • | 0.04 | 0.44 | 0.27 | — | — | 0.27 | 10.85 | 4.26 | 1.10 | 1.00 | 1.00 | 3.72 | 41,980 | 750 | |||||||||||||||||||||||||||||||||||||||||||||||
ING Pioneer Mid Cap Value Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.79 | 0.03 | 0.57 | 0.60 | — | — | — | — | 11.39 | 5.56 | 1.39 | 1.24 | 1.23 | 0.58 | 4,200 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.26 | 0.07 | • | 1.54 | 1.61 | 0.08 | — | — | 0.08 | 10.79 | 17.44 | 1.39 | 1.24 | † | 1.23 | † | 0.68 | † | 3,275 | 93 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.51 | 0.08 | • | 1.78 | 1.86 | 0.11 | — | — | 0.11 | 9.26 | 24.78 | 1.40 | 1.25 | † | 1.23 | † | 1.00 | † | 462 | 95 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.22 | 0.15 | • | (4.09 | ) | (3.94 | ) | 0.11 | 0.66 | — | 0.77 | 7.51 | (33.48 | ) | 1.39 | 1.24 | † | 1.22 | † | 1.88 | † | 44 | 91 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12.30 | 0.03 | • | 0.64 | 0.67 | 0.10 | 0.65 | — | 0.75 | 12.22 | 4.91 | 1.39 | 1.24 | 1.24 | 0.26 | 1 | 65 | |||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4)–12-31-06 | 12.30 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 12.30 | — | 1.39 | 1.24 | 1.24 | (1.24 | ) | 1 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.98 | 0.06 | 0.59 | 0.65 | — | — | — | — | 11.63 | 5.92 | 0.64 | 0.64 | 0.63 | 1.19 | 354,789 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.39 | 0.11 | 1.60 | 1.71 | 0.12 | — | — | 0.12 | 10.98 | 18.20 | 0.64 | 0.64 | † | 0.63 | † | 1.15 | † | 285,618 | 93 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.59 | 0.12 | • | 1.81 | 1.93 | 0.13 | — | — | 0.13 | 9.39 | 25.39 | 0.65 | 0.65 | † | 0.63 | † | 1.51 | † | 237,581 | 95 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.37 | 0.15 | • | (4.05 | ) | (3.90 | ) | 0.22 | 0.66 | — | 0.88 | 7.59 | (32.90 | ) | 0.64 | 0.64 | † | 0.62 | † | 1.47 | † | 311,831 | 91 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12.35 | 0.14 | • | 0.63 | 0.77 | 0.10 | 0.65 | — | 0.75 | 12.37 | 5.72 | 0.64 | 0.64 | 0.64 | 1.08 | 356,457 | 65 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 11.02 | 0.12 | 1.27 | 1.39 | 0.03 | 0.03 | — | 0.06 | 12.35 | 12.70 | 0.64 | 0.64 | 0.64 | 1.02 | 135,708 | 109 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.97 | 0.06 | 0.57 | 0.63 | — | — | — | — | 11.60 | 5.74 | 0.89 | 0.89 | 0.88 | 0.90 | 583,911 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.38 | 0.09 | 1.59 | 1.68 | 0.09 | — | — | 0.09 | 10.97 | 17.94 | 0.89 | 0.89 | † | 0.88 | † | 0.88 | † | 595,335 | 93 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.58 | 0.10 | 1.81 | 1.91 | 0.11 | — | — | 0.11 | 9.38 | 25.15 | 0.90 | 0.90 | † | 0.88 | † | 1.23 | † | 582,243 | 95 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.32 | 0.12 | • | (4.04 | ) | (3.92 | ) | 0.16 | 0.66 | — | 0.82 | 7.58 | (33.12 | ) | 0.89 | 0.89 | † | 0.87 | † | 1.22 | † | 506,336 | 91 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12.30 | 0.09 | 0.65 | 0.74 | 0.07 | 0.65 | — | 0.72 | 12.32 | 5.52 | 0.89 | 0.89 | 0.89 | 0.70 | 656,802 | 65 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 11.00 | 0.08 | 1.27 | 1.35 | 0.02 | 0.03 | — | 0.05 | 12.30 | 12.35 | 0.89 | 0.89 | 0.89 | 0.69 | 632,504 | 109 |
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 | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3) | | Expenses net of fee waivers and/or recoupments, if any(2)(3) | | Expenses net of all reductions/ additions(2)(3) | | Net investment ncome (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||
ING Pioneer Mid Cap Value Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.08 | 0.06 | • | 0.56 | 0.62 | — | — | — | — | 11.70 | 5.60 | 1.14 | 1.04 | 1.03 | 1.01 | 44 | 42 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.48 | 0.08 | 1.57 | 1.65 | 0.05 | — | — | 0.05 | 11.08 | 17.42 | 1.14 | 1.04 | † | 1.03 | † | 0.77 | † | 1 | 93 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.65 | 0.10 | 1.83 | 1.93 | 0.10 | — | — | 0.10 | 9.48 | 25.24 | 1.15 | 1.05 | † | 1.03 | † | 1.17 | † | 1 | 95 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.26 | 0.11 | • | (4.05 | ) | (3.94 | ) | 0.01 | 0.66 | — | 0.67 | 7.65 | (33.38 | ) | 1.14 | 1.04 | † | 1.02 | † | 1.03 | † | 1 | 91 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12.30 | 0.08 | 0.63 | 0.71 | 0.10 | 0.65 | — | 0.75 | 12.26 | 5.25 | 1.14 | 1.04 | 1.04 | 0.64 | 1 | 65 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4)–12-31-06 | 12.30 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 12.30 | — | 1.14 | 1.04 | 1.04 | (1.04 | ) | 1 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
ING T. Rowe Price Capital Appreciation Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 22.26 | 0.15 | • | 1.15 | 1.30 | — | — | — | — | 23.56 | 5.84 | 1.39 | 1.24 | 1.24 | 1.30 | 124,497 | 42 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 19.88 | 0.27 | • | 2.43 | 2.70 | 0.32 | — | — | 0.32 | 22.26 | 13.63 | 1.40 | 1.25 | 1.25 | 1.33 | 88,819 | 71 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 15.19 | 0.36 | • | 4.61 | 4.97 | 0.28 | — | — | 0.28 | 19.88 | 32.74 | 1.41 | 1.26 | 1.26 | 2.08 | 37,968 | 96 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 24.12 | 0.36 | • | (6.54 | ) | (6.18 | ) | 0.61 | 2.14 | — | 2.75 | 15.19 | (27.77 | ) | 1.40 | 1.25 | 1.24 | 1.70 | 34,503 | 98 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 26.11 | 0.50 | 0.67 | 1.17 | 0.46 | 2.70 | — | 3.16 | 24.12 | 4.05 | 1.39 | �� | 1.24 | 1.24 | 1.91 | 62,600 | 60 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 24.86 | 0.45 | • | 2.88 | 3.33 | 0.40 | 1.68 | — | 2.08 | 26.11 | 14.25 | 1.40 | 1.25 | 1.24 | 1.81 | 70,012 | 58 | |||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 22.65 | 0.22 | • | 1.17 | 1.39 | — | — | — | — | 24.04 | 6.14 | 0.64 | 0.64 | 0.64 | 1.89 | 468,877 | 42 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 20.18 | 0.40 | • | 2.48 | 2.88 | 0.41 | — | — | 0.41 | 22.65 | 14.31 | 0.65 | 0.65 | 0.65 | 1.90 | 454,380 | 71 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 15.40 | 0.47 | • | 4.70 | 5.17 | 0.39 | — | — | 0.39 | 20.18 | 33.57 | 0.66 | 0.66 | 0.66 | 2.65 | 306,468 | 96 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 24.74 | 0.49 | • | (6.69 | ) | (6.20 | ) | 1.00 | 2.14 | — | 3.14 | 15.40 | (27.33 | ) | 0.65 | 0.65 | 0.64 | 2.36 | 167,666 | 98 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 26.64 | 0.66 | • | 0.70 | 1.36 | 0.56 | 2.70 | — | 3.26 | 24.74 | 4.69 | 0.64 | 0.64 | 0.64 | 2.52 | 187,709 | 60 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 25.17 | 0.61 | • | 2.93 | 3.54 | 0.39 | 1.68 | — | 2.07 | 26.64 | 14.91 | 0.65 | 0.65 | 0.64 | 2.40 | 111,625 | 58 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 22.67 | 0.20 | 1.16 | 1.36 | — | — | — | — | 24.03 | 6.00 | 0.89 | 0.89 | 0.89 | 1.64 | 3,466,642 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 20.20 | 0.34 | • | 2.48 | 2.82 | 0.35 | — | — | 0.35 | 22.67 | 14.03 | 0.90 | 0.90 | 0.90 | 1.63 | 3,376,297 | 71 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 15.42 | 0.42 | 4.70 | 5.12 | 0.34 | — | — | 0.34 | 20.20 | 33.24 | 0.91 | 0.91 | 0.91 | 2.43 | 3,140,972 | 96 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 24.69 | 0.44 | • | (6.67 | ) | (6.23 | ) | 0.90 | 2.14 | — | 3.04 | 15.42 | (27.51 | ) | 0.90 | 0.90 | 0.89 | 2.10 | 2,376,765 | 98 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 26.61 | 0.59 | • | 0.69 | 1.28 | 0.50 | 2.70 | — | 3.20 | 24.69 | 4.39 | 0.89 | 0.89 | 0.89 | 2.26 | 3,159,850 | 60 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 25.13 | 0.55 | • | 2.92 | 3.47 | 0.31 | 1.68 | — | 1.99 | 26.61 | 14.64 | 0.90 | 0.90 | 0.89 | 2.15 | 2,843,235 | 58 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 22.58 | 0.17 | • | 1.16 | 1.33 | — | — | — | — | 23.91 | 5.89 | 1.14 | 1.04 | 1.04 | 1.49 | 85,186 | 42 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 20.12 | 0.31 | • | 2.47 | 2.78 | 0.32 | — | — | 0.32 | 22.58 | 13.86 | 1.15 | 1.05 | 1.05 | 1.47 | 85,201 | 71 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 15.36 | 0.40 | • | 4.67 | 5.07 | 0.31 | — | — | 0.31 | 20.12 | 33.05 | 1.16 | 1.06 | 1.06 | 2.30 | 84,840 | 96 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 24.54 | 0.41 | • | (6.64 | ) | (6.23 | ) | 0.81 | 2.14 | — | 2.95 | 15.36 | (27.64 | ) | 1.15 | 1.05 | 1.04 | 1.93 | 70,744 | 98 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 26.46 | 0.55 | • | 0.69 | 1.24 | 0.46 | 2.70 | — | 3.16 | 24.54 | 4.27 | 1.14 | 1.04 | 1.04 | 2.10 | 113,774 | 60 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 25.03 | 0.51 | • | 2.90 | 3.41 | 0.30 | 1.68 | — | 1.98 | 26.46 | 14.45 | 1.15 | 1.05 | 1.04 | 2.00 | 115,617 | 58 | |||||||||||||||||||||||||||||||||||||||||||||||
ING T. Rowe Price Equity Income Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.68 | 0.06 | 0.47 | 0.53 | — | — | — | — | 12.21 | 4.54 | 1.39 | 1.24 | 1.24 | 1.29 | 36,224 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.34 | 0.15 | • | 1.35 | 1.50 | 0.16 | — | — | 0.16 | 11.68 | 14.51 | 1.40 | 1.25 | 1.25 | 1.42 | 28,478 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.41 | 0.14 | 1.93 | 2.07 | 0.14 | — | — | 0.14 | 10.34 | 24.59 | 1.41 | 1.26 | 1.26 | 1.67 | 17,601 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 15.00 | 0.26 | • | (5.40 | ) | (5.14 | ) | 0.38 | 1.07 | — | 1.45 | 8.41 | (35.91 | ) | 1.40 | 1.25 | 1.24 | 2.10 | 12,589 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15.28 | 0.21 | • | 0.24 | 0.45 | 0.16 | 0.57 | — | 0.73 | 15.00 | 2.71 | 1.39 | 1.24 | 1.24 | 1.35 | 24,913 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.65 | 0.18 | • | 2.27 | 2.45 | 0.20 | 0.62 | — | 0.82 | 15.28 | 18.66 | 1.40 | 1.24 | 1.24 | 1.23 | 31,856 | 19 |
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 | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3) | | Expenses net of fee waivers and/or recoupments, if any(2)(3) | | Expenses net of all reductions/ additions(2)(3) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||
ING T. Rowe Price Equity Income Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.77 | 0.12 | 0.44 | 0.56 | — | — | — | — | 12.33 | 4.76 | 0.64 | 0.64 | 0.64 | 1.87 | 440,924 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.40 | 0.20 | 1.38 | 1.58 | 0.21 | — | — | 0.21 | 11.77 | 15.23 | 0.65 | 0.65 | 0.65 | 2.01 | 452,121 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.45 | 0.20 | • | 1.93 | 2.13 | 0.18 | — | — | 0.18 | 10.40 | 25.28 | 0.66 | 0.66 | 0.66 | 2.22 | 337,251 | 14 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 15.26 | 0.33 | • | (5.48 | ) | (5.15 | ) | 0.59 | 1.07 | — | 1.66 | 8.45 | (35.50 | ) | 0.65 | 0.65 | 0.64 | 2.80 | 154,488 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15.52 | 0.31 | • | 0.25 | 0.56 | 0.25 | 0.57 | — | 0.82 | 15.26 | 3.34 | 0.64 | 0.64 | 0.64 | 2.00 | 135,616 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.80 | 0.26 | • | 2.31 | 2.57 | 0.23 | 0.62 | — | 0.85 | 15.52 | 19.42 | 0.65 | 0.64 | 0.64 | 1.84 | 31,382 | 19 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.78 | 0.10 | 0.45 | 0.55 | — | — | — | — | 12.33 | 4.67 | 0.89 | 0.89 | 0.89 | 1.63 | 1,026,509 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.41 | 0.19 | • | 1.36 | 1.55 | 0.18 | — | — | 0.18 | 11.78 | 14.94 | 0.90 | 0.90 | 0.90 | 1.77 | 957,065 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.46 | 0.18 | 1.93 | 2.11 | 0.16 | — | — | 0.16 | 10.41 | 24.99 | 0.91 | 0.91 | 0.91 | 2.07 | 891,492 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 15.22 | 0.30 | • | (5.48 | ) | (5.18 | ) | 0.51 | 1.07 | — | 1.58 | 8.46 | (35.69 | ) | 0.90 | 0.90 | 0.89 | 2.48 | 726,076 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15.49 | 0.27 | • | 0.25 | 0.52 | 0.22 | 0.57 | — | 0.79 | 15.22 | 3.06 | 0.89 | 0.89 | 0.89 | 1.70 | 1,192,368 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.78 | 0.23 | 2.30 | 2.53 | 0.20 | 0.62 | — | 0.82 | 15.49 | 19.09 | 0.90 | 0.89 | 0.89 | 1.58 | 1,244,743 | 19 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.70 | 0.08 | 0.47 | 0.55 | — | — | — | — | 12.25 | 4.70 | 1.14 | 1.04 | 1.04 | 1.48 | 85,059 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.35 | 0.16 | 1.36 | 1.52 | 0.17 | — | — | 0.17 | 11.70 | 14.72 | 1.15 | 1.05 | 1.05 | 1.62 | 74,101 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.42 | 0.16 | 1.92 | 2.08 | 0.15 | — | — | 0.15 | 10.35 | 24.74 | 1.16 | 1.06 | 1.06 | 1.91 | 54,916 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 15.12 | 0.28 | (5.43 | ) | (5.15 | ) | 0.48 | 1.07 | — | 1.55 | 8.42 | (35.76 | ) | 1.15 | 1.05 | 1.04 | 2.33 | 41,553 | 33 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15.40 | 0.24 | • | 0.26 | 0.50 | 0.21 | 0.57 | — | 0.78 | 15.12 | 2.95 | 1.14 | 1.04 | 1.04 | 1.56 | 69,427 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.72 | 0.21 | • | 2.29 | 2.50 | 0.20 | 0.62 | — | 0.82 | 15.40 | 18.93 | 1.15 | 1.04 | 1.04 | 1.43 | 61,853 | 19 | |||||||||||||||||||||||||||||||||||||||||||||||
ING T. Rowe Price International Stock Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.75 | 0.10 | 0.42 | 0.52 | — | — | — | — | 12.27 | 4.43 | 1.54 | 1.39 | 1.39 | 1.49 | 5,666 | 108 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.48 | 0.07 | 1.31 | 1.38 | 0.11 | — | — | 0.11 | 11.75 | 13.37 | 1.50 | 1.33 | † | 1.33 | † | 0.60 | † | 5,475 | 132 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.69 | 0.05 | • | 2.79 | 2.84 | 0.05 | — | — | 0.05 | 10.48 | 37.02 | 1.50 | 1.29 | † | 1.29 | † | 0.58 | † | 4,737 | 110 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 16.99 | 0.11 | • | (8.01 | ) | (7.90 | ) | — | 1.40 | — | 1.40 | 7.69 | (49.65 | ) | 1.49 | 1.28 | † | 1.28 | † | 0.85 | † | 4,326 | 122 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15.22 | 0.14 | • | 2.81 | 2.95 | 0.11 | 1.07 | — | 1.18 | 16.99 | 20.19 | 1.47 | 1.28 | 1.28 | 0.88 | 15,698 | 111 | |||||||||||||||||||||||||||||||||||||||||||||||
01-20-06(4)–12-31-06 | 12.77 | 0.04 | 2.46 | 2.50 | 0.01 | 0.04 | — | 0.05 | 15.22 | 19.63 | 1.48 | 1.28 | 1.28 | 0.34 | 17,507 | 103 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.70 | 0.11 | • | 0.44 | 0.55 | — | — | — | — | 12.25 | 4.70 | 0.79 | 0.79 | 0.79 | 1.82 | 58,221 | 108 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.46 | 0.11 | 1.31 | 1.42 | 0.18 | — | — | 0.18 | 11.70 | 13.92 | 0.75 | 0.73 | † | 0.73 | † | 1.03 | † | 191,825 | 132 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.70 | 0.11 | • | 2.79 | 2.90 | 0.14 | — | — | 0.14 | 10.46 | 38.03 | 0.75 | 0.69 | † | 0.69 | † | 1.31 | † | 162,601 | 110 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.11 | 0.20 | • | (8.05 | ) | (7.85 | ) | 0.16 | 1.40 | — | 1.56 | 7.70 | (49.34 | ) | 0.74 | 0.68 | † | 0.68 | † | 1.62 | † | 210,871 | 122 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15.32 | 0.23 | • | 2.84 | 3.07 | 0.21 | 1.07 | — | 1.28 | 17.11 | 20.88 | 0.72 | 0.68 | 0.68 | 1.42 | 204,729 | 111 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 12.38 | 0.12 | • | 2.87 | 2.99 | 0.01 | 0.04 | — | 0.05 | 15.32 | 24.21 | 0.73 | 0.68 | 0.68 | 0.90 | 137,712 | 103 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.66 | 0.10 | • | 0.43 | 0.53 | — | — | — | — | 12.19 | 4.55 | 1.04 | 1.04 | 1.04 | 1.77 | 204,193 | 108 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.41 | 0.09 | • | 1.31 | 1.40 | 0.15 | — | — | 0.15 | 11.66 | 13.78 | 1.00 | 0.98 | † | 0.98 | † | 0.90 | † | 203,858 | 132 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.66 | 0.08 | • | 2.78 | 2.86 | 0.11 | — | — | 0.11 | 10.41 | 37.60 | 1.00 | 0.94 | † | 0.94 | † | 0.94 | † | 220,701 | 110 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.05 | 0.16 | • | (8.02 | ) | (7.86 | ) | 0.13 | 1.40 | — | 1.53 | 7.66 | (49.51 | ) | 0.99 | 0.93 | † | 0.93 | † | 1.25 | † | 193,839 | 122 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15.28 | 0.18 | • | 2.84 | 3.02 | 0.18 | 1.07 | — | 1.25 | 17.05 | 20.58 | 0.97 | 0.93 | 0.93 | 1.10 | 362,903 | 111 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 12.36 | 0.08 | 2.88 | 2.96 | 0.00 | * | 0.04 | — | 0.04 | 15.28 | 24.02 | 0.98 | 0.93 | 0.93 | 0.64 | 222,639 | 103 |
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 | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3) | | Expenses net of fee waivers and/or recoupments, if any(2)(3) | | Expenses net of all reductions/ additions(2)(3) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||
ING T. Rowe Price International Stock Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.74 | 0.11 | • | 0.42 | 0.53 | — | — | — | — | 12.27 | 4.51 | 1.29 | 1.19 | 1.19 | 1.87 | 554 | 108 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.50 | (0.05 | )• | 1.47 | 1.42 | 0.18 | — | — | 0.18 | 11.74 | 13.87 | 1.25 | 1.13 | † | 1.13 | † | (0.44 | )† | 598 | 132 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.64 | 0.07 | 2.82 | 2.89 | 0.03 | — | — | 0.03 | 10.50 | 37.84 | 1.25 | 1.09 | † | 1.09 | † | 0.79 | † | 1 | 110 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 16.95 | 0.13 | (8.00 | ) | (7.87 | ) | 0.04 | 1.40 | — | 1.44 | 7.64 | (49.66 | ) | 1.24 | 1.08 | † | 1.08 | † | 1.01 | † | 1 | 122 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15.28 | 0.15 | 2.80 | 2.95 | 0.21 | 1.07 | — | 1.28 | 16.95 | 20.13 | 1.22 | 1.08 | 1.08 | 0.97 | 1 | 111 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4)–12-31-06 | 15.28 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 15.28 | — | 1.23 | 1.08 | 1.08 | (1.08 | ) | 1 | 103 |
(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 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. |
(4) | Commencement of operations. |
• | 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. |
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. If a significant event which is likely to impact the value of one or more foreign securities held by a Portfolio occurs after the time at which the foreign market for such security(ies) closes but before the time that a Portfolio’s NAV is calculated on any business day, such event may be taken into account in determining the fair value of such security(ies) at the time a Portfolio calculates its NAV. For these purposes, significant events after the close of trading on a foreign market may 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, the Board has authorized the use of one or more research services to assist with the determination of the fair value of foreign securities in light of significant events. Research services use statistical analyses and quantitative models to help determine fair value as of the time a Portfolio calculates its net asset value. Unlike the closing price of a security on an exchange, fair value determinations employ elements of judgment, and 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 New York Stock Exchange.
(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. |
transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and the U.S. government. 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.
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.
Forward foreign currency contracts | Swaps | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Health Sciences Opportunities | $ | 492,899 | $ | — | ||||||
Invesco Van Kampen Growth and Income | 5,879 | — | ||||||||
Janus Contrarian | 102,551 | — | ||||||||
MFS Utilities | 512,109 | — | ||||||||
PIMCO Total Return Bond | 9,736,532 | 26,184,096 |
Forward foreign currency contracts | ||||||
---|---|---|---|---|---|---|
Artio Foreign | $ | 222,419 | ||||
BlackRock Health Sciences Opportunities | 170,635 | |||||
FMRSM Diversified Mid Cap | 9 | |||||
Global Resources | 80 | |||||
Invesco Van Kampen Growth and Income | 355,521 | |||||
Janus Contrarian | 12,978 | |||||
MFS Utilities | 1,064,123 | |||||
T.Rowe Price International Stock | 11 |
following derivatives:
Forward foreign currency contract | Swaps | Written options | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
$14,651,204 | $20,301,150 | $7,088,298 |
Buy | Sell | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Artio Foreign* | $ | 8,502,244 | $ | 24,193,566 | ||||||
BlackRock Health Sciences and Opportunities* | 2,957,523 | 8,926,503 | ||||||||
FMRSM Diversified Mid Cap* | — | 7,267 | ||||||||
Global Resources* | — | 66,948 | ||||||||
Invesco Van Kampen Growth and Income* | — | 8,020,959 | ||||||||
Janus Contrarian* | 4,275,179 | 8,758,552 | ||||||||
MFS Utilities* | 7,478,082 | 86,425,615 | ||||||||
PIMCO Total Return Bond** | 387,021,280 | 486,578,241 | ||||||||
T.Rowe Price International Stock* | — | 9,398 |
* | For the six months ended June 30, 2011, the Portfolios used forward foreign currency contracts primarily to protect their non-U.S. dollar-denominated holdings from adverse currency movements. Please refer to the table following the Summary Portfolio of Investments for open forward foreign currency contract at June 30, 2011. |
** | For the six months ended June 30, 2011, the Portfolios used forward foreign currency contracts to protect their non-U.S. dollar-denominated holdings from adverse currency movements and to gain exposure to currencies for the purposes of risk management or enhanced return. Please refer to the table following the Summary Portfolio of Investments for open forward foreign currency contract at June 30, 2011. |
Buy | Sell | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
PIMCO Total Return Bond | $ | 3,983,572,943 | $ | 31,679,772 |
rate swaps to generate income. Please refer to the Summary Portfolio of Investments for open purchased swaptions and the table following for open written swaptions at June 30, 2011.
take advantage of perceived spread advantages, or to offset an existing short equivalent (i.e. buying protection on an equivalent reference entity).
for are fixed at the time the transaction is negotiated. The market value of such securities is identified in each Portfolio’s Summary Portfolio of Investments. Losses may arise due to changes in the market 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 identify liquid assets sufficient to cover the purchase price.
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Artio Foreign | $ | 241,851,537 | $ | 608,351,802 | ||||||
BlackRock Health Sciences Opportunities | 240,579,680 | 210,992,497 | ||||||||
Clarion Global Real Estate | 74,658,787 | 82,738,769 | ||||||||
FMRSM Diversified Mid Cap | 543,009,200 | 654,985,073 | ||||||||
Global Resources | 271,731,372 | 220,264,588 | ||||||||
Invesco Van Kampen Growth and Income | 59,890,709 | 118,407,943 | ||||||||
Janus Contrarian | 317,120,233 | 376,868,229 | ||||||||
JPMorgan Emerging Markets Equity | 120,812,276 | 66,089,882 | ||||||||
Marsico Growth | 282,862,140 | 378,015,767 | ||||||||
MFS Total Return | 74,115,328 | 117,945,934 | ||||||||
MFS Utilities | 156,423,329 | 144,876,344 | ||||||||
Morgan Stanley Global Franchise | 70,535,436 | 82,012,010 | ||||||||
PIMCO Total Return Bond | 502,488,946 | 171,971,596 | ||||||||
Pioneer Mid Cap Value | 407,271,180 | 381,689,791 | ||||||||
T. Rowe Price Capital Appreciation | 1,651,534,805 | 1,551,424,522 | ||||||||
T. Rowe Price Equity Income | 221,126,806 | 255,047,084 | ||||||||
T. Rowe Price International Stock | 289,140,086 | 303,609,305 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
MFS Total Return | $ | 13,679,485 | $ | 34,707,441 | ||||||
PIMCO Total Return Bond | 14,892,653,235 | 16,583,855,914 |
Portfolio | Fee | |||||
---|---|---|---|---|---|---|
MFS Utilities | 0.60% of the first $1 billion; 0.55% of the next $500 million; 0.50% of the next $1 billion; 0.47% of the next $1 billion; 0.45% of the next $1 billion; 0.44% of the next $1 billion; 0.43% thereafter | |||||
T. Rowe Price International Stock | 0.54% of the first $4 billion; 0.53% thereafter |
Portfolio | Fee | |||||
---|---|---|---|---|---|---|
Artio Foreign | 1.00% of the first $50 million; 0.95% of the next $200 million; 0.90% of the next $250 million; 0.85% of the amount in excess of $500 million. | |||||
BlackRock Health Sciences Opportunities | 0.75% of the first $500 million; 0.70% of the amount in excess of $500 million | |||||
FMRSM Diversified Mid Cap | 0.65% of the first $800 million; 0.60% of the next $700 million; and 0.58% of the amount in excess of $1.5 billion | |||||
Janus Contrarian | 0.81% of the first $250 million; 0.77% of the next $400 million; 0.73% of the next $450 million; 0.67% of the amount in excess of $1.1 billion | |||||
JPMorgan Emerging Markets Equity | 1.25% | |||||
Liquid Assets(1) | 0.35% of the first $200 million; 0.30% of the next $300 million; 0.25% of the amount in excess of $500 million | |||||
Marsico Growth | 0.85% of the first $250 million; 0.80% of the next $400 million; 0.75% of the next $450 million; 0.70% of the amount in excess of $1.1 billion | |||||
MFS Total Return | 0.75% of the first $250 million; 0.70% of the next $400 million; 0.65% of the next $450 million; 0.60% of the amount in excess of $1.1 billion | |||||
Morgan Stanley Global Franchise | 1.00% of the first $250 million; 0.90% of the next $250 million; and 0.75% of the amount in excess of $500 million | |||||
PIMCO Total Return Bond | 0.75% of the first $100 million; 0.65% of the next $100 million; 0.55% of the amount in excess of $200 million | |||||
Pioneer Mid Cap Value | 0.64% | |||||
Global Resources, | 0.75% of the first $750 million; | |||||
T. Rowe Price Capital Appreciation, | 0.70% of the next $1.25 billion; | |||||
T. Rowe Price Equity Income and Invesco Van Kampen Growth and Income(2) | 0.65% of the next $1.5 billion; and 0.60% of the amount in excess of $3.5 billion |
(1) | The assets of Liquid Assets are aggregated with those of ING Limited Maturity Bond Portfolio, which is not included in this report, to determine the Unified Fee. |
(2) | The assets of these Portfolios are aggregated with those of ING Clarion Real Estate Portfolio, which is not included in this report, to determine the Unified Fee. |
(1) | ING Investments has contractually agreed to waive a portion of the advisory fee for the Portfolio. The waiver for Clarion Global Real Estate is limited to an annual 50% of the savings based on the Portfolio’s assets as of May 1, 2009. |
(2) | DSL has contractually agreed to waive a portion of the advisory fee for the Portfolio. The waiver for T. Rowe Price Equity Income is based on the total aggregated savings in excess of $500,000 as a result of the sub-advisory fee schedule effective June 1, 2010 with respect to T. Rowe Price Equity Income and ING T. Rowe Price Growth Equity Portfolio, which is not in this book, and effective May 1, 2011 with respect to T. Rowe Price Equity Income, pro rata based on each Portfolio’s contribution to the amount saved. |
Portfolio | Sub-Adviser | |||||
---|---|---|---|---|---|---|
Artio Foreign | Artio Global Management, LLC | |||||
BlackRock Health Sciences Opportunities(1) | BlackRock Advisors, LLC | |||||
Clarion Global Real Estate | ING Clarion Real Estate Securities, LLC*(2) | |||||
FMRSM Diversified Mid Cap | Fidelity Management & Research Company | |||||
Global Resources | ING Investment Management Co.* | |||||
Invesco Van Kampen Growth & Income | Invesco Advisers, Inc. | |||||
Janus Contrarian | Janus Capital Management LLC | |||||
JPMorgan Emerging Markets Equity | J.P. Morgan Investment Management Inc. | |||||
Liquid Assets | ING Investment Management Co.* | |||||
Marsico Growth | Marsico Capital Management, LLC | |||||
MFS Total Return | Massachusetts Financial Services Company | |||||
MFS Utilities | Massachusetts Financial Services Company | |||||
Morgan Stanley Global Franchise | Morgan Stanley Investment Management, Inc. | |||||
PIMCO Total Return Bond | Pacific Investment Management Company LLC | |||||
Pioneer Mid Cap Value | Pioneer Investment Management, Inc. | |||||
T. Rowe Price Capital Appreciation | T. Rowe Price Associates, Inc. | |||||
T. Rowe Price Equity Income | T. Rowe Price Associates, Inc. | |||||
T. Rowe Price International Stock | T. Rowe Price Associates, Inc. |
(1) | Prior to January 21, 2011, the Portfolio was managed by a different sub-adviser. In conjunction with the sub-adviser change, the Portfolio changed its name. |
(2) | On or about July 1, 2011, ING Groep, NV, the indirect parent of both ING Investments, the Investment Adviser to the Portfolio and ING Clarion Real Estate Securities, LLC (“Clarion”), the Sub-Adviser to the Portfolio, has completed a transaction in which it sold Clarion and other affiliated entities to CB Richard Ellis Group, Inc. (the “Transaction”). The completion of the Transaction also resulted in a name change for Clarion to CBRE Clarion Securities LLC (“CBRE Clarion”). In anticipation of the Transaction, on June 14, 2011, the Portfolio’s shareholders approved new sub-advisory agreements between ING Investments and CBRE Clarion which became effective on or about July 1, 2011. |
Portfolio | Class ADV | Class I | Class S | Class S2 | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Clarion Global Real Estate | 1.50 | % | 0.90 | % | 1.15 | % | 1.30 | % | ||||||||||
MFS Utilities(1) | 1.45 | % | 0.85 | % | 1.10 | % | 1.25 | % | ||||||||||
Pioneer Mid Cap Value | 1.25 | % | 0.65 | % | 0.90 | % | 1.05 | % | ||||||||||
T. Rowe Price International Stock | 1.40 | % | 0.80 | % | 1.05 | % | 1.20 | % |
(1) | Prior to May 2, 2011, the expense limits were 1.40%, 0.80%, 1.05% and 1.20% for Classes ADV, I, S and S2 shares, respectively. |
June 30, | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2012 | 2013 | 2014 | Total | |||||||||||||||
Clarion Global Real Estate | $ | 377,579 | $ | 404,577 | $ | 268,263 | $ | 1,050,419 | ||||||||||
T. Rowe Price International Stock | 367,368 | 178,006 | — | 545,374 |
Subsidiary/ING Portfolio | Portfolio | Percentage | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
ING Life Insurance and Annuity Company | Artio Foreign | 9.86 | % | |||||||
BlackRock Health Sciences Opportunities | 9.33 | % | ||||||||
Clarion Global Real Estate | 17.32 | % | ||||||||
FMRSM Diversified Mid Cap | 21.08 | % | ||||||||
Global Resources | 21.60 | % | ||||||||
Invesco Van Kampen Growth and Income | 8.31 | % | ||||||||
Janus Contrarian | 14.40 | % | ||||||||
JPMorgan Emerging Markets Equity | 9.54 | % | ||||||||
Marsico Growth | 9.03 | % | ||||||||
MFS Total Return | 14.98 | % | ||||||||
MFS Utilities | 10.95 | % | ||||||||
Pioneer Mid Cap Value | 12.90 | % | ||||||||
T. Rowe Price Capital Appreciation | 19.36 | % | ||||||||
T. Rowe Price Equity Income | 20.80 | % | ||||||||
T. Rowe Price International Stock | 12.18 | % | ||||||||
ING National Trust | FMRSM Diversified Mid Cap | 10.90 | % | |||||||
Liquid Assets | 12.77 | % | ||||||||
T. Rowe Price Capital Appreciation | 6.31 | % | ||||||||
T. Rowe Price Equity Income | 8.30 | % | ||||||||
ING Solution 2015 Portfolio | Clarion Global Real Estate | 5.66 | % | |||||||
ING Solution 2025 Portfolio | Clarion Global Real Estate | 9.06 | % | |||||||
Marsico Growth | 7.45 | % | ||||||||
Pioneer Mid Cap Value | 5.57 | % | ||||||||
T. Rowe Price Equity Income | 6.23 | % | ||||||||
ING Solution 2035 Portfolio | Clarion Global Real Estate | 7.73 | % | |||||||
JPMorgan Emerging Markets Equity | 6.80 | % | ||||||||
Marsico Growth | 7.07 | % | ||||||||
Pioneer Mid Cap Value | 5.35 | % | ||||||||
T. Rowe Price Equity Income | 6.73 | % | ||||||||
ING Solution 2045 Portfolio | Clarion Global Real Estate | 6.66 | % | |||||||
JPMorgan Emerging Markets Equity | 5.64 | % | ||||||||
ING USA Annuity and Life Insurance | Artio Foreign | 80.53 | % | |||||||
BlackRock Health Sciences Opportunities | 85.10 | % | ||||||||
Clarion Global Real Estate | 34.59 | % | ||||||||
FMRSM Diversified Mid Cap | 63.90 | % | ||||||||
Global Resources | 67.10 | % | ||||||||
Invesco Van Kampen Growth and Income | 83.53 | % | ||||||||
Janus Contrarian | 82.66 | % | ||||||||
JPMorgan Emerging Markets Equity | 58.80 | % | ||||||||
Liquid Assets | 72.75 | % | ||||||||
Marsico Growth | 67.12 | % | ||||||||
MFS Total Return | 81.32 | % | ||||||||
MFS Utilities | 80.73 | % | ||||||||
Morgan Stanley Global Franchise | 96.98 | % | ||||||||
PIMCO Total Return Bond | 85.65 | % | ||||||||
Pioneer Mid Cap Value | 59.88 | % | ||||||||
T. Rowe Price Capital Appreciation | 66.28 | % | ||||||||
T. Rowe Price Equity Income | 47.38 | % | ||||||||
T. Rowe Price International Stock | 61.77 | % | ||||||||
Reliastar Life Insurance Company | T. Rowe Price International Stock | 14.95 | % | |||||||
Security Life Insurance Company | Liquid Assets | 7.39 | % |
Portfolio | Accrued Investment Management Fees | Accrued Administrative Fees | Accrued Shareholder Service and Distribution Fees | Total | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Artio Foreign | $ | 499,828 | $ | — | $ | 134,719 | $ | 634,547 | ||||||||||
BlackRock Health Sciences Opportunities | 145,436 | — | 47,042 | 192,478 | ||||||||||||||
Clarion Global Real Estate | 275,556 | 35,144 | 43,582 | 354,282 | ||||||||||||||
FMRSM Diversified Mid Cap | 674,358 | — | 270,183 | 944,541 | ||||||||||||||
Global Resources | 555,277 | — | 244,921 | 800,198 | ||||||||||||||
Invesco Van Kampen Growth and Income | 319,915 | — | 132,500 | 452,415 | ||||||||||||||
Janus Contrarian | 329,156 | — | 99,684 | 428,840 | ||||||||||||||
JPMorgan Emerging Markets Equity | 1,171,551 | — | 176,945 | 1,348,496 | ||||||||||||||
Liquid Assets | 279,821 | — | 1,001 | 280,822 | ||||||||||||||
Marsico Growth | 507,211 | — | 124,138 | 631,349 | ||||||||||||||
MFS Total Return | 555,385 | — | 180,610 | 735,995 | ||||||||||||||
MFS Utilities | 283,283 | 47,213 | 120,678 | 451,174 |
Portfolio | Accrued Investment Management Fees | Accrued Administrative Fees | Accrued Shareholder Service and Distribution Fees | Total | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Global Franchise | $ | 333,370 | $ | — | $ | 96,690 | $ | 430,060 | ||||||||||
$PIMCO Total Return Bond | 1,591,363 | — | 667,192 | 2,258,555 | ||||||||||||||
Pioneer Mid Cap Value | 487,412 | — | 120,564 | 607,976 | ||||||||||||||
T. Rowe Price Capital Appreciation | 2,157,338 | — | 793,744 | 2,951,082 | ||||||||||||||
T. Rowe Price Equity Income | 818,767 | — | 251,358 | 1,070,125 | ||||||||||||||
T. Rowe Price International Stock | 117,058 | 21,677 | 44,083 | 182,818 |
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Artio Foreign | 21 | $ | 5,076,190 | 1.40 | % | |||||||||
FMRSM Diversified Mid Cap | 2 | 627,500 | 1.32 | % | ||||||||||
Global Resources | 12 | 3,253,333 | 1.39 | % | ||||||||||
Invesco Van Kampen Growth and Income | 1 | 500,000 | 1.34 | % | ||||||||||
Janus Contrarian | 10 | 2,345,500 | 1.40 | % | ||||||||||
Marsico Growth | 12 | 3,555,417 | 1.35 | % | ||||||||||
MFS Total Return | 1 | 3,360,000 | 1.40 | % | ||||||||||
MFS Utilities | 25 | 1,152,600 | 1.37 | % | ||||||||||
T. Rowe Price International Stock | 5 | 25,940,000 | 1.41 | % |
Number of Contracts | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | 23,587 | $ | 3,653,349 | |||||||
Options Purchased | 27,587 | 2,392,696 | ||||||||
Options Terminated in Closing Sell Transactions | (23,587 | ) | (3,653,349 | ) | ||||||
Options Exercised | — | — | ||||||||
Options Expired | (27,587 | ) | (2,392,696 | ) | ||||||
Balance at 06/30/11 | — | $ | — |
Number of Contracts | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | 9,389 | $ | 1,174,159 | |||||||
Options Written | 36,777 | 2,394,248 | ||||||||
Options Terminated in Closing Purchase Transactions | (21,667 | ) | (1,627,466 | ) | ||||||
Options Exercised | (5,250 | ) | (161,747 | ) | ||||||
Options Expired | (19,249 | ) | (1,779,194 | ) | ||||||
Balance at 06/30/11 | — | $ | — |
Number of Contracts | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | 2,912 | $ | 25,480 | |||||||
Options Purchased | 23,478 | 194,186 | ||||||||
Options Terminated in Closing Sell Transactions | — | — | ||||||||
Options Exercised | — | — | ||||||||
Options Expired | (9,336 | ) | (81,690 | ) | ||||||
Balance at 06/30/11 | 17,054 | $ | 137,976 |
USD Notional | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | — | $ | — | |||||||
Options Purchased | 50,300,000 | 198,496 | ||||||||
Options Terminated in Closing Sell Transactions | — | — | ||||||||
Options Exercised | — | — | ||||||||
Options Expired | — | — | ||||||||
Balance at 06/30/11 | 50,300,000 | $ | 198,496 |
USD Notional | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | — | $ | — | |||||||
Options Written | 2,500,000 | 10,250 | ||||||||
Options Terminated in Closing Purchase Transactions | — | — | ||||||||
Options Exercised | — | — | ||||||||
Options Expired | (2,500,000 | ) | (10,250 | ) | ||||||
Balance at 06/30/11 | — | $ | — |
USD Notional | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | 827,900,000 | $ | 7,544,170 | |||||||
Options Written | 398,800,000 | 1,613,887 | ||||||||
Options Terminated in Closing Purchase Transactions | — | — | ||||||||
Options Exercised | (24,300,000 | ) | (115,473 | ) | ||||||
Options Expired | (115,700,000 | ) | (781,452 | ) | ||||||
Balance at 06/30/11 | 1,086,700,000 | $ | 8,261,132 |
USD Notional | EUR Notional | Premiums Received | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | — | 2,000,000 | $ | 10,575 | ||||||||||
Options Written | 1,000,000 | — | 5,000 | |||||||||||
Options Terminated in Closing Purchase Transactions | — | — | — | |||||||||||
Options Exercised | — | — | — | |||||||||||
Options Expired | — | (2,000,000 | ) | (10,575 | ) | |||||||||
Balance at 06/30/11 | 1,000,000 | — | $ | 5,000 |
USD Notional | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | 32,900,000 | $ | 320,570 | |||||||
Options Written | — | — | ||||||||
Options Terminated in Closing Purchase Transactions | — | — | ||||||||
Options Exercised | — | — | ||||||||
Options Expired | — | — | ||||||||
Balance at 06/30/11 | 32,900,000 | $ | 320,570 |
USD Notional | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | 164,000,000 | $ | 1,661,381 | |||||||
Options Written | — | — | ||||||||
Options Terminated in Closing Purchase Transactions | — | — | ||||||||
Options Exercised | — | — | ||||||||
Options Expired | — | — | ||||||||
Balance at 06/30/11 | 164,000,000 | $ | 1,661,381 |
Number of Contracts | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | 1,236 | $ | 635,313 | |||||||
Options Written | 1,735 | 792,362 | ||||||||
Options Terminated in Closing Purchase Transactions | (486 | ) | (206,017 | ) | ||||||
Options Exercised | (470 | ) | (177,250 | ) | ||||||
Options Expired | (493 | ) | (182,442 | ) | ||||||
Balance at 06/30/11 | 1,522 | $ | 861,966 |
USD Notional | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | — | $ | — | |||||||
Options Written | 18,000,000 | 50,625 | ||||||||
Options Terminated in Closing Purchase Transactions | — | — | ||||||||
Options Exercised | — | — | ||||||||
Options Expired | — | — | ||||||||
Balance at 06/30/11 | 18,000,000 | $ | 50,625 |
Number of Contracts | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/10 | 48,552 | $ | 9,056,435 | |||||||
Options Written | 75,579 | 12,159,917 | ||||||||
Options Terminated in Closing Purchase Transactions | (23,985 | ) | (6,398,802 | ) | ||||||
Options Exercised | (1,245 | ) | (296,150 | ) | ||||||
Options Expired | (952 | ) | (75,207 | ) | ||||||
Balance at 06/30/11 | 97,949 | $ | 14,446,193 |
Year or | Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||||||
Artio Foreign | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 32,264 | — | — | (153,151 | ) | (120,887 | ) | 372,224 | — | — | (1,785,241 | ) | (1,413,017 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 253,814 | — | — | (87,758 | ) | 166,056 | 2,594,392 | — | — | (933,573 | ) | 1,660,819 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1,191,282 | — | — | (24,876,068 | ) | (23,684,786 | ) | 13,997,335 | — | — | (294,245,193 | ) | (280,247,858 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 6,751,691 | — | — | (4,676,372 | ) | 2,075,319 | 71,856,305 | — | — | (49,082,932 | ) | 22,773,373 | |||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 519,055 | — | — | (6,256,073 | ) | (5,737,018 | ) | 6,068,158 | — | — | (72,540,404 | ) | (66,472,246 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 2,210,133 | — | — | (14,243,066 | ) | (12,032,933 | ) | 23,191,555 | — | — | (147,763,114 | ) | (124,571,559 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 25,732 | — | — | (370,702 | ) | (344,970 | ) | 298,324 | — | — | (4,264,194 | ) | (3,965,870 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 126,498 | — | — | (576,027 | ) | (449,529 | ) | 1,338,129 | — | — | (6,029,906 | ) | (4,691,777 | ) | |||||||||||||||||||||||||||||||||
BlackRock Health Sciences Opportunities | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1,204 | — | — | (2 | ) | 1,202 | 14,029 | — | — | (27 | ) | 14,002 | |||||||||||||||||||||||||||||||||||
12-31-10 | — | — | �� | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 316,908 | — | — | (184,766 | ) | 132,142 | 3,954,893 | — | — | (2,227,575 | ) | 1,727,318 | |||||||||||||||||||||||||||||||||||
12-31-10 | 146,035 | — | — | (490,668 | ) | (344,633 | ) | 1,527,226 | — | — | (5,131,276 | ) | (3,604,050 | ) | |||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 3,440,950 | — | — | (1,776,854 | ) | 1,664,096 | 46,264,611 | — | — | (25,947,848 | ) | 20,316,763 | |||||||||||||||||||||||||||||||||||
12-31-10 | 2,025,948 | — | — | (4,329,911 | ) | (2,303,963 | ) | 21,498,731 | — | — | (44,297,499 | ) | (22,798,768 | ) | |||||||||||||||||||||||||||||||||
Class S2(1) | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | — | — | — | (82 | ) | (82 | ) | 546,679 | — | — | — | 546,679 | |||||||||||||||||||||||||||||||||||
12-31-10 | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
Clarion Global Real Estate | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 399,822 | — | — | (14,507 | ) | 385,315 | 3,985,391 | — | — | (143,486 | ) | 3,841,905 | |||||||||||||||||||||||||||||||||||
12-31-10 | 553,781 | — | 15,639 | (19,110 | ) | 550,310 | 5,055,600 | — | 127,771 | (175,737 | ) | 5,007,634 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 3,385,625 | — | — | (3,787,426 | ) | (401,801 | ) | 34,777,553 | — | — | (39,160,902 | ) | (4,383,349 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 3,128,508 | — | 2,226,597 | (3,093,903 | ) | 2,261,202 | 28,933,591 | — | 18,347,163 | (28,327,608 | ) | 18,953,146 | |||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 500,459 | — | — | (1,581,707 | ) | (1,081,248 | ) | 5,053,788 | — | — | (15,849,143 | ) | (10,795,355 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 1,031,154 | — | 1,915,394 | (3,702,337 | ) | (755,789 | ) | 9,311,404 | — | 15,744,535 | (33,539,659 | ) | (8,483,720 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 486 | — | — | (18,016 | ) | (17,530 | ) | 4,874 | — | — | (180,468 | ) | (175,594 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 525 | — | 22,867 | (39,133 | ) | (15,741 | ) | 5,060 | — | 188,882 | (354,107 | ) | (160,165 | ) |
Year or | Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||||||
FMRSM Diversified Mid Cap | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 702,297 | — | — | (277,778 | ) | 424,519 | 10,814,567 | — | — | (4,320,635 | ) | 6,493,932 | |||||||||||||||||||||||||||||||||||
12-31-10 | 1,821,563 | — | 818 | (195,970 | ) | 1,626,411 | 23,988,301 | — | 10,206 | (2,497,170 | ) | 21,501,337 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 271,255 | — | — | (524,218 | ) | (252,963 | ) | 4,235,931 | — | — | (8,150,041 | ) | (3,914,110 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 829,636 | — | 21,101 | (960,504 | ) | (109,767 | ) | 11,103,574 | — | 315,799 | (12,544,117 | ) | (1,124,744 | ) | |||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 2,180,448 | — | — | (8,729,700 | ) | (6,549,252 | ) | 34,015,529 | — | — | (136,135,299 | ) | (102,119,770 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 7,806,825 | — | 107,077 | (12,242,706 | ) | (4,328,804 | ) | 107,115,096 | — | 1,541,654 | (156,441,423 | ) | (47,784,673 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 339,912 | — | — | (290,416 | ) | 49,496 | 5,273,318 | — | — | (4,497,668 | ) | 775,650 | |||||||||||||||||||||||||||||||||||
12-31-10 | 1,070,378 | — | 1,919 | (549,109 | ) | 523,188 | 14,291,108 | — | 24,088 | (7,251,913 | ) | 7,063,283 | |||||||||||||||||||||||||||||||||||
Global Resources | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 5,280,337 | — | — | (777,349 | ) | 4,502,988 | 118,595,993 | — | — | (16,899,367 | ) | 101,696,626 | |||||||||||||||||||||||||||||||||||
12-31-10 | 793,186 | — | 6,014 | (45,609 | ) | 753,591 | 14,224,559 | — | 96,283 | (883,038 | ) | 13,437,804 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 271,801 | — | — | (419,700 | ) | (147,899 | ) | 6,270,716 | — | — | (9,509,661 | ) | (3,238,945 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 858,131 | — | 23,811 | (376,291 | ) | 505,651 | 16,380,681 | — | 391,456 | (6,661,915 | ) | 10,110,222 | |||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1,601,353 | — | — | (3,672,054 | ) | (2,070,701 | ) | 36,438,451 | — | — | (82,656,350 | ) | (46,217,899 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 1,643,200 | — | 476,127 | (10,416,855 | ) | (8,297,528 | ) | 30,613,556 | — | 7,775,152 | (184,493,414 | ) | (146,104,706 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 5,290 | — | — | (84,557 | ) | (79,267 | ) | 117,194 | — | — | (1,903,158 | ) | (1,785,964 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 7,898 | — | 14,040 | (197,797 | ) | (175,859 | ) | 128,151 | — | 227,870 | (3,577,480 | ) | (3,221,459 | ) | |||||||||||||||||||||||||||||||||
Invesco Van Kampen Growth and Income | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 134,953 | — | — | (19,079 | ) | 115,874 | 3,055,112 | — | — | (429,857 | ) | 2,625,255 | |||||||||||||||||||||||||||||||||||
12-31-10 | 231,950 | — | 645 | (21,851 | ) | 210,744 | 4,559,084 | — | 12,166 | (434,538 | ) | 4,136,712 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 63,036 | — | — | (638,024 | ) | (574,988 | ) | 1,421,183 | — | — | (14,702,282 | ) | (13,281,099 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 185,520 | — | 2,272 | (115,799 | ) | 71,993 | 3,588,591 | — | 42,757 | (2,307,744 | ) | 1,323,604 | |||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1,239,232 | — | — | (2,880,605 | ) | (1,641,373 | ) | 28,241,559 | — | — | (65,650,365 | ) | (37,408,806 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 1,442,846 | — | 71,467 | (5,258,569 | ) | (3,744,256 | ) | 28,333,390 | — | 1,351,434 | (103,558,654 | ) | (73,873,830 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 46,586 | — | — | (215,422 | ) | (168,836 | ) | 1,063,992 | — | — | (4,842,352 | ) | (3,778,360 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 30,493 | — | 6,685 | (264,418 | ) | (227,240 | ) | 561,648 | — | 125,744 | (5,194,934 | ) | (4,507,542 | ) | |||||||||||||||||||||||||||||||||
Janus Contrarian | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 7,358 | — | — | (13,833 | ) | (6,475 | ) | 88,685 | — | — | (164,814 | ) | (76,129 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 39,460 | — | — | (50,987 | ) | (11,527 | ) | 437,640 | — | — | (546,625 | ) | (108,985 | ) | |||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 103,445 | — | — | (92,154 | ) | 11,291 | 1,269,502 | — | — | (1,133,530 | ) | 135,972 | |||||||||||||||||||||||||||||||||||
12-31-10 | 209,072 | — | — | (202,500 | ) | 6,572 | 2,364,025 | — | — | (2,216,235 | ) | 147,790 | |||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 228,898 | — | — | (4,279,978 | ) | (4,051,080 | ) | 2,754,647 | — | — | (52,016,352 | ) | (49,261,705 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 1,217,656 | — | — | (8,109,604 | ) | (6,891,948 | ) | 13,813,707 | — | — | (89,486,387 | ) | (75,672,680 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 14,001 | — | — | (143,912 | ) | (129,911 | ) | 167,916 | — | — | (1,745,232 | ) | (1,577,316 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 10,820 | — | — | (209,856 | ) | (199,036 | ) | 124,876 | — | — | (2,309,184 | ) | (2,184,308 | ) | |||||||||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 457,469 | — | — | (66,164 | ) | 391,305 | 9,940,284 | — | — | (1,430,955 | ) | 8,509,329 | |||||||||||||||||||||||||||||||||||
12-31-10 | 1,017,886 | — | 34,624 | (71,037 | ) | 981,473 | 21,144,685 | — | 644,006 | (1,478,544 | ) | 20,310,147 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 5,349,404 | — | — | (1,622,300 | ) | 3,727,104 | 125,065,889 | — | — | (36,123,628 | ) | 88,942,261 | |||||||||||||||||||||||||||||||||||
12-31-10 | 3,016,197 | — | 769,797 | (2,329,679 | ) | 1,456,315 | 63,538,190 | — | 14,633,837 | (48,083,083 | ) | 30,088,944 |
Year or | Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity (continued) | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1,345,808 | — | — | (2,216,907 | ) | (871,099 | ) | 29,752,469 | — | — | (49,184,962 | ) | (19,432,493 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 716,704 | — | 2,349,280 | (8,301,702 | ) | (5,235,718 | ) | 15,202,256 | — | 44,565,836 | (168,252,250 | ) | (108,484,158 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 8,130 | — | — | (93,142 | ) | (85,012 | ) | 182,470 | — | — | (2,060,648 | ) | (1,878,178 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 2,125 | — | 107,151 | (194,022 | ) | (84,746 | ) | 46,859 | — | 2,018,722 | (3,980,459 | ) | (1,914,878 | ) | |||||||||||||||||||||||||||||||||
Liquid Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 40,991,812 | — | 12,723 | (49,343,599 | ) | (8,339,064 | ) | 40,993,467 | — | 12,723 | (49,343,599 | ) | (8,337,409 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 78,917,751 | — | 90,564 | (102,843,768 | ) | (23,835,453 | ) | 78,917,751 | — | 90,564 | (102,856,621 | ) | (23,848,306 | ) | |||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 132,676,465 | — | — | (255,750,158 | ) | (123,073,693 | ) | 132,691,101 | — | — | (255,750,158 | ) | (123,059,057 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 432,248,619 | — | 49,655 | (885,372,565 | ) | (453,074,291 | ) | 432,248,619 | — | 49,655 | (885,378,787 | ) | (453,080,513 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 59,471,513 | — | — | (50,110,305 | ) | 9,361,208 | 59,474,098 | — | — | (50,110,305 | ) | 9,363,793 | |||||||||||||||||||||||||||||||||||
12-31-10 | 117,275,264 | — | 5,349 | (66,161,488 | ) | 51,119,125 | 117,294,496 | — | 5,349 | (66,161,477 | ) | 51,138,368 | |||||||||||||||||||||||||||||||||||
Marsico Growth | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 132,390 | — | — | (251,953 | ) | (119,563 | ) | 2,317,674 | — | — | (4,473,572 | ) | (2,155,898 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 398,902 | — | 1,096 | (223,108 | ) | 176,890 | 5,998,915 | — | 15,467 | (3,221,980 | ) | 2,792,402 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 757,474 | — | — | (1,620,602 | ) | (863,128 | ) | 13,575,554 | — | — | (29,816,982 | ) | (16,241,428 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 2,028,682 | — | 96,572 | (3,811,559 | ) | (1,686,305 | ) | 30,618,318 | — | 1,381,948 | (58,892,516 | ) | (26,892,250 | ) | |||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1,356,361 | — | — | (4,929,776 | ) | (3,573,415 | ) | 24,093,105 | — | — | (87,314,810 | ) | (63,221,705 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 3,415,146 | — | 211,236 | (6,011,088 | ) | (2,384,706 | ) | 52,886,232 | — | 2,997,442 | (89,670,376 | ) | (33,786,702 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 17,900 | — | — | (79,499 | ) | (61,599 | ) | 313,453 | — | — | (1,404,050 | ) | (1,090,597 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 36,790 | — | 5,184 | (159,035 | ) | (117,061 | ) | 546,051 | — | 73,088 | (2,402,668 | ) | (1,783,529 | ) | |||||||||||||||||||||||||||||||||
MFS Total Return | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 85,624 | — | — | (57,589 | ) | 28,035 | 1,310,439 | — | — | (882,960 | ) | 427,479 | |||||||||||||||||||||||||||||||||||
12-31-10 | 159,828 | — | 954 | (28,056 | ) | 132,726 | 2,281,863 | — | 13,111 | (400,426 | ) | 1,894,548 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 151,838 | — | — | (671,726 | ) | (519,888 | ) | 2,346,016 | — | — | (10,400,202 | ) | (8,054,186 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 349,842 | — | 40,087 | (1,515,891 | ) | (1,125,962 | ) | 4,958,057 | — | 551,595 | (21,285,309 | ) | (15,775,657 | ) | |||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 815,427 | — | — | (5,196,803 | ) | (4,381,376 | ) | 12,586,951 | — | — | (80,473,128 | ) | (67,886,177 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 2,126,957 | — | 285,658 | (11,927,197 | ) | (9,514,582 | ) | 29,884,632 | — | 3,933,509 | (167,728,795 | ) | (133,910,654 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 60,830 | — | — | (159,850 | ) | (99,020 | ) | 930,810 | — | — | (2,446,315 | ) | (1,515,505 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 52,995 | — | 11,430 | (292,889 | ) | (228,464 | ) | 749,432 | — | 156,131 | (4,082,821 | ) | (3,177,258 | ) | |||||||||||||||||||||||||||||||||
MFS Utilities | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 491,595 | — | — | (11,692 | ) | 479,903 | 6,936,991 | — | — | (163,959 | ) | 6,773,032 | |||||||||||||||||||||||||||||||||||
12-31-10 | 430,760 | — | 11,291 | (45,426 | ) | 396,625 | 5,329,412 | — | 149,035 | (565,199 | ) | 4,913,248 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 15,616 | — | — | (34,523 | ) | (18,907 | ) | 221,714 | — | — | (486,245 | ) | (264,531 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 38,354 | — | 9,854 | (115,644 | ) | (67,436 | ) | 457,102 | — | 131,351 | (1,414,581 | ) | (826,128 | ) | |||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 2,281,193 | — | — | (2,633,609 | ) | (352,416 | ) | 32,289,194 | — | — | (36,856,345 | ) | (4,567,151 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 2,685,190 | — | 973,086 | (5,991,587 | ) | (2,333,311 | ) | 32,260,664 | — | 12,932,316 | (72,226,792 | ) | (27,033,812 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 3,182 | — | — | (655 | ) | 2,527 | 46,174 | — | — | (9,118 | ) | 37,056 | |||||||||||||||||||||||||||||||||||
12-31-10 | 6,077 | — | 165 | (69 | ) | 6,173 | 79,958 | — | 2,200 | (928 | ) | 81,230 | |||||||||||||||||||||||||||||||||||
Morgan Stanley Global Franchise | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 288,878 | — | — | (37,379 | ) | 251,499 | 4,351,621 | — | — | (544,216 | ) | 3,807,405 | |||||||||||||||||||||||||||||||||||
12-31-10 | 191,092 | — | 60 | (7,754 | ) | 183,398 | 2,594,317 | — | 762 | (104,596 | ) | 2,490,483 |
Year or | Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||||||
Morgan Stanley Global Franchise (continued) | |||||||||||||||||||||||||||||||||||||||||||||||
Class I(1) | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | — | — | — | (66 | ) | (66 | ) | — | — | — | (944 | ) | (944 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 2,032,126 | — | — | (3,483,684 | ) | (1,451,558 | ) | 30,591,493 | — | — | (51,928,062 | ) | (21,336,569 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 4,415,724 | — | 96,363 | (3,335,907 | ) | 1,176,180 | 59,102,064 | — | 1,246,939 | (42,188,754 | ) | 18,160,249 | |||||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 18,517 | — | — | (354,664 | ) | (336,147 | ) | 278,580 | — | — | (5,300,627 | ) | (5,022,047 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 71,100 | — | 14,474 | (533,061 | ) | (447,487 | ) | 965,686 | — | 186,281 | (6,943,839 | ) | (5,791,872 | ) | |||||||||||||||||||||||||||||||||
PIMCO Total Return Bond | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 2,240,314 | — | — | (87,597 | ) | 2,152,717 | 27,041,726 | — | — | (1,046,266 | ) | 25,995,460 | |||||||||||||||||||||||||||||||||||
12-31-10 | 5,752,936 | — | 100,940 | (105,467 | ) | 5,748,409 | 69,556,581 | — | 1,181,003 | (1,248,928 | ) | 69,488,656 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 12,752,680 | — | — | (11,917,867 | ) | 834,813 | 157,145,840 | — | — | (149,121,930 | ) | 8,023,910 | |||||||||||||||||||||||||||||||||||
12-31-10 | 23,495,506 | — | 2,080,606 | (20,937,256 | ) | 4,638,856 | 294,655,703 | — | 24,904,853 | (259,894,539 | ) | 59,666,017 | |||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 22,086,700 | — | — | (36,924,465 | ) | (14,837,765 | ) | 275,507,826 | — | — | (454,870,860 | ) | (179,363,034 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 44,269,391 | — | 20,434,670 | (62,853,104 | ) | 1,850,957 | 551,480,474 | — | 244,807,344 | (776,828,393 | ) | 19,459,425 | |||||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 376,923 | — | — | (757,069 | ) | (380,146 | ) | 4,661,646 | — | — | (9,327,833 | ) | (4,666,187 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 686,327 | — | 459,473 | (1,187,942 | ) | (42,142 | ) | 8,466,784 | — | 5,481,509 | (14,655,640 | ) | (707,347 | ) | |||||||||||||||||||||||||||||||||
Pioneer Mid Cap Value | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 108,472 | — | — | (43,303 | ) | 65,169 | 1,211,557 | — | — | (492,570 | ) | 718,987 | |||||||||||||||||||||||||||||||||||
12-31-10 | 263,001 | — | 1,990 | (11,503 | ) | 253,488 | 2,612,029 | — | 20,956 | (112,667 | ) | 2,520,318 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 6,518,607 | — | — | (2,014,186 | ) | 4,504,421 | 76,883,797 | — | — | (23,277,850 | ) | 53,605,947 | |||||||||||||||||||||||||||||||||||
12-31-10 | 4,949,015 | — | 282,309 | (4,521,631 | ) | 709,693 | 48,691,338 | — | 3,006,025 | (45,203,734 | ) | 6,493,629 | |||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 608,348 | — | — | (4,540,607 | ) | (3,932,259 | ) | 6,966,140 | — | — | (52,163,777 | ) | (45,197,637 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 2,005,346 | — | 465,136 | (10,257,788 | ) | (7,787,306 | ) | 19,884,070 | — | 4,891,937 | (100,511,015 | ) | (75,735,008 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 4,927 | — | — | (1,239 | ) | 3,688 | 57,022 | — | — | (14,066 | ) | 42,956 | |||||||||||||||||||||||||||||||||||
12-31-10 | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
T. Rowe Price Capital Appreciation | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1,558,425 | — | — | (263,664 | ) | 1,294,761 | 36,100,446 | — | — | (6,139,154 | ) | 29,961,292 | |||||||||||||||||||||||||||||||||||
12-31-10 | 2,346,113 | — | 51,710 | (317,743 | ) | 2,080,080 | 49,018,186 | — | 1,120,961 | (6,528,382 | ) | 43,610,765 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1,920,253 | — | — | (2,477,477 | ) | (557,224 | ) | 45,847,989 | — | — | (59,194,233 | ) | (13,346,244 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 9,125,610 | — | 351,366 | (4,603,034 | ) | 4,873,942 | 191,393,434 | — | 7,767,901 | (96,422,070 | ) | 102,739,265 | |||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 6,351,124 | — | — | (11,030,547 | ) | (4,679,423 | ) | 151,547,295 | — | — | (261,074,466 | ) | (109,527,171 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 8,720,294 | — | 2,382,543 | (17,657,261 | ) | (6,554,424 | ) | 184,890,160 | — | 52,294,597 | (370,073,074 | ) | (132,888,317 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 75,536 | — | — | (287,363 | ) | (211,827 | ) | 1,785,043 | — | — | (6,761,428 | ) | (4,976,385 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 80,180 | — | 55,591 | (578,953 | ) | (443,182 | ) | 1,688,526 | — | 1,209,755 | (12,165,007 | ) | (9,266,726 | ) | |||||||||||||||||||||||||||||||||
T. Rowe Price Equity Income | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 786,843 | 125,775 | — | (383,553 | ) | 529,065 | 9,616,737 | 1,505,928 | — | (4,581,253 | ) | 6,541,412 | |||||||||||||||||||||||||||||||||||
12-31-10 | 1,043,932 | — | 31,455 | (339,121 | ) | 736,266 | 11,242,803 | — | 359,907 | (3,563,057 | ) | 8,039,653 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 2,342,510 | 972,418 | — | (5,993,017 | ) | (2,678,089 | ) | 28,845,967 | 11,733,294 | — | (74,822,212 | ) | (34,242,951 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 11,555,287 | — | 680,039 | (6,236,477 | ) | 5,998,849 | 121,120,580 | — | 7,869,777 | (68,963,285 | ) | 60,027,072 | |||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 4,473,338 | 2,301,874 | — | (4,791,558 | ) | 1,983,654 | 54,721,262 | 27,804,643 | — | (58,484,454 | ) | 24,041,451 | |||||||||||||||||||||||||||||||||||
12-31-10 | 7,297,022 | — | 1,273,402 | (12,930,984 | ) | (4,360,560 | ) | 79,665,664 | — | 14,666,809 | (137,252,647 | ) | (42,920,174 | ) |
Year or | Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||||||
T. Rowe Price Equity Income (continued) | |||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 709,742 | 177,412 | — | (272,005 | ) | 615,149 | 8,653,484 | 2,128,936 | — | (3,305,078 | ) | 7,477,342 | |||||||||||||||||||||||||||||||||||
12-31-10 | 1,522,747 | — | 90,869 | (586,701 | ) | 1,026,915 | 16,346,628 | — | 1,040,339 | (6,280,633 | ) | 11,106,334 | |||||||||||||||||||||||||||||||||||
T. Rowe Price International Stock | |||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 163,854 | — | — | (167,916 | ) | (4,062 | ) | 1,965,580 | — | — | (2,049,391 | ) | (83,811 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 308,924 | — | 4,390 | (299,191 | ) | 14,123 | 3,234,359 | — | 43,156 | (2,942,571 | ) | 334,944 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 135,701 | — | — | (11,773,600 | ) | (11,637,899 | ) | 1,616,888 | — | — | (138,086,763 | ) | (136,469,875 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 9,241,246 | — | 309,502 | (8,711,059 | ) | 839,689 | 94,863,743 | — | 3,023,842 | (97,824,649 | ) | 62,936 | |||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 317,349 | — | — | (1,054,514 | ) | (737,165 | ) | 3,821,111 | — | — | (12,563,922 | ) | (8,742,811 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 462,855 | — | 301,733 | (4,470,362 | ) | (3,705,774 | ) | 4,697,473 | — | 2,938,875 | (46,002,008 | ) | (38,365,660 | ) | |||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 45,326 | — | — | (51,083 | ) | (5,757 | ) | 543,214 | — | — | (613,632 | ) | (70,418 | ) | |||||||||||||||||||||||||||||||||
12-31-10 | 51,341 | — | — | (468 | ) | 50,873 | 567,766 | — | — | (5,321 | ) | 562,445 |
(1) | Class S2 and Class I for BlackRock Health Sciences Opportunities and Morgan Stanley Global Franchise, respectively, closed on June 10, 2011. |
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. At June 30, 2011, the following Portfolios had securities on loan with the following market values:
Portfolio | Value of Securities Loaned | Cash Collateral Received* | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Artio Foreign | $ | 19,845,212 | $ | 20,903,245 | ||||||
BlackRock Health Sciences Opportunities | 18,722,695 | 19,220,007 | ||||||||
Clarion Global Real Estate | 31,708,978 | 33,309,114 | ||||||||
FMRSM Diversified Mid Cap | 81,327,814 | 84,979,274 | ||||||||
Global Resources | 12,960,117 | 13,301,135 | ||||||||
Invesco Van Kampen Growth and Income | 9,114,506 | 9,318,495 | ||||||||
Janus Contrarian | 24,093,080 | 24,951,060 | ||||||||
JPMorgan Emerging Markets Equity | 92,720,098 | 95,722,611 | ||||||||
Marsico Growth | 50,637,304 | 51,687,833 | ||||||||
MFS Total Return | 9,537,663 | 9,748,750 | ||||||||
Morgan Stanley Global Franchise | 3,082,588 | 3,202,856 | ||||||||
PIMCO Total Return Bond | 67,521,909 | 69,167,017 | ||||||||
Pioneer Mid Cap Value | 35,694,016 | 36,532,783 | ||||||||
T. Rowe Price Capital Appreciation | 3,127,374 | 3,196,250 | ||||||||
T. Rowe Price Equity Income | 35,048,908 | 35,911,910 | ||||||||
T. Rowe Price International Stock | 13,106,178 | 13,639,735 |
* | Cash collateral received was invested in the BICR Fund, the fair value of which is presented in the Portfolio’s Summary Portfolio of Investments. |
Net investment income | $ | 13,483,772 | ||||
Net realized and unrealized gain on investments | $ | 60,562,212 | ||||
Net increase in net assets resulting from operations | $ | 74,045,984 |
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 | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
T. Rowe Price Equity Income | ING BlackRock Large Cap Value Portfolio | $43,173 | $1,563,267 | $33,620 | $5,113 | 0.8628 |
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Ordinary Income | Long-Term Capital Gains | |||||||||||||
Clarion Global Real Estate | $ | — | $ | 34,408,351 | $ | — | |||||||||
FMRSM Diversified Mid Cap | — | 1,891,747 | — | ||||||||||||
Global Resources | — | 8,490,761 | — | ||||||||||||
Invesco Van Kampen Growth and Income | — | 1,532,101 | — | ||||||||||||
JPMorgan Emerging Markets Equity | — | 5,689,366 | 56,173,035 | ||||||||||||
Liquid Assets | 12,723 | 145,568 | — | ||||||||||||
Marsico Growth | — | 4,467,945 | — | ||||||||||||
MFS Total Return | — | 4,654,346 | — | ||||||||||||
MFS Utilities | — | 13,214,902 | — |
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Ordinary Income | Long-Term Capital Gains | |||||||||||||
Morgan Stanley Global Franchise | $ | — | $ | 1,433,982 | $ | — | |||||||||
PIMCO Total Return Bond | — | 268,124,273 | 8,250,436 | ||||||||||||
Pioneer Mid Cap Value | — | 7,918,918 | — | ||||||||||||
T. Rowe Price Capital Appreciation | — | 62,393,214 | — | ||||||||||||
T. Rowe Price Equity Income | — | 23,936,832 | — | ||||||||||||
T. Rowe Price International Stock | — | 6,005,873 | — |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Unrealized Appreciation/ (Depreciation) | Post-October Capital Loss Deferred | Post-October Currency Loss Deferred | Post-October PFIC Loss Deferred | Capital Loss Carryforwards | Expiration Dates | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Artio Foreign | $ | 11,699,843 | $ | — | $ | 135,608,946 | $ | — | $ | (628,956 | ) | $ | — | $ | (8,524,839 | ) | 2015 | |||||||||||||||||
(282,954,941 | ) | 2016 | ||||||||||||||||||||||||||||||||
(297,755,976 | ) | 2017 | ||||||||||||||||||||||||||||||||
$ | (589,235,756 | )* | ||||||||||||||||||||||||||||||||
BlackRock Health Sciences Opportunities | 1,133,983 | — | 23,157,518 | — | — | — | (5,366,145 | ) | 2016 | |||||||||||||||||||||||||
(16,678,678 | ) | 2017 | ||||||||||||||||||||||||||||||||
$ | (22,044,823 | ) | ||||||||||||||||||||||||||||||||
Clarion Global Real Estate | 14,319,188 | — | 60,295,569 | — | — | — | (20,588,432 | ) | 2015 | |||||||||||||||||||||||||
(76,339,565 | ) | 2016 | ||||||||||||||||||||||||||||||||
(138,763,608 | ) | 2017 | ||||||||||||||||||||||||||||||||
(9,458,504 | ) | 2018 | ||||||||||||||||||||||||||||||||
$ | (245,150,109 | )* | ||||||||||||||||||||||||||||||||
FMRSM Diversified Mid Cap | 2,495,935 | — | 372,350,078 | — | (39,542 | ) | — | (111,124,163 | ) | 2016 | ||||||||||||||||||||||||
(182,829,613 | ) | 2017 | ||||||||||||||||||||||||||||||||
$ | (293,953,776 | )* | ||||||||||||||||||||||||||||||||
Global Resources | 5,902,004 | — | 175,276,563 | — | (19,407 | ) | — | (13,763,230 | ) | 2016 | ||||||||||||||||||||||||
(177,383,563 | ) | 2017 | ||||||||||||||||||||||||||||||||
$ | (191,146,793 | ) | ||||||||||||||||||||||||||||||||
Invesco Van Kampen Growth and Income | 7,094,993 | — | 90,212,229 | — | — | — | (62,714,901 | ) | 2017 | |||||||||||||||||||||||||
Janus Contrarian | 3,397,985 | — | 44,306,547 | — | (407,942 | ) | — | (25,190,774 | ) | 2016 | ||||||||||||||||||||||||
(280,055,784 | ) | 2017 | ||||||||||||||||||||||||||||||||
$ | (305,246,558 | ) | ||||||||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity | 9,841,567 | 35,076,027 | 315,631,129 | — | — | — | — | — | ||||||||||||||||||||||||||
Liquid Assets | 292,515 | — | (1,022 | ) | — | — | — | — | — | |||||||||||||||||||||||||
Marsico Growth | 2,075,693 | — | 205,418,052 | — | — | — | (110,597,085 | ) | 2011 | |||||||||||||||||||||||||
(116,725,262 | ) | 2016 | ||||||||||||||||||||||||||||||||
(51,567,144 | ) | 2017 | ||||||||||||||||||||||||||||||||
$ | (278,889,491 | ) | ||||||||||||||||||||||||||||||||
MFS Total Return | 22,882,856 | — | 95,108,497 | — | — | — | (58,090,117 | ) | 2016 | |||||||||||||||||||||||||
(133,304,957 | ) | 2017 | ||||||||||||||||||||||||||||||||
$ | (191,395,074 | ) | ||||||||||||||||||||||||||||||||
MFS Utilities | 2,713,619 | — | 77,557,752 | — | — | — | (17,441,017 | ) | 2016 | |||||||||||||||||||||||||
(100,265,704 | ) | 2017 | ||||||||||||||||||||||||||||||||
(11,988,077 | ) | 2018 | ||||||||||||||||||||||||||||||||
$ | (129,694,798 | ) |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Unrealized Appreciation/ (Depreciation) | Post-October Capital Loss Deferred | Post-October Currency Loss Deferred | Post-October PFIC Loss Deferred | Capital Loss Carryforwards | Expiration Dates | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Global Franchise | $ | 9,409,118 | $ | — | $ | 56,057,164 | $ | — | $ | — | $ | — | $ | (7,925,593 | ) | 2017 | ||||||||||||||||||
PIMCO Total Return Bond | 233,213,252 | 46,291,601 | 71,823,416 | (15,777,156 | ) | — | — | �� | — | |||||||||||||||||||||||||
Pioneer Mid Cap Value | 1,510,751 | — | 114,654,231 | — | — | — | (63,136,820 | ) | 2016 | |||||||||||||||||||||||||
(138,590,943 | ) | 2017 | ||||||||||||||||||||||||||||||||
�� | $ | (201,727,763 | )* | |||||||||||||||||||||||||||||||
T. Rowe Price Capital Appreciation | 17,343,096 | — | 486,224,046 | — | (56,941 | ) | — | (182,172,579 | ) | 2017 | ||||||||||||||||||||||||
T. Rowe Price Equity Income | 4,546,108 | — | 133,925,148 | (6,144,904 | ) | — | — | (4,004,428 | ) | 2015 | ||||||||||||||||||||||||
(17,005,247 | ) | 2016 | ||||||||||||||||||||||||||||||||
(82,123,990 | ) | 2017 | ||||||||||||||||||||||||||||||||
(7,138,763 | ) | 2018 | ||||||||||||||||||||||||||||||||
$ | (110,272,428 | )* | ||||||||||||||||||||||||||||||||
T. Rowe Price International Stock | 8,810,385 | — | 35,292,913 | — | (890,615 | ) | (1,572,365 | ) | (73,742,322 | ) | 2016 | |||||||||||||||||||||||
(82,466,488 | ) | 2017 | ||||||||||||||||||||||||||||||||
$ | (156,208,810 | ) |
* | 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. |
Per Share Amounts | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net Investment Income | Short-Term Capital Gains | Long-Term Capital Gains | Payable Date | Record Date | ||||||||||||||||||
Artio Foreign | ||||||||||||||||||||||
Class ADV | $ | 0.1545 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.2339 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.2018 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.1856 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
BlackRock Health Sciences Opportunities | ||||||||||||||||||||||
Class ADV | $ | 0.0769 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.0826 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.0570 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Clarion Global Real Estate | ||||||||||||||||||||||
