Table of Contents
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05629
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, 2010 to June 30, 2010
Table of Contents
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):
Table of Contents
n | ING Artio Foreign Portfolio | |
n | ING Clarion Global Real Estate Portfolio |
n | ING Morgan Stanley Global Franchise Portfolio (formerly, ING Van Kampen Global Franchise Portfolio) | |
n | ING Morgan Stanley Global Tactical Asset Allocation Portfolio (formerly, ING Van Kampen Global Tactical Asset Allocation Portfolio) | |
n | ING PIMCO Total Return Bond Portfolio |
n | ING T. Rowe Price Equity Income Portfolio | |
n | ING Van Kampen Growth and Income Portfolio | |
n | ING Wells Fargo Health Care Portfolio (formerly, ING Evergreen Health Sciences Portfolio) |
1 | ||
2 | ||
4 | ||
7 | ||
16 | ||
21 | ||
31 | ||
43 | ||
76 | ||
194 |
1
2
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
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||||||
Beginning | Ending | Expenses Paid | Beginning | Ending | Expenses Paid | |||||||||||||||||||||||||||
Account | Account | During the | Account | Account | During the | |||||||||||||||||||||||||||
Value | Value | Annualized | Period Ended | Value | Value | Annualized | Period Ended | |||||||||||||||||||||||||
January 1, | June 30, | Expense | June 30, | January 1, | June 30, | Expense | June 30, | |||||||||||||||||||||||||
2010 | 2010 | Ratio | 2010* | 2010 | 2010 | Ratio | 2010* | |||||||||||||||||||||||||
ING Artio Foreign Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 870.50 | 1.49 | % | $ | 6.91 | $ | 1,000.00 | $ | 1,017.41 | 1.49 | % | $ | 7.45 | ||||||||||||||||
Class I | 1,000.00 | 873.40 | 0.89 | 4.13 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | ||||||||||||||||||||||||
Class S | 1,000.00 | 872.30 | 1.14 | 5.29 | 1,000.00 | 1,019.14 | 1.14 | 5.71 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 871.70 | 1.29 | 5.99 | 1,000.00 | 1,018.40 | 1.29 | 6.46 | ||||||||||||||||||||||||
ING Clarion Global Real Estate Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 924.10 | 1.49 | % | $ | 7.11 | $ | 1,000.00 | $ | 1,017.41 | 1.49 | % | $ | 7.45 | ||||||||||||||||
Class I | 1,000.00 | 927.60 | 0.89 | 4.25 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | ||||||||||||||||||||||||
Class S | 1,000.00 | 926.20 | 1.14 | 5.44 | 1,000.00 | 1,019.14 | 1.14 | 5.71 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 925.50 | 1.29 | 6.16 | 1,000.00 | 1,018.40 | 1.29 | 6.46 | ||||||||||||||||||||||||
ING FMRSM Diversified Mid Cap Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,009.40 | 1.24 | % | $ | 6.18 | $ | 1,000.00 | $ | 1,018.65 | 1.24 | % | $ | 6.21 | ||||||||||||||||
Class I | 1,000.00 | 1,012.60 | 0.64 | 3.19 | 1,000.00 | 1,021.62 | 0.64 | 3.21 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,011.00 | 0.89 | 4.44 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,011.00 | 1.04 | 5.19 | 1,000.00 | 1,019.64 | 1.04 | 5.21 |
4
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||||||
Beginning | Ending | Expenses Paid | Beginning | Ending | Expenses Paid | |||||||||||||||||||||||||||
Account | Account | During the | Account | Account | During the | |||||||||||||||||||||||||||
Value | Value | Annualized | Period Ended | Value | Value | Annualized | Period Ended | |||||||||||||||||||||||||
January 1, | June 30, | Expense | June 30, | January 1, | June 30, | Expense | June 30, | |||||||||||||||||||||||||
2010 | 2010 | Ratio | 2010* | 2010 | 2010 | Ratio | 2010* | |||||||||||||||||||||||||
ING Global Resources Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 876.40 | 1.25 | % | $ | 5.82 | $ | 1,000.00 | $ | 1,018.60 | 1.25 | % | $ | 6.26 | ||||||||||||||||
Class I | 1,000.00 | 878.90 | 0.65 | 3.03 | 1,000.00 | 1,021.57 | 0.65 | 3.26 | ||||||||||||||||||||||||
Class S | 1,000.00 | 877.40 | 0.90 | 4.19 | 1,000.00 | 1,020.33 | 0.90 | 4.51 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 877.10 | 1.05 | 4.89 | 1,000.00 | 1,019.59 | 1.05 | 5.26 | ||||||||||||||||||||||||
ING Janus Contrarian Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 947.10 | 1.39 | % | $ | 6.71 | $ | 1,000.00 | $ | 1,017.90 | 1.39 | % | $ | 6.95 | ||||||||||||||||
Class I | 1,000.00 | 950.00 | 0.79 | 3.82 | 1,000.00 | 1,020.88 | 0.79 | 3.96 | ||||||||||||||||||||||||
Class S | 1,000.00 | 949.00 | 1.04 | 5.03 | 1,000.00 | 1,019.64 | 1.04 | 5.21 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 948.70 | 1.19 | 5.75 | 1,000.00 | 1,018.89 | 1.19 | 5.96 | ||||||||||||||||||||||||
ING JPMorgan Emerging Markets Equity Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 941.00 | 1.86 | % | $ | 8.95 | $ | 1,000.00 | $ | 1,015.57 | 1.86 | % | $ | 9.30 | ||||||||||||||||
Class I | 1,000.00 | 944.10 | 1.26 | 6.07 | 1,000.00 | 1,018.55 | 1.26 | 6.31 | ||||||||||||||||||||||||
Class S | 1,000.00 | 942.40 | 1.51 | 7.27 | 1,000.00 | 1,017.31 | 1.51 | 7.55 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 942.10 | 1.66 | 7.99 | 1,000.00 | 1,016.56 | 1.66 | 8.30 | ||||||||||||||||||||||||
ING Liquid Assets Portfolio | ||||||||||||||||||||||||||||||||
Class I | $ | 1,000.00 | $ | 1,000.10 | 0.27 | %(1) | $ | 1.34 | $ | 1,000.00 | $ | 1,023.46 | 0.27 | %(1) | $ | 1.35 | ||||||||||||||||
Class S | 1,000.00 | 1,000.00 | 0.30 | (1) | 1.49 | 1,000.00 | 1,023.31 | 0.30 | (1) | 1.51 | ||||||||||||||||||||||
Class S2 | 1,000.00 | 1,000.00 | 0.30 | (1) | 1.49 | 1,000.00 | 1,023.31 | 0.30 | (1) | 1.51 | ||||||||||||||||||||||
ING Marsico Growth Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 927.20 | 1.41 | % | $ | 6.74 | $ | 1,000.00 | $ | 1,017.80 | 1.41 | % | $ | 7.05 | ||||||||||||||||
Class I | 1,000.00 | 930.40 | 0.81 | 3.88 | 1,000.00 | 1,020.78 | 0.81 | 4.06 | ||||||||||||||||||||||||
Class S | 1,000.00 | 929.00 | 1.06 | 5.07 | 1,000.00 | 1,019.54 | 1.06 | 5.31 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 927.90 | 1.21 | 5.78 | 1,000.00 | 1,018.79 | 1.21 | 6.06 | ||||||||||||||||||||||||
ING Marsico International Opportunities Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 876.90 | 1.33 | % | $ | 6.19 | $ | 1,000.00 | $ | 1,018.20 | 1.33 | % | $ | 6.66 | ||||||||||||||||
Class I | 1,000.00 | 879.50 | 0.73 | 3.40 | 1,000.00 | 1,021.17 | 0.73 | 3.66 | ||||||||||||||||||||||||
Class S | 1,000.00 | 879.00 | 0.98 | 4.57 | 1,000.00 | 1,019.93 | 0.98 | 4.91 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 879.00 | 1.13 | 5.26 | 1,000.00 | 1,019.19 | 1.13 | 5.66 | ||||||||||||||||||||||||
ING MFS Total Return Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 973.00 | 1.30 | % | $ | 6.36 | $ | 1,000.00 | $ | 1,018.35 | 1.30 | % | $ | 6.51 | ||||||||||||||||
Class I | 1,000.00 | 976.60 | 0.70 | 3.43 | 1,000.00 | 1,021.32 | 0.70 | 3.51 | ||||||||||||||||||||||||
Class S | 1,000.00 | 974.50 | 0.95 | 4.65 | 1,000.00 | 1,020.08 | 0.95 | 4.76 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 974.30 | 1.10 | 5.38 | 1,000.00 | 1,019.34 | 1.10 | 5.51 | ||||||||||||||||||||||||
ING MFS Utilities Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 924.00 | 1.37 | % | $ | 6.54 | $ | 1,000.00 | $ | 1,018.00 | 1.37 | % | $ | 6.85 | ||||||||||||||||
Class I | 1,000.00 | 927.70 | 0.77 | 3.68 | 1,000.00 | 1,020.98 | 0.77 | 3.86 | ||||||||||||||||||||||||
Class S | 1,000.00 | 925.80 | 1.02 | 4.87 | 1,000.00 | 1,019.74 | 1.02 | 5.11 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 922.60 | 1.17 | 5.58 | 1,000.00 | 1,018.99 | 1.17 | 5.86 | ||||||||||||||||||||||||
ING Morgan Stanley Global Franchise Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 967.00 | 1.58 | % | $ | 7.71 | $ | 1,000.00 | $ | 1,016.96 | 1.58 | % | $ | 7.90 | ||||||||||||||||
Class I | 1,000.00 | 971.30 | 0.98 | 4.79 | 1,000.00 | 1,019.93 | 0.98 | 4.91 | ||||||||||||||||||||||||
Class S | 1,000.00 | 968.90 | 1.23 | 6.00 | 1,000.00 | 1,018.70 | 1.23 | 6.16 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 968.70 | 1.38 | 6.74 | 1,000.00 | 1,017.95 | 1.38 | 6.90 | ||||||||||||||||||||||||
ING Morgan Stanley Global Tactical Asset Allocation Portfolio | ||||||||||||||||||||||||||||||||
Class ADV(2) | $ | 1,000.00 | $ | 918.60 | 1.53 | % | $ | 2.49 | $ | 1,000.00 | $ | 1,017.21 | 1.53 | % | $ | 7.65 | ||||||||||||||||
Class S | 1,000.00 | 937.80 | 1.18 | 5.67 | 1,000.00 | 1,018.94 | 1.18 | 5.91 |
5
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||||||
Beginning | Ending | Expenses Paid | Beginning | Ending | Expenses Paid | |||||||||||||||||||||||||||
Account | Account | During the | Account | Account | During the | |||||||||||||||||||||||||||
Value | Value | Annualized | Period Ended | Value | Value | Annualized | Period Ended | |||||||||||||||||||||||||
January 1, | June 30, | Expense | June 30, | January 1, | June 30, | Expense | June 30, | |||||||||||||||||||||||||
2010 | 2010 | Ratio | 2010* | 2010 | 2010 | Ratio | 2010* | |||||||||||||||||||||||||
ING PIMCO Total Return Bond Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,052.50 | 1.12 | % | $ | 5.70 | $ | 1,000.00 | $ | 1,019.24 | 1.12 | % | $ | 5.61 | ||||||||||||||||
Class I | 1,000.00 | 1,057.30 | 0.55 | 2.81 | 1,000.00 | 1,022.07 | 0.55 | 2.76 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,054.80 | 0.80 | 4.08 | 1,000.00 | 1,020.83 | 0.80 | 4.01 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,054.30 | 0.95 | 4.84 | 1,000.00 | 1,020.08 | 0.95 | 4.76 | ||||||||||||||||||||||||
ING Pioneer Mid Cap Value Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 955.70 | 1.24 | % | $ | 6.01 | $ | 1,000.00 | $ | 1,018.65 | 1.24 | % | $ | 6.21 | ||||||||||||||||
Class I | 1,000.00 | 958.50 | 0.64 | 3.11 | 1,000.00 | 1,021.62 | 0.64 | 3.21 | ||||||||||||||||||||||||
Class S | 1,000.00 | 957.40 | 0.89 | 4.32 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 955.70 | 1.04 | 5.04 | 1,000.00 | 1,019.64 | 1.04 | 5.21 | ||||||||||||||||||||||||
ING T. Rowe Price Capital Appreciation Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 979.40 | 1.25 | % | $ | 6.13 | $ | 1,000.00 | $ | 1,018.60 | 1.25 | % | $ | 6.26 | ||||||||||||||||
Class I | 1,000.00 | 981.70 | 0.65 | 3.19 | 1,000.00 | 1,021.57 | 0.65 | 3.26 | ||||||||||||||||||||||||
Class S | 1,000.00 | 980.70 | 0.90 | 4.42 | 1,000.00 | 1,020.33 | 0.90 | 4.51 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 980.10 | 1.05 | 5.16 | 1,000.00 | 1,019.59 | 1.05 | 5.26 | ||||||||||||||||||||||||
ING T. Rowe Price Equity Income Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 939.10 | 1.25 | % | $ | 6.01 | $ | 1,000.00 | $ | 1,018.60 | 1.25 | % | $ | 6.26 | ||||||||||||||||
Class I | 1,000.00 | 942.30 | 0.65 | 3.13 | 1,000.00 | 1,021.57 | 0.65 | 3.26 | ||||||||||||||||||||||||
Class S | 1,000.00 | 941.40 | 0.90 | 4.33 | 1,000.00 | 1,020.33 | 0.90 | 4.51 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 940.10 | 1.05 | 5.05 | 1,000.00 | 1,019.59 | 1.05 | 5.26 | ||||||||||||||||||||||||
ING Van Kampen Growth and Income Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 914.10 | 1.25 | % | $ | 5.93 | $ | 1,000.00 | $ | 1,018.60 | 1.25 | % | $ | 6.26 | ||||||||||||||||
Class I | 1,000.00 | 916.30 | 0.65 | 3.09 | 1,000.00 | 1,021.57 | 0.65 | 3.26 | ||||||||||||||||||||||||
Class S | 1,000.00 | 915.20 | 0.90 | 4.27 | 1,000.00 | 1,020.33 | 0.90 | 4.51 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 914.80 | 1.05 | 4.99 | 1,000.00 | 1,019.59 | 1.05 | 5.26 | ||||||||||||||||||||||||
ING Wells Fargo Health Care Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 936.80 | 1.35 | % | $ | 6.48 | $ | 1,000.00 | $ | 1,018.10 | 1.35 | % | $ | 6.76 | ||||||||||||||||
Class I | 1,000.00 | 942.00 | 0.75 | 3.61 | 1,000.00 | 1,021.08 | 0.75 | 3.76 | ||||||||||||||||||||||||
Class S | 1,000.00 | 940.70 | 1.00 | 4.81 | 1,000.00 | 1,019.84 | 1.00 | 5.01 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 938.60 | 1.15 | 5.53 | 1,000.00 | 1,019.09 | 1.15 | 5.76 |
* | 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. |
(1) | Expense ratios reflect waivers of 0.01%, 0.23%, and 0.48% of distribution and shareholder servicing fees for Classes I, S, and S2, respectively, in order to maintain a yield of not less than zero. |
(2) | Commencement of operations was April 30, 2010. Expenses paid for the Actual Fund Return reflect the 62 day period ended June 30, 2010. |
6
ING | ING | ING | ING | |||||||||||||
Artio | Clarion Global | FMRSM Diversified | Global | |||||||||||||
Foreign | Real Estate | Mid Cap | Resources | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities at value+* | $ | 870,106,704 | $ | 333,731,549 | $ | 1,080,733,765 | $ | 759,859,244 | ||||||||
Investments in affiliates** | — | 3,376,189 | — | — | ||||||||||||
Short-term investments*** | 43,357,991 | 9,342,369 | 107,475,386 | 2,285,628 | ||||||||||||