Class ADV | $ | 0.3459 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.3566 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.3320 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.3158 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
FMRSM Diversified Mid Cap | ||||||||||||||||||||||
Class ADV | $ | 0.0293 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.0293 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.0293 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.0293 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Global Resources | ||||||||||||||||||||||
Class ADV | $ | 0.1569 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.1671 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.1154 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.0865 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Invesco Van Kampen Growth and Income | ||||||||||||||||||||||
Class ADV | $ | 0.2623 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.3207 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.2638 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.2320 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Janus Contrarian | ||||||||||||||||||||||
Class ADV | $ | 0.0339 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.1143 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.0813 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.0646 | — | — | July 15, 2011 | July 13, 2011 |
Per Share Amounts | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net Investment Income | Short-Term Capital Gains | Long-Term Capital Gains | Payable Date | Record Date | ||||||||||||||||||
JPMorgan Emerging Markets Equity | ||||||||||||||||||||||
Class ADV | $ | 0.1930 | $ | — | $ | 0.6934 | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.2348 | — | 0.6934 | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.1785 | — | 0.6934 | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.1458 | — | 0.6934 | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Liquid Assets | ||||||||||||||||||||||
Class I | $ | — | $ | 0.0003 | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class S | — | 0.0003 | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | — | 0.0003 | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Marsico Growth | ||||||||||||||||||||||
Class ADV | $ | 0.0071 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.0823 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.0393 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.0162 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
MFS Total Return | ||||||||||||||||||||||
Class ADV | $ | 0.3544 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.4058 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.3641 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.3448 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
MFS Utilities | ||||||||||||||||||||||
Class ADV | $ | 0.0685 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.0685 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.0685 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.0685 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Morgan Stanley Global Franchise | ||||||||||||||||||||||
Class ADV | $ | 0.3859 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class S | 0.3597 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.3334 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
PIMCO Total Return Bond | ||||||||||||||||||||||
Class ADV | $ | 0.5348 | $ | 0.3286 | $ | 0.1681 | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.5495 | 0.3286 | 0.1681 | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.5145 | 0.3286 | 0.1681 | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.4952 | 0.3286 | 0.1681 | �� | July 15, 2011 | July 13, 2011 | ||||||||||||||||
Pioneer Mid Cap Value | ||||||||||||||||||||||
Class ADV | $ | 0.0188 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.0188 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.0188 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.0188 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
T. Rowe Price Capital Appreciation | ||||||||||||||||||||||
Class ADV | $ | 0.1008 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.1008 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.1008 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.1008 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
T. Rowe Price Equity Income | ||||||||||||||||||||||
Class ADV | $ | 0.0355 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.0355 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.0355 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.0355 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
T. Rowe Price International Stock | ||||||||||||||||||||||
Class ADV | $ | 0.3673 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||||
Class I | 0.4274 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S | 0.3965 | — | — | July 15, 2011 | July 13, 2011 | |||||||||||||||||
Class S2 | 0.3988 | — | — | July 15, 2011 | July 13, 2011 |
ING ARTIO FOREIGN PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
as of June 30, 2011
(as a percentage of net assets)
United Kingdom | 13.6 | % | ||||
Japan | 8.4 | % | ||||
Germany | 7.4 | % | ||||
Canada | 6.5 | % | ||||
France | 6.4 | % | ||||
China | 6.3 | % | ||||
Russia | 6.3 | % | ||||
India | 4.9 | % | ||||
Hong Kong | 4.9 | % | ||||
United States | 0.5 | % | ||||
Countries between 0.1%–4.0%ˆ | 30.2 | % | ||||
Other Assets and Liabilities — Net* | 4.6 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. | |
ˆ | Includes 25 countries, which each represents 0.1%-4.0% of net assets. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 94.1% | |||||||||||||||||||
Australia: 2.4% | |||||||||||||||||||
1,673,752 | Macquarie Airports Management Ltd. | $ 6,010,456 | 0.9 | ||||||||||||||||
229,375 | Newcrest Mining Ltd. | 9,294,190 | 1.4 | ||||||||||||||||
626,165 | Other Securities | 1,107,047 | 0.1 | ||||||||||||||||
16,411,693 | 2.4 | ||||||||||||||||||
Austria: 1.3% | |||||||||||||||||||
167,705 | Erste Bank der Oesterreichischen Sparkassen AG | 8,783,289 | 1.3 | ||||||||||||||||
Brazil: 1.4% | |||||||||||||||||||
562,644 | Hypermarcas SA | 5,299,629 | 0.8 | ||||||||||||||||
218,933 | Other Securities | 4,265,220 | 0.6 | ||||||||||||||||
9,564,849 | 1.4 | ||||||||||||||||||
Canada: 6.5% | |||||||||||||||||||
182,712 | Barrick Gold Corp. | 8,295,877 | 1.2 | ||||||||||||||||
287,142 | @ | Ivanhoe Mines Ltd. | 7,255,587 | 1.0 | |||||||||||||||
166,682 | Potash Corp. of Saskatchewan, Inc. | 9,519,254 | 1.4 | ||||||||||||||||
274,253 | Suncor Energy, Inc. | 10,748,886 | 1.6 | ||||||||||||||||
225,052 | Other Securities | 8,789,571 | 1.3 | ||||||||||||||||
44,609,175 | 6.5 | ||||||||||||||||||
China: 6.3% | |||||||||||||||||||
62,775 | Baidu.com ADR | 8,796,661 | 1.3 | ||||||||||||||||
3,522,000 | Belle International Holdings | 7,440,889 | 1.1 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
China: (continued) | |||||||||||||||||||
143,243 | @ | Ctrip.com International Ltd. ADR | $ 6,170,908 | 0.9 | |||||||||||||||
9,369,630 | Other Securities | 20,579,472 | 3.0 | ||||||||||||||||
42,987,930 | 6.3 | ||||||||||||||||||
Czech Republic: 1.3% | |||||||||||||||||||
35,209 | Komercni Banka A/S | 8,579,407 | 1.3 | ||||||||||||||||
Denmark: 2.1% | |||||||||||||||||||
79,329 | Novo-Nordisk A/S | 9,938,284 | 1.5 | ||||||||||||||||
40,668 | Other Securities | 4,428,049 | 0.6 | ||||||||||||||||
14,366,333 | 2.1 | ||||||||||||||||||
Finland: 0.9% | |||||||||||||||||||
373,757 | Other Securities | 5,896,388 | 0.9 | ||||||||||||||||
France: 6.4% | |||||||||||||||||||
107,467 | BNP Paribas | 8,286,717 | 1.2 | ||||||||||||||||
106,703 | Cie Generale D’Optique Essilor International S.A. | 8,657,800 | 1.3 | ||||||||||||||||
40,308 | LVMH Moet Hennessy Louis Vuitton S.A. | 7,243,276 | 1.0 | ||||||||||||||||
33,866 | Schneider Electric S.A. | 5,654,701 | 0.8 | ||||||||||||||||
188,302 | Other Securities | 14,100,440 | 2.1 | ||||||||||||||||
43,942,934 | 6.4 | ||||||||||||||||||
Germany: 6.4% | |||||||||||||||||||
77,329 | DaimlerChrysler AG | 5,831,531 | 0.9 | ||||||||||||||||
190,023 | Fraport AG Frankfurt Airport Services Worldwide | 15,268,198 | 2.2 | ||||||||||||||||
91,511 | Fresenius AG | 9,552,031 | 1.4 | ||||||||||||||||
147,112 | Other Securities | 13,035,343 | 1.9 | ||||||||||||||||
43,687,103 | 6.4 | ||||||||||||||||||
Greece: 0.6% | |||||||||||||||||||
153,374 | Other Securities | 4,119,794 | 0.6 | ||||||||||||||||
Hong Kong: 4.9% | |||||||||||||||||||
1,436,000 | China Resources Enterprise | 5,883,938 | 0.9 | ||||||||||||||||
3,198,000 | Hang Lung Properties Ltd. | 13,149,047 | 1.9 | ||||||||||||||||
9,714,915 | Other Securities | 14,074,047 | 2.1 | ||||||||||||||||
33,107,032 | 4.9 | ||||||||||||||||||
India: 4.9% | |||||||||||||||||||
383,744 | Adani Enterprises Ltd. | 6,146,295 | 0.9 | ||||||||||||||||
141,443 | Larsen & Toubro Ltd. | 5,785,406 | 0.9 | ||||||||||||||||
2,156,860 | Other Securities | 21,444,821 | 3.1 | ||||||||||||||||
33,376,522 | 4.9 | ||||||||||||||||||
Ireland: 1.5% | |||||||||||||||||||
770,100 | Dragon Oil PLC | 6,463,669 | 0.9 | ||||||||||||||||
177,825 | Other Securities | 3,964,085 | 0.6 | ||||||||||||||||
10,427,754 | 1.5 | ||||||||||||||||||
Israel: 0.4% | |||||||||||||||||||
52,261 | Other Securities | 2,520,025 | 0.4 |
ING ARTIO FOREIGN PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: (continued) | |||||||||||||||||||
Italy: 1.9% | |||||||||||||||||||
374,167 | Fiat Industrial SpA | $ 4,832,624 | 0.7 | ||||||||||||||||
111,047 | Saipem S.p.A. | 5,734,537 | 0.9 | ||||||||||||||||
162,359 | Other Securities | 2,267,222 | 0.3 | ||||||||||||||||
12,834,383 | 1.9 | ||||||||||||||||||
Japan: 8.4% | |||||||||||||||||||
28,900 | Fanuc Ltd. | 4,832,746 | 0.7 | ||||||||||||||||
191,628 | Komatsu Ltd. | 5,983,228 | 0.9 | ||||||||||||||||
159,733 | Toyota Motor Corp. | 6,577,675 | 0.9 | ||||||||||||||||
123,200 | Uni-Charm Corp. | 5,382,583 | 0.8 | ||||||||||||||||
1,934,131 | Other Securities | 34,738,780 | 5.1 | ||||||||||||||||
57,515,012 | 8.4 | ||||||||||||||||||
Lebanon: 0.2% | |||||||||||||||||||
86,858 | # | Solidere GDR | 1,520,884 | 0.2 | |||||||||||||||
Luxembourg: 0.7% | |||||||||||||||||||
1,038,614 | Other Securities | 4,431,674 | 0.7 | ||||||||||||||||
Macau: 0.9% | |||||||||||||||||||
2,024,300 | Other Securities | 5,853,195 | 0.9 | ||||||||||||||||
Mexico: 0.5% | |||||||||||||||||||
1,099,426 | Other Securities | 3,552,035 | 0.5 | ||||||||||||||||
Netherlands: 1.6% | |||||||||||||||||||
211,911 | Royal Dutch Shell PLC — Class A | 7,540,575 | 1.1 | ||||||||||||||||
64,163 | Other Securities | 3,417,887 | 0.5 | ||||||||||||||||
10,958,462 | 1.6 | ||||||||||||||||||
Nigeria: 0.6% | |||||||||||||||||||
6,854,228 | Other Securities | 3,932,754 | 0.6 | ||||||||||||||||
Norway: 0.2% | |||||||||||||||||||
1,859,886 | Other Securities | 1,491,954 | 0.2 | ||||||||||||||||
Portugal: 0.3% | |||||||||||||||||||
114,173 | Other Securities | 2,192,782 | 0.3 | ||||||||||||||||
Romania: 1.3% | |||||||||||||||||||
1,418,538 | BRD-Groupe Societe Generale | 6,822,980 | 1.0 | ||||||||||||||||
14,656,000 | Other Securities | 1,921,864 | 0.3 | ||||||||||||||||
8,744,844 | 1.3 | ||||||||||||||||||
Russia: 6.3% | |||||||||||||||||||
66,654 | Pharmstandard | 5,038,119 | 0.8 | ||||||||||||||||
826,500 | Rosneft Oil Co. GDR | 6,967,673 | 1.0 | ||||||||||||||||
4,234,882 | Sberbank of Russian Federation | 15,173,891 | 2.2 | ||||||||||||||||
1,880,097 | @ | VTB Bank OJSC GDR | 11,609,780 | 1.7 | |||||||||||||||
180,229 | Other Securities | 4,082,811 | 0.6 | ||||||||||||||||
42,872,274 | 6.3 | ||||||||||||||||||
South Africa: 0.4% | |||||||||||||||||||
193,888 | Other Securities | 2,919,060 | 0.4 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
South Korea: 2.1% | |||||||||||||||||||
210,349 | Celltrion, Inc. | $ 8,727,202 | 1.3 | ||||||||||||||||
23,973 | Hyundai Motor Co. | 5,344,389 | 0.8 | ||||||||||||||||
14,071,591 | 2.1 | ||||||||||||||||||
Sweden: 1.5% | |||||||||||||||||||
265,374 | Volvo AB — B Shares | 4,645,714 | 0.7 | ||||||||||||||||
154,462 | Other Securities | 5,793,728 | 0.8 | ||||||||||||||||
10,439,442 | 1.5 | ||||||||||||||||||
Switzerland: 4.0% | |||||||||||||||||||
48,063 | @ | Dufry Group | 6,053,966 | 0.9 | |||||||||||||||
19,677 | Syngenta AG | 6,649,852 | 1.0 | ||||||||||||||||
357,731 | Other Securities | 14,618,394 | 2.1 | ||||||||||||||||
27,322,212 | 4.0 | ||||||||||||||||||
Taiwan: 2.0% | |||||||||||||||||||
407,450 | High Tech Computer Corp. | 13,776,386 | 2.0 | ||||||||||||||||
Ukraine: 0.1% | |||||||||||||||||||
13,488,271 | Other Securities | 521,931 | 0.1 | ||||||||||||||||
United Kingdom: 13.6% | |||||||||||||||||||
474,464 | BG Group PLC | 10,773,180 | 1.6 | ||||||||||||||||
340,643 | BHP Billiton PLC | 13,385,198 | 2.0 | ||||||||||||||||
540,020 | HSBC Holdings PLC | 5,354,173 | 0.8 | ||||||||||||||||
120,000 | @ | Pharmstandard — Reg S GDR | 2,749,449 | 0.4 | |||||||||||||||
107,032 | Rio Tinto PLC | 7,728,354 | 1.1 | ||||||||||||||||
1,844,337 | Vodafone Group PLC | 4,890,541 | 0.7 | ||||||||||||||||
418,162 | Xstrata PLC | 9,210,213 | 1.4 | ||||||||||||||||
27,130,403 | Other Securities | 38,453,301 | 5.6 | ||||||||||||||||
92,544,409 | 13.6 | ||||||||||||||||||
United States: 0.2% | |||||||||||||||||||
231,829 | Other Securities | 1,188,427 | 0.2 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $583,194,202) | 641,063,939 | 94.1 | |||||||||||||||||
EXCHANGE-TRADED FUNDS: 0.3% | |||||||||||||||||||
United States: 0.3% | |||||||||||||||||||
41,731 | Other Securities | 2,278,095 | 0.3 | ||||||||||||||||
Total Exchange-Traded Funds | |||||||||||||||||||
(Cost $2,190,866) | 2,278,095 | 0.3 | |||||||||||||||||
PREFERRED STOCK: 1.0% | |||||||||||||||||||
Germany: 1.0% | |||||||||||||||||||
33,807 | Volkswagen AG | 6,991,184 | 1.0 | ||||||||||||||||
Total Preferred Stock | |||||||||||||||||||
(Cost $4,889,671) | 6,991,184 | 1.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $590,274,739) | 650,333,218 | 95.4 |
ING ARTIO FOREIGN PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 3.9% | |||||||||||||||||||
Securities Lending Collateralcc: 3.0% | |||||||||||||||||||
18,441,470 | BNY Mellon Overnight Government Fund(1) | $ 18,441,470 | 2.7 | ||||||||||||||||
2,461,775 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,969,420 | 0.3 | |||||||||||||||
Total Securities Lending Collateral | |||||||||||||||||||
(Cost $20,903,245) | 20,410,890 | 3.0 | |||||||||||||||||
Mutual Funds: 0.9% | |||||||||||||||||||
6,487,931 | Blackrock Liquidity Funds TempFund Portfolio — Class I (Cost $6,487,931) | 6,487,931 | 0.9 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $27,391,176) | 26,898,821 | 3.9 | |||||||||||||||||
Total Investments in Securities (Cost $617,665,915)* | $677,232,039 | 99.3 | |||||||||||||||||
Assets in Excess of Other Liabilities | 4,482,900 | 0.7 | |||||||||||||||||
Net Assets | $681,714,939 | 100.0 |
@ | 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. | |
# | Non-income producing security | |
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
cc | Securities purchased with cash collateral for securities loaned. | |
R | Restricted Security | |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. | |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |
* | Cost for federal income tax purposes is $622,170,140. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 83,055,630 | ||||
Gross Unrealized Depreciation | (27,993,731 | ) | ||||
Net Unrealized appreciation | $ | 55,061,899 |
Industry | Percentage of Net Assets | |||||
---|---|---|---|---|---|---|
Consumer Discretionary | 16.2 | % | ||||
Consumer Staples | 9.1 | |||||
Energy | 9.6 | |||||
Financials | 16.1 | |||||
Health Care | 10.1 | |||||
Industrials | 13.2 | |||||
Information Technology | 4.1 | |||||
Materials | 15.0 | |||||
Telecommunication Services | 1.5 | |||||
Telecommunications | 0.2 | |||||
Utilities | 0.3 | |||||
Short-Term Investments | 3.9 | |||||
Other Assets and Liabilities — Net | 0.7 | |||||
Net Assets | 100.0 | % |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Australia | $ | — | $ | 16,411,693 | $ | — | $ | 16,411,693 | ||||||||||
Austria | — | 8,783,289 | — | 8,783,289 | ||||||||||||||
Brazil | 9,564,849 | — | — | 9,564,849 | ||||||||||||||
Canada | 44,609,175 | — | — | 44,609,175 | ||||||||||||||
China | 17,765,408 | 25,222,522 | — | 42,987,930 | ||||||||||||||
Czech Republic | — | 8,579,407 | — | 8,579,407 | ||||||||||||||
Denmark | — | 14,366,333 | — | 14,366,333 | ||||||||||||||
Finland | — | 5,896,388 | — | 5,896,388 | ||||||||||||||
France | — | 43,942,934 | — | 43,942,934 | ||||||||||||||
Germany | 585,441 | 43,101,662 | — | 43,687,103 | ||||||||||||||
Greece | — | 4,119,794 | — | 4,119,794 | ||||||||||||||
Hong Kong | — | 33,107,032 | — | 33,107,032 | ||||||||||||||
India | — | 33,376,522 | — | 33,376,522 |
ING ARTIO FOREIGN PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ireland | $ | — | $ | 10,427,754 | $ | — | $ | 10,427,754 | ||||||||||
Israel | 2,520,025 | — | — | 2,520,025 | ||||||||||||||
Italy | — | 12,834,383 | — | 12,834,383 | ||||||||||||||
Japan | — | 57,515,012 | — | 57,515,012 | ||||||||||||||
Lebanon | 1,520,884 | — | — | 1,520,884 | ||||||||||||||
Luxembourg | — | 4,431,674 | — | 4,431,674 | ||||||||||||||
Macau | — | 5,853,195 | — | 5,853,195 | ||||||||||||||
Mexico | 3,552,035 | — | — | 3,552,035 | ||||||||||||||
Netherlands | — | 10,958,462 | — | 10,958,462 | ||||||||||||||
Nigeria | 3,932,754 | — | — | 3,932,754 | ||||||||||||||
Norway | — | 1,491,954 | — | 1,491,954 | ||||||||||||||
Portugal | — | 2,192,782 | — | 2,192,782 | ||||||||||||||
Romania | — | 8,744,844 | — | 8,744,844 | ||||||||||||||
Russia | 22,674,308 | 20,197,966 | — | 42,872,274 | ||||||||||||||
South Africa | — | 2,919,060 | — | 2,919,060 | ||||||||||||||
South Korea | — | 14,071,591 | — | 14,071,591 | ||||||||||||||
Sweden | 3,887,003 | 6,552,439 | — | 10,439,442 | ||||||||||||||
Switzerland | 9,056,651 | 18,265,561 | — | 27,322,212 | ||||||||||||||
Taiwan | — | 13,776,386 | — | 13,776,386 | ||||||||||||||
Ukraine | — | 521,931 | — | 521,931 | ||||||||||||||
United Kingdom | — | 92,544,409 | — | 92,544,409 | ||||||||||||||
United States | 1,188,427 | — | — | 1,188,427 | ||||||||||||||
Total Common Stock | 120,856,960 | 520,206,979 | — | 641,063,939 | ||||||||||||||
Exchange-Traded Funds | 2,278,095 | — | — | 2,278,095 | ||||||||||||||
Preferred Stock | — | 6,991,184 | — | 6,991,184 | ||||||||||||||
Short-Term Investments | 24,929,401 | — | 1,969,420 | 26,898,821 | ||||||||||||||
Total Investments, at value | $ | 148,064,456 | $ | 527,198,163 | $ | 1,969,420 | $ | 677,232,039 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (222,419 | ) | $ | — | $ | (222,419 | ) | ||||||||
Total Liabilities | $ | — | $ | (222,419 | ) | $ | — | $ | (222,419 | ) |
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 1,969,420 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,969,420 | ||||||||||||||||||||
Total Investments, at value | $ | 1,969,420 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,969,420 |
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 Summary Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts 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 significant portion of the Portfolio’s investments are categorized as Level 2 investments. |
ING ARTIO FOREIGN PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JP Morgan Chase & Co. | Japanese Yen | 606,310,735 | Buy | 09/21/11 | $ | 7,558,099 | $ | 7,535,020 | $ | (23,079 | ) | |||||||||||||||||||
$ | (23,079 | ) | ||||||||||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 11,443,772 | Sell | 09/21/11 | $ | 16,422,098 | $ | 16,555,314 | $ | (133,216 | ) | |||||||||||||||||||
Deutsche Bank AG | EU Euro | 5,822,167 | Sell | 09/21/11 | 8,356,702 | 8,422,731 | (66,029 | ) | ||||||||||||||||||||||
Northern Trust | Czech Koruna | 11,562,249 | Sell | 07/07/11 | 689,296 | 689,391 | (95 | ) | ||||||||||||||||||||||
$ | (199,340 | ) |
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 | $ | 222,419 | |||||||
Total Liability Derivatives | $ | 222,419 |
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 | $ | (1,811,623 | ) | |||
Total | $ | (1,811,623 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | |||||
Foreign exchange contracts | $ | (261,634 | ) | |||
Total | $ | (261,634 | ) |
* | 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 BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
as of June 30, 2011
(as a percentage of net assets)
Health Care | 95.9 | % | ||||
Other Assets and Liabilities — Net* | 4.1 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 95.9% | |||||||||||||||||||
Health Care: 95.9% | |||||||||||||||||||
56,800 | Abbott Laboratories | $ 2,988,816 | 1.2 | ||||||||||||||||
77,900 | Acorda Therapeutics, Inc. | 2,516,949 | 1.0 | ||||||||||||||||
138,120 | Aetna, Inc. | 6,089,711 | 2.5 | ||||||||||||||||
35,900 | Agilent Technologies, Inc. | 1,834,849 | 0.8 | ||||||||||||||||
41,496 | Alexion Pharmaceuticals, Inc. | 1,951,557 | 0.8 | ||||||||||||||||
85,618 | Allergan, Inc. | 7,127,698 | 3.0 | ||||||||||||||||
115,500 | AmerisourceBergen Corp. | 4,781,700 | 2.0 | ||||||||||||||||
95,819 | Amgen, Inc. | 5,591,039 | 2.3 | ||||||||||||||||
121,500 | Baxter International, Inc. | 7,252,335 | 3.0 | ||||||||||||||||
35,900 | Biogen Idec, Inc. | 3,838,428 | 1.6 | ||||||||||||||||
193,334 | Bristol-Myers Squibb Co. | 5,598,953 | 2.3 | ||||||||||||||||
130,347 | Cardinal Health, Inc. | 5,920,361 | 2.5 | ||||||||||||||||
82,262 | Celgene Corp. | 4,962,044 | 2.1 | ||||||||||||||||
53,400 | Cooper Cos., Inc. | 4,231,416 | 1.8 | ||||||||||||||||
134,910 | Covidien PLC | 7,181,259 | 3.0 | ||||||||||||||||
14,600 | CR Bard, Inc. | 1,603,956 | 0.7 | ||||||||||||||||
63,400 | DaVita, Inc. | 5,491,074 | 2.3 | ||||||||||||||||
44,430 | Express Scripts, Inc. | 2,398,331 | 1.0 | ||||||||||||||||
44,600 | Forest Laboratories, Inc. | 1,754,564 | 0.7 | ||||||||||||||||
97,098 | Fresenius Medical Care AG & Co. KGaA | 7,262,478 | 3.0 | ||||||||||||||||
85,013 | Gilead Sciences, Inc. | 3,520,388 | 1.5 | ||||||||||||||||
24,900 | Haemonetics Corp. | 1,602,813 | 0.7 | ||||||||||||||||
77,400 | Henry Schein, Inc. | 5,541,066 | 2.3 | ||||||||||||||||
56,400 | Hill-Rom Holdings, Inc. | 2,596,656 | 1.1 | ||||||||||||||||
234,000 | Hologic, Inc. | 4,719,780 | 2.0 | ||||||||||||||||
49,872 | L | Hospira, Inc. | 2,825,748 | 1.2 | |||||||||||||||
90,258 | L | Human Genome Sciences, Inc. | 2,214,931 | 0.9 | |||||||||||||||
27,400 | Humana, Inc. | 2,206,796 | 0.9 | ||||||||||||||||
37,900 | L | Integra LifeSciences Holdings Corp. | 1,811,999 | 0.7 | |||||||||||||||
84,800 | Johnson & Johnson | 5,640,896 | 2.3 | ||||||||||||||||
49,900 | Laboratory Corp. of America Holdings | 4,829,821 | 2.0 | ||||||||||||||||
53,491 | Life Technologies Corp. | 2,785,276 | 1.1 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Health Care: (continued) | |||||||||||||||||||
59,131 | McKesson Corp. | $ 4,946,308 | 2.0 | ||||||||||||||||
95,861 | Medco Health Solutions, Inc. | 5,418,064 | 2.2 | ||||||||||||||||
67,088 | Medtronic, Inc. | 2,584,901 | 1.1 | ||||||||||||||||
120,900 | Merck & Co., Inc. | 4,266,561 | 1.8 | ||||||||||||||||
23,800 | Merck KGaA | 2,587,770 | 1.1 | ||||||||||||||||
20,500 | Mettler Toledo International, Inc. | 3,457,735 | 1.4 | ||||||||||||||||
65,200 | L | Mindray Medical International Ltd. ADR | 1,828,860 | 0.8 | |||||||||||||||
58,600 | Pall Corp. | 3,295,078 | 1.4 | ||||||||||||||||
361,330 | L | Pfizer, Inc. | 7,443,398 | 3.1 | |||||||||||||||
15,100 | Roche Holding AG — Genusschein | 2,528,054 | 1.0 | ||||||||||||||||
95,600 | L | Seattle Genetics, Inc. | 1,961,712 | 0.8 | |||||||||||||||
21,800 | Shire PLC ADR | 2,053,778 | 0.8 | ||||||||||||||||
73,991 | St. Jude Medical, Inc. | 3,527,891 | 1.5 | ||||||||||||||||
61,700 | Stryker Corp. | 3,621,173 | 1.5 | ||||||||||||||||
62,000 | Thermo Fisher Scientific, Inc. | 3,992,180 | 1.7 | ||||||||||||||||
150,093 | UnitedHealth Group, Inc. | 7,741,797 | 3.2 | ||||||||||||||||
35,800 | Waters Corp. | 3,427,492 | 1.4 | ||||||||||||||||
73,600 | L | Watson Pharmaceuticals, Inc. | 5,058,528 | 2.1 | |||||||||||||||
3,395,410 | Other Securities | 30,684,428 | 12.7 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $219,948,637) | 231,099,396 | 95.9 | |||||||||||||||||
WARRANTS: 0.0% | |||||||||||||||||||
Health Care: 0.0% | |||||||||||||||||||
133,228 | Other Securities | 86,598 | 0.0 | ||||||||||||||||
Total Warrants | |||||||||||||||||||
(Cost $—) | 86,598 | 0.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $219,948,637) | 231,185,994 | 95.9 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 12.8% | |||||||||||||||||||
Securities Lending Collateralcc: 8.0% | |||||||||||||||||||
19,220,007 | BNY Mellon Overnight Government Fund(1) (Cost $19,220,007) | 19,220,007 | 8.0 | ||||||||||||||||
Mutual Funds: 4.8% | |||||||||||||||||||
11,579,952 | Blackrock Liquidity Funds TempFund Portfolio — Class I (Cost $11,579,952) | 11,579,952 | 4.8 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $30,799,959) | 30,799,959 | 12.8 |
ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total Investments in Securities (Cost $250,748,596)* | $ | 261,985,953 | 108.7 | |||||||||||||||
Liabilities in Excess of Other Assets | (20,993,917 | ) | (8.7 | ) | ||||||||||||||
Net Assets | $ | 240,992,036 | 100.0 |
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 June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
* | Cost for federal income tax purposes is $251,474,422. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 14,760,401 | ||||
Gross Unrealized Depreciation | (4,248,870 | ) | ||||
Net Unrealized appreciation | $ | 10,511,531 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Health Care | $ | 212,568,991 | $ | 18,530,405 | $ | — | $ | 231,099,396 | ||||||||||
Total Common Stock | 212,568,991 | 18,530,405 | — | 231,099,396 | ||||||||||||||
Warrants | — | 86,598 | — | 86,598 | ||||||||||||||
Short-Term Investments | 30,799,959 | — | — | 30,799,959 | ||||||||||||||
Total Investments, at value | $ | 243,368,950 | $ | 18,617,003 | $ | — | $ | 261,985,953 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | — | 492,899 | — | 492,899 | ||||||||||||||
Total Assets | $ | 243,368,950 | $ | 19,109,902 | $ | — | $ | 262,478,852 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (170,635 | ) | $ | — | $ | (170,635 | ) | ||||||||
Total Liabilities | $ | — | $ | (170,635 | ) | $ | — | $ | (170,635 | ) |
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 Summary Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts 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 significant 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. | Canadian Dollar | 528,000 | Buy | 07/07/11 | $ | 546,756 | $ | 547,363 | $ 607 | |||||||||||||||||||||
Citigroup, Inc. | Canadian Dollar | 98,400 | Buy | 07/07/11 | 102,356 | 102,008 | (348 | ) | ||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 174,000 | Buy | 07/07/11 | 245,904 | 252,276 | 6,372 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 2,915,000 | Buy | 07/07/11 | 4,131,188 | 4,226,354 | 95,166 | |||||||||||||||||||||||
Deutsche Bank AG | Canadian Dollar | 90,000 | Buy | 07/07/11 | 92,070 | 93,301 | 1,231 | |||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 50,000 | Buy | 07/07/11 | 70,620 | 72,493 | 1,873 |
ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup, Inc. | Canadian Dollar | 1,925,000 | Buy | 07/07/11 | $ | 1,975,552 | $ | 1,995,594 | $ | 20,042 | ||||||||||||||||||
Citigroup, Inc. | Swiss Franc | 1,036,000 | Buy | 07/07/11 | 1,229,332 | 1,232,284 | 2,952 | |||||||||||||||||||||
Citigroup, Inc. | EU Euro | 132,000 | Buy | 07/07/11 | 189,506 | 191,382 | 1,876 | |||||||||||||||||||||
Citigroup, Inc. | Japanese Yen | 23,365,000 | Buy | 07/07/11 | 289,285 | 290,241 | 956 | |||||||||||||||||||||
$ | 130,727 | |||||||||||||||||||||||||||
Citigroup, Inc. | Hong Kong Sar Dollar | 6,030,000 | Sell | 07/07/11 | $ | 776,651 | $ | 774,931 | $ | 1,720 | ||||||||||||||||||
Citigroup, Inc. | Swiss Franc | 4,228,000 | Sell | 07/07/11 | 4,902,597 | 5,029,052 | (126,455 | ) | ||||||||||||||||||||
Citigroup, Inc. | Danish Krone | 2,770,000 | Sell | 07/07/11 | 549,521 | 538,461 | 11,060 | |||||||||||||||||||||
Citigroup, Inc. | Japanese Yen | 22,843,000 | Sell | 07/07/11 | 283,425 | 283,756 | (331 | ) | ||||||||||||||||||||
Citigroup, Inc. | EU Euro | 474,000 | Sell | 07/07/11 | 681,937 | 687,236 | (5,299 | ) | ||||||||||||||||||||
Citigroup, Inc. | British Pound | 60,000 | Sell | 07/07/11 | 97,297 | 96,289 | 1,008 | |||||||||||||||||||||
Citigroup, Inc. | Swiss Franc | 111,000 | Sell | 07/07/11 | 132,654 | 132,031 | 623 | |||||||||||||||||||||
Deutsche Bank AG | Swiss Franc | 217,000 | Sell | 07/07/11 | 247,020 | 258,113 | (11,093 | ) | ||||||||||||||||||||
Deutsche Bank AG | Danish Krone | 191,000 | Sell | 07/07/11 | 36,105 | 37,129 | (1,024 | ) | ||||||||||||||||||||
Deutsche Bank AG | EU Euro | 288,000 | Sell | 07/07/11 | 406,199 | 417,561 | (11,362 | ) | ||||||||||||||||||||
Deutsche Bank AG | Canadian Dollar | 3,085,000 | Sell | 07/07/11 | 3,236,752 | 3,198,135 | 38,617 | |||||||||||||||||||||
Deutsche Bank AG | EU Euro | 4,090,000 | Sell | 07/07/11 | 6,056,083 | 5,929,943 | 126,140 | |||||||||||||||||||||
Deutsche Bank AG | EU Euro | 6,176,000 | Sell | 07/07/11 | 9,137,015 | 8,954,359 | 182,656 | |||||||||||||||||||||
Citigroup, Inc. | Swiss Franc | 211,000 | Sell | 07/07/11 | 236,254 | 250,977 | (14,723 | ) | ||||||||||||||||||||
$ | 191,537 |
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 | $ | 492,899 | |||||||
Total Asset Derivatives | $ | 492,899 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 170,635 | |||||||
Total Liability Derivatives | $ | 170,635 |
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 | $ | (20,206 | ) | |||
Total | $ | (20,206 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | |||||
Foreign exchange contracts | $ | 322,264 | ||||
Total | $ | 322,264 |
* | 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 CLARION GLOBAL REAL ESTATE PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
as of June 30, 2011
(as a percentage of net assets)
United States | 41.3 | % | ||||
Japan | 12.3 | % | ||||
Hong Kong | 11.0 | % | ||||
Australia | 9.7 | % | ||||
France | 7.6 | % | ||||
United Kingdom | 4.7 | % | ||||
Singapore | 4.5 | % | ||||
Canada | 3.4 | % | ||||
Netherlands | 0.9 | % | ||||
Germany | 0.7 | % | ||||
Countries between 0.4%–0.5%ˆ | 1.9 | % | ||||
Other Assets and Liabilities — Net* | 2.0 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. | |
ˆ | Includes 4 countries, which each represents 0.4%–0.5% of net assets. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 98.0% | |||||||||||||||||||
Australia: 9.7% | |||||||||||||||||||
5,936,871 | Dexus Property Group | $ 5,624,579 | 1.3 | ||||||||||||||||
5,729,900 | Goodman Group | 4,343,849 | 1.0 | ||||||||||||||||
1,819,840 | GPT Group | 6,186,080 | 1.4 | ||||||||||||||||
4,938,600 | Investa Office Fund | 3,424,704 | 0.8 | ||||||||||||||||
1,528,820 | Stockland | 5,607,665 | 1.3 | ||||||||||||||||
850,420 | Westfield Group | 7,926,350 | 1.8 | ||||||||||||||||
1,871,352 | Westfield Retail Trust | 5,454,880 | 1.3 | ||||||||||||||||
2,045,774 | Other Securities | 3,532,610 | 0.8 | ||||||||||||||||
42,100,717 | 9.7 | ||||||||||||||||||
Brazil: 0.5% | |||||||||||||||||||
158,400 | Other Securities | 2,018,285 | 0.5 | ||||||||||||||||
Canada: 3.4% | |||||||||||||||||||
247,700 | Brookfield Properties Co. | 4,775,656 | 1.1 | ||||||||||||||||
160,300 | RioCan Real Estate Investment Trust | 4,311,454 | 1.0 | ||||||||||||||||
208,600 | Other Securities | 5,682,623 | 1.3 | ||||||||||||||||
14,769,733 | 3.4 | ||||||||||||||||||
China: 0.5% | |||||||||||||||||||
1,923,000 | Other Securities | 2,309,895 | 0.5 | ||||||||||||||||
France: 7.6% | |||||||||||||||||||
34,790 | ICADE | 4,285,655 | 1.0 | ||||||||||||||||
86,720 | Klepierre | 3,580,569 | 0.8 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
France: (continued) | |||||||||||||||||||
77,099 | Unibail | $ 17,813,880 | 4.1 | ||||||||||||||||
145,097 | Other Securities | 7,493,069 | 1.7 | ||||||||||||||||
33,173,173 | 7.6 | ||||||||||||||||||
Germany: 0.7% | |||||||||||||||||||
184,410 | Other Securities | 3,007,312 | 0.7 | ||||||||||||||||
Hong Kong: 11.0% | |||||||||||||||||||
773,470 | Cheung Kong Holdings Ltd. | 11,358,436 | 2.6 | ||||||||||||||||
1,044,500 | Hongkong Land Holdings Ltd. | 7,448,456 | 1.7 | ||||||||||||||||
1,833,600 | Link Real Estate Investment Trust | 6,263,554 | 1.4 | ||||||||||||||||
785,400 | Sun Hung Kai Properties Ltd. | 11,480,645 | 2.7 | ||||||||||||||||
2,239,992 | Other Securities | 11,254,274 | 2.6 | ||||||||||||||||
47,805,365 | 11.0 | ||||||||||||||||||
Japan: 12.3% | |||||||||||||||||||
39,017 | Daito Trust Construction Co., Ltd. | 3,312,539 | 0.7 | ||||||||||||||||
476 | Japan Real Estate Investment Corp. | 4,683,295 | 1.1 | ||||||||||||||||
782,957 | Mitsubishi Estate Co., Ltd. | 13,740,861 | 3.2 | ||||||||||||||||
522,182 | Mitsui Fudosan Co., Ltd. | 8,993,487 | 2.1 | ||||||||||||||||
339 | Nippon Building Fund, Inc. | 3,312,737 | 0.7 | ||||||||||||||||
251,368 | Sumitomo Realty & Development Co., Ltd. | 5,617,984 | 1.3 | ||||||||||||||||
325,989 | Other Securities | 13,990,272 | 3.2 | ||||||||||||||||
53,651,175 | 12.3 | ||||||||||||||||||
Netherlands: 0.9% | |||||||||||||||||||
60,101 | Other Securities | 3,699,558 | 0.9 | ||||||||||||||||
Singapore: 4.5% | |||||||||||||||||||
3,408,000 | CapitaCommercial Trust | 4,031,431 | 0.9 | ||||||||||||||||
2,048,050 | CapitaLand Ltd. | 4,865,422 | 1.1 | ||||||||||||||||
2,799,500 | @ | Global Logistic Properties Ltd. | 4,703,076 | 1.1 | |||||||||||||||
3,382,379 | Other Securities | 5,781,593 | 1.4 | ||||||||||||||||
19,381,522 | 4.5 | ||||||||||||||||||
Sweden: 0.5% | |||||||||||||||||||
158,170 | Other Securities | 2,157,246 | 0.5 | ||||||||||||||||
Switzerland: 0.4% | |||||||||||||||||||
19,960 | Other Securities | 1,712,892 | 0.4 | ||||||||||||||||
United Kingdom: 4.7% | |||||||||||||||||||
357,217 | British Land Co. PLC | 3,492,548 | 0.8 | ||||||||||||||||
147,530 | Derwent Valley Holdings PLC | 4,323,423 | 1.0 | ||||||||||||||||
474,833 | Land Securities Group PLC | 6,495,759 | 1.5 | ||||||||||||||||
1,356,822 | Other Securities | 6,142,920 | 1.4 | ||||||||||||||||
20,454,650 | 4.7 |
ING CLARION GLOBAL REAL ESTATE PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: (continued) | |||||||||||||||||||
United States: 41.3% | |||||||||||||||||||
54,200 | Alexandria Real Estate Equities, Inc. | $ 4,196,164 | 1.0 | ||||||||||||||||
161,600 | Apartment Investment & Management Co. | 4,125,648 | 0.9 | ||||||||||||||||
65,025 | AvalonBay Communities, Inc. | 8,349,210 | 1.9 | ||||||||||||||||
128,000 | Boston Properties, Inc. | 13,588,480 | 3.1 | ||||||||||||||||
96,200 | BRE Properties, Inc. | 4,798,456 | 1.1 | ||||||||||||||||
268,000 | Developers Diversified Realty Corp. | 3,778,800 | 0.9 | ||||||||||||||||
231,100 | Equity Residential | 13,866,000 | 3.2 | ||||||||||||||||
50,500 | Federal Realty Investment Trust | 4,301,590 | 1.0 | ||||||||||||||||
405,382 | General Growth Properties, Inc. | 6,765,826 | 1.6 | ||||||||||||||||
176,500 | HCP, Inc. | 6,475,785 | 1.5 | ||||||||||||||||
84,300 | Health Care Real Estate Investment Trust, Inc. | 4,419,849 | 1.0 | ||||||||||||||||
485,321 | Host Hotels & Resorts, Inc. | 8,226,191 | 1.9 | ||||||||||||||||
157,300 | Liberty Property Trust | 5,124,834 | 1.2 | ||||||||||||||||
167,665 | Macerich Co. | 8,970,077 | 2.1 | ||||||||||||||||
352,927 | ProLogis, Inc. | 12,648,904 | 2.9 | ||||||||||||||||
52,494 | Public Storage, Inc. | 5,984,841 | 1.4 | ||||||||||||||||
148,761 | Simon Property Group, Inc. | 17,290,491 | 4.0 | ||||||||||||||||
79,600 | SL Green Realty Corp. | 6,596,452 | 1.5 | ||||||||||||||||
54,600 | Starwood Hotels & Resorts Worldwide, Inc. | 3,059,784 | 0.7 | ||||||||||||||||
60,700 | Taubman Centers, Inc. | 3,593,440 | 0.8 | ||||||||||||||||
220,875 | UDR, Inc. | 5,422,481 | 1.2 | ||||||||||||||||
127,431 | Vornado Realty Trust | 11,874,021 | 2.7 | ||||||||||||||||
529,000 | Other Securities | 16,052,474 | 3.7 | ||||||||||||||||
179,509,798 | 41.3 | ||||||||||||||||||
Total Common Stock (Cost $290,479,782) | 425,751,321 | 98.0 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 8.7% | |||||||||||||||||||
Securities Lending Collateralcc: 7.6% | |||||||||||||||||||
32,936,371 | BNY Mellon Overnight Government Fund(1) | 32,936,371 | 7.6 | ||||||||||||||||
372,743 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 298,194 | 0.0 | |||||||||||||||
Total Securities Lending Collateral (Cost $33,309,114) | 33,234,565 | 7.6 | |||||||||||||||||
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Mutual Funds: 1.1% | |||||||||||||||||||
4,667,601 | Blackrock Liquidity Funds TempFund Portfolio — Class I (Cost $4,667,601) | $ 4,667,601 | 1.1 | ||||||||||||||||
Total Short-Term Investments (Cost $37,976,715) | 37,902,166 | 8.7 | |||||||||||||||||
Total Investments in Securities (Cost $328,456,497)* | $ 463,653,487 | 106.7 | |||||||||||||||||
Liabilities in Excess of Other Assets | (29,251,920 | ) | (6.7 | ) | |||||||||||||||
Net Assets | $ 434,401,567 | 100.0 |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $384,039,902. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 117,070,467 | ||||
Gross Unrealized Depreciation | (37,456,882 | ) | ||||
Net Unrealized appreciation | $ | 79,613,585 |
Industry | Percentage of Net Assets | |||||
---|---|---|---|---|---|---|
Consumer Discretionary | 1.6 | % | ||||
Financials | 96.4 | |||||
Short-Term Investments | 8.7 | |||||
Other Assets and Liabilities — Net | (6.7 | ) | ||||
Net Assets | 100.0 | % |
ING CLARION GLOBAL REAL ESTATE PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Australia | $ | — | $ | 42,100,717 | $ | — | $ | 42,100,717 | ||||||||||
Brazil | 2,018,285 | — | — | 2,018,285 | ||||||||||||||
Canada | 14,769,733 | — | — | 14,769,733 | ||||||||||||||
China | — | 2,309,895 | — | 2,309,895 | ||||||||||||||
France | 2,089,060 | 31,084,113 | — | 33,173,173 | ||||||||||||||
Germany | 2,025,536 | 981,776 | — | 3,007,312 | ||||||||||||||
Hong Kong | — | 47,805,365 | — | 47,805,365 | ||||||||||||||
Japan | — | 53,651,175 | — | 53,651,175 | ||||||||||||||
Netherlands | — | 3,699,558 | — | 3,699,558 | ||||||||||||||
Singapore | — | 19,381,522 | — | 19,381,522 | ||||||||||||||
Sweden | — | 2,157,246 | — | 2,157,246 | ||||||||||||||
Switzerland | 1,712,892 | — | — | 1,712,892 | ||||||||||||||
United Kingdom | 1,414,976 | 19,039,674 | — | 20,454,650 | ||||||||||||||
United States | 179,509,798 | — | — | 179,509,798 | ||||||||||||||
Total Common Stock | 203,540,280 | 222,211,041 | — | 425,751,321 | ||||||||||||||
Short-Term Investments | 37,603,972 | — | 298,194 | 37,902,166 | ||||||||||||||
Total Investments, at value | $ | 241,144,252 | $ | 222,211,041 | $ | 298,194 | $ | 463,653,487 |
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 298,194 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 298,194 | ||||||||||||||||||||
Total Investments, at value | $ | 298,194 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 298,194 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
# | 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 significant portion of the Portfolio’s investments are categorized as Level 2 investments. |
ING FMRSM DIVERSIFIED MID CAP PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
as of June 30, 2011
(as a percentage of net assets)
Information Technology | 21.6 | % | ||||
Consumer Discretionary | 18.1 | % | ||||
Health Care | 16.7 | % | ||||
Financials | 10.3 | % | ||||
Energy | 9.5 | % | ||||
Materials | 5.4 | % | ||||
Industrials | 3.2 | % | ||||
Consumer Staples | 1.8 | % | ||||
Telecommunication Services | 0.7 | % | ||||
Utilities | 0.1 | % | ||||
Other Assets and Liabilities — Net* | 12.6 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 87.4% | |||||||||||||||||||
Consumer Discretionary: 18.1% | |||||||||||||||||||
1,071,951 | Advance Auto Parts, Inc. | $ 62,698,414 | 4.8 | ||||||||||||||||
197,000 | Dena Co., Ltd. | 8,472,279 | 0.6 | ||||||||||||||||
205,775 | @ | Discovery Communications, Inc. — Class A | 8,428,544 | 0.6 | |||||||||||||||
704,223 | Hasbro, Inc. | 30,936,516 | 2.3 | ||||||||||||||||
213,664 | Ross Stores, Inc. | 17,118,760 | 1.3 | ||||||||||||||||
660,733 | @ | Sally Beauty Holdings, Inc. | 11,298,534 | 0.9 | |||||||||||||||
1,366,550 | Sun TV Network Ltd. | 10,634,426 | 0.8 | ||||||||||||||||
579,463 | Time Warner, Inc. | 21,075,069 | 1.6 | ||||||||||||||||
317,522 | @ | Urban Outfitters, Inc. | 8,938,244 | 0.7 | |||||||||||||||
253,525 | Walt Disney Co. | 9,897,616 | 0.8 | ||||||||||||||||
9,299,686 | Other Securities | 48,912,956 | 3.7 | ||||||||||||||||
238,411,358 | 18.1 | ||||||||||||||||||
Consumer Staples: 1.8% | |||||||||||||||||||
189,710 | Molson Coors Brewing Co. | 8,487,625 | 0.6 | ||||||||||||||||
10,876,000 | Want Want China Holdings Ltd. | 10,574,123 | 0.8 | ||||||||||||||||
2,671,513 | Other Securities | 4,929,377 | 0.4 | ||||||||||||||||
23,991,125 | 1.8 | ||||||||||||||||||
Energy: 9.5% | |||||||||||||||||||
220,335 | @ | Atwood Oceanics, Inc. | 9,723,384 | 0.7 | |||||||||||||||
262,684 | Ensco International PLC ADR | 14,001,057 | 1.1 | ||||||||||||||||
704,525 | @ | Helix Energy Solutions Group, Inc. | 11,666,934 | 0.9 | |||||||||||||||
561,125 | @ | Nabors Industries Ltd. | 13,826,120 | 1.1 | |||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
523,467 | Patterson-UTI Energy, Inc. | $ 16,546,792 | 1.3 | ||||||||||||||||
778,812 | Weatherford International Ltd. | 14,602,725 | 1.1 | ||||||||||||||||
4,424,666 | Other Securities | 44,052,815 | 3.3 | ||||||||||||||||
124,419,827 | 9.5 | ||||||||||||||||||
Financials: 10.3% | |||||||||||||||||||
871,946 | @ | Invesco Ltd. | 20,403,536 | 1.5 | |||||||||||||||
957,872 | Janus Capital Group, Inc. | 9,042,312 | 0.7 | ||||||||||||||||
351,716 | Protective Life Corp. | 8,135,191 | 0.6 | ||||||||||||||||
578,741 | Reinsurance Group of America, Inc. | 35,222,177 | 2.7 | ||||||||||||||||
1,343,272 | Union Bank of India | 8,824,432 | 0.7 | ||||||||||||||||
3,431,106 | Other Securities | 53,674,618 | 4.1 | ||||||||||||||||
135,302,266 | 10.3 | ||||||||||||||||||
Health Care: 16.7% | |||||||||||||||||||
1,615,269 | @ | Allscripts Healthcare Solutions, Inc. | 31,368,524 | 2.4 | |||||||||||||||
337,568 | @, L | Athenahealth, Inc. | 13,874,045 | 1.0 | |||||||||||||||
300,772 | @ | Cerner Corp. | 18,380,177 | 1.4 | |||||||||||||||
159,252 | @ | Edwards Lifesciences Corp. | 13,883,589 | 1.0 | |||||||||||||||
287,680 | @ | Kinetic Concepts, Inc. | 16,578,998 | 1.3 | |||||||||||||||
219,000 | McKesson Corp. | 18,319,350 | 1.4 | ||||||||||||||||
230,800 | @ | Medco Health Solutions, Inc. | 13,044,816 | 1.0 | |||||||||||||||
263,576 | Thermo Fisher Scientific, Inc. | 16,971,659 | 1.3 | ||||||||||||||||
553,352 | @ | Vertex Pharmaceuticals, Inc. | 28,768,771 | 2.2 | |||||||||||||||
4,295,865 | Other Securities | 49,202,099 | 3.7 | ||||||||||||||||
220,392,028 | 16.7 | ||||||||||||||||||
Industrials: 3.2% | |||||||||||||||||||
420,912 | Deutsche Post AG | 8,091,935 | 0.6 | ||||||||||||||||
4,530,170 | Other Securities | 34,599,101 | 2.6 | ||||||||||||||||
42,691,036 | 3.2 | ||||||||||||||||||
Information Technology: 21.6% | |||||||||||||||||||
2,317,417 | Applied Materials, Inc. | 30,149,595 | 2.3 | ||||||||||||||||
1,263,100 | Corning, Inc. | 22,925,265 | 1.7 | ||||||||||||||||
765,366 | eBay, Inc. | 24,698,361 | 1.9 | ||||||||||||||||
227,525 | Fiserv, Inc. | 14,249,891 | 1.1 | ||||||||||||||||
288,503 | Gemalto NV | 13,777,752 | 1.0 | ||||||||||||||||
231,719 | Ingenico | 11,275,860 | 0.9 | ||||||||||||||||
411,626 | @ | Intuit, Inc. | 21,346,924 | 1.6 | |||||||||||||||
700,038 | @ | Marvell Technology Group Ltd. | 10,336,061 | 0.8 | |||||||||||||||
1,419,113 | @ | PMC — Sierra, Inc. | 10,742,685 | 0.8 | |||||||||||||||
390,816 | @, L | Rovi Corp. | 22,417,206 | 1.7 | |||||||||||||||
868,788 | @ | UbiSoft Entertainment | 8,712,795 | 0.7 | |||||||||||||||
1,274,571 | Xerox Corp. | 13,268,284 | 1.0 | ||||||||||||||||
15,303,826 | Other Securities | 79,963,412 | 6.1 | ||||||||||||||||
283,864,091 | 21.6 | ||||||||||||||||||
ING FMRSM DIVERSIFIED MID CAP PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: (continued) | |||||||||||||||||||
Materials: 5.4% | |||||||||||||||||||
614,400 | Iamgold Corp. | $ 11,556,033 | 0.9 | ||||||||||||||||
905,145 | Kinross Gold Corp. | 14,293,492 | 1.1 | ||||||||||||||||
523,585 | Newcrest Mining Ltd. | 21,215,470 | 1.6 | ||||||||||||||||
185,700 | Newmont Mining Corp. | 10,022,229 | 0.7 | ||||||||||||||||
1,036,868 | Other Securities | 14,257,728 | 1.1 | ||||||||||||||||
71,344,952 | 5.4 | ||||||||||||||||||
Telecommunication Services: 0.7% | |||||||||||||||||||
218,244 | NII Holdings, Inc. | 9,249,181 | 0.7 | ||||||||||||||||
Utilities: 0.1% | |||||||||||||||||||
77,650 | Other Securities | 1,252,495 | 0.1 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $968,511,006) | 1,150,918,359 | 87.4 | |||||||||||||||||
WARRANTS: 0.0% | |||||||||||||||||||
Industrials: 0.0% | |||||||||||||||||||
164,575 | Other Securities | 251,458 | 0.0 | ||||||||||||||||
Total Warrants | |||||||||||||||||||
(Cost $22,539) | 251,458 | 0.0 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 0.0% | |||||||||||||||||||
Consumer Staples: 0.0% | |||||||||||||||||||
INR 993,140 | Other Securities | 21,596 | 0.0 | ||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||
(Cost $18,862) | 21,596 | 0.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $968,552,407) | 1,151,191,413 | 87.4 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 17.7% | |||||||||||||||||||
Securities Lending Collateralcc: 6.4% | |||||||||||||||||||
83,230,475 | BNY Mellon Overnight Government Fund(1) | 83,230,475 | 6.3 | ||||||||||||||||
1,748,799 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,399,039 | 0.1 | |||||||||||||||
Total Securities Lending Collateral | |||||||||||||||||||
(Cost $84,979,274) | 84,629,514 | 6.4 | |||||||||||||||||
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Mutual Funds: 11.3% | |||||||||||||||||||
149,418,477 | Blackrock Liquidity Funds TempFund Portfolio — Class I | ||||||||||||||||||
(Cost $149,418,477) | $ | 149,418,477 | 11.3 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $234,397,751) | 234,047,991 | 17.7 | |||||||||||||||||
Total Investments in Securities (Cost $1,202,950,158)* | $ | 1,385,239,404 | 105.1 | ||||||||||||||||
Liabilities in Excess of Other Assets | (67,549,884 | ) | (5.1 | ) | |||||||||||||||
Net Assets | $ | 1,317,689,520 | 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. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
INR | Indian Rupee |
* | Cost for federal income tax purposes is $1,217,748,122. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 245,107,816 | ||||
Gross Unrealized Depreciation | (77,616,534 | ) | ||||
Net Unrealized appreciation | $ | 167,491,282 |
ING FMRSM DIVERSIFIED MID CAP PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 202,871,996 | $ | 35,539,362 | $ | — | $ | 238,411,358 | ||||||||||
Consumer Staples | 12,165,856 | 11,825,269 | — | 23,991,125 | ||||||||||||||
Energy | 124,419,827 | — | — | 124,419,827 | ||||||||||||||
Financials | 112,148,854 | 23,153,412 | — | 135,302,266 | ||||||||||||||
Health Care | 206,108,503 | 14,283,525 | — | 220,392,028 | ||||||||||||||
Industrials | 23,913,803 | 18,765,074 | 12,159 | 42,691,036 | ||||||||||||||
Information Technology | 229,662,387 | 52,855,268 | 1,346,436 | 283,864,091 | ||||||||||||||
Materials | 50,129,482 | 21,215,470 | — | 71,344,952 | ||||||||||||||
Telecommunication Services | 9,249,181 | — | — | 9,249,181 | ||||||||||||||
Utilities | 1,252,495 | — | — | 1,252,495 | ||||||||||||||
Total Common Stock | 971,922,384 | 177,637,380 | 1,358,595 | 1,150,918,359 | ||||||||||||||
Warrants | 15,173 | 236,285 | — | 251,458 | ||||||||||||||
Corporate Bonds/Notes | — | 21,596 | — | 21,596 | ||||||||||||||
Short-Term Investments | 232,648,952 | — | 1,399,039 | 234,047,991 | ||||||||||||||
Total Investments, at value | $ | 1,204,586,509 | $ | 177,895,261 | $ | 2,757,634 | $ | 1,385,239,404 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (9 | ) | $ | — | $ | (9 | ) | ||||||||
Total Liabilities | $ | — | $ | (9 | ) | $ | — | $ | (9 | ) | ||||||||
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Common Stock | $ | 12,781 | $ | — | $ | — | $ | — | $ | — | $ | (622 | ) | $ | 1,346,436 | $ | — | $ | 1,358,595 | |||||||||||||||||||
Short-Term Investments | 1,399,039 | — | — | — | — | — | — | — | 1,399,039 | |||||||||||||||||||||||||||||
Total Investments, at value | $ | 1,411,820 | $ | — | $ | — | $ | — | $ | — | $ | (622 | ) | $ | 1,346,436 | $ | — | $ | 2,757,634 |
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 Summary Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts 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 significant portion of the Portfolio’s investments are categorized as Level 2 investments. |
ING FMRSM DIVERSIFIED MID CAP PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
The Bank of New York Mellon Corp. | Hong Kong Sar Dollar | 11,905 | Sell | 07/06/11 | $ | 1,529 | $ | 1,530 | $ | (1 | ) | |||||||||||||||||||
The Bank of New York Mellon Corp. | Hong Kong Sar Dollar | 61,610 | Sell | 07/06/11 | 7,915 | 7,918 | (3 | ) | ||||||||||||||||||||||
The Bank of New York Mellon Corp. | Hong Kong Sar Dollar | 81,729 | Sell | 07/06/11 | 10,499 | 10,503 | (4 | ) | ||||||||||||||||||||||
The Bank of New York Mellon Corp. | Hong Kong Sar Dollar | 14,471 | Sell | 07/06/11 | 1,859 | 1,860 | (1 | ) | ||||||||||||||||||||||
$ | (9 | ) |
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 | $ | 9 | |||||||
Total Liability Derivatives | $ | 9 |
* | Includes purchased options. |
* | 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* | |||||
Foreign exchange contracts | $ | (13,717 | ) | |||
Total | $ | (13,717 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | |||||
Foreign exchange contracts | $ | (9 | ) | |||
Total | $ | (9 | ) |
* | 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 GLOBAL RESOURCES PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
as of June 30, 2011
(as a percentage of net assets)
United States | 67.6 | % | ||||
Canada | 20.5 | % | ||||
United Kingdom | 3.1 | % | ||||
Netherlands | 2.1 | % | ||||
Brazil | 1.1 | % | ||||
Russia | 1.1 | % | ||||
Switzerland | 0.8 | % | ||||
Italy | 0.8 | % | ||||
Japan | 0.7 | % | ||||
Australia | 0.6 | % | ||||
Other Assets and Liabilities — Net* | 1.6 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 98.4% | |||||||||||||||||||
Australia: 0.6% | |||||||||||||||||||
2,264,170 | OneSteel Ltd. | $ 4,521,514 | 0.4 | ||||||||||||||||
116,600 | Other Securities | 2,216,974 | 0.2 | ||||||||||||||||
6,738,488 | 0.6 | ||||||||||||||||||
Brazil: 1.1% | |||||||||||||||||||
346,800 | Petroleo Brasileiro SA ADR | 11,742,648 | 1.1 | ||||||||||||||||
Canada: 20.5% | |||||||||||||||||||
245,200 | Alamos Gold, Inc. | 4,060,184 | 0.4 | ||||||||||||||||
659,805 | Barrick Gold Corp. | 29,882,568 | 2.7 | ||||||||||||||||
950,356 | Canadian Natural Resources Ltd. | 39,781,902 | 3.7 | ||||||||||||||||
431,700 | Centerra Gold, Inc. | 7,161,802 | 0.7 | ||||||||||||||||
403,100 | Ensign Energy Services, Inc. | 7,991,365 | 0.7 | ||||||||||||||||
221,594 | GoldCorp, Inc. | 10,696,343 | 1.0 | ||||||||||||||||
506,200 | @ | Harry Winston Diamond Corp. | 8,408,237 | 0.8 | |||||||||||||||
603,600 | @ | Lundin Mining Corp. | 4,631,282 | 0.4 | |||||||||||||||
432,229 | Nexen, Inc. | 9,725,152 | 0.9 | ||||||||||||||||
897,600 | Pengrowth Energy Corp. | 11,291,808 | 1.0 | ||||||||||||||||
1,254,588 | @ | Precision Drilling Corp. | 18,015,884 | 1.7 | |||||||||||||||
1,390,139 | Suncor Energy, Inc. | 54,354,435 | 5.0 | ||||||||||||||||
310,596 | Teck Cominco Ltd. — Class B | 15,759,641 | 1.4 | ||||||||||||||||
905,800 | Other Securities | 1,455,742 | 0.1 | ||||||||||||||||
223,216,345 | 20.5 | ||||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Italy: 0.8% | |||||||||||||||||||
193,805 | L | Tenaris S.A. ADR | $ 8,862,703 | 0.8 | |||||||||||||||
Japan: 0.7% | |||||||||||||||||||
1,334,500 | Mitsui OSK Lines Ltd. | 7,180,630 | 0.7 | ||||||||||||||||
Netherlands: 2.1% | |||||||||||||||||||
326,942 | Royal Dutch Shell PLC ADR — Class A | 23,255,385 | 2.1 | ||||||||||||||||
Russia: 1.1% | |||||||||||||||||||
183,362 | Lukoil-Spon ADR | 11,661,823 | 1.1 | ||||||||||||||||
Switzerland: 0.8% | |||||||||||||||||||
142,534 | Transocean Ltd. | 9,201,995 | 0.8 | ||||||||||||||||
United Kingdom: 3.1% | |||||||||||||||||||
334,754 | Ensco International PLC ADR | 17,842,388 | 1.7 | ||||||||||||||||
49,800 | L | Randgold Resources Ltd. ADR | 4,185,690 | 0.4 | |||||||||||||||
154,088 | Rio Tinto PLC ADR | 11,143,644 | 1.0 | ||||||||||||||||
33,171,722 | 3.1 | ||||||||||||||||||
United States: 67.6% | |||||||||||||||||||
392,949 | @ | Alpha Natural Resources, Inc. | 17,855,603 | 1.6 | |||||||||||||||
326,967 | Apache Corp. | 40,344,458 | 3.7 | ||||||||||||||||
733,147 | Arch Coal, Inc. | 19,545,699 | 1.8 | ||||||||||||||||
214,400 | @ | Bill Barrett Corp. | 9,937,440 | 0.9 | |||||||||||||||
556,079 | Chevron Corp. | 57,187,164 | 5.3 | ||||||||||||||||
128,900 | Cimarex Energy Co. | 11,590,688 | 1.1 | ||||||||||||||||
185,000 | Cliffs Natural Resources, Inc. | 17,103,250 | 1.6 | ||||||||||||||||
1,121,639 | ConocoPhillips | 84,336,036 | 7.7 | ||||||||||||||||
776,400 | @ | Denbury Resources, Inc. | 15,528,000 | 1.4 | |||||||||||||||
160,600 | Domtar Corp. | 15,212,032 | 1.4 | ||||||||||||||||
300,400 | EOG Resources, Inc. | 31,406,820 | 2.9 | ||||||||||||||||
1,358,758 | ExxonMobil Corp. | 110,575,725 | 10.2 | ||||||||||||||||
250,028 | Halliburton Co. | 12,751,428 | 1.2 | ||||||||||||||||
393,600 | Hess Corp. | 29,425,536 | 2.7 | ||||||||||||||||
262,300 | @, L | McMoRan Exploration Co. | 4,847,304 | 0.4 | |||||||||||||||
367,500 | Murphy Oil Corp. | 24,130,050 | 2.2 | ||||||||||||||||
547,612 | National Oilwell Varco, Inc. | 42,828,735 | 3.9 | ||||||||||||||||
408,900 | Newmont Mining Corp. | 22,068,333 | 2.0 | ||||||||||||||||
221,900 | L | Overseas Shipholding Group | 5,977,986 | 0.6 | |||||||||||||||
529,200 | @ | PetroHawk Energy Corp. | 13,055,364 | 1.2 | |||||||||||||||
317,300 | Range Resources Corp. | 17,610,150 | 1.6 | ||||||||||||||||
934,725 | Schlumberger Ltd. | 80,760,240 | 7.4 | ||||||||||||||||
323,900 | Sunoco, Inc. | 13,509,869 | 1.2 | ||||||||||||||||
466,700 | @ | Tetra Technologies, Inc. | 5,941,091 | 0.6 | |||||||||||||||
142,300 | @ | Unit Corp. | 8,670,339 | 0.8 | |||||||||||||||
422,300 | Valero Energy Corp. | 10,798,211 | 1.0 |
ING GLOBAL RESOURCES PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: (continued) | |||||||||||||||||||
United States: (continued) | |||||||||||||||||||
514,600 | Weatherford International Ltd. | $ | 9,648,750 | 0.9 | |||||||||||||||
560,338 | Other Securities | 3,350,821 | 0.3 | ||||||||||||||||
735,997,122 | 67.6 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $871,297,251) | 1,071,028,861 | 98.4 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 2.6% | |||||||||||||||||||
Securities Lending Collateralcc: 1.2% | |||||||||||||||||||
12,516,811 | BNY Mellon Overnight Government Fund(1) | 12,516,811 | 1.1 | ||||||||||||||||
784,324 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 627,459 | 0.1 | |||||||||||||||
Total Securities Lending Collateral | |||||||||||||||||||
(Cost $13,301,135) | 13,144,270 | 1.2 | |||||||||||||||||
Mutual Funds: 1.4% | |||||||||||||||||||
15,549,000 | Blackrock Liquidity Funds TempFund Portfolio — Class I | ||||||||||||||||||
(Cost $15,549,000) | 15,549,000 | 1.4 | |||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $28,850,135) | 28,693,270 | 2.6 | |||||||||||||||||
Total Investments in Securities | |||||||||||||||||||
(Cost $900,147,386)* | $ | 1,099,722,131 | 101.0 | ||||||||||||||||
Liabilities in Excess of Other Assets | (10,791,636 | ) | (1.0 | ) | |||||||||||||||
Net Assets | $ | 1,088,930,495 | 100.0 |
@ | Non-income producing security |
ADR | American Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $937,819,741. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 211,224,898 | ||||
Gross Unrealized Depreciation | (49,322,508 | ) | ||||
Net Unrealized appreciation | $ | 161,902,390 |
Industry | Percentage of Net Assets | |||||
---|---|---|---|---|---|---|
Energy | 83.3 | % | ||||
Industrials | 0.7 | |||||
Materials | 14.4 | |||||
Short-Term Investments | 2.6 | |||||
Other Assets and Liabilities — Net | (1.0 | ) | ||||
Net Assets | 100.0 | % |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | |||||||||||||||||||
Investments, at value | |||||||||||||||||||
Common Stock | |||||||||||||||||||
Australia | $ | — | $ | 6,738,488 | $ | — | $ | 6,738,488 | |||||||||||
Brazil | 11,742,648 | — | — | 11,742,648 | |||||||||||||||
Canada | 223,216,345 | — | — | 223,216,345 | |||||||||||||||
Italy | 8,862,703 | — | — | 8,862,703 | |||||||||||||||
Japan | — | 7,180,630 | — | 7,180,630 | |||||||||||||||
Netherlands | 23,255,385 | — | — | 23,255,385 | |||||||||||||||
Russia | 11,661,823 | — | — | 11,661,823 | |||||||||||||||
Switzerland | 9,201,995 | — | — | 9,201,995 | |||||||||||||||
United Kingdom | 33,171,722 | — | — | 33,171,722 | |||||||||||||||
United States | 735,997,122 | — | — | 735,997,122 | |||||||||||||||
Total Common Stock | 1,057,109,743 | 13,919,118 | — | 1,071,028,861 | |||||||||||||||
Short-Term Investments | 28,065,811 | — | 627,459 | 28,693,270 | |||||||||||||||
Total Investments, at value | $ | 1,085,175,554 | $ | 13,919,118 | $ | 627,459 | $ | 1,099,722,131 |
ING GLOBAL RESOURCES PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Liabilities Table | |||||||||||||||||||
Other Financial Instruments+ | |||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (80 | ) | $ | — | $ | (80 | ) | |||||||||
Total Liabilities | $ | — | $ | (80 | ) | $ | — | $ | (80 | ) |
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 627,459 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 627,459 | ||||||||||||||||||||
Total Investments, at value | $ | 627,459 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 627,459 |
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 Summary Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts 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 significant 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) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
The Bank of New York Mellon Corp. | Hong Kong Sar Dollar | 1,563,465 | Sell | 07/06/11 | $ | 200,843 | $ | 200,923 | $ | (80 ) | ||||||||||||||||||||
$ | (80 ) |
Fair Value | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 80 | |||||||
Total Liability Derivatives | $ | 80 |
ING GLOBAL RESOURCES PORTFOLIO | | 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* | |||||
Foreign exchange contracts | $ | 70,904 | ||||
Total | $ | 70,904 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | |||||
Foreign exchange contracts | $ | (80 | ) | |||
Total | $ | (80 | ) |
* | 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 INVESCO VAN KAMPEN GROWTH AND INCOME PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
as of June 30, 2011
(as a percentage of net assets)
Financials | 22.4 | % | ||||
Energy | 13.2 | % | ||||
Information Technology | 11.0 | % | ||||
Health Care | 10.9 | % | ||||
Consumer Staples | 10.6 | % | ||||
Consumer Discretionary | 10.1 | % | ||||
Industrials | 9.3 | % | ||||
Utilities | 4.1 | % | ||||
Telecommunication Services | 2.8 | % | ||||
Materials | 1.3 | % | ||||
Other Assets and Liabilities — Net* | 4.3 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 95.7% | |||||||||||||||||||
Consumer Discretionary: 10.1% | |||||||||||||||||||
492,500 | Comcast Corp. — Class A | $ 12,479,950 | 2.0 | ||||||||||||||||
241,598 | Home Depot, Inc. | 8,750,680 | 1.4 | ||||||||||||||||
213,440 | L | Sony Corp. ADR | 5,632,682 | 0.9 | |||||||||||||||
124,217 | Time Warner Cable, Inc. | 9,693,895 | 1.6 | ||||||||||||||||
284,352 | Time Warner, Inc. | 10,341,882 | 1.7 | ||||||||||||||||
273,444 | Viacom — Class B | 13,945,644 | 2.3 | ||||||||||||||||
64,540 | Other Securities | 1,219,252 | 0.2 | ||||||||||||||||
62,063,985 | 10.1 | ||||||||||||||||||
Consumer Staples: 10.6% | |||||||||||||||||||
363,836 | Avon Products, Inc. | 10,187,408 | 1.7 | ||||||||||||||||
92,113 | Coca-Cola Co. | 6,198,284 | 1.0 | ||||||||||||||||
265,475 | Kraft Foods, Inc. | 9,352,684 | 1.5 | ||||||||||||||||
202,878 | Procter & Gamble Co. | 12,896,954 | 2.1 | ||||||||||||||||
230,206 | Sysco Corp. | 7,177,823 | 1.2 | ||||||||||||||||
239,875 | Unilever NV ADR | 7,879,894 | 1.3 | ||||||||||||||||
180,147 | L | Walgreen Co. | 7,649,042 | 1.2 | |||||||||||||||
85,894 | Other Securities | 3,950,456 | 0.6 | ||||||||||||||||
65,292,545 | 10.6 | ||||||||||||||||||
Energy: 13.2% | |||||||||||||||||||
196,354 | Anadarko Petroleum Corp. | 15,072,133 | 2.4 | ||||||||||||||||
82,488 | Devon Energy Corp. | 6,500,879 | 1.1 | ||||||||||||||||
88,174 | ExxonMobil Corp. | 7,175,600 | 1.2 | ||||||||||||||||
136,141 | Hess Corp. | 10,177,901 | 1.7 | ||||||||||||||||
60,610 | Occidental Petroleum Corp. | 6,305,865 | 1.0 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
182,490 | Royal Dutch Shell PLC ADR — Class A | $ 12,980,514 | 2.1 | ||||||||||||||||
95,900 | Schlumberger Ltd. | 8,285,760 | 1.3 | ||||||||||||||||
281,453 | Other Securities | 14,936,225 | 2.4 | ||||||||||||||||
81,434,877 | 13.2 | ||||||||||||||||||
Financials: 22.4% | |||||||||||||||||||
866,906 | Bank of America Corp. | 9,501,290 | 1.5 | ||||||||||||||||
518,066 | Charles Schwab Corp. | 8,522,186 | 1.4 | ||||||||||||||||
293,958 | Citigroup, Inc. | 12,240,411 | 2.0 | ||||||||||||||||
668,676 | JPMorgan Chase & Co. | 27,375,595 | 4.4 | ||||||||||||||||
593,171 | Marsh & McLennan Cos., Inc. | 18,501,003 | 3.0 | ||||||||||||||||
381,217 | Morgan Stanley | 8,771,803 | 1.4 | ||||||||||||||||
183,050 | PNC Financial Services Group, Inc. | 10,911,611 | 1.8 | ||||||||||||||||
148,767 | State Street Corp. | 6,707,904 | 1.1 | ||||||||||||||||
190,210 | Wells Fargo & Co. | 5,337,293 | 0.9 | ||||||||||||||||
1,595,500 | Other Securities | 30,009,349 | 4.9 | ||||||||||||||||
137,878,445 | 22.4 | ||||||||||||||||||
Health Care: 10.9% | |||||||||||||||||||
351,180 | Bristol-Myers Squibb Co. | 10,170,173 | 1.6 | ||||||||||||||||
106,791 | Cardinal Health, Inc. | 4,850,447 | 0.8 | ||||||||||||||||
155,821 | Medtronic, Inc. | 6,003,783 | 1.0 | ||||||||||||||||
222,079 | Merck & Co., Inc. | 7,837,168 | 1.3 | ||||||||||||||||
729,921 | Pfizer, Inc. | 15,036,372 | 2.4 | ||||||||||||||||
302,764 | UnitedHealth Group, Inc. | 15,616,567 | 2.5 | ||||||||||||||||
189,674 | Other Securities | 7,907,852 | 1.3 | ||||||||||||||||
67,422,362 | 10.9 | ||||||||||||||||||
Industrials: 9.3% | |||||||||||||||||||
1,296,343 | General Electric Co. | 24,449,029 | 3.9 | ||||||||||||||||
147,794 | Ingersoll-Rand PLC | 6,711,326 | 1.1 | ||||||||||||||||
187,035 | Tyco International Ltd. | 9,245,140 | 1.5 | ||||||||||||||||
411,340 | Other Securities | 17,223,731 | 2.8 | ||||||||||||||||
57,629,226 | 9.3 | ||||||||||||||||||
Information Technology: 11.0% | |||||||||||||||||||
195,021 | Amdocs Ltd. | 5,926,688 | 1.0 | ||||||||||||||||
478,035 | @, L | Dell, Inc. | 7,968,843 | 1.3 | |||||||||||||||
427,755 | @ | eBay, Inc. | 13,803,654 | 2.2 | |||||||||||||||
258,828 | Hewlett-Packard Co. | 9,421,339 | 1.5 | ||||||||||||||||
414,196 | Microsoft Corp. | 10,769,096 | 1.8 | ||||||||||||||||
349,951 | Western Union Co. | 7,009,519 | 1.1 | ||||||||||||||||
413,500 | @ | Yahoo!, Inc. | 6,219,040 | 1.0 | |||||||||||||||
348,258 | Other Securities | 6,836,907 | 1.1 | ||||||||||||||||
67,955,086 | 11.0 | ||||||||||||||||||
Materials: 1.3% | |||||||||||||||||||
66,989 | PPG Industries, Inc. | 6,081,931 | 1.0 | ||||||||||||||||
51,375 | Other Securities | 1,849,500 | 0.3 | ||||||||||||||||
7,931,431 | 1.3 |
ING INVESCO VAN KAMPEN GROWTH AND INCOME PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: (continued) | |||||||||||||||||||
Telecommunication Services: 2.8% | |||||||||||||||||||
189,344 | Verizon Communications, Inc. | $ 7,049,277 | 1.1 | ||||||||||||||||
382,838 | Vodafone Group PLC ADR | 10,229,431 | 1.7 | ||||||||||||||||
17,278,708 | 2.8 | ||||||||||||||||||
Utilities: 4.1% | |||||||||||||||||||
342,415 | American Electric Power Co., Inc. | 12,902,197 | 2.1 | ||||||||||||||||
115,156 | FirstEnergy Corp. | 5,084,137 | 0.8 | ||||||||||||||||
147,574 | Other Securities | 7,238,343 | 1.2 | ||||||||||||||||
25,224,677 | 4.1 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $494,553,308) | 590,111,342 | 95.7 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 5.7% | |||||||||||||||||||
Securities Lending Collateralcc: 1.5% | |||||||||||||||||||
7,638,027 | BNY Mellon Overnight Government Fund(1) | 7,638,027 | 1.2 | ||||||||||||||||
1,680,468 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,344,375 | 0.3 | |||||||||||||||
Total Securities Lending Collateral | |||||||||||||||||||
(Cost $9,318,495) | 8,982,402 | 1.5 | |||||||||||||||||
Mutual Funds: 4.2% | |||||||||||||||||||
25,931,334 | Blackrock Liquidity Funds TempFund Portfolio — Class I | ||||||||||||||||||
(Cost $25,931,334) | 25,931,334 | 4.2 | |||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $35,249,829) | 34,913,736 | 5.7 | |||||||||||||||||
Total Investments in Securities (Cost $529,803,137)* | $625,025,078 | 101.4 | |||||||||||||||||
Liabilities in Excess of Other Assets | (8,389,682 | ) | (1.4 | ) | |||||||||||||||
Net Assets | $616,635,396 | 100.0 |
@ | Non-income producing security |
ADR | American Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $532,745,233. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 106,509,973 | ||||
Gross Unrealized Depreciation | (14,230,128 | ) | ||||
Net Unrealized appreciation | $ | 92,279,845 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock* | $ | 590,111,342 | $ | — | $ | — | $ | 590,111,342 | ||||||||||
Short-Term Investments | 33,569,361 | — | 1,344,375 | 34,913,736 | ||||||||||||||
Total Investments, at value | $ | 623,680,703 | $ | — | $ | 1,344,375 | $ | 625,025,078 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | — | 5,879 | — | 5,879 | ||||||||||||||
Total Assets | $ | 623,680,703 | $ | 5,879 | $ | 1,344,375 | $ | 625,030,957 | ||||||||||
Liabilities Table |
ING INVESCO VAN KAMPEN GROWTH AND INCOME PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Other Financial Instruments+ | |||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (355,521 | ) | $ | — | $ | (355,521 | ) | |||||||||
Total Liabilities | $ | — | $ | (355,521 ) | $ | — | $ | (355,521 | ) | ||||||||||
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 1,344,375 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,344,375 | ||||||||||||||||||||
Total Investments, at value | $ | 1,344,375 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,344,375 |
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, futures, swaps, and written options. Forward foreign currency contracts 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. |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pershing | British Pound | 1,972,723 | Sell | 08/15/11 | $ | 3,148,091 | $ | 3,164,265 | $ | (16,174 | ) | |||||||||||||||||||
Pershing | EU Euro | 3,472,452 | Sell | 08/15/11 | 4,912,842 | 5,028,818 | (115,976 | ) | ||||||||||||||||||||||
Pershing | EU Euro | 1,159,480 | Sell | 08/15/11 | 1,642,085 | 1,679,164 | (37,079 | ) | ||||||||||||||||||||||
Pershing | Japanese Yen | 129,521,096 | Sell | 08/15/11 | 1,611,961 | 1,609,254 | 2,707 | |||||||||||||||||||||||
Pershing | EU Euro | 3,459,036 | Sell | 08/15/11 | 4,906,608 | 5,009,389 | (102,781 | ) | ||||||||||||||||||||||
Pershing | British Pound | 985,992 | Sell | 08/15/11 | 1,577,696 | 1,581,540 | (3,844 | ) | ||||||||||||||||||||||
Pershing | EU Euro | 2,163,843 | Sell | 08/15/11 | 3,061,514 | 3,133,686 | (72,172 | ) | ||||||||||||||||||||||
Pershing | Japanese Yen | 130,483,453 | Sell | 08/15/11 | 1,624,383 | 1,621,211 | 3,172 | |||||||||||||||||||||||
Pershing | British Pound | 988,268 | Sell | 08/15/11 | 1,577,696 | 1,585,191 | (7,495 | ) | ||||||||||||||||||||||
$ | (349,642 | ) |
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 | $ | 5,879 | |||||||
Total Asset Derivatives | $ | 5,879 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 355,521 | |||||||
Total Liability Derivatives | $ | 355,521 |
ING INVESCO VAN KAMPEN GROWTH AND INCOME PORTFOLIO | | 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* | |||||
Foreign exchange contracts | $ | 111,696 | ||||
Total | $ | 111,696 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | |||||
Foreign exchange contracts | $ | (349,642 | ) | |||
Total | $ | (349,642 | ) |
* | 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 JANUS CONTRARIAN PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
as of June 30, 2011
(as a percentage of net assets)
Financials | 24.2 | % | ||||
Energy | 18.7 | % | ||||
Consumer Discretionary | 14.6 | % | ||||
Materials | 8.8 | % | ||||
Health Care | 6.4 | % | ||||
Telecommunication Services | 5.1 | % | ||||
Industrials | 4.6 | % | ||||
Information Technology | 4.4 | % | ||||
Utilities | 1.9 | % | ||||
Other Assets and Liabilities — Net* | 11.3 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 88.7% | |||||||||||||||||||
Consumer Discretionary: 14.6% | |||||||||||||||||||
696,383 | Bharat Forge Ltd. | $ 4,802,389 | 1.0 | ||||||||||||||||
1,294,577 | @ | Bwin.Party Digital Entertainment PLC | 3,112,493 | 0.6 | |||||||||||||||
19,700 | Fast Retailing Co., Ltd. | 3,186,050 | 0.6 | ||||||||||||||||
163,935 | International Game Technology | 2,881,977 | 0.6 | ||||||||||||||||
140,355 | @ | Liberty Media Corp. —Capital Shares A | 12,035,441 | 2.4 | |||||||||||||||
160,080 | News Corp. — Class A | 2,833,416 | 0.6 | ||||||||||||||||
448,363 | Pantaloon Retail India Ltd. | 2,988,988 | 0.6 | ||||||||||||||||
180,500 | Universal Entertainment Corp. | 6,032,589 | 1.2 | ||||||||||||||||
232,730 | Vail Resorts, Inc. | 10,756,781 | 2.2 | ||||||||||||||||
74,415 | @ | Visteon Corp. | 5,090,730 | 1.0 | |||||||||||||||
280,195 | #, @ | Visteon Corp. | 19,168,140 | 3.8 | |||||||||||||||
72,888,994 | 14.6 | ||||||||||||||||||
Energy: 18.7% | |||||||||||||||||||
582,214 | @ | Approach Resources, Inc. | 13,198,791 | 2.7 | |||||||||||||||
110,850 | Canadian Natural Resources Ltd. | 4,640,181 | 0.9 | ||||||||||||||||
826,200 | Chesapeake Energy Corp. | 24,529,878 | 4.9 | ||||||||||||||||
323,294 | Eurasia Drilling Co., Ltd. GDR | 9,537,173 | 1.9 | ||||||||||||||||
67,320 | Halliburton Co. | 3,433,320 | 0.7 | ||||||||||||||||