Short-term investments in affiliates**** | — | 5,984,287 | — | 11,898,000 | ||||||||||||
Cash | 282,182 | — | 3,403 | 139,233 | ||||||||||||
Cash collateral for equity forwards | 2,610,000 | — | — | — | ||||||||||||
Foreign currencies at value***** | 2,671,800 | 258,228 | 4,730,548 | 162,838 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 13,396,180 | 339,943 | 9,049,787 | 1,983,271 | ||||||||||||
Fund shares sold | 3,981,502 | 619,901 | 25,839 | 2,926,860 | ||||||||||||
Dividends and interest | 2,425,168 | 1,308,920 | 514,519 | 828,622 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 2,770,494 | — | — | — | ||||||||||||
Prepaid expenses | — | 2,158 | — | — | ||||||||||||
Reimbursement due from manager | — | 28,019 | — | — | ||||||||||||
Total assets | 941,602,021 | 354,991,563 | 1,202,533,247 | 780,083,696 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 8,654,590 | 739,390 | 7,505,738 | — | ||||||||||||
Payable for fund shares redeemed | 153,730 | 52,900 | 3,107,999 | 69,071 | ||||||||||||
Payable upon receipt of securities loaned | 43,850,346 | 9,416,918 | 107,825,146 | 2,442,493 | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | 3,171,773 | — | — | — | ||||||||||||
Payable to affiliates | 807,328 | 294,736 | 821,501 | 608,693 | ||||||||||||
Payable for trustee fees | — | 3,749 | — | 1,763 | ||||||||||||
Other accrued expenses and liabilities | — | 170,954 | — | — | ||||||||||||
Payable for borrowings against line of credit | 740,000 | — | 2,815,000 | — | ||||||||||||
Total liabilities | 57,377,767 | 10,678,647 | 122,075,384 | 3,122,020 | ||||||||||||
NET ASSETS | $ | 884,224,254 | $ | 344,312,916 | $ | 1,080,457,863 | $ | 776,961,676 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||
Paid-in capital | $ | 1,520,442,195 | $ | 566,530,157 | $ | 1,286,760,480 | $ | 1,064,234,754 | ||||||||
Undistributed net investment income | 8,952,563 | 38,693,101 | 2,014,332 | 11,392,513 | ||||||||||||
Accumulated net realized loss | (568,856,368 | ) | (308,819,979 | ) | (363,596,510 | ) | (236,435,082 | ) | ||||||||
Net unrealized appreciation or depreciation | (76,314,136 | ) | 47,909,637 | 155,279,561 | (62,230,509 | ) | ||||||||||
NET ASSETS | $ | 884,224,254 | $ | 344,312,916 | $ | 1,080,457,863 | $ | 776,961,676 | ||||||||
+ Including securities loaned at value | $ | 41,538,145 | $ | 7,537,486 | $ | 104,747,183 | $ | 2,385,452 | ||||||||
* Cost of investments in securities | $ | 945,654,765 | $ | 285,388,249 | $ | 925,137,664 | $ | 821,929,439 | ||||||||
** Cost of investments in affiliates | $ | — | $ | 3,719,785 | $ | — | $ | — | ||||||||
*** Cost of short-term investments | $ | 43,850,346 | $ | 9,416,918 | $ | 107,825,146 | $ | 2,442,493 | ||||||||
**** Cost of short-term investments in affiliates | $ | — | $ | 5,984,287 | $ | — | $ | 11,898,000 | ||||||||
***** Cost of foreign currencies | $ | 2,732,570 | $ | 256,519 | $ | 4,695,771 | $ | 162,803 |
7
ING | ING | ING | ING | |||||||||||||
Artio | Clarion Global | FMRSM Diversified | Global | |||||||||||||
Foreign | Real Estate | Mid Cap | Resources | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
Class ADV: | ||||||||||||||||
Net assets | $ | 3,022,788 | $ | 1,150,048 | $ | 21,535,577 | $ | 7,748,633 | ||||||||
Shares outstanding(1) | 321,246 | 134,932 | 1,815,449 | 503,853 | ||||||||||||
Net asset value and redemption price per share | $ | 9.41 | $ | 8.52 | $ | 11.86 | $ | 15.38 | ||||||||
Class I: | ||||||||||||||||
Net assets | $ | 265,733,187 | $ | 182,421,998 | $ | 73,434,959 | $ | 28,745,696 | ||||||||
Shares outstanding(1) | 27,915,912 | 21,239,991 | 6,100,828 | 1,817,539 | ||||||||||||
Net asset value and redemption price per share | $ | 9.52 | $ | 8.59 | $ | 12.04 | $ | 15.82 | ||||||||
Class S: | ||||||||||||||||
Net assets | $ | 574,288,858 | $ | 158,790,450 | $ | 933,057,285 | $ | 716,823,999 | ||||||||
Shares outstanding(1) | 60,909,363 | 18,587,470 | 77,863,443 | 45,741,747 | ||||||||||||
Net asset value and redemption price per share | $ | 9.43 | $ | 8.54 | $ | 11.98 | $ | 15.67 | ||||||||
Class S2: | ||||||||||||||||
Net assets | $ | 41,179,421 | $ | 1,950,420 | $ | 52,430,042 | $ | 23,643,348 | ||||||||
Shares outstanding(1) | 4,389,383 | 227,601 | 4,392,056 | 1,519,763 | ||||||||||||
Net asset value and redemption price per share | $ | 9.38 | $ | 8.57 | $ | 11.94 | $ | 15.56 |
(1) | Unlimited shares authorized, $0.001 par value. |
8
ING | ||||||||||||||||
ING | JPMorgan | ING | ING | |||||||||||||
Janus | Emerging | Liquid | Marsico | |||||||||||||
Contrarian | Markets Equity | Assets | Growth | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities at value+* | $ | 483,399,291 | $ | 883,730,443 | $ | — | $ | 622,768,649 | ||||||||
Repurchase agreement | — | — | 547,076,000 | — | ||||||||||||
Short-term investments** | 42,230,340 | 26,618,304 | — | 4,702,428 | ||||||||||||
Short-term investments in affiliates*** | — | — | — | 45,896,445 | ||||||||||||
Short-term investments at amortized cost+ | — | — | 1,163,302,336 | — | ||||||||||||
Cash | 8,388,137 | 474,726 | — | 50,877 | ||||||||||||
Foreign currencies at value**** | 1,868,907 | 479,544 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 624,635 | 9,436,017 | — | 2,516,912 | ||||||||||||
Fund shares sold | 1,139,350 | 589,964 | 46,892 | 939,441 | ||||||||||||
Dividends and interest | 688,507 | 1,388,300 | 1,192,304 | 1,082,216 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 39,143 | — | — | — | ||||||||||||
Prepaid expenses | — | — | 2,194 | — | ||||||||||||
Total assets | 538,378,310 | 922,717,298 | 1,711,619,726 | 677,956,968 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 1,976 | 4,480,192 | — | 5,226,332 | ||||||||||||
Payable for fund shares redeemed | 135,442 | 82,888 | 2,468,311 | 350,776 | ||||||||||||
Payable upon receipt of securities loaned | 42,554,099 | 27,257,817 | 102,750 | 5,182,950 | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | 235,159 | — | — | — | ||||||||||||
Payable to affiliates | 448,626 | 1,100,163 | 447,117 | 583,438 | ||||||||||||
Payable to custodian due to bank overdraft | — | — | 1,459 | — | ||||||||||||
Payable for trustee fees | — | 70,793 | 44,996 | — | ||||||||||||
Written options | 292,860 | — | — | — | ||||||||||||
Total liabilities | 43,668,162 | 32,991,853 | 3,064,633 | 11,343,496 | ||||||||||||
NET ASSETS | $ | 494,710,148 | $ | 889,725,445 | $ | 1,708,555,093 | $ | 666,613,472 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||
Paid-in capital | $ | 849,480,580 | $ | 707,208,665 | $ | 1,708,343,951 | $ | 1,246,339,348 | ||||||||
Undistributed net investment income | 1,344,332 | 7,648,251 | 32 | 5,146,800 | ||||||||||||
Accumulated net realized gain (loss) | (355,909,379 | ) | 59,703,340 | 211,110 | (633,819,352 | ) | ||||||||||
Net unrealized appreciation or depreciation | (205,385 | ) | 115,165,189 | — | 48,946,676 | |||||||||||
NET ASSETS | $ | 494,710,148 | $ | 889,725,445 | $ | 1,708,555,093 | $ | 666,613,472 | ||||||||
+ Including securities loaned at value | $ | 41,393,554 | $ | 25,921,080 | $ | 100,715 | $ | 5,068,282 | ||||||||
* Cost of investments in securities | $ | 483,256,824 | $ | 767,899,412 | $ | — | $ | 573,341,451 | ||||||||
** Cost of short-term investments | $ | 42,554,099 | $ | 27,257,817 | $ | — | $ | 5,182,950 | ||||||||
*** Cost of short-term investments in affiliates | $ | — | $ | — | $ | — | $ | 45,896,445 | ||||||||
**** Cost of foreign currencies | $ | 1,871,100 | $ | 494,239 | $ | — | $ | — | ||||||||
Premiums received for options written | $ | 471,822 | $ | — | $ | — | $ | — |
9
ING | ||||||||||||||||
ING | JPMorgan | ING | ING | |||||||||||||
Janus | Emerging | Liquid | Marsico | |||||||||||||
Contrarian | Markets Equity | Assets | Growth | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
Class ADV: | ||||||||||||||||
Net assets | $ | 729,338 | $ | 8,714,333 | n/a | $ | 5,383,394 | |||||||||
Shares outstanding(1) | 74,066 | 462,980 | n/a | 406,347 | ||||||||||||
Net asset value and redemption price per share | $ | 9.85 | $ | 18.82 | n/a | $ | 13.25 | |||||||||
Class I: | ||||||||||||||||
Net assets | $ | 15,287,800 | $ | 204,304,952 | $ | 143,312,199 | $ | 160,923,183 | ||||||||
Shares outstanding(1) | 1,518,091 | 10,621,357 | 143,287,291 | 11,920,606 | ||||||||||||
Net asset value and redemption price per share | $ | 10.07 | $ | 19.24 | $ | 1.00 | $ | 13.50 | ||||||||
Class S: | ||||||||||||||||
Net assets | $ | 458,960,969 | $ | 647,367,589 | $ | 1,410,984,328 | $ | 484,965,822 | ||||||||
Shares outstanding(1) | 45,674,609 | 33,787,798 | 1,410,728,503 | 36,318,047 | ||||||||||||
Net asset value and redemption price per share | $ | 10.05 | $ | 19.16 | $ | 1.00 | $ | 13.35 | ||||||||
Class S2: | ||||||||||||||||
Net assets | $ | 19,732,041 | $ | 29,338,571 | $ | 154,258,566 | $ | 15,341,073 | ||||||||
Shares outstanding(1) | 1,978,036 | 1,542,675 | 154,236,358 | 1,157,518 | ||||||||||||
Net asset value and redemption price per share | $ | 9.98 | $ | 19.02 | $ | 1.00 | $ | 13.25 |
(1) | Unlimited shares authorized, $0.001 par value, except for share classes not available. |
10
ING | ||||||||||||||||
Marsico | ING | ING | ING | |||||||||||||
International | MFS | MFS | Morgan Stanley | |||||||||||||
Opportunities | Total Return | Utilities | Global Franchise | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities at value+* | $ | 323,833,242 | $ | 972,794,760 | $ | 436,187,487 | $ | 313,273,305 | ||||||||
Short-term investments** | 26,949,745 | 4,627,724 | — | 2,325,212 | ||||||||||||
Short-term investments in affiliates*** | 11,334,294 | — | — | — | ||||||||||||
Short-term investments at amortized cost | — | 7,667,991 | 4,197,994 | — | ||||||||||||
Cash | 253 | 194,570 | 275 | 7,988,596 | ||||||||||||
Foreign currencies at value**** | 269,413 | — | 131 | 261,426 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 3,355,954 | 3,829,893 | 394,735 | — | ||||||||||||
Fund shares sold | 1,118,522 | 23,347 | 29,254 | 10,115 | ||||||||||||
Dividends and interest | 1,036,522 | 4,199,120 | 2,238,136 | 658,654 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 378,204 | 630,418 | ||||||||||||
Prepaid expenses | 2,424 | — | 2,245 | — | ||||||||||||
Total assets | 367,900,369 | 993,337,405 | 443,428,461 | 325,147,726 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 5,517,186 | 4,939,483 | 777,803 | — | ||||||||||||
Payable for fund shares redeemed | 465,337 | 1,614,034 | 276,295 | 356,223 | ||||||||||||
Payable upon receipt of securities loaned | 27,130,015 | 5,104,788 | — | 2,470,730 | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 758,985 | 1,349,310 | ||||||||||||
Payable to affiliates | 222,235 | 764,528 | 357,899 | 335,030 | ||||||||||||
Payable for trustee fees | 7,773 | — | 7,535 | — | ||||||||||||
Other accrued expenses and liabilities | 169,894 | — | 158,083 | — | ||||||||||||
Total liabilities | 33,512,440 | 12,422,833 | 2,336,600 | 4,511,293 | ||||||||||||
NET ASSETS | $ | 334,387,929 | $ | 980,914,572 | $ | 441,091,861 | $ | 320,636,433 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||
Paid-in capital | $ | 547,133,122 | $ | 1,169,668,500 | $ | 577,054,777 | $ | 316,980,349 | ||||||||
Undistributed net investment income | 9,368,091 | 16,248,593 | 8,297,315 | 4,860,247 | ||||||||||||
Accumulated net realized loss | (210,667,034 | ) | (233,361,831 | ) | (145,174,756 | ) | (4,740,008 | ) | ||||||||
Net unrealized appreciation or depreciation | (11,446,250 | ) | 28,359,310 | 914,525 | 3,535,845 | |||||||||||
NET ASSETS | $ | 334,387,929 | $ | 980,914,572 | $ | 441,091,861 | $ | 320,636,433 | ||||||||
+ Including securities loaned at value | $ | 25,494,978 | $ | 4,999,706 | $ | — | $ | 2,296,639 | ||||||||
* Cost of investments in securities | $ | 335,103,334 | $ | 943,966,277 | $ | 434,882,017 | $ | 308,875,264 | ||||||||
** Cost of short-term investments | $ | 27,130,015 | $ | 5,104,788 | $ | — | $ | 2,470,730 | ||||||||
*** Cost of short-term investments in affiliates | $ | 11,334,294 | $ | — | $ | — | $ | — | ||||||||
**** Cost of foreign currencies | $ | 269,003 | $ | — | $ | 131 | $ | 261,235 |
11
ING | ||||||||||||||||
Marsico | ING | ING | ING | |||||||||||||
International | MFS | MFS | Morgan Stanley | |||||||||||||
Opportunities | Total Return | Utilities | Global Franchise | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
Class ADV: | ||||||||||||||||
Net assets | $ | 4,604,256 | $ | 2,726,604 | $ | 1,979,727 | $ | 65,857 | ||||||||
Shares outstanding(1) | 500,979 | 204,648 | 178,980 | 5,485 | ||||||||||||
Net asset value and redemption price per share | $ | 9.19 | $ | 13.32 | $ | 11.06 | $ | 12.01 | ||||||||
Class I: | ||||||||||||||||
Net assets | $ | 154,077,275 | $ | 116,172,303 | $ | 4,468,680 | $ | 808 | ||||||||