16,800 | @ | HRT Participacoes em Petroleo SA | 15,124,144 | 3.0 | |||||||||||||||
138,720 | @ | Kinder Morgan Management, LLC | 9,098,645 | 1.8 | |||||||||||||||
37,105 | Peabody Energy Corp. | 2,185,856 | 0.5 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
84,450 | Pioneer Natural Resources Co. | $ 7,564,186 | 1.5 | ||||||||||||||||
65,260 | Whiting Petroleum Corp. | 3,713,947 | �� | 0.8 | |||||||||||||||
93,026,121 | 18.7 | ||||||||||||||||||
Financials: 24.2% | |||||||||||||||||||
263,805 | Annaly Capital Management, Inc. | 4,759,042 | 0.9 | ||||||||||||||||
806,340 | Assured Guaranty Ltd. | 13,151,405 | 2.6 | ||||||||||||||||
1,137,638 | Banco Bilbao Vizcaya Argentaria S.A. | 13,354,571 | 2.7 | ||||||||||||||||
751,795 | @ | CB Richard Ellis Group, Inc. | 18,877,573 | 3.8 | |||||||||||||||
490,506 | @ | DB Realty Ltd. | 777,013 | 0.2 | |||||||||||||||
1,571,000 | Hang Lung Properties Ltd. | 6,459,398 | 1.3 | ||||||||||||||||
555,449 | Lancashire Holdings Ltd. | 5,825,554 | 1.2 | ||||||||||||||||
2,773,360 | @ | Popular, Inc. | 7,654,474 | 1.5 | |||||||||||||||
331,600 | RenaissanceRe Holdings Ltd. | 23,195,420 | 4.6 | ||||||||||||||||
782,474 | @, L | St Joe Co. | 16,306,758 | 3.3 | |||||||||||||||
4,942,660 | Synovus Financial Corp. | 10,280,733 | 2.1 | ||||||||||||||||
78,172 | Other Securities | 236,861 | 0.0 | ||||||||||||||||
120,878,802 | 24.2 | ||||||||||||||||||
Health Care: 6.4% | |||||||||||||||||||
55,750 | Covidien PLC | 2,967,573 | 0.6 | ||||||||||||||||
101,585 | @ | Express Scripts, Inc. | 5,483,558 | 1.1 | |||||||||||||||
539,170 | @ | Mylan Laboratories | 13,301,324 | 2.7 | |||||||||||||||
188,420 | Omnicare, Inc. | 6,008,714 | 1.2 | ||||||||||||||||
45,935 | Perrigo Co. | 4,036,308 | 0.8 | ||||||||||||||||
31,797,477 | 6.4 | ||||||||||||||||||
Industrials: 4.6% | |||||||||||||||||||
86,940 | CSX Corp. | 2,279,567 | 0.4 | ||||||||||||||||
310,357 | @ | Fiat Industrial SpA | 4,008,474 | 0.8 | |||||||||||||||
746,183 | @, L | United Continental Holdings, Inc. | 16,886,121 | 3.4 | |||||||||||||||
23,174,162 | 4.6 | ||||||||||||||||||
Information Technology: 4.4% | |||||||||||||||||||
573,780 | Dell, Inc. | 9,564,913 | 1.9 | ||||||||||||||||
372,370 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 4,695,586 | 0.9 | ||||||||||||||||
213,220 | @ | Western Digital Corp. | 7,756,943 | 1.6 | |||||||||||||||
22,017,442 | 4.4 | ||||||||||||||||||
Materials: 8.8% | |||||||||||||||||||
761,020 | Boise, Inc. | 5,928,346 | 1.2 | ||||||||||||||||
195,742 | Domtar Corp. | 18,540,682 | 3.7 | ||||||||||||||||
287,700 | JFE Holdings, Inc. | 7,912,226 | 1.6 | ||||||||||||||||
578,565 | @ | Jsw Steel Ltd. | 11,460,324 | 2.3 | |||||||||||||||
43,841,578 | 8.8 | ||||||||||||||||||
Telecommunication Services: 5.1% | |||||||||||||||||||
503,385 | Freenet AG | 6,974,304 | 1.4 | ||||||||||||||||
13,111,951 | Telecom Italia S.p.A. | 18,238,709 | 3.7 | ||||||||||||||||
25,213,013 | 5.1 |
ING JANUS CONTRARIAN PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: (continued) | |||||||||||||||||||
Utilities: 1.9% | |||||||||||||||||||
1,398,265 | NTPC Ltd. | $ 5,855,860 | 1.2 | ||||||||||||||||
1,541,637 | Power Grid Corp. of India Ltd. | 3,783,663 | 0.7 | ||||||||||||||||
9,639,523 | 1.9 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $430,730,390) | 442,477,112 | 88.7 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 15.5% | |||||||||||||||||||
Securities Lending Collateralcc: 5.0% | |||||||||||||||||||
23,332,264 | BNY Mellon Overnight Government Fund(1) | 23,332,264 | 4.7 | ||||||||||||||||
1,618,796 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,295,037 | 0.3 | |||||||||||||||
Total Securities Lending Collateral | |||||||||||||||||||
(Cost $24,951,060) | 24,627,301 | 5.0 | |||||||||||||||||
Mutual Funds: 10.5% | |||||||||||||||||||
52,396,018 | Blackrock Liquidity Funds TempFund Portfolio — Class I (Cost $52,396,018) | 52,396,018 | 10.5 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $77,347,078) | 77,023,319 | 15.5 | |||||||||||||||||
Total Investments in Securities (Cost $508,077,468)* | $519,500,431 | 104.2 | |||||||||||||||||
Liabilities in Excess of Other Assets | (20,861,401 | ) | (4.2 | ) | |||||||||||||||
Net Assets | $498,639,030 | 100.0 |
# | 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. |
@ | Non-income producing security |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $523,218,225. |
Net unrealized depreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 37,508,335 | ||||
Gross Unrealized Depreciation | (41,226,129 | ) | ||||
Net Unrealized depreciation | $ | (3,717,794 | ) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 52,903,574 | $ | 19,985,420 | $ | — | $ | 72,888,994 | ||||||||||
Energy | 93,026,121 | — | — | 93,026,121 | ||||||||||||||
Financials | 94,462,266 | 26,416,536 | — | 120,878,802 | ||||||||||||||
Health Care | 31,797,477 | — | — | 31,797,477 | ||||||||||||||
Industrials | 19,165,688 | 4,008,474 | — | 23,174,162 | ||||||||||||||
Information Technology | 22,017,442 | — | — | 22,017,442 | ||||||||||||||
Materials | 24,469,028 | 19,372,550 | — | 43,841,578 | ||||||||||||||
Telecommunication Services | 6,974,304 | 18,238,709 | — | 25,213,013 | ||||||||||||||
Utilities | — | 9,639,523 | — | 9,639,523 | ||||||||||||||
Total Common Stock | 344,815,900 | 97,661,212 | — | 442,477,112 | ||||||||||||||
Short-Term Investments | 75,728,282 | — | 1,295,037 | 77,023,319 | ||||||||||||||
Total Investments, at value | $ | 420,544,182 | $ | 97,661,212 | $ | 1,295,037 | $ | 519,500,431 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | — | 102,551 | — | 102,551 | ||||||||||||||
Total Assets | $ | 420,544,182 | $ | 97,763,763 | $ | 1,295,037 | $ | 519,602,982 |
ING JANUS CONTRARIAN PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (12,978 | ) | $ | — | $ | (12,978 | ) | ||||||||
Total Liabilities | $ | — | $ | (12,978 | ) | $ | — | $ | (12,978 | ) |
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 1,295,037 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,295,037 | ||||||||||||||||||||
Total Investments, at value | $ | 1,295,037 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,295,037 |
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 Summary Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts 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 significant 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) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse First Boston | British Pound | 1,700,000 | BUY | 08/18/11 | $ | 2,729,010 | $ | 2,726,710 | $ | (2,300 | ) | |||||||||||||||||||
HSBC | British Pound | 1,380,000 | BUY | 07/07/11 | 2,216,666 | 2,214,640 | (2,026 | ) | ||||||||||||||||||||||
HSBC | British Pound | 170,000 | BUY | 07/07/11 | 272,078 | 272,818 | 740 | |||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 1,841,000 | BUY | 08/04/11 | 2,955,781 | 2,953,397 | (2,384 | ) | ||||||||||||||||||||||
$ | (5,970 | ) | ||||||||||||||||||||||||||||
Credit Suisse First Boston | British Pound | 1,700,000 | SELL | 08/18/11 | $ | 2,720,442 | $ | 2,726,710 | $ | (6,268 | ) | |||||||||||||||||||
HSBC | British Pound | 1,550,000 | SELL | �� | 07/07/11 | 2,539,148 | 2,487,458 | 51,690 | ||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 1,841,000 | SELL | 08/04/11 | 3,003,518 | 2,953,397 | 50,121 | |||||||||||||||||||||||
$ | 95,543 |
ING JPMORGAN EMERGING MARKETS EQUITY PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
as of June 30, 2011
(as a percentage of net assets)
Brazil | 16.0 | % | ||||
China | 14.7 | % | ||||
India | 13.1 | % | ||||
South Korea | 11.5 | % | ||||
South Africa | 8.6 | % | ||||
Hong Kong | 6.0 | % | ||||
Taiwan | 6.0 | % | ||||
Russia | 4.1 | % | ||||
Mexico | 3.9 | % | ||||
United States | 1.1 | % | ||||
Countries between 0.5%–3.2%ˆ | 12.3 | % | ||||
Other Assets and Liabilities — Net* | 2.7 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
ˆ | Includes 8 countries, which each represents 0.5%–3.2% of net assets. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 97.3% | |||||||||||||||||||
Belgium: 0.7% | |||||||||||||||||||
168,000 | Oriflame Cosmetics S.A. | $ 8,283,954 | 0.7 | ||||||||||||||||
Brazil: 16.0% | |||||||||||||||||||
815,435 | Cia de Bebidas das Americas ADR | 27,504,623 | 2.4 | ||||||||||||||||
614,040 | Cielo SA | 15,226,571 | 1.3 | ||||||||||||||||
1,079,323 | Itau Unibanco Holding S.A. | 25,028,481 | 2.1 | ||||||||||||||||
1,766,900 | @ | OGX Petroleo e Gas Participacoes S.A. | 16,472,877 | 1.4 | |||||||||||||||
1,274,087 | Petroleo Brasileiro SA ADR | 39,088,989 | 3.4 | ||||||||||||||||
1,705,281 | Vale S.A. ADR | 49,384,938 | 4.3 | ||||||||||||||||
1,361,733 | Other Securities | 12,869,220 | 1.1 | ||||||||||||||||
185,575,699 | 16.0 | ||||||||||||||||||
Chile: 1.5% | |||||||||||||||||||
186,701 | L | Banco Santander Chile S.A. ADR | 17,514,421 | 1.5 | |||||||||||||||
China: 14.7% | |||||||||||||||||||
4,996,000 | Anhui Conch Cement Co., Ltd. | 23,510,834 | 2.0 | ||||||||||||||||
10,775,537 | China Merchants Bank Co., Ltd. | 26,157,348 | 2.3 | ||||||||||||||||
1,906,500 | China Mobile Ltd. | 17,749,105 | 1.5 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
China: (continued) | |||||||||||||||||||
14,030,000 | CNOOC Ltd. | $ 33,045,998 | 2.8 | ||||||||||||||||
139,411 | @ | New Oriental Education & Technology Group ADR | 15,574,997 | 1.3 | |||||||||||||||
2,744,500 | Ping An Insurance Group Co. of China Ltd. | 28,465,070 | 2.5 | ||||||||||||||||
2,602,000 | Tsingtao Brewery Co., Ltd. | 15,076,682 | 1.3 | ||||||||||||||||
8,849,950 | Other Securities | 11,297,650 | 1.0 | ||||||||||||||||
170,877,684 | 14.7 | ||||||||||||||||||
Egypt: 0.7% | |||||||||||||||||||
179,738 | Other Securities | 8,135,966 | 0.7 | ||||||||||||||||
Hong Kong: 6.0% | |||||||||||||||||||
4,248,800 | AIA Group Ltd. | 14,790,190 | 1.3 | ||||||||||||||||
3,246,000 | China Resources Enterprise | 13,300,322 | 1.1 | ||||||||||||||||
2,735,000 | Hang Lung Properties Ltd. | 11,245,355 | 1.0 | ||||||||||||||||
211,200 | @ | Jardine Matheson Holdings Ltd. | 12,110,208 | 1.0 | |||||||||||||||
9,204,000 | Li & Fung Ltd. | 18,395,937 | 1.6 | ||||||||||||||||
69,842,012 | 6.0 | ||||||||||||||||||
Hungary: 1.2% | |||||||||||||||||||
409,323 | OTP Bank Nyrt | 13,319,878 | 1.2 | ||||||||||||||||
India: 13.1% | |||||||||||||||||||
503,406 | ACC Ltd. | 10,723,600 | 0.9 | ||||||||||||||||
3,072,222 | Bharti Airtel Ltd. | 27,201,392 | 2.3 | ||||||||||||||||
208,398 | HDFC Bank Ltd. ADR | 36,759,323 | 3.2 | ||||||||||||||||
711,400 | Housing Development Finance Corp. | 11,277,584 | 1.0 | ||||||||||||||||
491,984 | L | Infosys Technologies Ltd. ADR | 32,092,116 | 2.8 | |||||||||||||||
728,100 | Jindal Steel & Power Ltd. | 10,653,991 | 0.9 | ||||||||||||||||
474,500 | United Spirits Ltd. | 10,428,818 | 0.9 | ||||||||||||||||
2,180,020 | Other Securities | 12,225,048 | 1.1 | ||||||||||||||||
151,361,872 | 13.1 | ||||||||||||||||||
Indonesia: 3.2% | |||||||||||||||||||
2,697,500 | Astra International Tbk PT | 20,051,779 | 1.7 | ||||||||||||||||
17,622,000 | Bank Rakyat Indonesia | 13,404,097 | 1.2 | ||||||||||||||||
2,332,000 | Other Securities | 4,058,210 | 0.3 | ||||||||||||||||
37,514,086 | 3.2 | ||||||||||||||||||
Italy: 1.5% | |||||||||||||||||||
374,307 | L | Tenaris S.A. ADR | 17,117,059 | 1.5 | |||||||||||||||
Malaysia: 0.5% | |||||||||||||||||||
396,100 | Other Securities | 6,126,137 | 0.5 | ||||||||||||||||
Mexico: 3.9% | |||||||||||||||||||
4,502,264 | Grupo Financiero Banorte SA de CV | 20,441,590 | 1.8 | ||||||||||||||||
8,329,240 | Wal-Mart de Mexico SA de CV | 24,720,595 | 2.1 | ||||||||||||||||
1 | Other Securities | 59 | 0.0 | ||||||||||||||||
45,162,244 | 3.9 |
ING JPMORGAN EMERGING MARKETS EQUITY PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: (continued) | |||||||||||||||||||
Russia: 4.1% | |||||||||||||||||||
480,500 | Magnit OAO GDR | $ 15,099,935 | 1.3 | ||||||||||||||||
130,300 | # | Magnit OJSC GDR | 4,094,738 | 0.4 | |||||||||||||||
7,769,406 | Sberbank of Russian Federation | 27,838,349 | 2.4 | ||||||||||||||||
47,033,022 | 4.1 | ||||||||||||||||||
South Africa: 8.6% | |||||||||||||||||||
3,068,979 | African Bank Investments Ltd. | 15,629,527 | 1.3 | ||||||||||||||||
711,728 | Impala Platinum Holdings Ltd. | 19,205,504 | 1.7 | ||||||||||||||||
462,832 | Massmart Holdings Ltd. | 9,582,848 | 0.8 | ||||||||||||||||
1,017,399 | MTN Group Ltd. | 21,674,535 | 1.9 | ||||||||||||||||
321,300 | Naspers Ltd. | 18,145,154 | 1.6 | ||||||||||||||||
5,290,892 | Other Securities | 15,517,258 | 1.3 | ||||||||||||||||
99,754,826 | 8.6 | ||||||||||||||||||
South Korea: 11.5% | |||||||||||||||||||
35,571 | @ | E-Mart Co. Ltd. | 8,146,030 | 0.7 | |||||||||||||||
107,592 | Hyundai Mobis | 40,482,019 | 3.5 | ||||||||||||||||
120,897 | Hyundai Motor Co. | 26,952,010 | 2.3 | ||||||||||||||||
30,217 | Posco | 13,127,955 | 1.1 | ||||||||||||||||
52,111 | Samsung Electronics Co., Ltd. | 40,502,200 | 3.5 | ||||||||||||||||
12,563 | Other Securities | 3,994,885 | 0.4 | ||||||||||||||||
133,205,099 | 11.5 | ||||||||||||||||||
Taiwan: 6.0% | |||||||||||||||||||
2,679,200 | Delta Electronics, Inc. | 9,870,087 | 0.9 | ||||||||||||||||
6,737,360 | Hon Hai Precision Industry Co., Ltd. | 23,195,343 | 2.0 | ||||||||||||||||
2,483,223 | Taiwan Semiconductor Manufacturing Co., Ltd. | 6,258,368 | 0.5 | ||||||||||||||||
2,370,362 | L | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 29,890,265 | 2.6 | |||||||||||||||
69,214,063 | 6.0 | ||||||||||||||||||
Turkey: 3.0% | |||||||||||||||||||
5,975,627 | Turkiye Garanti Bankasi A/S | 27,116,232 | 2.3 | ||||||||||||||||
1,823,000 | Other Securities | 7,837,667 | 0.7 | ||||||||||||||||
34,953,899 | 3.0 | ||||||||||||||||||
United States: 1.1% | |||||||||||||||||||
313,361 | @ | NII Holdings, Inc. | 13,280,239 | 1.1 | |||||||||||||||
Total Common Stock (Cost $810,739,413) | 1,128,272,160 | 97.3 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 8.2% | |||||||||||||||||||
Securities Lending Collateralcc: 8.2% | |||||||||||||||||||
92,525,048 | BNY Mellon Overnight Government Fund(1) | 92,525,048 | 8.0 | ||||||||||||||||
3,197,563 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 2,558,050 | 0.2 | |||||||||||||||
Total Short-Term Investments (Cost $95,722,611) | $ 95,083,098 | 8.2 | |||||||||||||||||
Total Investments in Securities (Cost $906,462,024)* | $1,223,355,258 | 105.5 | |||||||||||||||||
Liabilities in Excess of Other Assets | (63,722,514 ) | (5.5 | ) | ||||||||||||||||
Net Assets | $1,159,632,744 | 100.0 |
# | 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. |
@ | Non-income producing security |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $926,945,250. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 317,187,825 | ||||
Gross Unrealized Depreciation | (20,777,817 | ) | ||||
Net Unrealized appreciation | $ | 296,410,008 |
Industry | Percentage of Net Assets | |||||
---|---|---|---|---|---|---|
Consumer Discretionary | 12.4 | % | ||||
Consumer Staples | 13.0 | |||||
Energy | 9.1 | |||||
Financials | 27.6 | |||||
Industrials | 3.5 | |||||
Information Technology | 13.6 | |||||
Materials | 11.2 | |||||
Telecommunication Services | 6.9 | |||||
Short-Term Investments | 8.2 | |||||
Other Assets and Liabilities — Net | (5.5 | ) | ||||
Net Assets | 100.0 | % |
ING JPMORGAN EMERGING MARKETS EQUITY PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Belgium | $ | — | $ | 8,283,954 | $ | — | $ | 8,283,954 | ||||||||||
Brazil | 185,575,699 | — | — | 185,575,699 | ||||||||||||||
Chile | 17,514,421 | — | — | 17,514,421 | ||||||||||||||
China | 21,494,002 | 149,383,682 | — | 170,877,684 | ||||||||||||||
Egypt | — | 8,135,966 | — | 8,135,966 | ||||||||||||||
Hong Kong | 12,110,208 | 57,731,804 | — | 69,842,012 | ||||||||||||||
Hungary | — | 13,319,878 | — | 13,319,878 | ||||||||||||||
India | 68,851,462 | 82,510,410 | — | 151,361,872 | ||||||||||||||
Indonesia | — | 37,514,086 | — | 37,514,086 | ||||||||||||||
Italy | 17,117,059 | — | — | 17,117,059 | ||||||||||||||
Malaysia | 6,126,137 | — | — | 6,126,137 | ||||||||||||||
Mexico | 45,162,244 | — | — | 45,162,244 | ||||||||||||||
Russia | 27,838,349 | 19,194,673 | — | 47,033,022 | ||||||||||||||
South Africa | 2,308,179 | 97,446,647 | — | 99,754,826 | ||||||||||||||
South Korea | 12,140,915 | 121,064,184 | — | 133,205,099 | ||||||||||||||
Taiwan | 29,890,265 | 39,323,798 | — | 69,214,063 | ||||||||||||||
Turkey | — | 34,953,899 | — | 34,953,899 | ||||||||||||||
United States | 13,280,239 | — | — | 13,280,239 | ||||||||||||||
Total Common Stock | 459,409,179 | 668,862,981 | — | 1,128,272,160 | ||||||||||||||
Short-Term Investments | 92,525,048 | — | 2,558,050 | 95,083,098 | ||||||||||||||
Total Investments, at value | $ | 551,934,227 | $ | 668,862,981 | $ | 2,558,050 | $ | 1,223,355,258 |
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 2,558,050 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,558,050 | ||||||||||||||||||||
Total Investments, at value | $ | 2,558,050 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,558,050 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
# | 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 significant portion of the Portfolio’s investments are categorized as Level 2 investments. |
ING LIQUID ASSETS PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
as of June 30, 2011
(as a percentage of net assets)
Commercial Paper | 55.7 | % | ||||
Corporate Bonds/Notes | 15.3 | % | ||||
Certificates of Deposit | 8.6 | % | ||||
Repurchase Agreement | 4.4 | % | ||||
Mutual Funds | 3.0 | % | ||||
U.S. Government Agency Obligations | 3.0 | % | ||||
Other Assets and Liabilities — Net | 10.0 | % | ||||
Net Assets | 100.0 | % |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CERTIFICATES OF DEPOSIT: 8.6% | |||||||||||||||||||
11,000,000 | # | ANZ National Int’l Ltd/London, 0.374%, due 07/25/11 | $ 11,000,000 | 0.8 | |||||||||||||||
9,000,000 | BNP Paribas, 0.390%, due 12/02/11 | 9,003,255 | 0.7 | ||||||||||||||||
12,500,000 | Credit Suisse/New York NY, 0.560%, due 12/08/11 | 12,500,000 | 0.9 | ||||||||||||||||
11,250,000 | Deutsche Bank AG/New York NY, 0.780%, due 04/20/12 | 11,250,000 | 0.8 | ||||||||||||||||
250,000 | Rabobank Nederland NV, 0.270%, due 09/07/11 | 250,038 | 0.0 | ||||||||||||||||
13,000,000 | Rabobank Nederland NV, 0.340%, due 11/16/11 | 13,000,000 | 1.0 | ||||||||||||||||
10,750,000 | Societe Generale/New York NY, 0.560%, due 03/05/12 | 10,759,477 | 0.8 | ||||||||||||||||
5,500,000 | Svenska Handelsbanken AB, 0.240%, due 08/18/11 | 5,500,037 | 0.4 | ||||||||||||||||
1,600,000 | Toronto Dominion Bank, 0.170%, due 08/03/11 | 1,600,029 | 0.1 | ||||||||||||||||
13,500,000 | Toronto Dominion Bank, 0.210%, due 07/07/11 | 13,500,037 | 1.0 | ||||||||||||||||
11,000,000 | Toronto-Dominion Bank, 0.220%, due 07/15/11 | 11,000,000 | 0.8 | ||||||||||||||||
16,700,000 | Toronto-Dominion Bank, 0.220%, due 07/28/11 | 16,700,000 | 1.2 | ||||||||||||||||
500,000 | UBS AG, 0.240%, due 08/05/11 | 500,193 | 0.1 | ||||||||||||||||
Total Certificates of Deposit | |||||||||||||||||||
(Cost $116,563,066) | 116,563,066 | 8.6 | |||||||||||||||||
COMMERCIAL PAPER: 55.7% | |||||||||||||||||||
27,000,000 | Abbott Labs, 0.200%, due 07/19/11 | $ 26,999,055 | 2.0 | ||||||||||||||||
7,250,000 | Abbott Labs, 0.200%, due 07/21/11 | 7,249,718 | 0.5 | ||||||||||||||||
11,500,000 | American Honda Finance Corp., 0.240%, due 09/29/11 | 11,493,963 | 0.9 | ||||||||||||||||
700,000 | ANZ National Bank Ltd., 0.220%, due 09/13/11 | 699,281 | 0.1 | ||||||||||||||||
13,750,000 | # | ASB Finance Ltd./London, 0.220%, due 09/12/11 | 13,752,161 | 1.0 | |||||||||||||||
1,250,812 | Bank of America, 0.200%, due 07/25/11 | 1,250,662 | 0.1 | ||||||||||||||||
11,900,000 | Barclays Bank PLC, 0.150%, due 07/06/11 | 11,899,752 | 0.9 | ||||||||||||||||
1,250,000 | Barton Capital LLC, 0.250%, due 08/01/11 | 1,249,795 | 0.1 | ||||||||||||||||
12,500,000 | Barton Capital LLC, 0.250%, due 08/02/11 | 12,498,111 | 0.9 | ||||||||||||||||
11,500,000 | Barton Capital LLC, 0.200%, due 07/12/11 | 11,499,403 | 0.9 | ||||||||||||||||
4,250,000 | Barton Capital LLC, 0.200%, due 07/06/11 | 4,249,929 | 0.3 | ||||||||||||||||
3,250,000 | Barton Capital LLC, 0.200%, due 07/07/11 | 3,249,924 | 0.2 | ||||||||||||||||
11,300,000 | CAFCO LLC, 0.200%, due 07/08/11 | 11,299,253 | 0.8 | ||||||||||||||||
15,500,000 | CAFCO LLC, 0.200%, due 07/11/11 | 15,498,278 | 1.1 | ||||||||||||||||
5,250,000 | CAFCO LLC, 0.250%, due 08/11/11 | 5,247,788 | 0.4 | ||||||||||||||||
2,793,000 | CAFCO LLC, 0.270%, due 09/26/11 | 2,791,650 | 0.2 | ||||||||||||||||
6,000,000 | Cargill Financial Services Corp., 0.150%, due 07/06/11 | 5,999,908 | 0.4 | ||||||||||||||||
19,850,000 | Cargill Global Fund PLC, 0.130%, due 07/01/11 | 19,850,000 | 1.5 | ||||||||||||||||
23,650,000 | Cargill Global Fund PLC, 0.150%, due 07/05/11 | 23,649,749 | 1.7 | ||||||||||||||||
5,900,000 | Cargill Global Fund PLC, 0.150%, due 07/07/11 | 5,899,902 | 0.4 | ||||||||||||||||
23,750,000 | Caterpillar, 0.130%, due 07/01/11 | 23,750,000 | 1.8 | ||||||||||||||||
950,000 | Ciesco LLC, 0.200%, due 07/06/11 | 949,980 | 0.1 | ||||||||||||||||
2,000,000 | Ciesco LLC, 0.200%, due 07/11/11 | 1,999,917 | 0.1 | ||||||||||||||||
19,750,000 | Ciesco LLC, 0.250%, due 08/05/11 | 19,742,993 | 1.5 | ||||||||||||||||
1,000,000 | Ciesco LLC, 0.250%, due 07/26/11 | 999,910 | 0.1 | ||||||||||||||||
7,000,000 | Ciesco LLC, 0.250%, due 08/15/11 | 6,998,250 | 0.5 | ||||||||||||||||
15,250,000 | Ciesco LLC, 0.270%, due 09/15/11 | 15,243,883 | 1.1 |
ING LIQUID ASSETS PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMERCIAL PAPER: (continued) | |||||||||||||||||||
17,168,000 | Commercial Paper Direct, 0.200%, due 07/11/11 | $ | 17,166,891 | 1.3 | |||||||||||||||
14,100,000 | Commonwealth Bank of Australia, 0.220%, due 09/21/11 | 14,093,898 | 1.0 | ||||||||||||||||
12,200,000 | Concentrate Manufacturing Co., 0.150%, due 07/11/11 | 12,199,593 | 0.9 | ||||||||||||||||
11,250,000 | Concord Minutemen Capital Co., 0.250%, due 08/15/11 | 11,240,859 | 0.8 | ||||||||||||||||
7,250,000 | Concord Minutemen Capital Co., 0.270%, due 09/23/11 | 7,241,880 | 0.5 | ||||||||||||||||
29,250,000 | Concord Minutemen Capital Co., 0.390%, due 02/13/12 | 29,139,338 | 2.2 | ||||||||||||||||
10,250,000 | Crown Point Capital Co., 0.250%, due 08/15/11 | 10,241,672 | 0.8 | ||||||||||||||||
9,000,000 | Crown Point Capital Co., 0.270%, due 09/23/11 | 8,989,920 | 0.7 | ||||||||||||||||
3,000,000 | Crown Point Capital Co., 0.330%, due 11/18/11 | 2,994,750 | 0.2 | ||||||||||||||||
25,400,000 | Crown Point Capital Co., 0.390%, due 02/13/12 | 25,303,903 | 1.9 | ||||||||||||||||
800,000 | Deutsche Bank AG/New York NY, 0.220%, due 09/01/11 | 799,724 | 0.1 | ||||||||||||||||
47,500,000 | JPMorgan Chase, 0.150%, due 07/05/11 | 47,499,763 | 3.5 | ||||||||||||||||
5,750,000 | Jupiter Securitization Company LLC, 0.180%, due 07/01/11 | 5,750,000 | 0.4 | ||||||||||||||||
2,665,000 | Jupiter Securitization Company LLC, 0.250%, due 07/18/11 | 2,664,824 | 0.2 | ||||||||||||||||
1,000,000 | Jupiter Securitization Company LLC, 0.250%, due 07/26/11 | 999,910 | 0.1 | ||||||||||||||||
5,100,000 | Jupiter Securitization Company LLC, 0.250%, due 08/01/11 | 5,098,726 | 0.4 | ||||||||||||||||
7,400,000 | Jupiter Securitization Company LLC, 0.200%, due 07/11/11 | 7,399,733 | 0.5 | ||||||||||||||||
18,600,000 | Jupiter Securitization Company LLC, 0.200%, due 07/12/11 | 18,599,261 | 1.4 | ||||||||||||||||
5,500,000 | Jupiter Securitization Company LLC, 0.270%, due 09/08/11 | 5,498,208 | 0.4 | ||||||||||||||||
13,750,000 | Lloyds TSB Bank PLC, 0.150%, due 07/05/11 | 13,749,710 | 1.0 | ||||||||||||||||
26,500,000 | Old Line Funding LLC, 0.250%, due 08/22/11 | 26,493,110 | 2.0 | ||||||||||||||||
1,500,000 | Old Line Funding LLC, 0.250%, due 08/09/11 | 1,499,708 | 0.1 | ||||||||||||||||
2,500,000 | Old Line Funding LLC, 0.200%, due 07/05/11 | 2,499,944 | 0.2 | ||||||||||||||||
COMMERCIAL PAPER: (continued) | |||||||||||||||||||
11,500,000 | Old Line Funding LLC, 0.270%, due 09/15/11 | $ | 11,495,630 | 0.9 | |||||||||||||||
4,250,000 | PepsiCo, Inc., 0.220%, due 08/29/11 | 4,249,373 | 0.3 | ||||||||||||||||
13,950,000 | Royal Bank of Canada, 0.200%, due 08/10/11 | 13,946,590 | 1.0 | ||||||||||||||||
1,750,000 | Thunder Bay Funding LLC, 0.250%, due 07/20/11 | 1,749,880 | 0.1 | ||||||||||||||||
47,171,000 | Thunder Bay Funding LLC, 0.250%, due 08/19/11 | 47,159,443 | 3.5 | ||||||||||||||||
1,467,000 | Thunder Bay Funding LLC, 0.270%, due 09/06/11 | 1,466,508 | 0.1 | ||||||||||||||||
4,750,000 | Variable Funding Capital, 0.250%, due 07/29/11 | 4,749,446 | 0.4 | ||||||||||||||||
21,500,000 | Variable Funding Capital, 0.250%, due 08/01/11 | 21,497,223 | 1.6 | ||||||||||||||||
2,400,000 | Variable Funding Capital, 0.250%, due 08/11/11 | 2,399,590 | 0.2 | ||||||||||||||||
12,750,000 | Variable Funding Capital, 0.250%, due 08/03/11 | 12,748,247 | 0.9 | ||||||||||||||||
8,250,000 | Wal-Mart Stores, Inc., 0.150%, due 07/06/11 | 8,249,931 | 0.6 | ||||||||||||||||
22,750,000 | Wal-Mart Stores, Inc., 0.200%, due 07/29/11 | 22,748,584 | 1.7 | ||||||||||||||||
2,250,000 | # | Westpac Banking Corp., 0.260%, due 10/28/11 | 2,250,172 | 0.2 | |||||||||||||||
4,250,000 | Westpac Banking Corp., 0.200%, due 08/19/11 | 4,248,756 | 0.3 | ||||||||||||||||
23,500,000 | Windmill Funding Corp., 0.310%, due 10/21/11 | 23,477,335 | 1.7 | ||||||||||||||||
10,250,000 | Windmill Funding Corp., 0.310%, due 10/03/11 | 10,244,112 | 0.8 | ||||||||||||||||
8,600,000 | Windmill Funding Group, 0.250%, due 07/18/11 | 8,598,660 | 0.6 | ||||||||||||||||
7,500,000 | Windmill Funding Group, 0.200%, due 07/05/11 | 7,499,933 | 0.6 | ||||||||||||||||
Total Commercial Paper | |||||||||||||||||||
(Cost $751,957,953) | 751,957,953 | 55.7 | |||||||||||||||||
CORPORATE BONDS/NOTES: 15.3% | |||||||||||||||||||
6,000,000 | # | American Honda Finance Corp., 0.450%, due 12/09/11 | 6,002,712 | 0.4 | |||||||||||||||
10,000,000 | # | American Honda Finance Corp., 0.890%, due 09/15/11 | 10,000,926 | 0.7 | |||||||||||||||
1,090,000 | # | ANZ National Int’l Ltd., 0.930%, due 09/23/11 | 1,091,302 | 0.1 | |||||||||||||||
2,500,000 | Australia & New Zealand Banking Group Ltd., 5.125%, due 11/14/11 | 2,543,970 | 0.2 | ||||||||||||||||
4,210,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 5.000%, due 01/25/12 | 4,317,446 | 0.3 | ||||||||||||||||
5,000,000 | Credit Suisse First Boston USA, Inc., 0.690%, due 01/15/12 | 5,159,818 | 0.4 |
ING LIQUID ASSETS PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
6,000,000 | Credit Suisse First Boston USA, Inc., 1.560%, due 08/16/11 | $ | 6,037,051 | 0.4 | |||||||||||||||
3,500,000 | Kreditanstalt fuer Wiederaufbau, 0.410%, due 10/14/11 | 3,528,019 | 0.3 | ||||||||||||||||
4,000,000 | Lloyds TSB Bank PLC, 0.009%, due 07/15/11 | 4,006,717 | 0.3 | ||||||||||||||||
1,000,000 | # | Rabobank Nederland NV, 0.240%, due 08/05/11 | 1,000,172 | 0.1 | |||||||||||||||
17,750,000 | # | Rabobank Nederland NV, 0.330%, due 03/16/12 | 17,762,046 | 1.3 | |||||||||||||||
24,000,000 | # | Royal Bank of Canada, 0.190%, due 03/30/12 | 24,000,000 | 1.8 | |||||||||||||||
9,500,000 | Royal Bank of Canada, 0.460%, due 03/30/12 | 9,524,085 | 0.7 | ||||||||||||||||
21,000,000 | Societe Generale/New York NY, 0.200%, due 07/19/11 | 20,997,152 | 1.6 | ||||||||||||||||
1,500,000 | # | Svenska Handelsbanken AB, 0.150%, due 07/01/11 | 1,500,000 | 0.1 | |||||||||||||||
21,000,000 | # | Svenska Handelsbanken AB, 0.570%, due 03/09/12 | 21,000,000 | 1.6 | |||||||||||||||
1,023,000 | Total Capital SA, 4.125%, due 10/06/11 | 1,033,205 | 0.1 | ||||||||||||||||
1,796,000 | Toyota Motor Credit Corp., 0.012%, due 10/25/11 | 1,822,638 | 0.1 | ||||||||||||||||
26,000,000 | Toyota Motor Credit Corp., 0.190%, due 12/14/11 | 26,000,000 | 1.9 | ||||||||||||||||
11,875,000 | Wal-Mart Stores, Inc., 0.420%, due 06/01/12 | 12,413,424 | 0.9 | ||||||||||||||||
26,500,000 | Westpac Banking Corp., 0.250%, due 03/27/12 | 26,500,000 | 2.0 | ||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||
(Cost $206,240,683) | 206,240,683 | 15.3 | |||||||||||||||||
MUTUAL FUNDS: 3.0% | |||||||||||||||||||
41,000,000 | Blackrock Liquidity Funds TempFund Portfolio — Class I | 41,000,000 | 3.0 | ||||||||||||||||
Total Mutual Funds | |||||||||||||||||||
(Cost $41,000,000) | 41,000,000 | 3.0 | |||||||||||||||||
REPURCHASE AGREEMENT: 4.4% | |||||||||||||||||||
$60,072,000 | Morgan Stanley Repurchase Agreement dated 06/30/11, 0.010%, due 07/01/11, $60,072,017 to be received upon repurchase (Collateralized by $60,980,000 Federal Home Loan Mortgage Association, 3.50%, Market Value plus accrued interest $61,273,957 due 08/17/20) | $ | 60,072,000 | 4.4 | |||||||||||||||
Total Repurchase Agreement | |||||||||||||||||||
(Cost $60,072,000) | 60,072,000 | 4.4 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 3.0% | |||||||||||||||||||
40,000,000 | Z | Fannie Mae Discount Notes, 0.080%, due 10/19/11 | 39,992,667 | 3.0 | |||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||
(Cost $39,992,667) | 39,992,667 | 3.0 | |||||||||||||||||
Total Investments in Securities (Cost $1,215,826,369)* | $ | 1,215,826,369 | 90.0 | ||||||||||||||||
Assets in Excess of Other Liabilities | 135,064,153 | 10.0 | |||||||||||||||||
Net Assets | $ | 1,350,890,522 | 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. |
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
* | Cost for federal income tax purposes is the same as for financial statement purposes. |
ING LIQUID ASSETS PORTFOLIO | | SUMMARY PORTFOLIO OF INVESTMENTS |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 206,240,683 | $ | — | $ | 206,240,683 | ||||||||||
Commercial Paper | — | 751,957,953 | — | 751,957,953 | ||||||||||||||
Mutual Funds | 41,000,000 | — | — | 41,000,000 | ||||||||||||||
Repurchase Agreement | — | 60,072,000 | — | 60,072,000 | ||||||||||||||
U.S. Government Agency Obligations | — | 39,992,667 | — | 39,992,667 | ||||||||||||||
Certificates of Deposit | — | 116,563,066 | — | 116,563,066 | ||||||||||||||
Total Investments, at value | $ | 41,000,000 | $ | 1,174,826,369 | $ | — | $ | 1,215,826,369 | ||||||||||
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
as of June 30, 2011
(as a percentage of net assets)
Consumer Discretionary | 33.3 | % | ||||
Industrials | 16.2 | % | ||||
Information Technology | 15.7 | % | ||||
Materials | 13.5 | % | ||||
Energy | 6.8 | % | ||||
Health Care | 4.4 | % | ||||
Financials | 4.1 | % | ||||
Consumer Staples | 3.7 | % | ||||
Other Assets and Liabilities — Net* | 2.3 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 97.2% | |||||||||||||||||||
Consumer Discretionary: 33.3% | |||||||||||||||||||
101,146 | @ | Amazon.com, Inc. | $ 20,683,346 | 2.6 | |||||||||||||||
3,050,647 | Cie Financiere Richemont SA ADR | 20,042,751 | 2.5 | ||||||||||||||||
194,556 | Coach, Inc. | 12,437,965 | 1.6 | ||||||||||||||||
2,140,000 | Li & Fung Ltd. | 4,277,195 | 0.5 | ||||||||||||||||
229,907 | McDonald’s Corp. | 19,385,758 | 2.5 | ||||||||||||||||
274,123 | Nike, Inc. | 24,665,588 | 3.1 | ||||||||||||||||
43,206 | O’Reilly Automotive, Inc. | 2,830,425 | 0.4 | ||||||||||||||||
53,827 | @, L | Priceline.com, Inc. | 27,555,656 | 3.5 | |||||||||||||||
66,217 | Sotheby’s | 2,880,440 | 0.4 | ||||||||||||||||
523,221 | Starbucks Corp. | 20,661,997 | 2.6 | ||||||||||||||||
240,635 | Tiffany & Co. | 18,894,660 | 2.4 | ||||||||||||||||
737,395 | Time Warner, Inc. | 26,819,056 | 3.4 | ||||||||||||||||
519,261 | TJX Cos., Inc. | 27,276,780 | 3.4 | ||||||||||||||||
123,148 | Wynn Resorts Ltd. | 17,676,664 | 2.2 | ||||||||||||||||
314,911 | Yum! Brands, Inc. | 17,395,684 | 2.2 | ||||||||||||||||
263,483,965 | 33.3 | ||||||||||||||||||
Consumer Staples: 3.7% | |||||||||||||||||||
139,838 | Estee Lauder Cos., Inc. | 14,709,559 | 1.9 | ||||||||||||||||
69,490 | @, L | Green Mountain Coffee Roasters, Inc. | 6,202,677 | 0.8 | |||||||||||||||
122,490 | Mead Johnson Nutrition Co. | 8,274,200 | 1.0 | ||||||||||||||||
29,186,436 | 3.7 | ||||||||||||||||||
Energy: 6.8% | |||||||||||||||||||
119,530 | @, L | Continental Resources, Inc. | 7,758,692 | 1.0 | |||||||||||||||
92,870 | EOG Resources, Inc. | 9,709,559 | 1.2 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
324,243 | Halliburton Co. | $ 16,536,393 | 2.1 | ||||||||||||||||
189,036 | Occidental Petroleum Corp. | 19,667,305 | 2.5 | ||||||||||||||||
53,671,949 | 6.8 | ||||||||||||||||||
Financials: 3.6% | |||||||||||||||||||
202,627 | PNC Financial Services Group, Inc. | 12,078,596 | 1.5 | ||||||||||||||||
656,777 | US Bancorp. | 16,754,381 | 2.1 | ||||||||||||||||
28,832,977 | 3.6 | ||||||||||||||||||
Health Care: 4.4% | |||||||||||||||||||
376,893 | @ | Agilent Technologies, Inc. | 19,263,001 | 2.5 | |||||||||||||||
142,748 | Biogen Idec, Inc. | 15,262,616 | 1.9 | ||||||||||||||||
34,525,617 | 4.4 | ||||||||||||||||||
Industrials: 16.2% | |||||||||||||||||||
115,911 | Cummins, Inc. | 11,995,629 | 1.5 | ||||||||||||||||
313,447 | Danaher Corp. | 16,609,557 | 2.1 | ||||||||||||||||
351,830 | Eaton Corp. | 18,101,654 | 2.3 | ||||||||||||||||
89,060 | General Dynamics Corp. | 6,636,751 | 0.8 | ||||||||||||||||
12,795,000 | @ | Hutchison Port Holdings Trust | 10,811,775 | 1.4 | |||||||||||||||
121,075 | Precision Castparts Corp. | 19,934,999 | 2.5 | ||||||||||||||||
233,638 | L | Rockwell Automation, Inc. | 20,270,433 | 2.6 | |||||||||||||||
225,261 | Union Pacific Corp. | 23,517,248 | 3.0 | ||||||||||||||||
127,878,046 | 16.2 | ||||||||||||||||||
Information Technology: 15.7% | |||||||||||||||||||
123,056 | @ | Acme Packet, Inc. | 8,629,917 | 1.1 | |||||||||||||||
92,222 | Apple, Inc. | 30,956,159 | 3.9 | ||||||||||||||||
193,873 | @ | Baidu.com ADR | 27,167,424 | 3.4 | |||||||||||||||
40,213 | @ | F5 Networks, Inc. | 4,433,483 | 0.6 | |||||||||||||||
951,901 | Oracle Corp. | 31,327,061 | 4.0 | ||||||||||||||||
67,244 | @, L | Salesforce.com, Inc. | 10,018,011 | 1.3 | |||||||||||||||
57,724 | Visa, Inc. | 4,863,824 | 0.6 | ||||||||||||||||
183,643 | @, L | Youku.com, Inc. ADR | 6,308,137 | 0.8 | |||||||||||||||
123,704,016 | 15.7 | ||||||||||||||||||
Materials: 13.5% | |||||||||||||||||||
771,375 | Dow Chemical Co. | 27,769,500 | 3.5 | ||||||||||||||||
148,029 | Freeport-McMoRan Copper & Gold, Inc. | 7,830,734 | 1.0 | ||||||||||||||||
241,193 | Monsanto Co. | 17,496,140 | 2.2 | ||||||||||||||||
245,827 | PPG Industries, Inc. | 22,318,633 | 2.8 | ||||||||||||||||
292,406 | Praxair, Inc. | 31,693,888 | 4.0 | ||||||||||||||||
107,108,895 | 13.5 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $592,776,291) | 768,391,901 | 97.2 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PREFERRED STOCK: 0.5% | |||||||||||||||||||
Financials: 0.5% | |||||||||||||||||||
131,480 | L, P | Wells Fargo & Co. | $ | 3,759,013 | 0.5 | ||||||||||||||
Total Preferred Stock (Cost $2,516,649) | 3,759,013 | 0.5 | |||||||||||||||||
Total Long-Term Investments (Cost $595,292,940) | 772,150,914 | 97.7 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 14.2% | |||||||||||||||||||
Securities Lending Collateralcc: 6.5% | |||||||||||||||||||
49,285,223 | BNY Mellon Overnight Government Fund(1) | 49,285,223 | 6.2 | ||||||||||||||||
2,402,610 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,922,088 | 0.3 | |||||||||||||||
Total Securities Lending Collateral (Cost $51,687,833) | 51,207,311 | 6.5 | |||||||||||||||||
Mutual Funds: 7.7% | |||||||||||||||||||
60,619,890 | Blackrock Liquidity Funds TempFund Portfolio — Class I (Cost $60,619,890) | 60,619,890 | 7.7 | ||||||||||||||||
Total Short-Term Investments (Cost $112,307,723) | 111,827,201 | 14.2 | |||||||||||||||||
Total Investments in Securities (Cost $707,600,663)* | $ | 883,978,115 | 111.9 | ||||||||||||||||
Liabilities in Excess of Other Assets | (93,888,319 | ) | (11.9 | ) | |||||||||||||||
Net Assets | $ | 790,089,796 | 100.0 |
@ | 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. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $707,737,583. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 183,828,448 | ||||
Gross Unrealized Depreciation | (7,587,916 | ) | ||||
Net Unrealized appreciation | $ | 176,240,532 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 259,206,770 | $ | 4,277,195 | $ | — | $ | 263,483,965 | ||||||||||
Consumer Staples | 29,186,436 | — | — | 29,186,436 | ||||||||||||||
Energy | 53,671,949 | — | — | 53,671,949 | ||||||||||||||
Financials | 28,832,977 | — | — | 28,832,977 | ||||||||||||||
Health Care | 34,525,617 | — | — | 34,525,617 | ||||||||||||||
Industrials | 127,878,046 | — | — | 127,878,046 | ||||||||||||||
Information Technology | 123,704,016 | — | — | 123,704,016 | ||||||||||||||
Materials | 107,108,895 | — | — | 107,108,895 | ||||||||||||||
Total Common Stock | 764,114,706 | 4,277,195 | — | 768,391,901 | ||||||||||||||
Preferred Stock | 3,759,013 | — | — | 3,759,013 | ||||||||||||||
Short-Term Investments | 109,905,113 | — | 1,922,088 | 111,827,201 | ||||||||||||||
Total Investments, at value | $ | 877,778,832 | $ | 4,277,195 | $ | 1,922,088 | $ | 883,978,115 |
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 1,922,088 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,922,088 | ||||||||||||||||||||
Total Investments, at value | $ | 1,922,088 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,922,088 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
# | 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 significant portion of the Portfolio’s investments are categorized as Level 2 investments. |
as of June 30, 2011
(as a percentage of net assets)
Common Stock | 60.2 | % | ||||
U.S. Government Agency Obligations | 12.7 | % | ||||
U.S. Treasury Obligations | 12.4 | % | ||||
Corporate Bonds/Notes | 10.1 | % | ||||
Collateralized Mortgage Obligations | 2.2 | % | ||||
Asset-Backed Securities | 0.8 | % | ||||
Other Bonds | 0.3 | % | ||||
Preferred Stock | 0.2 | % | ||||
Municipal Bonds | 0.1 | % | ||||
Other Assets and Liabilities — Net* | 1.0 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 60.2% | |||||||||||||||||||
Consumer Discretionary: 5.8% | |||||||||||||||||||
119,780 | Johnson Controls, Inc. | $ 4,990,035 | 0.5 | ||||||||||||||||
115,420 | Omnicom Group | 5,558,627 | 0.6 | ||||||||||||||||
144,140 | Target Corp. | 6,761,608 | 0.7 | ||||||||||||||||
139,430 | Viacom — Class B | 7,110,930 | 0.7 | ||||||||||||||||
194,360 | Walt Disney Co. | 7,587,814 | 0.8 | ||||||||||||||||
737,314 | Other Securities | 24,384,691 | 2.5 | ||||||||||||||||
56,393,705 | 5.8 | ||||||||||||||||||
Consumer Staples: 7.7% | |||||||||||||||||||
124,628 | CVS Caremark Corp. | 4,683,520 | 0.5 | ||||||||||||||||
342,799 | Diageo PLC | 7,013,328 | 0.7 | ||||||||||||||||
140,468 | Nestle S.A. | 8,741,119 | 0.9 | ||||||||||||||||
110,230 | PepsiCo, Inc. | 7,763,499 | 0.8 | ||||||||||||||||
251,310 | Philip Morris International, Inc. | 16,779,969 | 1.7 | ||||||||||||||||
89,784 | Procter & Gamble Co. | 5,707,569 | 0.6 | ||||||||||||||||
596,248 | Other Securities | 23,832,789 | 2.5 | ||||||||||||||||
74,521,793 | 7.7 | ||||||||||||||||||
Energy: 7.5% | |||||||||||||||||||
102,770 | Apache Corp. | 12,680,790 | 1.3 | ||||||||||||||||
110,197 | Chevron Corp. | 11,332,659 | 1.2 | ||||||||||||||||
214,534 | ExxonMobil Corp. | 17,458,777 | 1.8 | ||||||||||||||||
64,720 | Hess Corp. | 4,838,467 | 0.5 | ||||||||||||||||
69,120 | Occidental Petroleum Corp. | 7,191,245 | 0.7 | ||||||||||||||||
333,162 | Other Securities | 19,360,261 | 2.0 | ||||||||||||||||
72,862,199 | 7.5 | ||||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Financials: 12.5% | |||||||||||||||||||
102,640 | ACE Ltd. | $ 6,755,765 | 0.7 | ||||||||||||||||
96,300 | AON Corp. | 4,940,190 | 0.5 | ||||||||||||||||
706,270 | Bank of America Corp. | 7,740,719 | 0.8 | ||||||||||||||||
414,996 | Bank of New York Mellon Corp. | 10,632,198 | 1.1 | ||||||||||||||||
98,660 | Goldman Sachs Group, Inc. | 13,130,659 | 1.3 | ||||||||||||||||
488,720 | �� | JPMorgan Chase & Co. | 20,008,197 | 2.1 | |||||||||||||||
268,520 | Metlife, Inc. | 11,779,972 | 1.2 | ||||||||||||||||
143,890 | Prudential Financial, Inc. | 9,149,965 | 0.9 | ||||||||||||||||
127,830 | State Street Corp. | 5,763,855 | 0.6 | ||||||||||||||||
108,530 | Travelers Cos., Inc. | 6,335,982 | 0.7 | ||||||||||||||||
338,700 | Wells Fargo & Co. | 9,503,922 | 1.0 | ||||||||||||||||
391,135 | Other Securities | 15,560,341 | 1.6 | ||||||||||||||||
121,301,765 | 12.5 | ||||||||||||||||||
Health Care: 6.9% | |||||||||||||||||||
189,620 | Abbott Laboratories | 9,977,804 | 1.0 | ||||||||||||||||
60,960 | Becton Dickinson & Co. | 5,252,923 | 0.5 | ||||||||||||||||
200,710 | Johnson & Johnson | 13,351,229 | 1.4 | ||||||||||||||||
152,120 | Medtronic, Inc. | 5,861,184 | 0.6 | ||||||||||||||||
545,958 | Pfizer, Inc. | 11,246,735 | 1.2 | ||||||||||||||||
409,548 | Other Securities | 21,092,501 | 2.2 | ||||||||||||||||
66,782,376 | 6.9 | ||||||||||||||||||
Industrials: 8.1% | |||||||||||||||||||
85,440 | 3M Co. | 8,103,984 | 0.8 | ||||||||||||||||
185,380 | Danaher Corp. | 9,823,286 | 1.0 | ||||||||||||||||
119,960 | Honeywell International, Inc. | 7,148,417 | 0.7 | ||||||||||||||||
197,700 | Lockheed Martin Corp. | 16,007,768 | 1.6 | ||||||||||||||||
160,430 | United Technologies Corp. | 14,199,660 | 1.5 | ||||||||||||||||
389,104 | Other Securities | 24,023,965 | 2.5 | ||||||||||||||||
79,307,080 | 8.1 | ||||||||||||||||||
Information Technology: 5.2% | |||||||||||||||||||
106,440 | Accenture PLC | 6,431,105 | 0.7 | ||||||||||||||||
134,799 | Hewlett-Packard Co. | 4,906,683 | 0.5 | ||||||||||||||||
59,940 | International Business Machines Corp. | 10,282,707 | 1.0 | ||||||||||||||||
293,568 | Oracle Corp. | 9,661,323 | 1.0 | ||||||||||||||||
638,372 | Other Securities | 19,265,064 | 2.0 | ||||||||||||||||
50,546,882 | 5.2 | ||||||||||||||||||
Materials: 2.3% | |||||||||||||||||||
66,740 | Air Products & Chemicals, Inc. | 6,379,009 | 0.7 | ||||||||||||||||
75,250 | PPG Industries, Inc. | 6,831,947 | 0.7 | ||||||||||||||||
139,900 | Other Securities | 9,205,060 | 0.9 | ||||||||||||||||
22,416,016 | 2.3 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Telecommunication Services: 2.2% | |||||||||||||||||||
414,796 | AT&T, Inc. | $ 13,028,742 | 1.3 | ||||||||||||||||
2,652,986 | Vodafone Group PLC | 7,034,797 | 0.7 | ||||||||||||||||
40,468 | Other Securities | 1,636,121 | 0.2 | ||||||||||||||||
21,699,660 | 2.2 | ||||||||||||||||||
Utilities: 2.0% | |||||||||||||||||||
546,646 | Other Securities | 19,854,208 | 2.0 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $465,356,954) | 585,685,684 | 60.2 | |||||||||||||||||
PREFERRED STOCK: 0.2% | |||||||||||||||||||
Consumer Discretionary: 0.2% | |||||||||||||||||||
31,600 | Other Securities | 1,540,184 | 0.2 | ||||||||||||||||
Utilities: 0.0% | |||||||||||||||||||
9,570 | Other Securities | 535,920 | 0.0 | ||||||||||||||||
Total Preferred Stock | |||||||||||||||||||
(Cost $2,058,500) | 2,076,104 | 0.2 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 10.1% | |||||||||||||||||||
Consumer Discretionary: 1.2% | |||||||||||||||||||
840,000 | # | WEA Finance LLC, 4.625%, 05/10/21 | 816,774 | 0.1 | |||||||||||||||
10,388,000 | Other Securities | 11,155,690 | 1.1 | ||||||||||||||||
11,972,464 | 1.2 | ||||||||||||||||||
Consumer Staples: 0.2% | |||||||||||||||||||
1,119,000 | # | SABMiller PLC, 5.500%, 08/15/13 | 1,212,682 | 0.1 | |||||||||||||||
952,000 | Other Securities | 1,092,587 | 0.1 | ||||||||||||||||
2,305,269 | 0.2 | ||||||||||||||||||
Energy: 1.1% | |||||||||||||||||||
248,000 | # | Corp. Nacional del Cobre de Chile — CODELCO, 3.750%, 11/04/20 | 236,858 | 0.0 | |||||||||||||||
777,463 | # | Ras Laffan Liquefied Natural Gas Co., Ltd. II, 5.832%, 09/30/16 | 849,378 | 0.1 | |||||||||||||||
8,309,000 | Other Securities | 9,409,547 | 1.0 | ||||||||||||||||
10,495,783 | 1.1 | ||||||||||||||||||
Financials: 4.8% | |||||||||||||||||||
1,710,000 | # | ABN Amro Bank NV, 2.043%, 01/30/14 | 1,746,811 | 0.2 | |||||||||||||||
750,000 | # | Achmea Hypotheekbank NV, 3.200%, 11/03/14 | 787,824 | 0.1 | |||||||||||||||
521,000 | # | Banco Bradesco S.A./Cayman Islands, 6.750%, 09/29/19 | 562,680 | 0.1 | |||||||||||||||
558,000 | #, L | BNP Paribas, 7.195%, 12/31/49 | 544,050 | 0.1 | |||||||||||||||
610,000 | # | Commonwealth Bank of Australia, 5.000%, 10/15/19 | 635,846 | 0.1 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
320,000 | # | Crown Castle Towers LLC, 4.883%, 08/15/20 | $ | 322,360 | 0.0 | ||||||||||||||
605,000 | # | Crown Castle Towers LLC, 6.113%, 01/15/20 | 661,239 | 0.1 | |||||||||||||||
965,000 | # | Erac USA Finance Co., 7.000%, 10/15/37 | 1,065,162 | 0.1 | |||||||||||||||
1,125,000 | # | BPCE S.A., 12.500%, 08/29/49 | 1,290,358 | 0.1 | |||||||||||||||
1,400,000 | # | Irish Life & Permanent Group Holdings PLC, 3.600%, 01/14/13 | 1,190,993 | 0.1 | |||||||||||||||
480,000 | # | Metropolitan Life Global Funding I, 5.125%, 04/10/13 | 510,950 | 0.0 | |||||||||||||||
470,000 | # | Metropolitan Life Global Funding I, 5.125%, 06/10/14 | 513,855 | 0.1 | |||||||||||||||
560,000 | # | Nordea Bank AB, 4.875%, 01/14/21 | 567,319 | 0.1 | |||||||||||||||
497,000 | #, L | Nordea Bank AB, 5.424%, 12/29/49 | 479,605 | 0.0 | |||||||||||||||
1,960,000 | # | Royal Bank of Scotland PLC, 2.625%, 05/11/12 | 1,997,434 | 0.2 | |||||||||||||||
400,000 | # | Santander US Debt SA Unipersonal, 3.781%, 10/07/15 | 386,076 | 0.0 | |||||||||||||||
1,500,000 | # | Svenska Handelsbanken AB, 4.875%, 06/10/14 | 1,621,353 | 0.2 | |||||||||||||||
1,280,000 | # | Unicredit Luxembourg Finance S.A., 6.000%, 10/31/17 | 1,231,647 | 0.1 | |||||||||||||||
314,000 | # | WEA Finance, LLC / WT Finance Aust Pty Ltd., 6.750%, 09/02/19 | 356,642 | 0.0 | |||||||||||||||
150,000 | # | ZFS Finance USA Trust IV, 5.875%, 05/09/32 | 152,036 | 0.0 | |||||||||||||||
430,000 | # | ZFS Finance USA Trust V, 6.500%, 05/09/37 | 430,000 | 0.0 | |||||||||||||||
27,902,000 | Other Securities | 29,831,019 | 3.1 | ||||||||||||||||
46,885,259 | 4.8 | ||||||||||||||||||
Health Care: 0.5% | |||||||||||||||||||
1,510,000 | # | Roche Holdings, Inc., 6.000%, 03/01/19 | 1,742,482 | 0.2 | |||||||||||||||
2,272,000 | Other Securities | 2,632,842 | 0.3 | ||||||||||||||||
4,375,324 | 0.5 | ||||||||||||||||||
Industrials: 0.6% | |||||||||||||||||||
873,000 | # | Atlas Copco AB, 5.600%, 05/22/17 | 972,442 | 0.1 | |||||||||||||||
1,754,000 | # | BAE Systems Holdings, Inc., 5.200%, 08/15/15 | 1,906,091 | 0.2 | |||||||||||||||
2,465,000 | Other Securities | 2,747,977 | 0.3 | ||||||||||||||||
5,626,510 | 0.6 | ||||||||||||||||||
Information Technology: 0.2% | |||||||||||||||||||
1,504,000 | Other Securities | 1,531,256 | 0.2 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||||||
Materials: 0.2% | |||||||||||||||||||||||
1,860,000 | Other Securities | $ | 2,006,983 | 0.2 | |||||||||||||||||||
Telecommunication Services: 0.5% | |||||||||||||||||||||||
4,807,000 | Other Securities | 5,253,764 | 0.5 | ||||||||||||||||||||
Utilities: 0.8% | |||||||||||||||||||||||
902,000 | # | EDP Finance BV, 6.000%, 02/02/18 | 835,684 | 0.1 | |||||||||||||||||||
858,000 | # | Enel Finance International S.A., 6.250%, 09/15/17 | 948,432 | 0.1 | |||||||||||||||||||
5,363,278 | Other Securities | 5,954,889 | 0.6 | ||||||||||||||||||||
7,739,005 | 0.8 | ||||||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||||||
(Cost $92,033,403) | 98,191,617 | 10.1 | |||||||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.2% | |||||||||||||||||||||||
29,746 | # | BlackRock Capital Finance LP, 7.750%, 09/25/26 | 24,908 | 0.0 | |||||||||||||||||||
252,053 | # | GG1C Funding Corp., 5.129%, 01/15/14 | 258,865 | 0.0 | |||||||||||||||||||
6,329,000 | JPMorgan Chase Commercial Mortgage Securities Corp., 4.780%–6.067%, 09/12/37–06/15/49 | 6,697,906 | 0.7 | ||||||||||||||||||||
4,853,799 | #, ˆ | Morgan Stanley Capital I, 1.186%, 11/15/30 | 122,399 | 0.0 | |||||||||||||||||||
1,095,807 | # | Spirit Master Funding, LLC, 5.050%, 07/20/23 | 973,361 | 0.1 | |||||||||||||||||||
12,362,728 | Other Securities | 13,297,052 | 1.4 | ||||||||||||||||||||
Total Collateralized Mortgage Obligations | |||||||||||||||||||||||
(Cost $20,128,051) | 21,374,491 | 2.2 | |||||||||||||||||||||
MUNICIPAL BONDS: 0.1% | |||||||||||||||||||||||
New Jersey: 0.1% | |||||||||||||||||||||||
900,000 | Other Securities | 1,094,103 | 0.1 | ||||||||||||||||||||
Total Municipal Bonds | |||||||||||||||||||||||
(Cost $936,089) | 1,094,103 | 0.1 | |||||||||||||||||||||
OTHER BONDS: 0.3% | |||||||||||||||||||||||
Foreign Government Bonds: 0.3% | |||||||||||||||||||||||
1,800,000 | # | Russian Foreign Bond — Eurobond, 3.625%, 04/29/15 | 1,854,000 | 0.2 | |||||||||||||||||||
611,000 | # | Societe Financement de l’Economie Francaise, 3.375%, 05/05/14 | 648,484 | 0.1 | |||||||||||||||||||
102,000 | Other Securities | 125,103 | 0.0 | ||||||||||||||||||||
Total Other Bonds | |||||||||||||||||||||||
(Cost $2,504,805) | 2,627,587 | 0.3 | |||||||||||||||||||||
U.S. TREASURY OBLIGATIONS: 12.4% | |||||||||||||||||||||||
Treasury Inflation Indexed Protected Securities: 0.8% | |||||||||||||||||||||||
7,662,410 | 1.250%, due 7/15/2020 | $ | 8,112,577 | 0.8 | |||||||||||||||||||
U.S. Treasury Bonds: 5.0% | |||||||||||||||||||||||
9,623,000 | 3.750%, due 11/15/2018 | 10,425,924 | 1.1 | ||||||||||||||||||||
9,970,500 | 4.500%, due 8/15/2039 | 10,196,391 | 1.0 | ||||||||||||||||||||
5,949,000 | L | 5.000%, due 5/15/2037 | 6,608,970 | 0.7 | |||||||||||||||||||
18,175,900 | 2.750%–9.875%, due 02/15/13–02/15/36 | 21,028,624 | 2.2 | ||||||||||||||||||||
48,259,909 | 5.0 | ||||||||||||||||||||||
U.S. Treasury Notes: 6.6% | |||||||||||||||||||||||
7,881,500 | 1.375%, due 2/15/2012 | 7,943,385 | 0.8 | ||||||||||||||||||||
5,217,000 | 1.375%, due 10/15/2012 | 5,289,548 | 0.6 | ||||||||||||||||||||
6,848,000 | 1.375%, due 1/15/2013 | 6,955,000 | 0.7 | ||||||||||||||||||||
6,642,000 | 1.875%, due 4/30/2014 | 6,850,599 | 0.7 | ||||||||||||||||||||
13,496,000 | 2.125%, due 5/31/2015 | 13,953,595 | 1.4 | ||||||||||||||||||||
7,423,000 | 2.750%, due 10/31/2013 | 7,795,308 | 0.8 | ||||||||||||||||||||
14,497,000 | 1.500%–5.125%, due 06/30/11–02/29/16 | 15,134,817 | 1.6 | ||||||||||||||||||||
63,922,252 | 6.6 | ||||||||||||||||||||||
Total U.S. Treasury Obligations | |||||||||||||||||||||||
(Cost $117,834,399) | 120,294,738 | 12.4 | |||||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 12.7% | |||||||||||||||||||||||
Federal Home Loan Mortgage Corporation: 4.0%## | |||||||||||||||||||||||
36,759,097 | 3.808%–6.500%, due 04/01/16–01/01/41 | 39,122,742 | 4.0 | ||||||||||||||||||||
Federal National Mortgage Association: 6.7%## | |||||||||||||||||||||||
60,021,894 | 3.154%–7.500%, due 09/01/11–04/01/41 | 65,208,090 | 6.7 | ||||||||||||||||||||
Government National Mortgage Association: 1.9% | |||||||||||||||||||||||
17,355,457 | 4.000%–6.000%, due 09/15/32–01/20/41 | 18,669,616 | 1.9 | ||||||||||||||||||||
Other U.S. Agency Obligations: 0.1% | |||||||||||||||||||||||
425,000 | Other Securities | 611,450 | 0.1 | ||||||||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||||||
(Cost $115,828,099) | 123,611,898 | 12.7 | |||||||||||||||||||||
ASSET-BACKED SECURITIES: 0.8% | |||||||||||||||||||||||
Home Equity Asset-Backed Securities: 0.1% | |||||||||||||||||||||||
1,068,842 | # | Bayview Financial Revolving Mortgage Loan Trust, 1.786%, 12/28/40 | 478,948 | 0.0 | |||||||||||||||||||
1,944,206 | Other Securities | 1,005,016 | 0.1 | ||||||||||||||||||||
1,483,964 | 0.1 | ||||||||||||||||||||||
Other Asset-Backed Securities: 0.7% | |||||||||||||||||||||||
1,134,757 | # | Anthracite CDO I Ltd., 0.636%, 05/24/17 | 1,100,713 | 0.1 | |||||||||||||||||||
843,300 | # | Capital Trust Re CDO Ltd., 5.160%, 06/25/35 | 847,938 | 0.1 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
4,328,601 | Other Securities | $ 4,650,524 | 0.5 | ||||||||||||||||
6,599,175 | 0.7 | ||||||||||||||||||
Total Asset-Backed Securities | |||||||||||||||||||
(Cost $9,249,047) | 8,083,139 | 0.8 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $825,929,347) | 963,039,361 | 99.0 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 1.7% | |||||||||||||||||||
Commercial Paper: 0.8% | |||||||||||||||||||
7,513,000 | BNP Paribas, 0.030%, 07/01/11 (Cost $7,512,993) | 7,512,993 | 0.8 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Securities Lending Collateralcc: 0.9% | ||||||||||||||||||
7,363,427 | BNY Mellon Overnight Government Fund(1) | 7,363,427 | 0.8 | |||||||||||||||
2,385,323 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,908,259 | 0.1 | ||||||||||||||
Total Securities Lending Collateral (Cost $9,748,750) | 9,271,686 | 0.9 | ||||||||||||||||
Total Short-Term Investments (Cost $17,261,743) | 16,784,679 | 1.7 | ||||||||||||||||
Total Investments in Securities (Cost $843,191,090)* | $ | 979,824,040 | 100.7 | |||||||||||||||
Liabilities in Excess of Other Assets | (6,599,582 | ) | (0.7 | ) | ||||||||||||||
Net Assets | $ | 973,224,458 | 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. |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
ˆ | 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 in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $867,838,185. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 148,666,604 | ||||
Gross Unrealized Depreciation | (36,680,749 | ) | ||||
Net Unrealized appreciation | $ | 111,985,855 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 56,393,705 | $ | — | $ | — | $ | 56,393,705 | ||||||||||
Consumer Staples | 53,208,351 | 21,313,442 | — | 74,521,793 | ||||||||||||||
Energy | 72,862,199 | — | — | 72,862,199 | ||||||||||||||
Financials | 121,301,765 | — | — | 121,301,765 | ||||||||||||||
Health Care | 62,559,253 | 4,223,123 | — | 66,782,376 | ||||||||||||||
Industrials | 79,307,080 | — | — | 79,307,080 | ||||||||||||||
Information Technology | 50,546,882 | — | — | 50,546,882 | ||||||||||||||
Materials | 22,416,016 | — | — | 22,416,016 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Telecommunication Services | $ | 14,664,864 | $ | 7,034,796 | $ | — | $ | 21,699,660 | ||||||||||
Utilities | 19,854,208 | — | — | 19,854,208 | ||||||||||||||
Total Common Stock | 553,114,323 | 32,571,361 | — | 585,685,684 | ||||||||||||||
Preferred Stock | — | 2,076,104 | — | 2,076,104 | ||||||||||||||
Corporate Bonds/Notes | — | 98,191,617 | — | 98,191,617 | ||||||||||||||
Collateralized Mortgage Obligations | — | 21,374,491 | — | 21,374,491 | ||||||||||||||
Municipal Bonds | — | 1,094,103 | — | 1,094,103 | ||||||||||||||
Other Bonds | — | 2,627,587 | — | 2,627,587 | ||||||||||||||
Short-Term Investments | 7,363,427 | 7,512,993 | 1,908,259 | 16,784,679 | ||||||||||||||
U.S. Treasury Obligations | — | 120,294,738 | — | 120,294,738 | ||||||||||||||
Asset-Backed Securities | — | 5,655,540 | 2,427,599 | 8,083,139 | ||||||||||||||
U.S. Government Agency Obligations | — | 123,611,898 | �� | — | 123,611,898 | |||||||||||||
Total Investments, at value | $ | 560,477,750 | $ | 415,010,432 | $ | 4,335,858 | $ | 979,824,040 | ||||||||||
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 2,453,862 | $ | — | $ | (40,243 | ) | $ | 5,744 | $ | — | $ | 8,236 | $ | — | $ | — | $ | 2,427,599 | |||||||||||||||||||
Short-Term Investments | 1,908,259 | — | — | — | — | — | — | — | 1,908,259 | |||||||||||||||||||||||||||||
Total Investments, at value | $ | 4,362,121 | $ | — | $ | (40,243 | ) | $ | 5,744 | $ | — | $ | 8,236 | $ | — | $ | — | $ | 4,335,858 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
# | 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 significant portion of the Portfolio’s investments are categorized as Level 2 investments. |
as of June 30, 2011
(as a percentage of net assets)
Utilities | 53.7 | % | ||||
Telecommunication Services | 21.2 | % | ||||
Energy | 15.0 | % | ||||
Consumer Discretionary | 8.1 | % | ||||
Industrials | 0.4 | % | ||||
Other Assets and Liabilities — Net* | 1.6 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 94.8% | |||||||||||||||||||
Consumer Discretionary: 8.1% | |||||||||||||||||||
706,990 | Comcast Corp. — Special Class A | $ | 17,130,368 | 2.9 | |||||||||||||||
103,036 | Time Warner Cable, Inc. | 8,040,929 | 1.4 | ||||||||||||||||
548,460 | Virgin Media, Inc. | 16,415,408 | 2.8 | ||||||||||||||||
107,166 | Other Securities | 5,715,397 | 1.0 | ||||||||||||||||
47,302,102 | 8.1 | ||||||||||||||||||
Energy: 15.0% | |||||||||||||||||||
958,416 | El Paso Corp. | 19,360,003 | 3.3 | ||||||||||||||||
243,770 | EQT Corp. | 12,802,800 | 2.2 | ||||||||||||||||
326,950 | QEP Resources, Inc. | 13,676,319 | 2.3 | ||||||||||||||||
246,820 | Spectra Energy Corp. | 6,765,336 | 1.2 | ||||||||||||||||
567,431 | Williams Cos., Inc. | 17,164,788 | 2.9 | ||||||||||||||||
104,910 | Williams Partners L.P. | 5,684,024 | 1.0 | ||||||||||||||||
295,750 | Other Securities | 12,198,174 | 2.1 | ||||||||||||||||
87,651,444 | 15.0 | ||||||||||||||||||
Industrials: 0.4% | |||||||||||||||||||
2,763,000 | Other Securities | 2,334,735 | 0.4 | ||||||||||||||||
Telecommunication Services: 20.2% | |||||||||||||||||||
138,950 | American Tower Corp. | 7,271,254 | 1.2 | ||||||||||||||||
327,260 | Cellcom Israel Ltd. | 9,071,647 | 1.6 | ||||||||||||||||
151,719 | CenturyTel, Inc. | 6,133,999 | 1.0 | ||||||||||||||||
303,900 | Deutsche Telekom AG | 4,742,126 | 0.8 | ||||||||||||||||
360,576 | Koninklijke KPN NV | 5,244,609 | 0.9 | ||||||||||||||||
319,205 | Mobile Telesystems Finance SA ADR | 6,071,279 | 1.0 | ||||||||||||||||
223,970 | NII Holdings, Inc. | 9,491,849 | 1.6 | ||||||||||||||||
85,070 | SBA Communications Corp. | 3,248,823 | 0.6 | ||||||||||||||||
642,002 | @ | TDC A/S | 5,859,076 | 1.0 | |||||||||||||||
410,700 | Telecomunicacoes de Sao Paulo SA ADR | 12,197,790 | 2.1 | ||||||||||||||||
166,483 | Telenet Group Holding NV | 7,921,209 | 1.4 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Telecommunication Services: (continued) | |||||||||||||||||||
117,300 | Tim Participacoes SA ADR | $ | 5,772,333 | 1.0 | |||||||||||||||
1,855,034 | Vodafone Group PLC | 4,918,905 | 0.8 | ||||||||||||||||
10,632,837 | Other Securities | 30,121,019 | 5.2 | ||||||||||||||||
118,065,918 | 20.2 | ||||||||||||||||||
Utilities: 51.1% | |||||||||||||||||||
1,093,160 | AES Corp. | 13,926,858 | 2.4 | ||||||||||||||||
295,387 | AES Tiete S.A. | 4,807,503 | 0.8 | ||||||||||||||||
8,198,259 | Aguas Andinas SA | 4,452,163 | 0.8 | ||||||||||||||||
301,030 | American Electric Power Co., Inc. | 11,342,810 | 1.9 | ||||||||||||||||
475,370 | Calpine Corp. | 7,667,718 | 1.3 | ||||||||||||||||
449,830 | CenterPoint Energy, Inc. | 8,704,211 | 1.5 | ||||||||||||||||
239,091 | CEZ A/S | 12,309,003 | 2.1 | ||||||||||||||||
90,500 | Cia Paranaense de Energia | 2,420,447 | 0.4 | ||||||||||||||||
104,070 | Cia Paranaense de Energia ADR | 2,826,541 | 0.5 | ||||||||||||||||
832,600 | CMS Energy Corp. | 16,393,894 | 2.8 | ||||||||||||||||
230,450 | Constellation Energy Group, Inc. | 8,747,882 | 1.5 | ||||||||||||||||
243,300 | Cia de Saneamento de Minas Gerais-COPASA | 4,879,563 | 0.8 | ||||||||||||||||
271,910 | Edison International | 10,536,513 | 1.8 | ||||||||||||||||
238,020 | Eletropaulo Metropolitana Eletricidade de Sao Paulo SA | 5,180,879 | 0.9 | ||||||||||||||||
331,246 | Enagas | 8,020,895 | 1.4 | ||||||||||||||||
2,854,970 | Energias de Portugal S.A. | 10,131,889 | 1.7 | ||||||||||||||||
202,190 | Enersis SA ADR | 4,670,589 | 0.8 | ||||||||||||||||
270,118 | Fortum OYJ | 7,832,189 | 1.3 | ||||||||||||||||
1,356,683 | International Power PLC | 7,006,953 | 1.2 | ||||||||||||||||
369,770 | Light S.A. | 6,972,948 | 1.2 | ||||||||||||||||
831,474 | National Grid PLC | 8,185,223 | 1.4 | ||||||||||||||||
260,200 | NextEra Energy, Inc. | 14,951,092 | 2.6 | ||||||||||||||||
127,920 | Northeast Utilities | 4,498,946 | 0.8 | ||||||||||||||||
266,884 | NRG Energy, Inc. | 6,560,009 | 1.1 | ||||||||||||||||
139,290 | OGE Energy Corp. | 7,009,073 | 1.2 | ||||||||||||||||
243,710 | Pacific Gas & Electric Co. | 10,243,131 | 1.8 | ||||||||||||||||
228,610 | PPL Corp. | 6,362,216 | 1.1 | ||||||||||||||||
438,940 | Public Service Enterprise Group, Inc. | 14,327,002 | 2.4 | ||||||||||||||||
151,942 | Red Electrica de Espana | 9,165,965 | 1.6 | ||||||||||||||||
281,281 | Scottish & Southern Energy PLC | 6,291,040 | 1.1 | ||||||||||||||||
407,400 | Tractebel Energia S.A. | 7,103,037 | 1.2 | ||||||||||||||||
1,944,462,388 | Other Securities | 44,722,114 | 7.7 | ||||||||||||||||
298,250,296 | 51.1 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $443,801,187) | 553,604,495 | 94.8 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PREFERRED STOCK: 2.3% | |||||||||||||||||||
Utilities: 2.3% | |||||||||||||||||||
234,540 | Other Securities | $ 13,165,744 | 2.3 | ||||||||||||||||
Total Preferred Stock | |||||||||||||||||||
(Cost $12,414,522) | 13,165,744 | 2.3 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 1.3% | |||||||||||||||||||||||
Telecommunication Services: 1.0% | |||||||||||||||||||||||
1,441,000 | SBA Communications Corp., 4.000%, 10/01/14 | 2,028,208 | 0.3 | ||||||||||||||||||||
2,114,000 | Virgin Media, Inc., 6.500%, 11/15/16 | 3,791,987 | 0.7 | ||||||||||||||||||||
5,820,195 | 1.0 | ||||||||||||||||||||||
Utilities: 0.3% | |||||||||||||||||||||||
1,675,000 | Other Securities | 1,758,750 | 0.3 | ||||||||||||||||||||
�� | Total Corporate Bonds/Notes (Cost $5,916,371) | 7,578,945 | 1.3 | ||||||||||||||||||||
Total Long-Term Investments (Cost $462,132,080) | 574,349,184 | 98.4 | |||||||||||||||||||||
SHORT-TERM INVESTMENTS: 2.0% | |||||||||||||||||||||||
Commercial Paper: 2.0% | |||||||||||||||||||||||
11,476,000 | HSBC, 0.100%, 07/01/11 (Cost $11,475,981) | $ | 11,475,981 | 2.0 | |||||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||||||
(Cost $11,475,981) | 11,475,981 | 2.0 | |||||||||||||||||||||
Total Investments in Securities (Cost $473,608,061)* | $ | 585,825,165 | 100.4 | ||||||||||||||||||||
Liabilities in Excess of Other Assets | (2,053,539 | ) | (0.4 | ) | |||||||||||||||||||
Net Assets | $ | 583,771,626 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
ADR | American Depositary Receipt |
* | Cost for federal income tax purposes is $482,804,807. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 120,093,812 | ||||
Gross Unrealized Depreciation | (17,073,454 | ) | ||||
Net Unrealized appreciation | $ | 103,020,358 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 45,812,839 | $ | 1,489,263 | $ | — | $ | 47,302,102 | ||||||||||
Energy | 87,651,444 | — | — | 87,651,444 | ||||||||||||||
Industrials | 2,334,735 | — | — | 2,334,735 | ||||||||||||||
Telecommunication Services | 89,050,880 | 29,015,038 | — | 118,065,918 | ||||||||||||||
Utilities | 221,139,732 | 77,110,564 | — | 298,250,296 | ||||||||||||||
Total Common Stock | 445,989,630 | 107,614,865 | — | 553,604,495 | ||||||||||||||
Preferred Stock | 2,610,905 | 10,554,839 | — | 13,165,744 | ||||||||||||||
Corporate Bonds/Notes | — | 7,578,945 | — | 7,578,945 | ||||||||||||||
Short-Term Investments | — | 11,475,981 | — | 11,475,981 | ||||||||||||||
Total Investments, at value | $ | 448,600,535 | $ | 137,224,630 | $ | — | $ | 585,825,165 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | — | 512,109 | — | 512,109 | ||||||||||||||
Total Assets | $ | 448,600,535 | $ | 137,736,739 | $ | — | $ | 586,337,274 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (1,064,123 | ) | $ | — | $ | (1,064,123 | ) | ||||||||
Total Liabilities | $ | — | $ | (1,064,123 | ) | $ | — | $ | (1,064,123 | ) |
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 Summary Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts 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 significant 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) | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank PLC | British Pound | 103,249 | Buy | 07/12/11 | $ | 165,948 | $ | 165,685 | $ | (263 | ) | |||||||||||||||||
Citigroup, Inc. | EU Euro | 89,431 | Buy | 07/12/11 | 127,989 | 129,644 | 1,655 | |||||||||||||||||||||
Citigroup, Inc. | EU Euro | 170,078 | Buy | 07/12/11 | 246,904 | 246,554 | (350 | ) | ||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 648,489 | Buy | 07/12/11 | 934,239 | 940,084 | 5,845 | |||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 782,247 | Buy | 07/12/11 | 1,143,332 | 1,133,987 | (9,345 | ) | ||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 120,886 | Buy | 07/12/11 | 173,934 | 175,242 | 1,308 | |||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 428,774 | Buy | 07/12/11 | 611,573 | 621,574 | 10,001 | |||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 56,808 | Buy | 07/12/11 | 81,972 | 82,352 | 380 | |||||||||||||||||||||
Credit Suisse First Boston | British Pound | 177,787 | Buy | 07/12/11 | 290,233 | 285,297 | (4,936 | ) | ||||||||||||||||||||
Deutsche Bank AG | EU Euro | 242,076 | Buy | 07/12/11 | 347,500 | 350,926 | 3,426 | |||||||||||||||||||||
HSBC | EU Euro | 117,395 | Buy | 07/12/11 | 167,951 | 170,182 | 2,231 | |||||||||||||||||||||
HSBC | EU Euro | 136,498 | Buy | 07/12/11 | 193,772 | 197,876 | 4,104 | |||||||||||||||||||||
HSBC | EU Euro | 97,135 | Buy | 07/12/11 | 138,640 | 140,812 | 2,172 | |||||||||||||||||||||
HSBC | British Pound | 101,165 | Buy | 07/12/11 | 164,483 | 162,341 | (2,142 | ) | ||||||||||||||||||||
HSBC | British Pound | 256,787 | Buy | 07/12/11 | 416,842 | 412,068 | (4,774 | ) | ||||||||||||||||||||
Merrill Lynch | EU Euro | 163,580 | Buy | 07/12/11 | 231,923 | 237,134 | 5,211 | |||||||||||||||||||||
Morgan Stanley | EU Euro | 275,249 | Buy | 07/12/11 | 392,505 | 399,016 | 6,511 | |||||||||||||||||||||
Morgan Stanley | EU Euro | 144,191 | Buy | 07/12/11 | 210,245 | 209,027 | (1,218 | ) | ||||||||||||||||||||
Morgan Stanley | EU Euro | 38,676 | Buy | 07/12/11 | 55,912 | 56,067 | 155 | |||||||||||||||||||||
$ | 19,971 | |||||||||||||||||||||||||||
Barclays Bank PLC | British Pound | 8,214,354 | Sell | 07/12/11 | $ | 13,384,551 | $ | 13,181,648 | $ | 202,903 | ||||||||||||||||||
Barclays Bank PLC | EU Euro | 61,935 | Sell | 07/12/11 | 87,811 | 89,785 | (1,974 | ) | ||||||||||||||||||||
Barclays Bank PLC | EU Euro | 1,806 | Sell | 07/12/11 | 2,560 | 2,618 | (58 | ) | ||||||||||||||||||||
Barclays Bank PLC | British Pound | 33,717 | Sell | 07/12/11 | 54,828 | 54,106 | 722 | |||||||||||||||||||||
Barclays Bank PLC | British Pound | 217,816 | Sell | 07/12/11 | 358,576 | 349,532 | 9,044 | |||||||||||||||||||||
Barclays Bank PLC | Brazilian Real | 1,503,000 | Sell | 08/02/11 | 936,799 | 955,406 | (18,607 | ) | ||||||||||||||||||||
Barclays Bank PLC | British Pound | 8,445 | Sell | 07/12/11 | 13,488 | 13,551 | (63 | ) | ||||||||||||||||||||
Barclays Bank PLC | British Pound | 115,837 | Sell | 07/12/11 | 184,938 | 185,884 | (946 | ) | ||||||||||||||||||||
Citigroup, Inc. | EU Euro | 36,927 | Sell | 07/12/11 | 53,943 | 53,532 | 411 | |||||||||||||||||||||
Citigroup, Inc. | EU Euro | 91,169 | Sell | 07/12/11 | 132,350 | 132,163 | 187 | |||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 561,273 | Sell | 07/12/11 | 808,592 | 813,651 | (5,059 | ) | ||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 275,184 | Sell | 07/12/11 | 396,278 | 398,921 | (2,643 | ) | ||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 463,746 | Sell | 07/12/11 | 674,518 | 672,271 | 2,247 | |||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 223,777 | Sell | 07/12/11 | 330,418 | 324,399 | 6,019 | |||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 58,115 | Sell | 07/12/11 | 85,809 | 84,246 | 1,563 | |||||||||||||||||||||
Credit Suisse First Boston | Brazilian Real | 3,009,000 | Sell | 11/04/11 | 1,858,555 | 1,874,264 | (15,709 | ) | ||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 33,036 | Sell | 07/12/11 | 46,510 | 47,890 | (1,380 | ) | ||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 380,580 | Sell | 07/12/11 | 543,080 | 551,709 | (8,629 | ) | ||||||||||||||||||||
Credit Suisse First Boston | Brazilian Real | 3,122,438 | Sell | 08/02/11 | 1,945,444 | 1,984,827 | (39,383 | ) | ||||||||||||||||||||
Credit Suisse First Boston | British Pound | 204,222 | Sell | 07/12/11 | 335,582 | 327,717 | 7,865 | |||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 66,055 | Sell | 07/12/11 | 96,880 | 95,757 | 1,123 | |||||||||||||||||||||
Credit Suisse First Boston | British Pound | 109,037 | Sell | 07/12/11 | 176,950 | 174,973 | 1,977 | |||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 168,067 | Sell | 07/12/11 | 239,720 | 243,640 | (3,920 | ) | ||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 514,286 | Sell | 07/12/11 | 737,820 | 745,536 | (7,716 | ) | ||||||||||||||||||||
Deutsche Bank AG | British Pound | 8,214,354 | Sell | 07/12/11 | 13,389,520 | 13,181,647 | 207,873 | |||||||||||||||||||||
Deutsche Bank AG | EU Euro | 3,481,527 | Sell | 07/12/11 | 4,967,254 | 5,047,008 | (79,754 | ) | ||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 3,900,000 | Sell | 11/04/11 | 2,407,407 | 2,429,254 | (21,847 | ) | ||||||||||||||||||||
Deutsche Bank AG | EU Euro | 88,550 | Sell | 07/12/11 | 127,114 | 128,367 | (1,253 | ) | ||||||||||||||||||||
Deutsche Bank AG | British Pound | 166,409 | Sell | 07/12/11 | 272,612 | 267,039 | 5,573 | |||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 5,823,000 | Sell | 09/02/11 | 3,608,925 | 3,676,091 | (67,166 | ) | ||||||||||||||||||||
Goldman Sachs & Co. | EU Euro | 103,547 | Sell | 07/12/11 | 148,425 | 150,107 | (1,682 | ) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Goldman Sachs & Co. | Brazilian Real | 1,370,000 | Sell | 08/02/11 | $ | 855,982 | $ | 870,862 | $ | (14,880 | ) | |||||||||||||||||
HSBC | British Pound | 367,519 | Sell | 07/12/11 | 592,727 | 589,761 | 2,966 | |||||||||||||||||||||
HSBC | British Pound | 158,701 | Sell | 07/12/11 | 257,715 | 254,669 | 3,046 | |||||||||||||||||||||
HSBC | EU Euro | 186,122 | Sell | 07/12/11 | 273,095 | 269,812 | 3,283 | |||||||||||||||||||||
HSBC | Brazilian Real | 1,379,000 | Sell | 08/02/11 | 855,990 | 876,583 | (20,593 | ) | ||||||||||||||||||||
HSBC | Brazilian Real | 3,868,747 | Sell | 11/07/11 | 2,336,906 | 2,408,220 | (71,314 | ) | ||||||||||||||||||||
HSBC | Brazilian Real | 3,332,000 | Sell | 08/02/11 | 2,038,793 | 2,118,038 | (79,245 | ) | ||||||||||||||||||||
Merrill Lynch | EU Euro | 71,708 | Sell | 07/12/11 | 101,668 | 103,952 | (2,284 | ) | ||||||||||||||||||||
Morgan Stanley | EU Euro | 11,776 | Sell | 07/12/11 | 16,636 | 17,070 | (434 | ) | ||||||||||||||||||||
Morgan Stanley | EU Euro | 183,888 | Sell | 07/12/11 | 262,225 | 266,575 | (4,350 | ) | ||||||||||||||||||||
Morgan Stanley | EU Euro | 20,959 | Sell | 07/12/11 | 29,887 | 30,383 | (496 | ) | ||||||||||||||||||||
Morgan Stanley | British Pound | 208,819 | Sell | 07/12/11 | 341,738 | 335,093 | 6,645 | |||||||||||||||||||||
Morgan Stanley | Brazilian Real | 2,211,000 | Sell | 08/02/11 | 1,371,248 | 1,405,457 | (34,209 | ) | ||||||||||||||||||||
Morgan Stanley | Brazilian Real | 2,223,000 | Sell | 08/02/11 | 1,391,114 | 1,413,085 | (21,971 | ) | ||||||||||||||||||||