Shares outstanding(1) | 16,756,550 | 8,710,749 | 400,514 | 66 | ||||||||||||
Net asset value and redemption price per share | $ | 9.20 | $ | 13.34 | $ | 11.16 | $ | 12.18 | ||||||||
Class S: | ||||||||||||||||
Net assets | $ | 175,705,794 | $ | 829,466,001 | $ | 434,642,683 | $ | 264,350,385 | ||||||||
Shares outstanding(1) | 19,210,852 | 62,126,008 | 39,121,209 | 21,717,915 | ||||||||||||
Net asset value and redemption price per share | $ | 9.15 | $ | 13.35 | $ | 11.11 | $ | 12.17 | ||||||||
Class S2: | ||||||||||||||||
Net assets | $ | 604 | $ | 32,549,664 | $ | 771 | $ | 56,219,383 | ||||||||
Shares outstanding(1) | 65 | 2,457,310 | 69 | 4,648,458 | ||||||||||||
Net asset value and redemption price per share | $ | 9.23 | $ | 13.25 | $ | 11.21 | $ | 12.09 | ||||||||
(1) | Unlimited shares authorized, $0.001 par value. |
12
ING | ||||||||||||||||
Morgan Stanley | ING | ING | ING | |||||||||||||
Global | PIMCO | Pioneer | T. Rowe Price | |||||||||||||
Tactical Asset | Total Return | Mid Cap | Capital | |||||||||||||
Allocation | Bond | Value | Appreciation | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities at value+* | $ | 43,058,994 | $ | 3,399,871,194 | $ | 720,796,348 | $ | 3,144,450,794 | ||||||||
Short-term investments** | — | 554,595,619 | 11,996,010 | 12,979,205 | ||||||||||||
Short-term investments in affiliates*** | — | — | 19,867,661 | — | ||||||||||||
Short-term investments at amortized cost | — | 390,059,527 | — | 422,686,382 | ||||||||||||
Cash | 2,437,947 | 569,294 | — | 15,320,235 | ||||||||||||
Cash collateral for futures | 1,354,032 | 4,000 | — | — | ||||||||||||
Restricted cash (Note 2) | 20,427,678 | — | — | — | ||||||||||||
Foreign currencies at value**** | 113,485 | 3,472,813 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 2,854,993 | 36,139,205 | 28,679,490 | 261,639,984 | ||||||||||||
Investment sold on a delayed-delivery or when-issued basis | — | 362,159,688 | — | — | ||||||||||||
Fund shares sold | 96,472 | 570,530 | 284,876 | 752,043 | ||||||||||||
Dividends and interest | 130,003 | 23,012,069 | 1,323,595 | 8,161,247 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 43,604 | 11,146,459 | — | — | ||||||||||||
Upfront payments made on swap agreements | — | 16,780,393 | — | — | ||||||||||||
Unrealized appreciation on swap agreements | — | 16,793,433 | — | — | ||||||||||||
Prepaid expenses | 269 | — | — | — | ||||||||||||
Reimbursement due from manager | 9,646 | — | — | — | ||||||||||||
Total assets | 70,527,123 | 4,815,174,224 | 782,947,980 | 3,865,989,890 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 2,897,432 | 31,054,230 | 13,961,176 | 344,104,163 | ||||||||||||
Payable for fund shares redeemed | — | 18,295,551 | 1,534,292 | 2,758,863 | ||||||||||||
Payable upon receipt of securities loaned | — | 332,197,899 | 12,038,882 | 13,489,629 | ||||||||||||
Sales commitments, at value (Note 2) | — | 30,371,264 | — | — | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | 189,779 | 3,013,379 | — | — | ||||||||||||
Upfront payments received on swap agreements | — | 2,893,698 | — | — | ||||||||||||
Unrealized depreciation on swap agreements | — | 2,171,620 | — | — | ||||||||||||
Payable for collateral due to counterparties | — | 31,853,000 | — | — | ||||||||||||
Payable to affiliates | 59,329 | 2,382,915 | 533,272 | 2,619,740 | ||||||||||||
Payable for trustee fees | 172 | — | — | — | ||||||||||||
Other accrued expenses and liabilities | 45,555 | — | — | — | ||||||||||||
Written options | — | 9,981,865 | — | 3,265,757 | ||||||||||||
Payable for foreign cash collateral for futures***** | 337,495 | — | — | — | ||||||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | — | 607,979,648 | — | — | ||||||||||||
Total liabilities | 3,529,762 | 1,072,195,069 | 28,067,622 | 366,238,152 | ||||||||||||
NET ASSETS | $ | 66,997,361 | $ | 3,742,979,155 | $ | 754,880,358 | $ | 3,499,751,738 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||
Paid-in capital | $ | 68,556,973 | $ | 3,213,014,048 | $ | 1,003,340,649 | $ | 3,677,538,906 | ||||||||
Undistributed net investment income | 212,130 | 201,726,507 | 5,775,062 | 47,497,615 | ||||||||||||
Accumulated net realized gain (loss) | 1,145,867 | 190,969,759 | (240,140,184 | ) | (336,751,647 | ) | ||||||||||
Net unrealized appreciation or depreciation | (2,917,609 | ) | 137,268,841 | (14,095,169 | ) | 111,466,864 | ||||||||||
NET ASSETS | $ | 66,997,361 | $ | 3,742,979,155 | $ | 754,880,358 | $ | 3,499,751,738 | ||||||||
+ Including securities loaned at value | $ | — | $ | 325,450,321 | $ | 11,589,583 | $ | 13,148,252 | ||||||||
* Cost of investments in securities | $ | 45,474,675 | $ | 3,297,983,841 | $ | 734,848,645 | $ | 3,041,984,292 | ||||||||
** Cost of short-term investments | $ | — | $ | 554,992,466 | $ | 12,038,882 | $ | 13,489,629 | ||||||||
*** Cost of short-term investments in affiliates | $ | — | $ | — | $ | 19,867,661 | $ | — | ||||||||
**** Cost of foreign currencies | $ | 112,030 | $ | 3,471,595 | $ | — | $ | — | ||||||||
***** Cost of payable for foreign cash collateral for futures | $ | 341,754 | $ | — | $ | — | $ | — | ||||||||
Premiums received for options written | $ | — | $ | 7,340,200 | $ | — | $ | 12,765,631 | ||||||||
Cost of sales commitments | $ | — | $ | 30,372,500 | $ | — | $ | — |
13
ING | ||||||||||||||||
Morgan Stanley | ING | ING | ING | |||||||||||||
Global | PIMCO | Pioneer | T. Rowe Price | |||||||||||||
Tactical Asset | Total Return | Mid Cap | Capital | |||||||||||||
Allocation | Bond | Value | Appreciation | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
Class ADV: | ||||||||||||||||
Net assets | $ | 31,263 | $ | 12,415,863 | $ | 1,265,689 | $ | 51,787,942 | ||||||||
Shares outstanding(1) | 3,462 | 982,638 | 143,074 | 2,660,174 | ||||||||||||
Net asset value and redemption price per share | $ | 9.03 | $ | 12.64 | $ | 8.85 | $ | 19.47 | ||||||||
Class I: | ||||||||||||||||
Net assets | n/a | $ | 329,970,294 | $ | 233,580,640 | $ | 339,109,972 | |||||||||
Shares outstanding(1) | n/a | 25,560,347 | 25,954,710 | 17,114,689 | ||||||||||||
Net asset value and redemption price per share | n/a | $ | 12.91 | $ | 9.00 | $ | 19.81 | |||||||||
Class S: | ||||||||||||||||
Net assets | $ | 66,966,098 | $ | 3,324,339,720 | $ | 520,033,292 | $ | 3,029,547,137 | ||||||||
Shares outstanding(1) | 7,407,275 | 257,825,860 | 57,890,943 | 152,939,344 | ||||||||||||
Net asset value and redemption price per share | $ | 9.04 | $ | 12.89 | $ | 8.98 | $ | 19.81 | ||||||||
Class S2: | ||||||||||||||||
Net assets | n/a | $ | 76,253,278 | $ | 737 | $ | 79,306,687 | |||||||||
Shares outstanding(1) | n/a | 5,947,512 | 81 | 4,022,627 | ||||||||||||
Net asset value and redemption price per share | n/a | $ | 12.82 | $ | 9.06 | $ | 19.72 | |||||||||
(1) | Unlimited shares authorized, $0.001 par value, except for share classes not available. |
14
ING | ING | ING | ||||||||||
T. Rowe Price | Van Kampen | Wells Fargo | ||||||||||
Equity Income | Growth and Income | Health Care | ||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||
ASSETS: | ||||||||||||
Investments in securities at value+* | $ | 1,170,209,356 | $ | 541,586,931 | $ | 183,669,413 | ||||||
Short-term investments** | 6,220,418 | 17,438,991 | — | |||||||||
Short-term investments in affiliates*** | — | 8,101,645 | 4,700,285 | |||||||||
Short-term investments at amortized cost | 37,108,977 | — | — | |||||||||
Cash | 12,496,691 | 77,581 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 792,522 | 3,250,126 | — | |||||||||
Fund shares sold | 3,012,390 | 1,311,920 | 468,506 | |||||||||
Dividends and interest | 2,159,849 | 1,263,428 | 220,920 | |||||||||
Total assets | 1,232,000,203 | 573,030,622 | 189,059,124 | |||||||||
LIABILITIES: | ||||||||||||
Payable for investment securities purchased | 3,202,948 | 2,921,170 | — | |||||||||
Payable for fund shares redeemed | 160,015 | 44,874 | 2,913 | |||||||||
Payable upon receipt of securities loaned | 6,657,082 | 17,775,084 | — | |||||||||
Payable to affiliates | 889,713 | 434,558 | 158,487 | |||||||||
Payable to custodian due to foreign currency overdraft**** | — | — | 1,444 | |||||||||
Total liabilities | 10,909,758 | 21,175,686 | 162,844 | |||||||||
NET ASSETS | $ | 1,221,090,445 | $ | 551,854,936 | $ | 188,896,280 | ||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||
Paid-in capital | $ | 1,449,849,986 | $ | 638,708,200 | $ | 211,063,946 | ||||||
Undistributed net investment income (accumulated net investment loss) | 14,273,065 | 5,492,067 | (72,623 | ) | ||||||||
Accumulated net realized loss | (118,650,863 | ) | (82,777,291 | ) | (29,930,495 | ) | ||||||
Net unrealized appreciation or depreciation | (124,381,743 | ) | (9,568,040 | ) | 7,835,452 | |||||||
NET ASSETS | $ | 1,221,090,445 | $ | 551,854,936 | $ | 188,896,280 | ||||||
+ Including securities loaned at value | $ | 6,431,108 | $ | 17,331,701 | $ | — | ||||||
* Cost of investments in securities | $ | 1,294,157,601 | $ | 550,818,878 | $ | 175,834,815 | ||||||
** Cost of short-term investments | $ | 6,657,082 | $ | 17,775,084 | $ | — | ||||||
*** Cost of short-term investments in affiliates | $ | — | $ | 8,101,645 | $ | 4,700,285 | ||||||
**** Cost of foreign currency overdraft | $ | — | $ | — | $ | 1,444 | ||||||
Class ADV: | ||||||||||||
Net assets | $ | 18,877,980 | $ | 4,123,803 | $ | 780 | ||||||
Shares outstanding(1) | 1,943,928 | 233,430 | 82 | |||||||||
Net asset value and redemption price per share | $ | 9.71 | $ | 17.67 | $ | 9.49 | ||||||
Class I: | ||||||||||||
Net assets | $ | 322,130,124 | $ | 15,136,304 | $ | 4,777,669 | ||||||
Shares outstanding(1) | 32,884,166 | 858,918 | 490,439 | |||||||||
Net asset value and redemption price per share | $ | 9.80 | $ | 17.62 | $ | 9.74 | ||||||
Class S: | ||||||||||||
Net assets | $ | 824,092,393 | $ | 487,506,258 | $ | 184,117,037 | ||||||
Shares outstanding(1) | 84,113,304 | 27,535,279 | 19,023,028 | |||||||||
Net asset value and redemption price per share | $ | 9.80 | $ | 17.70 | $ | 9.68 | ||||||
Class S2: | ||||||||||||
Net assets | $ | 55,989,948 | $ | 45,088,571 | $ | 794 | ||||||
Shares outstanding(1) | 5,752,744 | 2,559,603 | 82 | |||||||||
Net asset value and redemption price per share | $ | 9.73 | $ | 17.62 | $ | 9.63 |
(1) | Unlimited shares authorized, $0.001 par value. |
15
ING | ING | ING | ING | |||||||||||||
Artio | Clarion Global | FMRSM Diversified | Global | |||||||||||||
Foreign | Real Estate | Mid Cap | Resources | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends, net of foreign taxes withheld*(1) | $ | 13,567,833 | $ | 5,979,184 | $ | 5,950,503 | $ | 6,922,288 | ||||||||
Interest | 71,154 | 122,831 | 665 | 36 | ||||||||||||
Securities lending income, net | 581,867 | 41,100 | 650,802 | 54,717 | ||||||||||||
Total investment income | 14,220,854 | 6,143,115 | 6,601,970 | 6,977,041 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment management fees | — | 1,452,049 | — | — | ||||||||||||
Unified fees | 4,387,310 | — | 3,634,318 | 2,929,261 | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class ADV | 7,233 | 1,470 | 72,532 | 21,664 | ||||||||||||
Class S | 829,263 | 217,848 | 1,247,561 | 1,056,594 | ||||||||||||
Class S2 | 114,574 | 5,362 | 130,587 | 68,037 | ||||||||||||
Transfer agent fees | — | 325 | — | — | ||||||||||||
Administrative service fees | — | 183,360 | — | — | ||||||||||||
Shareholder reporting expense | — | 50,660 | — | — | ||||||||||||
Professional fees | — | 15,820 | — | — | ||||||||||||
Custody and accounting expense | — | 119,388 | — | — | ||||||||||||
Trustee fees and expenses | 19,534 | 6,251 | 20,359 | 17,290 | ||||||||||||
Miscellaneous expense | — | 10,803 | — | — | ||||||||||||
Interest expense | 822 | 153 | 1,643 | 532 | ||||||||||||
Total expenses | 5,358,736 | 2,063,489 | 5,107,000 | 4,093,378 | ||||||||||||
Net waived and reimbursed fees | (28,615 | ) | (205,072 | ) | (56,299 | ) | (21,593 | ) | ||||||||
Brokerage commission recapture | (15,548 | ) | — | (9 | ) | — | ||||||||||
Net expenses | 5,314,573 | 1,858,417 | 5,050,692 | 4,071,785 | ||||||||||||
Net investment income | 8,906,281 | 4,284,698 | 1,551,278 | 2,905,256 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments (net of Indian capital gains tax withheld)** | 43,100,654 | 8,168,320 | 39,124,219 | 43,982,086 | ||||||||||||
Foreign currency related transactions | 10,780,559 | (77,032 | ) | (218,034 | ) | 40,207 | ||||||||||
Futures | (85,105 | ) | — | — | — | |||||||||||
Net realized gain | 53,796,108 | 8,091,288 | 38,906,185 | 44,022,293 | ||||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||
Investments | (195,930,176 | ) | (39,662,348 | ) | (26,808,684 | ) | (157,222,281 | ) | ||||||||