UBS AG | Brazilian Real | 3,198,000 | Sell | 08/02/11 | 2,010,688 | 2,032,859 | (22,171 | ) | ||||||||||||||||||||
UBS AG | EU Euro | 337,365 | Sell | 07/12/11 | 478,156 | 489,063 | (10,907 | ) | ||||||||||||||||||||
UBS AG | EU Euro | 190,772 | Sell | 07/12/11 | 270,386 | 276,554 | (6,168 | ) | ||||||||||||||||||||
UBS AG | Brazilian Real | 1,527,000 | Sell | 08/02/11 | 951,758 | 970,662 | (18,904 | ) | ||||||||||||||||||||
UBS AG | British Pound | 146,134 | Sell | 07/12/11 | 239,848 | 234,503 | 5,345 | |||||||||||||||||||||
UBS AG | EU Euro | 26,048,145 | Sell | 09/15/11 | 37,529,647 | 37,689,292 | (159,645 | ) | ||||||||||||||||||||
JP Morgan Chase & Co. | British Pound | 70,861 | Sell | 07/12/11 | 114,030 | 113,712 | 318 | |||||||||||||||||||||
JP Morgan Chase & Co. | Brazilian Real | 4,096,000 | Sell | 09/06/11 | 2,556,964 | 2,583,671 | (26,707 | ) | ||||||||||||||||||||
JP Morgan Chase & Co. | Brazilian Real | 3,903,000 | Sell | 08/02/11 | 2,422,719 | 2,481,004 | (58,285 | ) | ||||||||||||||||||||
JP Morgan Chase & Co. | Brazilian Real | 1,347,000 | Sell | 11/04/11 | 822,043 | 839,027 | (16,984 | ) | ||||||||||||||||||||
JP Morgan Chase & Co. | Brazilian Real | 1,111,000 | Sell | 11/04/11 | 679,594 | 692,026 | (12,432 | ) | ||||||||||||||||||||
JP Morgan Chase & Co. | Brazilian Real | 4,998,933 | Sell | 08/02/11 | 3,029,840 | 3,177,651 | (147,811 | ) | ||||||||||||||||||||
JP Morgan Chase & Co. | Brazilian Real | 3,198,000 | Sell | 08/02/11 | 1,999,625 | 2,032,860 | (33,235 | ) | ||||||||||||||||||||
Merrill Lynch & Co., Inc. | EU Euro | 7,840 | Sell | 07/12/11 | 11,084 | 11,365 | (281 | ) | ||||||||||||||||||||
$ | (571,985 | ) |
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 | $ | 512,109 | |||||||
Total Asset Derivatives | $ | 512,109 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 1,064,123 | |||||||
Total Liability Derivatives | $ | 1,064,123 |
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 | $ | (4,373,169 | ) | |||
Total | $ | (4,373,169 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | |||||
Foreign exchange contracts | $ | (531,210 | ) | |||
Total | $ | (531,210 | ) |
* | 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. |
FRANCHISE PORTFOLIO
as of June 30, 2011
(as a percentage of net assets)
United States | 36.9 | % | ||||
United Kingdom | 31.4 | % | ||||
Switzerland | 10.6 | % | ||||
Ireland | 5.2 | % | ||||
Sweden | 4.4 | % | ||||
Finland | 2.5 | % | ||||
Italy | 2.4 | % | ||||
France | 2.3 | % | ||||
China | 1.3 | % | ||||
Japan | 1.1 | % | ||||
Other Assets and Liabilities — Net* | 1.9 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 98.1% | |||||||||||||||||||
China: 1.3% | |||||||||||||||||||
6,012,000 | Huabao International Holdings Ltd. | $ | 5,469,879 | $ | 1.3 | ||||||||||||||
Finland: 2.5% | |||||||||||||||||||
166,882 | Kone OYJ | 10,484,155 | 2.5 | ||||||||||||||||
France: 2.3% | |||||||||||||||||||
226,459 | Legrand S.A. | 9,532,275 | 2.3 | ||||||||||||||||
Ireland: 5.2% | |||||||||||||||||||
360,316 | Accenture PLC | 21,770,293 | 5.2 | ||||||||||||||||
Italy: 2.4% | |||||||||||||||||||
1,217,259 | Davide Campari-Milano S.p.A. | 9,995,732 | 2.4 | ||||||||||||||||
Japan: 1.1% | |||||||||||||||||||
176,600 | Kao Corp. | 4,643,554 | 1.1 | ||||||||||||||||
Sweden: 4.4% | |||||||||||||||||||
551,500 | Swedish Match AB | 18,517,305 | 4.4 | ||||||||||||||||
Switzerland: 10.6% | |||||||||||||||||||
588,442 | Nestle S.A. | 36,617,887 | 8.7 | ||||||||||||||||
132,563 | Novartis AG | 8,124,405 | 1.9 | ||||||||||||||||
44,742,292 | 10.6 | ||||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
United Kingdom: 31.4% | |||||||||||||||||||
485,606 | Admiral Group PLC | $ | 12,950,006 | 3.1 | |||||||||||||||
870,763 | British American Tobacco PLC | 38,184,475 | 9.1 | ||||||||||||||||
213,710 | Experian Group Ltd. | 2,722,230 | 0.6 | ||||||||||||||||
846,626 | Imperial Tobacco Group PLC | 28,186,385 | 6.7 | ||||||||||||||||
536,059 | Reckitt Benckiser PLC | 29,607,758 | 7.0 | ||||||||||||||||
640,343 | Unilever PLC | 20,661,405 | 4.9 | ||||||||||||||||
132,312,259 | 31.4 | ||||||||||||||||||
United States: 36.9% | |||||||||||||||||||
18,575 | Brown-Forman Corp. | 1,387,367 | 0.3 | ||||||||||||||||
528,935 | Dr. Pepper Snapple Group, Inc. | 22,178,244 | 5.3 | ||||||||||||||||
201,954 | L | Herbalife Ltd. | 11,640,629 | 2.8 | |||||||||||||||
353,783 | Kellogg Co. | 19,571,276 | 4.7 | ||||||||||||||||
175,623 | Mead Johnson Nutrition Co. | 11,863,334 | 2.8 | ||||||||||||||||
605,830 | Microsoft Corp. | 15,751,580 | 3.7 | ||||||||||||||||
166,600 | L | Moody’s Corp. | 6,389,110 | 1.5 | |||||||||||||||
279,438 | Philip Morris International, Inc. | 18,658,075 | 4.4 | ||||||||||||||||
305,115 | Procter & Gamble Co. | 19,396,160 | 4.6 | ||||||||||||||||
313,109 | Sara Lee Corp. | 5,945,940 | 1.4 | ||||||||||||||||
169,127 | Scotts Miracle-Gro Co. | 8,677,906 | 2.1 | ||||||||||||||||
164,685 | Visa, Inc. | 13,876,358 | 3.3 | ||||||||||||||||
155,335,979 | 36.9 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $330,362,989) | 412,803,723 | 98.1 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 0.7% | |||||||||||||||||||
Securities Lending Collateralcc: 0.6% | |||||||||||||||||||
2,475,269 | BNY Mellon Overnight Government Fund(1) | 2,475,269 | 0.6 | ||||||||||||||||
727,587 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 582,069 | 0.1 | |||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $3,202,856) | 3,057,338 | 0.7 | |||||||||||||||||
Total Investments in Securities (Cost $333,565,845)* | $ | 415,861,061 | 98.8 | ||||||||||||||||
Assets in Excess of Other Liabilities | 5,020,129 | 1.2 | |||||||||||||||||
Net Assets | $ | 420,881,190 | 100.0 |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain |
FRANCHISE PORTFOLIO
Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $335,023,389. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 83,621,218 | ||||
Gross Unrealized Depreciation | (2,014,596 | ) | ||||
Net Unrealized appreciation | $ | 81,606,622 |
Industry | Percentage of Net Assets | |||||
---|---|---|---|---|---|---|
Consumer Staples | 70.6 | % | ||||
Financials | 4.6 | |||||
Health Care | 1.9 | |||||
Industrials | 5.4 | |||||
Information Technology | 12.2 | |||||
Materials | 3.4 | |||||
Short-Term Investments | 0.9 | |||||
Other Assets and Liabilities — Net | 1.0 | |||||
Net Assets | 100.0 | % |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
China | $ | 5,469,879 | $ | — | $ | — | $ | 5,469,879 | ||||||||||
Finland | — | 10,484,155 | — | 10,484,155 | ||||||||||||||
France | — | 9,532,275 | — | 9,532,275 | ||||||||||||||
Ireland | 21,770,293 | — | — | 21,770,293 | ||||||||||||||
Italy | — | 9,995,732 | — | 9,995,732 | ||||||||||||||
Japan | — | 4,643,554 | — | 4,643,554 | ||||||||||||||
Sweden | — | 18,517,305 | — | 18,517,305 | ||||||||||||||
Switzerland | — | 44,742,292 | — | 44,742,292 | ||||||||||||||
United Kingdom | — | 132,312,259 | — | 132,312,259 | ||||||||||||||
United States | 155,335,979 | — | — | 155,335,979 | ||||||||||||||
Total Common Stock | 182,576,151 | 230,227,572 | — | 412,803,723 | ||||||||||||||
Short-Term Investments | 2,475,269 | — | 582,069 | 3,057,338 | ||||||||||||||
Total Investments, at value | $ | 185,051,420 | $ | 230,227,572 | $ | 582,069 | $ | 415,861,061 |
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 582,069 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 582,069 | ||||||||||||||||||||
Total Investments, at value | $ | 582,069 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 582,069 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
# | 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 significant portion of the Portfolio’s investments are categorized as Level 2 investments. |
BOND PORTFOLIO
as of June 30, 2011
(as a percentage of net assets)
Corporate Bonds/Notes | 35.3 | % | ||||
U.S. Government Agency Obligations | 30.7 | % | ||||
Other Bonds | 6.3 | % | ||||
Collateralized Mortgage Obligations | 5.9 | % | ||||
Municipal Bonds | 4.0 | % | ||||
U.S. Treasury Obligations | 2.7 | % | ||||
Asset-Backed Securities | 2.6 | % | ||||
Preferred Stock | 1.2 | % | ||||
Purchased Options | 0.0 | % | ||||
Other Assets and Liabilities — Net* | 11.3 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 35.3% | |||||||||||||||||||
Consumer Discretionary: 0.7% | |||||||||||||||||||
5,000,000 | # | Reynolds Group Issuer, Inc., 6.875%, 02/15/21 | $ | 4,900,000 | 0.1 | ||||||||||||||
18,886,664 | Other Securities | 19,417,152 | 0.6 | ||||||||||||||||
24,317,152 | 0.7 | ||||||||||||||||||
Consumer Staples: 1.3% | |||||||||||||||||||
5,500,000 | #, S | President and Fellows of Harvard College, 6.000%, 01/15/19 | 6,416,850 | 0.2 | |||||||||||||||
21,500,000 | #, S | President and Fellows of Harvard College, 6.500%, 01/15/39 | 26,090,336 | 0.7 | |||||||||||||||
10,500,000 | Other Securities | 11,826,013 | 0.4 | ||||||||||||||||
44,333,199 | 1.3 | ||||||||||||||||||
Energy: 2.8% | |||||||||||||||||||
600,000 | # | ENN Energy Holdings Ltd., 6.000%, 05/13/21 | 590,621 | 0.0 | |||||||||||||||
13,500,000 | Gazprom OAO Via Gaz Capital SA, 8.625%, 04/28/34 | 16,908,750 | 0.5 | ||||||||||||||||
11,300,000 | S | Kinder Morgan Energy Partners LP, 5.950%, 02/15/18 | 12,607,557 | 0.4 | |||||||||||||||
1,000,000 | # | Novatek Finance Ltd., 5.326%, 02/03/16 | 1,035,000 | 0.0 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
1,100,000 | # | Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 06/30/21 | $ | 1,166,000 | 0.0 | ||||||||||||||
21,100,000 | S | Petrobras International Finance Co., 7.875%, 03/15/19 | 25,655,785 | 0.8 | |||||||||||||||
14,900,000 | S | Petroleos Mexicanos, 8.000%, 05/03/19 | 18,446,200 | 0.5 | |||||||||||||||
17,587,262 | Other Securities | 18,820,876 | 0.6 | ||||||||||||||||
95,230,789 | 2.8 | ||||||||||||||||||
Financials: 27.2% | |||||||||||||||||||
14,000,000 | Ally Financial, Inc., 8.300%, 02/12/15 | 15,680,000 | 0.4 | ||||||||||||||||
9,100,000 | #, L | Ally Financial, Inc., 6.250%, 12/01/17 | 9,073,446 | 0.3 | |||||||||||||||
25,680,000 | Z | Ally Financial, Inc., 3.466%–7.500%, 02/01/12–09/15/20 | 25,428,583 | 0.7 | |||||||||||||||
20,500,000 | L, S | American General Finance Corp., 0.497%–5.625%, 08/17/11–07/15/12 | 20,473,123 | 0.6 | |||||||||||||||
CAD 4,000,000 | American International Group, Inc., 4.900%, 06/02/14 | 4,230,391 | 0.1 | ||||||||||||||||
EUR 1,700,000 | American International Group, Inc., 4.875%, 03/15/67 | 2,015,357 | 0.1 | ||||||||||||||||
14,100,000 | American International Group, Inc., 5.450%–8.250%, 05/18/17–12/15/20 | 14,860,585 | 0.4 | ||||||||||||||||
4,800,000 | #, S | ANZ National International Ltd., 6.200%, 07/19/13 | 5,233,469 | 0.2 | |||||||||||||||
5,000,000 | # | Australia & New Zealand Banking Group Ltd., 2.125%, 01/10/14 | 5,044,020 | 0.1 | |||||||||||||||
7,000,000 | # | Banco Santander Brazil SA/Cayman Islands, 2.347%, 03/18/14 | 7,041,146 | 0.2 | |||||||||||||||
23,500,000 | S | Bank of America Corp., 6.500%, 08/01/16 | 26,237,021 | 0.8 | |||||||||||||||
1,200,000 | #, L | Bank of China Hong Kong Ltd., 5.550%, 02/11/20 | 1,215,227 | 0.0 | |||||||||||||||
2,300,000 | #, S | Bank of Montreal, 2.850%, 06/09/15 | 2,385,206 | 0.1 | |||||||||||||||
2,500,000 | # | Bank of Nova Scotia, 1.650%, 10/29/15 | 2,459,705 | 0.1 |
BOND PORTFOLIO
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
2,900,000 | #, S | Barclays Bank PLC, 6.050%, 12/04/17 | $ | 3,074,574 | 0.1 | ||||||||||||||
1,400,000 | # | BBVA, 4.500%, 03/10/16 | 1,431,500 | 0.0 | |||||||||||||||
2,700,000 | # | BBVA Bancomer SA/Texas, 6.500%, 03/10/21 | 2,767,500 | 0.1 | |||||||||||||||
8,900,000 | BNP Paribas, 1.146%, 01/10/14 | 8,840,824 | 0.3 | ||||||||||||||||
11,990,000 | #, S | BNP Paribas, 5.186%, 06/29/49 | 11,096,745 | 0.3 | |||||||||||||||
1,000,000 | # | BPCE S.A., 2.375%, 10/04/13 | 1,016,803 | 0.0 | |||||||||||||||
900,000 | # | CIT Group, Inc., 5.250%, 04/01/14 | 900,000 | 0.0 | |||||||||||||||
31,800,000 | S | Citigroup Capital XXI, 8.300%, 12/21/57 | 32,595,000 | 0.9 | |||||||||||||||
18,300,000 | S | Citigroup, Inc., 5.500%, 04/11/13 | 19,436,888 | 0.6 | |||||||||||||||
19,352,000 | Citigroup, Inc., 0.370%–8.500%, 03/16/12–05/22/19 | 21,369,478 | 0.6 | ||||||||||||||||
4,700,000 | #, S | Commonwealth Bank of Australia, 6.024%, 03/29/49 | 4,636,047 | 0.1 | |||||||||||||||
2,137,000 | #, S | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 11.000%, 12/29/49 | 2,734,734 | 0.1 | |||||||||||||||
4,200,000 | #, S | Corp. Nacional del Cobre de Chile — CODELCO, 7.500%, 01/15/19 | 5,074,797 | 0.1 | |||||||||||||||
1,800,000 | # | DAI-ICHI Mutual Life, 7.250%, 12/31/49 | 1,802,117 | 0.1 | |||||||||||||||
25,900,000 | #, S | Dexia Credit Local, 0.652%, 03/05/13 | 25,839,368 | 0.7 | |||||||||||||||
1,900,000 | S | Export-Import Bank of Korea, 5.125%, 06/29/20 | 1,932,250 | 0.1 | |||||||||||||||
19,200,000 | S | Export-Import Bank of Korea, 5.875%, 01/14/15 | 21,150,125 | 0.6 | |||||||||||||||
EUR 9,700,000 | General Electric Capital Corp., 5.500%, 09/15/67 | 13,222,541 | 0.4 | ||||||||||||||||
7,500,000 | S | General Electric Capital Corp., 5.875%–6.875%, 01/14/38–01/10/39 | 8,167,844 | 0.2 | |||||||||||||||
25,800,000 | S | Goldman Sachs Group, Inc., 5.950%–6.750%, 09/01/17–10/01/37 | 27,210,605 | 0.8 | |||||||||||||||
EUR 9,500,000 | International Lease Finance Corp., 1.795%, 08/15/11 | 13,800,283 | 0.4 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
2,300,000 | #, S | International Lease Finance Corp., 6.750%, 09/01/16 | $ | 2,461,000 | 0.1 | ||||||||||||||
9,100,000 | S | International Lease Finance Corp., 5.300%–5.400%, 02/15/12–05/01/12 | 9,263,250 | 0.2 | |||||||||||||||
4,800,000 | # | Intesa Sanpaolo SpA, 2.658%, 02/24/14 | 4,791,893 | 0.1 | |||||||||||||||
EUR 4,300,000 | JPMorgan Chase & Co., 1.776%, 09/26/13 | 6,181,454 | 0.2 | ||||||||||||||||
14,000,000 | S | JPMorgan Chase & Co., 7.900%, 04/29/49 | 15,088,430 | 0.4 | |||||||||||||||
26,000,000 | S | JPMorgan Chase & Co., 0.996%–6.000%, 09/30/13–10/15/20 | 27,255,218 | 0.8 | |||||||||||||||
13,600,000 | S | Merrill Lynch & Co., Inc., 6.050%, 08/15/12 | 14,320,745 | 0.4 | |||||||||||||||
8,800,000 | S | Merrill Lynch & Co., Inc., 6.875%, 04/25/18 | 9,749,837 | 0.3 | |||||||||||||||
22,500,000 | # | Metlife, 1.146%, 04/04/14 | 22,566,960 | 0.7 | |||||||||||||||
EUR 12,000,000 | Morgan Stanley, 1.785%, 05/02/14 | 16,976,647 | 0.5 | ||||||||||||||||
13,200,000 | S | Morgan Stanley, 0.450%–6.250%, 04/19/12–12/28/17 | 13,474,011 | 0.4 | |||||||||||||||
18,800,000 | # | National Australia Bank Ltd., 0.966%, 04/11/14 | 18,795,018 | 0.6 | |||||||||||||||
4,000,000 | #, S | National Australia Bank Ltd., 5.350%, 06/12/13 | 4,292,332 | 0.1 | |||||||||||||||
1,200,000 | #, S | Pacific LifeCorp, 6.000%, 02/10/20 | 1,288,956 | 0.0 | |||||||||||||||
4,900,000 | #, S | Pricoa Global Funding I, 0.373%, 01/30/12 | 4,886,226 | 0.1 | |||||||||||||||
2,000,000 | #, S | Pricoa Global Funding I, 0.447%, 09/27/13 | 1,976,652 | 0.1 | |||||||||||||||
12,000,000 | # | RCI Banque SA, 2.116%, 04/11/14 | 12,032,316 | 0.3 | |||||||||||||||
1,500,000 | #, S | Resona Bank Ltd., 5.850%, 09/29/49 | 1,498,197 | 0.0 | |||||||||||||||
4,300,000 | S | Royal Bank of Scotland, 3.950%, 09/21/15 | 4,324,347 | 0.1 | |||||||||||||||
3,900,000 | #, S | Royal Bank of Scotland Group PLC, 6.990%, 10/29/49 | 3,529,500 | 0.1 | |||||||||||||||
6,500,000 | #, S | Royal Bank of Scotland PLC, 2.625%, 05/11/12 | 6,624,143 | 0.2 |
BOND PORTFOLIO
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
900,000 | #, S | Royal Bank of Scotland PLC, 4.875%, 08/25/14 | $ | 937,368 | 0.0 | ||||||||||||||
13,700,000 | Royal Bank of Scotland PLC/The, 4.375%, 03/16/16 | 13,834,191 | 0.4 | ||||||||||||||||
22,800,000 | #, S | Santander US Debt S.A. Unipersonal, 1.046%, 03/30/12 | 22,806,886 | 0.7 | |||||||||||||||
GBP 3,200,000 | SLM Corp., 4.875%, 12/17/12 | 5,111,135 | 0.1 | ||||||||||||||||
22,400,000 | S | SLM Corp., 8.000%, 03/25/20 | 24,091,245 | 0.7 | |||||||||||||||
5,800,000 | SLM Corp., 5.000%–5.375%, 01/15/13–10/01/13 | 5,994,069 | 0.2 | ||||||||||||||||
1,300,000 | # | Societe Generale, 1.296%, 04/11/14 | 1,288,780 | 0.0 | |||||||||||||||
6,500,000 | #, S | Societe Generale, 5.922%, 12/31/49 | 5,629,078 | 0.2 | |||||||||||||||
30,200,000 | # | SSIF Nevada L.P., 0.981%, 04/14/14 | 30,225,006 | 0.9 | |||||||||||||||
3,100,000 | #, S | State Bank of India/London, 4.500%, 07/27/15 | 3,184,593 | 0.1 | |||||||||||||||
2,200,000 | # | Sumitomo Mitsui Banking Corp., 1.950%, 01/14/14 | 2,218,139 | 0.1 | |||||||||||||||
2,700,000 | #, S | Temasek Financial I Ltd., 4.300%, 10/25/19 | 2,791,660 | 0.1 | |||||||||||||||
1,700,000 | #, S | TransCapitalInvest Ltd. for OJSC AK Transneft, 8.700%, 08/07/18 | 2,095,250 | 0.1 | |||||||||||||||
1,200,000 | # | Vnesheconombank Via VEB Finance Ltd., 5.450%, 11/22/17 | 1,227,000 | 0.0 | |||||||||||||||
13,115,000 | S | Wachovia Corp., 0.613%–5.750%, 10/28/15–02/01/18 | 13,629,382 | 0.4 | |||||||||||||||
17,530,000 | Wells Fargo & Co., 5.250%, 10/23/12 | 18,501,635 | 0.5 | ||||||||||||||||
27,092,000 | S | Wells Fargo & Co., 7.980%, 02/28/49 | 29,394,820 | 0.9 | |||||||||||||||
3,000,000 | #, S | Westpac Banking Corp., 0.756%, 07/16/14 | 3,014,646 | 0.1 | |||||||||||||||
14,100,000 | #, S | Westpac Banking Corp., 3.585%, 08/14/14 | 15,026,299 | 0.4 | |||||||||||||||
350,000 | #, S | ZFS Finance USA Trust IV, 5.875%, 05/09/32 | 354,751 | 0.0 | |||||||||||||||
1,060,091,183 | Other Securities(a) | 174,225,316 | 5.0 | ||||||||||||||||
946,435,683 | 27.2 | ||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Health Care: 0.8% | |||||||||||||||||||
12,700,000 | S | Amgen, Inc., 6.150%, 06/01/18 | $ | 14,736,496 | 0.4 | ||||||||||||||
13,400,000 | Other Securities | 14,392,595 | 0.4 | ||||||||||||||||
29,129,091 | 0.8 | ||||||||||||||||||
Industrials: 0.3% | |||||||||||||||||||
1,100,000 | #, L | Braskem Finance Ltd., 5.750%, 04/15/21 | 1,112,430 | 0.0 | |||||||||||||||
3,400,000 | #, S | C8 Capital SPV Ltd., 6.640%, 12/31/49 | 2,550,000 | 0.1 | |||||||||||||||
600,000 | #, L | Sydney Air, 5.125%, 02/22/21 | 604,133 | 0.0 | |||||||||||||||
5,075,000 | # | Union Pacific Corp., 4.163%, 07/15/22 | 5,034,872 | 0.1 | |||||||||||||||
1,617,216 | Other Securities(a) | 1,777,144 | 0.1 | ||||||||||||||||
11,078,579 | 0.3 | ||||||||||||||||||
Information Technology: 0.6% | |||||||||||||||||||
12,400,000 | S | Oracle Corp., 5.750%, 04/15/18 | 14,211,590 | 0.4 | |||||||||||||||
7,000,000 | Other Securities | 7,774,193 | 0.2 | ||||||||||||||||
21,985,783 | 0.6 | ||||||||||||||||||
Materials: 0.2% | |||||||||||||||||||
2,200,000 | #, S | Sealed Air Corp., 5.625%, 07/15/13 | 2,313,560 | 0.1 | |||||||||||||||
5,000,000 | Other Securities | 5,351,999 | 0.1 | ||||||||||||||||
7,665,559 | 0.2 | ||||||||||||||||||
Telecommunication Services: 1.0% | |||||||||||||||||||
20,700,000 | S | Cellco Partnership/ Verizon Wireless Capital LLC, 5.250%, 02/01/12 | 21,246,211 | 0.6 | |||||||||||||||
200,000 | # | Qtel International Finance Ltd., 3.375%, 10/14/16 | 200,500 | 0.0 | |||||||||||||||
300,000 | # | Qtel International Finance Ltd., 4.750%, 02/16/21 | 294,000 | 0.0 | |||||||||||||||
11,300,000 | Other Securities | 12,102,149 | 0.4 | ||||||||||||||||
33,842,860 | 1.0 | ||||||||||||||||||
Utilities: 0.4% | |||||||||||||||||||
3,700,000 | #, S | EDF S.A., 5.500%, 01/26/14 | 4,068,198 | 0.1 | |||||||||||||||
1,300,000 | #, S | EDF S.A., 6.500%, 01/26/19 | 1,521,822 | 0.1 | |||||||||||||||
3,700,000 | #, S | Electricite de France SA, 6.950%, 01/26/39 | 4,342,249 | 0.1 | |||||||||||||||
4,300,000 | Other Securities | 4,407,500 | 0.1 | ||||||||||||||||
14,339,769 | 0.4 | ||||||||||||||||||
Total Corporate Bonds/Notes (Cost $1,148,886,323) | 1,228,358,464 | 35.3 |
BOND PORTFOLIO
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: 5.9% | |||||||||||||||||||
2,535,832 | # | Banc of America Large Loan, Inc., 1.937%, 11/15/15 | $ | 2,355,316 | 0.1 | ||||||||||||||
14,946,137 | S | Citigroup Mortgage Loan Trust, Inc., 2.660%–5.500%, 09/25/35–10/25/35 | 13,915,609 | 0.4 | |||||||||||||||
2,944,568 | #, S | Countrywide Home Loan Mortgage Pass-through Trust, 0.526%, 06/25/35 | 2,669,525 | 0.1 | |||||||||||||||
24,470,000 | S | Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.378%–6.164%, 08/12/48–03/12/51 | 26,392,381 | 0.8 | |||||||||||||||
16,500,000 | S | Morgan Stanley Capital I, 5.809%, 12/12/49 | 18,130,832 | 0.5 | |||||||||||||||
3,900,000 | S | Morgan Stanley Capital I, 6.074%, 06/11/49 | 4,269,923 | 0.1 | |||||||||||||||
1,400,000 | #, S | Morgan Stanley Reremic Trust, 5.992%, 08/12/45 | 1,534,135 | 0.0 | |||||||||||||||
57,478 | #, S | Nomura Asset Acceptance Corp., 7.000%, 02/19/30 | 57,711 | 0.0 | |||||||||||||||
5,000,000 | # | RBSSP Resecuritization Trust, 0.444%, 02/26/37 | 4,093,985 | 0.1 | |||||||||||||||
24,089,666 | S | SLM Student Loan Trust, 1.774%, 04/25/23 | 24,895,350 | 0.7 | |||||||||||||||
1,000,000 | #, S | SLM Student Loan Trust, 2.837%, 12/16/19 | 1,023,453 | 0.0 | |||||||||||||||
3,853,616 | S | SLM Student Loan Trust, 0.574%–0.954%, 07/25/13–10/25/17 | 3,847,901 | 0.1 | |||||||||||||||
3,415,398 | #, S | Wachovia Bank Commercial Mortgage Trust, 0.277%, 09/15/21 | 3,295,228 | 0.1 | |||||||||||||||
155,876,092 | Other Securities (b) | 100,694,357 | 2.9 | ||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $201,862,800) | 207,175,706 | 5.9 | |||||||||||||||||
MUNICIPAL BONDS: 4.0% | |||||||||||||||||||
Alaska: 0.2% | |||||||||||||||||||
9,400,000 | Other Securities | 6,086,970 | 0.2 | ||||||||||||||||
California: 0.2% | |||||||||||||||||||
21,000,000 | S | Southern California Public Power Authority, 5.943%, 07/01/40 | 20,965,350 | 0.6 | |||||||||||||||
MUNICIPAL BONDS: (continued) | |||||||||||||||||||
California: (continued) | |||||||||||||||||||
55,640,000 | Other Securities | $ | 49,923,066 | 1.4 | |||||||||||||||
70,888,416 | 2.0 | ||||||||||||||||||
Connecticut: 0.3% | |||||||||||||||||||
8,700,000 | Other Securities | 9,262,368 | 0.3 | ||||||||||||||||
Illinois: 0.4% | |||||||||||||||||||
13,670,000 | Other Securities | 14,317,369 | 0.4 | ||||||||||||||||
Nebraska: 0.1% | |||||||||||||||||||
1,500,000 | Other Securities | 1,567,605 | 0.1 | ||||||||||||||||
Nevada: 0.1% | |||||||||||||||||||
2,300,000 | Other Securities | 2,522,134 | 0.1 | ||||||||||||||||
New Jersey: 0.3% | |||||||||||||||||||
11,045,000 | Other Securities | 11,512,589 | 0.3 | ||||||||||||||||
New York: 0.4% | |||||||||||||||||||
12,670,000 | Other Securities | 13,277,475 | 0.4 | ||||||||||||||||
Pennsylvania: 0.2% | |||||||||||||||||||
6,700,000 | Other Securities | 7,075,999 | 0.2 | ||||||||||||||||
Texas: 0.0% | |||||||||||||||||||
1,300,000 | Other Securities | 1,334,242 | 0.0 | ||||||||||||||||
Washington: 0.0% | |||||||||||||||||||
1,560,000 | Other Securities | 1,118,957 | 0.0 | ||||||||||||||||
Total Municipal Bonds (Cost $135,060,088) | 138,964,124 | 4.0 | |||||||||||||||||
OTHER BONDS: 6.3% | |||||||||||||||||||
Foreign Government Bonds: 6.3% | |||||||||||||||||||
EUR 1,100,000 | # | Banco Nacional de Desenvolvimento Economico e Social, 4.125%, 09/15/17 | 1,559,282 | 0.0 | |||||||||||||||
BRL 2,773,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/12 | 1,756,133 | 0.1 | ||||||||||||||||
BRL 56,500,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/17 | 32,763,646 | 0.9 | ||||||||||||||||
CAD 1,000,000 | # | Canada Housing Trust, 3.950%, 12/15/11 | 1,050,029 | 0.0 | |||||||||||||||
CAD 4,500,000 | # | Canada Housing Trust No 1, 2.750%, 12/15/15 | 4,728,114 | 0.2 | |||||||||||||||
CAD 800,000 | # | Canada Housing Trust No 1, 3.350%, 12/15/20 | 826,154 | 0.0 | |||||||||||||||
CAD 5,300,000 | # | Canada Housing Trust No 1, 4.550%, 12/15/12 | 5,735,727 | 0.2 |
BOND PORTFOLIO
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
OTHER BONDS: (continued) | |||||||||||||||||||
Foreign Government Bonds: (continued) | |||||||||||||||||||
CAD 4,100,000 | # | Canada Housing Trust No 1, 4.800%, 06/15/12 | $ | 4,390,692 | 0.1 | ||||||||||||||
CAD 31,700,000 | Canadian Government Bond, 1.750%–4.500%, 03/01/13–12/01/15 | 33,244,520 | 1.0 | ||||||||||||||||
2,400,000 | #, S | Export-Import Bank of China, 4.875%, 07/21/15 | 2,628,158 | 0.1 | |||||||||||||||
EUR 308,781 | Italy Buoni Poliennali Del Tesoro, 2.100%, 09/15/16 | 443,916 | 0.0 | ||||||||||||||||
EUR 22,916,300 | Italy Buoni Poliennali Del Tesoro, 2.100%, 09/15/21 | 31,100,342 | 0.9 | ||||||||||||||||
1,100,000 | #, S | Korea Housing Finance Corp., 4.125%, 12/15/15 | 1,141,908 | 0.0 | |||||||||||||||
6,100,000 | Province of Ontario Canada, 1.375%–1.875%, 01/27/14–09/15/15 | 6,132,217 | 0.2 | ||||||||||||||||
CAD 28,500,000 | Province of Ontario Canada, 4.200%–6.500%, 03/08/17–06/02/39 | 32,813,666 | 0.9 | ||||||||||||||||
4,000,000 | #, S | Societe Financement de l’Economie Francaise, 0.476%, 07/16/12 | 4,013,200 | 0.1 | |||||||||||||||
EUR 29,300,000 | Spain Government Bond, 4.650%, 07/30/25 | 38,295,905 | 1.1 | ||||||||||||||||
40,105,000 | Other Securities | 17,705,272 | 0.5 | ||||||||||||||||
Total Other Bonds (Cost $208,598,389) | 220,328,881 | 6.3 | |||||||||||||||||
ASSET-BACKED SECURITIES: 2.6% | |||||||||||||||||||
Automobile Asset-Backed Securities: 0.0% | |||||||||||||||||||
226,287 | Other Securities | 226,403 | 0.0 | ||||||||||||||||
Home Equity Asset-Backed Securities: 0.2% | |||||||||||||||||||
11,117,889 | Other Securities | 5,069,097 | 0.2 | ||||||||||||||||
Other Asset-Backed Securities: 2.4% | |||||||||||||||||||
16,833,276 | # | Pacifica CDO Ltd., 0.534%, 01/26/20 | 16,178,798 | 0.4 | |||||||||||||||
16,555,725 | S | Small Business Administration, 5.160%, 02/01/28 | 17,787,853 | 0.5 | |||||||||||||||
14,773,601 | S | Small Business Administration, 5.471%, 03/10/18 | 15,983,439 | 0.5 | |||||||||||||||
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
22,360,614 | S | Small Business Administration, 5.290%–5.902%, 02/10/18–03/01/28 | $ | 24,671,803 | 0.7 | ||||||||||||||
12,095,815 | Other Securities | 9,427,594 | 0.3 | ||||||||||||||||
84,049,487 | 2.4 | ||||||||||||||||||
Total Asset-Backed Securities (Cost $86,787,428) | 89,344,987 | 2.6 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 2.7% | |||||||||||||||||||
Treasury Inflation Indexed Protected Securities: 1.2% | |||||||||||||||||||
14,979,822 | S | 2.500%, due 1/15/2029 | 17,430,431 | 0.5 | |||||||||||||||
21,709,830 | 1.750%–3.875%, due 01/15/25– 04/15/29 | 24,742,790 | 0.7 | ||||||||||||||||
42,173,221 | 1.2 | ||||||||||||||||||
U.S. Treasury Notes: 1.5% | |||||||||||||||||||
51,600,000 | L | 0.750%, due 6/15/2014 | 51,547,626 | 1.5 | |||||||||||||||
Total U.S. Treasury Obligations | |||||||||||||||||||
(Cost $93,641,214) | 93,720,847 | 2.7 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 30.7% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 3.6%## | |||||||||||||||||||
38,000,000 | W | 5.500%, due 7/15/2034 | 41,051,894 | 1.2 | |||||||||||||||
45,529,273 | S | 0.537%–8.250%, due 03/15/17–10/25/44 | 49,492,252 | 1.4 | |||||||||||||||
29,000,000 | W | 4.500%, due 8/15/2039 | 29,874,524 | 0.9 | |||||||||||||||
2,645,648 | Other Securities | 2,696,384 | 0.1 | ||||||||||||||||
123,115,054 | 3.6 | ||||||||||||||||||
Federal National Mortgage Association: 27.1%## | |||||||||||||||||||
15,200,000 | S | 0.386%, due 10/27/2037 | 15,105,011 | 0.4 | |||||||||||||||
19,151,745 | 4.000%, due 5/1/2025 | 19,996,707 | 0.6 | ||||||||||||||||
16,562,916 | 4.000%, due 3/1/2026 | 17,293,660 | 0.5 | ||||||||||||||||
41,300,000 | 4.000%, due 6/1/2041 | 41,371,192 | 1.2 | ||||||||||||||||
60,000,000 | W | 4.500%, due 7/1/2025 | 63,618,720 | 1.8 | |||||||||||||||
147,200,000 | W | 4.500%, due 7/15/2035 | 152,329,037 | 4.4 | |||||||||||||||
38,554,804 | S | 4.500%, due 9/1/2040 | 39,958,049 | 1.2 | |||||||||||||||
19,228,569 | 4.500%, due 4/1/2041 | 19,929,917 | 0.6 | ||||||||||||||||
18,209,544 | 5.000%, due 6/1/2034 | 19,455,851 | 0.6 | ||||||||||||||||
24,000,000 | W | 5.000%, due 7/1/2037 | 25,503,744 | 0.7 |
BOND PORTFOLIO
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Federal National Mortgage Association: (continued) | |||||||||||||||||||
19,847,131 | S | 5.500%, due 2/1/2035 | $ | 21,603,062 | 0.6 | ||||||||||||||
13,113,396 | S | 5.500%, due 7/1/2036 | 14,273,575 | 0.4 | |||||||||||||||
55,000,000 | W | 6.000%, due 7/1/2037 | 60,422,670 | 1.7 | |||||||||||||||
404,425,351 | S, W | 0.686%–6.500%, due 12/01/13–10/01/44 | 430,892,815 | 12.4 | |||||||||||||||
1,000,000 | W | 6.000%, due 4/15/2038 | 1,098,438 | 0.0 | |||||||||||||||
942,852,448 | 27.1 | ||||||||||||||||||
Government National Mortgage Association: 0.0% | |||||||||||||||||||
741,855 | Other Securities | 767,652 | 0.0 | ||||||||||||||||
Total U.S. Government Agency Obligations (Cost $1,050,947,072) | 1,066,735,154 | 30.7 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PREFERRED STOCK: 1.2% | |||||||||||||||||||
Financials: 1.2% | |||||||||||||||||||
94,400 | S | American International Group, Inc. | 164,256 | 0.0 | |||||||||||||||
39,000 | S | Wells Fargo & Co. | 41,340,000 | 1.2 | |||||||||||||||
Total Preferred Stock (Cost $31,246,538) | 41,504,256 | 1.2 |
# of Contracts | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS: 0.0% | |||||||||||||||||||
Options on Exchange Traded Futures Contracts: 0.0% | |||||||||||||||||||
420 | @ | 90-Day Eurodollar December Futures, Strike @ 96.750, Exp. 12/19/11 | 2,625 | 0.0 | |||||||||||||||
2,330 | @ | 90-Day Eurodollar December Futures, Strike @ 96.500, Exp. 12/19/11 | 14,562 | 0.0 | |||||||||||||||
735 | @ | 90-Day Eurodollar September Futures, Strike @ 96.750, Exp. 09/19/11 | 4,594 | 0.0 | |||||||||||||||
420 | @ | 90-Day Eurodollar September Futures, Strike @ 97.000, Exp. 09/19/11 | 2,625 | 0.0 | |||||||||||||||
PURCHASED OPTIONS: (continued) | |||||||||||||||||||
Options on Exchange Traded Futures Contracts: (continued) | |||||||||||||||||||
11,889 | @ | 90-Day Eurodollar September Futures, Strike @ 93.000, Exp. 09/17/12 | $ | 74,306 | 0.0 | ||||||||||||||
1,260 | @ | 90-Day Eurodollar September Futures, Strike @ 97.250, Exp. 09/19/11 | 7,875 | 0.0 | |||||||||||||||
106,587 | 0.0 | ||||||||||||||||||
Options on Interest Rate Swaptions: 0.0% | |||||||||||||||||||
50,300,000 | @ | Put OTC Swaption, Strike @ 1.250%, Exp. 04/30/12 Counterparty: Royal Bank of Scotland Group PLC | 267,237 | 0.0 | |||||||||||||||
Total Purchased Options (Cost $336,472) | 373,824 | 0.0 | |||||||||||||||||
Total Long-Term Investments (Cost $2,957,366,324) | 3,086,506,243 | 88.7 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 24.0% | |||||||||||||||||||
U.S. Government Agency Obligations: 3.0% | |||||||||||||||||||
41,600,000 | Z | U.S. Government Agency Obligations, 0.080%, 12/07/11 | 41,585,315 | 1.2 | |||||||||||||||
8,300,000 | Z | U.S. Government Agency Obligations, 0.020%, 09/14/11 | 8,299,651 | 0.2 | |||||||||||||||
29,250,000 | Z | U.S. Government Agency Obligations, 0.020%, 09/07/11 | 29,248,889 | 0.9 | |||||||||||||||
3,200,000 | Z | Federal Home Loan Bank Discount Notes, 0.020%, 09/21/11 | 3,199,853 | 0.1 | |||||||||||||||
15,300,000 | Z | U.S. Government Agency Obligations, 0.020%, 09/07/11 | 15,299,418 | 0.4 | |||||||||||||||
2,900,000 | Z | U.S. Government Agency Obligations, 0.020%, 09/09/11 | 2,899,887 | 0.1 | |||||||||||||||
3,600,000 | Z | U.S. Government Agency Obligations, 0.020%, 09/12/11 | 3,599,853 | 0.1 | |||||||||||||||
104,132,866 | 3.0 | ||||||||||||||||||
Certificates of Deposit: 0.1% | |||||||||||||||||||
3,100,000 | Itaú Unibanco, 1.300%, 12/05/11 (Cost $3,080,609) | 3,082,268 | 0.1 |
BOND PORTFOLIO
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Foreign Government Bonds: 18.9% | |||||||||||||||||||
12,500,000 | #, Z | Banco Santander Brazil SA/Cayman Islands, 1.200%, 07/13/11 | $ | 12,505,061 | 0.4 | ||||||||||||||
15,800,000 | Industrial & Commercial Bank of China Ltd./New York, 0.550%, 07/11/11 | 15,801,539 | 0.5 | ||||||||||||||||
12,800,000 | Itaú Unibanco, 1.050%, 07/11/11 | 12,795,891 | 0.4 | ||||||||||||||||
JPY 36,390,000,000 | Japan Treasury Discount Bill, 0.110%, 07/25/11 | 451,987,879 | 13.0 | ||||||||||||||||
JPY 440,000,000 | Japan Treasury Discount Bill, 0.110%, 08/01/11 | 5,464,977 | 0.2 | ||||||||||||||||
JPY 960,000,000 | Z | Japan Treasury Discount Bill, 0.100%, 07/19/11 | 11,924,170 | 0.3 | |||||||||||||||
JPY 3,710,000,000 | Z | Japan Treasury Discount Bill, 0.100%, 08/15/11 | 46,078,117 | 1.3 | |||||||||||||||
JPY 1,800,000,000 | Z | Japan Treasury Discount Bill, 0.100%, 08/22/11 | 22,355,518 | 0.6 | |||||||||||||||
JPY 2,800,000,000 | Z | Japan Treasury Discount Bill, 0.100%, 08/08/11 | 34,776,624 | 1.0 | |||||||||||||||
JPY 2,380,000,000 | Z | Japan Treasury Discount Bill, 0.100%, 09/26/11 | 29,556,907 | 0.8 | |||||||||||||||
JPY 1,120,000,000 | Z | Japan Treasury Discount Bill, 0.100%, 09/05/11 | 13,909,787 | 0.4 | |||||||||||||||
657,156,470 | 18.9 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Securities Lending Collateralcc: 2.0% | ||||||||||||||||||
66,886,401 | BNY Mellon Overnight Government Fund(1) | 66,886,401 | 1.9 | |||||||||||||||
2,280,616 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,824,493 | 0.1 | ||||||||||||||
Total Securities Lending Collateral (Cost $69,167,017) | 68,710,894 | 2.0 | ||||||||||||||||
Total Short-Term Investments (Cost $833,471,521) | 833,082,498 | 24.0 | ||||||||||||||||
Total Investments in Securities (Cost $3,790,837,845)* | $ | 3,919,588,741 | 112.7 | |||||||||||||||
Liabilities in Excess of Other Assets | (441,611,092 | ) | (12.7 | ) | ||||||||||||||
Net Assets | $ | 3,477,977,649 | 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. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
W | Settlement is on a when-issued or delayed-delivery basis. |
S | All or a portion of this security has been identified by the Fund to cover future collateral requirements for applicable futures, options, swaps, foreign currency contracts and/or when-issued or delayed-delivery securities. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
(a) | The grouping contains securities in default. |
(b) | The grouping contains Interest only securities. |
BRL | Brazilian Real |
CAD | Canadian Dollar |
DKK | Danish Krone |
EUR | EU Euro |
GBP | British Pound |
JPY | Japanese Yen |
MXN | Mexican Peso |
RUB | Russian Ruble |
SGD | Singapore Dollar |
* | Cost for federal income tax purposes is $3,791,022,438. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 167,926,409 | ||||
Gross Unrealized Depreciation | (39,360,106 | ) | ||||
Net Unrealized appreciation | $ | 128,566,303 |
BOND PORTFOLIO
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Preferred Stock | $ | 41,340,000 | $ | 164,256 | $ | — | $ | 41,504,256 | ||||||||||
Purchased Options | 106,587 | 267,237 | — | 373,824 | ||||||||||||||
Corporate Bonds/Notes | — | 1,219,766,740 | 8,591,724 | 1,228,358,464 | ||||||||||||||
Collateralized Mortgage Obligations | — | 207,175,706 | — | 207,175,706 | ||||||||||||||
Municipal Bonds | — | 138,964,124 | — | 138,964,124 | ||||||||||||||
Other Bonds | — | 216,315,681 | 4,013,200 | 220,328,881 | ||||||||||||||
Short-Term Investments | 66,886,401 | 764,371,604 | 1,824,493 | 833,082,498 | ||||||||||||||
U.S. Treasury Obligations | — | 93,720,847 | — | 93,720,847 | ||||||||||||||
U.S. Government Agency Obligations | — | 1,066,735,154 | — | 1,066,735,154 | ||||||||||||||
Asset-Backed Securities | — | 89,344,987 | — | 89,344,987 | ||||||||||||||
Total Investments, at value | $ | 108,332,988 | $ | 3,796,826,336 | $ | 14,429,417 | $ | 3,919,588,741 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 11,756,289 | — | — | 11,756,289 | ||||||||||||||
Swaps | — | 17,909,374 | — | 17,909,374 | ||||||||||||||
Forward Foreign Currency Contracts | — | 9,736,532 | — | 9,736,532 | ||||||||||||||
Total Assets | $ | 120,089,277 | $ | 3,824,472,242 | $ | 14,429,417 | $ | 3,958,990,936 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Sales Commitments | $ | — | $ | (144,212,173 | ) | $ | — | $ | (144,212,173 | ) | ||||||||
Written Options | (224,585 | ) | (7,088,298 | ) | — | (7,312,883 | ) | |||||||||||
Futures | (1,438,017 | ) | — | — | (1,438,017 | ) | ||||||||||||
Swaps | — | (12,026,428 | ) | — | (12,026,428 | ) | ||||||||||||
Forward Foreign Currency Contracts | — | (14,651,204 | ) | — | (14,651,204 | ) | ||||||||||||
Total Liabilities | $ | (1,662,602 | ) | $ | (177,978,103 | ) | $ | — | $ | (179,640,705 | ) | |||||||
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8,591,724 | $ | — | $ | 8,591,724 | ||||||||||||||||||||
Collateralized Mortgage Obligations | 582,999 | — | — | — | — | — | — | (582,999 | ) | — | ||||||||||||||||||||||||||||
Other Bonds | — | — | — | — | — | — | 4,013,200 | — | 4,013,200 | |||||||||||||||||||||||||||||
Short-Term Investments | 1,824,493 | — | — | — | — | — | — | — | 1,824,493 | |||||||||||||||||||||||||||||
Total Investments, at value | $ | 2,407,492 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 12,604,924 | $ | (582,999 | ) | $ | 14,429,417 |
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, futures, swaps, and written options. Forward foreign currency contracts 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. |
BOND PORTFOLIO
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank PLC | EU Euro | 2,620,000 | Buy | 07/18/11 | $ | 3,737,954 | $ | 3,797,432 | $ | 59,478 | ||||||||||||||||||||
Barclays Bank PLC | Singapore Dollar | 900,000 | Buy | 09/09/11 | 703,909 | 732,788 | 28,879 | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 4,560,900 | Buy | 09/13/11 | 600,000 | 666,970 | 66,970 | |||||||||||||||||||||||
Barclays Bank PLC | Chinese Yuan | 3,859,000 | Buy | 11/15/11 | 600,623 | 599,364 | (1,259 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Chinese Yuan | 12,266,000 | Buy | 11/15/11 | 1,887,658 | 1,905,102 | 17,444 | |||||||||||||||||||||||
Barclays Bank PLC | Chinese Yuan | 3,385,089 | Buy | 02/13/12 | 529,449 | 528,005 | (1,444 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Indonesian Rupiah | 5,417,200,000 | Buy | 07/27/11 | 580,000 | 629,067 | 49,067 | |||||||||||||||||||||||
Barclays Bank PLC | Indonesian Rupiah | 11,843,974,500 | Buy | 07/27/11 | 1,282,509 | 1,375,369 | 92,860 | |||||||||||||||||||||||
Barclays Bank PLC | Indian Rupee | 202,730,000 | Buy | 08/12/11 | 4,320,759 | 4,498,240 | 177,481 | |||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 6,085,750 | Buy | 07/07/11 | 500,000 | 519,447 | 19,447 | |||||||||||||||||||||||
Barclays Bank PLC | Malaysian Ringgit | 2,100,000 | Buy | 08/11/11 | 676,655 | 693,205 | 16,550 | |||||||||||||||||||||||
Barclays Bank PLC | Malaysian Ringgit | 2,100,000 | Buy | 08/11/11 | 679,986 | 693,205 | 13,219 | |||||||||||||||||||||||
Barclays Bank PLC | Malaysian Ringgit | 2,000,000 | Buy | 08/11/11 | 649,878 | 660,195 | 10,317 | |||||||||||||||||||||||
Barclays Bank PLC | Philippine Peso | 19,300,000 | Buy | 11/15/11 | 435,077 | 440,222 | 5,145 | |||||||||||||||||||||||
Barclays Bank PLC | Philippine Peso | 8,100,000 | Buy | 11/15/11 | 183,673 | 184,756 | 1,083 | |||||||||||||||||||||||
Barclays Bank PLC | Philippine Peso | 8,200,000 | Buy | 11/15/11 | 185,143 | 187,037 | 1,894 | |||||||||||||||||||||||
Barclays Bank PLC | Philippine Peso | 8,200,000 | Buy | 11/15/11 | 184,477 | 187,037 | 2,560 | |||||||||||||||||||||||
Barclays Bank PLC | Philippine Peso | 6,345,000 | Buy | 11/15/11 | 141,693 | 144,726 | 3,033 | |||||||||||||||||||||||
Barclays Bank PLC | Russian Ruble | 28,970,000 | Buy | 07/01/11 | 1,014,001 | 1,037,394 | 23,393 | |||||||||||||||||||||||
Barclays Bank PLC | Brazilian Real | 37,538,940 | Buy | 09/02/11 | 23,327,703 | 23,698,534 | 370,831 | |||||||||||||||||||||||
Barclays Bank PLC | Indian Rupee | 150,013,400 | Buy | 11/18/11 | 3,261,870 | 3,271,122 | 9,252 | |||||||||||||||||||||||
Barclays Bank PLC | Taiwan New Dollar | 79,567,470 | Buy | 01/11/12 | 2,776,255 | 2,782,884 | 6,629 | |||||||||||||||||||||||
BNP Paribas Bank | EU Euro | 2,500,000 | Buy | 07/18/11 | 3,574,606 | 3,623,504 | 48,898 | |||||||||||||||||||||||
Citigroup, Inc. | Indonesian Rupiah | 3,335,500,000 | Buy | 07/27/11 | 350,000 | 387,332 | 37,332 | |||||||||||||||||||||||
Citigroup, Inc. | Indonesian Rupiah | 2,196,500,000 | Buy | 07/27/11 | 230,000 | 255,066 | 25,066 | |||||||||||||||||||||||
Citigroup, Inc. | Indonesian Rupiah | 13,311,000,000 | Buy | 07/27/11 | 1,457,941 | 1,545,727 | 87,786 | |||||||||||||||||||||||
Citigroup, Inc. | Malaysian Ringgit | 3,750,000 | Buy | 08/11/11 | 1,211,984 | 1,237,866 | 25,882 | |||||||||||||||||||||||
Citigroup, Inc. | Malaysian Ringgit | 2,100,000 | Buy | �� | 08/11/11 | 680,934 | 693,205 | 12,271 | ||||||||||||||||||||||
Citigroup, Inc. | Malaysian Ringgit | 3,100,000 | Buy | 08/11/11 | 1,005,286 | 1,023,303 | 18,017 | |||||||||||||||||||||||
Citigroup, Inc. | Malaysian Ringgit | 3,100,000 | Buy | 08/11/11 | 1,007,573 | 1,023,303 | 15,730 | |||||||||||||||||||||||
Citigroup, Inc. | Philippine Peso | 12,930,000 | Buy | 11/15/11 | 300,000 | 294,926 | (5,074 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Philippine Peso | 17,358,000 | Buy | 11/15/11 | 400,000 | 395,926 | (4,074 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Philippine Peso | 21,750,000 | Buy | 11/15/11 | 500,000 | 496,105 | (3,895 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Philippine Peso | 26,334,000 | Buy | 11/15/11 | 600,000 | 600,663 | 663 | |||||||||||||||||||||||
Citigroup, Inc. | Philippine Peso | 26,730,000 | Buy | 11/15/11 | 600,000 | 609,696 | 9,696 | |||||||||||||||||||||||
Citigroup, Inc. | Philippine Peso | 22,105,000 | Buy | 11/15/11 | 500,000 | 504,202 | 4,202 | |||||||||||||||||||||||
Citigroup, Inc. | Philippine Peso | 16,000,000 | Buy | 11/15/11 | 360,929 | 364,950 | 4,021 | |||||||||||||||||||||||
Citigroup, Inc. | Indonesian Rupiah | 12,143,100,000 | Buy | 07/27/11 | 1,306,131 | 1,410,105 | 103,974 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 1,446,000 | Buy | 07/18/11 | 2,051,037 | 2,095,835 | 44,798 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 2,000,000 | Buy | 07/18/11 | 2,861,796 | 2,898,804 | 37,008 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 847,000 | Buy | 07/18/11 | 1,212,322 | 1,227,643 | 15,321 | |||||||||||||||||||||||
Citigroup, Inc. | Indonesian Rupiah | 22,911,020,000 | Buy | 01/31/12 | 2,525,187 | 2,578,658 | 53,471 | |||||||||||||||||||||||
Citigroup, Inc. | Indian Rupee | 299,000,000 | Buy | 08/12/11 | 6,606,275 | 6,634,311 | 28,036 | |||||||||||||||||||||||
Citigroup, Inc. | Japanese Yen | 33,953,000 | Buy | 07/14/11 | 412,238 | 421,779 | 9,541 | |||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 428,888,564 | Buy | 07/07/11 | 35,324,183 | 36,607,598 | 1,283,415 | |||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 12,136,500 | Buy | 07/07/11 | 1,000,000 | 1,035,906 | 35,906 | |||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 1,360,000 | Buy | 07/07/11 | 110,655 | 116,083 | 5,428 | |||||||||||||||||||||||
Citigroup, Inc. | Philippine Peso | 511,133,700 | Buy | 03/15/12 | 11,723,250 | 11,564,795 | (158,455 | ) |
BOND PORTFOLIO
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup, Inc. | Singapore Dollar | 600,000 | Buy | 09/09/11 | $ | 469,643 | $ | 488,525 | $ | 18,882 | ||||||||||||||||||||
Citigroup, Inc. | Singapore Dollar | 1,100,000 | Buy | 09/09/11 | 859,442 | 895,630 | 36,188 | |||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 696,300 | Buy | 07/28/11 | 100,000 | 102,551 | 2,551 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 137,557,951 | Buy | 02/01/13 | 21,707,109 | 21,763,344 | 56,235 | |||||||||||||||||||||||
Deutsche Bank AG | Indonesian Rupiah | 13,469,000,000 | Buy | 10/31/11 | 1,452,183 | 1,539,116 | 86,933 | |||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 2,473,700 | Buy | 07/07/11 | 200,000 | 211,142 | 11,142 | |||||||||||||||||||||||
Deutsche Bank AG | Singapore Dollar | 1,500,000 | Buy | 09/09/11 | 1,176,148 | 1,221,314 | 45,166 | |||||||||||||||||||||||
Deutsche Bank AG | Singapore Dollar | 4,000,000 | Buy | 09/09/11 | 3,246,490 | 3,256,836 | 10,346 | |||||||||||||||||||||||
Deutsche Bank AG | Singapore Dollar | 2,400,000 | Buy | 09/09/11 | 1,949,064 | 1,954,101 | 5,037 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Philippine Peso | 22,025,000 | Buy | 11/15/11 | 500,000 | 502,377 | 2,377 | |||||||||||||||||||||||
Goldman Sachs & Co. | South Korean Won | 1,690,950,000 | Buy | 08/12/11 | 1,500,000 | 1,579,461 | 79,461 | |||||||||||||||||||||||
Goldman Sachs & Co. | Philippine Peso | 26,352,000 | Buy | 11/15/11 | 600,000 | 601,074 | 1,074 | |||||||||||||||||||||||
Goldman Sachs & Co. | Singapore Dollar | 3,000,000 | Buy | 09/09/11 | 2,436,667 | 2,442,627 | 5,960 | |||||||||||||||||||||||
HSBC | Indonesian Rupiah | 5,801,100,000 | Buy | 07/27/11 | 610,000 | 673,647 | 63,647 | |||||||||||||||||||||||
HSBC | Indonesian Rupiah | 5,679,000,000 | Buy | 07/27/11 | 600,000 | 659,468 | 59,468 | |||||||||||||||||||||||
HSBC | Indonesian Rupiah | 5,394,000,000 | Buy | 07/27/11 | 580,000 | 626,373 | 46,373 | |||||||||||||||||||||||
HSBC | Indonesian Rupiah | 2,940,900,000 | Buy | 07/27/11 | 316,634 | 341,509 | 24,875 | |||||||||||||||||||||||
HSBC | Indonesian Rupiah | 12,493,100,000 | Buy | 07/27/11 | 1,347,110 | 1,450,749 | 103,639 | |||||||||||||||||||||||
HSBC | Mexican Peso | 6,138,500 | Buy | 07/07/11 | 500,000 | 523,949 | 23,949 | |||||||||||||||||||||||
HSBC | Mexican Peso | 3,663,150 | Buy | 07/07/11 | 300,000 | 312,667 | 12,667 | |||||||||||||||||||||||
HSBC | Mexican Peso | 9,773,680 | Buy | 07/07/11 | 800,000 | 834,228 | 34,228 | |||||||||||||||||||||||
HSBC | Mexican Peso | 8,592,500 | Buy | 07/07/11 | 700,000 | 733,409 | 33,409 | |||||||||||||||||||||||
HSBC | Mexican Peso | 2,435,500 | Buy | 07/07/11 | 200,000 | 207,881 | 7,881 | |||||||||||||||||||||||
HSBC | Mexican Peso | 7,321,500 | Buy | 07/07/11 | 600,000 | 624,923 | 24,923 | |||||||||||||||||||||||
HSBC | Mexican Peso | 3,663,600 | Buy | 07/07/11 | 300,000 | 312,705 | 12,705 | |||||||||||||||||||||||
HSBC | Mexican Peso | 2,452,200 | Buy | 07/07/11 | 200,000 | 209,306 | 9,306 | |||||||||||||||||||||||
HSBC | Mexican Peso | 4,869,400 | Buy | 07/07/11 | 400,000 | 415,626 | 15,626 | |||||||||||||||||||||||
HSBC | Mexican Peso | 7,283,700 | Buy | 07/07/11 | 600,000 | 621,697 | 21,697 | |||||||||||||||||||||||
HSBC | Mexican Peso | 6,071,750 | Buy | 07/07/11 | 500,000 | 518,252 | 18,252 | |||||||||||||||||||||||
HSBC | Malaysian Ringgit | 3,538,633 | Buy | 08/11/11 | 1,149,840 | 1,168,095 | 18,255 | |||||||||||||||||||||||
HSBC | Turkish Lira | 15,179,203 | Buy | 07/27/11 | 9,543,067 | 9,304,550 | (238,517 | ) | ||||||||||||||||||||||
HSBC | Turkish Lira | 773,460 | Buy | 07/27/11 | 500,000 | 474,116 | (25,884 | ) | ||||||||||||||||||||||
HSBC | Turkish Lira | 617,540 | Buy | 07/27/11 | 400,000 | 378,540 | (21,460 | ) | ||||||||||||||||||||||
HSBC | Turkish Lira | 17,806,813 | Buy | 10/27/11 | 10,593,303 | 10,722,305 | 129,002 | |||||||||||||||||||||||
HSBC | South African Rand | 696,650 | Buy | 07/28/11 | 100,000 | 102,603 | 2,603 | |||||||||||||||||||||||
HSBC | Indonesian Rupiah | 100,937,774,500 | Buy | 07/02/12 | 11,171,862 | 11,097,551 | (74,311 | ) | ||||||||||||||||||||||
HSBC | Japanese Yen | 550,000,000 | Buy | 07/14/11 | 6,854,565 | 6,832,352 | (22,213 | ) | ||||||||||||||||||||||
HSBC | Japanese Yen | 2,799,762,000 | Buy | 07/25/11 | 34,954,642 | 34,781,829 | (172,813 | ) | ||||||||||||||||||||||
HSBC | Mexican Peso | 532,800,574 | Buy | 11/18/11 | 44,446,346 | 44,903,733 | 457,387 | |||||||||||||||||||||||
HSBC | South African Rand | 77,610,529 | Buy | 10/28/11 | 11,030,020 | 11,273,911 | 243,891 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Indonesian Rupiah | 2,454,400,000 | Buy | 07/27/11 | 260,000 | 285,015 | 25,015 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Chinese Yuan | 9,480,000 | Buy | 11/15/11 | 1,475,946 | 1,472,393 | (3,553 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Chinese Yuan | 1,517,000 | Buy | 11/15/11 | 235,779 | 235,614 | (165 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Indonesian Rupiah | 6,946,000,000 | Buy | 07/27/11 | 756,727 | 806,597 | 49,870 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Malaysian Ringgit | 2,000,000 | Buy | 08/11/11 | 649,035 | 660,196 | 11,161 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Philippine Peso | 35,280,000 | Buy | 11/15/11 | 800,000 | 804,716 | 4,716 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Philippine Peso | 22,185,000 | Buy | 11/15/11 | 500,000 | 506,027 | 6,027 |
BOND PORTFOLIO
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase & Co. | Turkish Lira | 773,800 | Buy | 07/27/11 | $ | 500,000 | $ | 474,324 | $ | (25,676 | ) | |||||||||||||||||||
JPMorgan Chase & Co. | Turkish Lira | 462,810 | Buy | 07/27/11 | 300,000 | 283,693 | (16,307 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Philippine Peso | 12,930,000 | Buy | 11/15/11 | 300,000 | 294,926 | (5,074 | ) | ||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 1,115,700 | Buy | 09/02/11 | 600,000 | 704,347 | 104,347 | |||||||||||||||||||||||
Morgan Stanley | South Korean Won | 150,220,000 | Buy | 08/12/11 | 133,618 | 140,316 | 6,698 | |||||||||||||||||||||||
Morgan Stanley | Mexican Peso | 2,444,300 | Buy | 07/07/11 | 200,000 | 208,632 | 8,632 | |||||||||||||||||||||||
Morgan Stanley | Mexican Peso | 2,444,700 | Buy | 07/07/11 | 200,000 | 208,666 | 8,666 | |||||||||||||||||||||||
Morgan Stanley | Mexican Peso | 3,676,500 | Buy | 07/07/11 | 300,000 | 313,806 | 13,806 | |||||||||||||||||||||||
Morgan Stanley | Mexican Peso | 3,678,600 | Buy | 07/07/11 | 300,000 | 313,985 | 13,985 | |||||||||||||||||||||||
Morgan Stanley | Philippine Peso | 73,510,000 | Buy | 03/15/12 | 1,688,139 | 1,663,221 | (24,918 | ) | ||||||||||||||||||||||
Morgan Stanley | South African Rand | 2,279,700 | Buy | 09/13/11 | 300,000 | 333,375 | 33,375 | |||||||||||||||||||||||
Morgan Stanley | South African Rand | 1,394,600 | Buy | 07/28/11 | 204,122 | 205,397 | 1,275 | |||||||||||||||||||||||
Royal Bank of Scotland | Brazilian Real | 60,564,480 | Buy | 08/02/11 | 37,575,679 | 38,498,770 | 923,091 | |||||||||||||||||||||||
Royal Bank of Scotland | Chinese Yuan | 10,944,707 | Buy | 11/15/11 | 1,691,347 | 1,699,884 | 8,537 | |||||||||||||||||||||||
Royal Bank of Scotland | EU Euro | 700,000 | Buy | 07/18/11 | 1,008,504 | 1,014,581 | 6,077 | |||||||||||||||||||||||
Royal Bank of Scotland | EU Euro | 113,000 | Buy | 07/18/11 | 160,196 | 163,783 | 3,587 | |||||||||||||||||||||||
Royal Bank of Scotland | Indonesian Rupiah | 2,268,000,000 | Buy | 07/27/11 | 240,000 | 263,369 | 23,369 | |||||||||||||||||||||||
Royal Bank of Scotland | Indonesian Rupiah | 28,433,200,000 | Buy | 10/31/11 | 3,063,262 | 3,249,090 | 185,828 | |||||||||||||||||||||||
Royal Bank of Scotland | South Korean Won | 188,000,000 | Buy | 08/12/11 | 168,383 | 175,604 | 7,221 | |||||||||||||||||||||||
Royal Bank of Scotland | Singapore Dollar | 700,000 | Buy | 09/09/11 | 544,438 | 569,946 | 25,508 | |||||||||||||||||||||||
Royal Bank of Scotland | Singapore Dollar | 1,400,000 | Buy | 09/09/11 | 1,099,592 | 1,139,893 | 40,301 | |||||||||||||||||||||||
Royal Bank of Scotland | Singapore Dollar | 3,000,000 | Buy | 09/09/11 | 2,413,574 | 2,442,627 | 29,053 | |||||||||||||||||||||||
UBS AG | South African Rand | 1,393,500 | Buy | 07/28/11 | 200,000 | 205,235 | 5,235 | |||||||||||||||||||||||
UBS AG | Japanese Yen | 144,604,000 | Buy | 07/14/11 | 1,708,821 | 1,796,337 | 87,516 | |||||||||||||||||||||||
UBS AG | Mexican Peso | 2,443,400 | Buy | 07/07/11 | 200,000 | 208,555 | 8,555 | |||||||||||||||||||||||
UBS AG | Mexican Peso | 4,903,080 | Buy | 07/07/11 | 400,000 | 418,500 | 18,500 | |||||||||||||||||||||||
UBS AG | Singapore Dollar | 2,000,000 | Buy | 09/09/11 | 1,628,300 | 1,628,418 | 118 | |||||||||||||||||||||||
UBS AG | South African Rand | 1,520,000 | Buy | 09/13/11 | 200,000 | 222,279 | 22,279 | |||||||||||||||||||||||
JP Morgan Chase & Co. | Indonesian Rupiah | 3,486,800,000 | Buy | 07/27/11 | 400,000 | 404,901 | 4,901 | |||||||||||||||||||||||
JP Morgan Chase & Co. | Indonesian Rupiah | 5,227,200,000 | Buy | 07/27/11 | 600,000 | 607,003 | 7,003 | |||||||||||||||||||||||
BNP Paribas Bank | Japanese Yen | 963,701,000 | Buy | 07/14/11 | 11,762,349 | 11,971,534 | 209,185 | |||||||||||||||||||||||
JP Morgan Chase & Co. | South Korean Won | 37,061,725,800 | Buy | 08/12/11 | 33,749,238 | 34,618,135 | 868,897 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Singapore Dollar | 700,000 | Buy | 09/09/11 | 547,249 | 569,946 | 22,697 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Singapore Dollar | 300,000 | Buy | 09/09/11 | 234,212 | 244,263 | 10,051 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Singapore Dollar | 1,856,551 | Buy | 09/09/11 | 1,457,971 | 1,511,620 | 53,649 | |||||||||||||||||||||||
JP Morgan Chase & Co. | Singapore Dollar | 3,061,934 | Buy | 09/09/11 | 2,487,617 | 2,493,053 | 5,436 | |||||||||||||||||||||||
JPMorgan Chase & Co. | South African Rand | 80,141,349 | Buy | 07/28/11 | 11,714,859 | 11,803,212 | 88,353 | |||||||||||||||||||||||
$ | 6,754,557 |
BOND PORTFOLIO
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank PLC | Japanese Yen | 451,907,000 | Sell | 07/14/11 | $ | 5,401,774 | $ | 5,613,795 | $ | (212,021 | ) | |||||||||||||||||||
Barclays Bank PLC | EU Euro | 26,093,000 | Sell | 07/18/11 | 37,927,558 | 37,819,237 | 108,321 | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 3,354,000 | Sell | 07/28/11 | 500,000 | 493,977 | 6,023 | |||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 3,365,000 | Sell | 07/18/11 | 4,760,183 | 4,877,237 | (117,054 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Brazilian Real | 1,317,360 | Sell | 08/02/11 | 800,000 | 837,401 | (37,401 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Brazilian Real | 1,480,320 | Sell | 08/02/11 | 900,000 | 940,989 | (40,989 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Brazilian Real | 37,538,940 | Sell | 08/02/11 | 23,476,510 | 23,862,221 | (385,711 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Japanese Yen | 29,030,000,000 | Sell | 07/25/11 | 350,783,917 | 360,643,696 | (9,859,779 | ) | ||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 20,597,000 | Sell | 07/18/11 | 30,382,841 | 29,853,326 | 529,515 | |||||||||||||||||||||||
Citigroup, Inc. | Russian Ruble | 28,970,000 | Sell | 07/01/11 | 1,053,646 | 1,037,394 | 16,252 | |||||||||||||||||||||||
Citigroup, Inc. | Danish Krone | 94,773,000 | Sell | 08/08/11 | 18,813,047 | 18,408,157 | 404,890 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 1,006,000 | Sell | 07/18/11 | 1,468,217 | 1,458,098 | 10,119 | |||||||||||||||||||||||
Citigroup, Inc. | Japanese Yen | 10,800,000,000 | Sell | 07/25/11 | 134,584,135 | 134,169,890 | 414,245 | |||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 816,900 | Sell | 08/02/11 | 500,000 | 519,276 | (19,276 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 979,680 | Sell | 08/02/11 | 600,000 | 622,749 | (22,749 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 489,600 | Sell | 08/02/11 | 300,000 | 311,222 | (11,222 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Japanese Yen | 1,120,000,000 | Sell | 09/06/11 | 13,776,900 | 13,917,546 | (140,646 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Japanese Yen | 1,800,000,000 | Sell | 08/22/11 | 22,445,010 | 22,365,317 | 79,693 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 12,754,000 | Sell | 07/18/11 | 18,291,073 | 18,485,669 | (194,596 | ) | ||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 1,155,000 | Sell | 07/18/11 | 1,631,689 | 1,674,059 | (42,370 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Japanese Yen | 2,380,000,000 | Sell | 09/26/11 | 29,630,467 | 29,578,830 | 51,637 | |||||||||||||||||||||||
Credit Suisse First Boston | EU Euro | 57,339,000 | Sell | 07/18/11 | 82,697,173 | 83,107,242 | (410,069 | ) | ||||||||||||||||||||||
Credit Suisse First Boston | South African Rand | 2,014,770 | Sell | 07/28/11 | 300,000 | 296,735 | 3,265 | |||||||||||||||||||||||
Credit Suisse First Boston | Japanese Yen | 960,000,000 | Sell | 07/19/11 | 11,882,144 | 11,925,855 | (43,711 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Japanese Yen | 2,800,000,000 | Sell | 08/08/11 | 34,703,932 | 34,787,547 | (83,615 | ) | ||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 138,000 | Sell | 07/18/11 | 201,088 | 200,017 | 1,071 | |||||||||||||||||||||||
Deutsche Bank AG | Canadian Dollar | 9,600,000 | Sell | 09/19/11 | 9,744,956 | 9,933,190 | (188,234 | ) | ||||||||||||||||||||||
HSBC | Turkish Lira | 17,806,813 | Sell | 07/27/11 | 10,778,942 | 10,915,223 | (136,281 | ) | ||||||||||||||||||||||
HSBC | Brazilian Real | 5,500,000 | Sell | 08/02/11 | 3,460,208 | 3,496,163 | (35,955 | ) | ||||||||||||||||||||||
HSBC | Brazilian Real | 1,316,320 | Sell | 08/02/11 | 800,000 | 836,740 | (36,740 | ) | ||||||||||||||||||||||
HSBC | Brazilian Real | 1,315,520 | Sell | 08/02/11 | 800,000 | 836,231 | (36,231 | ) | ||||||||||||||||||||||
HSBC | Mexican Peso | 532,800,574 | Sell | 07/07/11 | 45,019,060 | 45,476,962 | (457,902 | ) | ||||||||||||||||||||||
HSBC | South African Rand | 77,610,529 | Sell | 07/28/11 | 11,180,657 | 11,430,473 | (249,816 | ) | ||||||||||||||||||||||
HSBC | Indonesian Rupiah | 100,937,774,500 | Sell | 07/27/11 | 11,675,856 | 11,721,298 | (45,442 | ) | ||||||||||||||||||||||
Morgan Stanley | South African Rand | 1,343,100 | Sell | 07/28/11 | 200,000 | 197,812 | 2,188 | |||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 3,162,250 | Sell | 08/02/11 | 1,967,552 | 2,010,134 | (42,582 | ) | ||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 816,000 | Sell | 08/02/11 | 500,000 | 518,703 | (18,703 | ) | ||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 652,960 | Sell | 08/02/11 | 400,000 | 415,064 | (15,064 | ) | ||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 816,850 | Sell | 08/02/11 | 500,000 | 519,244 | (19,244 | ) | ||||||||||||||||||||||
Royal Bank of Canada | EU Euro | 1,024,000 | Sell | 07/18/11 | 1,516,288 | 1,484,187 | 32,101 | |||||||||||||||||||||||
Royal Bank of Canada | Canadian Dollar | 9,600,000 | Sell | 09/19/11 | 9,734,798 | 9,933,190 | (198,392 | ) | ||||||||||||||||||||||
Royal Bank of Scotland | EU Euro | 995,000 | Sell | 07/18/11 | 1,441,144 | 1,442,155 | (1,011 | ) | ||||||||||||||||||||||
Royal Bank of Scotland | Canadian Dollar | 1,020,000 | Sell | 09/19/11 | 1,046,691 | 1,055,402 | (8,711 | ) | ||||||||||||||||||||||
UBS AG | Brazilian Real | 2,074,900 | Sell | 08/02/11 | 1,287,558 | 1,318,943 | (31,385 | ) | ||||||||||||||||||||||
UBS AG | Brazilian Real | 816,850 | Sell | 08/02/11 | 500,000 | 519,244 | (19,244 | ) | ||||||||||||||||||||||
UBS AG | Brazilian Real | 1,143,590 | Sell | 08/02/11 | 700,000 | 726,941 | (26,941 | ) | ||||||||||||||||||||||
UBS AG | Brazilian Real | 326,440 | Sell | 08/02/11 | 200,000 | 207,507 | (7,507 | ) | ||||||||||||||||||||||
UBS AG | British Pound | 13,417,000 | Sell | 09/13/11 | 22,030,888 | 21,513,325 | 517,563 | |||||||||||||||||||||||
JP Morgan Chase & Co. | Japanese Yen | 3,710,000,000 | Sell | 08/18/11 | 45,875,530 | 46,096,290 | (220,760 | ) | ||||||||||||||||||||||
JP Morgan Chase & Co. | Japanese Yen | 820,000,000 | Sell | 08/01/11 | 10,012,210 | 10,187,350 | (175,140 | ) | ||||||||||||||||||||||
JP Morgan Chase & Co. | Japanese Yen | 440,000,000 | Sell | 08/01/11 | 5,356,708 | 5,466,383 | (109,675 | ) | ||||||||||||||||||||||
BNP Paribas | Canadian Dollar | 7,803,000 | Sell | 09/19/11 | 7,929,878 | 8,073,821 | (143,943 | ) | ||||||||||||||||||||||
$ | (11,669,229 | ) |
BOND PORTFOLIO
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
3-Month Euro Euribor | 95 | 06/18/12 | $ | 33,735,208 | $ | 61,113 | ||||||||||||
3-Month Euro Euribor | 95 | 09/17/12 | 33,707,655 | 76,359 | ||||||||||||||
3-Month Euro Euribor | 95 | 12/17/12 | 33,669,770 | 83,181 | ||||||||||||||
3-Month Euro Euribor | 95 | 03/18/13 | 33,638,773 | 84,631 | ||||||||||||||
90-Day Eurodollar | 1,412 | 09/19/11 | 351,782,150 | 83,846 | ||||||||||||||
90-Day Eurodollar | 1,647 | 12/19/11 | 410,020,650 | 656,135 | ||||||||||||||
90-Day Eurodollar | 5,020 | 03/19/12 | 1,248,913,250 | 4,516,367 | ||||||||||||||
90-Day Eurodollar | 6,889 | 06/18/12 | 1,711,658,163 | 6,005,059 | ||||||||||||||
90-Day Eurodollar | 2,690 | 09/17/12 | 666,985,500 | 57,241 | ||||||||||||||
90-Day Eurodollar | 826 | 12/17/12 | 204,290,450 | (196,566 | ) | |||||||||||||
90-Day Eurodollar | 89 | 12/17/12 | 22,011,925 | (27,890 | ) | |||||||||||||
90-Day Eurodollar | 1,445 | 03/18/13 | 356,481,500 | (391,831 | ) | |||||||||||||
90-Day Eurodollar | 373 | 06/17/13 | 91,771,988 | (234,079 | ) | |||||||||||||
90-Day Eurodollar | 317 | 09/16/13 | 77,787,838 | (148,804 | ) | |||||||||||||
90-Day Eurodollar | 166 | 12/16/13 | 40,622,275 | (76,326 | ) | |||||||||||||
90-Day Eurodollar | 275 | 03/17/14 | 67,120,625 | (146,650 | ) | |||||||||||||
90-Day Eurodollar | 53 | 06/16/14 | 12,901,525 | (25,396 | ) | |||||||||||||
Euro-Bobl 5-Year | 267 | 09/08/11 | 45,138,867 | (84,336 | ) | |||||||||||||
Euro-Bund | 39 | 09/08/11 | 7,096,668 | (37,031 | ) | |||||||||||||
U.S. Treasury 2-Year Note | 274 | 09/30/11 | 60,100,190 | 132,357 | ||||||||||||||
$ | 5,509,434,970 | $ | 10,387,380 |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | 52 | 09/21/11 | $ | 6,361,063 | $ | (69,108 | ) | |||||||||||
$ | 6,361,063 | $ | (69,108 | ) |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG | Lennar Corp. 5.950%, 10/17/11 | Buy | (0.660) | 12/20/11 | USD 5,000,000 | $ | 4,562 | $ | — | $ | 4,562 | |||||||||||||||||||||||
Morgan Stanley | Sealed Air Corp. 5.625%, 07/15/13 | Buy | (0.580) | 09/20/13 | USD 2,200,000 | 32,931 | — | 32,931 | ||||||||||||||||||||||||||
$ | 37,493 | $ | — | $ | 37,493 |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG | CDX.EM.12 Index | Sell | 5.000 | 12/20/14 | USD 1,400,000 | $ | 140,926 | $ | 96,468 | $ | 44,458 | |||||||||||||||||||||||
Barclays Bank PLC | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 5,200,000 | 587,268 | 476,702 | 110,566 | ||||||||||||||||||||||||||
Barclays Bank PLC | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 200,000 | 22,587 | 18,847 | 3,740 | ||||||||||||||||||||||||||
Credit Suisse First Boston | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 1,800,000 | 203,285 | 185,140 | 18,145 | ||||||||||||||||||||||||||
Deutsche Bank AG | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 19,800,000 | 2,236,136 | 1,889,166 | 346,970 | ||||||||||||||||||||||||||
Goldman Sachs & Co. | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 100,000 | 11,293 | 9,385 | 1,908 | ||||||||||||||||||||||||||
Goldman Sachs & Co. | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 100,000 | 11,293 | 9,598 | 1,695 | ||||||||||||||||||||||||||
HSBC Bank USA | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 12,900,000 | 1,456,877 | 1,215,276 | 241,601 | ||||||||||||||||||||||||||
Morgan Stanley | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 3,100,000 | 350,102 | 292,631 | 57,471 | ||||||||||||||||||||||||||
Barclays Bank PLC | CDX.EM.14 Index | Sell | 5.000 | 12/20/15 | USD 5,800,000 | 705,261 | 661,853 | 43,408 | ||||||||||||||||||||||||||
Citigroup, Inc. | CDX.EM.14 Index | Sell | 5.000 | 12/20/15 | USD 2,500,000 | 303,992 | 297,093 | 6,899 | ||||||||||||||||||||||||||
Deutsche Bank AG | CDX.EM.14 Index | Sell | 5.000 | 12/20/15 | USD 5,900,000 | 717,420 | 638,739 | 78,681 | ||||||||||||||||||||||||||
HSBC Bank USA | CDX.EM.14 Index | Sell | 5.000 | 12/20/15 | USD 1,600,000 | 194,555 | 178,612 | 15,943 |
BOND PORTFOLIO
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley | CDX.EM.14 Index | Sell | 5.000 | 12/20/15 | USD 1,400,000 | $ | 170,236 | $ | 155,687 | $ | 14,549 | |||||||||||||||||||||||
UBS Warburg LLC | CDX.EM.14 Index | Sell | 5.000 | 12/20/15 | USD 900,000 | 109,437 | 107,077 | 2,360 | ||||||||||||||||||||||||||
Barclays Bank PLC | CDX.EM.15 Index | Sell | 5.000 | 06/20/16 | USD 1,900,000 | 248,874 | 242,133 | 6,741 | ||||||||||||||||||||||||||
Deutsche Bank AG | CDX.EM.15 Index | Sell | 5.000 | 06/20/16 | USD 1,400,000 | 183,381 | 179,705 | 3,676 | ||||||||||||||||||||||||||
Barclays Bank PLC | CDX.NA.HY.16 Index | Sell | 5.000 | 06/20/16 | USD 5,600,000 | 90,725 | (20,761 | ) | 111,486 | |||||||||||||||||||||||||
BNP Paribas Bank | CDX.NA.HY.16 Index | Sell | 5.000 | 06/20/16 | USD 12,400,000 | 200,894 | 257,493 | (56,599 | ) | |||||||||||||||||||||||||
Citigroup, Inc. | CDX.NA.HY.8 Index (35-100% Tranche) | Sell | 0.355 | 06/20/12 | USD 5,777,640 | 17,962 | — | 17,962 | ||||||||||||||||||||||||||
Deutsche Bank AG | CDX.NA.IG.10 Index (30-100% Tranche) | Sell | 0.530 | 06/20/13 | USD 2,989,946 | 26,695 | — | 26,695 | ||||||||||||||||||||||||||
Goldman Sachs & Co. | CDX.NA.IG.10 Index (30-100% Tranche) | Sell | 0.463 | 06/20/13 | USD 3,761,546 | 28,554 | — | 28,554 | ||||||||||||||||||||||||||
BNP Paribas Bank | CDX.NA.IG.16 Index | Sell | 1.000 | 06/20/16 | USD 94,400,000 | 352,339 | 248,412 | 103,927 | ||||||||||||||||||||||||||
Credit Suisse First Boston | CDX.NA.IG.16 Index | Sell | 1.000 | 06/20/16 | USD 34,400,000 | 128,395 | 159,572 | (31,177 | ) | |||||||||||||||||||||||||
Deutsche Bank AG | CDX.NA.IG.16 Index | Sell | 1.000 | 06/20/16 | USD 5,600,000 | 20,901 | 26,170 | (5,269 | ) | |||||||||||||||||||||||||
Morgan Stanley | CDX.NA.IG.16 Index | Sell | 1.000 | 06/20/16 | USD 3,600,000 | 13,437 | 17,035 | (3,598 | ) | |||||||||||||||||||||||||
Barclays Bank PLC | CDX.NA.IG.9 Index (30-100% Tranche) | Sell | 0.758 | 12/20/12 | USD 19,868,677 | 210,608 | — | 210,608 | ||||||||||||||||||||||||||
Deutsche Bank AG | CDX.NA.IG.9 Index (30-100% Tranche) | Sell | 0.705 | 12/20/12 | USD 13,117,185 | 128,802 | — | 128,802 | ||||||||||||||||||||||||||
Goldman Sachs & Co. | CDX.NA.IG.9 Index (30-100% Tranche) | Sell | 0.548 | 12/20/17 | USD 2,218,347 | 24,304 | — | 24,304 | ||||||||||||||||||||||||||
$ | 8,896,539 | $ | 7,342,033 | $ | 1,554,506 |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Implied Credit Spread at 06/30/11 (%)(5) | Notional Amount(2) | Fair Value(3) | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG | Berkshire Hathaway Inc. | Sell | 0.850 | 03/20/13 | 0.418 | USD 2,200,000 | $ | 16,469 | $ | — | $ | 16,469 | ||||||||||||||||||||||||||
Goldman Sachs & Co. | Berkshire Hathaway Inc. | Sell | 1.000 | 03/20/15 | 0.816 | USD 1,500,000 | 10,064 | (19,310 | ) | 29,374 | ||||||||||||||||||||||||||||
UBS Warburg LLC | Berkshire Hathaway Inc. | Sell | 1.000 | 03/20/15 | 0.816 | USD 1,500,000 | 10,064 | (19,810 | ) | 29,874 | ||||||||||||||||||||||||||||
UBS Warburg LLC | Federal Republic of Germany | Sell | 0.250 | 06/20/16 | 0.385 | USD 35,800,000 | (233,187 | ) | (339,358 | ) | 106,171 | |||||||||||||||||||||||||||
Barclays Bank PLC | Federative Republic of Brazil | Sell | 1.000 | 06/20/15 | 0.938 | USD 500,000 | 1,193 | (5,467 | ) | 6,660 | ||||||||||||||||||||||||||||
Citigroup, Inc. | Federative Republic of Brazil | Sell | 1.000 | 09/20/15 | 0.964 | USD 1,000,000 | 1,471 | (13,116 | ) | 14,587 | ||||||||||||||||||||||||||||
Citigroup, Inc. | Federative Republic of Brazil | Sell | 1.000 | 03/20/16 | 1.043 | USD 22,200,000 | (43,390 | ) | (137,484 | ) | 94,094 | |||||||||||||||||||||||||||
Citigroup, Inc. | Federative Republic of Brazil | Sell | 1.000 | 06/20/16 | 1.077 | USD 9,100,000 | (33,222 | ) | (25,277 | ) | (7,945 | ) | ||||||||||||||||||||||||||
Goldman Sachs & Co. | Federative Republic of Brazil | Sell | 1.000 | 06/20/15 | 0.938 | USD 500,000 | 1,193 | (5,106 | ) | 6,299 | ||||||||||||||||||||||||||||
HSBC Bank USA | Federative Republic of Brazil | Sell | 1.000 | 06/20/15 | 0.938 | USD 3,000,000 | 7,158 | (63,420 | ) | 70,578 | ||||||||||||||||||||||||||||
HSBC Bank USA | Federative Republic of Brazil | Sell | 1.000 | 06/20/15 | 0.938 | USD 5,700,000 | 13,600 | (47,894 | ) | 61,494 | ||||||||||||||||||||||||||||
HSBC Bank USA | Federative Republic of Brazil | Sell | 1.000 | 09/20/15 | 0.964 | USD 1,800,000 | 2,647 | (15,084 | ) | 17,731 | ||||||||||||||||||||||||||||
UBS Warburg LLC | Federative Republic of Brazil | Sell | 1.000 | 09/20/15 | 0.964 | USD 500,000 | 735 | (3,982 | ) | 4,717 | ||||||||||||||||||||||||||||
Credit Suisse First Boston | Federative Republic of Brazil | Sell | 1.000 | 06/20/15 | 0.938 | USD 2,000,000 | 4,773 | (40,132 | ) | 44,905 | ||||||||||||||||||||||||||||
Barclays Bank PLC | General Electric Capital Corp. | Sell | 0.640 | 12/20/12 | 0.525 | USD 5,700,000 | 9,719 | — | 9,719 | |||||||||||||||||||||||||||||
BNP Paribas Bank | General Electric Capital Corp. | Sell | 4.700 | 12/20/13 | 0.789 | USD 1,800,000 | 173,220 | — | 173,220 | |||||||||||||||||||||||||||||
Citigroup, Inc. | General Electric Capital Corp. | Sell | 4.325 | 12/20/13 | 0.789 | USD 4,500,000 | 391,528 | — | 391,528 | |||||||||||||||||||||||||||||
Citigroup, Inc. | General Electric Capital Corp. | Sell | 4.000 | 12/20/13 | 0.789 | USD 7,600,000 | 600,471 | — | 600,471 | |||||||||||||||||||||||||||||
Citigroup, Inc. | General Electric Capital Corp. | Sell | 4.200 | 12/20/13 | 0.789 | USD 6,200,000 | 520,369 | — | 520,369 | |||||||||||||||||||||||||||||
Citigroup, Inc. | General Electric Capital Corp. | Sell | 4.850 | 12/20/13 | 0.789 | USD 3,600,000 | 359,727 | — | 359,727 | |||||||||||||||||||||||||||||
Citigroup, Inc. | General Electric Capital Corp. | Sell | 3.850 | 03/20/14 | 0.848 | USD 7,000,000 | 566,288 | — | 566,288 | |||||||||||||||||||||||||||||
Deutsche Bank AG | General Electric Capital Corp. | Sell | 4.230 | 12/20/13 | 0.789 | USD 4,200,000 | 355,608 | — | 355,608 | |||||||||||||||||||||||||||||
Deutsche Bank AG | General Electric Capital Corp. | Sell | 4.750 | 12/20/13 | 0.789 | USD 3,900,000 | 380,108 | — | 380,108 | |||||||||||||||||||||||||||||
Citigroup, Inc. | Government of France O.A.T. | Sell | 0.250 | 06/20/16 | 0.774 | USD 33,700,000 | (842,424 | ) | (827,117 | ) | (15,307 | ) |
BOND PORTFOLIO
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Implied Credit Spread at 06/30/11 (%)(5) | Notional Amount(2) | Fair Value(3) | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG | Government of France O.A.T. | Sell | 0.250 | 03/20/16 | 0.739 | USD 2,300,000 | $ | (51,196 | ) | $ | (84,740 | ) | $ | 33,544 | ||||||||||||||||||||||||
Goldman Sachs & Co. | Government of France O.A.T. | Sell | 0.250 | 12/20/15 | 0.700 | USD 500,000 | (9,753 | ) | (8,481 | ) | (1,272 | ) | ||||||||||||||||||||||||||
Morgan Stanley | Government of France O.A.T. | Sell | 0.250 | 03/20/16 | 0.739 | USD 500,000 | (11,129 | ) | (15,672 | ) | 4,543 | |||||||||||||||||||||||||||
Royal Bank of Scotland Group PLC | Government of France O.A.T. | Sell | 0.250 | 12/20/15 | 0.700 | USD 1,000,000 | (19,505 | ) | (17,172 | ) | (2,333 | ) | ||||||||||||||||||||||||||