Foreign currency related transactions | 69,636 | (14,309 | ) | 68,208 | (2,423 | ) | ||||||||||
Futures | 258,172 | — | — | — | ||||||||||||
Net change in unrealized appreciation or depreciation | (195,602,368 | ) | (39,676,657 | ) | (26,740,476 | ) | (157,224,704 | ) | ||||||||
Net realized and unrealized gain (loss) | (141,806,260 | ) | (31,585,369 | ) | 12,165,709 | (113,202,411 | ) | |||||||||
Increase (decrease) in net assets resulting from operations | $ | (132,899,979 | ) | $ | (27,300,671 | ) | $ | 13,716,987 | $ | (110,297,155 | ) | |||||
* Foreign taxes withheld | $ | 1,683,883 | $ | 313,983 | $ | 68,104 | $ | 350,561 | ||||||||
** Foreign tax on sale of Indian investments | $ | 50,117 | $ | — | $ | — | $ | — | ||||||||
(1) Dividends from affiliates | $ | 8,852 | $ | 115,105 | $ | 25,037 | $ | 8,546 |
16
ING | ||||||||||||||||
ING | JPMorgan | ING | ING | |||||||||||||
Janus | Emerging | Liquid | Marsico | |||||||||||||
Contrarian | Markets Equity | Assets | Growth | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends, net of foreign taxes withheld*(1) | $ | 4,193,808 | $ | 9,054,887 | $ | — | $ | 4,397,919 | ||||||||
Interest | 602,795 | 1,611 | 2,627,614 | 8 | ||||||||||||
Securities lending income, net | 64,104 | 44,094 | 272 | 4,839 | ||||||||||||
Total investment income | 4,860,707 | 9,100,592 | 2,627,886 | 4,402,766 | ||||||||||||
EXPENSES: | ||||||||||||||||
Unified fees | 2,173,830 | 6,128,212 | 2,360,409 | 3,001,847 | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class ADV | 2,990 | 21,784 | — | 15,346 | ||||||||||||
Class S | 641,246 | 911,681 | 1,858,093 | 674,763 | ||||||||||||
Class S2 | 54,066 | 79,440 | 344,643 | 42,746 | ||||||||||||
Trustee fees and expenses | 1,787 | 18,715 | 77,505 | 14,003 | ||||||||||||
Interest expense | 8,737 | 8,265 | — | — | ||||||||||||
Total expenses | 2,882,656 | 7,168,097 | 4,640,650 | 3,748,705 | ||||||||||||
Net waived and reimbursed fees | (11,411 | ) | (20,245 | ) | (2,028,967 | ) | (27,616 | ) | ||||||||
Brokerage commission recapture | (32,289 | ) | (8,441 | ) | — | — | ||||||||||
Net expenses | 2,838,956 | 7,139,411 | 2,611,683 | 3,721,089 | ||||||||||||
Net investment income | 2,021,751 | 1,961,181 | 16,203 | 681,677 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 57,565,219 | 25,744,663 | 151,142 | 33,982,336 | ||||||||||||
Foreign currency related transactions | 3,826,036 | (778,976 | ) | — | — | |||||||||||
Written options | (1,052,608 | ) | — | — | — | |||||||||||
Net realized gain | 60,338,647 | 24,965,687 | 151,142 | 33,982,336 | ||||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||
Investments | (87,434,952 | ) | (83,880,441 | ) | — | (83,855,807 | ) | |||||||||
Foreign currency related transactions | (920,964 | ) | (39,762 | ) | — | — | ||||||||||
Written options | 178,962 | — | — | — | ||||||||||||
Net change in unrealized appreciation or depreciation | (88,176,954 | ) | (83,920,203 | ) | — | (83,855,807 | ) | |||||||||
Net realized and unrealized gain (loss) | (27,838,307 | ) | (58,954,516 | ) | 151,142 | (49,873,471 | ) | |||||||||
Increase (decrease) in net assets resulting from operations | $ | (25,816,556 | ) | $ | (56,993,335 | ) | $ | 167,345 | $ | (49,191,794 | ) | |||||
* Foreign taxes withheld | $ | 101,374 | $ | 600,038 | $ | — | $ | 2,856 | ||||||||
(1) Dividends from affiliates | $ | — | $ | — | $ | — | $ | 35,252 |
17
ING | ||||||||||||||||
Marsico | ING | ING | ING | |||||||||||||
International | MFS | MFS | Morgan Stanley | |||||||||||||
Opportunities | Total Return | Utilities | Global Franchise | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends, net of foreign taxes withheld*(1) | $ | 4,840,029 | $ | 7,174,768 | $ | 10,806,670 | $ | 6,461,048 | ||||||||
Interest | 131 | 9,178,823 | 191,503 | — | ||||||||||||
Securities lending income, net | 186,116 | 36,754 | — | 190,923 | ||||||||||||
Total investment income | 5,026,276 | 16,390,345 | 10,998,173 | 6,651,971 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment management fees | 991,415 | — | 1,442,069 | — | ||||||||||||
Unified fees | — | 3,615,916 | — | 1,631,410 | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class ADV | 17,799 | 8,944 | 4,066 | 22 | ||||||||||||
Class S | 251,848 | 1,104,555 | 593,410 | 344,430 | ||||||||||||
Class S2 | — | 86,469 | 4 | 148,586 | ||||||||||||
Transfer agent fees | 376 | — | 491 | — | ||||||||||||
Administrative service fees | 183,594 | — | 240,342 | — | ||||||||||||
Shareholder reporting expense | 62,875 | — | 22,416 | — | ||||||||||||
Registration fees | — | — | 53 | — | ||||||||||||
Professional fees | 20,046 | — | 23,415 | — | ||||||||||||
Custody and accounting expense | 134,986 | — | 88,971 | — | ||||||||||||
Trustee fees and expenses | 6,327 | 19,734 | 7,599 | 6,352 | ||||||||||||
Miscellaneous expense | 11,792 | — | 11,021 | — | ||||||||||||
Interest expense | — | 39 | 4,055 | — | ||||||||||||
Total expenses | 1,681,058 | 4,835,657 | 2,437,912 | 2,130,800 | ||||||||||||
Net waived and reimbursed fees | (79,435 | ) | (19,083 | ) | (813 | ) | (29,721 | ) | ||||||||
Brokerage commission recapture | — | (22,500 | ) | (18,539 | ) | — | ||||||||||
Net expenses | 1,601,623 | 4,794,074 | 2,418,560 | 2,101,079 | ||||||||||||
Net investment income | 3,424,653 | 11,596,271 | 8,579,613 | 4,550,892 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 12,508,523 | 196,548 | (12,346,073 | ) | 9,246,208 | |||||||||||
Foreign currency related transactions | (300,339 | ) | (29,474 | ) | 5,345,481 | 5,094,140 | ||||||||||
Net realized gain (loss) | 12,208,184 | 167,074 | (7,000,592 | ) | 14,340,348 | |||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||
Investments | (62,668,978 | ) | (36,462,716 | ) | (36,991,400 | ) | (27,421,704 | ) | ||||||||
Foreign currency related transactions | (18,915 | ) | 11,159 | (664,149 | ) | (1,855,112 | ) | |||||||||
Net change in unrealized appreciation or depreciation | (62,687,893 | ) | (36,451,557 | ) | (37,655,549 | ) | (29,276,816 | ) | ||||||||
Net realized and unrealized loss | (50,479,709 | ) | (36,284,483 | ) | (44,656,141 | ) | (14,936,468 | ) | ||||||||
Decrease in net assets resulting from operations | $ | (47,055,056 | ) | $ | (24,688,212 | ) | $ | (36,076,528 | ) | $ | (10,385,576 | ) | ||||
* Foreign taxes withheld | $ | 568,737 | $ | 133,306 | $ | 767,848 | $ | 456,809 | ||||||||
(1) Dividends from affiliates | $ | 11,862 | $ | — | $ | — | $ | — |
18
ING | ||||||||||||||||
Morgan Stanley | ING | ING | ING | |||||||||||||
Global | PIMCO | Pioneer | T. Rowe Price | |||||||||||||
Tactical Asset | Total Return | Mid Cap | Capital | |||||||||||||
Allocation | Bond | Value | Appreciation | |||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends, net of foreign taxes withheld*(1) | $ | 542,921 | $ | 1,835,587 | $ | 7,045,001 | $ | 25,728,274 | ||||||||
Interest | 85,138 | 53,224,177 | 89,801 | 19,521,369 | ||||||||||||
Securities lending income, net | — | 4,633 | 15,663 | 24,246 | ||||||||||||
Total investment income | 628,059 | 55,064,397 | 7,150,465 | 45,273,889 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment management fees | 255,766 | — | — | — | ||||||||||||
Unified fees | — | 9,721,363 | 2,661,560 | 11,821,755 | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class ADV | 14 | 6,193 | 3,313 | 170,160 | ||||||||||||
Class S | 85,251 | 3,928,606 | 728,172 | 3,990,100 | ||||||||||||
Class S2 | — | 186,477 | 2 | 212,218 | ||||||||||||
Transfer agent fees | 96 | — | — | — | ||||||||||||
Administrative service fees | 34,102 | — | — | — | ||||||||||||
Shareholder reporting expense | 7,761 | — | — | — | ||||||||||||
Professional fees | 14,119 | — | — | — | ||||||||||||
Custody and accounting expense | 70,295 | — | — | — | ||||||||||||
Trustee fees and expenses | 732 | 62,806 | 15,394 | 66,604 | ||||||||||||
Miscellaneous expense | 1,965 | — | — | — | ||||||||||||
Interest expense | — | 309 | — | 188 | ||||||||||||
Total expenses | 470,101 | 13,905,754 | 3,408,441 | 16,261,025 | ||||||||||||
Net waived and reimbursed fees | (67,275 | ) | (204,341 | ) | (6,363 | ) | (76,475 | ) | ||||||||
Brokerage commission recapture | — | — | (38,455 | ) | (21,917 | ) | ||||||||||
Net expenses | 402,826 | 13,701,413 | 3,363,623 | 16,162,633 | ||||||||||||
Net investment income | 225,233 | 41,362,984 | 3,786,842 | 29,111,256 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 656,070 | 23,107,546 | 49,271,510 | 166,567,464 | ||||||||||||
Foreign currency related transactions | (293,048 | ) | 7,260,705 | 8 | 8,490 | |||||||||||
Futures | 505,698 | 32,571,167 | — | — | ||||||||||||
Swaps | — | 22,444,452 | — | — | ||||||||||||
Written options | — | 11,939,774 | — | 453,018 | ||||||||||||
Sales commitments | — | 163,140 | — | — | ||||||||||||
Net realized gain | 868,720 | 97,486,784 | 49,271,518 | 167,028,972 | ||||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||
Investments | (5,263,889 | ) | 46,952,355 | (85,292,643 | ) | (274,168,996 | ) | |||||||||
Foreign currency related transactions | (102,883 | ) | 5,869,731 | — | 10,912 | |||||||||||
Futures | (549,742 | ) | 5,113,077 | — | — | |||||||||||
Swaps | — | 3,314,848 | — | — | ||||||||||||
Written options | — | (9,586,467 | ) | — | 9,146,385 | |||||||||||
Sales commitments | — | (43,294 | ) | — | — | |||||||||||
Net change in unrealized appreciation or depreciation | (5,916,514 | ) | 51,620,250 | (85,292,643 | ) | (265,011,699 | ) | |||||||||
Net realized and unrealized gain (loss) | (5,047,794 | ) | 149,107,034 | (36,021,125 | ) | (97,982,727 | ) | |||||||||
Increase (decrease) in net assets resulting from operations | $ | (4,822,561 | ) | $ | 190,470,018 | $ | (32,234,283 | ) | $ | (68,871,471 | ) | |||||
* Foreign taxes withheld | $ | 33,564 | $ | 14,020 | $ | — | $ | 36,531 | ||||||||
(1) Dividends from affiliates | $ | — | $ | — | $ | 12,338 | $ | — |
19
ING | ING | ING | ||||||||||
T. Rowe Price | Van Kampen | Wells Fargo | ||||||||||
Equity Income | Growth and Income | Health Care | ||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividends, net of foreign taxes withheld*(1) | $ | 15,929,387 | $ | 6,737,908 | $ | 969,121 | ||||||
Interest | 40,477 | 1,418 | — | |||||||||
Securities lending income, net | 72,881 | 52,044 | — | |||||||||
Total investment income | 16,042,745 | 6,791,370 | 969,121 | |||||||||
EXPENSES: | ||||||||||||
Unified fees | 4,263,667 | 2,032,004 | 788,220 | |||||||||
Distribution and service fees: | ||||||||||||
Class ADV | 70,121 | 12,532 | 4 | |||||||||
Class S | 1,125,338 | 699,752 | 254,466 | |||||||||
Class S2 | 145,418 | 127,170 | 4 | |||||||||
Trustee fees and expenses | 24,346 | 12,029 | 2,942 | |||||||||
Interest expense | — | 149 | 1,010 | |||||||||
Total expenses | 5,628,890 | 2,883,636 | 1,046,646 | |||||||||
Net waived and reimbursed fees | (43,107 | ) | (28,688 | ) | (2,132 | ) | ||||||
Brokerage commission recapture | (3,645 | ) | (23,566 | ) | (2,770 | ) | ||||||
Net expenses | 5,582,138 | 2,831,382 | 1,041,744 | |||||||||
Net investment income (loss) | 10,460,607 | 3,959,988 | (72,623 | ) | ||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 5,652,362 | 14,797,739 | 5,359,661 | |||||||||
Foreign currency related transactions | (7,120 | ) | — | (13,275 | ) | |||||||
Net realized gain | 5,645,242 | 14,797,739 | 5,346,386 | |||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||
Investments | (92,674,335 | ) | (69,127,765 | ) | (17,759,524 | ) | ||||||
Foreign currency related transactions | 6,259 | — | (4,843 | ) | ||||||||
Net change in unrealized appreciation or depreciation | (92,668,076 | ) | (69,127,765 | ) | (17,764,367 | ) | ||||||
Net realized and unrealized loss | (87,022,834 | ) | (54,330,026 | ) | (12,417,981 | ) | ||||||
Decrease in net assets resulting from operations | $ | (76,562,227 | ) | $ | (50,370,038 | ) | $ | (12,490,604 | ) | |||
* Foreign taxes withheld | $ | 139,429 | $ | 164,547 | $ | 33,852 | ||||||
(1) Dividends from affiliates | $ | — | $ | 3,436 | $ | 4,319 |
20
ING Clarion | ||||||||||||||||
ING Artio Foreign Portfolio | Global Real Estate Portfolio | |||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||
June 30, | December 31, | June 30, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 8,906,281 | $ | 28,305,478 | $ | 4,284,698 | $ | 11,704,872 | ||||||||
Net realized gain (loss) | 53,796,108 | (115,386,740 | ) | 8,091,288 | (149,792,477 | ) | ||||||||||
Net change in unrealized appreciation or depreciation | (195,602,368 | ) | 390,945,623 | (39,676,657 | ) | 255,132,607 | ||||||||||
Increase (decrease) in net assets resulting from operations | (132,899,979 | ) | 303,864,361 | (27,300,671 | ) | 117,045,002 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (29,459 | ) | — | (12 | ) | ||||||||||