Royal Bank of Scotland Group PLC | Government of France O.A.T. | Sell | 0.250 | 03/20/16 | 0.739 | USD 500,000 | (11,130 | ) | (15,458 | ) | 4,328 | |||||||||||||||||||||||||||
UBS Warburg LLC | Government of France O.A.T. | Sell | 0.250 | 03/20/16 | 0.656 | USD 2,200,000 | (48,970 | ) | (80,979 | ) | 32,009 | |||||||||||||||||||||||||||
UBS Warburg LLC | Government of France O.A.T. | Sell | 0.250 | 09/20/15 | 0.739 | USD 5,000,000 | (83,581 | ) | (110,443 | ) | 26,862 | |||||||||||||||||||||||||||
Deutsche Bank AG | Japanese Government 20-Year Issue | Sell | 1.000 | 03/20/15 | 0.685 | USD 2,000,000 | 23,023 | 17,071 | 5,952 | |||||||||||||||||||||||||||||
Deutsche Bank AG | Metlife Inc. | Sell | 1.000 | 03/20/16 | 1.437 | USD 2,300,000 | (44,880 | ) | (43,601 | ) | (1,279 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG | Metlife Inc. | Sell | 1.000 | 03/20/15 | 1.176 | USD 13,500,000 | (85,607 | ) | (591,973 | ) | 506,366 | |||||||||||||||||||||||||||
Barclays Bank PLC | People’s Republic of China | Sell | 1.000 | 03/20/16 | 0.783 | USD 1,000,000 | 9,893 | 10,999 | (1,106 | ) | ||||||||||||||||||||||||||||
Deutsche Bank AG | People’s Republic of China | Sell | 1.000 | 06/20/16 | �� | 0.813 | USD 4,400,000 | 39,310 | 46,848 | (7,538 | ) | |||||||||||||||||||||||||||
Royal Bank of Scotland Group PLC | People’s Republic of China | Sell | 1.000 | 06/20/16 | 0.813 | USD 4,300,000 | 38,416 | 44,757 | (6,341 | ) | ||||||||||||||||||||||||||||
Citigroup, Inc. | People’s Republic of China | Sell | 1.000 | 06/20/15 | 0.685 | USD 1,300,000 | 15,893 | 16,403 | (510 | ) | ||||||||||||||||||||||||||||
Royal Bank of Scotland Group PLC | People’s Republic of China | Sell | 1.000 | 06/20/15 | 0.685 | USD 4,000,000 | 48,903 | 51,978 | (3,075 | ) | ||||||||||||||||||||||||||||
Deutsche Bank AG | Republic of Indonesia | Sell | 1.000 | 09/20/15 | 1.144 | USD 600,000 | (3,532 | ) | (11,608 | ) | 8,076 | |||||||||||||||||||||||||||
Goldman Sachs & Co. | Republic of Italy | Sell | 1.000 | 06/20/16 | 1.688 | USD 1,100,000 | (34,840 | ) | (20,650 | ) | (14,190 | ) | ||||||||||||||||||||||||||
Royal Bank of Scotland Group PLC | Republic of Italy | Sell | 1.000 | 03/20/16 | 1.661 | USD 13,900,000 | (404,324 | ) | (491,953 | ) | 87,629 | |||||||||||||||||||||||||||
Deutsche Bank AG | Republic of Korea | Sell | 1.000 | 06/20/16 | 0.973 | USD 700,000 | 886 | 491 | 395 | |||||||||||||||||||||||||||||
Deutsche Bank AG | Republic of Korea | Sell | 1.000 | 06/20/16 | 0.973 | USD 1,100,000 | 1,392 | 514 | 878 | |||||||||||||||||||||||||||||
Citigroup, Inc. | Reynolds American Inc. | Sell | 1.280 | 06/20/17 | 1.457 | USD 2,600,000 | (25,222 | ) | — | (25,222 | ) | |||||||||||||||||||||||||||
Citigroup, Inc. | Ruplic of Kazakhstan | Sell | 1.000 | 03/20/16 | 1.481 | USD 300,000 | (6,472 | ) | (7,969 | ) | 1,497 | |||||||||||||||||||||||||||
Deutsche Bank AG | Ruplic of Kazakhstan | Sell | 1.000 | 03/20/16 | 1.481 | USD 300,000 | (6,472 | ) | (8,353 | ) | 1,881 | |||||||||||||||||||||||||||
HSBC Bank USA | Ruplic of Kazakhstan | Sell | 1.000 | 03/20/16 | 1.481 | USD 400,000 | (8,629 | ) | (10,796 | ) | 2,167 | |||||||||||||||||||||||||||
Goldman Sachs & Co. | Spanish Government Bond | Sell | 1.000 | 03/20/16 | 2.571 | USD 900,000 | (60,021 | ) | (55,887 | ) | (4,134 | ) | ||||||||||||||||||||||||||
Goldman Sachs & Co. | Spanish Government Bond | Sell | 1.000 | 06/20/16 | 2.589 | USD 1,000,000 | (70,412 | ) | (57,498 | ) | (12,914 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG | United Kingdom Gilt | Sell | 1.000 | 06/20/16 | 0.590 | USD 23,100,000 | 454,252 | 457,316 | (3,064 | ) | ||||||||||||||||||||||||||||
Goldman Sachs & Co. | United Kingdom Gilt | Sell | 1.000 | 06/20/15 | 0.478 | USD 16,300,000 | 331,711 | 114,035 | 217,676 | |||||||||||||||||||||||||||||
Goldman Sachs & Co. | United Kingdom Gilt | Sell | 1.000 | 12/20/15 | 0.534 | USD 2,800,000 | 56,781 | 55,621 | 1,160 | |||||||||||||||||||||||||||||
Goldman Sachs & Co. | United Kingdom Gilt | Sell | 1.000 | 12/20/15 | 0.534 | USD 1,000,000 | 20,279 | 20,061 | 218 | |||||||||||||||||||||||||||||
Morgan Stanley | United Kingdom Gilt | Sell | 1.000 | 06/20/16 | �� | 0.590 | USD 1,400,000 | 27,531 | 23,997 | 3,534 | ||||||||||||||||||||||||||||
Barclays Bank PLC | United Mexican States | Sell | 1.000 | 03/20/15 | 0.885 | USD 2,000,000 | 8,362 | (32,695 | ) | 41,057 | ||||||||||||||||||||||||||||
Citigroup, Inc. | United Mexican States | Sell | 1.000 | 03/20/15 | 0.885 | USD 2,000,000 | 8,362 | (33,365 | ) | 41,727 | ||||||||||||||||||||||||||||
Citigroup, Inc. | United Mexican States | Sell | 1.000 | 09/20/15 | 0.943 | USD 1,000,000 | 2,345 | (12,693 | ) | 15,038 | ||||||||||||||||||||||||||||
Citigroup, Inc. | United Mexican States | Sell | 1.000 | 06/20/16 | 1.042 | USD 9,100,000 | (18,225 | ) | — | (18,225 | ) | |||||||||||||||||||||||||||
Deutsche Bank AG | United Mexican States | Sell | 1.000 | 03/20/15 | 0.885 | USD 1,000,000 | 4,181 | (16,682 | ) | 20,863 | ||||||||||||||||||||||||||||
Deutsche Bank AG | United Mexican States | Sell | 1.000 | 03/20/16 | 1.012 | USD 6,800,000 | (3,825 | ) | (46,464 | ) | 42,639 | |||||||||||||||||||||||||||
Deutsche Bank AG | United Mexican States | Sell | 1.000 | 06/20/16 | 1.042 | USD 9,400,000 | (18,826 | ) | 21,863 | (40,689 | ) | |||||||||||||||||||||||||||
UBS Warburg LLC | United States Treasury Note | Sell | 0.250 | 09/20/15 | 0.449 | EUR 13,700,000 | (158,475 | ) | (167,019 | ) | 8,544 | |||||||||||||||||||||||||||
$ | 2,180,676 | $ | (2,622,754 | ) | $ | 4,803,430 |
(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 1.) 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 2.) 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 1.) 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 2.) Pay a net settlement amount in the form of |
BOND PORTFOLIO
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 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 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. |
Termination Date | Notional Amount | Fair Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a fixed rate equal to 10.600% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Barclays Bank PLC | 01/02/12 | BRL 2,700,000 | $6,889 | $ | — | $ | 6,889 | ||||||||||||||||
Receive a fixed rate equal to 11.910% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Barclays Bank PLC | 01/02/13 | BRL 13,700,000 | 39,848 | 17,369 | 22,479 | ||||||||||||||||||
Receive a fixed rate equal to 12.480% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Credit Suisse First Boston | 01/02/13 | BRL 134,600,000 | 977,437 | 50,362 | 927,075 | ||||||||||||||||||
Receive a fixed rate equal to 10.835% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Goldman Sachs & Co. | 01/02/12 | BRL 33,000,000 | 207,367 | 4,019 | 203,348 | ||||||||||||||||||
Receive a fixed rate equal to 10.990% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Goldman Sachs & Co. | 01/02/12 | BRL 7,100,000 | 42,732 | 2,706 | 40,026 | ||||||||||||||||||
Receive a fixed rate equal to 11.890% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Goldman Sachs & Co. | 01/02/13 | BRL 78,300,000 | 285,178 | 10,609 | 274,569 | ||||||||||||||||||
Receive a fixed rate equal to 11.930% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Goldman Sachs & Co. | 01/02/13 | BRL 11,900,000 | 46,104 | (9,072 | ) | 55,176 | |||||||||||||||||
Receive a fixed rate equal to 12.650% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Goldman Sachs & Co. | 01/02/14 | BRL 14,700,000 | 196,268 | 73,398 | 122,870 | ||||||||||||||||||
Receive a fixed rate equal to 11.140% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: HSBC Bank USA | 01/02/12 | BRL 6,300,000 | 67,014 | 7,436 | 59,578 | ||||||||||||||||||
Receive a fixed rate equal to 11.360% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: HSBC Bank USA | 01/02/12 | BRL 6,100,000 | 56,141 | 6,377 | 49,764 | ||||||||||||||||||
Receive a fixed rate equal to 10.610% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: HSBC Bank USA | 01/02/12 | BRL 2,400,000 | 6,489 | — | 6,489 | ||||||||||||||||||
Receive a fixed rate equal to 11.880% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: HSBC Bank USA | 01/02/13 | BRL 17,500,000 | 33,993 | (7,307 | ) | 41,300 |
BOND PORTFOLIO
Termination Date | Notional Amount | Fair Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a fixed rate equal to 11.890% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: HSBC Bank USA | 01/02/13 | BRL 40,900,000 | $148,963 | $ | 32,161 | $ | 116,802 | ||||||||||||||||
Receive a fixed rate equal to 12.300% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: HSBC Bank USA | 01/02/13 | BRL 18,000,000 | 178,555 | 45,846 | 132,709 | ||||||||||||||||||
Receive a fixed rate equal to 12.540% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: HSBC Bank USA | 01/02/14 | BRL 1,600,000 | 18,415 | 6,466 | 11,949 | ||||||||||||||||||
Receive a fixed rate equal to 12.540% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Merrill Lynch | 01/02/12 | BRL 12,500,000 | 408,650 | (13,065 | ) | 421,715 | |||||||||||||||||
Receive a fixed rate equal to 12.590% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Morgan Stanley | 01/02/13 | BRL 1,100,000 | 9,552 | 823 | 8,729 | ||||||||||||||||||
Receive a fixed rate equal to 11.980% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Morgan Stanley | 01/02/13 | BRL 5,900,000 | 27,623 | 5,012 | 22,611 | ||||||||||||||||||
Receive a fixed rate equal to 12.510% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Morgan Stanley | 01/02/14 | BRL 5,200,000 | 57,323 | 16,106 | 41,217 | ||||||||||||||||||
Receive a fixed rate equal to 11.890% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: Morgan Stanley | 01/02/14 | BRL 15,900,000 | (59,709) | (67 | ) | (59,642 | ) | ||||||||||||||||
Receive a fixed rate equal to 11.420% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: UBS Warburg LLC | 01/02/12 | BRL 6,700,000 | 25,733 | — | 25,733 | ||||||||||||||||||
Receive a fixed rate equal to 12.070% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: UBS Warburg LLC | 01/02/13 | BRL 7,900,000 | 49,768 | 9,903 | 39,865 | ||||||||||||||||||
Receive a fixed rate equal to 12.250% and pay a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized Counterparty: UBS Warburg LLC | 01/02/14 | BRL 9,600,000 | 61,638 | 16,633 | 45,005 ) | ||||||||||||||||||
Receive a fixed rate equal to 3.500% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters Counterparty: Barclays Bank PLC | 09/21/21 | EUR 94,700,000 | 196,802 | 1,573,391 | (1,376,589 | ) | |||||||||||||||||
Receive a fixed rate equal to 3.650% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters Counterparty: Citigroup, Inc. | 09/21/21 | EUR 4,000,000 | 82,417 | 4,828 | 77,589 | ||||||||||||||||||
Receive a fixed rate equal to 3.500% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters Counterparty: Goldman Sachs & Co. | 09/21/21 | EUR 23,500,000 | 48,836 | (256,129 | ) | 304,965 | |||||||||||||||||
Receive a fixed rate equal to 3.500% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters Counterparty: HSBC Bank USA | 09/21/21 | EUR 11,800,000 | 24,523 | 161,771 | (137,248 | ) |
BOND PORTFOLIO
Termination Date | Notional Amount | Fair Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a fixed rate equal to 3.650% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters Counterparty: Morgan Stanley | 09/21/21 | EUR 10,400,000 | $214,286 | $ | 50,102 | $ | 164,184 | |||||||||||||||||||
Receive a fixed rate equal to 3.500% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters Counterparty: Morgan Stanley | 09/21/21 | EUR 10,000,000 | 20,781 | (75,442 | ) | 96,223 | ||||||||||||||||||||
Receive a fixed rate equal to 8.860% and pay a floating rate based on 28-day MXN-TIIE-BANXICO Counterparty: Citigroup, Inc. | 09/12/16 | MXN 23,500,000 | 215,502 | — | 215,502 | |||||||||||||||||||||
Receive a fixed rate equal to 7.330% and pay a floating rate based on 28-day MXN-TIIE-BANXICO Counterparty: HSBC Bank USA | 01/28/15 | MXN 32,400,000 | 119,660 | 10,089 | 109,571 | |||||||||||||||||||||
Receive a fixed rate equal to 6.500% and pay a floating rate based on 28-day MXN-TIIE-BANXICO Counterparty: Morgan Stanley | 03/05/13 | MXN 12,700,000 | 9,892 | (416 | ) | 10,308 | ||||||||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.250% Counterparty: Barclays Bank PLC | 06/15/41 | USD 12,100,000 | (395,766) | 100,996 | (496,762 | ) | ||||||||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.250% Counterparty: Citigroup, Inc. | 06/15/41 | USD 34,700,000 | (1,134,967) | 849,489 | (1,984,456 | ) | ||||||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.000% Counterparty: Citigroup, Inc. | 12/21/41 | USD 7,300,000 | 217,873 | 89,225 | 128,648 | |||||||||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.500% Counterparty: Citigroup, Inc. | 06/15/21 | USD 14,000,000 | (307,836) | (25,737 | ) | (282,099 | ) | |||||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.000% Counterparty: Deutsche Bank AG | 12/21/41 | USD 4,400,000 | 131,321 | (17,595 | ) | 148,916 | ||||||||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.500% Counterparty: Deutsche Bank AG | 06/15/21 | USD 10,600,000 | (233,075) | 169,874 | (402,949 | ) | ||||||||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.250% Counterparty: Goldman Sachs & Co. | 06/15/41 | USD 3,900,000 | (127,561) | 101,064 | (228,625 | ) | ||||||||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.250% Counterparty: HSBC Bank USA | 06/15/41 | USD 15,000,000 | (490,620) | 250,667 | (741,287 | ) | ||||||||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.500% Counterparty: HSBC Bank USA | 06/15/21 | USD 9,800,000 | (215,486) | (40,225 | ) | (175,261 | ) | |||||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.000% Counterparty: Morgan Stanley | 12/21/41 | USD 7,500,000 | 223,841 | 101,628 | 122,213 | |||||||||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.500% Counterparty: Morgan Stanley | 06/15/21 | USD 3,600,000 | (79,158) | 5,093 | (84,251 | ) | ||||||||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.250% Counterparty: Morgan Stanley | 06/15/41 | USD 71,800,000 | (2,348,434) | 1,188,341 | (3,536,775 | ) | ||||||||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.250% Counterparty: Royal Bank of Scotland Group PLC | 06/15/41 | USD 48,700,000 | (1,592,879) | 1,209,701 | (2,802,580 | ) |
BOND PORTFOLIO
Termination Date | Notional Amount | Fair Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.250% Counterparty: UBS Warburg LLC | 06/15/41 | USD 79,300,000 | $(2,593,743) | $ | 1,154,751 | $ | (3,748,494 | ) | ||||||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.500% Counterparty: UBS Warburg LLC | 06/15/21 | USD 5,000,000 | (109,942) | (2,113 | ) | (107,829 | ) | |||||||||||||||||||
$(5,231,762) | $ | 6,879,068 | $ | (12,110,830 | ) |
Counterparty | Underlying Reference Entity/Obligation | Strike Index | Floor Rate | Termination Date | Notional Amount | Premiums Received | Fair Value | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup, Inc. | CPURNSA Index | 215.949 | 0.000 | % | 03/12/20 | USD 7,800,000 | $ | 66,000 | $ | (20,896 | ) | |||||||||||||||||||||||
Citigroup, Inc. | CPURNSA Index | 216.687 | 0.000 | % | 04/07/20 | USD 7,600,000 | 66,880 | (21,200 | ) | |||||||||||||||||||||||||
Citigroup, Inc. | CPURNSA Index | 217.965 | 0.000 | % | 09/29/20 | USD 7,300,000 | 94,170 | (22,446 | ) | |||||||||||||||||||||||||
Deutsche Bank AG | CPURNSA Index | 215.949 | 0.000 | % | 03/10/20 | USD 2,800,000 | 21,000 | (9,941 | ) | |||||||||||||||||||||||||
Deutsche Bank AG | CPURNSA Index | 218.011 | 0.000 | % | 10/13/20 | USD 7,400,000 | 72,520 | (30,170 | ) | |||||||||||||||||||||||||
$ | 320,570 | $ | (104,653 | ) |
Description/Name of Issuer | Exercise Price | Expiration Date | # of Contracts | Premiums Received | Value | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90-Day Eurodollar March Futures Put Option CME | USD 99.00 | 03/19/12 | 479 | $ | 381,500 | $ | (65,862 | ) | ||||||||||||||||||
90-Day Eurodollar September Futures Put Option CME | USD 99.38 | 09/19/11 | 486 | 308,061 | (36,450 | ) | ||||||||||||||||||||
U.S. Treasury 10-Year Note August Futures Put Option CBOT | USD 121.00 | 07/22/11 | 66 | 21,846 | (26,812 | ) | ||||||||||||||||||||
U.S. Treasury 10-Year Note August Futures Put Option CBOT | USD 125.00 | 07/22/11 | 66 | 30,468 | (6,187 | ) | ||||||||||||||||||||
U.S. Treasury 5-Year Note August Futures Put Option CBOT | USD 118.00 | 07/22/11 | 204 | 52,175 | (43,032 | ) | ||||||||||||||||||||
U.S. Treasury 5-Year Note August Futures Put Option CBOT | USD 120.00 | 07/22/11 | 172 | 56,618 | (38,968 | ) | ||||||||||||||||||||
U.S. Treasury 5-Year Note September Futures Put Option CBOT | USD 121.50 | 08/26/11 | 49 | 11,298 | (7,274 | ) | ||||||||||||||||||||
$ | 861,966 | $ | (224,585 | ) |
Description | Counterparty | Floating Rate Index/Underlying Reference Entity | Pay/ Receive Floating | Strike Price | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put OTC Swaption | Barclays Bank PLC | CDX.NA.IG.15 Index | Pay | 1.200 | % | 09/21/11 | USD 1,000,000 | $ | 5,000 | $ | (515 | ) | ||||||||||||||||||||||
$ | 5,000 | $ | (515 | ) |
BOND PORTFOLIO
# of Contracts | Counterparty | Description | Exercise Price | Expiration Date | Premiums Received | Fair Value | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Options on U.S. Government Agency Obligations | |||||||||||||||||||||||||||
9,000,000 | Credit Suisse First Boston | Call OTC Fannie Mae 4.500% August | 104.53 | USD | 08/04/11 | $ | 22,500 | $ | (9,185 | ) | |||||||||||||||||
9,000,000 | Credit Suisse First Boston | Put OTC Fannie Mae 4.500% August | 102.53 | USD | 08/04/11 | 28,125 | (30,648 | ) | |||||||||||||||||||
Total Written OTC Options | $ | 50,625 | $ | (39,833 | ) |
Description | Counterparty | Floating Rate Index/Underlying Reference Entity | Pay/ Receive Floating | Exercise Rate | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put OTC Swaption | Barclays Bank PLC | 3-month USD- LIBOR-BBA | Pay | 3.000 | 06/18/12 | USD 58,300,000 | $ | 527,833 | $ | (213,007 | ) | |||||||||||||||||||||||
Put OTC Swaption | Citigroup, Inc. | 3-month USD- LIBOR-BBA | Pay | 2.250 | 09/24/12 | USD 9,600,000 | 65,400 | (48,792 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Citigroup, Inc. | 3-month USD- LIBOR-BBA | Pay | 3.000 | 06/18/12 | USD 50,900,000 | 554,017 | (185,970 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Citigroup, Inc. | 3-month USD- LIBOR-BBA | Pay | 3.250 | 07/16/12 | USD 31,600,000 | 781,257 | (428,586 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Credit Suisse First Boston | 3-month USD- LIBOR-BBA | Pay | 2.500 | 08/24/11 | USD 39,300,000 | 156,217 | (85,022 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD- LIBOR-BBA | Pay | 2.750 | 06/18/12 | USD 68,600,000 | 712,109 | (327,057 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD- LIBOR-BBA | Pay | 3.000 | 06/18/12 | USD 36,400,000 | 396,105 | (132,992 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD- LIBOR-BBA | Pay | 3.750 | 08/24/11 | USD 3,700,000 | 18,500 | (11,000 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Morgan Stanley | 3-month USD- LIBOR-BBA | Pay | 2.250 | 09/24/12 | USD 60,600,000 | 371,934 | (307,999 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Morgan Stanley | 3-month USD- LIBOR-BBA | Pay | 3.750 | 10/11/11 | USD 17,800,000 | 201,140 | (148,527 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Morgan Stanley | 3-month USD- LIBOR-BBA | Pay | 4.250 | 10/11/11 | USD 57,200,000 | 292,064 | (114,840 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Morgan Stanley | 3-month USD- LIBOR-BBA | Pay | 10.000 | 07/10/12 | USD 19,400,000 | 116,885 | (260 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Royal Bank of Scotland Group PLC | 3-month USD- LIBOR-BBA | Pay | 1.750 | 11/19/12 | USD 62,700,000 | 236,692 | (181,185 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Royal Bank of Scotland Group PLC | 3-month USD- LIBOR-BBA | Pay | 2.000 | 04/30/12 | USD 100,600,000 | 201,200 | (56,154 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Royal Bank of Scotland Group PLC | 3-month USD- LIBOR-BBA | Pay | 2.250 | 09/24/12 | USD 196,200,000 | 1,543,054 | (997,184 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Royal Bank of Scotland Group PLC | 3-month USD- LIBOR-BBA | Pay | 2.750 | 06/18/12 | USD 51,200,000 | 501,760 | (244,101 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Royal Bank of Scotland Group PLC | 3-month USD- LIBOR-BBA | Pay | 3.000 | 06/18/12 | USD 94,100,000 | 805,256 | (343,807 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Royal Bank of Scotland Group PLC | 3-month USD- LIBOR-BBA | Pay | 3.250 | 07/16/12 | USD 10,500,000 | 263,655 | (142,410 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Credit Suisse First Boston | 3-month USD- LIBOR-BBA | Receive | 1.800 | 08/24/11 | USD 39,300,000 | 78,600 | (65,187 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD- LIBOR-BBA | Receive | 3.000 | 08/24/11 | USD 3,700,000 | 22,570 | (13,321 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Morgan Stanley | 3-month USD- LIBOR-BBA | Receive | 3.000 | 10/11/11 | USD 75,000,000 | 414,884 | (470,634 | ) | |||||||||||||||||||||||||
Total Written Swaptions | $ | 8,261,132 | $ | (4,518,035 | ) |
BOND PORTFOLIO
Description | Counterparty | Exercise Price(4) | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Swaption Straddle-OTC 1-Year vs. 2-Year Forward Swap Rate (10/15/12-10/15/14)(1) | Morgan Stanley | 0.000 | 10/11/12 | USD 76,200,000 | $ | 846,892 | $ | (1,235,031 | ) | |||||||||||||||||
Swaption Straddle-OTC 1-Year vs. 2-Year Forward Swap Rate (11/16/12-11/16/14)(2) | Morgan Stanley | 0.000 | 11/14/12 | USD 62,700,000 | 681,956 | (1,027,780 | ) | |||||||||||||||||||
Swaption Straddle-OTC 1-Year vs. 1-Year Forward Swap Rate (10/15/12-10/15/13)(3) | Goldman Sachs & Co. | 0.000 | 10/11/12 | USD 25,100,000 | 132,533 | (162,451 | ) | |||||||||||||||||||
$ | 1,661,381 | $ | (2,425,262 | ) |
(1) | The observation date ends October 11, 2011 on which date the Portfolio will enter into the swaption straddle with the counterparty. The swaption straddle expires October 11, 2012. |
(2) | The observation date ends November 14, 2011 on which date the Portfolio will enter into the swaption straddle with the counterparty. The swaption straddle expires November 14, 2012. |
(3) | The observation date ends October 11, 2011on which date the Portfolio will enter into the swaption straddle with the counterparty. The swaption straddle expires October 11, 2012. |
(4) Exercise price determined on the observation date, based upon implied volatility parameters. |
Principal Amount | Description | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
$(3,000,000) | Fannie Mae | $ | (3,238,125 | ) | ||||||
(8,000,000) | Fannie Mae | (8,651,248 | ) | |||||||
(41,000,000) | Fannie Mae | (41,012,792 | ) | |||||||
(16,000,000) | Fannie Mae | (16,295,008 | ) | |||||||
(72,000,000) | Fannie Mae | (75,015,000 | ) | |||||||
Total Sales Commitments Cost $(144,671,250) | $ | (144,212,173 | ) |
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* | $ | 373,824 | |||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 9,736,532 | ||||||||
Credit contracts | Upfront payments paid on swap agreements | |||||||||
Credit contracts | Unrealized appreciation on swap agreements | 6,600,617 | ||||||||
Interest rate contracts | Upfront payments paid on swap agreements | 7,326,236 | ||||||||
Interest rate contracts | Unrealized appreciation on swap agreements | 4,054,017 | ||||||||
Interest rate contracts | Net Assets- Unrealized appreciation** | 11,756,289 | ||||||||
Total Asset Derivatives | $ | 39,847,515 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 14,651,204 | |||||||
Credit contracts | Upfront payments received on swap agreements | 3,483,947 | ||||||||
Credit contracts | Unrealized depreciation on swap agreements | 205,188 | ||||||||
Interest rate contracts | Upfront payments received on swap agreements | 447,168 | ||||||||
Interest rate contracts | Unrealized depreciation on swap agreements | 16,164,847 | ||||||||
Interest rate contracts | Net Assets- Unrealized depreciation** | 1,438,017 | ||||||||
Credit contracts | Written options, at fair value | 515 | ||||||||
Interest rate contracts | Written options, at fair value | 7,312,368 | ||||||||
Total Liability Derivatives | $ | 43,703,254 |
* Includes purchased options. |
* Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
BOND PORTFOLIO
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 | $ | — | $ | — | $ | — | 7,020,531 | $ | 10,576 | $ | 7,031,107 | ||||||||||||||||
Foreign exchange contracts | — | 12,385,015 | — | — | 10,250 | 12,395,265 | |||||||||||||||||||||
Interest rate contracts | (134,512 | ) | — | 625,813 | (5,205,548 | ) | 1,168,071 | (3,546,176 | ) | ||||||||||||||||||
Total | $ | (134,512 | ) | $ | 12,385,015 | $ | 625,813 | $ | 1,814,983 | $ | 1,188,897 | $ | 15,880,196 |
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 | $ | — | $ | — | $ | — | $ | (2,069,856 | ) | $ | (1,950 | ) | $ | (2,071,806 | ) | ||||||||||||
Foreign exchange contracts | — | (12,250,827 | ) | — | — | — | (12,250,827 | ) | |||||||||||||||||||
Interest rate contracts | 44,812 | — | 13,588,335 | (12,929,987 | ) | 8,804,397 | 9,507,557 | ||||||||||||||||||||
Total | $ | 44,812 | $ | (12,250,827 | ) | $ | 13,588,335 | $ | (14,999,843 | ) �� | $ | 8,802,447 | $ | (4,815,076 | ) |
* | 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. |
as of June 30, 2011
(as a percentage of net assets)
Financials | 28.4 | % | ||||
Industrials | 13.5 | % | ||||
Health Care | 10.0 | % | ||||
Consumer Discretionary | 9.1 | % | ||||
Information Technology | 8.8 | % | ||||
Energy | 8.2 | % | ||||
Utilities | 6.7 | % | ||||
Consumer Staples | 6.2 | % | ||||
Materials | 5.0 | % | ||||
Telecommunication Services | 2.8 | % | ||||
Other Assets and Liabilities — Net* | 1.3 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 98.7% | |||||||||||||||||||
Consumer Discretionary: 9.1% | |||||||||||||||||||
520,000 | CBS Corp. — Class B | $ | 14,814,800 | 1.6 | |||||||||||||||
230,800 | Kohl’s Corp. | 11,542,308 | 1.2 | ||||||||||||||||
733,700 | Staples, Inc. | 11,592,460 | 1.2 | ||||||||||||||||
567,990 | Toll Brothers, Inc. | 11,780,113 | 1.3 | ||||||||||||||||
160,600 | Whirlpool Corp. | 13,059,992 | 1.4 | ||||||||||||||||
362,150 | Wyndham Worldwide Corp. | 12,186,347 | 1.3 | ||||||||||||||||
185,780 | Other Securities | 10,683,392 | 1.1 | ||||||||||||||||
85,659,412 | 9.1 | ||||||||||||||||||
Consumer Staples: 6.2% | |||||||||||||||||||
297,800 | L | Campbell Soup Co. | 10,288,990 | 1.1 | |||||||||||||||
635,605 | Constellation Brands, Inc. | 13,233,296 | 1.4 | ||||||||||||||||
130,025 | JM Smucker Co. | 9,939,111 | 1.1 | ||||||||||||||||
941,610 | Other Securities | 24,678,187 | 2.6 | ||||||||||||||||
58,139,584 | 6.2 | ||||||||||||||||||
Energy: 8.2% | |||||||||||||||||||
191,400 | Ensco International PLC ADR | 10,201,620 | 1.1 | ||||||||||||||||
173,400 | Murphy Oil Corp. | 11,385,444 | 1.2 | ||||||||||||||||
404,455 | Nabors Industries Ltd. | 9,965,771 | 1.1 | ||||||||||||||||
152,400 | Noble Energy, Inc. | 13,659,612 | 1.5 | ||||||||||||||||
882,659 | Other Securities | 31,822,790 | 3.3 | ||||||||||||||||
77,035,237 | 8.2 | ||||||||||||||||||
Financials: 28.4% | |||||||||||||||||||
403,200 | Allstate Corp. | 12,309,696 | 1.3 | ||||||||||||||||
530,300 | BioMed Realty Trust, Inc. | 10,202,972 | 1.1 | ||||||||||||||||
223,000 | Capital One Financial Corp. | 11,522,410 | 1.2 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
318,200 | @ | CIT Group, Inc. | $ | 14,083,532 | 1.5 | ||||||||||||||
377,645 | L | Comerica, Inc. | 13,055,188 | 1.4 | |||||||||||||||
391,800 | Discover Financial Services | 10,480,650 | 1.1 | ||||||||||||||||
417,740 | L | Hartford Financial Services Group, Inc. | 11,015,804 | 1.2 | |||||||||||||||
1,386,781 | Keycorp | 11,551,886 | 1.2 | ||||||||||||||||
551,400 | Kimco Realty Corp. | 10,278,096 | 1.1 | ||||||||||||||||
462,300 | Lincoln National Corp. | 13,170,927 | 1.4 | ||||||||||||||||
365,736 | L | Moody’s Corp. | 14,025,976 | 1.5 | |||||||||||||||
231,925 | Northern Trust Corp. | 10,659,273 | 1.1 | ||||||||||||||||
202,255 | PNC Financial Services Group, Inc. | 12,056,420 | 1.3 | ||||||||||||||||
3,712,310 | Popular, Inc. | 10,245,975 | 1.1 | ||||||||||||||||
406,500 | SunTrust Bank | 10,487,700 | 1.1 | ||||||||||||||||
577,860 | L | TD Ameritrade Holding Corp. | 11,274,048 | 1.2 | |||||||||||||||
679,117 | UnumProvident Corp. | 17,303,901 | 1.8 | ||||||||||||||||
2,512,718 | Other Securities | 64,296,189 | 6.8 | ||||||||||||||||
268,020,643 | 28.4 | ||||||||||||||||||
Health Care: 10.0% | |||||||||||||||||||
173,400 | Baxter International, Inc. | 10,350,246 | 1.1 | ||||||||||||||||
301,700 | Cigna Corp. | 15,516,431 | 1.6 | ||||||||||||||||
187,400 | Humana, Inc. | 15,093,196 | 1.6 | ||||||||||||||||
260,000 | Medtronic, Inc. | 10,017,800 | 1.1 | ||||||||||||||||
1,664,700 | Tenet Healthcare Corp. | 10,387,728 | 1.1 | ||||||||||||||||
162,600 | L | Zimmer Holdings, Inc. | 10,276,320 | 1.1 | |||||||||||||||
474,712 | Other Securities | 22,724,073 | 2.4 | ||||||||||||||||
94,365,794 | 10.0 | ||||||||||||||||||
Industrials: 13.5% | |||||||||||||||||||
158,900 | Fluor Corp. | 10,274,474 | 1.1 | ||||||||||||||||
288,058 | Ingersoll-Rand PLC | 13,080,714 | 1.4 | ||||||||||||||||
130,500 | L-3 Communications Holdings, Inc. | 11,412,225 | 1.2 | ||||||||||||||||
520,000 | Republic Services, Inc. | 16,042,000 | 1.7 | ||||||||||||||||
173,300 | Snap-On, Inc. | 10,827,784 | 1.1 | ||||||||||||||||
1,140,500 | Southwest Airlines Co. | 13,024,510 | 1.4 | ||||||||||||||||
158,925 | SPX Corp. | 13,136,741 | 1.4 | ||||||||||||||||
462,295 | Textron, Inc. | 10,914,785 | 1.2 | ||||||||||||||||
216,700 | Towers Watson & Co. | 14,239,357 | 1.5 | ||||||||||||||||
282,635 | Other Securities | 14,246,209 | 1.5 | ||||||||||||||||
127,198,799 | 13.5 | ||||||||||||||||||
Information Technology: 8.8% | |||||||||||||||||||
262,740 | Analog Devices, Inc. | 10,283,643 | 1.1 | ||||||||||||||||
1,262,339 | Compuware Corp. | 12,320,429 | 1.3 | ||||||||||||||||
323,600 | Western Digital Corp. | 11,772,568 | 1.2 | ||||||||||||||||
1,728,610 | Xerox Corp. | 17,994,830 | 1.9 | ||||||||||||||||
1,836,700 | Other Securities | 30,820,844 | 3.3 | ||||||||||||||||
83,192,314 | 8.8 | ||||||||||||||||||
Materials: 5.0% | |||||||||||||||||||
216,700 | Ecolab, Inc. | 12,217,546 | 1.3 | ||||||||||||||||
452,900 | Owens-Illinois, Inc. | 11,689,349 | 1.2 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: (continued) | |||||||||||||||||||
Materials: (continued) | |||||||||||||||||||
489,240 | Temple-Inland, Inc. | $ | 14,549,998 | 1.5 | |||||||||||||||
98,190 | Other Securities | 8,914,670 | 1.0 | ||||||||||||||||
47,371,563 | 5.0 | ||||||||||||||||||
Telecommunication Services: 2.8% | |||||||||||||||||||
432,465 | CenturyTel, Inc. | 17,484,560 | 1.8 | ||||||||||||||||
223,920 | Other Securities | 9,489,730 | 1.0 | ||||||||||||||||
26,974,290 | 2.8 | ||||||||||||||||||
Utilities: 6.7% | |||||||||||||||||||
433,350 | Ameren Corp. | 12,497,814 | 1.3 | ||||||||||||||||
534,535 | CMS Energy Corp. | 10,524,994 | 1.1 | ||||||||||||||||
258,795 | Consolidated Edison, Inc. | 13,778,246 | 1.5 | ||||||||||||||||
233,400 | L | Exelon Corp. | 9,998,856 | 1.1 | |||||||||||||||
577,810 | L | PPL Corp. | 16,080,452 | 1.7 | |||||||||||||||
62,880,362 | 6.7 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $826,832,195) | 930,837,998 | 98.7 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 4.6% | |||||||||||||||||||
Securities Lending Collateralcc: 3.9% | |||||||||||||||||||
36,318,423 | BNY Mellon Overnight Government Fund(1) | 36,318,423 | 3.9 | ||||||||||||||||
214,360 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 171,488 | 0.0 | |||||||||||||||
Total Securities Lending Collateral (Cost $36,532,783) | 36,489,911 | 3.9 | |||||||||||||||||
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Mutual Funds: 0.7% | |||||||||||||||||||
6,813,271 | Blackrock Liquidity Funds TempFund Portfolio — Class I (Cost $6,813,271) | $ | 6,813,271 | 0.7 | |||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $43,346,054) | 43,303,182 | 4.6 | |||||||||||||||||
Total Investments in Securities (Cost $870,178,249)* | $ | 974,141,180 | 103.3 | ||||||||||||||||
Liabilities in Excess of Other Assets | (31,198,074 | ) | (3.3 | ) | |||||||||||||||
Net Assets | $ | 942,943,106 | 100.0 |
@ | Non-income producing security |
ADR | American Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $872,932,754. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 120,263,492 | ||||
Gross Unrealized Depreciation | (19,055,066 | ) | ||||
Net Unrealized appreciation | $ | 101,208,426 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock* | $ | 930,837,998 | $ | — | $ | — | $ | 930,837,998 | ||||||||||
Short-Term Investments | 43,131,694 | — | 171,488 | 43,303,182 | ||||||||||||||
Total Investments, at value | $ | 973,969,692 | $ | — | $ | 171,488 | $ | 974,141,180 | ||||||||||
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 171,488 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 171,488 | ||||||||||||||||||||
Total Investments, at value | $ | 171,488 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 171,488 |
ˆ | 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. |
CAPITAL APPRECIATION PORTFOLIO
as of June 30, 2011
(as a percentage of net assets)
Consumer Discretionary | 18.1 | % | ||||
Financials | 13.5 | % | ||||
Information Technology | 13.1 | % | ||||
Consumer Staples | 11.0 | % | ||||
Industrials | 10.5 | % | ||||
Energy | 9.8 | % | ||||
Health Care | 9.4 | % | ||||
Telecommunication Services | 2.8 | % | ||||
Materials | 2.5 | % | ||||
Utilities | 0.8 | % | ||||
Other Assets and Liabilities — Net* | 8.5 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 73.2% | |||||||||||||||||||
Consumer Discretionary: 9.1% | |||||||||||||||||||
1,521,500 | Carnival Corp. | $ 57,254,045 | 1.4 | ||||||||||||||||
1,468,545 | @ | Dollar General Corp. | 49,768,990 | 1.2 | |||||||||||||||
356,000 | @ | General Motors Co. | 10,808,160 | 0.3 | |||||||||||||||
1,285,300 | Kohl’s Corp. | 64,277,853 | 1.5 | ||||||||||||||||
430,600 | McDonald’s Corp. | 36,308,192 | 0.9 | ||||||||||||||||
675,400 | @ | O’Reilly Automotive, Inc. | 44,245,454 | 1.1 | |||||||||||||||
2,448,227 | Time Warner, Inc. | 89,042,016 | 2.1 | ||||||||||||||||
1,020,100 | Other Securities | 24,804,721 | 0.6 | ||||||||||||||||
376,509,431 | 9.1 | ||||||||||||||||||
Consumer Staples: 10.8% | |||||||||||||||||||
352,900 | Colgate-Palmolive Co. | 30,846,989 | 0.7 | ||||||||||||||||
2,864,184 | General Mills, Inc. | 106,604,928 | 2.5 | ||||||||||||||||
815,900 | Kellogg Co. | 45,135,588 | 1.1 | ||||||||||||||||
2,231,200 | PepsiCo, Inc. | 157,143,416 | 3.8 | ||||||||||||||||
1,482,073 | S | Procter & Gamble Co. | 94,215,381 | 2.3 | |||||||||||||||
243,300 | Other Securities | 16,245,141 | 0.4 | ||||||||||||||||
450,191,443 | 10.8 | ||||||||||||||||||
Energy: 8.6% | |||||||||||||||||||
1,297,937 | Canadian Natural Resources Ltd. | 54,331,643 | 1.3 | ||||||||||||||||
520,700 | Devon Energy Corp. | 41,036,367 | 1.0 | ||||||||||||||||
1,314,325 | El Paso Corp. | 26,549,365 | 0.6 | ||||||||||||||||
448,500 | EOG Resources, Inc. | 46,890,675 | 1.1 | ||||||||||||||||
3,771,500 | Nexen, Inc. | 84,858,750 | 2.1 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
1,048,874 | QEP Resources, Inc. | $ 43,874,399 | 1.1 | ||||||||||||||||
1,078,900 | Spectra Energy Corp. | 29,572,649 | 0.7 | ||||||||||||||||
1,487,100 | @ | Weatherford International Ltd. | 27,883,125 | 0.7 | |||||||||||||||
354,996,973 | 8.6 | ||||||||||||||||||
Financials: 11.4% | |||||||||||||||||||
719,200 | Allstate Corp. | 21,957,176 | 0.5 | ||||||||||||||||
1,572,800 | AON Corp. | 80,684,640 | 1.9 | ||||||||||||||||
453,200 | Deutsche Boerse AG | 34,411,462 | 0.8 | ||||||||||||||||
236,200 | Franklin Resources, Inc. | 31,010,698 | 0.8 | ||||||||||||||||
1,012,710 | S | JPMorgan Chase & Co. | 41,460,347 | 1.0 | |||||||||||||||
5,291,100 | US Bancorp. | 134,975,961 | 3.3 | ||||||||||||||||
2,355,200 | S | Wells Fargo & Co. | 66,086,912 | 1.6 | |||||||||||||||
3,719,500 | Other Securities | 62,404,024 | 1.5 | ||||||||||||||||
472,991,220 | 11.4 | ||||||||||||||||||
Health Care: 8.5% | |||||||||||||||||||
455,100 | @, S | Covidien PLC | 24,224,973 | 0.6 | |||||||||||||||
6,855,737 | S | Pfizer, Inc. | 141,228,182 | 3.4 | |||||||||||||||
2,393,800 | @ | Thermo Fisher Scientific, Inc. | 154,136,782 | 3.7 | |||||||||||||||
446,904 | Other Securities | 32,640,834 | 0.8 | ||||||||||||||||
352,230,771 | 8.5 | ||||||||||||||||||
Industrials: 9.9% | |||||||||||||||||||
689,901 | @ | Cooper Industries PLC | 41,166,393 | 1.0 | |||||||||||||||
2,713,862 | Danaher Corp. | 143,807,547 | 3.5 | ||||||||||||||||
532,500 | Emerson Electric Co. | 29,953,125 | 0.7 | ||||||||||||||||
688,900 | Illinois Tool Works, Inc. | 38,915,961 | 0.9 | ||||||||||||||||
2,025,100 | Mitsubishi Corp. | 50,582,664 | 1.2 | ||||||||||||||||
1,192,401 | United Technologies Corp. | 105,539,413 | 2.6 | ||||||||||||||||
409,965,103 | 9.9 | ||||||||||||||||||
Information Technology: 11.5% | |||||||||||||||||||
588,100 | Accenture PLC | 35,533,002 | 0.9 | ||||||||||||||||
93,200 | @ | Apple, Inc. | 31,284,444 | 0.7 | |||||||||||||||
3,706,300 | Cisco Systems, Inc. | 57,855,343 | 1.4 | ||||||||||||||||
78,700 | @ | Google, Inc. — Class A | 39,852,106 | 1.0 | |||||||||||||||
1,215,663 | Hewlett-Packard Co. | 44,250,133 | 1.1 | ||||||||||||||||
433,100 | International Business Machines Corp. | 74,298,305 | 1.8 | ||||||||||||||||
1,389,200 | Microsoft Corp. | 36,119,200 | 0.9 | ||||||||||||||||
2,184,708 | @ | TE Connectivity Ltd. | 80,309,866 | 1.9 | |||||||||||||||
1,063,800 | Texas Instruments, Inc. | 34,924,554 | 0.8 | ||||||||||||||||
943,057 | Other Securities | 41,907,594 | 1.0 | ||||||||||||||||
476,334,547 | 11.5 | ||||||||||||||||||
Materials: 1.4% | |||||||||||||||||||
606,506 | Air Products & Chemicals, Inc. | 57,969,844 | 1.4 | ||||||||||||||||
Telecommunication Services: 1.7% | |||||||||||||||||||
2,327,100 | S | AT&T, Inc. | 73,094,211 | 1.7 |
CAPITAL APPRECIATION PORTFOLIO
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: (continued) | |||||||||||||||||||
Utilities: 0.3% | |||||||||||||||||||
267,000 | Other Securities | $ 11,095,476 | 0.3 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $2,613,312,431) | 3,035,379,019 | 73.2 | |||||||||||||||||
PREFERRED STOCK: 1.7% | |||||||||||||||||||
Consumer Discretionary: 0.8% | |||||||||||||||||||
354,700 | General Motors Co. | 17,288,078 | 0.4 | ||||||||||||||||
333,900 | Other Securities | 15,776,775 | 0.4 | ||||||||||||||||
33,064,853 | 0.8 | ||||||||||||||||||
Consumer Staples: 0.1% | |||||||||||||||||||
42 | # | HJ Heinz Finance Co. | 4,559,625 | 0.1 | |||||||||||||||
Financials: 0.6% | |||||||||||||||||||
382,564 | Other Securities | 21,924,100 | 0.6 | ||||||||||||||||
Utilities: 0.2% | |||||||||||||||||||
157,300 | Other Securities | 8,637,343 | 0.2 | ||||||||||||||||
Total Preferred Stock | |||||||||||||||||||
(Cost $80,318,036) | 68,185,921 | 1.7 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 16.6% | |||||||||||||||||||
Consumer Discretionary: 8.2% | |||||||||||||||||||
2,250,000 | # | Continental Airlines, Inc., 6.750%, 09/15/15 | 2,272,500 | 0.1 | |||||||||||||||
47,255,131 | Dunkin Brands, Inc. — TL B, 4.250%, 11/23/17 | 47,247,759 | 1.1 | ||||||||||||||||
17,461,086 | Federal Mogul Corp., 2.128%, 12/27/15 | 16,563,079 | 0.4 | ||||||||||||||||
27,425,566 | Federal Mogul Corp., 2.128%, 12/28/15 | 26,015,097 | 0.6 | ||||||||||||||||
21,924,000 | + | Group 1 Automotive, Inc., 2.250%, 06/15/36 | 22,335,075 | 0.5 | |||||||||||||||
4,965,000 | # | Group 1 Automotive, Inc., 3.000%, 03/15/20 | 6,212,456 | 0.2 | |||||||||||||||
32,250,000 | Intelsat Jackson Holdings Ltd., 5.250%, 04/03/18 | 32,397,802 | 0.8 | ||||||||||||||||
2,700,000 | # | Pernod-Ricard SA, 5.750%, 04/07/21 | 2,832,454 | 0.1 | |||||||||||||||
2,375,000 | # | Sirius XM Radio, Inc., 9.750%, 09/01/15 | 2,624,375 | 0.1 | |||||||||||||||
825,000 | # | Univision Communications, Inc., 7.875%, 11/01/20 | 849,750 | 0.0 | |||||||||||||||
174,374,373 | Other Securities | 179,234,348 | 4.3 | ||||||||||||||||
338,584,695 | 8.2 | ||||||||||||||||||
Consumer Staples: 0.1% | |||||||||||||||||||
3,000,000 | Other Securities | 3,202,500 | 0.1 | ||||||||||||||||
Energy: 1.2% | |||||||||||||||||||
40,739,000 | Other Securities | 52,403,507 | 1.2 | ||||||||||||||||
Financials: 1.5% | |||||||||||||||||||
15,463,000 | # | Host Hotels & Resorts L.P., 2.625%, 04/15/27 | 15,540,315 | 0.4 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
3,975,000 | # | International Lease Finance Corp., 7.125%, 09/01/18 | $ | 4,273,125 | 0.1 | ||||||||||||||
12,225,000 | # | International Lease Finance Corp., 6.500%, 09/01/14 | 13,019,625 | 0.3 | |||||||||||||||
2,875,000 | # | International Lease Finance Corp., 6.750%, 09/01/16 | 3,076,250 | 0.1 | |||||||||||||||
27,024,141 | Other Securities | 27,515,710 | 0.6 | ||||||||||||||||
63,425,025 | 1.5 | ||||||||||||||||||
Health Care: 0.9% | |||||||||||||||||||
37,042,756 | Other Securities | 37,085,948 | 0.9 | ||||||||||||||||
Industrials: 0.6% | |||||||||||||||||||
3,150,000 | # | Calpine Corp., 7.500%, 02/15/21 | 3,228,750 | 0.1 | |||||||||||||||
21,275,503 | Other Securities | 22,844,932 | 0.5 | ||||||||||||||||
26,073,682 | 0.6 | ||||||||||||||||||
Information Technology: 1.6% | |||||||||||||||||||
10,460,000 | # | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 | 11,375,250 | 0.3 | |||||||||||||||
4,350,000 | #, L | First Data Corp., 7.375%, 06/15/19 | 4,404,375 | 0.1 | |||||||||||||||
16,253,482 | First Data Corp., 2.936%, 09/24/14 | 15,085,263 | 0.4 | ||||||||||||||||
15,842,735 | First Data Corp., 2.936%, 09/24/14 | 14,704,039 | 0.3 | ||||||||||||||||
18,817,125 | Other Securities | 21,751,512 | 0.5 | ||||||||||||||||
67,320,439 | 1.6 | ||||||||||||||||||
Materials: 1.1% | |||||||||||||||||||
2,300,000 | # | Georgia-Pacific Corp., 8.250%, 05/01/16 | 2,608,301 | 0.0 | |||||||||||||||
28,879,180 | Georgia-Pacific Corp., 2.307%–3.496%, 12/20/12–12/23/14 | 28,910,785 | 0.7 | ||||||||||||||||
11,028,500 | Other Securities | 15,436,605 | 0.4 | ||||||||||||||||
46,955,691 | 1.1 | ||||||||||||||||||
Telecommunication Services: 1.1% | |||||||||||||||||||
43,082,633 | Other Securities | 44,537,344 | 1.1 | ||||||||||||||||
Utilities: 0.3% | |||||||||||||||||||
7,875,000 | # | Calpine Construction Finance Co. L.P., 8.000%, 06/01/16 | 8,544,375 | 0.2 | |||||||||||||||
2,440,000 | Other Securities | 2,720,600 | 0.1 | ||||||||||||||||
11,264,975 | 0.3 | ||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||
(Cost $638,076,553) | 690,853,806 | 16.6 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $3,331,707,020) | 3,794,418,746 | 91.5 |
CAPITAL APPRECIATION PORTFOLIO
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 8.6% | |||||||||||||||||||
Securities Lending Collateralcc: 0.1% | |||||||||||||||||||
644,128 | BNY Mellon Overnight Government Fund(1) | $ | 644,128 | 0.0 | |||||||||||||||
2,552,122 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 2,041,698 | 0.1 | |||||||||||||||
Total Securities Lending Collateral | |||||||||||||||||||
(Cost $3,196,250) | 2,685,826 | 0.1 | |||||||||||||||||
Mutual Funds: 8.5% | |||||||||||||||||||
352,626,358 | T. Rowe Price Reserve Investment Fund | ||||||||||||||||||
(Cost $352,626,358) | 352,626,358 | 8.5 | |||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $355,822,608) | 355,312,184 | 8.6 | |||||||||||||||||
Total Investments in Securities (Cost $3,687,529,628)* | $ | 4,149,730,930 | 100.1 | ||||||||||||||||
Liabilities in Excess of Other Assets | (4,529,734 | ) | (0.1 | ) | |||||||||||||||
Net Assets | $ | 4,145,201,196 | 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. |
@ | Non-income producing security |
+ | Step-up basis bonds. Interest rates shown reflect current and next coupon rates. |
cc | Securities purchased with cash collateral for securities loaned. |
S | All or a portion of this security has been identified by the Fund to cover future collateral requirements for applicable futures, options, swaps, foreign currency contracts and/or when-issued or delayed-delivery securities. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $3,709,693,184. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 500,828,138 | ||||
Gross Unrealized Depreciation | (60,790,392 | ) | ||||
Net Unrealized appreciation | $ | 440,037,746 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 376,509,431 | $ | — | $ | — | $ | 376,509,431 | ||||||||||
Consumer Staples | 450,191,443 | — | — | 450,191,443 | ||||||||||||||
Energy | 354,996,973 | — | — | 354,996,973 | ||||||||||||||
Financials | 438,579,758 | 34,411,462 | — | 472,991,220 | ||||||||||||||
Health Care | 352,230,771 | — | — | 352,230,771 | ||||||||||||||
Industrials | 359,382,439 | 50,582,664 | — | 409,965,103 | ||||||||||||||
Information Technology | 476,334,547 | — | — | 476,334,547 | ||||||||||||||
Materials | 57,969,844 | — | — | 57,969,844 | ||||||||||||||
Telecommunication Services | 73,094,211 | — | — | 73,094,211 | ||||||||||||||
Utilities | 11,095,476 | — | — | 11,095,476 | ||||||||||||||
Total Common Stock | 2,950,384,893 | 84,994,126 | — | 3,035,379,019 | ||||||||||||||
Preferred Stock | 2,544,000 | 65,641,921 | — | 68,185,921 | ||||||||||||||
Corporate Bonds/Notes | — | 690,853,806 | — | 690,853,806 | ||||||||||||||
Short-Term Investments | 353,270,486 | — | 2,041,698 | 355,312,184 | ||||||||||||||
Total Investments, at value | $ | 3,306,199,379 | $ | 841,489,853 | $ | 2,041,698 | $ | 4,149,730,930 |
CAPITAL APPRECIATION PORTFOLIO
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Written Options | $ | (10,626,187 | ) | $ | — | $ | — | $ | (10,626,187 | ) | ||||||||
Total Liabilities | $ | (10,626,187 | ) | $ | — | $ | — | $ | (10,626,187 | ) |
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 2,041,698 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,041,698 | ||||||||||||||||||||
Total Investments, at value | $ | 2,041,698 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,041,698 |
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 Summary Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts 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 significant portion of the Portfolio’s investments are categorized as Level 2 investments. |
Description/Name of Issuer | Exercise Price | Expiration Date | # of Contracts | Premiums Received | Value | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AT&T Corp. | 30.00 | 01/21/12 | 23,271 | $ | 2,654,933 | $ | (4,561,116 | ) | ||||||||||||||
Covidien Ltd. | 60.00 | 10/22/11 | 1,940 | 253,941 | (67,900 | ) | ||||||||||||||||
Covidien Ltd. | 60.00 | 01/21/12 | 1,898 | 250,588 | (214,474 | ) | ||||||||||||||||
International Business Machines Corp. | 180.00 | 01/21/12 | 1,899 | 1,112,894 | (1,015,965 | ) | ||||||||||||||||
JP Morgan Chase & Co. | 50.00 | 01/21/12 | 8,312 | 2,191,870 | (365,728 | ) | ||||||||||||||||
Lowe’s Cos., Inc. | 30.00 | 01/21/12 | 2,976 | 226,291 | (31,248 | ) | ||||||||||||||||
Pfizer, Inc. | 22.50 | 01/21/12 | 29,251 | 1,945,532 | (1,433,299 | ) | ||||||||||||||||
Procter & Gamble Co. | 65.00 | 01/21/12 | 998 | 232,531 | (179,640 | ) | ||||||||||||||||
Procter & Gamble Co. | 67.50 | 01/21/12 | 3,299 | 475,080 | (316,704 | ) | ||||||||||||||||
Procter & Gamble Co. | 70.00 | 01/21/12 | 10,523 | 1,944,467 | (484,058 | ) | ||||||||||||||||
United Technologies Corp. | 90.00 | 01/21/12 | 3,291 | 1,224,449 | (1,464,495 | ) | ||||||||||||||||
United Technologies Corp. | 97.50 | 01/21/12 | 1,193 | 200,623 | (200,424 | ) | ||||||||||||||||
Wells Fargo & Co. | 35.00 | 01/21/12 | 9,098 | 1,732,994 | (291,136 | ) | ||||||||||||||||
$ | 14,446,193 | $ | (10,626,187 | ) |
CAPITAL APPRECIATION PORTFOLIO
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Liability Derivatives | ||||||||||
Equity contracts | Written options, at fair value | $ | 10,626,187 | |||||||
Total Liability Derivatives | $ | 10,626,187 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Written Options | |||||
Equity contracts | $ | (11,486,694 | ) | |||
Total | $ | (11,486,694 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Written Options | |||||
Equity contracts | $ | 6,651,201 | ||||
Total | $ | 6,651,201 |
EQUITY INCOME PORTFOLIO
as of June 30, 2011
(as a percentage of net assets)
Financials | 19.2 | % | ||||
Consumer Discretionary | 14.2 | % | ||||
Energy | 13.3 | % | ||||
Industrials | 11.9 | % | ||||
Utilities | 7.8 | % | ||||
Consumer Staples | 7.5 | % | ||||
Information Technology | 7.0 | % | ||||
Materials | 5.7 | % | ||||
Health Care | 5.5 | % | ||||
Telecommunication Services | 4.2 | % | ||||
Other Assets and Liabilities — Net* | 3.7 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 95.5% | |||||||||||||||||||
Consumer Discretionary: 13.4% | |||||||||||||||||||
321,000 | Fortune Brands, Inc. | $ 20,470,170 | 1.3 | ||||||||||||||||
134,000 | General Motors Co. | 4,068,240 | 0.3 | ||||||||||||||||
604,500 | Home Depot, Inc. | 21,894,990 | 1.4 | ||||||||||||||||
508,400 | Mattel, Inc. | 13,975,916 | 0.9 | ||||||||||||||||
397,900 | McGraw-Hill Cos., Inc. | 16,675,989 | 1.0 | ||||||||||||||||
604,266 | Time Warner, Inc. | 21,977,154 | 1.4 | ||||||||||||||||
443,600 | Walt Disney Co. | 17,318,144 | 1.1 | ||||||||||||||||
197,900 | Whirlpool Corp. | 16,093,228 | 1.0 | ||||||||||||||||
3,430,119 | Other Securities | 80,262,512 | 5.0 | ||||||||||||||||
212,736,343 | 13.4 | ||||||||||||||||||
Consumer Staples: 7.5% | |||||||||||||||||||
578,000 | Avon Products, Inc. | 16,184,000 | 1.0 | ||||||||||||||||
248,000 | Clorox Co. | 16,725,120 | 1.0 | ||||||||||||||||
292,000 | Hershey Co. | 16,600,200 | 1.0 | ||||||||||||||||
252,900 | Kimberly-Clark Corp. | 16,833,024 | 1.1 | ||||||||||||||||
228,700 | PepsiCo, Inc. | 16,107,341 | 1.0 | ||||||||||||||||
1,117,900 | Other Securities | 37,493,977 | 2.4 | ||||||||||||||||
119,943,662 | 7.5 | ||||||||||||||||||
Energy: 13.3% | |||||||||||||||||||
229,200 | Anadarko Petroleum Corp. | 17,593,392 | 1.1 | ||||||||||||||||
418,490 | Chevron Corp. | 43,037,512 | 2.7 | ||||||||||||||||
432,624 | ExxonMobil Corp. | 35,206,941 | 2.2 | ||||||||||||||||
299,900 | Murphy Oil Corp. | 19,691,434 | 1.2 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
415,100 | Royal Dutch Shell PLC ADR — Class A | $ 29,526,063 | 1.9 | ||||||||||||||||
221,700 | Schlumberger Ltd. | 19,154,880 | 1.2 | ||||||||||||||||
970,674 | Other Securities | 46,719,491 | 3.0 | ||||||||||||||||
210,929,713 | 13.3 | ||||||||||||||||||
Financials: 19.2% | |||||||||||||||||||
490,100 | Allstate Corp. | 14,962,753 | 0.9 | ||||||||||||||||
637,200 | American Express Co. | 32,943,240 | 2.1 | ||||||||||||||||
1,779,819 | Bank of America Corp. | 19,506,816 | 1.2 | ||||||||||||||||
987,744 | JPMorgan Chase & Co. | 40,438,239 | 2.6 | ||||||||||||||||
409,000 | Legg Mason, Inc. | 13,398,840 | 0.8 | ||||||||||||||||
549,200 | Marsh & McLennan Cos., Inc. | 17,129,548 | 1.1 | ||||||||||||||||
486,200 | SunTrust Bank | 12,543,960 | 0.8 | ||||||||||||||||
831,700 | US Bancorp. | 21,216,667 | 1.3 | ||||||||||||||||
873,300 | Wells Fargo & Co. | 24,504,798 | 1.5 | ||||||||||||||||
4,624,228 | Other Securities | 108,776,741 | 6.9 | ||||||||||||||||
305,421,602 | 19.2 | ||||||||||||||||||
Health Care: 5.5% | |||||||||||||||||||
422,600 | Bristol-Myers Squibb Co. | 12,238,496 | 0.8 | ||||||||||||||||
327,800 | Johnson & Johnson | 21,805,256 | 1.4 | ||||||||||||||||
472,700 | Merck & Co., Inc. | 16,681,583 | 1.0 | ||||||||||||||||
860,076 | Pfizer, Inc. | 17,717,566 | 1.1 | ||||||||||||||||
387,924 | Other Securities | 18,679,066 | 1.2 | ||||||||||||||||
87,121,967 | 5.5 | ||||||||||||||||||
Industrials: 11.9% | |||||||||||||||||||
261,600 | 3M Co. | 24,812,760 | 1.6 | ||||||||||||||||
192,900 | Boeing Co. | 14,261,097 | 0.9 | ||||||||||||||||
2,085,100 | General Electric Co. | 39,324,986 | 2.5 | ||||||||||||||||
318,200 | Honeywell International, Inc. | 18,961,538 | 1.2 | ||||||||||||||||
352,400 | Illinois Tool Works, Inc. | 19,907,076 | 1.2 | ||||||||||||||||
218,500 | United Parcel Service, Inc. — Class B | 15,935,205 | 1.0 | ||||||||||||||||
1,619,600 | Other Securities | 55,771,518 | 3.5 | ||||||||||||||||
188,974,180 | 11.9 | ||||||||||||||||||
Information Technology: 7.0% | |||||||||||||||||||
403,300 | Computer Sciences Corp. | 15,309,268 | 1.0 | ||||||||||||||||
360,400 | Harris Corp. | 16,239,624 | 1.0 | ||||||||||||||||
498,300 | Hewlett-Packard Co. | 18,138,120 | 1.1 | ||||||||||||||||
766,200 | Microsoft Corp. | 19,921,200 | 1.3 | ||||||||||||||||
2,050,200 | Other Securities | 41,022,282 | 2.6 | ||||||||||||||||
110,630,494 | 7.0 | ||||||||||||||||||
Materials: 5.7% | |||||||||||||||||||
626,093 | International Paper Co. | 18,670,093 | 1.2 | ||||||||||||||||
235,700 | Monsanto Co. | 17,097,678 | 1.1 | ||||||||||||||||
357,300 | Nucor Corp. | 14,727,906 | 0.9 | ||||||||||||||||
911,800 | Other Securities | 40,387,754 | 2.5 | ||||||||||||||||
90,883,431 | 5.7 |
EQUITY INCOME PORTFOLIO
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: (continued) | |||||||||||||||||||
Telecommunication Services: 4.2% | |||||||||||||||||||
932,203 | AT&T, Inc. | $ | 29,280,496 | 1.8 | |||||||||||||||
360,750 | Verizon Communications, Inc. | 13,430,723 | 0.9 | ||||||||||||||||
2,841,128 | Other Securities | 23,638,754 | 1.5 | ||||||||||||||||
66,349,973 | 4.2 | ||||||||||||||||||
Utilities: 7.8% | |||||||||||||||||||
416,300 | Constellation Energy Group, Inc. | 15,802,748 | 1.0 | ||||||||||||||||
254,600 | Entergy Corp. | 17,384,088 | 1.1 | ||||||||||||||||
418,400 | Exelon Corp. | 17,924,256 | 1.1 | ||||||||||||||||
735,800 | NiSource, Inc. | 14,899,950 | 0.9 | ||||||||||||||||
2,014,700 | Other Securities | 58,074,070 | 3.7 | ||||||||||||||||
124,085,112 | 7.8 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $1,335,132,563) | 1,517,076,477 | 95.5 | |||||||||||||||||
PREFERRED STOCK: 0.8% | |||||||||||||||||||
Consumer Discretionary: 0.8% | |||||||||||||||||||
249,450 | General Motors Co. | 12,158,193 | 0.8 | ||||||||||||||||
Total Preferred Stock | |||||||||||||||||||
(Cost $12,600,169) | 12,158,193 | 0.8 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $1,347,732,732) | 1,529,234,670 | 96.3 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 4.2% | |||||||||||||||||||
Securities Lending Collateralcc: 2.2% | |||||||||||||||||||
33,462,374 | BNY Mellon Overnight Government Fund(1) | 33,462,374 | 2.1 | ||||||||||||||||
2,449,536 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,959,629 | 0.1 | |||||||||||||||
Total Securities Lending Collateral | |||||||||||||||||||
(Cost $35,911,910) | 35,422,003 | 2.2 | |||||||||||||||||
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Mutual Funds: 2.0% | |||||||||||||||||||
31,388,804 | T. Rowe Price Reserve Investment Fund | ||||||||||||||||||
(Cost $31,388,804) | $ | 31,388,804 | 2.0 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $67,300,714) | 66,810,807 | 4.2 | |||||||||||||||||
Total Investments in Securities (Cost $1,415,033,446)* | $ | 1,596,045,477 | 100.5 | ||||||||||||||||
Liabilities in Excess of Other Assets | (7,329,108 | ) | (0.5 | ) | |||||||||||||||
Net Assets | $ | 1,588,716,369 | 100.0 |
ADR | American Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $1,432,215,569. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 270,302,252 | ||||
Gross Unrealized Depreciation | (106,472,344 | ) | ||||
Net Unrealized appreciation | $ | 163,829,908 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 207,557,070 | $ | 5,179,273 | $ | — | $ | 212,736,343 | ||||||||||
Consumer Staples | 119,943,662 | — | — | 119,943,662 | ||||||||||||||
Energy | 210,929,713 | — | — | 210,929,713 | ||||||||||||||
Financials | 305,421,602 | — | — | 305,421,602 | ||||||||||||||
Health Care | 87,121,967 | — | — | 87,121,967 | ||||||||||||||
Industrials | 188,974,180 | — | — | 188,974,180 | ||||||||||||||
Information Technology | 110,630,494 | — | — | 110,630,494 | ||||||||||||||
Materials | 90,883,431 | — | — | 90,883,431 |
EQUITY INCOME PORTFOLIO
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Telecommunication Services | $ | 53,595,379 | $ | 12,754,594 | $ | — | $ | 66,349,973 | ||||||||||
Utilities | 124,085,112 | — | — | 124,085,112 | ||||||||||||||
Total Common Stock | 1,499,142,610 | 17,933,867 | — | 1,517,076,477 | ||||||||||||||
Preferred Stock | — | 12,158,193 | — | 12,158,193 | ||||||||||||||
Short-Term Investments | 64,851,178 | — | 1,959,629 | 66,810,807 | ||||||||||||||
Total Investments, at value | $ | 1,563,993,788 | $ | 30,092,060 | $ | 1,959,629 | $ | 1,596,045,477 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Short Positions | $ | (2,948,936 | ) | $ | — | $ | — | $ | (2,948,936 | ) | ||||||||
Total Liabilities | $ | (2,948,936 | ) | $ | — | $ | — | $ | (2,948,936 | ) |
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 1,746,652 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 212,977 | $ | — | $ | 1,959,629 | ||||||||||||||||||||
Total Investments, at value | $ | 1,746,652 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 212,977 | $ | — | $ | 1,959,629 |
Shares | Description | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
(83,150) | AMC Networks Inc. | $ | (2,948,936 | ) | ||||||
(Proceeds $2,948,936) | $ | (2,948,936 | ) |
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, futures, swaps, and written options. Forward foreign currency contracts 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 significant portion of the Portfolio’s investments are categorized as Level 2 investments. |
INTERNATIONAL STOCK PORTFOLIO
as of June 30, 2011
(as a percentage of net assets)
United Kingdom | 17.0 | % | ||||
Japan | 11.5 | % | ||||
France | 8.3 | % | ||||
Brazil | 8.2 | % | ||||
China | 8.1 | % | ||||
Switzerland | 7.9 | % | ||||
Germany | 5.3 | % | ||||
Canada | 3.6 | % | ||||
United States | 3.0 | % | ||||
Hong Kong | 2.8 | % | ||||
Countries between 0.3%–2.5%ˆ | 22.9 | % | ||||
Other Assets and Liabilities — Net* | 1.4 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
ˆ | Includes 18 countries, which each represents 0.3%–2.5% of net assets. |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 98.6% | |||||||||||||||||||
Australia: 0.9% | |||||||||||||||||||
81,332 | WorleyParsons Ltd. | $ | 2,476,315 | 0.9 | |||||||||||||||
Belgium: 1.2% | |||||||||||||||||||
55,388 | Anheuser-Busch InBev NV | 3,214,594 | 1.2 | ||||||||||||||||
Brazil: 8.2% | |||||||||||||||||||
320,500 | L | Banco Santander Brasil SA ADR | 3,753,055 | 1.4 | |||||||||||||||
244,200 | Itau Unibanco Holding S.A. | 5,662,768 | 2.1 | ||||||||||||||||
66,800 | Lojas Renner SA | 2,547,187 | 1.0 | ||||||||||||||||
478,800 | PDG Realty SA Empreendimentos e Participacoes | 2,696,730 | 1.0 | ||||||||||||||||
101,000 | Petroleo Brasileiro SA ADR | 3,098,680 | 1.2 | ||||||||||||||||
96,000 | Vale S.A. ADR | 2,780,160 | 1.0 | ||||||||||||||||
214,000 | Other Securities | 1,415,103 | 0.5 | ||||||||||||||||
21,953,683 | 8.2 | ||||||||||||||||||
Canada: 3.6% | |||||||||||||||||||
51,400 | Potash Corp. of Saskatchewan | 2,929,286 | 1.1 | ||||||||||||||||
67,200 | Suncor Energy, Inc. | 2,627,520 | 1.0 | ||||||||||||||||
93,500 | Other Securities | 4,201,244 | 1.5 | ||||||||||||||||
9,758,050 | 3.6 | ||||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
China: 8.1% | |||||||||||||||||||
20,200 | Baidu.com ADR | $ | 2,830,626 | 1.1 | |||||||||||||||
1,835,000 | Parkson Retail Group Ltd. | 2,692,871 | 1.0 | ||||||||||||||||
8,880,500 | Other Securities | 16,168,863 | 6.0 | ||||||||||||||||
21,692,360 | 8.1 | ||||||||||||||||||
Denmark: 2.0% | |||||||||||||||||||
24,887 | Carlsberg A/S | 2,709,768 | 1.0 | ||||||||||||||||
20,662 | Novo-Nordisk A/S | 2,588,522 | 1.0 | ||||||||||||||||
5,298,290 | 2.0 | ||||||||||||||||||
France: 8.3% | |||||||||||||||||||
60,800 | Accor S.A. | 2,720,058 | 1.0 | ||||||||||||||||
22,187 | Air Liquide | 3,178,577 | 1.2 | ||||||||||||||||
210,093 | AXA S.A. | 4,769,173 | 1.8 | ||||||||||||||||
37,792 | Groupe Danone | 2,821,308 | 1.1 | ||||||||||||||||
33,662 | Pernod-Ricard S.A. | 3,319,968 | 1.2 | ||||||||||||||||
19,588 | Schneider Electric S.A. | 3,270,663 | 1.2 | ||||||||||||||||
35,878 | Other Securities | 2,124,925 | 0.8 | ||||||||||||||||
22,204,672 | 8.3 | ||||||||||||||||||
Germany: 5.3% | |||||||||||||||||||
25,841 | Brenntag AG | 3,005,553 | 1.1 | ||||||||||||||||
31,420 | Fresenius AG | 3,279,659 | 1.2 | ||||||||||||||||
43,997 | Henkel KGaA — Vorzug | 3,059,488 | 1.2 | ||||||||||||||||
15,046 | Linde AG | 2,639,781 | 1.0 | ||||||||||||||||
29,611 | Other Securities | 2,248,362 | 0.8 | ||||||||||||||||
14,232,843 | 5.3 | ||||||||||||||||||
Hong Kong: 2.8% | |||||||||||||||||||
741,400 | AIA Group Ltd. | 2,580,834 | 0.9 | ||||||||||||||||
549,000 | Kerry Properties Ltd. | 2,653,567 | 1.0 | ||||||||||||||||
722,500 | Other Securities | 2,407,452 | 0.9 | ||||||||||||||||
7,641,853 | 2.8 | ||||||||||||||||||
India: 2.1% | |||||||||||||||||||
50,556 | # | Reliance Industries Ltd. GDR | 2,030,857 | 0.8 | |||||||||||||||
78,487 | Other Securities | 3,476,716 | 1.3 | ||||||||||||||||
5,507,573 | 2.1 | ||||||||||||||||||
Indonesia: 0.9% | |||||||||||||||||||
2,452,500 | Other Securities | 2,452,113 | 0.9 | ||||||||||||||||
Ireland: 1.0% | |||||||||||||||||||
45,300 | Accenture PLC | 2,737,026 | 1.0 | ||||||||||||||||
Israel: 0.5% | |||||||||||||||||||
29,400 | Other Securities | 1,417,668 | 0.5 | ||||||||||||||||
Italy: 0.6% | |||||||||||||||||||
244,600 | Other Securities | 1,475,766 | 0.6 | ||||||||||||||||
Japan: 11.5% | |||||||||||||||||||
90,700 | Honda Motor Co., Ltd. | 3,494,393 | 1.3 | ||||||||||||||||
3,049 | Jupiter Telecommunications Co. | 3,411,145 | 1.3 |
INTERNATIONAL STOCK PORTFOLIO
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: (continued) | |||||||||||||||||||
Japan: (continued) | |||||||||||||||||||
117,000 | Mitsubishi Corp. | $ | 2,922,410 | 1.1 | |||||||||||||||
178,700 | Mitsui & Co., Ltd. | 3,089,745 | 1.2 | ||||||||||||||||
149,300 | Sony Financial Holdings, Inc. | 2,699,284 | 1.0 | ||||||||||||||||
50,200 | Tokyo Electron Ltd. | 2,745,080 | 1.0 | ||||||||||||||||
420,050 | Other Securities | 12,438,145 | 4.6 | ||||||||||||||||
30,800,202 | 11.5 | ||||||||||||||||||
Mexico: 1.6% | |||||||||||||||||||
441,000 | Other Securities | 4,351,573 | 1.6 | ||||||||||||||||
Netherlands: 2.5% | |||||||||||||||||||
143,595 | Royal Dutch Shell PLC — Class B | 5,124,343 | 1.9 | ||||||||||||||||
41,271 | Other Securities | 1,522,280 | 0.6 | ||||||||||||||||
6,646,623 | 2.5 | ||||||||||||||||||
Portugal: 1.2% | |||||||||||||||||||
164,771 | Jeronimo Martins | 3,164,556 | 1.2 | ||||||||||||||||
Russia: 0.5% | |||||||||||||||||||
44,623 | Other Securities | 1,402,298 | 0.5 | ||||||||||||||||
South Korea: 2.3% | |||||||||||||||||||
4,926 | Samsung Electronics Co., Ltd. | 3,828,632 | 1.4 | ||||||||||||||||
12,768 | Other Securities | 2,405,158 | 0.9 | ||||||||||||||||
6,233,790 | 2.3 | ||||||||||||||||||
Spain: 2.5% | |||||||||||||||||||
245,681 | Banco Santander Central Hispano S.A. | 2,830,296 | 1.1 | ||||||||||||||||
125,526 | Telefonica S.A. | 3,065,832 | 1.1 | ||||||||||||||||
10,176 | Other Securities | 927,179 | 0.3 | ||||||||||||||||
6,823,307 | 2.5 | ||||||||||||||||||
Sweden: 1.5% | |||||||||||||||||||
150,098 | Other Securities | 3,989,773 | 1.5 | ||||||||||||||||
Switzerland: 7.9% | |||||||||||||||||||
58,894 | Compagnie Financiere Richemont S.A. | 3,859,503 | 1.4 | ||||||||||||||||
108,793 | Credit Suisse Group | 4,239,906 | 1.6 | ||||||||||||||||
20,516 | Kuehne & Nagel International AG | 3,116,893 | 1.2 | ||||||||||||||||
49,696 | Nestle S.A. | 3,092,510 | 1.1 | ||||||||||||||||
138,657 | Other Securities | 7,036,335 | 2.6 | ||||||||||||||||
21,345,147 | 7.9 | ||||||||||||||||||
Taiwan: 0.8% | |||||||||||||||||||
862,000 | Other Securities | 2,095,754 | 0.8 | ||||||||||||||||
Turkey: 0.3% | |||||||||||||||||||
192,403 | Other Securities | 873,087 | 0.3 | ||||||||||||||||
United Arab Emirates: 0.5% | |||||||||||||||||||
105,000 | Other Securities | 1,289,400 | 0.5 | ||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
United Kingdom: 17.0% | |||||||||||||||||||
72,375 | Anglo American PLC | $ | 3,589,375 | 1.3 | |||||||||||||||
128,411 | Antofagasta PLC | 2,873,611 | 1.1 | ||||||||||||||||
391,045 | Compass Group PLC | 3,770,528 | 1.4 | ||||||||||||||||
126,529 | Standard Chartered PLC | 3,323,634 | 1.2 | ||||||||||||||||
712,951 | Tesco PLC | 4,606,378 | 1.7 | ||||||||||||||||
463,982 | WPP PLC | 5,812,721 | 2.2 | ||||||||||||||||
24,437,793 | Other Securities | 21,681,873 | 8.1 | ||||||||||||||||
45,658,120 | 17.0 | ||||||||||||||||||
United States: 3.0% | |||||||||||||||||||
86,000 | Carnival Corp. | 3,236,180 | 1.2 | ||||||||||||||||
34,200 | Schlumberger Ltd. | 2,954,880 | 1.1 | ||||||||||||||||
41,100 | Other Securities | 1,851,144 | 0.7 | ||||||||||||||||
8,042,204 | 3.0 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $256,258,210) | 264,778,640 | 98.6 | |||||||||||||||||
RIGHTS: 0.0% | |||||||||||||||||||
China: 0.0% | |||||||||||||||||||
420,000 | Other Securities | 45,666 | 0.0 | ||||||||||||||||
Total Rights | |||||||||||||||||||
(Cost $—) | 45,666 | 0.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $256,258,210) | 264,824,306 | 98.6 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 5.8% | |||||||||||||||||||
Securities Lending Collateralcc: 5.0% | |||||||||||||||||||
12,738,385 | BNY Mellon Overnight Government Fund(1) | 12,738,385 | 4.7 | ||||||||||||||||
901,350 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 721,080 | 0.3 | |||||||||||||||
Total Securities Lending Collateral | |||||||||||||||||||
(Cost $13,639,735) | 13,459,465 | 5.0 | |||||||||||||||||
Mutual Funds: 0.8% | |||||||||||||||||||
2,229,604 | T. Rowe Price Reserve Investment Fund | ||||||||||||||||||
(Cost $2,229,604) | 2,229,604 | 0.8 | |||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $15,869,339) | 15,689,069 | 5.8 | |||||||||||||||||
Total Investments in Securities (Cost $272,127,549)* | $ | 280,513,375 | 104.4 | ||||||||||||||||
Liabilities in Excess of Other Assets | (11,879,041 | ) | (4.4 | ) | |||||||||||||||
Net Assets | $ | 268,634,334 | 100.0 |
INTERNATIONAL STOCK PORTFOLIO
# | 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. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $272,881,326. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 16,083,655 | ||||
Gross Unrealized Depreciation | (8,451,606 | ) | ||||
Net Unrealized appreciation | $ | 7,632,049 |
Industry | Percentage of Net Assets | |||||
---|---|---|---|---|---|---|
Consumer Discretionary | 19.4 | % | ||||
Consumer Staples | 12.8 | |||||
Energy | 8.8 | |||||
Financials | 19.7 | |||||
Health Care | 3.3 | |||||
Industrials | 14.7 | |||||
Information Technology | 8.4 | |||||
Materials | 8.1 | |||||
Rights | 0.0 | |||||
Telecommunication Services | 3.4 | |||||
Short-Term Investments | 5.8 | |||||
Other Assets and Liabilities — Net | (4.4 | ) | ||||
Net Assets | 100.0 | % |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Australia | $ | — | $ | 2,476,315 | $ | — | $ | 2,476,315 | ||||||||||
Belgium | — | 3,214,594 | — | 3,214,594 | ||||||||||||||
Brazil | 21,953,683 | — | — | 21,953,683 | ||||||||||||||
Canada | 9,758,050 | — | — | 9,758,050 | ||||||||||||||
China | 7,934,536 | 13,757,824 | — | 21,692,360 | ||||||||||||||
Denmark | — | 5,298,290 | — | 5,298,290 | ||||||||||||||
France | — | 22,204,672 | — | 22,204,672 | ||||||||||||||
Germany | — | 14,232,843 | — | 14,232,843 | ||||||||||||||
Hong Kong | — | 7,641,853 | — | 7,641,853 | ||||||||||||||
India | 3,476,716 | 2,030,857 | — | 5,507,573 | ||||||||||||||
Indonesia | 1,189,097 | 1,263,016 | — | 2,452,113 | ||||||||||||||
Ireland | 2,737,026 | — | — | 2,737,026 | ||||||||||||||
Israel | 1,417,668 | — | — | 1,417,668 | ||||||||||||||
Italy | 1,475,766 | — | — | 1,475,766 | ||||||||||||||
Japan | — | 30,800,202 | — | 30,800,202 | ||||||||||||||
Mexico | 2,934,644 | 1,416,929 | — | 4,351,573 | ||||||||||||||
Netherlands | — | 6,646,623 | — | 6,646,623 | ||||||||||||||
Portugal | — | 3,164,556 | — | 3,164,556 | ||||||||||||||
Russia | — | 1,402,298 | — | 1,402,298 | ||||||||||||||
South Korea | 626,794 | 5,606,996 | — | 6,233,790 | ||||||||||||||
Spain | — | 6,823,307 | — | 6,823,307 | ||||||||||||||
Sweden | — | 3,989,773 | — | 3,989,773 | ||||||||||||||
Switzerland | 672,257 | 20,672,890 | — | 21,345,147 | ||||||||||||||
Taiwan | — | 2,095,754 | — | 2,095,754 | ||||||||||||||
Turkey | — | 873,087 | — | 873,087 | ||||||||||||||
United Arab Emirates | 1,289,400 | — | — | 1,289,400 | ||||||||||||||
United Kingdom | — | 45,658,120 | — | 45,658,120 | ||||||||||||||
United States | 8,042,204 | — | — | 8,042,204 | ||||||||||||||
Total Common Stock | 63,507,841 | 201,270,799 | — | 264,778,640 | ||||||||||||||
Rights | — | 45,666 | — | 45,666 | ||||||||||||||
Short-Term Investments | 14,967,989 | — | 721,080 | 15,689,069 | ||||||||||||||
Total Investments, at value | $ | 78,475,830 | $ | 201,316,465 | $ | 721,080 | $ | 280,513,375 |
INTERNATIONAL STOCK PORTFOLIO
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (11 | ) | $ | — | $ | (11 | ) | ||||||||
Total Liabilities | $ | — | $ | (11 | ) | $ | — | $ | (11 | ) |
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 721,080 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 721,080 | ||||||||||||||||||||
Total Investments, at value | $ | 721,080 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 721,080 |
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 Summary Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts 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 significant 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) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
The Bank of New York Mellon Corp. | Hong Kong Sar Dollar | 219,466 | Sell | 07/06/11 | $ | 28,193 | $ | 28,204 | $ | (11 | ) | |||||||||||||||||||
$ | (11 | ) |
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 | $ | 11 | |||||||
Total Liability Derivatives | $ | 11 |
INTERNATIONAL STOCK PORTFOLIO
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 | $ | (59,139 | ) | |||
Total | $ | (59,139 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | |||||
Foreign exchange contracts | $ (11 | ) | ||||
Total | $ (11 | ) |
* | 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. |
investment management business of ING Group, N.V., including Clarion (the “Transaction”). The completion of the Transaction would result in the assignment and automatic termination of the Former Agreement with Clarion.
that the Board approve these agreements, the Board, including the Independent Trustees, recognized the fact that the amount of proceeds to be received by ING Groep in connection with the Transaction would depend, in part, on the amount of assets under management by Clarion immediately following the Transaction. Specifically, the Board recognized that if Clarion was not permitted to serve as the Sub-Adviser of one or more of the Funds after the Transaction, ING Groep would receive fewer proceeds from the Transaction.
among the stable of managers in the ING Funds line-up; (5) the fairness of the compensation under the Interim Agreement and Sub-Advisory Contract in light of the services to be provided by ING IM and the projected profitability of ING IM as the Portfolio’s Sub-Adviser; (6) the costs for the services to be provided by ING IM, including that the management fee would not change after the appointment of ING IM; (7) the sub-advisory fee payable by the Adviser to ING IM and the resulting increase in the profitability of the Adviser arising out of the lower sub-advisory fee payable by the Adviser to ING IM; (8) ING IM’s operations and compliance program, including its policies and procedures intended to assure compliance with the Federal securities laws; (9) the appropriateness of the selection of ING IM in light of the Portfolio’s investment objective and investor base; and (10) ING IM’s Code of Ethics, which had been previously approved by the Board, and related procedures for complying with that Code.
1 | A new sub-advisory agreement between ING Investments, LLC, the investment adviser to the Portfolio, and ING Clarion Real Estate Securities, LLC, the current and proposed sub-adviser to the Portfolio. |
Proposal* | Shares voted for | Shares voted against or withheld | Shares abstained | Broker non-vote | Total Shares Voted | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ING Clarion Global Real Estate Portfolio | 1 | 36,380,853.909 | 1,332,345.444 | 3,064,163.416 | — | 40,777,362.769 |
* Proposal Passed
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
1475 Dunwoody Drive
West Chester, Pennsylvania 19380
ING Investments Distributor 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
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Dechert LLP
1775 I Street, N.W.
Washington, D.C. 20006
VPSAR-UFIIT1AISS2 (0611-082611) |
Table of Contents
Semi-Annual Report
June 30, 2011
Classes ADV, I, S and S2
ING Investors Trust
n | ING BlackRock Large Cap Growth Portfolio |
n | ING Clarion Real Estate Portfolio |
n | ING Franklin Income Portfolio |
n | ING Franklin Mutual Shares Portfolio |
n | ING JPMorgan Small Cap Core Equity Portfolio |
n | ING Large Cap Growth Portfolio |
n | ING Large Cap Value Portfolio (formerly, ING Pioneer Equity Income Portfolio) |
n | ING Limited Maturity Bond Portfolio |
n | ING PIMCO High Yield Portfolio |
n | ING Pioneer Fund Portfolio |
n | ING Templeton Global Growth Portfolio |
n | ING U.S. Stock 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 |
Table of Contents
1 | ||||
2 | ||||
4 | ||||
6 | ||||
12 | ||||
15 | ||||
21 | ||||
30 | ||||
53 | ||||
115 | ||||
118 |
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 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.
Table of Contents
Market Impact of the S&P Downgrade
Dear Shareholder,
After several weeks of partisan wrangling, Washington was finally able to reach an eleventh-hour agreement to raise the debt ceiling. The deal — which increases the debt ceiling by $2.4 trillion in two stages in exchange for a similar level of spending cuts over ten years — will allow the U.S. Treasury to fund itself in the global capital markets until early 2013 (i.e., shortly after the next presidential election). While the deal averted the worst-possible outcome — a U.S. government default — it left many difficult questions unanswered; namely, which programs will bear the brunt of the spending cuts and what to do about the country’s largest fiscal-spending challenges, health care and social security. These concerns, and the fractious debate that led to the debt ceiling increase, prompted Standard & Poor’s to downgrade the United States’ long-term debt, from AAA to AA+, on August 5.
The markets reacted strongly, taking investors on a roller coaster ride as stocks rose and
plunged in the days following the downgrade. Investors already were concerned about evidence of slowing global economic growth; the downgrade refocused attention on the lack of confidence in the developed world and the U.S. in particular. It is possible that the downgrade could lead to higher interest rates over the long term, though we presently see no evidence of this. The Federal Reserve announced on August 9 that it would keep the federal funds target range at 0.00–0.25%, and that economic conditions were likely to warrant exceptionally low levels for the federal funds rate at least through mid-2013. As a result, many forecasters expect any long-term increase in interest rates to be relatively modest.
Nonetheless, we are concerned about the tightening of financial conditions caused by the equity sell-off and its effects on business and consumer confidence. Falling markets can lead to a pull-back by consumers and cause the economy to slow further. How can you protect yourself as an investor Diversify across the globe. Don’t give up on the U.S. — we are still one of the most dynamic players on the world stage — but seek to spread your risks as widely as possible. Ask your financial advisor to help you devise a plan to optimize your portfolio’s diversification.
Thank you for your confidence in ING Funds. It is our privilege to serve your investment needs, and we look forward to continuing to do so in the future.
Sincerely,
Shaun Mathews
President and Chief Executive Officer
ING Funds
August 12, 2011
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 disclaim 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. Consider the fund’s investment objectives, risks, and charges and expenses carefully before investing. The prospectus contains this information and other information about the fund.
International investing poses special risks including currency fluctuation, economic and political risks not found in investments that are solely domestic.
1
Table of Contents
MARKET PERSPECTIVE: SIX MONTHS ENDED JUNE 30, 2011
In our last report we noted that investor sentiment had turned distinctly positive, despite lingering concerns. By early May, investors seemed to have shrugged off these and two additional, unforeseeable crises, pushing global equities in the form of the MSCI World IndexSM measured in local currencies, including net reinvested dividends (“MSCI” for regions discussed below) up by 6%. But then doubts set in and as late as June 24 the index was down for the year, before a dramatic recovery in the last four days led to a return of 2.92% for the six-month period. (The MSCI World IndexSM returned 5.29% for the six-month period, measured in U.S. dollars.)
In the U.S. the year started off well enough, until economic and other news started to deteriorate.
By April 2011, the unemployment rate had improved to 8.8%, the lowest in 24 months, with more than 200,000 new private sector jobs being created monthly. But in May the rise in non-farm payrolls fell to just 54,000 and the unemployment rate rebounded to 9.1%, with 45.1% of those affected unemployed for more than 26 weeks.
Gross Domestic Product (“GDP”) growth, having accelerated to 3.1% (annualized), dropped to 1.9% in the latest quarter. By April 2011, consumer spending had scored ten straight monthly increases, but was losing momentum. In May, growth in spending stalled all together and in real terms was in decline. Purchasing managers’ indices initially signaled the busiest manufacturing and service sectors in five years, but then fell back.
In housing, sales of new and existing homes which had slumped after the expiry in April 2010 of a program of tax credits for home buyers, seemed to be stabilizing at low levels. But by May both were in decline again. The main disappointment however, was the confirmation in May of the “double dip” in housing prices, when the S&P/Case-Shiller 20-City Composite Home Price Index slipped below the trough recorded in April 2009. The index level reported in June was last seen in early 2003 and stood nearly one third below the peak of July 2006.
A slowdown of sorts was also taking place in China. Its economy grew at 10.3% in 2010, displacing Japan as the world’s second largest economy and the U.S. as the world’s biggest manufacturer. But such fast development has brought growth-threatening imbalances, including inflation above 5% and a housing bubble. The Bank of China increased banks’ reserve ratio requirements six times and raised interest rates twice in the first half of 2011, and by the end, the closely watched Chinese purchasing managers’ index was registering near-stagnation.
Arguably the largest single depressant to investors’ risk appetite was renewed anxiety about euro zone sovereign debt. Chronically low-growth Portugal became the third country in a year to request a bail-out. More importantly it became evident that the austerity measures imposed on Greece as a condition of its 2010 bail-out had not reduced its budget deficit sufficiently. Euro zone leaders’ openly bickered about what to do. Finally, in the last few days of June, the Greek parliament approved a new austerity and privatization package and tensions eased.
Other events moved markets - at least for a while. In January, popular revolt erupted in North Africa. By March, Libya, a significant oil producer, was effectively in a civil war, helping to lift the price of oil temporarily above $100 per barrel. The massive earthquake and tsunami that hit Japan on March 11 caused surprisingly extensive disruption of global supplies of
electrical and digital components. Five days later global equities briefly touched their low point of the year.
In U.S. fixed income markets, the Barclays Capital U.S. Aggregate Bond Index of investment grade bonds rose 2.72% for the six-month period, mostly in April and May. Within this, the Barclays Capital U.S. Treasury Index returned 2.22%, underperforming the 3.16% on the Barclays Capital Corporate Investment Grade Bond Index for the six-month period. The Barclays Capital High Yield Bond – 2% Issuer Constrained Composite Index did better still, with a return of 4.98% for the six-month period.
U.S. equities, represented by the S&P 500® Index, including dividends, returned 6.02% for the six-month period, adding just 10 basis points after the best first quarter since 1998. Investors shrugged off the June 30th end of QE2, the program of quantitative easing announced last August, as the Greek debt crisis receded. The operating earnings of S&P 500® companies in the second quarter were on the cusp of beating their all time record of exactly four years earlier and, on that basis at least, valuations looked undemanding.
In currencies, euro zone angst during the six-month period vied with the perceived dollar-negative threat of another energy crisis. The U.S. dollar benefited periodically from safe haven status. But markets ended the quarter in a more sanguine mood and with the European Central Bank now raising interest rates, the U.S. dollar ultimately fell 7.91% against the euro, 3.43% against the pound and even lost 0.69% to the yen for the six-month period.
Internationally, the MSCI Japan® Index lost 5.16% for the six-month period, weighed down by the disruptive aftermath of natural disaster, as the economy re-entered recession. The MSCI Europe ex UK® Index returned 2.13% for the six-month period, boosted by a gain of 4.29% in the last four days. Market returns did not necessarily follow the pattern of the two-tier economy that had developed, with economic statistics favoring more soundly based countries at the expense of the peripherals. As in the U.S., measures of business activity and confidence deteriorated as the quarter ended. The MSCI UK® Index added 2.95% for the six-month period, defying the prospect of severe public spending cuts intended to eliminate an 11% budget deficit, GDP that had not grown from its mid 2010 level and inflation at 4.5%.
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
Table of Contents
BENCHMARK DESCRIPTIONS
Index | Description | |
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/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. | |
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. 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. | |
Barclays Capital Corporate Investment Grade Bond Index | The corporate component of the Barclays Capital U.S. Credit Index. The U.S. Credit Index includes publicly-issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. The index includes both corporate and non-corporate sectors. The corporate sectors are industrial, utility and finance, which includes both U.S. and non-U.S. corporations. | |
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. | |
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. | |
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. | |
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 UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. |
3
Table of Contents
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 January 1, 2011 to June 30, 2011. The Portfolios’ expenses are shown without the imposition of any charges which are, or may be, imposed under your variable annuity contract, variable life insurance policy, qualified pension, or retirement plan. 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) | |||||||||||||||||||||||||||||||
Beginning Account Value January 1, 2011 | Ending Account Value June 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2011* | Beginning Account Value January 1, 2011 | Ending Account Value June 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2011* | |||||||||||||||||||||||||
ING BlackRock Large Cap Growth Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,102.60 | 1.40 | % | $ | 7.30 | $ | 1,000.00 | $ | 1,017.85 | 1.40 | % | $ | 7.00 | ||||||||||||||||
Class I | 1,000.00 | 1,106.10 | 0.80 | 4.18 | 1,000.00 | 1,020.83 | 0.80 | 4.01 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,104.50 | 1.04 | 5.43 | 1,000.00 | 1,019.64 | 1.04 | 5.21 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,103.70 | 1.20 | 6.26 | 1,000.00 | 1,018.84 | 1.20 | 6.01 | ||||||||||||||||||||||||
ING Clarion Real Estate Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,105.50 | 1.20 | % | $ | 6.26 | $ | 1,000.00 | $ | 1,018.84 | 1.20 | % | $ | 6.01 | ||||||||||||||||
Class I | 1,000.00 | 1,108.80 | 0.60 | 3.14 | 1,000.00 | 1,021.82 | 0.60 | 3.01 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,107.70 | 0.85 | 4.44 | 1,000.00 | 1,020.58 | 0.85 | 4.26 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,106.80 | 1.00 | 5.22 | 1,000.00 | 1,019.84 | 1.00 | 5.01 | ||||||||||||||||||||||||
ING Franklin Income Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,055.50 | 1.37 | % | $ | 6.98 | $ | 1,000.00 | $ | 1,018.00 | 1.37 | % | $ | 6.85 | ||||||||||||||||
Class I | 1,000.00 | 1,058.50 | 0.77 | 3.93 | 1,000.00 | 1,020.98 | 0.77 | 3.86 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,057.80 | 1.02 | 5.20 | 1,000.00 | 1,019.74 | 1.02 | 5.11 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,056.90 | 1.17 | 5.97 | 1,000.00 | 1,018.99 | 1.17 | 5.86 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half-year. |
4
Table of Contents
SHAREHOLDER EXPENSE EXAMPLES (UNAUDITED) (CONTINUED)
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||||||
Beginning Account Value January 1, 2011 | Ending Account Value June 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2011* | Beginning Account Value January 1, 2011 | Ending Account Value June 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2011* | |||||||||||||||||||||||||
ING Franklin Mutual Shares Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,057.90 | 1.38 | % | $ | 7.04 | $ | 1,000.00 | $ | 1,017.95 | 1.38 | % | $ | 6.90 | ||||||||||||||||
Class I | 1,000.00 | 1,060.80 | 0.78 | 3.99 | 1,000.00 | 1,020.93 | 0.78 | 3.91 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,059.70 | 1.03 | 5.26 | 1,000.00 | 1,019.69 | 1.03 | 5.16 | ||||||||||||||||||||||||
ING JPMorgan Small Cap Core Equity Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,081.40 | 1.48 | % | $ | 7.64 | $ | 1,000.00 | $ | 1,017.46 | 1.48 | % | $ | 7.40 | ||||||||||||||||
Class I | 1,000.00 | 1,084.70 | 0.88 | 4.55 | 1,000.00 | 1,020.43 | 0.88 | 4.41 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,083.00 | 1.13 | 5.84 | 1,000.00 | 1,019.19 | 1.13 | 5.66 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,082.90 | 1.28 | 6.61 | 1,000.00 | 1,018.45 | 1.28 | 6.41 | ||||||||||||||||||||||||
ING Large Cap Growth Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,071.50 | 1.20 | % | $ | 6.16 | $ | 1,000.00 | $ | 1,018.79 | 1.20 | % | $ | 6.01 | ||||||||||||||||
Class I | 1,000.00 | 1,074.60 | 0.60 | 3.09 | 1,000.00 | 1,021.82 | 0.60 | 3.01 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,073.80 | 0.85 | 4.37 | 1,000.00 | 1,020.58 | 0.85 | 4.26 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,073.10 | 1.00 | 5.19 | 1,000.00 | 1,019.79 | 1.00 | 5.06 | ||||||||||||||||||||||||
ING Large Cap Value Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,041.00 | 1.29 | % | $ | 6.53 | $ | 1,000.00 | $ | 1,018.35 | 1.29 | % | $ | 6.46 | ||||||||||||||||
Class I | 1,000.00 | 1,044.70 | 0.69 | 3.50 | 1,000.00 | 1,021.37 | 0.69 | 3.46 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,043.70 | 0.94 | 4.76 | 1,000.00 | 1,020.13 | 0.94 | 4.71 | ||||||||||||||||||||||||
ING Limited Maturity Bond Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,009.90 | 0.88 | % | $ | 4.39 | $ | 1,000.00 | $ | 1,020.43 | 0.88 | % | $ | 4.41 | ||||||||||||||||
Class I | 1,000.00 | 1,012.60 | 0.28 | 1.40 | 1,000.00 | 1,023.41 | 0.28 | 1.40 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,011.60 | 0.53 | 2.64 | 1,000.00 | 1,022.17 | 0.53 | 2.66 | ||||||||||||||||||||||||
ING PIMCO High Yield Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,039.60 | 1.10 | % | $ | 5.56 | $ | 1,000.00 | $ | 1,019.34 | 1.10 | % | $ | 5.51 | ||||||||||||||||
Class I | 1,000.00 | 1,042.70 | 0.50 | 2.53 | 1,000.00 | 1,022.36 | 0.50 | 2.51 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,040.30 | 0.75 | 3.79 | 1,000.00 | 1,021.08 | 0.75 | 3.76 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,041.20 | 0.90 | 4.55 | 1,000.00 | 1,020.33 | 0.90 | 4.51 | ||||||||||||||||||||||||
ING Pioneer Fund Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,043.20 | 1.33 | % | $ | 6.74 | $ | 1,000.00 | $ | 1,018.20 | 1.33 | % | $ | 6.66 | ||||||||||||||||
Class I | 1,000.00 | 1,045.70 | 0.73 | 3.70 | 1,000.00 | 1,021.17 | 0.73 | 3.66 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,044.80 | 0.98 | 4.97 | 1,000.00 | 1,019.93 | 0.98 | 4.91 | ||||||||||||||||||||||||
ING Templeton Global Growth Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,081.80 | 1.49 | % | $ | 7.69 | $ | 1,000.00 | $ | 1,016.22 | 1.49 | % | $ | 7.45 | ||||||||||||||||
Class I | 1,000.00 | 1,087.10 | 0.89 | 4.61 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,086.00 | 1.14 | 5.90 | 1,000.00 | 1,019.14 | 1.14 | 5.71 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,084.70 | 1.29 | 6.67 | 1,000.00 | 1,018.40 | 1.29 | 6.46 | ||||||||||||||||||||||||
ING U.S. Stock Index Portfolio |
| |||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,056.70 | 0.79 | % | $ | 4.03 | $ | 1,000.00 | $ | 1,020.83 | 0.79 | % | $ | 3.96 | ||||||||||||||||
Class I | 1,000.00 | 1,058.60 | 0.26 | 1.33 | 1,000.00 | 1,023.51 | 0.26 | 1.30 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,058.00 | 0.50 | 2.55 | 1,000.00 | 1,022.32 | 0.50 | 2.51 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,057.20 | 0.66 | 3.37 | 1,000.00 | 1,021.52 | 0.66 | 3.31 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half-year. |
5
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2011 (UNAUDITED)
ING BlackRock Large Cap Growth Portfolio | ING Clarion Real Estate Portfolio | ING Franklin Income Portfolio | ING Franklin Mutual Shares Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities at value+* | $ | 393,358,434 | $ | 593,488,325 | $ | 833,709,407 | $ | 473,435,346 | ||||||||
Short-term investments** | 19,167,711 | 27,661,413 | 84,031,779 | 18,298,802 | ||||||||||||
Short-term investments at amortized cost | — | — | — | 12,998,836 | ||||||||||||
Cash | — | — | 17,542,384 | 148,707 | ||||||||||||
Foreign currencies at value*** | 16,209 | — | 116,184 | 7,593,321 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 27,294,799 | 1,328,010 | 13,286,128 | 3,812,177 | ||||||||||||
Fund shares sold | 299,276 | 770,280 | 35,574 | — | ||||||||||||
Dividends and interest | 445,291 | 1,194,438 | 8,732,768 | 1,305,764 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | 796,526 | ||||||||||||
Prepaid expenses | — | — | 3,603 | 1,883 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 440,581,720 | 624,442,466 | 957,457,827 | 518,391,362 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 27,289,046 | — | 16,251,882 | 3,119,550 | ||||||||||||
Payable for fund shares redeemed | 445,124 | 1,604,754 | 972,302 | 426,764 | ||||||||||||
Payable upon receipt of securities loaned | 17,974,669 | 24,438,816 | 79,339,230 | — | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | 905,570 | ||||||||||||
Payable to affiliates | 293,911 | 407,244 | 630,619 | 370,944 | ||||||||||||
Payable for trustee fees | — | — | 5,376 | — | ||||||||||||
Other accrued expenses and liabilities | — | — | 117,503 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 46,002,750 | 26,450,814 | 97,316,912 | 4,822,828 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 394,578,970 | $ | 597,991,652 | $ | 860,140,915 | $ | 513,568,534 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||
Paid-in capital | $ | 402,266,608 | $ | 813,780,444 | $ | 857,316,881 | $ | 549,859,705 | ||||||||
Undistributed net investment income | 2,371,570 | 10,209,632 | 70,797,053 | 24,880,154 | ||||||||||||
Accumulated net realized loss | (54,405,760 | ) | (400,433,814 | ) | (76,030,661 | ) | (105,143,650 | ) | ||||||||
Net unrealized appreciation | 44,346,552 | 174,435,390 | 8,057,642 | 43,972,325 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 394,578,970 | $ | 597,991,652 | $ | 860,140,915 | $ | 513,568,534 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
+ Including securities loaned at value | $ | 17,338,734 | $ | 23,902,234 | $ | 77,136,338 | $ | — | ||||||||
* Cost of investments in securities | $ | 348,920,783 | $ | 418,301,159 | $ | 825,616,221 | $ | 429,459,367 | ||||||||
** Cost of short-term investments | $ | 19,261,427 | $ | 28,413,189 | $ | 84,084,230 | $ | 18,296,946 | ||||||||
*** Cost of foreign currencies | $ | 13,592 | $ | — | $ | 103,996 | $ | 7,485,531 |
See Accompanying Notes to Financial Statements
6
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
ING BlackRock Large Cap Growth Portfolio | ING Clarion Real Estate Portfolio | ING Franklin Income Portfolio | ING Franklin Mutual Shares Portfolio | |||||||||||||
Class ADV: | ||||||||||||||||
Net assets | $ | 7,828,969 | $ | 21,701,152 | $ | 14,236,360 | $ | 6,130,512 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 743,271 | 920,622 | 1,361,408 | 728,997 | ||||||||||||
Net asset value and redemption price per share | $ | 10.53 | $ | 23.57 | $ | 10.46 | $ | 8.41 | ||||||||
Class I: | ||||||||||||||||
Net assets | $ | 191,336,148 | $ | 71,263,052 | $ | 310,675,440 | $ | 297,993,830 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 17,643,317 | 2,924,888 | 29,105,798 | 34,848,199 | ||||||||||||
Net asset value and redemption price per share | $ | 10.84 | $ | 24.36 | $ | 10.67 | $ | 8.55 | ||||||||
Class S: | ||||||||||||||||
Net assets | $ | 188,835,778 | $ | 482,052,296 | $ | 525,793,102 | $ | 209,444,192 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 17,517,207 | 19,853,853 | 49,579,003 | 24,581,053 | ||||||||||||
Net asset value and redemption price per share | $ | 10.78 | $ | 24.28 | $ | 10.61 | $ | 8.52 | ||||||||
Class S2: | ||||||||||||||||
Net assets | $ | 6,578,075 | $ | 22,975,152 | $ | 9,436,013 | n/a | |||||||||
Shares authorized | unlimited | unlimited | unlimited | n/a | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | n/a | |||||||||
Shares outstanding | 618,057 | 951,336 | 891,919 | n/a | ||||||||||||
Net asset value and redemption price per share | $ | 10.64 | $ | 24.15 | $ | 10.58 | n/a |
See Accompanying Notes to Financial Statements
7
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2011 (UNAUDITED)
ING JPMorgan Small Cap Core Equity Portfolio | ING Large Cap Growth Portfolio | ING Large Cap Value Portfolio | ING Limited Maturity Bond Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities at value+* | $ | 420,383,257 | $ | 914,639,269 | $ | 300,233,394 | $ | 210,730,394 | ||||||||
Short-term investments** | 42,294,055 | 38,348,523 | 16,671,730 | 65,021,677 | ||||||||||||
Short-term investments at amortized cost | — | — | — | 3,659,759 | ||||||||||||
Cash | 79,190 | 1,560 | 950 | 278 | ||||||||||||
Cash collateral for futures | — | — | — | 730,592 | ||||||||||||
Foreign currencies at value*** | — | — | 951,667 | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 2,724,829 | 13,756,394 | 1,298,266 | 118 | ||||||||||||
Fund shares sold | 109,992 | 5,337,567 | 1,418,158 | 199,929 | ||||||||||||
Dividends and interest | 316,983 | 584,484 | 512,887 | 1,284,304 | ||||||||||||
Prepaid expenses | — | — | 607 | — | ||||||||||||
Reimbursement due from manager | — | 90,070 | 39,379 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 465,908,306 | 972,757,867 | 321,127,038 | 281,627,051 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 1,778,100 | 17,682,562 | 1,439,409 | — | ||||||||||||
Payable for fund shares redeemed | 377,958 | 461,288 | 61,710 | 888,695 | ||||||||||||
Payable upon receipt of securities loaned | 35,645,600 | 18,637,449 | 12,769,720 | 48,504,283 | ||||||||||||
Unrealized depreciation on swap agreements | — | — | — | 304,086 | ||||||||||||
Payable to affiliates | 372,768 | 557,274 | 194,738 | 95,383 | ||||||||||||
Payable for trustee fees | — | 4,359 | 1,864 | — | ||||||||||||
Other accrued expenses and liabilities | — | 61,283 | 29,552 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 38,174,426 | 37,404,215 | 14,496,993 | 49,792,447 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 427,733,880 | $ | 935,353,652 | $ | 306,630,045 | $ | 231,834,604 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||
Paid-in capital | $ | 371,017,355 | $ | 751,953,370 | $ | 356,288,522 | $ | 228,401,673 | ||||||||
Undistributed net investment income | 1,515,199 | 5,689,769 | 6,668,975 | 9,502,114 | ||||||||||||
Accumulated net realized gain (loss) | (25,055,148 | ) | 87,381,375 | (64,156,849 | ) | (7,773,248 | ) | |||||||||
Net unrealized appreciation | 80,256,474 | 90,329,138 | 7,829,397 | 1,704,065 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 427,733,880 | $ | 935,353,652 | $ | 306,630,045 | $ | 231,834,604 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
+ Including securities loaned at value | $ | 34,614,241 | $ | 18,245,196 | $ | 12,426,432 | $ | 47,492,960 | ||||||||
* Cost of investments in securities | $ | 340,042,919 | $ | 824,279,205 | $ | 292,373,671 | $ | 208,706,237 | ||||||||
** Cost of short-term investments | $ | 42,518,309 | $ | 38,379,449 | $ | 16,699,720 | $ | 65,191,283 | ||||||||
*** Cost of foreign currencies | $ | — | $ | — | $ | 954,223 | $ | — |
See Accompanying Notes to Financial Statements
8
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
ING JPMorgan Small Cap Core Equity Portfolio | ING Large Cap Growth Portfolio | ING Large Cap Value Portfolio | ING Limited Maturity Bond Portfolio | |||||||||||||
Class ADV: | ||||||||||||||||
Net assets | $ | 13,611,077 | $ | 38,937,930 | $ | 2,372,383 | $ | 16,688,781 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 975,522 | 2,825,123 | 283,227 | 1,628,284 | ||||||||||||
Net asset value and redemption price per share | $ | 13.95 | $ | 13.78 | $ | 8.38 | $ | 10.25 | ||||||||
Class I: | ||||||||||||||||
Net assets | $ | 88,050,509 | $ | 605,814,243 | $ | 237,641,995 | $ | 46,138,532 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 6,135,718 | 42,483,766 | 28,208,467 | 4,415,551 | ||||||||||||
Net asset value and redemption price per share | $ | 14.35 | $ | 14.26 | $ | 8.42 | $ | 10.45 | ||||||||
Class S: | ||||||||||||||||
Net assets | $ | 288,277,229 | $ | 285,599,429 | $ | 66,615,667 | $ | 169,007,291 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 20,259,984 | 20,242,247 | 7,968,842 | 16,140,283 | ||||||||||||
Net asset value and redemption price per share | $ | 14.23 | $ | 14.11 | $ | 8.36 | $ | 10.47 | ||||||||
Class S2: | ||||||||||||||||
Net assets | $ | 37,795,065 | $ | 5,002,050 | n/a | n/a | ||||||||||
Shares authorized | unlimited | unlimited | n/a | n/a | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | n/a | n/a | ||||||||||
Shares outstanding | 2,679,388 | 355,016 | n/a | n/a | ||||||||||||
Net asset value and redemption price per share | $ | 14.11 | $ | 14.09 | n/a | n/a |
See Accompanying Notes to Financial Statements
9
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2011 (UNAUDITED)
ING PIMCO High Yield Portfolio | ING Pioneer Fund Portfolio | ING Templeton Global Growth Portfolio | ING U.S. Stock Index Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities at value+* | $ | 838,211,344 | $ | 94,955,457 | $ | 598,841,158 | $ | 3,647,000,201 | ||||||||
Short-term investments** | 41,640,156 | 709,075 | 7,904,196 | 80,863,870 | ||||||||||||
Short-term investments at amortized cost | 599,999 | — | 8,500,000 | — | ||||||||||||
Cash | 775,342 | — | 3,422,359 | 106,133 | ||||||||||||
Cash collateral for futures | — | — | — | 4,436,984 | ||||||||||||
Foreign currencies at value*** | 7,496 | — | 461,110 | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 1,817,830 | — | 2,527,475 | 427,815 | ||||||||||||
Fund shares sold | 41,581,475 | 59,078 | 480 | 27,520,249 | ||||||||||||
Dividends and interest | 15,116,227 | 121,311 | 1,649,174 | 4,688,249 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 391,901 | — | — | — | ||||||||||||
Upfront payments made on swap agreements | 111,059 | — | — | — | ||||||||||||
Unrealized appreciation on swap agreements | 3,312,677 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 943,565,506 | 95,844,921 | 623,305,952 | 3,765,043,501 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 3,596,650 | 432,977 | 1,074,702 | — | ||||||||||||
Payable for fund shares redeemed | 2,597,726 | — | 2,972,660 | 2,000,859 | ||||||||||||
Payable upon receipt of securities loaned | 29,374,693 | — | 8,048,439 | 25,557,888 | ||||||||||||
Payable for collateral received from counterparty | 1,670,000 | — | — | — | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | 263,459 | — | — | — | ||||||||||||
Upfront payments received on swap agreements | 1,916,963 | — | — | — | ||||||||||||
Unrealized depreciation on swap agreements | 1,178,472 | — | — | — | ||||||||||||
Payable to affiliates | 503,795 | 67,830 | 502,792 | 798,927 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 41,101,758 | 500,807 | 12,598,593 | 28,357,674 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 902,463,748 | $ | 95,344,114 | $ | 610,707,359 | $ | 3,736,685,827 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||
Paid-in capital | $ | 918,077,282 | $ | 88,515,623 | $ | 631,882,263 | $ | 2,851,695,752 | ||||||||
Undistributed net investment income | 3,607,960 | 820,288 | 17,011,486 | 47,157,609 | ||||||||||||
Accumulated net realized gain (loss) | (75,892,649 | ) | (9,633,341 | ) | (54,622,001 | ) | 197,897,014 | |||||||||
Net unrealized appreciation | 56,671,155 | 15,641,544 | 16,435,611 | 639,935,452 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 902,463,748 | $ | 95,344,114 | $ | 610,707,359 | $ | 3,736,685,827 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
+ Including securities loaned at value | $ | 28,466,335 | $ | — | $ | 7,663,375 | $ | 24,963,243 | ||||||||
* Cost of investments in securities | $ | 783,577,007 | $ | 79,313,981 | $ | 582,278,514 | $ | 3,009,411,273 | ||||||||
** Cost of short-term investments | $ | 41,872,655 | $ | 709,075 | $ | 8,048,439 | $ | 80,948,888 | ||||||||
*** Cost of foreign currencies | $ | 7,478 | $ | — | $ | 443,983 | $ | — |
See Accompanying Notes to Financial Statements
10
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
ING PIMCO High Yield Portfolio | ING Pioneer Fund Portfolio | ING Templeton Global Growth Portfolio | ING U.S. Stock Index Portfolio | |||||||||||||
Class ADV: | ||||||||||||||||
Net assets | $ | 40,963,088 | $ | 1,135,456 | $ | 836 | $ | 16,595,775 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 3,978,796 | 97,911 | 69 | 1,459,630 | ||||||||||||
Net asset value and redemption price per share | $ | 10.30 | $ | 11.60 | $ | 12.03 | $ | 11.37 | ||||||||
Class I: | ||||||||||||||||
Net assets | $ | 220,185,176 | $ | 34,531,017 | $ | 299,838,216 | $ | 3,653,086,615 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 21,383,801 | 2,958,954 | 24,525,309 | 315,978,706 | ||||||||||||
Net asset value and redemption price per share | $ | 10.30 | $ | 11.67 | $ | 12.23 | $ | 11.56 | ||||||||
Class S: | ||||||||||||||||
Net assets | $ | 639,959,316 | $ | 59,677,641 | $ | 306,135,570 | $ | 27,380,718 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 62,167,465 | 5,114,602 | 24,994,058 | 2,381,336 | ||||||||||||
Net asset value and redemption price per share | $ | 10.29 | $ | 11.67 | $ | 12.25 | $ | 11.50 | ||||||||
Class S2: | ||||||||||||||||
Net assets | $ | 1,356,168 | n/a | $ | 4,732,737 | $ | 39,622,719 | |||||||||
Shares authorized | unlimited | n/a | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | n/a | $ | 0.001 | $ | 0.001 | |||||||||
Shares outstanding | 131,548 | n/a | 389,051 | 3,461,842 | ||||||||||||
Net asset value and redemption price per share | $ | 10.31 | n/a | $ | 12.16 | $ | 11.45 |
See Accompanying Notes to Financial Statements
11
Table of Contents
STATEMENTS OF OPERATIONSFORTHE SIX MONTHS ENDED JUNE 30, 2011 (UNAUDITED)
ING BlackRock Large Cap Growth Portfolio | ING Clarion Real Estate Portfolio | ING Franklin Income Portfolio | ING Franklin Mutual Shares Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 2,310,397 | $ | 5,113,817 | $ | 7,180,308 | $ | 6,405,776 | ||||||||
Interest | — | — | 20,913,322 | 1,867,926 | ||||||||||||
Securities lending income, net | 3,844 | 28,048 | 153,683 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 2,314,241 | 5,141,865 | 28,247,313 | 8,273,702 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment management fees | — | — | 2,645,986 | — | ||||||||||||
Unified fees | 1,462,767 | 1,826,328 | — | 2,002,113 | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class ADV | 24,315 | 62,322 | 42,687 | 18,173 | ||||||||||||
Class S | 210,798 | 587,633 | 636,608 | 266,556 | ||||||||||||
Class S2 | 15,274 | 55,518 | 22,926 | — | ||||||||||||
Transfer agent fees | — | — | 588 | — | ||||||||||||
Administrative service fees | — | — | 420,331 | — | ||||||||||||
Shareholder reporting expense | — | — | 39,030 | — | ||||||||||||
Professional fees | — | — | 32,177 | — | ||||||||||||
Custody and accounting expense | — | — | 51,276 | — | ||||||||||||
Trustee fees | 6,870 | 13,305 | 12,350 | 12,532 | ||||||||||||
Miscellaneous expense | — | — | 14,784 | — | ||||||||||||
Interest expense | 603 | — | — | 40 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 1,720,627 | 2,545,106 | 3,918,743 | 2,299,414 | ||||||||||||
Net waived and reimbursed fees | (19,539 | ) | (140,818 | ) | (13,123 | ) | (3,635 | ) | ||||||||
Brokerage commission recapture | — | (140 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 1,701,088 | 2,404,148 | 3,905,620 | 2,295,779 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 613,153 | 2,737,717 | 24,341,693 | 5,977,923 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 32,067,061 | 39,827,669 | 4,441,617 | 5,194,556 | ||||||||||||
Foreign currency related transactions | — | — | 35,134 | (7,631,841 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 32,067,061 | 39,827,669 | 4,476,751 | (2,437,285 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||
Investments | 2,076,255 | 15,555,100 | 17,746,362 | 25,131,555 | ||||||||||||
Foreign currency related transactions | 1,634 | — | 14,751 | 1,605,534 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation or depreciation | 2,077,889 | 15,555,100 | 17,761,113 | 26,737,089 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain | 34,144,950 | 55,382,769 | 22,237,864 | 24,299,804 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from operations | $ | 34,758,103 | $ | 58,120,486 | $ | 46,579,557 | $ | 30,277,727 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
* Foreign taxes withheld | $ | 1,680 | $ | 12,161 | $ | 118,124 | $ | 282,023 |
See Accompanying Notes to Financial Statements
12
Table of Contents
STATEMENTS OF OPERATIONSFORTHE SIX MONTHS ENDED JUNE 30, 2011 (UNAUDITED)
ING JPMorgan Small Cap Core Equity Portfolio | ING Large Cap Growth Portfolio | ING Large Cap Value Portfolio | ING Limited Maturity Bond Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 2,260,447 | $ | 6,151,737 | $ | 4,675,479 | $ | 4,964 | ||||||||
Interest | 896 | — | — | 2,638,973 | ||||||||||||
Securities lending income, net | 88,936 | 1,804 | 72,959 | 21,754 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 2,350,279 | 6,153,541 | 4,748,438 | 2,665,691 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment management fees | — | 2,315,145 | 929,872 | — | ||||||||||||
Unified fees | 1,866,952 | — | — | 329,085 | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class ADV | 38,374 | 94,167 | 6,970 | 48,450 | ||||||||||||
Class S | 364,446 | 314,394 | 70,798 | 217,335 | ||||||||||||
Class S2 | 95,536 | 8,304 | — | — | ||||||||||||
Transfer agent fees | — | 726 | 127 | — | ||||||||||||
Administrative service fees | — | 420,931 | 143,095 | — | ||||||||||||
Shareholder reporting expense | — | 28,700 | 16,474 | — | ||||||||||||
Professional fees | — | 42,054 | 10,957 | — | ||||||||||||
Custody and accounting expense | — | 31,636 | 15,544 | — | ||||||||||||
Trustee fees | 8,864 | 10,660 | 5,250 | 5,122 | ||||||||||||
Miscellaneous expense | — | 12,699 | 15,275 | — | ||||||||||||
Interest expense | — | — | 167 | 180 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 2,374,172 | 3,279,416 | 1,214,529 | 600,172 | ||||||||||||
Net waived and reimbursed fees | (26,782 | ) | (354,210 | ) | (152,477 | ) | (9,690 | ) | ||||||||
Brokerage commission recapture | — | — | (1,324 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 2,347,390 | 2,925,206 | 1,060,728 | 590,482 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 2,889 | 3,228,335 | 3,687,710 | 2,075,209 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 21,535,033 | 29,388,605 | 22,250,409 | 1,368,959 | ||||||||||||
Foreign currency related transactions | — | (316 | ) | 29,369 | — | |||||||||||
Futures | (199,982 | ) | — | — | 63,292 | |||||||||||
Swaps | — | — | — | (131,058 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain | 21,335,051 | 29,388,289 | 22,279,778 | 1,301,193 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||
Investments | 13,160,500 | 24,457,811 | (15,545,660 | ) | (123,153 | ) | ||||||||||
Foreign currency related transactions | — | — | (2,336 | ) | — | |||||||||||
Futures | 88,673 | — | — | (309,308 | ) | |||||||||||
Swaps | — | — | — | (162,538 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation or depreciation | 13,249,173 | 24,457,811 | (15,547,996 | ) | (594,999 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain | 34,584,224 | 53,846,100 | 6,731,782 | 706,194 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from operations | $ | 34,587,113 | $ | 57,074,435 | $ | 10,419,492 | $ | 2,781,403 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
* Foreign taxes withheld | $ | 246 | $ | 7,176 | $ | 44,746 | $ | — |
See Accompanying Notes to Financial Statements
13
Table of Contents
STATEMENTS OF OPERATIONSFORTHE SIX MONTHS ENDED JUNE 30, 2011 (UNAUDITED)
ING PIMCO High Yield Portfolio | ING Pioneer Fund Portfolio | ING Templeton Global Growth | ING U.S. Stock Index Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 77,356 | $ | 1,028,597 | $ | 10,249,042 | $ | 37,749,976 | ||||||||
Interest | 34,346,571 | — | 1,731 | — | ||||||||||||
Securities lending income, net | 30,224 | — | 467,227 | 181,993 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 34,454,151 | 1,028,597 | 10,718,000 | 37,931,969 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Unified fees | 2,164,773 | 349,429 | 2,691,167 | 4,965,113 | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class ADV | 126,358 | 3,504 | 4 | 52,967 | ||||||||||||
Class S | 807,777 | 75,787 | 385,565 | 33,089 | ||||||||||||
Class S2 | 1,088 | — | 12,304 | 92,908 | ||||||||||||
Trustee fees | 21,135 | 1,726 | 12,312 | 86,404 | ||||||||||||
Interest expense | 2,835 | 480 | 62 | 881 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 3,123,966 | 430,926 | 3,101,414 | 5,231,362 | ||||||||||||
Net waived and reimbursed fees | (25,490 | ) | (701 | ) | (2,461 | ) | (35,442 | ) | ||||||||
Brokerage commission recapture | — | (793 | ) | (929 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 3,098,476 | 429,432 | 3,098,024 | 5,195,920 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 31,355,675 | 599,165 | 7,619,976 | 32,736,049 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 14,526,264 | 2,011,888 | 29,124,467 | 99,003,542 | ||||||||||||
Foreign currency related transactions | (2,015,712 | ) | (5,827 | ) | (7,507 | ) | — | |||||||||
Futures | — | — | — | 1,395,891 | ||||||||||||
Swaps | 2,713,579 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain | 15,224,131 | 2,006,061 | 29,116,960 | 100,399,433 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||
Investments | (6,620,795 | ) | 1,647,069 | 13,588,221 | 82,561,761 | |||||||||||
Foreign currency related transactions | (912,556 | ) | (592 | ) | (13,587 | ) | — | |||||||||
Futures | — | — | — | 2,184,612 | ||||||||||||
Swaps | (1,701,137 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation or depreciation | (9,234,488 | ) | 1,646,477 | 13,574,634 | 84,746,373 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain | 5,989,643 | 3,652,538 | 42,691,594 | 185,145,806 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from operations | $ | 37,345,318 | $ | 4,251,703 | $ | 50,311,570 | $ | 217,881,855 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
* Foreign taxes withheld | $ | — | $ | 11,182 | $ | 933,177 | $ | — |
See Accompanying Notes to Financial Statements
14
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING BlackRock Large Cap | ING Clarion Real | |||||||||||||||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 613,153 | $ | 1,757,045 | $ | 2,737,717 | $ | 7,471,327 | ||||||||
Net realized gain | 32,067,061 | 29,538,705 | 39,827,669 | 84,245,156 | ||||||||||||
Net change in unrealized appreciation or depreciation | 2,077,889 | 7,508,578 | 15,555,100 | 30,799,302 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from operations | 34,758,103 | 38,804,328 | 58,120,486 | 122,515,785 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (772 | ) | — | (125,823 | ) | ||||||||||
Class I | — | (784,136 | ) | — | (1,770,221 | ) | ||||||||||
Class S | — | (387,850 | ) | — | (14,439,641 | ) | ||||||||||
Class S2 | — | (6,889 | ) | — | (646,490 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | — | (1,179,647 | ) | — | (16,982,175 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 59,559,927 | 46,183,135 | 54,171,657 | 60,967,850 | ||||||||||||
Reinvestment of distributions | — | 1,179,647 | — | 16,982,175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
59,559,927 | 47,362,782 | 54,171,657 | 77,950,025 | |||||||||||||
Cost of shares redeemed | (29,736,023 | ) | (73,993,412 | ) | (61,003,910 | ) | (97,926,435 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 29,823,904 | (26,630,630 | ) | (6,832,253 | ) | (19,976,410 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets | 64,582,007 | 10,994,051 | 51,288,233 | 85,557,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 329,996,963 | 319,002,912 | 546,703,419 | 461,146,219 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 394,578,970 | $ | 329,996,963 | $ | 597,991,652 | $ | 546,703,419 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income at end of period | $ | 2,371,570 | $ | 1,758,417 | $ | 10,209,632 | $ | 7,471,915 | ||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements
15
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Franklin Income Portfolio | ING Franklin Mutual Shares Portfolio | |||||||||||||||
Six Months Ended 2011 | Year Ended 2010 | Six Months Ended 2011 | Year Ended 2010 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 24,341,693 | $ | 43,050,089 | $ | 5,977,923 | $ | 14,358,966 | ||||||||
Net realized gain (loss) | 4,476,751 | 12,444,907 | (2,437,285 | ) | 4,915,302 | |||||||||||
Net change in unrealized appreciation or depreciation | 17,761,113 | 39,723,220 | 26,737,089 | 34,570,491 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from operations | 46,579,557 | 95,218,216 | 30,277,727 | 53,844,759 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (112,964 | ) | — | (7,479 | ) | ||||||||||
Class I | — | (16,067,843 | ) | — | (1,778,481 | ) | ||||||||||
Class S | — | (24,449,479 | ) | — | (863,481 | ) | ||||||||||
Class S2 | — | (386,467 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | — | (41,016,753 | ) | — | (2,649,441 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 55,237,442 | 71,749,682 | 12,204,514 | 35,231,202 | ||||||||||||
Reinvestment of distributions | — | 41,016,753 | — | 2,649,441 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
55,237,442 | 112,766,435 | 12,204,514 | 37,880,643 | |||||||||||||
Cost of shares redeemed | (47,639,670 | ) | (140,888,721 | ) | (35,146,623 | ) | (69,034,426 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 7,597,772 | (28,122,286 | ) | (22,942,109 | ) | (31,153,783 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets | 54,177,329 | 26,079,177 | 7,335,618 | 20,041,535 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 805,963,586 | 779,884,409 | 506,232,916 | 486,191,381 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 860,140,915 | $ | 805,963,586 | $ | 513,568,534 | $ | 506,232,916 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income at end of period | $ | 70,797,053 | $ | 46,455,360 | $ | 24,880,154 | $ | 18,902,231 | ||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements
16
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING JPMorgan Small Cap Core | ING Large Cap Growth Portfolio | |||||||||||||||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 2,889 | $ | 1,736,256 | $ | 3,228,335 | $ | 2,462,210 | ||||||||
Net realized gain | 21,335,051 | 11,590,610 | 29,388,289 | 63,725,863 | ||||||||||||
Net change in unrealized appreciation or depreciation | 13,249,173 | 67,727,043 | 24,457,811 | (10,697,604 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from operations | 34,587,113 | 81,053,909 | 57,074,435 | 55,490,469 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (10,739 | ) | — | (10,633 | ) | ||||||||||
Class I | — | (349,094 | ) | — | (1,158,628 | ) | ||||||||||
Class S | — | (622,810 | ) | — | (377,920 | ) | ||||||||||
Class S2 | — | (39,312 | ) | — | (267 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | — | (1,021,955 | ) | — | (1,547,448 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 43,863,522 | 121,248,937 | 109,701,835 | 93,747,734 | ||||||||||||
Proceeds from shares issued in merger (Note 10) | — | — | 399,056,292 | — | ||||||||||||
Reinvestment of distributions | — | 1,021,955 | — | 1,547,448 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
43,863,522 | 122,270,892 | 508,758,127 | 95,295,182 | |||||||||||||
Cost of shares redeemed | (75,726,598 | ) | (62,913,753 | ) | (70,409,413 | ) | (88,630,119 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (31,863,076 | ) | 59,357,139 | 438,348,714 | 6,665,063 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets | 2,724,037 | 139,389,093 | 495,423,149 | 60,608,084 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 425,009,843 | 285,620,750 | 439,930,503 | 379,322,419 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 427,733,880 | $ | 425,009,843 | $ | 935,353,652 | $ | 439,930,503 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income at end of period | $ | 1,515,199 | $ | 1,512,310 | $ | 5,689,769 | $ | 2,461,434 | ||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements
17
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Large Cap Value Portfolio | ING Limited Maturity Bond Portfolio | |||||||||||||||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 3,687,710 | $ | 3,012,425 | $ | 2,075,209 | $ | 7,411,177 | ||||||||
Net realized gain | 22,279,778 | 752,096 | 1,301,193 | 3,680,661 | ||||||||||||
Net change in unrealized appreciation or depreciation | (15,547,996 | ) | 19,914,896 | (594,999 | ) | (1,063,040 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from operations | 10,419,492 | 23,679,417 | 2,781,403 | 10,028,798 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (16 | ) | — | (45,473 | ) | ||||||||||
Class I | — | (3,391,333 | ) | — | (6,577,039 | ) | ||||||||||
Class S | — | (65 | ) | — | (6,943,808 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | — | (3,391,414 | ) | — | (13,566,320 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 10,960,127 | 4,430,306 | 22,977,119 | 126,970,145 | ||||||||||||
Proceeds from shares issued in merger (Note 10) | 158,094,522 | — | — | — | ||||||||||||
Reinvestment of distributions | — | 3,391,398 | — | 13,566,320 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
169,054,649 | 7,821,704 | 22,977,119 | 140,536,465 | |||||||||||||
Cost of shares redeemed | (15,830,503 | ) | (14,496,288 | ) | (42,568,374 | ) | (198,353,684 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 153,224,146 | (6,674,584 | ) | (19,591,255 | ) | (57,817,219 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 163,643,638 | 13,613,419 | (16,809,852 | ) | (61,354,741 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 142,986,407 | 129,372,988 | 248,644,456 | 309,999,197 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 306,630,045 | $ | 142,986,407 | $ | 231,834,604 | $ | 248,644,456 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income at end of period | $ | 6,668,975 | $ | 2,981,265 | $ | 9,502,114 | $ | 7,426,905 | ||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements
18
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING PIMCO High Yield Portfolio | ING Pioneer Fund Portfolio | |||||||||||||||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 31,355,675 | $ | 49,431,069 | $ | 599,165 | $ | 1,007,538 | ||||||||
Net realized gain | 15,224,131 | 25,024,262 | 2,006,061 | 2,143,411 | ||||||||||||
Net change in unrealized appreciation or depreciation | (9,234,488 | ) | 21,001,970 | 1,646,477 | 9,521,289 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from operations | 37,345,318 | 95,457,301 | 4,251,703 | 12,672,238 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | (1,050,107 | ) | (684,672 | ) | — | (5,227 | ) | |||||||||
Class I | (7,087,443 | ) | (13,219,158 | ) | — | (404,143 | ) | |||||||||
Class S | (21,380,394 | ) | (40,340,031 | ) | — | (599,617 | ) | |||||||||
Class S2 | (13,738 | ) | (215 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (29,531,682 | ) | (54,244,076 | ) | — | (1,008,987 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 131,992,084 | 419,763,161 | 6,747,124 | 14,881,130 | ||||||||||||
Reinvestment of distributions | 29,531,682 | 54,244,020 | — | 1,008,987 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
161,523,766 | 474,007,181 | 6,747,124 | 15,890,117 | |||||||||||||
Cost of shares redeemed | (192,309,400 | ) | (119,469,074 | ) | (12,861,246 | ) | (14,372,252 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (30,785,634 | ) | 354,538,107 | (6,114,122 | ) | 1,517,865 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (22,971,998 | ) | 395,751,332 | (1,862,419 | ) | 13,181,116 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 925,435,746 | 529,684,414 | 97,206,533 | 84,025,417 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 902,463,748 | $ | 925,435,746 | $ | 95,344,114 | $ | 97,206,533 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income at end of period | $ | 3,607,960 | $ | 1,783,967 | $ | 820,288 | $ | 221,123 | ||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements
19
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Templeton Global | ING U.S. Stock Index Portfolio | |||||||||||||||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 7,619,976 | $ | 8,907,028 | $ | 32,736,049 | $ | 64,922,913 | ||||||||
Net realized gain | 29,116,960 | 6,150,856 | 100,399,433 | 113,277,546 | ||||||||||||
Net change in unrealized appreciation or depreciation | 13,574,634 | 28,131,199 | 84,746,373 | 327,551,002 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from operations | 50,311,570 | 43,189,083 | 217,881,855 | 505,751,461 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (9 | ) | — | (119,240 | ) | ||||||||||
Class I | — | (5,119,746 | ) | — | (54,309,046 | ) | ||||||||||
Class S | — | (4,378,354 | ) | — | (310,993 | ) | ||||||||||
Class S2 | — | (64,119 | ) | — | (351,089 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | — | (9,562,228 | ) | — | (55,090,368 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 17,473,004 | 39,174,573 | 422,852,355 | 1,090,864,203 | ||||||||||||
Reinvestment of distributions | — | 9,562,219 | — | 55,090,368 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
17,473,004 | 48,736,792 | 422,852,355 | 1,145,954,571 | |||||||||||||
Cost of shares redeemed | (52,859,988 | ) | (92,448,473 | ) | (617,040,345 | ) | (1,411,163,486 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets resulting from capital share transactions | (35,386,984 | ) | (43,711,681 | ) | (194,187,990 | ) | (265,208,915 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 14,924,586 | (10,084,826 | ) | 23,693,865 | 185,452,178 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 595,782,773 | 605,867,599 | 3,712,991,962 | 3,527,539,784 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 610,707,359 | $ | 595,782,773 | $ | 3,736,685,827 | $ | 3,712,991,962 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income at end of period | $ | 17,011,486 | $ | 9,391,510 | $ | 47,157,609 | $ | 14,421,560 | ||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements
20
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED)
Selected data for a share of beneficial interest outstanding throughout each year or period.