Class I | — | (39,344,498 | ) | — | (6,266,937 | ) | ||||||||||
Class S | — | (21,498,700 | ) | — | (3,949,862 | ) | ||||||||||
Class S2 | — | (1,301,536 | ) | — | (42,926 | ) | ||||||||||
�� | ||||||||||||||||
Total distributions | — | (62,174,193 | ) | — | (10,259,737 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 61,946,354 | 301,051,126 | 20,889,895 | 101,101,716 | ||||||||||||
Proceeds from shares issued in merger (Note 14) | — | 78,581,343 | — | — | ||||||||||||
Reinvestment of distributions | — | 62,174,193 | — | 10,259,725 | ||||||||||||
61,946,354 | 441,806,662 | 20,889,895 | 111,361,441 | |||||||||||||
Cost of shares redeemed | (111,518,632 | ) | (1,097,628,887 | ) | (27,307,936 | ) | (258,120,125 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions | (49,572,278 | ) | (655,822,225 | ) | (6,418,041 | ) | (146,758,684 | ) | ||||||||
Net decrease in net assets | (182,472,257 | ) | (414,132,057 | ) | (33,718,712 | ) | (39,973,419 | ) | ||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,066,696,511 | 1,480,828,568 | 378,031,628 | 418,005,047 | ||||||||||||
End of period | $ | 884,224,254 | $ | 1,066,696,511 | $ | 344,312,916 | $ | 378,031,628 | ||||||||
Undistributed net investment income at end of period | $ | 8,952,563 | $ | 46,282 | $ | 38,693,101 | $ | 34,408,403 | ||||||||
21
ING FMRSM Diversified | ||||||||||||||||
Mid Cap Portfolio | ING Global Resources Portfolio | |||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||
June 30, | December 31, | June 30, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 1,551,278 | $ | 4,257,255 | $ | 2,905,256 | $ | 8,482,296 | ||||||||
Net realized gain (loss) | 38,906,185 | (71,970,642 | ) | 44,022,293 | (146,481,892 | ) | ||||||||||
Net change in unrealized appreciation or depreciation | (26,740,476 | ) | 397,842,382 | (157,224,704 | ) | 415,286,368 | ||||||||||
Increase (decrease) in net assets resulting from operations | 13,716,987 | 330,128,995 | (110,297,155 | ) | 277,286,772 | |||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (19,288 | ) | — | (1,149 | ) | ||||||||||
Class I | — | (540,731 | ) | — | (148,080 | ) | ||||||||||
Class S | — | (3,977,792 | ) | — | (2,569,702 | ) | ||||||||||
Class S2 | — | (145,353 | ) | — | (10,643 | ) | ||||||||||
Total distributions | — | (4,683,164 | ) | — | (2,729,574 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 50,577,454 | 132,255,795 | 26,795,051 | 105,623,966 | ||||||||||||
Reinvestment of distributions | — | 4,683,164 | — | 2,729,574 | ||||||||||||
50,577,454 | 136,938,959 | 26,795,051 | 108,353,540 | |||||||||||||
Cost of shares redeemed | (103,770,774 | ) | (229,483,732 | ) | (104,086,300 | ) | (158,387,653 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions | (53,193,320 | ) | (92,544,773 | ) | (77,291,249 | ) | (50,034,113 | ) | ||||||||
Net increase (decrease) in net assets | (39,476,333 | ) | 232,901,058 | (187,588,404 | ) | 224,523,085 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,119,934,196 | 887,033,138 | 964,550,080 | 740,026,995 | ||||||||||||
End of period | $ | 1,080,457,863 | $ | 1,119,934,196 | $ | 776,961,676 | $ | 964,550,080 | ||||||||
Undistributed net investment income at end of period | $ | 2,014,332 | $ | 463,054 | $ | 11,392,513 | $ | 8,487,257 | ||||||||
22
ING JPMorgan | ||||||||||||||||
ING Janus Contrarian Portfolio | Emerging Markets Equity Portfolio | |||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||
June 30, | December 31, | June 30, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 2,021,751 | $ | 1,915,756 | $ | 1,961,181 | $ | 5,490,747 | ||||||||
Net realized gain (loss) | 60,338,647 | (275,132,163 | ) | 24,965,687 | 117,573,159 | |||||||||||
Net change in unrealized appreciation or depreciation | (88,176,954 | ) | 457,009,168 | (83,920,203 | ) | 372,089,216 | ||||||||||
Increase (decrease) in net assets resulting from operations | (25,816,556 | ) | 183,792,761 | (56,993,335 | ) | 495,153,122 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (3,920 | ) | — | (26,418 | ) | ||||||||||
Class I | — | (1,252,469 | ) | — | (4,636,194 | ) | ||||||||||
Class S | — | (2,830,768 | ) | — | (9,131,144 | ) | ||||||||||
Class S2 | — | (62,166 | ) | — | (309,405 | ) | ||||||||||
Total distributions | — | (4,149,323 | ) | — | (14,103,161 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 9,155,077 | 60,505,996 | 51,576,531 | 210,885,294 | ||||||||||||
Reinvestment of distributions | — | 4,149,323 | — | 14,103,161 | ||||||||||||
9,155,077 | 64,655,319 | 51,576,531 | 224,988,455 | |||||||||||||
Cost of shares redeemed | (52,850,915 | ) | (303,521,715 | ) | (131,317,299 | ) | (370,984,188 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions | (43,695,838 | ) | (238,866,396 | ) | (79,740,768 | ) | (145,995,733 | ) | ||||||||
Net increase (decrease) in net assets | (69,512,394 | ) | (59,222,958 | ) | (136,734,103 | ) | 335,054,228 | |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 564,222,542 | 623,445,500 | 1,026,459,548 | 691,405,320 | ||||||||||||
End of period | $ | 494,710,148 | $ | 564,222,542 | $ | 889,725,445 | $ | 1,026,459,548 | ||||||||
Undistributed (distributions in excess of) net investment income at end of period | $ | 1,344,332 | $ | (677,419 | ) | $ | 7,648,251 | $ | 5,687,070 | |||||||
23
ING Liquid Assets Portfolio | ING Marsico Growth Portfolio | |||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||
June 30, | December 31, | June 30, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 16,203 | $ | 2,851,331 | $ | 681,677 | $ | 4,423,965 | ||||||||
Net realized gain (loss) | 151,142 | 1,946,597 | 33,982,336 | (16,525,857 | ) | |||||||||||
Net change in unrealized appreciation or depreciation | — | — | (83,855,807 | ) | 193,708,102 | |||||||||||
Increase (decrease) in net assets resulting from operations | 167,345 | 4,797,928 | (49,191,794 | ) | 181,606,210 | |||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | — | — | (338 | ) | |||||||||||
Class I | (16,171 | ) | (593,492 | ) | — | (2,709,502 | ) | |||||||||
Class S | — | (2,258,532 | ) | — | (4,239,273 | ) | ||||||||||
Class S2 | — | (80,687 | ) | — | (109,645 | ) | ||||||||||
Net realized gains: | ||||||||||||||||
Class I | — | (416,571 | ) | — | — | |||||||||||
Class S | — | (4,358,164 | ) | — | — | |||||||||||
Class S2 | — | (320,466 | ) | — | — | |||||||||||
Total distributions | (16,171 | ) | (8,027,912 | ) | — | (7,058,758 | ) | |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 404,274,325 | 649,924,501 | 41,644,217 | 88,619,159 | ||||||||||||
Reinvestment of distributions | 16,171 | 8,027,912 | — | 7,058,758 | ||||||||||||
404,290,496 | 657,952,413 | 41,644,217 | 95,677,917 | |||||||||||||
Cost of shares redeemed | (594,253,208 | ) | (1,593,926,118 | ) | (76,278,689 | ) | (242,128,705 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions | (189,962,712 | ) | (935,973,705 | ) | (34,634,472 | ) | (146,450,788 | ) | ||||||||
Net increase (decrease) in net assets | (189,811,538 | ) | (939,203,689 | ) | (83,826,266 | ) | 28,096,664 | |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,898,366,631 | 2,837,570,320 | 750,439,738 | 722,343,074 | ||||||||||||
End of period | $ | 1,708,555,093 | $ | 1,898,366,631 | $ | 666,613,472 | $ | 750,439,738 | ||||||||
Undistributed net investment income at end of period | $ | 32 | $ | — | $ | 5,146,800 | $ | 4,465,123 | ||||||||
24
ING Marsico International | ||||||||||||||||
Opportunities Portfolio | ING MFS Total Return Portfolio | |||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||
June 30, | December 31, | June 30, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 3,424,653 | $ | 4,843,485 | $ | 11,596,271 | $ | 27,495,089 | ||||||||
Net realized gain (loss) | 12,208,184 | (48,451,184 | ) | 167,074 | (72,748,850 | ) | ||||||||||
Net change in unrealized appreciation or depreciation | (62,687,893 | ) | 189,946,132 | (36,451,557 | ) | 210,169,348 | ||||||||||
Increase (decrease) in net assets resulting from operations | (47,055,056 | ) | 146,338,433 | (24,688,212 | ) | 164,915,587 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (26,436 | ) | — | (45,051 | ) | ||||||||||
Class I | — | (3,790,387 | ) | — | (3,291,532 | ) | ||||||||||
Class S | — | (2,534,412 | ) | — | (21,266,755 | ) | ||||||||||
Class S2 | — | (2 | ) | — | (786,743 | ) | ||||||||||
Total distributions | — | (6,351,237 | ) | — | (25,390,081 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 28,453,218 | 55,615,773 | 19,369,125 | 61,821,883 | ||||||||||||
Reinvestment of distributions | — | 6,351,235 | — | 25,390,081 | ||||||||||||
28,453,218 | 61,967,008 | 19,369,125 | 87,211,964 | |||||||||||||
Cost of shares redeemed | (35,050,001 | ) | (222,951,184 | ) | (83,129,201 | ) | (150,738,563 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions | (6,596,783 | ) | (160,984,176 | ) | (63,760,076 | ) | (63,526,599 | ) | ||||||||
Net increase (decrease) in net assets | (53,651,839 | ) | (20,996,980 | ) | (88,448,288 | ) | 75,998,907 | |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 388,039,768 | 409,036,748 | 1,069,362,860 | 993,363,953 | ||||||||||||
End of period | $ | 334,387,929 | $ | 388,039,768 | $ | 980,914,572 | $ | 1,069,362,860 | ||||||||
Undistributed net investment income at end of period | $ | 9,368,091 | $ | 5,943,438 | $ | 16,248,593 | $ | 4,652,322 | ||||||||
25
ING Morgan Stanley Global | ||||||||||||||||
ING MFS Utilities Portfolio | Franchise Portfolio | |||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||
June 30, | December 31, | June 30, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 8,579,613 | $ | 20,441,782 | $ | 4,550,892 | $ | 4,434,840 | ||||||||
Net realized gain (loss) | (7,000,592 | ) | (86,333,592 | ) | 14,340,348 | (20,796,790 | ) | |||||||||
Net change in unrealized appreciation or depreciation | (37,655,549 | ) | 190,456,602 | (29,276,816 | ) | 91,160,526 | ||||||||||
Increase (decrease) in net assets resulting from operations | (36,076,528 | ) | 124,564,792 | (10,385,576 | ) | 74,798,576 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (29,699 | ) | — | (50 | ) | ||||||||||
Class I | — | (258,769 | ) | — | (60 | ) | ||||||||||
Class S | — | (23,268,684 | ) | — | (16,533,341 | ) | ||||||||||
Class S2 | — | (42 | ) | — | (3,805,165 | ) | ||||||||||
Net realized gains: | ||||||||||||||||
Class ADV | — | — | — | (23 | ) | |||||||||||
Class I | — | — | — | (25 | ) | |||||||||||
Class S | — | — | — | (7,154,892 | ) | |||||||||||
Class S2 | — | — | — | (1,694,957 | ) | |||||||||||
Return of capital: | ||||||||||||||||
Class ADV | — | (855 | ) | — | — | |||||||||||
Class I | — | (6,398 | ) | — | — | |||||||||||
Class S | — | (613,261 | ) | — | — | |||||||||||
Class S2 | — | (1 | ) | — | — | |||||||||||
Total distributions | — | (24,177,709 | ) | — | (29,188,513 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 19,336,723 | 33,503,162 | 20,282,725 | 34,027,488 | ||||||||||||
Reinvestment of distributions | — | 24,177,666 | — | 29,188,357 | ||||||||||||
19,336,723 | 57,680,828 | 20,282,725 | 63,215,845 | |||||||||||||
Cost of shares redeemed | (41,135,446 | ) | (69,462,115 | ) | (27,976,357 | ) | (42,623,149 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (21,798,723 | ) | (11,781,287 | ) | (7,693,632 | ) | 20,592,696 | |||||||||
Net increase (decrease) in net assets | (57,875,251 | ) | 88,605,796 | (18,079,208 | ) | 66,202,759 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 498,967,112 | 410,361,316 | 338,715,641 | 272,512,882 | ||||||||||||
End of period | $ | 441,091,861 | $ | 498,967,112 | $ | 320,636,433 | $ | 338,715,641 | ||||||||
Undistributed (distributions in excess of) net investment income at end of period | $ | 8,297,315 | $ | (282,298 | ) | $ | 4,860,247 | $ | 309,355 | |||||||
26
ING Morgan Stanley Global | ING PIMCO | |||||||||||||||
Tactical Asset Allocation Portfolio | Total Return Bond Portfolio | |||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||
June 30, | December 31, | June 30, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 225,233 | $ | 241,001 | $ | 41,362,984 | $ | 142,445,228 | ||||||||
Net realized gain | 868,720 | 3,708,595 | 97,486,784 | 161,778,595 | ||||||||||||
Net change in unrealized appreciation or depreciation | (5,916,514 | ) | 4,700,170 | 51,620,250 | 201,360,291 | |||||||||||
Increase (decrease) in net assets resulting from operations | (4,822,561 | ) | 8,649,766 | 190,470,018 | 505,584,114 | |||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | — | — | (40 | ) | |||||||||||
Class I | — | — | — | (42,033,776 | ) | |||||||||||
Class S | — | (1,027,574 | ) | — | (106,049,253 | ) | ||||||||||
Class S2 | — | — | — | (2,475,980 | ) | |||||||||||
Net realized gains: | ||||||||||||||||
Class ADV | — | — | — | (37 | ) | |||||||||||