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 | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3) | Expenses net of fee waivers and/or recoupments, if any(2)(3) | Expenses net of all reductions/additions(2)(3) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
ING BlackRock Large Cap Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 9.55 | (0.02 | ) | 1.00 | 0.98 | — | — | — | — | 10.53 | 10.26 | 1.55 | 1.40 | 1.40 | (0.13 | ) | 7,829 | 79 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.45 | 0.00 | * | 1.10 | 1.10 | (0.00 | )* | — | — | (0.00 | )* | 9.55 | 13.04 | 1.56 | 1.41 | † | 1.41 | † | 0.13 | † | 5,695 | 200 | ||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.52 | (0.00 | )* | 1.93 | 1.93 | — | — | — | — | 8.45 | 29.60 | 1.56 | 1.36 | † | 1.36 | † | (0.05 | )† | 3,849 | 231 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.15 | (0.01 | ) | (4.44 | ) | (4.45 | ) | — | 1.18 | — | 1.18 | 6.52 | (39.24 | ) | 1.56 | 1.26 | † | 1.26 | † | (0.13 | )† | 2,962 | 156 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.42 | (0.04 | ) | 0.77 | 0.73 | — | — | — | — | 12.15 | 6.39 | 1.55 | 1.29 | 1.29 | (0.33 | ) | 5,943 | 195 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 11.48 | (0.03 | ) | 0.79 | 0.76 | — | 0.82 | — | 0.82 | 11.42 | 6.73 | 1.55 | 1.36 | 1.36 | (0.39 | ) | 4,825 | 139 | ||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 9.80 | 0.02 | 1.02 | 1.04 | — | — | — | — | 10.84 | 10.61 | 0.80 | 0.80 | 0.80 | 0.46 | 191,336 | 79 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.67 | 0.06 | 1.11 | 1.17 | 0.04 | — | — | 0.04 | 9.80 | 13.60 | 0.81 | 0.81 | † | 0.81 | † | 0.68 | † | 172,451 | 200 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.68 | 0.04 | 1.99 | 2.03 | 0.04 | — | — | 0.04 | 8.67 | 30.58 | 0.81 | 0.76 | † | 0.76 | † | 0.55 | † | 167,466 | 231 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.38 | 0.05 | (4.55 | ) | (4.50 | ) | 0.02 | 1.18 | — | 1.20 | 6.68 | (38.94 | ) | 0.81 | 0.66 | † | 0.66 | † | 0.48 | † | 137,725 | 156 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.56 | 0.02 | 0.80 | 0.82 | — | — | — | — | 12.38 | 7.09 | 0.80 | 0.66 | 0.66 | 0.27 | 264,011 | 195 | ||||||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4) - 12-31-06 | 11.97 | 0.02 | 0.39 | 0.41 | — | 0.82 | — | 0.82 | 11.56 | 3.54 | 0.80 | 0.76 | 0.76 | 0.21 | 1,464 | 139 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 9.76 | 0.00 | * | 1.02 | 1.02 | — | — | — | — | 10.78 | 10.45 | 1.05 | 1.04 | 1.04 | 0.23 | 188,836 | 79 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.63 | 0.04 | 1.11 | 1.15 | 0.02 | — | — | 0.02 | 9.76 | 13.42 | 1.06 | 1.04 | † | 1.04 | † | 0.44 | † | 146,392 | 200 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.65 | 0.02 | 1.98 | 2.00 | 0.02 | — | — | 0.02 | 8.63 | 30.20 | 1.06 | 1.01 | † | 1.01 | † | 0.31 | † | 143,730 | 231 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.33 | 0.02 | (4.52 | ) | (4.50 | ) | — | 1.18 | — | 1.18 | 6.65 | (39.06 | ) | 1.06 | 0.91 | † | 0.91 | † | 0.25 | † | 104,114 | 156 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.55 | 0.00 | * | 0.78 | 0.78 | — | — | — | — | 12.33 | 6.75 | 1.05 | 0.94 | 0.94 | 0.02 | 165,538 | 195 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 11.56 | (0.01 | ) | 0.82 | 0.81 | — | 0.82 | — | 0.82 | 11.55 | 7.12 | 1.05 | 1.01 | 1.01 | (0.08 | ) | 153,064 | 139 | ||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 9.64 | (0.00 | )* | 1.00 | 1.00 | — | — | — | — | 10.64 | 10.37 | 1.30 | 1.20 | 1.20 | 0.07 | 6,578 | 79 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.53 | 0.02 | 1.10 | 1.12 | 0.01 | — | — | 0.01 | 9.64 | 13.21 | 1.31 | 1.21 | † | 1.21 | † | 0.32 | † | 5,459 | 200 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.56 | 0.01 | 1.96 | 1.97 | — | — | — | — | 8.53 | 30.03 | 1.31 | 1.16 | † | 1.16 | † | 0.16 | † | 3,957 | 231 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.21 | 0.01 | (4.48 | ) | (4.47 | ) | — | 1.18 | — | 1.18 | 6.56 | (39.21 | ) | 1.31 | 1.06 | † | 1.06 | † | 0.06 | † | 3,174 | 156 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.45 | (0.01 | ) | 0.77 | 0.76 | — | — | — | — | 12.21 | 6.64 | 1.30 | 1.06 | 1.06 | (0.14 | ) | 8,280 | 195 | ||||||||||||||||||||||||||||||||||||||||||||||
05-26-06(5) - 12-31-06 | 11.37 | (0.01 | ) | 0.91 | 0.90 | — | 0.82 | — | 0.82 | 11.45 | 8.03 | 1.30 | 1.16 | 1.16 | (0.12 | ) | 12 | 139 | ||||||||||||||||||||||||||||||||||||||||||||||
01-01-05(5) - 10-03-05 | 10.44 | (0.04 | ) | 0.52 | 0.48 | — | — | — | — | 10.92 | 4.60 | 1.32 | 1.20 | 1.20 | (0.52 | ) | 2,294 | 78 | ||||||||||||||||||||||||||||||||||||||||||||||
ING Clarion Real Estate Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.32 | 0.08 | • | 2.17 | 2.25 | — | — | — | — | 23.57 | 10.55 | 1.39 | 1.20 | 1.20 | 0.68 | 21,701 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 17.34 | 0.27 | • | 4.40 | 4.67 | 0.69 | — | — | 0.69 | 21.32 | 27.57 | 1.40 | 1.21 | † | 1.21 | † | 1.37 | † | 11,045 | 49 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 13.77 | 0.37 | • | 4.07 | 4.44 | 0.52 | 0.35 | — | 0.87 | 17.34 | 35.38 | 1.41 | 1.23 | † | 1.23 | † | 2.79 | † | 1,391 | 91 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 28.02 | 0.47 | • | (9.82 | ) | (9.35 | ) | 0.32 | 4.58 | — | 4.90 | 13.77 | (38.73 | ) | 1.40 | 1.24 | † | 1.24 | † | 2.08 | † | 931 | 53 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 38.58 | 0.42 | • | (6.66 | ) | (6.24 | ) | 0.45 | 3.87 | — | 4.32 | 28.02 | (18.02 | ) | 1.39 | 1.24 | 1.24 | 1.23 | 848 | 40 | ||||||||||||||||||||||||||||||||||||||||||||
04-17-06(4) - 12-31-06 | 33.28 | 0.22 | • | 8.33 | 8.55 | 0.52 | 2.73 | — | 3.25 | 38.58 | 27.48 | 1.40 | 1.25 | 1.25 | 0.88 | 548 | 28 |
See Accompanying Notes to Financial Statements
21
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED)(CONTINUED)
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 | Net asset value, end of year or period | Total Return (1) | Expenses before reductions/additions(2)(3) | Expenses net of fee waivers and/or recoupments, if any(2)(3) | Expenses net of all reductions/additions(2)(3) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
ING Clarion Real Estate Portfolio (Continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.97 | 0.14 | • | 2.25 | 2.39 | — | — | — | — | 24.36 | 10.88 | 0.64 | 0.60 | 0.60 | 1.23 | 71,263 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 17.78 | 0.35 | • | 4.56 | 4.91 | 0.72 | — | — | 0.72 | 21.97 | 28.28 | 0.65 | 0.61 | † | 0.61 | † | 1.75 | † | 56,759 | 49 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 14.13 | 0.46 | • | 4.17 | 4.63 | 0.63 | 0.35 | — | 0.98 | 17.78 | 36.29 | 0.66 | 0.63 | † | 0.63 | † | 3.59 | † | 44,956 | 91 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 28.55 | 0.58 | • | (10.01 | ) | (9.43 | ) | 0.41 | 4.58 | — | 4.99 | 14.13 | (38.36 | ) | 0.65 | 0.64 | † | 0.64 | † | 2.58 | † | 370,871 | 53 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 39.06 | 0.72 | • | (6.85 | ) | (6.13 | ) | 0.51 | 3.87 | — | 4.38 | 28.55 | (17.52 | ) | 0.64 | 0.64 | 0.64 | 2.05 | 337,942 | 40 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 31.11 | 0.65 | • | 10.55 | 11.20 | 0.52 | 2.73 | — | 3.25 | 39.06 | 37.95 | 0.65 | 0.65 | 0.65 | 1.84 | 224,507 | 28 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.92 | 0.11 | • | 2.25 | 2.36 | — | — | — | — | 24.28 | 10.77 | 0.89 | 0.85 | 0.85 | 0.94 | 482,052 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 17.75 | 0.29 | • | 4.57 | 4.86 | 0.69 | — | — | 0.69 | 21.92 | 27.98 | 0.90 | 0.86 | † | 0.86 | † | 1.48 | † | 457,721 | 49 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 14.08 | 0.46 | 4.13 | 4.59 | 0.57 | 0.35 | — | 0.92 | 17.75 | 35.89 | 0.91 | 0.88 | † | 0.88 | † | 3.14 | † | 395,965 | 91 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 28.41 | 0.52 | • | (9.97 | ) | (9.45 | ) | 0.30 | 4.58 | — | 4.88 | 14.08 | (38.51 | ) | 0.90 | 0.89 | † | 0.89 | † | 2.17 | † | 324,906 | 53 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 38.89 | 0.44 | • | (6.64 | ) | (6.20 | ) | 0.41 | 3.87 | — | 4.28 | 28.41 | (17.74 | ) | 0.89 | 0.89 | 0.89 | 1.22 | 644,502 | 40 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 30.98 | 0.41 | • | 10.67 | 11.08 | 0.44 | 2.73 | — | 3.17 | 38.89 | 37.63 | 0.90 | 0.90 | 0.90 | 1.19 | 1,025,126 | 28 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 21.82 | 0.09 | • | 2.24 | 2.33 | — | — | — | — | 24.15 | 10.68 | 1.14 | 1.00 | 1.00 | 0.80 | 22,975 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 17.68 | 0.26 | • | 4.54 | 4.80 | 0.66 | — | — | 0.66 | 21.82 | 27.75 | 1.15 | 1.01 | † | 1.01 | † | 1.33 | † | 21,179 | 49 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 14.01 | 0.40 | • | 4.16 | 4.56 | 0.54 | 0.35 | — | 0.89 | 17.68 | 35.70 | 1.16 | 1.03 | † | 1.03 | † | 3.00 | † | 18,835 | 91 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 28.28 | 0.48 | • | (9.92 | ) | (9.44 | ) | 0.25 | 4.58 | — | 4.83 | 14.01 | (38.60 | ) | 1.15 | 1.04 | † | 1.04 | † | 2.03 | † | 15,855 | 53 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 38.74 | 0.41 | • | (6.63 | ) | (6.22 | ) | 0.37 | 3.87 | — | 4.24 | 28.28 | (17.85 | ) | 1.14 | 1.04 | 1.04 | 1.16 | 30,577 | 40 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 30.91 | 0.38 | • | 10.61 | 10.99 | 0.43 | 2.73 | — | 3.16 | 38.74 | 37.41 | 1.15 | 1.05 | 1.05 | 1.09 | 40,991 | 28 | |||||||||||||||||||||||||||||||||||||||||||||||
ING Franklin Income Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 9.91 | 0.28 | • | 0.27 | 0.55 | — | — | — | — | 10.46 | 5.55 | 1.52 | 1.37 | 1.37 | 5.40 | 14,236 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.33 | 0.48 | • | 0.64 | 1.12 | 0.54 | — | — | 0.54 | 9.91 | 12.51 | 1.53 | 1.36 | † | 1.36 | † | 5.12 | † | 7,830 | 48 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.58 | 0.46 | • | 1.81 | 2.27 | 0.52 | — | — | 0.52 | 9.33 | 31.13 | 1.55 | 1.34 | 1.34 | 5.64 | 1 | 48 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 11.12 | 0.63 | (3.85 | ) | (3.22 | ) | 0.24 | 0.08 | — | 0.32 | 7.58 | (29.64 | ) | 1.53 | 1.34 | 1.34 | 6.48 | 1 | 38 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.02 | 0.55 | (0.31 | ) | 0.24 | 0.12 | 0.02 | — | 0.14 | 11.12 | 2.17 | 1.53 | 1.34 | 1.34 | 5.03 | 1 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4) - 12-31-06 | 11.02 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 11.02 | — | 1.55 | 1.34 | 1.34 | (1.34 | ) | 1 | 9 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.08 | 0.31 | • | 0.28 | 0.59 | — | — | — | — | 10.67 | 5.85 | 0.77 | 0.77 | 0.77 | 5.95 | 310,675 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.42 | 0.55 | • | 0.65 | 1.20 | 0.54 | — | — | 0.54 | 10.08 | 13.25 | 0.78 | 0.76 | † | 0.76 | † | 5.70 | † | 308,236 | 48 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.67 | 0.53 | • | 1.82 | 2.35 | 0.60 | — | — | 0.60 | 9.42 | 32.03 | 0.80 | 0.74 | 0.74 | 6.32 | 306,057 | 48 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 11.23 | 0.69 | • | (3.85 | ) | (3.16 | ) | 0.32 | 0.08 | — | 0.40 | 7.67 | (28.92 | ) | 0.78 | 0.74 | 0.74 | 7.17 | 252,264 | 38 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.05 | 0.67 | • | (0.35 | ) | 0.32 | 0.12 | 0.02 | — | 0.14 | 11.23 | 2.89 | 0.78 | 0.74 | 0.74 | 5.90 | 197,597 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4) - 12-31-06 | 10.00 | 0.35 | • | 0.70 | 1.05 | — | — | — | — | 11.05 | 10.50 | 0.80 | 0.74 | 0.74 | 5.01 | 25,465 | 9 |
See Accompanying Notes to Financial Statements
22
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED)(CONTINUED)
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 | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3) | Expenses net of fee waivers and/or recoupments, if any(2)(3) | Expenses net of all reductions/additions(2)(3) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
ING Franklin Income Portfolio (Continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.03 | 0.27 | 0.31 | 0.58 | — | — | — | — | 10.61 | 5.78 | 1.02 | 1.02 | 1.02 | 5.71 | 525,793 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.38 | 0.52 | • | 0.65 | 1.17 | 0.52 | — | — | 0.52 | 10.03 | 12.97 | 1.03 | 1.01 | † | 1.01 | † | 5.45 | † | 480,911 | 48 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.65 | 0.50 | • | 1.81 | 2.31 | 0.58 | — | — | 0.58 | 9.38 | 31.51 | 1.05 | 0.99 | 0.99 | 6.06 | 465,967 | 48 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 11.19 | 0.66 | • | (3.82 | ) | (3.16 | ) | 0.30 | 0.08 | — | 0.38 | 7.65 | (28.98 | ) | 1.03 | 0.99 | 0.99 | 6.81 | 310,156 | 38 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.03 | 0.62 | • | (0.32 | ) | 0.30 | 0.12 | 0.02 | — | 0.14 | 11.19 | 2.66 | 1.03 | 0.99 | 0.99 | 5.44 | 372,497 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4) - 12-31-06 | 10.00 | 0.35 | • | 0.68 | 1.03 | — | — | — | — | 11.03 | 10.30 | 1.05 | 0.99 | 0.99 | 4.82 | 177,754 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.01 | 0.29 | 0.28 | 0.57 | — | — | — | — | 10.58 | 5.69 | 1.27 | 1.17 | 1.17 | 5.55 | 9,436 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.36 | 0.49 | 0.66 | 1.15 | 0.50 | — | — | 0.50 | 10.01 | 12.80 | 1.28 | 1.16 | † | 1.16 | † | 5.30 | † | 8,986 | 48 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.63 | 0.45 | 1.84 | 2.29 | 0.56 | — | — | 0.56 | 9.36 | 31.27 | 1.30 | 1.14 | 1.14 | 5.90 | 7,860 | 48 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 11.17 | 0.72 | (3.89 | ) | (3.17 | ) | 0.29 | 0.08 | — | 0.37 | 7.63 | (29.11 | ) | 1.28 | 1.14 | 1.14 | 6.57 | 5,878 | 38 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.02 | 0.60 | • | (0.31 | ) | 0.29 | 0.12 | 0.02 | — | 0.14 | 11.17 | 2.56 | 1.28 | 1.14 | 1.14 | 5.32 | 9,017 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||
05-03-06(4) - 12-31-06 | 9.99 | 0.33 | • | 0.70 | 1.03 | — | — | — | — | 11.02 | 10.31 | 1.30 | 1.14 | 1.14 | 4.57 | 2,917 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||
ING Franklin Mutual Shares Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 7.95 | 0.06 | • | 0.38 | 0.46 | — | — | — | — | 8.41 | 5.79 | 1.53 | 1.38 | 1.38 | 1.90 | 6,131 | 17 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 7.20 | 0.18 | • | 0.62 | 0.80 | 0.05 | — | — | 0.05 | 7.95 | 11.15 | 1.53 | 1.38 | 1.38 | 2.46 | 3,717 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 5.73 | 0.06 | 1.42 | 1.48 | 0.01 | — | — | 0.01 | 7.20 | 25.82 | 1.54 | 1.39 | 1.39 | 1.07 | 1 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 9.63 | 0.10 | (3.77 | ) | (3.67 | ) | 0.22 | 0.01 | — | 0.23 | 5.73 | (38.07 | ) | 1.53 | 1.38 | 1.38 | 1.25 | 1 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
04-30-07(4) - 12-31-07 | 10.00 | 0.07 | • | (0.44 | ) | (0.37 | ) | — | 0.00 | * | — | 0.00 | * | 9.63 | (3.67 | ) | 1.53 | 1.38 | 1.38 | 0.98 | 1 | 17 | ||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 8.06 | 0.10 | • | 0.39 | 0.49 | — | — | — | — | 8.55 | 6.08 | 0.78 | 0.78 | 0.78 | 2.44 | 297,994 | 17 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 7.25 | 0.23 | • | 0.63 | 0.86 | 0.05 | — | — | 0.05 | 8.06 | 11.91 | 0.78 | 0.78 | 0.78 | 3.08 | 292,796 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 5.73 | 0.12 | 1.41 | 1.53 | 0.01 | — | — | 0.01 | 7.25 | 26.70 | 0.79 | 0.79 | 0.79 | 1.88 | 290,087 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 9.67 | 0.15 | • | (3.79 | ) | (3.64 | ) | 0.29 | 0.01 | — | 0.30 | 5.73 | (37.61 | ) | 0.78 | 0.78 | 0.78 | 1.88 | 229,057 | 43 | ||||||||||||||||||||||||||||||||||||||||||||
04-30-07(4) - 12-31-07 | 10.00 | 0.10 | • | (0.42 | ) | (0.32 | ) | 0.01 | — | — | 0.01 | 9.67 | (3.19 | ) | 0.78 | 0.78 | 0.78 | 1.48 | 175,811 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 8.04 | 0.09 | • | 0.39 | 0.48 | — | — | — | — | 8.52 | 5.97 | 1.03 | 1.03 | 1.03 | 2.19 | 209,444 | 17 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 7.24 | 0.21 | • | 0.62 | 0.83 | 0.03 | — | — | 0.03 | 8.04 | 11.54 | 1.03 | 1.03 | 1.03 | 2.84 | 209,719 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 5.73 | 0.10 | 1.42 | 1.52 | 0.01 | — | — | 0.01 | 7.24 | 26.52 | 1.04 | 1.04 | 1.04 | 1.63 | 196,104 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 9.66 | 0.13 | (3.78 | ) | (3.65 | ) | 0.27 | 0.01 | — | 0.28 | 5.73 | (37.77 | ) | 1.03 | 1.03 | 1.03 | 1.64 | 153,125 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
04-30-07(4) - 12-31-07 | 10.00 | 0.05 | • | (0.39 | ) | (0.34 | ) | — | 0.00 | * | — | 0.00 | * | 9.66 | (3.37 | ) | 1.03 | 1.03 | 1.03 | 0.81 | 217,507 | 17 |
See Accompanying Notes to Financial Statements
23
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED)(CONTINUED)
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 | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3) | Expenses net of fee waivers and/or recoupments, if any(2)(3) | Expenses net of all reductions/additions(2)(3) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
ING JPMorgan Small Cap Core Equity Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 12.90 | (0.02 | )• | 1.07 | 1.05 | — | — | — | — | 13.95 | 8.14 | 1.63 | 1.48 | 1.48 | (0.34 | ) | 13,611 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.24 | 0.03 | • | 2.65 | 2.68 | 0.02 | — | — | 0.02 | 12.90 | 26.27 | 1.63 | 1.48 | † | 1.48 | † | 0.29 | † | 7,587 | 42 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.29 | (0.00 | )* | 2.17 | 2.17 | 0.01 | 0.21 | — | 0.22 | 10.24 | 26.74 | 1.64 | 1.48 | † | 1.48 | † | 0.07 | † | 2,523 | 46 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 13.09 | 0.02 | (3.72 | ) | (3.70 | ) | 0.00 | * | 1.10 | — | 1.10 | 8.29 | (30.14 | ) | 1.63 | 1.46 | † | 1.46 | † | 0.15 | † | 1,619 | 62 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.10 | 0.03 | • | (0.23 | ) | (0.20 | ) | 0.02 | 0.79 | — | 0.81 | 13.09 | (2.09 | ) | 1.63 | 1.45 | 1.45 | 0.23 | 2,602 | 47 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 12.44 | (0.01 | ) | 2.00 | 1.99 | — | 0.33 | — | 0.33 | 14.10 | 16.24 | 1.63 | 1.46 | 1.46 | (0.04 | ) | 1,954 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 13.23 | 0.02 | 1.10 | 1.12 | — | — | — | — | 14.35 | 8.47 | 0.88 | 0.88 | 0.88 | 0.22 | 88,051 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.46 | 0.08 | 2.74 | 2.82 | 0.05 | — | — | 0.05 | 13.23 | 27.07 | 0.88 | 0.88 | † | 0.88 | † | 0.68 | † | 87,387 | 42 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.46 | 0.05 | • | 2.23 | 2.28 | 0.07 | 0.21 | — | 0.28 | 10.46 | 27.59 | 0.89 | 0.88 | † | 0.88 | † | 0.59 | † | 75,550 | 46 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 13.36 | 0.06 | (3.77 | ) | (3.71 | ) | 0.09 | 1.10 | — | 1.19 | 8.46 | (29.74 | ) | 0.88 | 0.86 | † | 0.86 | † | 0.77 | † | 113,694 | 62 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.33 | 0.12 | (0.25 | ) | (0.13 | ) | 0.05 | 0.79 | — | 0.84 | 13.36 | (1.56 | ) | 0.88 | 0.85 | 0.85 | 0.81 | 117,034 | 47 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 12.57 | 0.06 | 2.04 | 2.10 | 0.01 | 0.33 | — | 0.34 | 14.33 | 16.95 | 0.88 | 0.86 | 0.86 | 0.50 | 131,532 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 13.14 | 0.00 | * | 1.09 | 1.09 | — | — | — | — | 14.23 | 8.30 | 1.13 | 1.13 | 1.13 | (0.03 | ) | 288,277 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.40 | 0.04 | 2.73 | 2.77 | 0.03 | — | — | 0.03 | 13.14 | 26.72 | 1.13 | 1.13 | † | 1.13 | † | 0.50 | † | 291,400 | 42 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.40 | 0.04 | 2.21 | 2.25 | 0.04 | 0.21 | — | 0.25 | 10.40 | 27.34 | 1.14 | 1.13 | † | 1.13 | † | 0.41 | † | 173,314 | 46 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 13.27 | 0.07 | (3.79 | ) | (3.72 | ) | 0.05 | 1.10 | — | 1.15 | 8.40 | (29.95 | ) | 1.13 | 1.11 | † | 1.11 | † | 0.49 | † | 138,139 | 62 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.23 | 0.08 | (0.23 | ) | (0.15 | ) | 0.02 | 0.79 | — | 0.81 | 13.27 | (1.69 | ) | 1.13 | 1.10 | 1.10 | 0.56 | 251,078 | 47 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 12.51 | 0.03 | 2.02 | 2.05 | — | 0.33 | — | 0.33 | 14.23 | 16.63 | 1.13 | 1.11 | 1.11 | 0.25 | 248,675 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 13.03 | (0.01 | ) | 1.09 | 1.08 | — | — | — | — | 14.11 | 8.29 | 1.38 | 1.28 | 1.28 | (0.18 | ) | 37,795 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.31 | 0.04 | 2.69 | 2.73 | 0.01 | — | — | 0.01 | 13.03 | 26.53 | 1.38 | 1.28 | † | 1.28 | † | 0.28 | † | 38,636 | 42 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.33 | 0.03 | 2.18 | 2.21 | 0.02 | 0.21 | — | 0.23 | 10.31 | 27.06 | 1.39 | 1.28 | † | 1.28 | † | 0.25 | † | 34,234 | 46 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 13.16 | 0.05 | (3.75 | ) | (3.70 | ) | 0.03 | 1.10 | — | 1.13 | 8.33 | (30.03 | ) | 1.38 | 1.26 | † | 1.26 | † | 0.34 | † | 30,011 | 62 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.13 | 0.06 | (0.24 | ) | (0.18 | ) | — | 0.79 | — | 0.79 | 13.16 | (1.90 | ) | 1.38 | 1.25 | 1.25 | 0.41 | 50,954 | 47 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 12.44 | 0.01 | 2.01 | 2.02 | — | 0.33 | — | 0.33 | 14.13 | 16.48 | 1.38 | 1.26 | 1.26 | 0.09 | 54,106 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||||
ING Large Cap Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 12.86 | 0.02 | • | 0.90 | 0.92 | — | — | — | — | 13.78 | 7.15 | 1.43 | 1.20 | 1.20 | 0.31 | 38,938 | 43 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.34 | 0.04 | • | 1.53 | 1.57 | 0.05 | — | — | 0.05 | 12.86 | 13.91 | 1.37 | 1.20 | † | 1.20 | † | 0.32 | † | 8,618 | 134 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.01 | 0.02 | 3.31 | 3.33 | — | — | — | — | 11.34 | 41.57 | 1.36 | 1.20 | † | 1.20 | † | 0.17 | † | 1 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.65 | 0.03 | (3.32 | ) | (3.29 | ) | — | 1.35 | — | 1.35 | 8.01 | (27.86 | ) | 1.35 | 1.20 | † | 1.19 | † | 0.33 | † | 1 | 46 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.52 | (0.03 | )• | 1.31 | 1.28 | 0.04 | 0.11 | — | 0.15 | 12.65 | 11.09 | 1.35 | 1.20 | 1.19 | (0.20 | ) | 1 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4) - 12-31-06 | 11.52 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 11.52 | — | 1.35 | 1.20 | 1.18 | (1.18 | ) | 1 | 123 |
See Accompanying Notes to Financial Statements
24
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED)(CONTINUED)
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 | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3) | Expenses net of fee waivers and/or recoupments, if any(2)(3) | Expenses net of all reductions/additions(2)(3) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
ING Large Cap Growth Portfolio (Continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 13.27 | 0.06 | • | 0.93 | 0.99 | — | — | — | — | 14.26 | 7.46 | 0.68 | 0.60 | 0.60 | 0.86 | 605,814 | 43 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.63 | 0.09 | 1.60 | 1.69 | 0.05 | — | — | 0.05 | 13.27 | 14.59 | 0.62 | 0.60 | † | 0.60 | † | 0.69 | † | 299,170 | 134 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.19 | 0.07 | • | 3.42 | 3.49 | 0.05 | — | — | 0.05 | 11.63 | 42.73 | 0.61 | 0.60 | † | 0.60 | † | 0.68 | † | 282,862 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.88 | 0.10 | (3.38 | ) | (3.28 | ) | 0.06 | 1.35 | — | 1.41 | 8.19 | (27.34 | ) | 0.60 | 0.60 | † | 0.59 | † | 0.89 | † | 120,012 | 46 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.64 | 0.05 | • | 1.34 | 1.39 | 0.04 | 0.11 | — | 0.15 | 12.88 | 11.92 | 0.60 | 0.60 | 0.59 | 0.41 | 186,021 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 10.99 | 0.04 | 0.61 | 0.65 | — | — | — | — | 11.64 | 5.91 | 0.60 | 0.60 | 0.58 | 0.31 | 190,233 | 123 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 13.14 | 0.04 | • | 0.93 | 0.97 | — | — | — | — | 14.11 | 7.38 | 0.93 | 0.85 | 0.85 | 0.62 | 285,599 | 43 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.54 | 0.04 | 1.60 | 1.64 | 0.04 | — | — | 0.04 | 13.14 | 14.25 | 0.87 | 0.85 | † | 0.85 | † | 0.45 | † | 131,155 | 134 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.14 | 0.04 | • | 3.40 | 3.44 | 0.04 | — | — | 0.04 | 11.54 | 42.45 | 0.86 | 0.85 | † | 0.85 | † | 0.41 | † | 95,580 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.80 | 0.07 | • | (3.36 | ) | (3.29 | ) | 0.02 | 1.35 | — | 1.37 | 8.14 | (27.55 | ) | 0.85 | 0.85 | † | 0.84 | † | 0.67 | † | 9,156 | 46 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.57 | 0.03 | 1.32 | 1.35 | 0.01 | 0.11 | — | 0.12 | 12.80 | 11.65 | 0.85 | 0.85 | 0.84 | 0.17 | 8,688 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 10.96 | 0.01 | 0.60 | 0.61 | — | — | — | — | 11.57 | 5.57 | 0.85 | 0.85 | 0.83 | 0.07 | 10,618 | 123 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 13.13 | 0.03 | • | 0.93 | 0.96 | — | — | — | — | 14.09 | 7.31 | 1.18 | 1.00 | 1.00 | 0.50 | 5,002 | 43 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.51 | 0.04 | 1.58 | 1.62 | — | — | — | — | 13.13 | 14.11 | 1.12 | 1.00 | † | 1.00 | † | 0.30 | † | 988 | 134 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.10 | 0.03 | • | 3.38 | 3.41 | 0.00 | * | — | — | — | 11.51 | 42.11 | 1.11 | 1.00 | † | 1.00 | † | 0.37 | † | 879 | 19 | |||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.74 | 0.06 | (3.35 | ) | (3.29 | ) | 0.00 | * | 1.35 | — | 1.35 | 8.10 | (27.63 | ) | 1.10 | 1.00 | † | 0.99 | † | 0.49 | † | 802 | 46 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 11.52 | 0.00 | •* | 1.33 | 1.33 | — | 0.11 | — | 0.11 | 12.74 | 11.52 | 1.10 | 1.00 | 0.99 | 0.02 | 1,301 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 10.93 | (0.01 | ) | 0.60 | 0.59 | — | — | — | — | 11.52 | 5.40 | 1.10 | 1.00 | 0.98 | (0.08 | ) | 1,331 | 123 | ||||||||||||||||||||||||||||||||||||||||||||||
ING Large Cap Value Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 8.05 | 0.09 | • | 0.24 | 0.33 | — | — | — | — | 8.38 | 4.10 | 1.54 | 1.29 | 1.29 | 2.11 | 2,372 | 65 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 6.92 | 0.12 | 1.17 | 1.29 | 0.16 | — | — | 0.16 | 8.05 | 18.96 | 1.54 | 1.29 | † | 1.29 | † | 1.61 | † | 1 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.18 | 0.14 | 0.60 | 0.74 | — | — | — | — | 6.92 | 11.97 | 1.58 | 1.29 | † | 1.28 | † | 2.37 | † | 1 | 34 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 9.18 | 0.20 | (3.00 | ) | (2.80 | ) | 0.19 | — | 0.01 | 0.20 | 6.18 | (30.38 | ) | 1.56 | 1.29 | † | 1.29 | † | 2.44 | † | 1 | 23 | ||||||||||||||||||||||||||||||||||||||||||
05-11-07(4) - 12-31-07 | 10.00 | 0.15 | (0.89 | ) | (0.74 | ) | 0.08 | — | — | 0.08 | 9.18 | (7.39 | ) | 1.53 | 1.29 | 1.28 | 2.35 | 1 | 20 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 8.06 | 0.11 | • | 0.25 | 0.36 | — | — | — | — | 8.42 | 4.47 | 0.79 | 0.69 | 0.69 | 2.61 | 237,642 | 65 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 6.94 | 0.18 | 1.14 | 1.32 | 0.20 | — | — | 0.20 | 8.06 | 19.37 | 0.79 | 0.69 | † | 0.69 | † | 2.32 | † | 142,983 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.16 | 0.19 | 0.59 | 0.78 | — | — | — | — | 6.94 | 12.66 | 0.83 | 0.69 | † | 0.68 | † | 2.98 | † | 129,369 | 34 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 9.18 | 0.24 | (3.02 | ) | (2.78 | ) | 0.23 | — | 0.01 | 0.24 | 6.16 | (30.12 | ) | 0.81 | 0.69 | † | 0.69 | † | 3.06 | † | 116,455 | 23 | ||||||||||||||||||||||||||||||||||||||||||
05-11-07(4) - 12-31-07 | 10.00 | 0.19 | • | (0.88 | ) | (0.69 | ) | 0.13 | — | — | 0.13 | 9.18 | (6.94 | ) | 0.78 | 0.69 | 0.68 | 3.16 | 165,905 | 20 |
See Accompanying Notes to Financial Statements
25
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED)(CONTINUED)
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 | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3) | Expenses net of fee waivers and/or recoupments, if any(2)(3) | Expenses net of all reductions/additions(2)(3) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
ING Large Cap Value Portfolio (Continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 8.01 | 0.10 | • | 0.25 | 0.35 | — | — | — | — | 8.36 | 4.37 | 1.04 | 0.94 | 0.94 | 2.45 | 66,616 | 65 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 6.90 | 0.15 | • | 1.15 | 1.30 | 0.19 | — | — | 0.19 | 8.01 | 19.22 | 1.04 | 0.94 | † | 0.94 | † | 2.07 | † | 3 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.14 | 0.15 | • | 0.61 | 0.76 | — | — | — | — | 6.90 | 12.38 | 1.08 | 0.94 | † | 0.93 | † | 2.45 | † | 3 | 34 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 9.18 | 0.22 | (3.02 | ) | (2.80 | ) | 0.23 | — | 0.01 | 0.24 | 6.14 | (30.34 | ) | 1.06 | 0.94 | † | 0.94 | † | 2.70 | † | 1 | 23 | ||||||||||||||||||||||||||||||||||||||||||
05-11-07(4) - 12-31-07 | 10.00 | 0.17 | • | (0.89 | ) | (0.72 | ) | 0.10 | — | — | 0.10 | 9.18 | (7.17 | ) | 1.03 | 0.94 | 0.93 | 2.73 | 1 | 20 | ||||||||||||||||||||||||||||||||||||||||||||
ING Limited Maturity Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.15 | 0.07 | • | 0.03 | 0.10 | — | — | — | — | 10.25 | 0.99 | 1.03 | 0.88 | 0.88 | 1.35 | 16,689 | 177 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.27 | 0.14 | • | 0.16 | 0.30 | 0.42 | — | — | 0.42 | 10.15 | 2.97 | 1.02 | 0.87 | † | 0.87 | † | 1.36 | † | 9,294 | 434 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10.19 | 0.31 | 0.34 | 0.65 | 0.48 | 0.09 | — | 0.57 | 10.27 | 6.48 | 1.02 | 0.87 | † | 0.87 | † | 2.92 | † | 1 | 460 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 11.01 | 0.41 | (0.47 | ) | (0.06 | ) | 0.68 | 0.08 | — | 0.76 | 10.19 | (0.73 | ) | 1.02 | 0.87 | † | 0.87 | † | 3.83 | † | 1 | 310 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 10.66 | 0.45 | 0.10 | 0.55 | 0.20 | — | — | 0.20 | 11.01 | 5.23 | 1.02 | 0.87 | † | 0.87 | † | 4.19 | † | 1 | 439 | |||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4) - 12-31-06 | 10.80 | 0.28 | • | 0.00 | * | 0.28 | 0.42 | — | — | 0.42 | 10.66 | 2.68 | 1.03 | 0.88 | † | 0.88 | † | 3.84 | † | 1 | 352 | |||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.32 | 0.10 | • | 0.03 | 0.13 | — | — | — | — | 10.45 | 1.26 | 0.28 | 0.28 | 0.28 | 1.93 | 46,139 | 177 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.38 | 0.29 | • | 0.07 | 0.36 | 0.42 | — | — | 0.42 | 10.32 | 3.52 | 0.27 | 0.27 | † | 0.27 | † | 2.77 | † | 60,020 | 434 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10.28 | 0.37 | • | 0.38 | 0.75 | 0.56 | 0.09 | — | 0.65 | 10.38 | 7.41 | 0.27 | 0.27 | † | 0.27 | † | 3.52 | † | 113,672 | 460 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 11.09 | 0.49 | • | (0.46 | ) | 0.03 | 0.76 | 0.08 | — | 0.84 | 10.28 | 0.06 | 0.27 | 0.27 | † | 0.27 | † | 4.45 | † | 213,975 | 310 | |||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 10.70 | 0.52 | • | 0.12 | 0.64 | 0.25 | — | — | 0.25 | 11.09 | 6.09 | 0.27 | 0.27 | † | 0.27 | † | 4.78 | † | 487,841 | 439 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 10.70 | 0.49 | • | (0.07 | ) | 0.42 | 0.42 | — | — | 0.42 | 10.70 | 4.02 | 0.28 | 0.28 | † | 0.28 | † | 4.64 | † | 118,858 | 352 | |||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.35 | 0.09 | • | 0.03 | 0.12 | — | — | — | — | 10.47 | 1.16 | 0.53 | 0.53 | 0.53 | 1.67 | 169,007 | 177 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.42 | 0.24 | • | 0.08 | 0.32 | 0.39 | — | — | 0.39 | 10.35 | 3.13 | 0.52 | 0.52 | † | 0.52 | † | 2.32 | † | 179,330 | 434 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10.31 | 0.34 | • | 0.38 | 0.72 | 0.52 | 0.09 | — | 0.61 | 10.42 | 7.16 | 0.52 | 0.52 | † | 0.52 | † | 3.30 | † | 196,325 | 460 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 11.12 | 0.45 | • | (0.45 | ) | (0.00 | )* | 0.73 | 0.08 | — | 0.81 | 10.31 | (0.23 | ) | 0.52 | 0.52 | † | 0.52 | † | 4.13 | † | 205,438 | 310 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 10.73 | 0.50 | • | 0.11 | 0.61 | 0.22 | — | — | 0.22 | 11.12 | 5.77 | 0.52 | 0.52 | † | 0.52 | † | 4.55 | † | 251,309 | 439 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 10.72 | 0.46 | • | (0.06 | ) | 0.40 | 0.39 | — | — | 0.39 | 10.73 | 3.83 | 0.53 | 0.53 | † | 0.53 | † | 4.27 | † | 295,289 | 352 | |||||||||||||||||||||||||||||||||||||||||||
ING PIMCO High Yield Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.22 | 0.34 | 0.06 | 0.40 | 0.32 | — | — | 0.32 | 10.30 | 3.96 | 1.25 | 1.10 | 1.10 | 6.73 | 40,963 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.64 | 0.63 | • | 0.66 | 1.29 | 0.71 | — | — | 0.71 | 10.22 | 13.87 | 1.24 | 1.09 | 1.09 | 6.34 | 26,663 | 28 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.01 | 0.62 | 2.67 | 3.29 | 0.66 | — | — | 0.66 | 9.64 | 48.93 | 1.25 | 1.10 | 1.10 | 8.54 | 1,464 | 70 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 9.88 | 0.64 | • | (2.80 | ) | (2.16 | ) | 0.65 | 0.00 | * | 0.06 | 0.71 | 7.01 | (22.84 | ) | 1.24 | 1.09 | 1.09 | 7.24 | 211 | 416 | |||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 10.32 | 0.66 | (0.41 | ) | 0.25 | 0.64 | 0.05 | — | 0.69 | 9.88 | 2.46 | 1.25 | 1.10 | 1.10 | 6.49 | 315 | 153 | |||||||||||||||||||||||||||||||||||||||||||||||
05-22-06(4) - 12-31-06 | 10.14 | 0.39 | 0.19 | 0.58 | 0.31 | 0.09 | — | 0.40 | 10.32 | 5.83 | 1.25 | 1.10 | 1.10 | 6.47 | 3 | 72 |
See Accompanying Notes to Financial Statements
26
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED)(CONTINUED)
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 | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3) | Expenses net of fee waivers and/or recoupments, if any(2)(3) | Expenses net of all reductions/additions(2)(3) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
ING PIMCO High Yield Portfolio (Continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.22 | 0.37 | 0.06 | 0.43 | 0.35 | — | — | 0.35 | 10.30 | 4.27 | 0.50 | 0.50 | 0.50 | 7.28 | 220,185 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.65 | 0.69 | 0.66 | 1.35 | 0.78 | — | — | 0.78 | 10.22 | 14.53 | 0.49 | 0.49 | 0.49 | 6.97 | 267,671 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.02 | 0.75 | • | 2.59 | 3.34 | 0.71 | — | — | 0.71 | 9.65 | 49.77 | 0.50 | 0.50 | 0.50 | 9.84 | 57,950 | 70 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 9.88 | 0.66 | (2.76 | ) | (2.10 | ) | 0.70 | 0.00 | * | 0.06 | 0.76 | 7.02 | (22.37 | ) | 0.49 | 0.49 | 0.49 | 8.50 | 405,134 | 416 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 10.31 | 0.71 | (0.39 | ) | 0.32 | 0.70 | 0.05 | — | 0.75 | 9.88 | 3.12 | 0.50 | 0.50 | 0.50 | 6.93 | 45,773 | 153 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 10.20 | 0.72 | • | 0.18 | 0.90 | 0.70 | 0.09 | — | 0.79 | 10.31 | 9.22 | 0.50 | 0.50 | 0.50 | 7.11 | 162,093 | 72 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.22 | 0.36 | 0.05 | 0.41 | 0.34 | — | — | 0.34 | 10.29 | 4.03 | 0.75 | 0.75 | 0.75 | 7.06 | 639,959 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.65 | 0.68 | • | 0.65 | 1.33 | 0.76 | — | — | 0.76 | 10.22 | 14.25 | 0.74 | 0.74 | 0.74 | 6.80 | 631,092 | 28 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.02 | 0.76 | 2.56 | 3.32 | 0.69 | — | — | 0.69 | 9.65 | 49.37 | 0.75 | 0.75 | 0.75 | 9.18 | 470,270 | 70 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 9.89 | 0.67 | • | (2.80 | ) | (2.13 | ) | 0.68 | 0.00 | * | 0.06 | 0.74 | 7.02 | (22.53 | ) | 0.74 | 0.74 | 0.74 | 7.58 | 358,998 | 416 | |||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 10.32 | 0.69 | • | (0.40 | ) | 0.29 | 0.67 | 0.05 | — | 0.72 | 9.89 | 2.86 | 0.75 | 0.75 | 0.75 | 6.76 | 614,158 | 153 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 10.21 | 0.70 | 0.17 | 0.87 | 0.67 | 0.09 | — | 0.76 | 10.32 | 8.95 | 0.75 | 0.75 | 0.75 | 6.85 | 689,288 | 72 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.22 | 0.32 | 0.10 | 0.42 | 0.33 | — | — | 0.33 | 10.31 | 4.12 | 1.00 | 0.90 | 0.90 | 7.05 | 1,356 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.66 | 0.65 | 0.62 | 1.27 | 0.71 | — | — | 0.71 | 10.22 | 13.65 | 0.99 | 0.89 | 0.89 | 6.50 | 10 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.02 | 0.74 | 2.59 | 3.33 | 0.69 | — | — | 0.69 | 9.66 | 49.57 | 1.00 | 0.90 | 0.90 | 9.01 | 1 | 70 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 9.90 | 0.66 | • | (2.80 | ) | (2.14 | ) | 0.68 | 0.00 | * | 0.06 | 0.74 | 7.02 | (22.60 | ) | 0.99 | 0.89 | 0.89 | 7.48 | 1 | 416 | |||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 10.32 | 0.67 | (0.38 | ) | 0.29 | 0.66 | 0.05 | — | 0.71 | 9.90 | 2.84 | 1.00 | 0.90 | 0.90 | 6.57 | 1 | 153 | |||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4) - 12-31-06 | 10.32 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 10.32 | — | 1.00 | 0.90 | 0.90 | (0.90 | ) | 1 | 72 | |||||||||||||||||||||||||||||||||||||||||||||
ING Pioneer Fund Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.12 | 0.05 | • | 0.43 | 0.48 | — | — | — | — | 11.60 | 4.32 | 1.48 | 1.33 | 1.33 | 0.84 | 1,135 | 7 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.74 | 0.08 | • | 1.42 | 1.50 | 0.12 | — | — | 0.12 | 11.12 | 15.41 | 1.48 | 1.33 | † | 1.33 | † | 0.74 | † | 611 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.93 | 0.11 | • | 1.77 | 1.88 | 0.07 | — | — | 0.07 | 9.74 | 23.74 | 1.48 | 1.31 | † | 1.30 | † | 1.32 | † | 1 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 13.02 | 0.13 | (4.56 | ) | (4.43 | ) | 0.20 | 0.45 | 0.01 | 0.66 | 7.93 | (34.98 | ) | 1.48 | 1.29 | † | 1.28 | † | 1.12 | † | 1 | 13 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12.89 | 0.08 | • | 0.52 | 0.60 | 0.16 | 0.31 | — | 0.47 | 13.02 | 4.51 | 1.49 | 1.29 | 1.29 | 0.61 | 1 | 24 | |||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4) - 12-31-06 | 12.89 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 12.89 | — | 1.51 | 1.31 | 1.31 | (1.31 | ) | 1 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.16 | 0.08 | 0.43 | 0.51 | — | — | — | — | 11.67 | 4.57 | 0.73 | 0.73 | 0.73 | 1.41 | 34,531 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.73 | 0.13 | 1.43 | 1.56 | 0.13 | — | — | 0.13 | 11.16 | 16.13 | 0.73 | 0.73 | † | 0.73 | † | 1.37 | † | 34,623 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.92 | 0.15 | 1.79 | 1.94 | 0.13 | — | — | 0.13 | 9.73 | 24.45 | 0.73 | 0.71 | † | 0.70 | † | 1.79 | † | 28,964 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 13.16 | 0.22 | (4.62 | ) | (4.40 | ) | 0.38 | 0.45 | 0.01 | 0.84 | 7.92 | (34.53 | ) | 0.73 | 0.69 | † | 0.68 | † | 1.75 | † | 23,411 | 13 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12.92 | 0.16 | 0.55 | 0.71 | 0.16 | 0.31 | — | 0.47 | 13.16 | 5.36 | 0.74 | 0.69 | 0.69 | 1.24 | 41,028 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 11.04 | 0.16 | 1.72 | 1.88 | — | — | — | — | 12.92 | 17.03 | 0.76 | 0.71 | 0.71 | 1.33 | 31,524 | 19 |
See Accompanying Notes to Financial Statements
27
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED)(CONTINUED)
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 | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3) | Expenses net of fee waivers and/or recoupments, if any(2)(3) | Expenses net of all reductions/additions(2)(3) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
ING Pioneer Fund Portfolio (Continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.17 | 0.07 | 0.43 | 0.50 | — | — | — | — | 11.67 | 4.48 | 0.98 | 0.98 | 0.98 | 1.15 | 59,678 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.74 | 0.11 | 1.43 | 1.54 | 0.11 | — | — | 0.11 | 11.17 | 15.85 | 0.98 | 0.98 | † | 0.98 | † | 1.12 | † | 61,972 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.93 | 0.13 | • | 1.79 | 1.92 | 0.11 | — | — | 0.11 | 9.74 | 24.15 | 0.98 | 0.96 | † | 0.95 | † | 1.54 | † | 55,060 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 13.12 | 0.20 | (4.62 | ) | (4.42 | ) | 0.31 | 0.45 | 0.01 | 0.77 | 7.93 | (34.72 | ) | 0.98 | 0.94 | † | 0.93 | † | 1.50 | † | 49,041 | 13 | ||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12.89 | 0.14 | 0.53 | 0.67 | 0.13 | 0.31 | — | 0.44 | 13.12 | 5.07 | 0.99 | 0.94 | 0.94 | 0.98 | 94,535 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 11.04 | 0.12 | 1.73 | 1.85 | — | — | — | — | 12.89 | 16.76 | 1.01 | 0.96 | 0.96 | 1.08 | 98,788 | 19 | ||||||||||||||||||||||||||||||||||||||||||||||||
ING Templeton Global Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.12 | 0.12 | 0.79 | 0.91 | — | — | — | — | 12.03 | 8.18 | 1.64 | 1.49 | 1.49 | 2.02 | 1 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.52 | 0.12 | 0.61 | 0.73 | 0.13 | — | — | 0.13 | 11.12 | 7.14 | 1.65 | 1.50 | 1.49 | 1.16 | 1 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.11 | 0.11 | • | 2.44 | 2.55 | 0.14 | — | — | 0.14 | 10.52 | 31.87 | 1.66 | 1.51 | 1.51 | 1.22 | 1 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 14.20 | 0.18 | • | (5.72 | ) | (5.54 | ) | 0.05 | 0.50 | — | 0.55 | 8.11 | (40.06 | ) | 1.64 | 1.49 | 1.49 | 1.60 | 1 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.39 | 0.13 | • | 0.19 | 0.32 | 0.18 | 0.33 | — | 0.51 | 14.20 | 2.01 | 1.66 | 1.50 | 1.50 | 0.89 | 1 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4) - 12-31-06 | 14.39 | (0.00 | )* | — | (0.00 | )* | — | — | — | — | 14.39 | — | 1.68 | 1.53 | 1.53 | (1.53 | ) | 1 | 20 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.25 | 0.15 | • | 0.83 | 0.98 | — | — | — | — | 12.23 | 8.71 | 0.89 | 0.89 | 0.89 | 2.62 | 299,838 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.61 | 0.18 | 0.65 | 0.83 | 0.19 | — | — | 0.19 | 11.25 | 8.04 | 0.90 | 0.90 | 0.89 | 1.68 | 292,127 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.21 | 0.17 | • | 2.47 | 2.64 | 0.24 | — | — | 0.24 | 10.61 | 32.73 | 0.91 | 0.91 | 0.91 | 1.93 | 289,255 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 14.38 | 0.24 | • | (5.75 | ) | (5.51 | ) | 0.16 | 0.50 | — | 0.66 | 8.21 | (39.57 | ) | 0.89 | 0.89 | 0.89 | 2.19 | 229,007 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.47 | 0.12 | • | 0.30 | 0.42 | 0.18 | 0.33 | — | 0.51 | 14.38 | 2.69 | 0.90 | 0.90 | 0.90 | 0.82 | 177,447 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4) - 12-31-06 | 14.83 | 0.15 | • | 1.37 | 1.52 | 0.17 | 1.71 | — | 1.88 | 14.47 | 12.03 | 0.93 | 0.93 | 0.93 | 1.58 | 1 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.28 | 0.14 | • | 0.83 | 0.97 | — | — | — | — | 12.25 | 8.60 | 1.14 | 1.14 | 1.14 | 2.38 | 306,136 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.64 | 0.15 | • | 0.65 | 0.80 | 0.16 | — | — | 0.16 | 11.28 | 7.75 | 1.15 | 1.15 | 1.14 | 1.43 | 298,922 | 7 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.23 | 0.15 | • | 2.46 | 2.61 | 0.20 | — | — | 0.20 | 10.64 | 32.30 | 1.16 | 1.16 | 1.16 | 1.64 | 311,920 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 14.39 | 0.26 | (5.80 | ) | (5.54 | ) | 0.12 | 0.50 | — | 0.62 | 8.23 | (39.68 | ) | 1.14 | 1.14 | 1.14 | 2.07 | 244,440 | 12 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.49 | 0.18 | • | 0.20 | 0.38 | 0.15 | 0.33 | — | 0.48 | 14.39 | 2.41 | 1.15 | 1.15 | 1.15 | 1.22 | 466,444 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.61 | 0.17 | 2.56 | 2.73 | 0.14 | 1.71 | — | 1.85 | 14.49 | 21.92 | 1.18 | 1.18 | 1.17 | 1.28 | 478,331 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 11.21 | 0.13 | • | 0.82 | 0.95 | — | — | — | — | 12.16 | 8.47 | 1.39 | 1.29 | 1.29 | 2.24 | 4,733 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.58 | 0.14 | 0.64 | 0.78 | 0.15 | — | — | 0.15 | 11.21 | 7.56 | 1.40 | 1.30 | 1.29 | 1.28 | 4,733 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8.18 | 0.13 | • | 2.45 | 2.58 | 0.18 | — | — | 0.18 | 10.58 | 32.08 | 1.41 | 1.31 | 1.31 | 1.50 | 4,692 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 14.29 | 0.27 | (5.79 | ) | (5.52 | ) | 0.09 | 0.50 | — | 0.59 | 8.18 | (39.77 | ) | 1.39 | 1.29 | 1.29 | 1.93 | 3,738 | 12 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 14.39 | 0.17 | 0.19 | 0.36 | 0.13 | 0.33 | — | 0.46 | 14.29 | 2.31 | 1.40 | 1.30 | 1.30 | 1.08 | 8,171 | 23 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 13.54 | 0.14 | 2.55 | 2.69 | 0.13 | 1.71 | — | 1.84 | 14.39 | 21.71 | 1.43 | 1.33 | 1.32 | 1.11 | 8,480 | 20 |
See Accompanying Notes to Financial Statements
28
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED)(CONTINUED)
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 | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3) | Expenses net of fee waivers and/or recoupments, if any(2)(3) | Expenses net of all reductions/additions(2)(3) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
ING U.S. Stock Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.76 | 0.07 | • | 0.54 | 0.61 | — | — | — | — | 11.37 | 5.67 | 1.01 | 0.79 | 0.79 | 1.21 | 16,596 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.56 | 0.13 | • | 1.21 | 1.34 | 0.14 | — | — | 0.14 | 10.76 | 14.06 | 1.01 | 0.79 | † | 0.79 | † | 1.29 | † | 10,554 | 24 | ||||||||||||||||||||||||||||||||||||||||||||
05-28-09(4) - 12-31-09 | 7.75 | 0.12 | • | 1.74 | 1.86 | 0.05 | — | — | 0.05 | 9.56 | 23.99 | 1.01 | 0.79 | † | 0.79 | † | 2.20 | † | 155 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.92 | 0.10 | 0.54 | 0.64 | — | — | — | — | 11.56 | 5.86 | 0.26 | 0.26 | 0.26 | 1.72 | 3,653,087 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.66 | 0.18 | • | 1.24 | 1.42 | 0.16 | — | — | 0.16 | 10.92 | 14.74 | 0.26 | 0.26 | † | 0.26 | † | 1.79 | † | 3,645,772 | 24 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.70 | 0.18 | • | 1.84 | 2.02 | 0.06 | — | — | 0.06 | 9.66 | 26.22 | 0.26 | 0.26 | † | 0.26 | † | 1.99 | † | 3,475,342 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.94 | 0.23 | • | (4.97 | ) | (4.74 | ) | 0.39 | 0.11 | — | 0.50 | 7.70 | (37.12 | ) | 0.26 | 0.26 | † | 0.26 | † | 2.14 | † | 333,552 | 3 | |||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12.85 | 0.23 | 0.46 | 0.69 | 0.22 | 0.38 | — | 0.60 | 12.94 | 5.28 | 0.26 | 0.26 | † | 0.26 | † | 1.90 | † | 481,091 | 4 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-06 | 11.40 | 0.21 | • | 1.52 | 1.73 | 0.19 | 0.09 | — | 0.28 | 12.85 | 15.52 | 0.27 | 0.27 | † | 0.27 | † | 1.74 | † | 405,602 | 9 | ||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.87 | 0.08 | 0.55 | 0.63 | — | — | — | — | 11.50 | 5.80 | 0.51 | 0.50 | 0.50 | 1.49 | 27,381 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.62 | 0.15 | • | 1.23 | 1.38 | 0.13 | — | — | 0.13 | 10.87 | 14.42 | 0.51 | 0.50 | † | 0.50 | † | 1.54 | † | 24,781 | 24 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.67 | 0.15 | • | 1.84 | 1.99 | 0.04 | — | — | 0.04 | 9.62 | 25.97 | 0.51 | 0.51 | † | 0.51 | † | 1.82 | † | 26,732 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.91 | 0.21 | • | (4.96 | ) | (4.75 | ) | 0.38 | 0.11 | — | 0.49 | 7.67 | (37.35 | ) | 0.51 | 0.51 | † | 0.51 | † | 2.03 | † | 14,414 | 3 | |||||||||||||||||||||||||||||||||||||||||
04-30-07(4) - 12-31-07 | 13.49 | 0.18 | • | (0.16 | ) | 0.02 | 0.22 | 0.38 | — | 0.60 | 12.91 | 0.06 | 0.51 | 0.51 | † | 0.51 | † | 2.03 | † | 5,358 | 4 | |||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 10.83 | 0.07 | 0.55 | 0.62 | — | — | — | — | 11.45 | 5.72 | 0.76 | 0.66 | 0.66 | 1.33 | 39,623 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.59 | 0.14 | • | 1.23 | 1.37 | 0.13 | — | — | 0.13 | 10.83 | 14.26 | 0.76 | 0.66 | † | 0.66 | † | 1.40 | † | 31,885 | 24 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.65 | 0.14 | • | 1.83 | 1.97 | 0.03 | — | — | 0.03 | 9.59 | 25.79 | 0.76 | 0.66 | † | 0.66 | † | 1.69 | † | 25,311 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12.89 | 0.19 | • | (4.95 | ) | (4.76 | ) | 0.37 | 0.11 | — | 0.48 | 7.65 | (37.42 | ) | 0.76 | 0.66 | † | 0.66 | † | 1.96 | † | 12,788 | 3 | |||||||||||||||||||||||||||||||||||||||||
08-01-07(4) - 12-31-07 | 12.79 | 0.14 | • | (0.04 | ) | 0.10 | — | — | — | — | 12.89 | 0.78 | 0.76 | 0.66 | † | 0.66 | † | 2.62 | † | 2,005 | 4 |
(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 reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed by the Investment Adviser and/or Distributor or reductions from brokerage commission recapture arrangements, if any, 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 commission recapture 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. |
(4) | Commencement of operations. |
(5) | Class S2 was fully redeemed on October 3, 2005 and recommenced operations on May 26, 2006. |
• | Calculated using average number of shares outstanding throughout the period. |
* | Amount is less than $0.005 or more than $(0.005) or more than (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
29
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED)
NOTE 1 — ORGANIZATION
ING Investors Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act” or the “Act”) as an open-end management investment company. The Trust was organized as a Massachusetts business trust on August 3, 1988 with an unlimited number of shares of beneficial interest with a par value of $0.001 each. The Trust consists of forty-seven active separate investment series. There are twelve series included in this report (each a “Portfolio” and collectively, the “Portfolios”) and they are: ING BlackRock Large Cap Growth Portfolio (“BlackRock Large Cap Growth”), ING Clarion Real Estate Portfolio (“Clarion Real Estate”), ING Franklin Income Portfolio (“Franklin Income”), ING Franklin Mutual Shares Portfolio (“Franklin Mutual Shares”), ING JPMorgan Small Cap Core Equity Portfolio (“JPMorgan Small Cap Core Equity”), ING Large Cap Growth Portfolio (“Large Cap Growth”), ING Large Cap Value Portfolio (“Large Cap Value”), ING Limited Maturity Bond Portfolio (“Limited Maturity Bond”), ING PIMCO High Yield Portfolio (“PIMCO High Yield”), ING Pioneer Fund Portfolio (“Pioneer Fund”), ING Templeton Global Growth Portfolio (“Templeton Global Growth”), and ING U.S. Stock Index Portfolio (“U.S. Stock Index”).
All of the Portfolios are diversified except for Clarion Real Estate, which is a non-diversified Portfolio. All of the Portfolios except Franklin Mutual Shares, Limited maturity Bond and Pioneer Fund are authorized to offer four classes of shares (Adviser (“ADV”), Institutional (“I”), Service (“S”), and Service 2 (“S2”)); Franklin Mutual Shares, Limited Maturity Bond and Pioneer Fund are not authorized to offer S2 Class shares; however, not all Portfolios currently offer all classes. 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. Dividends 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.
The Portfolio’s shares may be offered to insurance company separate accounts serving as investment options under Variable Contracts, Qualified Plans outside the separate account context, custodial accounts, certain investment advisers and their affiliates in connection with the creation or management of the Portfolio, other investment companies and other investors, as permitted.
Directed Services LLC serves as the investment adviser (“DSL” or the “Investment Adviser”) to the Portfolios. ING Investment Management Co. (“ING IM”) serves as the sub-adviser (“IIM” or the “Consultant”) to Large Cap Growth, Large Cap Value, Limited Maturity Bond, and U.S. Stock Index. ING Funds Services, LLC serves as the administrator (“IFS” or the “Administrator”) for certain Portfolios. ING Investments Distributor, LLC (“IID” or the “Distributor”) serves as the principal underwriter to the Portfolios.
The Investment Adviser, ING IM, IFS and IID are indirect, wholly-owned subsidiaries of ING Groep N.V. (“ING Groep”). ING Groep is a global financial institution of Dutch origin offering banking, investments, life insurance and retirement services.
ING Groep has adopted a formal restructuring plan that was approved by the European Commission in November 2009 under which the ING life insurance businesses, including the retirement services and investment management businesses, which include the Investment Adviser and its affiliates, would be separated from ING Groep by the end of 2013. To achieve this goal, ING Groep announced in November 2010 that it plans to pursue two separate initial public offerings: one a U.S. focused offering that would include U.S. based insurance, retirement services, and investment management operations; and the other a European based offering for European and Asian based insurance and investment management operations. There can be no assurance that the restructuring plan will be carried out through two offerings or at all.
The restructuring plan and the uncertainty about its implementation, whether implemented through the planned public offerings or through other means, in whole or in part, may be disruptive to the businesses of ING entities, including the ING entities that service the Portfolios, and may cause, among other things, interruption or reduction of business and services, diversion of management’s attention from day-to day
30
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 1 — ORGANIZATION (continued)
operations, and loss of key employees or customers. A failure to complete the offerings or other means of implementation on favorable terms could have a material adverse impact on the operations of the businesses subject to the restructuring plan. The restructuring plan may result in the Investment Adviser’s and/or Sub-Advisers’ loss of access to services and resources of ING Groep, which could adversely affect their businesses and profitability. In addition, the divestment of ING businesses, including the Investment Adviser and Sub-Advisers, may potentially be deemed a “change of control” of each entity. A change of control would result in the termination of the Portfolios’ advisory and sub-advisory agreements, which would trigger the necessity for new agreements that would require approval of the board, and may trigger the need for shareholder approval. Currently, the Investment Adviser does not anticipate that the restructuring will have a material adverse impact on the Portfolios or their operations and administration.
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 will be valued daily in U.S. dollars on the basis of the foreign currency exchange rates prevailing at that time. Debt securities 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. Investments in open-end mutual funds are valued at net asset value. Investments in securities, of sufficient credit quality, maturing in 60 days or less are valued at amortized cost which approximates fair value.
Securities for which valuations are 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 which use prices provided by market-makers or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics.
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 by the 1940 Act, and as determined in good faith by or under the supervision of the Portfolios’ Board of 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 net asset value (“NAV”) may also be valued at their fair values, as defined by the Act, as determined in good faith by or under the supervision of a Portfolio’s 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. If a significant event which is likely to impact the value of one or more foreign securities held by a Portfolio occurs after the time at which the foreign market for such security(ies) closes but before the time that a Portfolio’s NAV is calculated on any business day, such event may be taken into account in determining the fair value of such security(ies) at the time a Portfolio calculates its net asset value. For these purposes, significant events after the close of trading on a foreign market may include, among others, securities trading in
31
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
the U.S. and other markets, corporate announcements, natural and other disasters, and political and other events. Among other elements of analysis, the Board has authorized the use of one or more research services to assist with the determination of the fair value of foreign securities in light of significant events. Research services use statistical analyses and quantitative models to help determine fair value as of the time a Portfolio calculates its net asset value. Unlike the closing price of a security on an exchange, fair value determinations employ elements of judgment, and 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. The price of silver and gold bullion is determined by measuring the mean between the closing bid and asked quotations of silver and gold bullion set at the time of the close of the NYSE, as supplied by a Portfolio’s custodian bank or other broker-dealers or banks approved by the Trust, on each date that the NYSE is open for business.
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.
For the six months ended June 30, 2011, 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.
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 the Portfolios’ 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 the U.S. government. These risks include, but are not limited to, revaluation of
32
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
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. Distributions to Shareholders. The Portfolios record distributions to their shareholders on the ex-dividend date. Dividends from net investment income, if any, are declared daily and paid monthly by PIMCO High Yield. Limited Maturity Bond may declare a dividend monthly or quarterly. For all other Portfolios, net investment income and net capital gain distributions, if any, will be declared and paid 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.
E. 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 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 expired.
F. 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.
G. Risk Exposures and the use of Derivative Instruments. The 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 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.
33
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (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 the 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. (“ISDA”) 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 June 30, 2011, the maximum amount of loss that Franklin Mutual Shares and PIMCO High Yield would incur if the counterparties to its derivative transactions failed to perform would be $796,526 and $3,815,637, respectively, which represents the gross payments to be received by the Portfolios on open swaps and forward foreign currency transactions were they to be unwound as of June 30, 2011. As of June 30, 2011, PIMCO High Yield received $1,670,000 in cash collateral and $430,000 principal value in U.S. Treasury Bills from various counterparties to mitigate counterparty credit risk.
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 June 30, 2011, Franklin Mutual Shares, Limited Maturity Bond, and PIMCO High Yield had a net liability position of $905,570, $304,086, and $3,358,894, respectively, on open swaps and forward foreign currency contracts with credit related contingent features. If a contingent feature would have been
34
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
triggered as of June 30, 2011, the Portfolios could have been required to pay this amount in cash to its counterparties.
H. Forward Foreign Currency Contracts. Certain Portfolios may enter into forward foreign currency contracts primarily to hedge against foreign currency exchange rate risks on their non-U.S. dollar denominated investment 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 future date. These contracts are valued daily and a Portfolio’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statements of Operations. These instruments involve market and/or credit risk in excess of the amount recognized in the Statements of Assets and Liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Open forward foreign currency contracts are presented following the respective Summary Portfolio of Investments.
During the six months ended June 30, 2011, the following Portfolios had average contract amounts on forward foreign currency contracts to buy and sell as disclosed below:
Purchased | Sold | |||||||
Franklin Mutual Shares | $ | 11,918,038 | $ | 103,355,422 | ||||
Pimco High Yield | 6,675,729 | 49,023,595 |
Both Franklin Mutual Shares and PIMCO High Yield used forward foreign currency contracts primarily to protect its non-U.S. dollar denominated holdings from adverse currency movements. Please refer to the table following the Summary Portfolio of Investments for each respective Portfolio for open forward foreign currency contracts at June 30, 2011.
I. Futures Contracts. Each Portfolio 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. Each 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 the Portfolio’s assets are valued.
Upon entering into a futures contract, each 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 the 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 each Portfolio’s Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in each Portfolio’s Statement of Operations. Realized gains (losses) are reported in each Portfolio’s Statement of Operations at the closing or expiration of futures contracts.
As of June 30, 2011, JPMorgan Small Cap Core Equity has posted $600,000 principal value in U.S. Treasury Notes to the broker for open futures contracts.
Futures contracts are exposed to the market risk factor of the underlying financial instrument. During the six months ended June 30, 2011, JPMorgan Small Cap Core Equity and U.S. Stock Index have purchased futures contracts on various equity indexes to increase exposure to equity risk. In addition, Limited Maturity Bond has purchased and sold futures contracts on various bonds and notes to increase exposure to interest rate risk. Additional associated risks of entering into futures contracts include the possibility that there may be an illiquid market where each 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 each Porfolio’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.
35
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
During the six months ended June 30, 2011, the Portfolios had average notional values on futures contracts purchased and sold as disclosed below:
Buy | Sell | |||||||
JPMorgan Small Cap Core Equity | $ | 6,194,090 | — | |||||
Limited Maturity Bond | 47,805,772 | 27,870,182 | ||||||
U.S. Stock Index | 52,629,925 | — |
J. Options Contracts. Certain Portfolios may purchase put and call options and may write (sell) put options and covered call options on futures, swaps (“swaptions”), securities, commodities or foreign currencies it owns or in which it may invest. The Portfolios may engage in option transactions as a hedge against adverse movements in the value of portfolio holdings or to increase market exposure. Option contracts are valued daily and unrealized gains or losses are recorded based upon the last sales price on the principal exchange on which the options are traded. An amount equal to the premium received by the Portfolios upon the writing of a put or call option is included in the Statements of Assets and Liabilities as a liability which is subsequently marked-to-market until it is exercised or closed, or it expires. The Portfolios will realize a gain or loss upon the expiration or closing of the option contract. When an option is exercised, the proceeds on sales of the underlying security for a written call option, the purchase cost of the security for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Realized and unrealized gains or losses on option contracts are reflected in the accompanying financial statements. The risk in writing a covered call option is that the Portfolios give up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Portfolios may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Portfolios pay a premium whether or not the option is exercised. Risks may also arise from an illiquid secondary market or from the inability of counterparties to meet the terms of the contract. There were no open option contracts at June 30, 2011.
K. 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 Statements of Assets and 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 Statements of Operations. Upfront payments paid or received by a Portfolio when entering into the agreements are reported on the Statements of Assets and Liabilities and as a component of the changes in unrealized gains or losses on the Statements 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 Statements 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 Statements 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
36
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
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 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 following the Summary 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 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 June 30, 2011, for which a Portfolio is seller of protection are disclosed following the 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 six months ended June 30, 2011, certain Portfolios have purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities or credit indices and to hedge against anticipated potential credit events.
For the six months ended June 30, 2011, certain Portfolios have sold credit protection through credit default swaps to gain exposure to the credit risk of individual securities or credit indices that are either unavailable or considered to be less attractive in the bond market.
37
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
For the six months ended June 30, 2011, Limited Maturity Bond and PIMCO High Yield average notional amounts of $2,000,000 and $38,040,220 on credit default swaps to sell protection, respectively.
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 six months ended June 30, 2011, PIMCO High Yield has entered into interest rate swaps in which it pays a floating interest rate and receives 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 was $36,732,164.
For the six months ended June 30, 2011, Limited Maturity Bond has 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 $9,233,000.
Limited Maturity Bond and PIMCO High Yield have 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 for each Portfolio at June 30, 2011.
L. 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 agreement, plus accrued interest, being invested by a 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. If the seller defaults, a Portfolio might incur a loss or delay in the realization of proceeds if the value of the security collateralizing the repurchase agreement declines, and may incur disposition costs in liquidating the collateral.
M. Securities Lending. The Portfolios have the option to loan up to 33 1/3% of their 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 the Portfolio is delayed or prevented from exercising its right to dispose of the collateral. A Portfolio bears the risk of loss with respect to the investment of 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.
N. 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 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.
O. 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 market value of such securities is identified in each Portfolio’s Portfolio of Investments. Losses may arise due to changes in the market 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 identify liquid assets sufficient to cover the purchase price.
P. Indemnifications. In the normal course of business, the Trust may enter into contracts that provide certain indemnifications. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolios and, therefore,
38
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
cannot be estimated; however, based on experience, considers the risk of loss from such claims remote.
NOTE 3 — INVESTMENT TRANSACTIONS
For the six months ended June 30, 2011, the cost of purchases and the proceeds from the sales of securities, excluding U.S. government and short-term securities, were as follows:
Purchases | Sales | |||||||
BlackRock Large Cap Growth | $ | 321,878,284 | $ | 291,943,628 | ||||
Clarion Real Estate | 93,611,144 | 97,255,417 | ||||||
Franklin Income | 108,666,626 | 84,313,118 | ||||||
Franklin Mutual Shares | 81,371,698 | 95,189,847 | ||||||
JPMorgan Small Cap Core Equity | 89,437,494 | 112,930,645 | ||||||
Large Cap Growth | 388,887,740 | 358,349,823 | ||||||
Large Cap Value | 185,059,909 | 182,324,301 | ||||||
Limited Maturity Bond | 69,063,131 | 62,489,293 | ||||||
PIMCO High Yield | 123,898,821 | 163,670,392 | ||||||
Pioneer Fund | 7,060,834 | 11,604,003 | ||||||
Templeton Global Growth | 55,532,717 | 87,402,831 | ||||||
U.S. Stock Index | 307,132,078 | 537,972,081 |
U.S. government securities not included above were as follows:
Purchases | Sales | |||||||
Limited Maturity Bond | $ | 341,736,367 | $ | 374,814,871 |
NOTE 4 — INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES
Franklin Income, Large Cap Growth, and Large Cap Value have entered into an investment management agreement (“Investment Management Agreement”) with DSL.
Each Investment Management Agreement compensates the Investment Adviser (collectively, the “Investment Advisers”) with a fee, computed daily and payable monthly, based on the average daily net assets of each Portfolio, at the following annual rates:
Portfolio | Fee | |
Franklin Income | 0.65% of the first $500 million; and 0.60% of the amount in excess of $500 million | |
Large Cap Growth | 0.55% on all assets | |
Large Cap Value | 0.65% of the first $500 million; and 0.60% of the amount in excess of $500 million |
With the exception of the Portfolios in the table above, DSL, an indirect, wholly-owned subsidiary of ING Groep, provides the Portfolios with advisory and administrative services under a management agreement (the “Unified Agreement”). Under the Unified Agreement, DSL has overall responsibility for engaging sub-advisers and for monitoring and evaluating the management of the assets of each Portfolio. Sub-Advisers have full investment discretion and make all determinations with respect to the investment of a Portfolio’s assets and the purchase and sale of portfolio securities and other investments. Pursuant to this Unified Agreement, DSL also is responsible for providing or procuring at DSL’s expense, the services reasonably necessary for the ordinary operation of the Portfolio, including, among other things, custodial, administrative, transfer agency, portfolio accounting, dividend reimbursing and auditing. As compensation for its services under the Unified Agreement, the Trust pays the Investment Adviser a monthly fee (a “Unified Fee”) based on the following annual rates of the average daily net assets of the Portfolios:
Portfolio | Fee | |
BlackRock Large Cap Growth | 0.80% of the first $500 million; | |
0.75% of the next $250 million; | ||
0.70% of the next $500 million; 0.65% of the next $750 million; and 0.60% of the amount in excess of $2 billion | ||
Clarion Real Estate(1) | 0.75% of the first $750 million; | |
0.70% of the next $1.25 billion; | ||
0.65% of the next $1.5 billion; and 0.60% of the amount in excess of $3.5 billion | ||
Franklin Mutual Shares | 0.78% of the first $4 billion; | |
0.75% of the next $1 billion; | ||
0.73% of the next $1 billion; | ||
0.71% of the next $1 billion; and 0.69% of the amount in excess of $7 billion | ||
JPMorgan Small Cap Core Equity | 0.900% of the first $200 million | |
0.850% of the next $300 million | ||
0.800% of the next $250 million | ||
0.750% of the amount in excess of $750 million | ||
Limited Maturity Bond(2) | 0.350% of the first $200 million; | |
0.300% of the next $300 million; and 0.250% of the amount in excess of $500 million |
39
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 4 — INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES (continued)
PIMCO High Yield | 0.490% | |
Pioneer Fund | 0.725% of the first $500 million | |
0.675% of the next $500 million | ||
0.625% of the amount in excess of $1 billion | ||
Templeton Global Growth | 0.96% of the first $250 million; | |
0.86% of the next $250 million; and 0.76% of the amount in excess of $500 million | ||
U.S. Stock Index | 0.26% |
(1) | The assets of Clarion Real Estate are aggregated with those of ING Global Resources Portfolio, ING T. Rowe Price Capital Appreciation Portfolio, ING T. Rowe Price Equity Income Portfolio and ING Invesco Van Kampen Growth and Income Portfolio, which are not included in this report, to determine the Unified Fee. |
(2) | The assets of Limited Maturity Bond are aggregated with those of ING Liquid Assets Portfolio, which is not included in this report, to determine the Unified Fee. |
DSL has contractually agreed to waive a portion of the advisory fee for Clarion Real Estate and effective January 21, 2011 for Large Cap Value. The waiver is calculated as follows:
Waiver = 50% x (former sub-advisory fee minus new sub-advisory fee)
For the six months ended June 30, 2011, DSL waived $117,251 for Clarion Real Estate.
For the period ended June 30, 2011, DSL waived $1,994 for Large Cap Value.
The waivers will continue through at least May 1, 2012 for Large Cap Value and May 1, 2013 for Clarion Real Estate. There is no guarantee that these waivers will continue after said dates. The agreements will only renew if DSL elects to renew them.
ING Funds Services, LLC (the “Administrator”), an indirect, wholly-owned subsidiary of ING Groep, acts as administrator and provides certain administrative and shareholder services necessary for Franklin Income, Large Cap Growth and Large Cap Value operations and is responsible for the supervision of other service providers. For its services, the Administrator is entitled to receive from these Portfolios a fee at an annual rate of 0.10% of each Portfolio’s average daily net assets.
The Trust and the Investment Adviser have entered into portfolio management agreements with each sub-adviser. These sub-advisers provide investment advice for the various Portfolios and are paid by the Investment Adviser based on the average daily net
assets of the respective Portfolios. The sub-advisers of each of the Portfolios are as follows (*denotes a Related Party adviser):
Portfolio | Sub-Adviser | |
BlackRock Large Cap Growth | BlackRock Investment Management, LLC | |
Clarion Real Estate(1) | ING Clarion Real Estate Securities, LLC* | |
Large Cap Growth | ING Investment Management Co.* | |
Large Cap Value(2) | ING Investment Management Co.* | |
Franklin Income | Franklin Advisers, Inc. | |
Franklin Mutual Shares | Franklin Mutual Advisers LLC | |
JPMorgan Small Cap Core Equity | J.P. Morgan Investment Management Inc. | |
Limited Maturity Bond | ING Investment Management Co.* | |
PIMCO High Yield | Pacific Investment Management Company LLC | |
Pioneer Fund | Pioneer Investment Management, Inc. | |
Templeton Global Growth | Templeton Global Advisors Limited | |
U.S. Stock Index | ING Investment Management Co.* |
(1) | On or about July 1, 2011, ING Groep, NV, the indirect parent of both DSL, the Investment Adviser to the Portfolio and ING Clarion Real Estate Securities, LLC (“Clarion”), the Sub-Adviser to the Portfolio, has completed a transaction in which it sold Clarion and other affiliated entities to CB Richard Ellis Group, Inc. (the “Transaction”). The completion of the Transaction also resulted in a name change for Clarion to CBRE Clarion Securities LLC (“CBRE Clarion”). In anticipation of the Transaction, on June 14, 2011, the Portfolio’s shareholders approved new sub-advisory agreements between DSL and CBRE Clarion, which became effective on or about July 1, 2011. |
(2) | Prior to January 21, 2011, the Portfolio was managed by a different sub-adviser. In conjunction with the sub-adviser change, the Portfolio changed its name. |
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, a 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 the Portfolio) paid to the broker-dealers to pay certain expenses of a Portfolio. These commission recapture payments
40
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 4 — INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES (continued)
benefit the Portfolios and not the portfolio manager or sub-adviser. Any amount credited to a Portfolio is reflected as brokerage commission recapture in the Statements of Operations.
NOTE 5 — DISTRIBUTION AND SERVICE FEES
The Trust has entered into a Shareholder Service Plan (the “Plan”) for the Class S and Class S2 shares of each Portfolio. The Plan compensates IID for the provision of shareholder services and/or account maintenance services to direct or indirect beneficial owners of Class S and Class S2 shares. Under the Plan, each Portfolio makes payments to the Distributor at an annual rate of 0.25% of the Portfolio’s average daily net assets attributable to Class S and Class S2, respectively. Each Portfolio has entered into a Rule 12b-1 Distribution Plan (the “Class S2 Plan”) with IID on behalf of the Class S2 shares of the Portfolio. The Class S2 Plan provides that the Class S2 shares shall pay a 12b-1 distribution fee, for distribution services including payments to IID at an annual rate of 0.25% of the average daily net assets. IID 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%. The expense waiver will continue through at least May 1, 2012. Pursuant to a side agreement, IID agreed to waive 0.01% of the shareholder service fee for Class S shares of U.S. Stock Index through May 1, 2012.
Each Class ADV share of the respective Portfolios has a Rule 12b-1 Service and Distribution Plan. Class ADV shares pay IID a service fee of 0.25% and a distribution fee of 0.50% of each Portfolio’s average daily net assets attributable to Class ADV shares. IID has contractually agreed to waive 0.15% of the Portfolios’ average daily net assets attributable to Class ADV shares so that the actual fee paid by a Portfolio is a rate of 0.35%. The expense waiver will continue through at least May 1, 2012. Pursuant to a side agreement IID agreed to waive 0.22% of the distribution fee for U.S. Stock Index Class ADV shares through May 1, 2012.
Pursuant to an agreement, IID will limit Class S expenses, so that the operating expense limit for BlackRock Large Cap Growth does not exceed 1.04%. The Distributor may, at a later date, recoup from BlackRock Large Cap Growth shareholder service fees waived during the previous 36 months, but only if,
after such recoupment, BlackRock Large Cap Growth’s expense ratio does not exceed 1.04%. As of June 30, 2011, $31,400 of such fees are subject to possible recoupment expiring June 30, 2014.
NOTE 6 — EXPENSE LIMITATION AGREEMENT
The Investment Adviser has entered into a written expense limitation agreement with certain of the Portfolios, whereby the Investment Adviser has agreed to limit expenses, excluding interest, taxes, brokerage commissions, extraordinary expenses and acquired fund fees and expenses to the levels listed below:
Class ADV | Class I | Class S | Class S2 | |||||||||||||
Franklin Income | 1.39 | % | 0.79 | % | 1.04 | % | 1.19 | % | ||||||||
Large Cap Growth | 1.20 | % | 0.60 | % | 0.85 | % | 1.00 | % | ||||||||
Large Cap Value | 1.29 | % | 0.69 | % | 0.94 | % | N/A |
Each Investment Adviser may, at a later date, recoup from a Portfolio management fees waived and other expenses assumed by each Investment Adviser during the previous 36 months, but only if, after such recoupment, a Portfolio’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees by, and any recoupment to each Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statements of Operations for each Portfolio.
The expense limitation agreements are contractual and shall renew automatically unless ING Investments or DSL provides written notice of the termination of the expense limitation agreement within 90 days of the end of the then current term.
As of June 30, 2011, the amounts of waived and reimbursed fees that are subject to possible recoupment by the Investment Adviser, and the related expiration dates are as follows:
June 30, | ||||||||||||||||
2012 | 2013 | 2014 | Total | |||||||||||||
Franklin Income | $ | 306,029 | $ | 322,184 | $ | — | $ | 628,213 | ||||||||
Large Cap Growth | — | — | 410,973 | 410,973 | ||||||||||||
Large Cap Value | 141,734 | 177,194 | 197,168 | 516,096 |
NOTE 7 — OTHER TRANSACTIONS WITH AFFILIATED AND RELATED PARTIES
The Trust has adopted a Deferred Compensation Plan (the “Plan”), which allows eligible non-affiliated trustees as described in the Plan to defer the receipt of all or a portion of the trustees fees payable. Amounts deferred are treated as though invested in various “notional” funds advised by DSL until distribution in accordance with the Plan.
41
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 6 — EXPENSE LIMITATION AGREEMENTS (continued)
At June 30, 2011, the following ING Portfolios or indirect, wholly-owned subsidiaries of ING Groep owned more than 5% of the following Portfolios:
Subsidiary | Fund | Percentage | ||||
ING Franklin Templeton Founding Strategy Portfolio | Franklin Income | 34.24 | % | |||
Franklin Mutual Shares | 57.94 | % | ||||
Templeton Global Growth | 48.82 | % | ||||
ING Life Insurance & Annuity Company | BlackRock Large Cap Growth | 46.49 | % | |||
Clarion Real Estate | 27.13 | % | ||||
JPMorgan Small Cap Core Equity | 8.76 | % | ||||
Large Cap Growth | 36.89 | % | ||||
Large Cap Value | 77.08 | % | ||||
PIMCO High Yield | 11.89 | % | ||||
Pioneer Fund | 34.15 | % | ||||
U.S. Stock Index | 8.59 | % | ||||
ING National Trust | Limited Maturity Bond | 7.49 | % | |||
ING Retirement Growth Portfolio | U.S. Stock Index | 41.47 | % | |||
ING Retirement Moderate Growth Portfolio | U.S. Stock Index | 26.91 | % | |||
ING Retirement Moderate Portfolio | U.S. Stock Index | 12.49 | % | |||
ING Solution 2015 Portfolio | Limited Maturity Bond | 12.34 | % | |||
PIMCO High Yield | 6.38 | % | ||||
ING Solution 2025 Portfolio | Large Cap Growth | 5.67 | % | |||
PIMCO High Yield | 8.75 | % | ||||
ING Solution 2035 Portfolio | Large Cap Growth | 6.04 | % | |||
ING Solution Income Portfolio | Limited Maturity Bond | 7.01 | % | |||
ING USA Annuity and Life Insurance Company | BlackRock Large Cap Growth | 44.06 | % | |||
Clarion Real Estate | 58.70 | % | ||||
Franklin Income | 58.75 | % | ||||
Franklin Mutual Shares | 39.18 | % | ||||
JPMorgan Small Cap Core Equity | 66.06 | % | ||||
Large Cap Growth | 24.54 | % | ||||
Large Cap Value | 20.98 | % | ||||
Limited Maturity Bond | 39.04 | % | ||||
PIMCO High Yield | 58.43 | % | ||||
Pioneer Fund | 60.08 | % | ||||
Templeton Global Growth | 49.25 | % | ||||
Reliastar Life Insurance Company | JPMorgan Small Cap Core Equity | 12.44 | % | |||
Large Cap Growth | 13.11 | % | ||||
Limited Maturity Bond | 15.03 | % |
Security Life Insurance Company | JPMorgan Small Cap Core Equity | 6.78 | % | |||
Limited Maturity Bond | 13.56 | % |
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 may be deemed to be affiliates of each other. Investment activities of these shareholders could have a material impact on the Portfolios.
At June 30, 2011, the Portfolios had the following amounts recorded as payable to affiliates on the accompanying Statements of Assets and Liabilities (see Notes 4 and 5):
Portfolio | Accrued Investment Management Fees | Accrued Administrative Fees | Accrued Shareholder Service and Distribution Fees | Total | ||||||||||||
BlackRock Large Cap Growth | $ | 252,220 | $ | — | $ | 41,691 | $ | 293,911 | ||||||||
Clarion Real Estate | 291,267 | — | 115,977 | 407,244 | ||||||||||||
Franklin Income | 442,918 | 70,394 | 117,307 | 630,619 | ||||||||||||
Franklin Mutual Shares | 325,233 | — | 45,711 | 370,944 | ||||||||||||
JPMorgan Small Cap Core Equity | 297,255 | — | 75,513 | 372,768 | ||||||||||||
Large Cap Growth | 407,836 | 74,151 | 75,287 | 557,274 | ||||||||||||
Large Cap Value | 155,733 | 24,693 | 14,312 | 194,738 | ||||||||||||
Limited Maturity Bond | 52,370 | — | 43,013 | 95,383 | ||||||||||||
PIMCO High Yield | 350,249 | — | 153,546 | 503,795 | ||||||||||||
Pioneer Fund | 55,359 | — | 12,471 | 67,830 | ||||||||||||
Templeton Global Growth | 438,509 | — | 64,283 | 502,792 | ||||||||||||
U.S. Stock Index | 774,366 | — | 24,561 | 798,927 |
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 $125,000,000. The proceeds may be used to: (1) temporarily finance the purchase and sale of securities; and (2) finance the redemption of shares of an investor in the funds. Effective May 27, 2011, 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 payable quarterly in arrears. Prior to May 27, 2011, the funds paid 0.08% per annum on the daily unused portion of the committed line amount payable quarterly in arrears.