Class I | — | — | — | (32,756,473 | ) | |||||||||||
Class S | — | (1,071,063 | ) | — | (86,086,513 | ) | ||||||||||
Class S2 | — | — | — | (2,109,392 | ) | |||||||||||
Total distributions | — | (2,098,637 | ) | — | (271,511,464 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 19,214,886 | 40,087,976 | 565,030,486 | 1,115,482,816 | ||||||||||||
Reinvestment of distributions | — | 1,437,491 | — | 271,511,388 | ||||||||||||
19,214,886 | 41,525,467 | 565,030,486 | 1,386,994,204 | |||||||||||||
Cost of shares redeemed | (9,307,156 | ) | (10,398,727 | ) | (397,875,956 | ) | (1,226,719,962 | ) | ||||||||
Net increase in net assets resulting from capital share transactions | 9,907,730 | 31,126,740 | 167,154,530 | 160,274,242 | ||||||||||||
Net increase in net assets | 5,085,169 | 37,677,869 | 357,624,548 | 394,346,892 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 61,912,192 | 24,234,323 | 3,385,354,607 | 2,991,007,715 | ||||||||||||
End of period | $ | 66,997,361 | $ | 61,912,192 | $ | 3,742,979,155 | $ | 3,385,354,607 | ||||||||
Undistributed (distributions in excess of) net investment income at end of period | $ | 212,130 | $ | (13,103 | ) | $ | 201,726,507 | $ | 160,363,523 | |||||||
27
ING Pioneer | ING T. Rowe Price | |||||||||||||||
Mid Cap Value Portfolio | Capital Appreciation Portfolio | |||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||
June 30, | December 31, | June 30, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 3,786,842 | $ | 11,225,206 | $ | 29,111,256 | $ | 73,080,157 | ||||||||
Net realized gain (loss) | 49,271,518 | (96,730,240 | ) | 167,028,972 | (207,023,797 | ) | ||||||||||
Net change in unrealized appreciation or depreciation | (85,292,643 | ) | 286,314,951 | (265,011,699 | ) | 1,000,832,362 | ||||||||||
Increase (decrease) in net assets resulting from operations | (32,234,283 | ) | 200,809,917 | (68,871,471 | ) | 866,888,722 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (5,285 | ) | — | (540,701 | ) | ||||||||||
Class I | — | (3,362,117 | ) | — | (5,674,503 | ) | ||||||||||
Class S | — | (6,485,491 | ) | — | (52,594,413 | ) | ||||||||||
Class S2 | — | (8 | ) | — | (1,311,433 | ) | ||||||||||
Total distributions | — | (9,852,901 | ) | — | (60,121,050 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 47,435,265 | 123,698,321 | 195,584,274 | 337,850,104 | ||||||||||||
Reinvestment of distributions | — | 9,852,893 | — | 60,121,050 | ||||||||||||
47,435,265 | 133,551,214 | 195,584,274 | 397,971,154 | |||||||||||||
Cost of shares redeemed | (80,607,365 | ) | (322,432,866 | ) | (197,209,163 | ) | (284,167,233 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (33,172,100 | ) | (188,881,652 | ) | (1,624,889 | ) | 113,803,921 | |||||||||
Net increase (decrease) in net assets | (65,406,383 | ) | 2,075,364 | (70,496,360 | ) | 920,571,593 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 820,286,741 | 818,211,377 | 3,570,248,098 | 2,649,676,505 | ||||||||||||
End of period | $ | 754,880,358 | $ | 820,286,741 | $ | 3,499,751,738 | $ | 3,570,248,098 | ||||||||
Undistributed net investment income at end of period | $ | 5,775,062 | $ | 1,988,220 | $ | 47,497,615 | $ | 18,386,359 | ||||||||
28
ING T. Rowe Price | ING Van Kampen | |||||||||||||||
Equity Income Portfolio | Growth and Income Portfolio | |||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||
June 30, | December 31, | June 30, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 10,460,607 | $ | 22,233,878 | $ | 3,959,988 | $ | 7,967,190 | ||||||||
Net realized gain (loss) | 5,645,242 | (72,974,874 | ) | 14,797,739 | (54,799,127 | ) | ||||||||||
Net change in unrealized appreciation or depreciation | (92,668,076 | ) | 321,359,690 | (69,127,765 | ) | 171,291,761 | ||||||||||
Increase (decrease) in net assets resulting from operations | (76,562,227 | ) | 270,618,694 | (50,370,038 | ) | 124,459,824 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (231,679 | ) | — | (24,538 | ) | ||||||||||
Class I | — | (5,852,076 | ) | — | (228,312 | ) | ||||||||||
Class S | — | (13,678,234 | ) | — | (6,619,227 | ) | ||||||||||
Class S2 | — | (782,644 | ) | — | (532,094 | ) | ||||||||||
Total distributions | — | (20,544,633 | ) | — | (7,404,171 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 109,723,789 | 225,539,978 | 22,901,808 | 37,476,309 | ||||||||||||
Proceeds from shares issued in merger (Note 14) | — | 13,545,424 | — | — | ||||||||||||
Reinvestment of distributions | — | 20,544,633 | — | 7,404,171 | ||||||||||||
109,723,789 | 259,630,035 | 22,901,808 | 44,880,480 | |||||||||||||
Cost of shares redeemed | (113,331,747 | ) | (143,149,450 | ) | (62,042,011 | ) | (79,435,949 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (3,607,958 | ) | 116,480,585 | (39,140,203 | ) | (34,555,469 | ) | |||||||||
Net increase (decrease) in net assets | (80,170,185 | ) | 366,554,646 | (89,510,241 | ) | 82,500,184 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,301,260,630 | 934,705,984 | 641,365,177 | 558,864,993 | ||||||||||||
End of period | $ | 1,221,090,445 | $ | 1,301,260,630 | $ | 551,854,936 | $ | 641,365,177 | ||||||||
Undistributed net investment income at end of period | $ | 14,273,065 | $ | 3,812,458 | $ | 5,492,067 | $ | 1,532,079 | ||||||||
29
ING Wells Fargo | ||||||||
Health Care Portfolio | ||||||||
Six Months Ended | Year Ended | |||||||
June 30, | December 31, | |||||||
2010 | 2009 | |||||||
FROM OPERATIONS: | ||||||||
Net investment loss | $ | (72,623 | ) | $ | (116,564 | ) | ||
Net realized gain (loss) | 5,346,386 | (16,982,368 | ) | |||||
Net change in unrealized appreciation or depreciation | (17,764,367 | ) | 51,805,432 | |||||
Increase (decrease) in net assets resulting from operations | (12,490,604 | ) | 34,706,500 | |||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Net proceeds from sale of shares | 19,035,624 | 35,241,844 | ||||||
Cost of shares redeemed | (27,704,778 | ) | (46,754,190 | ) | ||||
Net decrease in net assets resulting from capital share transactions | (8,669,154 | ) | (11,512,346 | ) | ||||
Net increase (decrease) in net assets | (21,159,758 | ) | 23,194,154 | |||||
NET ASSETS: | ||||||||
Beginning of period | 210,056,038 | 186,861,884 | ||||||
End of period | $ | 188,896,280 | $ | 210,056,038 | ||||
Accumulated net investment loss at end of period | $ | (72,623 | ) | $ | — | |||
30
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Net | Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | Net | asset | net of fee | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | realized | Total | value, | Expenses | waivers | Expenses | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | Net | and | from | From net | From net | From | end of | before | and/or | net of all | Net Investment | end of | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year | investment | unrealized | investment | investment | realized | return of | Total | year or | Total | reductions/ | recoupments, | reductions/ | income | year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
or period | income (loss) | gain (loss) | operations | income | gains | capital | distributions | period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss) (2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Artio Foreign Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .81 | 0 | .07• | (1 | .47) | (1 | .40) | — | — | — | — | 9 | .41 | (12 | .95) | 1 | .65 | 1 | .49† | 1 | .49† | 1 | .47† | 3,023 | 74 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .90 | 0 | .10 | (1 | .48) | (1 | .38) | — | — | — | — | 9 | .52 | (12 | .66) | 0 | .90 | 0 | .89† | 0 | .89† | 2 | .04† | 265,733 | 74 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 12 | .21 | 0 | .05• | 1 | .85 | 1 | .90 | 0 | .02 | 1 | .02 | — | 1 | .04 | 13 | .07 | 15 | .60 | 0 | .92 | 0 | .92 | 0 | .92 | 0 | .68 | 107,887 | 92 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .81 | 0 | .09 | (1 | .47) | (1 | .38) | — | — | — | — | 9 | .43 | (12 | .77) | 1 | .15 | 1 | .14† | 1 | .14† | 1 | .73† | 574,289 | 74 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 12 | .22 | 0 | .10• | 1 | .77 | 1 | .87 | 0 | .01 | 1 | .02 | — | 1 | .03 | 13 | .06 | 15 | .35 | 1 | .17 | 1 | .17 | 1 | .17 | 0 | .76 | 811,202 | 92 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .76 | 0 | .08 | (1 | .46) | (1 | .38) | — | — | — | — | 9 | .38 | (12 | .83) | 1 | .40 | 1 | .29† | 1 | .29† | 1 | .59† | 41,179 | 74 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 12 | .22 | 0 | .08• | 1 | .76 | 1 | .84 | 0 | .00* | 1 | .02 | — | 1 | .02 | 13 | .04 | 15 | .13 | 1 | .42 | 1 | .32 | 1 | .32 | 0 | .62 | 40,914 | 92 | |||||||||||||||||||||||||||||||||||||||||||||||||||
ING Clarion Global Real Estate Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9 | .22 | 0 | .12• | (0 | .82) | (0 | .70) | — | — | — | — | 8 | .52 | (7 | .59) | 1 | .75 | 1 | .49† | 1 | .49† | 2 | .66† | 1,150 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9 | .26 | 0 | .11• | (0 | .78) | (0 | .67) | — | — | — | — | 8 | .59 | (7 | .24) | 1 | .00 | 0 | .89† | 0 | .89† | 2 | .47† | 182,422 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9 | .22 | 0 | .10• | (0 | .78) | (0 | .68) | — | — | — | — | 8 | .54 | (7 | .38) | 1 | .25 | 1 | .14† | 1 | .14† | 2 | .19† | 158,790 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
31
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Net | Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | Net | asset | net of fee | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | realized | Total | value, | Expenses | waivers | Expenses | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | Net | and | from | From net | From net | From | end of | before | and/or | net of all | Net Investment | end of | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year | investment | unrealized | investment | investment | realized | return of | Total | year or | Total | reductions/ | recoupments, | reductions/ | income | year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
or period | income (loss) | gain (loss) | operations | income | gains | capital | distributions | period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss) (2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Clarion Global Real Estate Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9 | .26 | 0 | .09• | (0 | .78) | (0 | .69) | — | — | — | — | 8 | .57 | (7 | .45) | 1 | .50 | 1 | .29† | 1 | .29† | 2 | .04† | 1,950 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 11 | .75 | (0 | .00)* | 0 | .11 | 0 | .11 | — | — | — | — | 11 | .86 | 0 | .94 | 1 | .39 | 1 | .24† | 1 | .24† | (0 | .02)† | 21,536 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 11 | .89 | 0 | .03 | 0 | .12 | 0 | .15 | — | — | — | — | 12 | .04 | 1 | .26 | 0 | .64 | 0 | .64† | 0 | .64† | 0 | .52† | 73,435 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
08-15-05(4)–12-31-05 | 12 | .48 | 0 | .02• | 0 | .75 | 0 | .77 | — | — | — | — | 13 | .25 | 6 | .17 | 0 | .74 | 0 | .74 | 0 | .74 | 0 | .34 | 214 | 186 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 11 | .85 | 0 | .02 | 0 | .11 | 0 | .13 | — | — | — | — | 11 | .98 | 1 | .10 | 0 | .89 | 0 | .89† | 0 | .89† | 0 | .26† | 933,057 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 12 | .26 | (0 | .01)• | 1 | .95 | 1 | .94 | — | 0 | .97 | — | 0 | .97 | 13 | .23 | 16 | .90 | 0 | .99 | 0 | .99 | 0 | .99 | (0 | .06) | 584,904 | 186 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 11 | .81 | 0 | .01 | 0 | .12 | 0 | .13 | — | — | — | — | 11 | .94 | 1 | .10 | 1 | .14 | 1 | .04† | 1 | .04† | 0 | .13† | 52,430 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 12 | .24 | (0 | .03)• | 1 | .95 | 1 | .92 | — | 0 | .97 | — | 0 | .97 | 13 | .19 | 16 | .76 | 1 | .24 | 1 | .14 | 1 | .14 | (0 | .20) | 30,511 | 186 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Global Resources Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 17 | .55 | 0 | .03• | (2 | .20) | (2 | .17) | — | — | — | — | 15 | .38 | (12 | .36) | 1 | .40 | 1 | .25† | 1 | .25† | 0 | .39† | 7,749 | 32 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
32
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Net | Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | Net | asset | net of fee | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | realized | Total | value, | Expenses | waivers | Expenses | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | Net | and | from | From net | From net | From | end of | before | and/or | net of all | Net Investment | end of | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year | investment | unrealized | investment | investment | realized | return of | Total | year or | Total | reductions/ | recoupments, | reductions/ | income | year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