Generally, borrowings under the Credit Agreement accrue interest at the federal funds rate plus a specified
42
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 8 — LINE OF CREDIT
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 six months ended June 30, 2011, as follows:
Portfolio | Days | Approximate | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||
BlackRock Large Cap Growth | 10 | $ | 1,595,500 | 1.38 | % | |||||||
Franklin Mutual Shares | 1 | 1,030,000 | 1.43 | % | ||||||||
Large Cap Value | 8 | 561,250 | 1.36 | % | ||||||||
Limited Maturity Bond | 3 | 1,650,000 | 1.33 | % |
Portfolio | Days | Approximate | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||
PIMCO High Yield | 8 | 9,238,125 | 1.40 | % | ||||||||
Pioneer Fund | 16 | 817,188 | 1.34 | % | ||||||||
Templeton Global Growth | 1 | 1,650,000 | 1.38 | % | ||||||||
U.S. Stock Index | 13 | 1,888,462 | 1.31 | % |
NOTE 9 — CAPITAL SHARES
Transactions in capital shares and dollars were as follows:
Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||
Year or period ended | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||
BlackRock Large Cap Growth |
| |||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||
06-30-11 | 224,483 | — | (77,648 | ) | 146,835 | 2,337,208 | — | (780,756 | ) | 1,556,452 | ||||||||||||||||||||||||
12-31-10 | 233,358 | 93 | (92,440 | ) | 141,011 | 2,046,371 | 772 | (809,189 | ) | 1,237,954 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
06-30-11 | 1,075,093 | — | (1,024,656 | ) | 50,437 | 11,473,013 | — | (10,739,209 | ) | 733,804 | ||||||||||||||||||||||||
12-31-10 | 1,127,566 | 92,360 | (2,950,303 | ) | (1,730,377 | ) | 9,876,564 | 784,136 | (25,971,514 | ) | (15,310,814 | ) | ||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||
06-30-11 | 4,143,639 | — | (1,632,923 | ) | 2,510,716 | 43,762,749 | — | (16,763,789 | ) | 26,998,960 | ||||||||||||||||||||||||
12-31-10 | 3,584,500 | 45,845 | (5,284,411 | ) | (1,654,066 | ) | 32,186,655 | 387,850 | (46,038,966 | ) | (13,464,461 | ) | ||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||
06-30-11 | 191,810 | — | (140,050 | ) | 51,760 | 1,986,957 | — | (1,452,269 | ) | 534,688 | ||||||||||||||||||||||||
12-31-10 | 235,945 | 823 | (134,503 | ) | 102,265 | 2,073,545 | 6,889 | (1,173,743 | ) | 906,691 | ||||||||||||||||||||||||
Clarion Real Estate |
| |||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||
06-30-11 | 427,001 | — | (24,373 | ) | 402,628 | 9,630,134 | — | (554,383 | ) | 9,075,751 | ||||||||||||||||||||||||
12-31-10 | 482,614 | 6,820 | (51,636 | ) | 437,798 | 9,660,299 | 125,823 | (975,993 | ) | 8,810,129 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
06-30-11 | 1,148,388 | — | (806,536 | ) | 341,852 | 27,784,775 | — | (19,500,510 | ) | 8,284,265 | ||||||||||||||||||||||||
12-31-10 | 853,021 | 93,366 | (892,023 | ) | 54,364 | 17,063,871 | 1,770,221 | (17,863,559 | ) | 970,533 | ||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||
06-30-11 | 668,610 | — | (1,692,048 | ) | (1,023,438 | ) | 15,621,940 | — | (39,366,190 | ) | (23,744,250 | ) | ||||||||||||||||||||||
12-31-10 | 1,692,244 | 762,389 | (3,884,235 | ) | (1,429,602 | ) | 34,007,198 | 14,439,641 | (76,374,621 | ) | (27,927,782 | ) | ||||||||||||||||||||||
Clarion Real Estate (continued) |
| |||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||
06-30-11 | 49,172 | — | (68,325 | ) | (19,153 | ) | 1,134,808 | — | (1,582,827 | ) | (448,019 | ) | ||||||||||||||||||||||
12-31-10 | 11,010 | 34,260 | (140,355 | ) | (95,085 | ) | 236,482 | 646,490 | (2,712,262 | ) | (1,829,290 | ) |
43
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 9 — CAPITAL SHARES (continued)
Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||
Year or period ended | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||
Franklin Income |
| |||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||
06-30-11 | 575,023 | — | (4,021 | ) | 571,002 | 5,931,650 | — | (41,695 | ) | 5,889,955 | ||||||||||||||||||||||||
12-31-10 | 803,658 | 12,455 | (25,798 | ) | 790,315 | 7,630,961 | 112,964 | (241,007 | ) | 7,502,918 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
06-30-11 | 724,348 | — | (2,190,703 | ) | (1,466,355 | ) | 7,714,056 | — | (23,019,006 | ) | (15,304,950 | ) | ||||||||||||||||||||||
12-31-10 | 2,155,754 | 1,744,608 | (5,814,011 | ) | (1,913,649 | ) | 20,766,640 | 16,067,843 | (55,336,092 | ) | (18,501,609 | ) | ||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||
06-30-11 | 3,890,867 | — | (2,260,877 | ) | 1,629,990 | 40,792,284 | — | (23,727,515 | ) | 17,064,769 | ||||||||||||||||||||||||
12-31-10 | 4,317,862 | 2,666,246 | (8,719,419 | ) | (1,735,311 | ) | 41,136,034 | 24,449,479 | (83,279,942 | ) | (17,694,429 | ) | ||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||
06-30-11 | 76,345 | — | (81,913 | ) | (5,568 | ) | 799,452 | — | (851,454 | ) | (52,002 | ) | ||||||||||||||||||||||
12-31-10 | 228,238 | 42,191 | (212,511 | ) | 57,918 | 2,216,047 | 386,467 | (2,031,680 | ) | 570,834 | ||||||||||||||||||||||||
Franklin Mutual Shares |
| |||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||
06-30-11 | 271,367 | — | (10,130 | ) | 261,237 | 2,255,582 | — | (83,160 | ) | 2,172,422 | ||||||||||||||||||||||||
12-31-10 | 469,555 | 1,040 | (2,935 | ) | 467,660 | 3,498,836 | 7,479 | (21,451 | ) | 3,484,864 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
06-30-11 | 806,816 | — | (2,293,811 | ) | (1,486,995 | ) | 6,822,600 | — | (19,292,969 | ) | (12,470,369 | ) | ||||||||||||||||||||||
12-31-10 | 1,957,459 | 244,633 | (5,870,368 | ) | (3,668,276 | ) | 14,494,840 | 1,778,481 | (43,526,983 | ) | (27,253,662 | ) | ||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||
06-30-11 | 373,461 | — | (1,879,172 | ) | (1,505,711 | ) | 3,126,332 | — | (15,770,494 | ) | (12,644,162 | ) | ||||||||||||||||||||||
12-31-10 | 2,314,396 | 118,937 | (3,442,602 | ) | (1,009,269 | ) | 17,237,526 | 863,481 | (25,485,992 | ) | (7,384,985 | ) | ||||||||||||||||||||||
JPMorgan Small Cap Core Equity |
| |||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||
06-30-11 | 444,536 | — | (56,922 | ) | 387,614 | 6,053,685 | — | (784,877 | ) | 5,268,808 | ||||||||||||||||||||||||
12-31-10 | 421,306 | 1,004 | (80,825 | ) | 341,485 | 4,781,817 | 10,739 | (894,120 | ) | 3,898,436 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
06-30-11 | 161,652 | — | (629,356 | ) | (467,704 | ) | 2,245,893 | — | (8,647,497 | ) | (6,401,604 | ) | ||||||||||||||||||||||
12-31-10 | 670,944 | 31,910 | (1,319,744 | ) | (616,890 | ) | 8,271,809 | 349,094 | (14,664,090 | ) | (6,043,187 | ) | ||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||
06-30-11 | 2,569,038 | — | (4,489,451 | ) | (1,920,413 | ) | 35,276,683 | — | (62,092,354 | ) | (26,815,671 | ) | ||||||||||||||||||||||
12-31-10 | 9,334,932 | 57,296 | (3,882,683 | ) | 5,509,545 | 108,077,889 | 622,810 | (43,184,369 | ) | 65,516,330 | ||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||
06-30-11 | 20,580 | — | (305,442 | ) | (284,862 | ) | 287,261 | — | (4,201,870 | ) | (3,914,609 | ) | ||||||||||||||||||||||
12-31-10 | 10,193 | 3,643 | (369,765 | ) | (355,929 | ) | 117,422 | 39,312 | (4,171,174 | ) | (4,014,440 | ) |
44
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 9 — 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 | # | # | # | # | # |
| ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||
Large Cap Growth |
| |||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1,568,854 | 647,388 | — | (61,238 | ) | 2,155,004 | 21,284,008 | 8,443,323 | — | (817,842 | ) | 28,909,489 | ||||||||||||||||||||||||||||||
12-31-10 | 689,948 | — | 983 | (20,899 | ) | 670,032 | 8,212,008 | — | 10,633 | (256,024 | ) | 7,966,617 | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1,381,973 | 21,014,358 | — | (2,464,574 | ) | 19,931,757 | 19,153,384 | 282,828,352 | — | (34,443,926 | ) | 267,537,810 | ||||||||||||||||||||||||||||||
12-31-10 | 2,382,874 | — | 104,006 | (4,255,538 | ) | (1,768,658 | ) | 27,821,961 | — | 1,158,628 | (51,277,875 | ) | (22,297,286 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 4,669,779 | 8,085,101 | — | (2,492,647 | ) | 10,262,233 | 64,678,874 | 107,781,944 | — | (34,382,804 | ) | 138,078,014 | ||||||||||||||||||||||||||||||
12-31-10 | 4,887,870 | — | 34,232 | (3,225,416 | ) | 1,696,686 | 57,612,905 | — | 377,920 | (36,990,443 | ) | 21,000,382 | ||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 334,030 | 201 | — | (54,427 | ) | 279,804 | 4,585,569 | 2,673 | — | (764,841 | ) | 3,823,401 | ||||||||||||||||||||||||||||||
12-31-10 | 8,102 | — | 24 | (9,245 | ) | (1,119 | ) | 100,860 | — | 267 | (105,777 | ) | (4,650 | ) | ||||||||||||||||||||||||||||
Large Cap Value |
| |||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 107,138 | 213,674 | — | (37,685 | ) | 283,127 | 901,152 | 1,749,211 | — | (318,632 | ) | 2,331,731 | ||||||||||||||||||||||||||||||
12-31-10 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 260,141 | 11,562,091 | — | (1,342,889 | ) | 10,479,343 | 2,200,119 | 94,944,537 | — | (11,302,925 | ) | 85,841,731 | ||||||||||||||||||||||||||||||
12-31-10 | 602,358 | — | 484,476 | (2,008,205 | ) | (921,371 | ) | — | — | 3,391,333 | (14,495,216 | ) | (6,673,577 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 945,893 | 7,527,075 | — | (504,479 | ) | 7,968,489 | 7,858,856 | 61,400,774 | — | (4,208,946 | ) | 65,050,684 | ||||||||||||||||||||||||||||||
12-31-10 | — | — | 9 | (148 | ) | (139 | ) | — | — | 65 | (1,072 | ) | (1,007 | ) | ||||||||||||||||||||||||||||
Limited Maturity Bond |
| |||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 780,315 | — | — | (67,864 | ) | 712,451 | 7,954,238 | — | — | (690,721 | ) | 7,263,517 | ||||||||||||||||||||||||||||||
12-31-10 | 1,017,709 | — | 4,520 | (106,489 | ) | 915,740 | 10,360,209 | — | 45,473 | (1,084,250 | ) | 9,321,432 | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 614,850 | — | — | (2,013,628 | ) | (1,398,778 | ) | 6,375,518 | — | — | (20,951,833 | ) | (14,576,315 | ) | ||||||||||||||||||||||||||||
12-31-10 | 9,273,686 | — | 644,808 | (15,053,219 | ) | (5,134,725 | ) | 97,192,137 | — | 6,577,039 | (154,811,913 | ) | (51,042,737 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 832,294 | — | — | (2,010,408 | ) | (1,178,114 | ) | 8,647,363 | — | — | (20,925,820 | ) | (12,278,457 | ) | ||||||||||||||||||||||||||||
12-31-10 | 1,851,677 | — | 677,445 | (4,058,810 | ) | (1,529,688 | ) | 19,417,799 | — | 6,943,808 | (42,456,523 | ) | (16,094,916 | ) | ||||||||||||||||||||||||||||
Class S2(1) | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
12-31-10 | — | — | — | (93 | ) | (93 | ) | — | — | — | (998 | ) | (998 | ) | ||||||||||||||||||||||||||||
PIMCO High Yield |
| |||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 1,568,757 | — | 101,115 | (300,472 | ) | 1,369,400 | 16,300,108 | — | 1,050,106 | (3,122,515 | ) | 14,227,699 | ||||||||||||||||||||||||||||||
12-31-10 | 2,575,069 | — | 68,174 | (185,664 | ) | 2,457,579 | 25,781,929 | — | 684,672 | (1,839,481 | ) | 24,627,120 | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
06-30-11 | 5,643,303 | — | 682,181 | (11,135,439 | ) | (4,809,955 | ) | 58,281,991 | — | 7,087,444 | (115,928,226 | ) | (50,558,791 | ) | ||||||||||||||||||||||||||||
12-31-10 | 22,453,185 | — | 1,323,654 | (3,585,837 | ) | 20,191,002 | 222,434,427 | — | 13,219,158 | (35,728,231 | ) | 199,925,354 |
(1) | Class S2 liquidated on April 6, 2010. |
45
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 9 — CAPITAL SHARES (continued)
Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||
Year or period ended | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||
PIMCO High Yield (continued) |
| |||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||
06-30-11 | 5,407,614 | 2,058,887 | (7,069,230 | ) | 397,271 | 56,043,608 | 21,380,394 | (73,237,390 | ) | 4,186,612 | ||||||||||||||||||||||||
12-31-10 | 17,214,011 | 4,058,106 | (8,228,500 | ) | 13,043,617 | 171,536,909 | 40,340,032 | (81,900,359 | ) | 129,976,582 | ||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||
06-30-11 | 131,266 | 1,322 | (2,033 | ) | 130,555 | 1,366,377 | 13,738 | (21,269 | ) | 1,358,846 | ||||||||||||||||||||||||
12-31-10 | 977 | 16 | (98 | ) | 895 | 9,896 | 158 | (1,003 | ) | 9,051 | ||||||||||||||||||||||||
Pioneer Fund |
| |||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||
06-30-11 | 49,752 | — | (6,813 | ) | 42,939 | 569,502 | — | (77,799 | ) | 491,703 | ||||||||||||||||||||||||
12-31-10 | 56,603 | 475 | (2,184 | ) | 54,894 | 578,925 | 5,227 | (22,670 | ) | 561,482 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
06-30-11 | 186,709 | — | (329,931 | ) | (143,222 | ) | 2,154,350 | — | (3,783,616 | ) | (1,629,266 | ) | ||||||||||||||||||||||
12-31-10 | 633,205 | 37,357 | (544,881 | ) | 125,681 | 6,430,253 | 404,143 | (5,307,438 | ) | 1,526,958 | ||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||
06-30-11 | 353,795 | — | (786,049 | ) | (432,254 | ) | 4,023,272 | — | (8,999,831 | ) | (4,976,559 | ) | ||||||||||||||||||||||
12-31-10 | 754,579 | 55,902 | (914,566 | ) | (104,085 | ) | 7,871,952 | 599,617 | (9,041,139 | ) | (569,570 | ) | ||||||||||||||||||||||
Class S2(1) | ||||||||||||||||||||||||||||||||||
06-30-11 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
12-31-10 | — | — | (78 | ) | (78 | ) | — | — | (1,005 | ) | (1,005 | ) | ||||||||||||||||||||||
Templeton Global Growth |
| |||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||
06-30-11 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
12-31-10 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
06-30-11 | 469,194 | — | (1,920,830 | ) | (1,451,636 | ) | 5,549,876 | — | (22,866,408 | ) | (17,316,532 | ) | ||||||||||||||||||||||
12-31-10 | 2,685,871 | 519,244 | (4,496,584 | ) | (1,291,469 | ) | 27,410,195 | 5,119,746 | (46,752,319 | ) | (14,222,378 | ) | ||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||
06-30-11 | 993,781 | — | (2,499,102 | ) | (1,505,321 | ) | 11,836,124 | — | (29,511,369 | ) | (17,675,245 | ) | ||||||||||||||||||||||
12-31-10 | 1,101,649 | 441,812 | (4,357,803 | ) | (2,814,342 | ) | 11,386,036 | 4,378,354 | (45,041,950 | ) | (29,277,560 | ) | ||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||
06-30-11 | 7,332 | — | (40,400 | ) | (33,068 | ) | 87,004 | — | (482,211 | ) | (395,207 | ) | ||||||||||||||||||||||
12-31-10 | 35,647 | 6,510 | (63,515 | ) | (21,358 | ) | 378,342 | 64,119 | (654,204 | ) | (211,743 | ) | ||||||||||||||||||||||
U.S. Stock Index |
| |||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||
06-30-11 | 589,580 | — | (110,345 | ) | 479,235 | 6,599,969 | — | (1,244,225 | ) | 5,355,744 | ||||||||||||||||||||||||
12-31-10 | 1,052,758 | 11,091 | (99,664 | ) | 964,185 | 10,226,935 | 119,240 | (1,018,136 | ) | 9,328,039 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
06-30-11 | 35,746,422 | — | (53,703,154 | ) | (17,956,732 | ) | 400,134,854 | — | (606,591,343 | ) | (206,456,489 | ) | ||||||||||||||||||||||
12-31-10 | 107,946,334 | 5,033,070 | (138,839,828 | ) | (25,860,424 | ) | 1,063,620,371 | 54,309,046 | (1,390,913,453 | ) | (272,984,036 | ) | ||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||
06-30-11 | 440,383 | — | (338,673 | ) | 101,710 | 4,980,387 | — | (3,824,010 | ) | 1,156,377 | ||||||||||||||||||||||||
12-31-10 | 374,104 | 29,095 | (902,931 | ) | (499,732 | ) | 3,650,755 | 310,993 | (8,754,330 | ) | (4,792,582 | ) | ||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||
06-30-11 | 989,950 | — | (472,324 | ) | 517,626 | 11,137,145 | — | (5,380,767 | ) | 5,756,378 | ||||||||||||||||||||||||
12-31-10 | 1,359,813 | 32,875 | (1,088,184 | ) | 304,504 | 13,366,142 | 351,089 | (10,477,567 | ) | 3,239,664 |
(1) | Class S2 liquidated on April 6, 2010. |
46
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 10 — REORGANIZATIONS
On January 21, 2011, Large Cap Growth (“Acquiring Portfolio”) acquired all of the net assets of ING Legg Mason ClearBridge Aggressive Growth 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 primary 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 June 30, 2011, are as follows:
Net investment income | $ | 3,074,483 | ||
Net realized and unrealized gain on investments | $ | 59,766,806 | ||
Net increase in net assets resulting from operations | $ | 62,841,289 |
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 21, 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 | ||||||
Large Cap Growth | ING Legg Mason ClearBridge Aggressive Growth Portfolio | $399,056 | $451,129 | $— | $9,148 | 2.7771 |
The net assets of Large Cap Growth after the acquisition were $850,184,801.
On January 21, 2011, Large Cap Value (“Acquiring Portfolio”) acquired all of the net assets of ING Lord Abbett Growth and 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 primary 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 June 30, 2011, are as follows:
Net investment income | $ | 3,737,682 | ||
Net realized and unrealized gain on investments | $ | 10,384,295 | ||
Net increase in net assets resulting from operations | $ | 14,121,977 |
47
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 10 — REORGANIZATIONS (continued)
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 21, 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 | ||||||
Large Cap Value | ING Lord Abbett Growth and Income Portfolio | $158,095 | $145,109 | $40,529 | $4,076 | 1.1202 |
The net assets of Large Cap Value after the acquisition were $303,203,745.
NOTE 11 — SECURITIES LENDING
Under an agreement with The Bank of New York Mellon (“BNY”), the Funds may 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 Funds 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 Funds 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. Currently, the cash collateral is invested in the BNY Mellon Overnight Government Fund (formerly, The BNY Institutional Cash Reserves Fund — Series A) and the BNY Institutional Cash Reserves Fund — Series B (“BICR — Series B”), each a series within the BNY Institutional Cash Reserves Trust (collectively, the “BICR Fund”). BNY serves as investment manager, custodian and operational trustee of the BICR Fund. As of June 30, 2011, and throughout the period covered by this report, BICR — Series B held certain defaulted securities issued by Lehman Brothers Holdings, Inc. (the “Lehman Securities”). The Lehman Securities have market values significantly below amortized cost. On May 22, 2009, the Funds agreed to the terms of a capital support agreement (the “Capital Support Agreement”) extended by The Bank of New York Mellon Corporation (“BNYC”), an affiliated company of BNY, for the Lehman Securities held by BICR - Series B. Under the terms of the Capital Support Agreement, BNYC will support the value of the Lehman Securities up to 80% of the par value (the remaining 20% of the par value represents an unrealized loss to the Funds) and subject, in part, to the Funds’ continued participation in the BNY securities lending program through September 15, 2011. At September 15, 2011, if the Funds have complied with the requirements under the Capital Support Agreement
to continue to participate in the BNY securities lending program and if such securities have not otherwise been sold, the Funds will have the right to sell the defaulted securities to BNYC at a price equal to 80% of par value. The recorded value of each Fund’s investment in BICR — Series B includes the value of the underlying securities held by BICR — Series B and the estimated value of the support to be provided by BNYC. The investments in the BNY Mellon Overnight Government Fund and in BICR — Series B are included in the Summary Portfolio of Investments under Securities Lending Collateral and the unrealized loss on BICR — Series B is included in Net Unrealized Depreciation on the Statements of Assets and Liabilities.
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 the Portfolios. At June 30, 2011, the following Portfolios had securities on loan with the following market values:
Portfolio | Value of | Value of | ||||||
BlackRock Large Cap Growth | $ | 17,338,734 | $ | 17,974,669 | ||||
Clarion Real Estate | 23,902,234 | 24,438,816 | ||||||
Franklin Income | 77,136,338 | 79,339,230 | ||||||
JPMorgan Small Cap Core Equity | 34,614,241 | 35,645,600 | ||||||
Large Cap Growth | 18,245,196 | 18,637,449 | ||||||
Large Cap Value | 12,426,432 | 12,769,720 | ||||||
Limited Maturity Bond | 47,492,960 | 48,504,283 | ||||||
PIMCO High Yield | 28,466,335 | 29,374,693 | ||||||
Templeton Global Growth | 7,663,375 | 8,048,439 | ||||||
U.S. Stock Index | 24,963,243 | 25,557,888 |
* | Cash collateral received was invested in the BICR Fund, the fair value of which is presented in the respective Portfolios’ Summary Portfolio of Investments. |
48
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 12 — CONCENTRATION OF INVESTMENT RISKS
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. Each 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 its corresponding risks, see the Portfolios’ most recent Prospectus and/or the Statement of Additional Information.
Non-Diversified. Clarion Real Estate is classified as a non-diversified investment company under the 1940 Act, which means that the Portfolio is not limited by the 1940 Act in the proportion of assets that it may invest in the obligations of a single issuer. Declines in the value of that single company can significantly impact the value of the Portfolio. The investment of a large percentage of the Portfolio’s assets in the securities of a small number of issuers may cause the Portfolio’s share price to fluctuate more than that of a diversified investment company. Conversely, even though classified as nondiversified, the Portfolio may actually maintain a portfolio that is diversified with a large number of issuers. In such an event, the Portfolio would benefit less from appreciation in a single corporate issuer than if it had greater exposure to that issuer.
Concentration. Certain Portfolios concentrate (for purposes of the 1940 Act) their assets in securities related to a particular industry, which means that at least 25% of their assets will be invested in that particular industry at all times. As a result, a Portfolio may be subject to greater market fluctuation than a portfolio which has securities representing a broader range of investment alternatives.
Foreign Securities. 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, 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 Risk. Emerging market countries are generally defined as countries in the initial stage of their industrialization cycles with low per capita income. Investment in emerging market countries presents risks in a greater degree than, and in addition to, those presented by investment in foreign issuers in general as these countries may be less politically and economically stable than other countries. A number of emerging market countries restrict, to varying degrees, foreign investment in stocks. Repatriation of investment income, capital, and proceeds of sales by foreign investors may require governmental registration and/or approval in some emerging market countries. A number of the currencies of developing countries have experienced significant declines against the U.S. dollar from time to time, and devaluation may occur after investments in those currencies by a Portfolio. Inflation and rapid fluctuations in inflation rates have had, and may continue to have, negative effects on the economies and securities markets of certain emerging market countries.
Investment by Funds-of-Funds (Franklin Mutual Shares. Templeton Global Growth, U.S. Stock Index). As an underlying fund (“Underlying Fund”) of a fund-of-fund. Shares of each Portfolio may be purchased by other investment companies. In some cases an Underlying Fund may experience large inflows or redemptions due to allocations or rebalancings. While it is impossible to predict the overall impact of these transactions over time there could be adverse effects on portfolio management. The Investment Adviser will monitor transactions by each Underlying Fund and will attempt to minimize any adverse effects on the Underlying Funds and the fund-of-fund as a result of these transactions. So long as an Underlying Fund accepts investments by other investment companies. It will not purchase securities of other investment companies except to the extent permitted by the 1940 Act or under the terms of an exemptive order granted by the SEC.
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.
49
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 13 — FEDERAL INCOME TAXES (continued)
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.
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:
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||
Ordinary | Ordinary Income | |||||||
BlackRock Large Cap Growth | $ | — | $ | 1,179,647 | ||||
Clarion Real Estate | — | 16,982,175 | ||||||
Franklin Income | — | 41,016,753 | ||||||
Franklin Mutual Shares | — | 2,649,441 | ||||||
JPMorgan Small Cap Core Equity | — | 1,021,955 | ||||||
Large Cap Growth | — | 1,547,448 | ||||||
Large Cap Value | — | 3,391,414 | ||||||
Limited Maturity Bond | — | 13,566,320 | ||||||
PIMCO High Yield | 29,531,682 | 54,244,076 | ||||||
Pioneer Fund | — | 1,008,987 | ||||||
Templeton Global Growth | — | 9,562,228 | ||||||
U.S. Stock Index | — | 55,090,368 |
The tax-basis components of distributable earnings and the expiration dates of the capital loss carryforwards which may be used to offset future realized capital gains for federal income tax purposes as of December 31, 2010 were:
Undistributed | Undistributed | Unrealized | Post-October | Post-October | Capital Loss | Expiration | ||||||||||||||||||||||
BlackRock Large Cap Growth | $ | 1,758,417 | $ | — | $ | 41,541,071 | $ | — | $ | — | $ | (76,581,588 | ) | 2016 | ||||||||||||||
(9,163,641 | ) | 2017 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (85,745,229 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Clarion Real Estate | 7,471,915 | — | 109,234,432 | — | — | $ | (390,615,625 | ) | 2017 | |||||||||||||||||||
Franklin Income | 46,456,162 | — | (9,704,505 | ) | (1,456,925 | ) | (802 | ) | (37,124,084 | ) | 2016 | |||||||||||||||||
(41,925,368 | ) | 2017 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (79,049,452 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Franklin Mutual Shares | 17,373,056 | — | 14,247,202 | — | — | (46,094,609 | ) | 2016 | ||||||||||||||||||||
(52,094,547 | ) | 2017 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (98,189,156 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
JPMorgan Small Cap Core Equity | 1,512,310 | — | 60,254,375 | — | — | $ | (39,637,273 | ) | 2017 | |||||||||||||||||||
Large Cap Growth | 28,373,665 | 32,716,253 | 56,088,040 | — | — | — | ||||||||||||||||||||||
Large Cap Value | 2,981,265 | — | 18,768,047 | — | — | (18,343,125 | ) | 2016 | ||||||||||||||||||||
(26,611,009 | ) | 2017 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (44,954,134 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Limited Maturity Bond | 7,446,219 | — | 1,712,722 | (480,919 | ) | — | $ | (8,026,494 | ) | 2017 | ||||||||||||||||||
PIMCO High Yield | 7,594,017 | — | 58,886,000 | �� | — | $ | (89,907,187 | ) | 2017 | |||||||||||||||||||
Pioneer Fund | 223,178 | — | 13,475,241 | — | — | (3,646,488 | ) | 2016 | ||||||||||||||||||||
(7,475,143 | ) | 2017 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (11,121,631 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Templeton Global Growth | $ | 9,391,510 | $ | — | $ | 726,158 | $ | — | $ | — | (21,876,517 | ) | 2016 | |||||||||||||||
(59,727,625 | ) | 2017 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (81,604,142 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
U.S. Stock Index | 51,862,257 | 127,301,381 | 487,944,582 | — | — | — |
50
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 13 — FEDERAL INCOME TAXES (continued)
The Portfolios’ major tax jurisdictions are federal, Arizona, and Massachusetts. The earliest tax year that remains subject to examination by these jurisdictions is 2006.
As of June 30, 2011, 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.
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act makes changes to several tax rules impacting the Portfolios. In general, the provisions of the Act will be effective for the Portfolios’ fiscal year ending December 31, 2011. Although the Act provides several benefits, including the unlimited carryforward of future capital losses, 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. Relevant information regarding the impact of the Act on the Portfolios, if any, will be contained within the Federal Income Taxes section of the notes to financial statements for the fiscal year ending December 31, 2011.
NOTE 14 — OTHER ACCOUNTING PRONOUNCEMENTS
In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements”. ASU No. 2011-04 amends FASB ASC Topic 820, Fair Value Measurements and Disclosures, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP and the International Financial Reporting Standards (“IFRSs”). The ASU is effective prospectively for interim and annual periods beginning after December 15, 2011. As of June 30, 2011, management of the Portfolios is currently assessing the potential impact, in addition to expanded financial statement disclosure, that may result from adopting this ASU.
NOTE 15 — SUBSEQUENT EVENTS
Dividends: Subsequent to June 30, 2011, the following Portfolios declared dividends and distributions of:
PER SHARE AMOUNTS | ||||||||||||||||||||
Net Investment | Short-Term | Long-Term | Payable Date | Record Date | ||||||||||||||||
BlackRock Large Cap Growth | ||||||||||||||||||||
Class ADV | $ | 0.0243 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class I | $ | 0.0585 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S | $ | 0.0397 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S2 | $ | 0.0311 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Clarion Real Estate | ||||||||||||||||||||
Class ADV | $ | 0.3255 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class I | $ | 0.3514 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S | $ | 0.2977 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S2 | $ | 0.2682 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Franklin Income | ||||||||||||||||||||
Class ADV | $ | 0.5802 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class I | $ | 0.5907 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S | $ | 0.5671 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S2 | $ | 0.5567 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Franklin Mutual Shares | ||||||||||||||||||||
Class ADV | $ | 0.2884 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class I | $ | 0.2984 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S | $ | 0.2781 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
JPMorgan Small Cap Core Equity | ||||||||||||||||||||
Class ADV | $ | 0.0473 | $ | — | $ | — | July 15, 2011 | July 13, 2011 |
51
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED)
NOTE 15 — SUBSEQUENT EVENTS (continued)
PER SHARE AMOUNTS | ||||||||||||||||||||
Net Investment | Short-Term | Long-Term | Payable Date | Record Date | ||||||||||||||||
Class I | $ | 0.0745 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S | $ | 0.0473 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S2 | $ | 0.0254 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Large Cap Growth | ||||||||||||||||||||
Class ADV | $ | 0.0364 | $ | 0.3870 | $ | 0.4886 | July 15, 2011 | July 13, 2011 | ||||||||||||
Class I | $ | 0.0413 | $ | 0.3870 | $ | 0.4886 | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S | $ | 0.0278 | $ | 0.3870 | $ | 0.4886 | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S2 | $ | 0.0347 | $ | 0.3870 | $ | 0.4886 | July 15, 2011 | July 13, 2011 | ||||||||||||
Large Cap Value | ||||||||||||||||||||
Class ADV | $ | 0.0826 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class I | $ | 0.0827 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S | $ | 0.0827 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Limited Maturity Bond | ||||||||||||||||||||
Class ADV | $ | 0.3511 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class I | $ | 0.3600 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S | $ | 0.3306 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
PIMCO High Yield | ||||||||||||||||||||
Class ADV | $ | 0.0656 | $ | — | $ | — | August 1, 2011 | Daily | ||||||||||||
Class I | $ | 0.0710 | $ | — | $ | — | August 1, 2011 | Daily | ||||||||||||
Class S | $ | 0.0688 | $ | — | $ | — | August 1, 2011 | Daily | ||||||||||||
Class S2 | $ | 0.0675 | $ | — | $ | — | August 1, 2011 | Daily | ||||||||||||
Pioneer Fund | ||||||||||||||||||||
Class ADV | $ | 0.0278 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class I | $ | 0.0278 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S | $ | 0.0278 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Templeton Global Growth | ||||||||||||||||||||
Class ADV | $ | 0.1292 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class I | $ | 0.2039 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S | $ | 0.1750 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S2 | $ | 0.1584 | $ | — | $ | — | July 15, 2011 | July 13, 2011 | ||||||||||||
U.S. Stock Index | ||||||||||||||||||||
Class ADV | $ | 0.0448 | $ | 0.1161 | $ | 0.3947 | July 15, 2011 | July 13, 2011 | ||||||||||||
Class I | $ | 0.0448 | $ | 0.1161 | $ | 0.3947 | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S | $ | 0.0448 | $ | 0.1161 | $ | 0.3947 | July 15, 2011 | July 13, 2011 | ||||||||||||
Class S2 | $ | 0.0448 | $ | 0.1161 | $ | 0.3947 | July 15, 2011 | July 13, 2011 |
On or about July 1, 2011, ING Groep, NV, the indirect parent of both DSL, the Investment Adviser to Clarion Real Estate and ING Clarion Real Estate Securities, LLC (“Clarion”), the Sub-Adviser to Clarion Real Estate, has completed a transaction in which it sold Clarion and other affiliated entities to CB Richard Ellis Group, Inc. (the “Transaction”). The completion of the Transaction also resulted in a name change for Clarion to CBRE Clarion Securities LLC (“CBRE Clarion”). In anticipation of the Transaction, on June 14, 2011, the Portfolio’s shareholders approved new sub-advisory agreements between DSL and CBRE Clarion, which became effective on or about July 1, 2011. The new sub-advisory a the compensation structure, as was in place under the Portfolio’s previous sub-advisory agreement with Clarion. The portfolio management teams for the sub-
adviser under the new agreements are the same as those in place prior to the closing of the Transaction. In addition, on June 14, 2011, Clarion Real Estate Portfolio’s shareholders approved a new investment advisory agreement with DSL to reflect the unbundling of the Portfolio’s unified fee structure into its advisory, administrative, and “other” expense components. The new investment advisory agreement became effective on or about July 1, 2011.
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.
52
Table of Contents
ING BLACKROCK LARGE CAP GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) |
Industry Allocation
as of June 30, 2011
(as a percentage of net assets)
Information Technology | 28.0% | |||
Health Care | 19.0% | |||
Consumer Discretionary | 18.4% | |||
Industrials | 10.6% | |||
Energy | 8.0% | |||
Consumer Staples | 5.8% | |||
Materials | 5.3% |
Financials | 2.2% | |||
Telecommunication Services | 2.1% | |||
Utilities | 0.3% | |||
Other Assets and Liabilities – Net* | 0.3% | |||
|
| |||
Net Assets | 100.0% | |||
|
|
* | Includes short-term investments. |
Portfolio holdings are subject to change daily.
Shares | Value | Percentage of Net Assets | ||||||||||||
COMMON STOCK: 99.7% | ||||||||||||||
Consumer Discretionary: 18.4% | ||||||||||||||
148,000 | CBS Corp. - Class B | $ | 4,216,520 | 1.1 | ||||||||||
82,000 | Coach, Inc. | 5,242,260 | 1.3 | |||||||||||
120,000 | @ | DIRECTV | 6,098,400 | 1.5 | ||||||||||
69,000 | @ | Dollar Tree, Inc. | 4,596,780 | 1.2 | ||||||||||
262,000 | H&R Block, Inc. | 4,202,480 | 1.1 | |||||||||||
382,000 | Interpublic Group of Cos., Inc. | 4,775,000 | 1.2 | |||||||||||
53,000 | @,L | ITT Educational Services, Inc. | 4,146,720 | 1.0 | ||||||||||
110,000 | Limited Brands, Inc. | 4,229,500 | 1.1 | |||||||||||
92,000 | Petsmart, Inc. | 4,174,040 | 1.1 | |||||||||||
67,000 | @,L | Tempur-Pedic International, Inc. | 4,543,940 | 1.1 | ||||||||||
71,000 | @ | TRW Automotive Holdings Corp. | 4,191,130 | 1.1 | ||||||||||
2,231,800 | Other Securities | 21,968,902 | 5.6 | |||||||||||
72,385,672 | 18.4 | |||||||||||||
Consumer Staples: 5.8% | ||||||||||||||
76,000 | Herbalife Ltd. | 4,380,640 | 1.1 | |||||||||||
167,000 | Kroger Co. | 4,141,600 | 1.1 | |||||||||||
149,000 | Philip Morris International, Inc. | 9,948,730 | 2.5 | |||||||||||
111,000 | Other Securities | 4,450,230 | 1.1 | |||||||||||
22,921,200 | 5.8 | |||||||||||||
Energy: 8.0% | ||||||||||||||
113,000 | L | ExxonMobil Corp. | 9,195,940 | 2.3 | ||||||||||
71,000 | L | Holly Corp. | 4,927,400 | 1.3 | ||||||||||
206,000 | @ | McDermott International, Inc. | 4,080,860 | 1.0 | ||||||||||
388,600 | Other Securities | 13,225,008 | 3.4 | |||||||||||
31,429,208 | 8.0 | |||||||||||||
Financials: 2.2% | ||||||||||||||
206,000 | TD Ameritrade Holding Corp. | 4,019,060 | 1.0 | |||||||||||
185,000 | Other Securities | 4,729,800 | 1.2 | |||||||||||
8,748,860 | 2.2 |
Shares | Value | Percentage of Net Assets | ||||||||||||
COMMON STOCK: (continued) | ||||||||||||||
Health Care: 19.0% | ||||||||||||||
115,000 | AmerisourceBergen Corp. | $ | 4,761,000 | 1.2 | ||||||||||
94,000 | Baxter International, Inc. | 5,610,860 | 1.4 | |||||||||||
49,000 | Biogen Idec, Inc. | 5,239,080 | 1.4 | |||||||||||
97,000 | Cardinal Health, Inc. | 4,405,740 | 1.1 | |||||||||||
119,600 | @ | Coventry Health Care, Inc. | 4,361,812 | 1.1 | ||||||||||
124,500 | L | Eli Lilly & Co. | 4,672,485 | 1.2 | ||||||||||
372,000 | @ | Health Management Associates, Inc. | 4,010,160 | 1.0 | ||||||||||
985,100 | Other Securities | 41,919,013 | 10.6 | |||||||||||
74,980,150 | 19.0 | |||||||||||||
Industrials: 10.6% | ||||||||||||||
119,000 | Chicago Bridge & Iron Co. NV | 4,629,100 | 1.2 | |||||||||||
72,000 | Fluor Corp. | 4,655,520 | 1.2 | |||||||||||
64,000 | Lockheed Martin Corp. | 5,182,080 | 1.3 | |||||||||||
255,000 | Manitowoc Co., Inc. | 4,294,200 | 1.1 | |||||||||||
907,700 | Other Securities | 22,899,042 | 5.8 | |||||||||||
41,659,942 | 10.6 | |||||||||||||
Information Technology: 28.0% | ||||||||||||||
101,000 | Altera Corp. | 4,681,350 | 1.2 | |||||||||||
30,000 | Apple, Inc. | 10,070,100 | 2.6 | |||||||||||
311,000 | Applied Materials, Inc. | 4,046,110 | 1.0 | |||||||||||
303,000 | @,L | Atmel Corp. | 4,263,210 | 1.1 | ||||||||||
111,000 | @ | Autodesk, Inc. | 4,284,600 | 1.1 | ||||||||||
402,000 | @ | Cadence Design Systems, Inc. | 4,245,120 | 1.1 | ||||||||||
307,000 | L | Dell, Inc. | 5,117,690 | 1.3 | ||||||||||
79,000 | Global Payments, Inc. | 4,029,000 | 1.0 |
See Accompanying Notes to Financial Statements
53
Table of Contents
ING BLACKROCK LARGE CAP GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED) |
Shares | Value | Percentage of Net Assets | ||||||||||||
COMMON STOCK: (continued) | ||||||||||||||
Information Technology: (continued) | ||||||||||||||
96,000 | @ | Lam Research Corp. | $ | 4,250,880 | 1.1 | |||||||||
175,000 | Maxim Integrated Products | 4,473,000 | 1.1 | |||||||||||
278,000 | Microsoft Corp. | 7,228,000 | 1.8 | |||||||||||
117,000 | @,L | Novellus Systems, Inc. | 4,228,380 | 1.1 | ||||||||||
259,000 | @ | Nvidia Corp. | 4,127,165 | 1.0 | ||||||||||
396,400 | @ | ON Semiconductor Corp. | 4,150,308 | 1.1 | ||||||||||
205,900 | @ | Symantec Corp. | 4,060,348 | 1.0 | ||||||||||
222,500 | Western Union Co. | 4,456,675 | 1.1 | |||||||||||
1,427,800 | Other Securities | 32,871,138 | 8.3 | |||||||||||
110,583,074 | 28.0 | |||||||||||||
Materials: 5.3% | ||||||||||||||
104,700 | Ball Corp. | 4,026,762 | 1.0 | |||||||||||
56,000 | Cliffs Natural Resources, Inc. | 5,177,200 | 1.3 | |||||||||||
136,000 | International Paper Co. | 4,055,520 | 1.0 | |||||||||||
175,000 | RPM International, Inc. | 4,028,500 | 1.0 | |||||||||||
233,000 | Other Securities | 3,695,380 | 1.0 | |||||||||||
20,983,362 | 5.3 | |||||||||||||
Telecommunication Services: 2.1% | ||||||||||||||
1,818,000 | @,L | Level 3 Communications, Inc. | 4,435,920 | 1.1 | ||||||||||
232,600 | Other Securities | 4,003,046 | 1.0 | |||||||||||
8,438,966 | 2.1 | |||||||||||||
Utilities: 0.3% | ||||||||||||||
80,000 | Other Securities | 1,228,000 | 0.3 | |||||||||||
Total Common Stock (Cost $348,920,783) | 393,358,434 | 99.7 | ||||||||||||
SHORT-TERM INVESTMENTS: 4.8% | ||||||||||||||
Securities Lending Collateralcc: 4.5% | ||||||||||||||
17,506,089 | BNY Mellon Overnight Government Fund(1) | 17,506,089 | 4.4 | |||||||||||
468,580 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 374,864 | 0.1 | ||||||||||
Total Securities Lending Collateral (Cost $17,974,669) | 17,880,953 | 4.5 |
Shares | Value | Percentage of Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: (continued) | ||||||||||||||
Mutual Funds: 0.3% | ||||||||||||||
1,286,758 | Blackrock Liquidity Funds TempFund Portfolio - Class I (Cost $1,286,758) | $ | 1,286,758 | 0.3 | ||||||||||
Total Short-Term Investments (Cost $19,261,427) | 19,167,711 | 4.8 | ||||||||||||
Total Investments in Securities (Cost $368,182,210)* | $ | 412,526,145 | 104.5 | |||||||||||
Liabilities in Excess of Other Assets | (17,947,175 | ) | (4.5 | ) | ||||||||||
|
|
|
| |||||||||||
Net Assets | $ | 394,578,970 | 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 June 30, 2011.
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.
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $368,853,677. |
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 51,594,218 | ||
Gross Unrealized Depreciation | (7,921,750 | ) | ||
|
| |||
Net Unrealized appreciation | $ | 43,672,468 | ||
|
|
See Accompanying Notes to Financial Statements
54
Table of Contents
ING BLACKROCK LARGE CAP GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED) |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2011 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 6/30/2011 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock* | $ | 393,358,434 | $ | — | $ | — | $ | 393,358,434 | ||||||||
Short-Term Investments | 18,792,847 | — | 374,864 | 19,167,711 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at value | $ | 412,151,281 | $ | — | $ | 374,864 | $ | 412,526,145 | ||||||||
|
|
|
|
|
|
|
|
^ | 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. |
There were no significant transfers between Level 1 and 2 during the period ended June 30, 2011. |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio’s assets and liabilities during the period ended June 30, 2011:
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 374,864 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 374,864 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Investments, at value | $ | 374,864 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 374,864 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of June 30, 2011, total change in unrealized gain (loss) on Level 3 securities still held at period end and included in the change in net assets was $0.
Transfers in or out of Level 3 represent either the beginning value (for transfers in), or the ending value (for transfers out) of any security or derivative instrument where a change in the pricing level occurred from the beginning to the end of the period. Transfers are recognized at the end of the reporting period. |
See Accompanying Notes to Financial Statements
55
Table of Contents
ING CLARION REAL ESTATE PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) |
Industry Allocation
as of June 30, 2011
(as a percentage of net assets)
Financials | 98.2% | |||
Consumer Discretionary | 1.1% |
Other Assets and Liabilities – Net* | 0.7% | |||
|
| |||
Net Assets | 100.0% | |||
|
|
* | Includes short-term investments. |
Portfolio holdings are subject to change daily.
Shares | Value | Percentage of Net Assets | ||||||||||||
COMMON STOCK: 99.3% | ||||||||||||||
Consumer Discretionary: 1.1% | ||||||||||||||
109,400 | Starwood Hotels & Resorts Worldwide, Inc. | $ | 6,130,776 | 1.1 | ||||||||||
Financials: 98.2% | ||||||||||||||
129,771 | Alexandria Real Estate Equities, Inc. | 10,046,871 | 1.7 | |||||||||||
218,900 | American Campus Communities, Inc. | 7,775,328 | 1.3 | |||||||||||
470,378 | Apartment Investment & Management Co. | 12,008,750 | 2.0 | |||||||||||
183,000 | Associated Estates Realty Corp. | 2,973,750 | 0.5 | |||||||||||
188,292 | AvalonBay Communities, Inc. | 24,176,693 | 4.0 | |||||||||||
300,796 | Boston Properties, Inc. | 31,932,503 | 5.3 | |||||||||||
282,520 | BRE Properties, Inc. | 14,092,098 | 2.4 | |||||||||||
267,400 | Brookfield Properties Co. | 5,155,472 | 0.9 | |||||||||||
331,200 | L | Colonial Properties Trust | 6,756,480 | 1.1 | ||||||||||
567,300 | Developers Diversified Realty Corp. | 7,998,930 | 1.3 | |||||||||||
76,757 | L | Digital Realty Trust, Inc. | 4,742,047 | 0.8 | ||||||||||
241,500 | Douglas Emmett, Inc. | 4,803,435 | 0.8 | |||||||||||
150,166 | Equity Lifestyle Properties, Inc. | 9,376,365 | 1.6 | |||||||||||
638,471 | Equity Residential | 38,308,260 | 6.4 | |||||||||||
118,688 | Federal Realty Investment Trust | 10,109,844 | 1.7 | |||||||||||
1,017,453 | General Growth Properties, Inc. | 16,981,291 | 2.8 | |||||||||||
705,352 | HCP, Inc. | 25,879,365 | 4.3 | |||||||||||
302,700 | L | Health Care Real Estate Investment Trust, Inc. | 15,870,561 | 2.7 |
Shares | Value | Percentage of Net Assets | ||||||||||||
COMMON STOCK: (continued) | ||||||||||||||
Financials: (continued) | ||||||||||||||
174,747 | L | Highwoods Properties, Inc. | $ | 5,789,368 | 1.0 | |||||||||
1,581,268 | Host Hotels & Resorts, Inc. | 26,802,493 | 4.5 | |||||||||||
258,200 | Hudson Pacific Properties, Inc. | 4,009,846 | 0.7 | |||||||||||
274,100 | Kilroy Realty Corp. | 10,824,209 | 1.8 | |||||||||||
902,878 | Kimco Realty Corp. | 16,829,646 | 2.8 | |||||||||||
326,900 | LaSalle Hotel Properties | 8,610,546 | 1.4 | |||||||||||
396,145 | Liberty Property Trust | 12,906,404 | 2.2 | |||||||||||
371,423 | Macerich Co. | 19,871,130 | 3.3 | |||||||||||
295,519 | Nationwide Health Properties, Inc. | 12,237,442 | 2.0 | |||||||||||
182,800 | Pebblebrook Hotel Trust | 3,690,732 | 0.6 | |||||||||||
921,184 | L | ProLogis, Inc. | 33,015,234 | 5.5 | ||||||||||
185,064 | Public Storage, Inc. | 21,099,147 | 3.5 | |||||||||||
260,203 | Regency Centers Corp. | 11,441,126 | 1.9 | |||||||||||
509,211 | Simon Property Group, Inc. | 59,185,594 | 9.9 | |||||||||||
227,754 | SL Green Realty Corp. | 18,873,974 | 3.2 | |||||||||||
176,098 | Tanger Factory Outlet Centers, Inc. | 4,714,143 | 0.8 | |||||||||||
151,674 | Taubman Centers, Inc. | 8,979,101 | 1.5 | |||||||||||
462,303 | UDR, Inc. | 11,349,539 | 1.9 | |||||||||||
341,400 | U-Store-It Trust | 3,591,528 | 0.6 | |||||||||||
165,740 | Ventas, Inc. | 8,736,155 | 1.5 | |||||||||||
384,333 | Vornado Realty Trust | 35,812,149 | 6.0 | |||||||||||
587,357,549 | 98.2 | |||||||||||||
Total Common Stock (Cost $418,301,159) | 593,488,325 | 99.3 |
See Accompanying Notes to Financial Statements
56
Table of Contents
ING CLARION REAL ESTATE PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED) |
Shares | Value | Percentage of Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: 4.6% | ||||||||||||||
Securities Lending Collateralcc: 3.9% | ||||||||||||||
20,679,933 | BNY Mellon Overnight Government Fund(1) | $ | 20,679,933 | 3.5 | ||||||||||
3,758,883 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 3,007,107 | 0.4 | ||||||||||
Total Securities Lending Collateral (Cost $24,438,816) | 23,687,040 | 3.9 | ||||||||||||
Mutual Funds: 0.7% | ||||||||||||||
3,974,373 | Blackrock Liquidity Funds TempFund Portfolio - Class I (Cost $3,974,373) | 3,974,373 | 0.7 | |||||||||||
Total Short-Term Investments (Cost $28,413,189) | 27,661,413 | 4.6 | ||||||||||||
Total Investments in Securities (Cost $446,714,348)* | $ | 621,149,738 | 103.9 | |||||||||||
Liabilities in Excess of Other Assets | (23,158,086 | ) | (3.9 | ) | ||||||||||
|
|
|
| |||||||||||
Net Assets | $ | 597,991,652 | 100.0 | |||||||||||
|
|
|
|
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
* | Cost for federal income tax purposes is $489,221,203. |
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 175,758,021 | ||
Gross Unrealized Depreciation | (43,829,486 | ) | ||
|
| |||
Net Unrealized appreciation | $ | 131,928,535 | ||
|
|
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2011 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 6/30/2011 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock* | $ | 593,488,325 | $ | — | $ | — | $ | 593,488,325 | ||||||||
Short-Term Investments | 24,654,306 | — | 3,007,107 | 27,661,413 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at value | $ | 618,142,631 | $ | — | $ | 3,007,107 | $ | 621,149,738 | ||||||||
|
|
|
|
|
|
|
|
^ | 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. |
There were no significant transfers between Level 1 and 2 during the period ended June 30, 2011. |
See Accompanying Notes to Financial Statements
57
Table of Contents
ING CLARION REAL ESTATE PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED) |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio’s assets and liabilities during the period ended June 30, 2011:
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 3,007,107 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 3,007,107 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Investments, at value | $ | 3,007,107 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 3,007,107 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of June 30, 2011, total change in unrealized gain (loss) on Level 3 securities still held at period end and included in the change in net assets was $0.
Transfers in or out of Level 3 represent either the beginning value (for transfers in), or the ending value (for transfers out) of any security or derivative instrument where a change in the pricing level occurred from the beginning to the end of the period. Transfers are recognized at the end of the reporting period. |
See Accompanying Notes to Financial Statements
58
Table of Contents
ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) |
Investment Type Allocation as
of June 30, 2011
(as a percentage of net assets)
Corporate Bonds/Notes | 51.5% | |||
Common Stock | 39.2% | |||
Preferred Stock | 5.4% | |||
Municipal Bonds | 0.4% |
Collateralized Mortgage Obligations | 0.3% | |||
Warrants | 0.1% | |||
Other Assets and Liabilities – Net* | 3.1% | |||
|
| |||
Net Assets | 100.0% | |||
|
|
* | Includes short-term investments. |
Portfolio holdings are subject to change daily.
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: 51.5% | ||||||||||||||
Consumer Discretionary: 8.0% | ||||||||||||||
3,300,000 | #,L | American Airlines, Inc., 7.500%, 03/15/16 | $ | 3,250,500 | 0.4 | |||||||||
6,000,000 | L | Cablevision Systems Corp., 7.750%-8.000%, 04/15/18-04/15/20 | 6,446,250 | 0.8 | ||||||||||
5,867,024 | CCH II, LLC / CCH II Capital Corp., 13.500%, 11/30/16 | 6,937,756 | 0.8 | |||||||||||
2,000,000 | # | Cequel Communications Holdings I, LLC and Cequel Capital Corp., 8.625%, 11/15/17 | 2,090,000 | 0.2 | ||||||||||
4,300,000 | #,L | Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 06/15/21 | 4,235,500 | 0.5 | ||||||||||
1,400,000 | # | CityCenter Holdings LLC / CityCenter Finance Corp., 7.625%, 01/15/16 | 1,452,500 | 0.2 | ||||||||||
1,600,000 | #,&,L | CityCenter Holdings LLC / CityCenter Finance Corp., 10.750%, 01/15/17 | 1,744,000 | 0.2 | ||||||||||
8,164,403 | Clear Channel Communications, Inc., 3.841%, 11/13/15 | 6,902,750 | 0.8 | |||||||||||
5,300,000 | # | Clear Channel Communications, Inc., 9.000%, 03/01/21 | 5,101,250 | 0.6 | ||||||||||
3,000,000 | # | ClubCorp Club Operations, Inc., 10.000%, 12/01/18 | 2,985,000 | 0.3 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Consumer Discretionary: (continued) | ||||||||||||||
1,300,000 | #,L | Dean Foods Co., 9.750%, 12/15/18 | $ | 1,387,750 | 0.2 | |||||||||
1,500,000 | # | MGM Resorts International, 10.000%, 11/01/16 | 1,593,750 | 0.2 | ||||||||||
23,953,188 | Other Securities | 24,421,808 | 2.8 | |||||||||||
68,548,814 | 8.0 | |||||||||||||
Consumer Staples: 1.6% | ||||||||||||||
4,500,000 | Diversey, Inc., 8.250%, 11/15/19 | 5,298,750 | 0.6 | |||||||||||
500,000 | # | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 8.250%, 02/15/21 | 470,000 | 0.1 | ||||||||||
7,832,000 | Other Securities | 8,093,210 | 0.9 | |||||||||||
13,861,960 | 1.6 | |||||||||||||
Energy: 7.1% | ||||||||||||||
1,100,000 | # | Arch Coal, Inc., 7.250%, 06/15/21 | 1,106,875 | 0.1 | ||||||||||
1,000,000 | # | Calpine Corp., 7.875%, 01/15/23 | 1,031,250 | 0.1 | ||||||||||
6,000,000 | Chesapeake Energy Corp., 7.250%, 12/15/18 | 6,570,000 | 0.8 | |||||||||||
6,300,000 | Chesapeake Energy Corp., 6.875%, 08/15/18-11/15/20 | 6,665,250 | 0.8 | |||||||||||
7,000,000 | Dynegy Holdings, Inc., 7.500%, 06/01/15 | 5,740,000 | 0.7 | |||||||||||
4,000,000 | Dynegy Holdings, Inc., 7.750%-8.375%, 05/01/16-06/01/19 | 3,038,750 | 0.3 | |||||||||||
1,500,000 | # | Energy XXI Gulf Coast, Inc., 9.250%, 12/15/17 | 1,601,250 | 0.2 |
See Accompanying Notes to Financial Statements
59
Table of Contents
ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Energy: (continued) | ||||||||||||||
1,500,000 | #,L | Expro Finance Luxembourg SCA, 8.500%, 12/15/16 | $ | 1,455,000 | 0.2 | |||||||||
1,500,000 | # | FMG Resources August 2006 Pty Ltd., 6.875%, 02/01/18 | 1,530,000 | 0.2 | ||||||||||
1,100,000 | # | FMG Resources August 2006 Pty Ltd., 7.000%, 11/01/15 | 1,127,500 | 0.1 | ||||||||||
4,000,000 | # | SandRidge Energy, Inc., 8.000%, 06/01/18 | 4,100,000 | 0.5 | ||||||||||
3,200,000 | # | SandRidge Energy, Inc., 9.875%, 05/15/16 | 3,528,000 | 0.4 | ||||||||||
2,000,000 | # | W&T Offshore, Inc., 8.500%, 06/15/19 | 2,030,000 | 0.2 | ||||||||||
20,500,000 | Other Securities | 21,613,341 | 2.5 | |||||||||||
61,137,216 | 7.1 | |||||||||||||
Financials: 12.7% | ||||||||||||||
1,500,000 | L | Bank of America Corp., 8.125%, 12/29/49 | 1,568,340 | 0.2 | ||||||||||
EUR | 900,000 | # | Boparan Holdings Ltd., 9.750%, 04/30/18 | 1,252,936 | 0.1 | |||||||||
GBP | 1,000,000 | # | Boparan Holdings Ltd., 9.875%, 04/30/18 | 1,540,758 | 0.2 | |||||||||
3,600,000 | # | CEVA Group PLC, 11.500%, 04/01/18 | 3,807,000 | 0.4 | ||||||||||
12,000,000 | # | CIT Group, Inc., 7.000%, 05/04/15 | 12,045,000 | 1.4 | ||||||||||
8,500,000 | # | CIT Group, Inc., 7.000%, 05/02/16 | 8,489,375 | 1.0 | ||||||||||
8,500,000 | # | CIT Group, Inc., 7.000%, 05/02/17 | 8,500,000 | 1.0 | ||||||||||
2,500,000 | Ford Motor Credit Co., LLC, 8.000%, 06/01/14 | 2,744,393 | 0.3 | |||||||||||
4,300,000 | Ford Motor Credit Co., LLC, 12.000%, 05/15/15 | 5,336,773 | 0.6 | |||||||||||
9,500,000 | L | iStar Financial, Inc., 0.746%-8.625%, 10/01/12-06/01/13 | 9,200,000 | 1.1 | ||||||||||
12,500,000 | L | JPMorgan Chase & Co., 7.900%, 04/29/49 | 13,471,812 | 1.6 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financials: (continued) | ||||||||||||||
2,000,000 | # | Liberty Mutual Group, Inc., 10.750%, 06/15/58 | $ | 2,675,000 | 0.3 | |||||||||
2,000,000 | # | M&T Bank Corp., 6.875%, 12/29/49 | 1,997,500 | 0.2 | ||||||||||
1,000,000 | # | Petroplus Finance Ltd., 6.750%, 05/01/14 | 985,000 | 0.1 | ||||||||||
1,500,000 | # | Petroplus Finance Ltd., 7.000%, 05/01/17 | 1,417,500 | 0.2 | ||||||||||
1,500,000 | # | Petroplus Finance Ltd., 9.375%, 09/15/19 | 1,515,000 | 0.2 | ||||||||||
2,100,000 | # | Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH, 8.125%, 12/01/17 | 2,241,750 | 0.3 | ||||||||||
2,500,000 | # | UPCB Finance III Ltd., 6.625%, 07/01/20 | 2,481,250 | 0.3 | ||||||||||
6,500,000 | L | Wells Fargo Capital XV, 9.750%, 09/26/44 | 6,890,000 | 0.8 | ||||||||||
20,690,143 | Other Securities | 20,968,093 | 2.4 | |||||||||||
109,127,480 | 12.7 | |||||||||||||
Health Care: 5.0% | ||||||||||||||
5,000,000 | Community Health Systems, Inc., 8.875%, 07/15/15 | 5,162,500 | 0.6 | |||||||||||
800,000 | # | Giant Funding Corp., 8.250%, 02/01/18 | 838,000 | 0.1 | ||||||||||
11,500,000 | L | HCA, Inc., 6.500% - 9.250%, 02/15/16- 02/15/20 | 12,267,500 | 1.4 | ||||||||||
3,000,000 | # | Mylan, Inc., 6.000%, 11/15/18 | 3,063,750 | 0.4 | ||||||||||
4,000,000 | #,& | Quintiles Transnational Corp., 9.500%, 12/30/14 | 4,110,000 | 0.5 | ||||||||||
5,000,000 | L | Tenet Healthcare Corp., 9.250%, 02/01/15 | 5,493,750 | 0.6 | ||||||||||
5,250,000 | Tenet Healthcare Corp., 9.000%-10.000%, 05/01/15-05/01/18 | 5,832,187 | 0.7 | |||||||||||
6,900,000 | Other Securities | 6,489,000 | 0.7 | |||||||||||
43,256,687 | 5.0 |
See Accompanying Notes to Financial Statements
60
Table of Contents
ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Industrials: 2.7% | ||||||||||||||
1,600,000 | #,L | Abengoa Finance SAU, 8.875%, 11/01/17 | $ | 1,642,000 | 0.2 | |||||||||
1,000,000 | # | Calpine Corp., 7.500%, 02/15/21 | 1,025,000 | 0.1 | ||||||||||
1,400,000 | # | Cemex SAB de CV, 3.250%, 03/15/16 | 1,387,750 | 0.2 | ||||||||||
805,000 | # | Cemex SAB de CV, 3.750%, 03/15/18 | 800,975 | 0.1 | ||||||||||
1,100,000 | # | CEVA Group PLC, 8.375%, 12/01/17 | 1,117,875 | 0.1 | ||||||||||
2,500,000 | # | CHC Helicopter S.A., 9.250%, 10/15/20 | 2,268,750 | 0.3 | ||||||||||
1,000,000 | # | NXP BV/NXP Funding, LLC, 9.750%, 08/01/18 | 1,125,000 | 0.1 | ||||||||||
13,039,000 | Other Securities | 13,655,742 | 1.6 | |||||||||||
23,023,092 | 2.7 | |||||||||||||
Information Technology: 7.5% | ||||||||||||||
4,179,000 | #,L | First Data Corp., 8.250%, 01/15/21 | 4,116,315 | 0.5 | ||||||||||
3,187,000 | #,& | First Data Corp., 8.750%, 01/15/22 | 3,131,228 | 0.3 | ||||||||||
6,368,000 | # | First Data Corp., 12.625%, 01/15/21 | 6,845,600 | 0.8 | ||||||||||
1,778,000 | L | First Data Corp., 9.875%-11.250%, 09/24/15-03/31/16 | 1,772,035 | 0.2 | ||||||||||
1,000,000 | L | Freescale Semiconductor, Inc., 10.125%, 12/15/16 | 1,081,250 | 0.1 | ||||||||||
3,000,000 | # | Freescale Semiconductor, Inc., 9.250%, 04/15/18 | 3,247,500 | 0.4 | ||||||||||
5,000,000 | # | Freescale Semiconductor, Inc., 10.125%, 03/15/18 | 5,575,000 | 0.6 | ||||||||||
6,000,000 | #,L | Freescale Semiconductor, Inc., 10.750%, 08/01/20 | 6,810,000 | 0.8 | ||||||||||
1,500,000 | #,L | Freescale Semiconductor, Inc., 8.050%, 02/01/20 | 1,515,000 | 0.2 | ||||||||||
500,000 | # | Interactive Data Corp., 10.250%, 08/01/18 | 546,250 | 0.1 | ||||||||||
10,878,053 | Texas Competitive Electric Holdings Co. LLC, 4.690%, 10/10/17 | 9,127,850 | 1.1 | |||||||||||
11,542,971 | Texas Competitive Electric Holdings Co. LLC - TL, 4.768%, 10/10/17 | 9,685,788 | 1.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Information Technology: (continued) | ||||||||||||||
11,124,039 | Other Securities | $ | 11,238,977 | 1.3 | ||||||||||
64,692,793 | 7.5 | |||||||||||||
Materials: 1.8% | ||||||||||||||
EUR | 3,220,000 | # | Ineos Group Holdings PLC, 7.875%, 02/15/16 | 4,564,445 | 0.5 | |||||||||
EUR | 2,500,000 | # | Kerling PLC, 10.625%, 02/01/17 | 3,851,982 | 0.4 | |||||||||
EUR | 2,000,000 | # | Kinove German Bondco GmbH, 10.000%, 06/15/18 | 3,023,580 | 0.4 | |||||||||
4,000,000 | Other Securities | 4,072,500 | 0.5 | |||||||||||
15,512,507 | 1.8 | |||||||||||||
Telecommunication Services: 2.2% | ||||||||||||||
2,500,000 | # | Clearwire Communications, LLC/Clearwire Finance, Inc., 12.000%, 12/01/15 | 2,690,625 | 0.3 | ||||||||||
1,000,000 | # | Clearwire Communications, LLC/Clearwire Finance, Inc., 12.000%, 12/01/15 | 1,072,500 | 0.2 | ||||||||||
300,000 | # | CommScope, Inc., 8.250%, 01/15/19 | 310,500 | 0.0 | ||||||||||
1,000,000 | # | Cricket Communications, Inc., 7.750%, 10/15/20 | 982,500 | 0.1 | ||||||||||
2,750,000 | UPC Germany GmbH, , | 4,197,301 | 0.5 | |||||||||||
1,500,000 | UPC Germany GmbH, , | 2,365,571 | 0.3 | |||||||||||
6,200,000 | Other Securities | 6,997,497 | 0.8 | |||||||||||
18,616,494 | 2.2 | |||||||||||||
Utilities: 2.9% | ||||||||||||||
800,000 | # | Calpine Corp., 7.875%, 07/31/20 | 840,000 | 0.1 | ||||||||||
1,500,000 | # | Intergen NV, 9.000%, 06/30/17 | 1,593,750 | 0.2 | ||||||||||
5,600,000 | L | GenOn Energy, Inc., 7.625%-7.875%, 06/15/14-06/15/17 | 5,681,000 | 0.6 |
See Accompanying Notes to Financial Statements
61
Table of Contents
ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Utilities: (continued) | ||||||||||||||
1,100,000 | # | Texas Competitive Electric Holdings Co. LLC / TCEH Finance, Inc., 11.500%, 10/01/20 | $ | 1,086,250 | 0.1 | |||||||||
14,000,000 | L | Texas Competitive Electric Holdings Co., LLC, 10.250%, 11/01/15 | 8,540,000 | 1.0 | ||||||||||
356,484 | &,L | Texas Competitive Electric Holdings Co., LLC, 10.500%, 11/01/16 | 233,497 | 0.0 | ||||||||||
6,860,000 | # | Texas Competitive Electric Holdings Co., LLC, 15.000%, 04/01/21 | 5,659,500 | 0.7 | ||||||||||
1,600,000 | Other Securities | 1,808,330 | 0.2 | |||||||||||
25,442,327 | 2.9 | |||||||||||||
Total Corporate Bonds/Notes (Cost $420,509,253) | 443,219,370 | 51.5 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.3% | ||||||||||||||
2,925,961 | # | Banc of America Large Loan, Inc., 1.937%, 11/15/15 | 2,717,672 | 0.3 | ||||||||||
Total Collateralized Mortgage Obligations (Cost $2,587,183) | 2,717,672 | 0.3 | ||||||||||||
MUNICIPAL BONDS: 0.4% | ||||||||||||||
California: 0.4% | ||||||||||||||
3,000,000 | Other Securities | 3,281,130 | 0.4 | |||||||||||
Total Municipal Bonds (Cost $3,003,484) | 3,281,130 | 0.4 | ||||||||||||
Shares | Value | Percentage of Net Assets | ||||||||||||
COMMON STOCK: 39.2% | ||||||||||||||
Consumer Discretionary: 1.5% | ||||||||||||||
573,939 | Other Securities | $ | 13,042,743 | 1.5 | ||||||||||
Consumer Staples: 1.0% | ||||||||||||||
73,900 | PepsiCo, Inc. | 5,204,777 | 0.6 | |||||||||||
150,000 | Other Securities | 3,068,852 | 0.4 | |||||||||||
8,273,629 | 1.0 |
Shares | Value | Percentage of Net Assets | ||||||||||||
Energy: 7.5% | ||||||||||||||
200,000 | BP PLC ADR ADR | $ | 8,858,000 | 1.1 | ||||||||||
365,000 | Canadian Oil Sands Ltd. | 10,532,376 | 1.2 | |||||||||||
160,000 | ConocoPhillips | 12,030,400 | 1.4 | |||||||||||
146,235 | ExxonMobil Corp. | 11,900,604 | 1.4 | |||||||||||
643,753 | Other Securities | 20,835,146 | 2.4 | |||||||||||
64,156,526 | 7.5 | |||||||||||||
Financials: 5.1% | ||||||||||||||
550,000 | Bank of America Corp. | 6,028,000 | 0.7 | |||||||||||
200,000 | JPMorgan Chase & Co. | 8,188,000 | 1.0 | |||||||||||
299,600 | Wells Fargo & Co. | 8,406,776 | 1.0 | |||||||||||
2,201,092 | Other Securities | 21,073,026 | 2.4 | |||||||||||
43,695,802 | 5.1 | |||||||||||||
Health Care: 5.5% | ||||||||||||||
150,000 | Johnson & Johnson | 9,978,000 | 1.1 | |||||||||||
410,200 | Merck & Co., Inc. | 14,475,958 | 1.7 | |||||||||||
378,100 | Pfizer, Inc. | 7,788,860 | 0.9 | |||||||||||
92,800 | Roche Holding AG - Genusschein | 15,536,647 | 1.8 | |||||||||||
47,779,465 | 5.5 | |||||||||||||
Industrials: 0.9% | ||||||||||||||
304,600 | General Electric Co. | 5,744,756 | 0.7 | |||||||||||
23,700 | Other Securities | 1,752,141 | 0.2 | |||||||||||
7,496,897 | 0.9 | |||||||||||||
Information Technology: 1.4% | ||||||||||||||
300,000 | Intel Corp. | 6,648,000 | 0.7 | |||||||||||
334,238 | Other Securities | 5,815,966 | 0.7 | |||||||||||
12,463,966 | 1.4 | |||||||||||||
Materials: 1.4% | ||||||||||||||
120,000 | Newmont Mining Corp. | 6,476,400 | 0.7 | |||||||||||
130,000 | Other Securities | 5,806,300 | 0.7 | |||||||||||
12,282,700 | 1.4 | |||||||||||||
Telecommunication Services: 3.0% | ||||||||||||||
275,000 | AT&T, Inc. | 8,637,750 | 1.0 | |||||||||||
2,750,000 | Vodafone Group PLC | 7,292,044 | 0.8 | |||||||||||
1,081,205 | Other Securities | 10,164,028 | 1.2 | |||||||||||
26,093,822 | 3.0 | |||||||||||||
Utilities: 11.9% | ||||||||||||||
150,000 | American Electric Power Co., Inc. | 5,652,000 | 0.7 | |||||||||||
160,000 | Dominion Resources, Inc. | 7,723,200 | 0.9 | |||||||||||
550,000 | Duke Energy Corp. | 10,356,500 | 1.2 | |||||||||||
85,000 | Entergy Corp. | 5,803,800 | 0.7 |
See Accompanying Notes to Financial Statements
62
Table of Contents
ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED) |
Shares | Value | Percentage of Net Assets | ||||||||||||
COMMON STOCK: (continued) | ||||||||||||||
Utilities: (continued) | ||||||||||||||
102,000 | NextEra Energy, Inc. | $ | 5,860,920 | 0.7 | ||||||||||
172,000 | Pacific Gas & Electric Co. | 7,229,160 | 0.8 | |||||||||||
120,000 | Progress Energy, Inc. | 5,761,200 | 0.7 | |||||||||||
175,000 | Public Service Enterprise Group, Inc. | 5,712,000 | 0.7 | |||||||||||
105,000 | Sempra Energy | 5,552,400 | 0.6 | |||||||||||
325,000 | Southern Co. | 13,123,500 | 1.5 | |||||||||||
300,000 | Xcel Energy, Inc. | 7,290,000 | 0.8 | |||||||||||
794,600 | Other Securities | 22,135,010 | 2.6 | |||||||||||
102,199,690 | 11.9 | |||||||||||||
Total Common Stock (Cost $333,836,973) | 337,485,240 | 39.2 | ||||||||||||
PREFERRED STOCK: 5.4% | ||||||||||||||
Consumer Discretionary: 0.2% | ||||||||||||||
30,000 | Other Securities | 1,462,200 | 0.2 | |||||||||||
Energy: 1.0% | ||||||||||||||
3,500 | # | Chesapeake Energy Corp. | 4,418,750 | 0.5 | ||||||||||
25,000 | #,@ | SandRidge Energy, Inc. | 4,103,125 | 0.5 | ||||||||||
8,521,875 | 1.0 | |||||||||||||
Financials: 3.6% | ||||||||||||||
1,839 | #,P | Ally Financial, Inc. | 1,728,430 | 0.2 | ||||||||||
9,300 | Bank of America Corp. | 9,311,160 | 1.1 | |||||||||||
8,000 | Wells Fargo & Co. | 8,480,000 | 1.0 | |||||||||||
742,110 | Other Securities | 11,543,806 | 1.3 | |||||||||||
31,063,396 | 3.6 | |||||||||||||
Health Care: 0.3% | ||||||||||||||
2,500 | Tenet Healthcare Corp. | 2,525,000 | 0.3 | |||||||||||
Materials: 0.2% | ||||||||||||||
33,000 | Other Securities | 1,646,370 | 0.2 | |||||||||||
Utilities: 0.1% | ||||||||||||||
20,000 | Other Securities | 1,037,000 | 0.1 | |||||||||||
Total Preferred Stock (Cost $55,354,250) | 46,255,841 | 5.4 |
Shares | Value | Percentage of Net Assets | ||||||||||||
WARRANTS: 0.1% | ||||||||||||||
Consumer Discretionary: 0.1% | ||||||||||||||
46,509 | Other Securities | $ | 750,154 | 0.1 | ||||||||||
Total Warrants (Cost $10,325,078) | 750,154 | 0.1 | ||||||||||||
Total Long-Term Investments (Cost $825,616,221) | 833,709,407 | 96.9 | ||||||||||||
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: 9.8% | ||||||||||||||
U.S. Government Agency Obligations: 0.6% | ||||||||||||||
4,745,000 | Z | Federal Home Loan Discount Note, 0.100%, 07/01/11 (Cost $4,745,000) | $ | 4,745,000 | 0.6 | |||||||||
Shares | Value | Percentage of Net Assets | ||||||||||||
Securities Lending Collateralcc: 9.2% | ||||||||||||||
79,076,979 | BNY Mellon Overnight Government Fund(1) | $ | 79,076,979 | 9.2 | ||||||||||
262,251 | R | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 209,800 | 0.0 | ||||||||||
Total Securities Lending Collateral (Cost $79,339,230) | 79,286,779 | 9.2 | ||||||||||||
Total Short-Term Investments (Cost $84,084,230) | 84,031,779 | 9.8 | ||||||||||||
Total Investments in Securities (Cost $909,700,451)* | $ | 917,741,186 | 106.7 | |||||||||||
Liabilities in Excess of Other Assets | (57,600,271 | ) | (6.7 | ) | ||||||||||
|
|
|
| |||||||||||
Net Assets | $ | 860,140,915 | 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 June 30, 2011.
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. |
See Accompanying Notes to Financial Statements
63
Table of Contents
ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED) |
@ | Non-income producing security |
& | Payment-in-kind |
ADR | American Depositary Receipt |
P | Preferred Stock may be called prior to convertible date. |
cc | Securities purchased with cash collateral for securities loaned. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2011. |
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
(2) | On September 12, 2008, BNY established a separate sleeve of the |
Institutional Cash Reserves Fund (Series B) to hold certain Lehman Brothers defaulted debt obligations. The Portfolio’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
EUR | EU Euro |
GBP | British Pound |
* | Cost for federal income tax purposes is $901,701,340. |
Net unrealized appreciation consists of: |
| |||
Gross Unrealized Appreciation | $ | 82,564,983 | ||
Gross Unrealized Depreciation | (74,525,137 | ) | ||
|
| |||
Net Unrealized appreciation | $ | 8,039,846 | ||
|
|
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2011 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 6/30/2011 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 13,042,743 | $ | – | $ | – | $ | 13,042,743 | ||||||||
Consumer Staples | 5,204,777 | 3,068,852 | – | 8,273,629 | ||||||||||||
Energy | 64,156,526 | – | – | 64,156,526 | ||||||||||||
Financials | 30,571,143 | 13,124,659 | – | 43,695,802 | ||||||||||||
Health Care | 32,242,818 | 15,536,647 | – | 47,779,465 | ||||||||||||
Industrials | 7,496,897 | – | – | 7,496,897 | ||||||||||||
Information Technology | 12,463,966 | – | – | 12,463,966 | ||||||||||||
Materials | 12,282,700 | – | – | 12,282,700 | ||||||||||||
Telecommunication Services | 16,315,875 | 9,777,947 | – | 26,093,822 | ||||||||||||
Utilities | 102,199,690 | – | – | 102,199,690 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 295,977,135 | 41,508,105 | – | 337,485,240 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | 12,834,270 | 33,421,571 | – | 46,255,841 | ||||||||||||
Warrants | 750,154 | – | – | 750,154 | ||||||||||||
Corporate Bonds/Notes | – | 443,219,370 | – | 443,219,370 | ||||||||||||
Collateralized Mortgage Obligations | – | 2,717,672 | – | 2,717,672 | ||||||||||||
Municipal Bonds | – | 3,281,130 | – | 3,281,130 | ||||||||||||
Short-Term Investments | 79,076,979 | 4,745,000 | 209,800 | 84,031,779 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at value | $ | 388,638,538 | $ | 528,892,848 | $ | 209,800 | $ | 917,741,186 | ||||||||
|
|
|
|
|
|
|
|
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
# | 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 significant portion of the Portfolio’s investments are categorized as Level 2 investments. |
There were no significant transfers between Level 1 and 2 during the period ended June 30, 2011. |
See Accompanying Notes to Financial Statements
64
Table of Contents
ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED) |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio’s assets and liabilities during the period ended June 30, 2011:
Beginning Balance 12/31/2010 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2011 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 209,800 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 209,800 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Investments, at value | $ | 209,800 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 209,800 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of June 30, 2011, total change in unrealized gain (loss) on Level 3 securities still held at period end and included in the change in net assets was $0.
Transfers in or out of Level 3 represent either the beginning value (for transfers in), or the ending value (for transfers out) of any security or derivative instrument where a change in the pricing level occurred from the beginning to the end of the period. Transfers are recognized at the end of the reporting period. |
See Accompanying Notes to Financial Statements
65
Table of Contents
ING FRANKLIN MUTUAL SHARES PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) |
Industry Allocation
as of June 30, 2011
(as a percentage of net assets)
Consumer Staples | 21.2% | |||
Financials | 15.8% | |||
Health Care | 12.7% | |||
Consumer Discretionary | 9.8% | |||
Information Technology | 8.3% | |||
Energy | 7.1% | |||
Utilities | 5.2% |
Materials | 4.7% | |||
Industrials | 4.6% | |||
Telecommunication Services | 2.8% | |||
Other Assets and Liabilities – Net* | 7.8% | |||
|
| |||
Net Assets | 100.0% | |||
|
|
* | Includes short-term investments. |
Portfolio holdings are subject to change daily.
Shares | Value | Percentage of Net Assets | ||||||||||||
COMMON STOCK: 88.7% | ||||||||||||||
Consumer Discretionary: 8.1% | ||||||||||||||
351,622 | British Sky Broadcasting PLC | $ | 4,773,674 | 0.9 | ||||||||||
397,084 | News Corp. - Class A | 7,028,387 | 1.4 | |||||||||||
74,734 | Time Warner Cable, Inc. | 5,832,241 | 1.1 | |||||||||||
165,362 | Time Warner, Inc. | 6,014,216 | 1.2 | |||||||||||
3,383,655 | Other Securities | 17,890,155 | 3.5 | |||||||||||
41,538,673 | 8.1 | |||||||||||||
Consumer Staples: 21.2% | ||||||||||||||
308,832 | Altria Group, Inc. | 8,156,253 | 1.6 | |||||||||||
290,873 | British American Tobacco PLC | 12,755,288 | 2.5 | |||||||||||
82 | British American Tobacco PLC ADR ADR | 7,216 | 0.0 | |||||||||||
344,839 | CVS Caremark Corp. | 12,960,122 | 2.5 | |||||||||||
108,648 | Dr. Pepper Snapple Group, Inc. | 4,555,611 | 0.9 | |||||||||||
105,768 | General Mills, Inc. | 3,936,685 | 0.8 | |||||||||||
263,957 | Imperial Tobacco Group PLC | 8,787,816 | 1.7 | |||||||||||
311,728 | Kraft Foods, Inc. | 10,982,177 | 2.1 | |||||||||||
236,118 | Kroger Co. | 5,855,726 | 1.2 | |||||||||||
142,323 | Nestle S.A. | 8,856,553 | 1.7 | |||||||||||
74,479 | Pernod-Ricard S.A. | 7,345,609 | 1.4 | |||||||||||
747,542 | Other Securities | 24,538,358 | 4.8 | |||||||||||
108,737,414 | 21.2 | |||||||||||||
Energy: 6.9% | ||||||||||||||
208,139 | Marathon Oil Corp. | 10,964,763 | 2.1 | |||||||||||
214,271 | Royal Dutch Shell PLC | 7,608,528 | 1.5 | |||||||||||
92,015 | Transocean Ltd. | 5,940,488 | 1.2 |
Shares | Value | Percentage of Net Assets | ||||||||||||
COMMON STOCK: (continued) | ||||||||||||||
Energy: (continued) | ||||||||||||||
540,644 | Other Securities | $ | 10,698,378 | 2.1 | ||||||||||
35,212,157 | 6.9 | |||||||||||||
Financials: 15.4% | ||||||||||||||
80,913 | ACE Ltd. | 5,325,694 | 1.0 | |||||||||||
152,380 | American International Group, Inc. | 4,467,781 | 0.9 | |||||||||||
380,645 | Bank of America Corp. | 4,171,869 | 0.8 | |||||||||||
974,744 | Barclays PLC | 3,998,758 | 0.8 | |||||||||||
48,247 | #,@ | Bond Street Holdings, LLC | 1,037,310 | 0.2 | ||||||||||
228,990 | Morgan Stanley | 5,269,060 | 1.0 | |||||||||||
92,090 | PNC Financial Services Group, Inc. | 5,489,485 | 1.1 | |||||||||||
234,564 | Wells Fargo & Co. | 6,581,866 | 1.3 | |||||||||||
259,559 | Weyerhaeuser Co. | 5,673,960 | 1.1 | |||||||||||
20,198 | @ | White Mountains Insurance Group Ltd. | 8,486,392 | 1.6 | ||||||||||
1,283,921 | Other Securities | 28,717,184 | 5.6 | |||||||||||
79,219,359 | 15.4 | |||||||||||||
Health Care: 12.7% | ||||||||||||||
85,160 | Amgen, Inc. | 4,969,086 | 1.0 | |||||||||||
218,924 | Eli Lilly & Co. | 8,216,218 | 1.6 | |||||||||||
138,470 | Medtronic, Inc. | 5,335,249 | 1.0 | |||||||||||
236,720 | Merck & Co., Inc. | 8,353,849 | 1.6 | |||||||||||
64,544 | Novartis AG ADR ADR | 3,944,284 | 0.8 | |||||||||||
450,862 | Pfizer, Inc. | 9,287,757 | 1.8 | |||||||||||
662,775 | Tenet Healthcare Corp. | 4,135,716 | 0.8 | |||||||||||
175,877 | UnitedHealth Group, Inc. | 9,071,736 | 1.8 |
See Accompanying Notes to Financial Statements
66
Table of Contents
ING FRANKLIN MUTUAL SHARES PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2011 (UNAUDITED) (CONTINUED) |
Shares | Value | Percentage |