or period | income (loss) | gain (loss) | operations | income | gains | capital | distributions | period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss) (2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Global Resources Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 18 | .00 | 0 | .08• | (2 | .26) | (2 | .18) | — | — | — | — | 15 | .82 | (12 | .11) | 0 | .65 | 0 | .65† | 0 | .65† | 0 | .90† | 28,746 | 32 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 15 | .74 | 0 | .12 | 5 | .62 | 5 | .74 | 0 | .17 | 0 | .90 | — | 1 | .07 | 20 | .41 | 38 | .08 | 0 | .65 | 0 | .65 | 0 | .65 | 1 | .17 | 8,870 | 334 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 17 | .86 | 0 | .06• | (2 | .25) | (2 | .19) | — | — | — | — | 15 | .67 | (12 | .26) | 0 | .90 | 0 | .90† | 0 | .90† | 0 | .64† | 716,824 | 32 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 15 | .71 | 0 | .13 | 5 | .55 | 5 | .68 | 0 | .14 | 0 | .90 | — | 1 | .04 | 20 | .35 | 37 | .73 | 0 | .90 | 0 | .90 | 0 | .90 | 1 | .01 | 379,936 | 334 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 17 | .74 | 0 | .04• | (2 | .22) | (2 | .18) | — | — | — | — | 15 | .56 | (12 | .29) | 1 | .15 | 1 | .05† | 1 | .05† | 0 | .49† | 23,643 | 32 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 15 | .68 | 0 | .09 | 5 | .55 | 5 | .64 | 0 | .14 | 0 | .90 | — | 1 | .04 | 20 | .28 | 37 | .54 | 1 | .15 | 1 | .05 | 1 | .05 | 0 | .85 | 22,548 | 334 | |||||||||||||||||||||||||||||||||||||||||||||||||||
ING Janus Contrarian Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .40 | 0 | .02 | (0 | .57) | (0 | .55) | — | — | — | — | 9 | .85 | (5 | .29) | 1 | .54 | 1 | .39 | 1 | .38 | 0 | .34 | 729 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .60 | 0 | .05 | (0 | .58) | (0 | .53) | — | — | — | — | 10 | .07 | (5 | .00) | 0 | .79 | 0 | .79 | 0 | .78 | 0 | .98 | 15,288 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .59 | 0 | .04 | (0 | .58) | (0 | .54) | — | — | — | — | 10 | .05 | (5 | .10) | 1 | .04 | 1 | .04 | 1 | .03 | 0 | .73 | 458,961 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 11 | .01 | 0 | .04• | 1 | .68 | 1 | .72 | 0 | .01 | — | — | 0 | .01 | 12 | .72 | 15 | .61 | 1 | .05 | 1 | .05 | 1 | .05 | 0 | .34 | 81,925 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .52 | 0 | .03 | (0 | .57) | (0 | .54) | — | — | — | — | 9 | .98 | (5 | .13) | 1 | .29 | 1 | .19 | 1 | .18 | 0 | .59 | 19,732 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 10 | .98 | 0 | .02• | 1 | .67 | 1 | .69 | 0 | .01 | — | — | 0 | .01 | 12 | .66 | 15 | .39 | 1 | .30 | 1 | .20 | 1 | .20 | 0 | .22 | 3,756 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
33
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Net | Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | Net | asset | net of fee | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | realized | Total | value, | Expenses | waivers | Expenses | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | Net | and | from | From net | From net | From | end of | before | and/or | net of all | Net Investment | end of | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year | investment | unrealized | investment | investment | realized | return of | Total | year or | Total | reductions/ | recoupments, | reductions/ | income | year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
or period | income (loss) | gain (loss) | operations | income | gains | capital | distributions | period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss) (2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING JPMorgan Emerging Markets Equity Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 20 | .00 | 0 | .00•,* | (1 | .18) | (1 | .18) | — | — | — | — | 18 | .82 | (5 | .90) | 2 | .01 | 1 | .86 | 1 | .85 | 0 | .05 | 8,714 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 20 | .38 | 0 | .06• | (1 | .20) | (1 | .14) | — | — | — | — | 19 | .24 | (5 | .59) | 1 | .26 | 1 | .26 | 1 | .25 | 0 | .61 | 204,305 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-02-05(4)–12-31-05 | 14 | .28 | 0 | .03• | 0 | .36 | 0 | .39 | — | — | — | — | 14 | .67 | 2 | .73 | 1 | .30 | 1 | .30 | 1 | .30 | 2 | .38 | 33,756 | 85 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 20 | .33 | 0 | .03• | (1 | .20) | (1 | .17) | — | — | — | — | 19 | .16 | (5 | .76) | 1 | .51 | 1 | .51 | 1 | .50 | 0 | .35 | 647,368 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05(5) | 10 | .89 | 0 | .11• | 3 | .68 | 3 | .79 | 0 | .01 | — | — | 0 | .01 | 14 | .67 | 34 | .82 | 1 | .50 | 1 | .50 | 1 | .50 | 0 | .90 | 366,350 | 85 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 20 | .19 | 0 | .02• | (1 | .19) | (1 | .17) | — | — | — | — | 19 | .02 | (5 | .79) | 1 | .76 | 1 | .66 | 1 | .65 | 0 | .20 | 29,339 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05(5) | 10 | .85 | 0 | .09• | 3 | .65 | 3 | .74 | 0 | .01 | — | — | 0 | .01 | 14 | .58 | 34 | .51 | 1 | .75 | 1 | .65 | 1 | .65 | 0 | .74 | 19,785 | 85 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Liquid Assets Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1 | .00 | 0 | .00* | 0 | .00* | 0 | .00* | 0 | .00* | — | — | 0 | .00* | 1 | .00 | 0 | .01 | 0 | .28 | 0 | .27 | 0 | .27 | 0 | .02 | 143,312 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 1 | .00 | 0 | .03 | (0 | .00)* | 0 | .03 | 0 | .03 | — | — | 0 | .03 | 1 | .00 | 3 | .04 | 0 | .29 | 0 | .29 | 0 | .29 | 3 | .00 | 134,152 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1 | .00 | 0 | .00* | 0 | .00* | 0 | .00* | — | — | — | — | 1 | .00 | — | 0 | .53 | 0 | .30 | 0 | .30 | 0 | .00* | 1,410,984 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 1 | .00 | 0 | .03 | (0 | .00)* | 0 | .03 | 0 | .03 | — | — | 0 | .03 | 1 | .00 | 2 | .78 | 0 | .54 | 0 | .54 | 0 | .54 | 2 | .75 | 676,630 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1 | .00 | 0 | .00* | 0 | .00* | 0 | .00* | — | — | — | — | 1 | .00 | — | 0 | .78 | 0 | .30 | 0 | .30 | 0 | .00* | 154,259 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 1 | .00 | 0 | .03 | (0 | .00)* | 0 | .03 | 0 | .03 | — | — | 0 | .03 | 1 | .00 | 2 | .63 | 0 | .79 | 0 | .69 | 0 | .69 | 2 | .61 | 12,828 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
34
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Net | Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | Net | asset | net of fee | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | realized | Total | value, | Expenses | waivers | Expenses | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | Net | and | from | From net | From net | From | end of | before | and/or | net of all | Net Investment | end of | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year | investment | unrealized | investment | investment | realized | return of | Total | year or | Total | reductions/ | recoupments, | reductions/ | income | year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
or period | income (loss) | gain (loss) | operations | income | gains | capital | distributions | period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss) (2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Marsico Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 14 | .29 | (0 | .01)• | (1 | .03) | (1 | .04) | — | — | — | — | 13 | .25 | (7 | .28) | 1 | .56 | 1 | .41† | 1 | .41† | (0 | .20)† | 5,383 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 14 | .47 | (0 | .06)• | 1 | .29 | 1 | .23 | — | — | — | — | 15 | .70 | 8 | .50 | 1 | .51 | 1 | .36 | 1 | .34 | (0 | .41) | 6,456 | 72 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 14 | .51 | 0 | .03 | (1 | .04) | (1 | .01) | — | — | — | — | 13 | .50 | (6 | .96) | 0 | .81 | 0 | .81† | 0 | .81† | 0 | .37† | 160,923 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 14 | .57 | 0 | .03• | 1 | .30 | 1 | .33 | — | — | — | — | 15 | .90 | 9 | .13 | 0 | .76 | 0 | .76 | 0 | .74 | 0 | .18 | 10,944 | 72 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 14 | .37 | 0 | .01 | (1 | .03) | (1 | .02) | — | — | — | — | 13 | .35 | (7 | .10) | 1 | .06 | 1 | .06† | 1 | .06† | 0 | .13† | 484,966 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 14 | .51 | 0 | .00* | 1 | .29 | 1 | .29 | — | — | — | — | 15 | .80 | 8 | .89 | 1 | .01 | 1 | .01 | 0 | .99 | (0 | .02) | 886,962 | 72 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 14 | .28 | (0 | .00)•,* | (1 | .03) | (1 | .03) | — | — | — | — | 13 | .25 | (7 | .21) | 1 | .31 | 1 | .21† | 1 | .21† | (0 | .02)† | 15,341 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 14 | .47 | (0 | .03)• | 1 | .29 | 1 | .26 | — | — | — | — | 15 | .73 | 8 | .71 | 1 | .26 | 1 | .16 | 1 | .14 | (0 | .19) | 22,551 | 72 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Marsico International Opportunities Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .48 | 0 | .07• | (1 | .36) | (1 | .29) | — | — | — | — | 9 | .19 | (12 | .31) | 1 | .52 | 1 | .33† | 1 | .33† | 1 | .47† | 4,604 | 71 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .46 | 0 | .10• | (1 | .36) | (1 | .26) | — | — | — | — | 9 | .20 | (12 | .05) | 0 | .77 | 0 | .73† | 0 | .73† | 2 | .05† | 154,077 | 71 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
04-29-05(4)–12-31-05 | 10 | .00 | 0 | .04• | 2 | .52 | 2 | .56 | 0 | .02 | 0 | .16 | — | 0 | .18 | 12 | .38 | 25 | .62 | 0 | .78 | 0 | .68 | 0 | .68 | 0 | .58 | 44,459 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .41 | 0 | .09• | (1 | .35) | (1 | .26) | — | — | — | — | 9 | .15 | (12 | .10) | 1 | .02 | 0 | .98† | 0 | .98† | 1 | .73† | 175,706 | 71 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
05-02-05(4)–12-31-05 | 10 | .00 | 0 | .02• | 2 | .51 | 2 | .53 | 0 | .01 | 0 | .16 | — | 0 | .17 | 12 | .36 | 25 | .35 | 1 | .02 | 0 | .93 | 0 | .93 | 0 | .22 | 150,499 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
35
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | �� | Net | Expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | Net | asset | net of fee | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | realized | Total | value, | Expenses | waivers | Expenses | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | Net | and | from | From net | From net | From | end of | before | and/or | net of all | Net Investment | end of | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year | investment | unrealized | investment | investment | realized | return of | Total | year or | Total | reductions/ | recoupments, | reductions/ | income | year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
or period | income (loss) | gain (loss) | operations | income | gains | capital | distributions | period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss) (2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Marsico International Opportunities Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .50 | 0 | .10 | (1 | .37) | (1 | .27) | — | — | — | — | 9 | .23 | (12 | .10) | 1 | .27 | 1 | .13† | 1 | .13† | 1 | .92† | 1 | 71 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING MFS Total Return Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 13 | .69 | 0 | .13• | (0 | .50) | (0 | .37) | — | — | — | — | 13 | .32 | (2 | .70) | 1 | .45 | 1 | .30 | 1 | .29 | 1 | .86 | 2,727 | 12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 18 | .67 | 0 | .36• | 0 | .09 | 0 | .45 | 0 | .41 | 0 | .66 | — | 1 | .07 | 18 | .05 | 2 | .53 | 1 | .40 | 1 | .25 | 1 | .25 | 1 | .98 | 5,839 | 51 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 13 | .66 | 0 | .18 | (0 | .50) | (0 | .32) | — | — | — | — | 13 | .34 | (2 | .34) | 0 | .70 | 0 | .70 | 0 | .69 | 2 | .45 | 116,172 | 12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 18 | .81 | 0 | .49• | 0 | .08 | 0 | .57 | 0 | .46 | 0 | .66 | — | 1 | .12 | 18 | .26 | 3 | .14 | 0 | .65 | 0 | .65 | 0 | .65 | 2 | .71 | 172,607 | 51 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 13 | .70 | 0 | .16 | (0 | .51) | (0 | .35) | — | — | — | — | 13 | .35 | (2 | .55) | 0 | .95 | 0 | .95 | 0 | .94 | 2 | .20 | 829,466 | 12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 18 | .78 | 0 | .43• | 0 | .10 | 0 | .53 | 0 | .42 | 0 | .66 | — | 1 | .08 | 18 | .23 | 2 | .90 | 0 | .89 | 0 | .89 | 0 | .89 | 2 | .32 | 1,465,066 | 51 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 13 | .60 | 0 | .15 | (0 | .50) | (0 | .35) | — | — | — | — | 13 | .25 | (2 | .57) | 1 | .20 | 1 | .10 | 1 | .09 | 2 | .05 | 32,550 | 12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 18 | .71 | 0 | .40• | 0 | .08 | 0 | .48 | 0 | .41 | 0 | .66 | — | 1 | .07 | 18 | .12 | 2 | .68 | 1 | .14 | 1 | .04 | 1 | .04 | 2 | .18 | 49,367 | 51 | |||||||||||||||||||||||||||||||||||||||||||||||||||
ING MFS Utilities Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 11 | .97 | 0 | .22• | (1 | .13) | (0 | .91) | — | — | — | — | 11 | .06 | (7 | .60) | 1 | .52 | 1 | .37 | 1 | .36 | 3 | .85 | 1,980 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9 | .49 | 0 | .48• | 2 | .56 | 3 | .04 | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 12 | .03 | 0 | .23 | (1 | .10) | (0 | .87) | — | — | — | — | 11 | .16 | (7 | .23) | 0 | .77 | 0 | .77 | 0 | .76 | 3 | .81 | 4,469 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
04-29-05(4)–12-31-05 | 10 | .00 | 0 | .13• | 1 | .41 | 1 | .54 | 0 | .09 | 0 | .23 | — | 0 | .32 | 11 | .22 | 15 | .35 | 0 | .82 | 0 | .80 | 0 | .80 | 1 | .73 | 5,599 | 152 | |||||||||||||||||||||||||||||||||||||||||||||||||||
36
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Net | Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | Net | asset | net of fee | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | realized | Total | value, | Expenses | waivers | Expenses | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | Net | and | from | From net | From net | From | end of | before | and/or | net of all | Net Investment | end of | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year | investment | unrealized | investment | investment | realized | return of | Total | year or | Total | reductions/ | recoupments, | reductions/ | income | year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
or period | income (loss) | gain (loss) | operations | income | gains | capital | distributions | period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss) (2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING MFS Utilities Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 12 | .00 | 0 | .21• | (1 | .10) | (0 | .89) | — | — | — | — | 11 | .11 | (7 | .42) | 1 | .02 | 1 | .02 | 1 | .01 | 3 | .57 | 434,643 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
05-02-05(4)–12-31-05 | 10 | .07 | 0 | .10• | 1 | .34 | 1 | .44 | 0 | .08 | 0 | .23 | — | 0 | .31 | 11 | .20 | 14 | .25 | 1 | .07 | 1 | .05 | 1 | .05 | 1 | .31 | 168,701 | 152 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 12 | .15 | 0 | .19• | (1 | .13) | (0 | .94) | — | — | — | — | 11 | .21 | (7 | .74) | 1 | .27 | 1 | .17 | 1 | .16 | 3 | .28 | 1 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 12 | .42 | 0 | .04• | (0 | .45) | (0 | .41) | — | — | — | — | 12 | .01 | (3 | .30) | 1 | .73 | 1 | .58 | 1 | .58 | 0 | .71 | 66 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 12 | .54 | 0 | .20 | (0 | .56) | (0 | .36) | — | — | — | — | 12 | .18 | (2 | .87) | 0 | .98 | 0 | .98 | 0 | .98 | 3 | .11 | 1 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10 | .89 | 0 | .21 | 2 | .70 | 2 | .91 | 0 | .89 | 0 | .37 | — | 1 | .26 | 12 | .54 | 29 | .14 | 0 | .99 | 0 | .99 | 0 | .99 | 1 | .83 | 1 | 21 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 16 | .98 | 0 | .37 | (5 | .01) | (4 | .64) | 0 | .33 | 1 | .12 | — | 1 | .45 | 10 | .89 | (28 | .38) | 0 | .97 | 0 | .97 | 0 | .97 | 2 | .60 | 1 | 28 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 15 | .90 | 0 | .35 | 1 | .22 | 1 | .57 | — | 0 | .49 | — | 0 | .49 | 16 | .98 | 9 | .91 | 0 | .96 | 0 | .96 | 0 | .96 | 2 | .12 | 1 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
04-28-06(4)–12-31-06 | 15 | .08 | 0 | .11• | 1 | .56 | 1 | .67 | 0 | .29 | 0 | .56 | — | 0 | .85 | 15 | .90 | 11 | .75 | 0 | .98 | 0 | .98 | 0 | .98 | 1 | .08 | 1 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 12 | .56 | 0 | .17 | (0 | .56) | (0 | .39) | — | — | — | — | 12 | .17 | (3 | .11) | 1 | .23 | 1 | .23 | 1 | .23 | 2 | .75 | 264,350 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 12 | .63 | 0 | .18• | 1 | .24 | 1 | .42 | 0 | .03 | 0 | .14 | — | 0 | .17 | 13 | .88 | 11 | .30 | 1 | .25 | 1 | .25 | 1 | .25 | 1 | .35 | 214,349 | 17 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 12 | .48 | 0 | .16• | (0 | .55) | (0 | .39) | — | — | — | — | 12 | .09 | (3 | .13) | 1 | .48 | 1 | .38 | 1 | .38 | 2 | .59 | 56,219 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 12 | .59 | 0 | .15• | 1 | .25 | 1 | .40 | 0 | .02 | 0 | .14 | — | 0 | .16 | 13 | .83 | 11 | .19 | 1 | .50 | 1 | .40 | 1 | .40 | 1 | .11 | 66,241 | 17 | |||||||||||||||||||||||||||||||||||||||||||||||||||
ING Morgan Stanley Global Tactical Asset Allocation Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
04-30-10(4) – 06-30-10 | 9 | .83 | (0 | .00)•,* | (0 | .80) | (0 | .80) | — | — | — | — | 9 | .03 | (8 | .14) | 1 | .88 | 1 | .53 | 1 | .53 | (0 | .09) | 31 | 68 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9 | .64 | 0 | .03 | (0 | .63) | (0 | .60) | — | — | — | — | 9 | .04 | (6 | .22) | 1 | .38 | 1 | .18 | 1 | .18 | 0 | .66 | 66,966 | 68 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8 | .60 | 0 | .06 | 1 | .32 | 1 | .38 | 0 | .17 | 0 | .17 | — | 0 | .34 | 9 | .64 | 16 | .00 | 1 | .38 | 1 | .18† | 1 | .18† | 0 | .56† | 61,912 | 62 | |||||||||||||||||||||||||||||||||||||||||||||||||||
09-17-08(4)–12-31-08 | 10 | .00 | 0 | .02 | (1 | .42) | (1 | .40) | — | — | — | — | 8 | .60 | (14 | .00) | 1 | .39 | 1 | .18† | 1 | .18† | 1 | .00† | 24,234 | 4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
37
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Net | Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | Net | asset | net of fee | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | realized | Total | value, | Expenses | waivers | Expenses | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | Net | and | from | From net | From net | From | end of | before | and/or | net of all | Net Investment | end of | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year | investment | unrealized | investment | investment | realized | return of | Total | year or | Total | reductions/ | recoupments, | reductions/ | income | year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
or period | income (loss) | gain (loss) | operations | income | gains | capital | distributions | period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss) (2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING PIMCO Total Return Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 12 | .01 | 0 | .17• | 0 | .46 | 0 | .63 | — | — | — | — | 12 | .64 | 5 | .25 | 1 | .31 | 1 | .12 | 1 | .12 | 2 | .68 | 12,416 | 208 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 12 | .21 | 0 | .16• | 0 | .54 | 0 | .70 | — | — | — | — | 12 | .91 | 5 | .73 | 0 | .56 | 0 | .55 | 0 | .55 | 2 | .63 | 329,970 | 208 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 12 | .22 | 0 | .15• | 0 | .52 | 0 | .67 | — | — | — | — | 12 | .89 | 5 | .48 | 0 | .81 | 0 | .80 | 0 | .80 | 2 | .36 | 3,324,340 | 208 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 10 | .92 | 0 | .35• | (0 | .08) | 0 | .27 | 0 | .38 | 0 | .10 | — | 0 | .48 | 10 | .71 | 2 | .46 | 0 | .84 | 0 | .84 | 0 | .84 | 3 | .23 | 1,059,548 | 760 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 12 | .16 | 0 | .14• | 0 | .52 | 0 | .66 | — | — | — | — | 12 | .82 | 5 | .43 | 1 | .06 | 0 | .95 | 0 | .95 | 2 | .20 | 76,253 | 208 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 10 | .90 | 0 | .33• | (0 | .08) | 0 | .25 | 0 | .37 | 0 | .10 | — | 0 | .47 | 10 | .68 | 2 | .28 | 1 | .09 | 0 | .99 | 0 | .99 | 3 | .07 | 35,739 | 760 | |||||||||||||||||||||||||||||||||||||||||||||||||||
ING Pioneer Mid Cap Value Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9 | .26 | 0 | .03• | (0 | .44) | (0 | .41) | — | — | — | — | 8 | .85 | (4 | .43) | 1 | .39 | 1 | .24† | 1 | .23† | 0 | .65† | 1,266 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9 | .39 | 0 | .05 | (0 | .44) | (0 | .39) | — | — | — | — | 9 | .00 | (4 | .15) | 0 | .64 | 0 | .64† | 0 | .63† | 1 | .10† | 233,581 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
05-02-05(4)–12-31-05 | 10 | .07 | 0 | .03 | 0 | .92 | 0 | .95 | — | — | — | — | 11 | .02 | 9 | .43 | 0 | .66 | 0 | .66 | 0 | .66 | 0 | .97 | 22,281 | 50 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
38
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Net | Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | Net | asset | net of fee | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | realized | Total | value, | Expenses | waivers | Expenses | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | Net | and | from | From net | From net | From | end of | before | and/or | net of all | Net Investment | end of | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year | investment | unrealized | investment | investment | realized | return of | Total | year or | Total | reductions/ | recoupments, | reductions/ | income | year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
or period | income (loss) | gain (loss) | operations | income | gains | capital | distributions | period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss) (2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Pioneer Mid Cap Value Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9 | .38 | 0 | .04 | (0 | .44) | (0 | .40) | — | — | — | — | 8 | .98 | (4 | .26) | 0 | .89 | 0 | .89† | 0 | .88† | 0 | .83† | 520,033 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
04-29-05(4)–12-31-05 | 10 | .01 | 0 | .02 | 0 | .97 | 0 | .99 | — | — | — | — | 11 | .00 | 9 | .89 | 0 | .92 | 0 | .92 | 0 | .92 | 0 | .62 | 671,732 | 50 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9 | .48 | 0 | .04 | (0 | .46) | (0 | .42) | — | — | — | — | 9 | .06 | (4 | .43) | 1 | .14 | 1 | .04† | 1 | .03† | 0 | .72† | 1 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 19 | .88 | 0 | .13• | (0 | .54) | (0 | .41) | — | — | — | — | 19 | .47 | (2 | .06) | 1 | .40 | 1 | .25 | 1 | .25 | 1 | .24 | 51,788 | 31 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 24 | .37 | 0 | .31• | 1 | .41 | 1 | .72 | 0 | .36 | 0 | .87 | — | 1 | .23 | 24 | .86 | 7 | .33 | 1 | .40 | 1 | .25 | 1 | .25 | 1 | .16 | 48,910 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 20 | .18 | 0 | .19• | (0 | .56) | (0 | .37) | — | — | — | — | 19 | .81 | (1 | .83) | 0 | .65 | 0 | .65 | 0 | .65 | 1 | .83 | 339,110 | 31 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 24 | .52 | 0 | .43• | 1 | .46 | 1 | .89 | 0 | .37 | 0 | .87 | — | 1 | .24 | 25 | .17 | 8 | .03 | 0 | .65 | 0 | .65 | 0 | .65 | 1 | .75 | 76,428 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 20 | .20 | 0 | .17 | (0 | .56) | (0 | .39) | — | — | — | — | 19 | .81 | (1 | .93) | 0 | .90 | 0 | .90 | 0 | .90 | 1 | .57 | 3,029,547 | 31 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 24 | .50 | 0 | .37• | 1 | .46 | 1 | .83 | 0 | .33 | 0 | .87 | — | 1 | .20 | 25 | .13 | 7 | .74 | 0 | .90 | 0 | .90 | 0 | .90 | 1 | .50 | 2,318,302 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 20 | .12 | 0 | .15 | (0 | .55) | (0 | .40) | — | — | — | — | 19 | .72 | (1 | .99) | 1 | .15 | 1 | .05 | 1 | .05 | 1 | .42 | 79,307 | 31 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 24 | .44 | 0 | .34• | 1 | .45 | 1 | .79 | 0 | .33 | 0 | .87 | — | 1 | .20 | 25 | .03 | 7 | .59 | 1 | .15 | 1 | .05 | 1 | .05 | 1 | .35 | 91,510 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||||
39
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Net | Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | Net | asset | net of fee | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | realized | Total | value, | Expenses | waivers | Expenses | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | Net | and | from | From net | From net | From | end of | before | and/or | net of all | Net Investment | end of | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year | investment | unrealized | investment | investment | realized | return of | Total | year or | Total | reductions/ | recoupments, | reductions/ | income | year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
or period | income (loss) | gain (loss) | operations | income | gains | capital | distributions | period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss) (2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING T. Rowe Price Equity Income Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .34 | 0 | .06• | (0 | .69) | (0 | .63) | — | — | — | — | 9 | .71 | (6 | .09) | 1 | .40 | 1 | .25 | 1 | .25 | 1 | .19 | 18,878 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 13 | .68 | 0 | .17• | 0 | .29 | 0 | .46 | 0 | .17 | 0 | .32 | — | 0 | .49 | 13 | .65 | 3 | .55 | 1 | .40 | 1 | .25 | 1 | .25 | 1 | .21 | 20,692 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .40 | 0 | .09 | (0 | .69) | (0 | .60) | — | — | — | — | 9 | .80 | (5 | .77) | 0 | .65 | 0 | .65 | 0 | .65 | 1 | .77 | 322,130 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 13 | .76 | 0 | .25• | 0 | .29 | 0 | .54 | 0 | .18 | 0 | .32 | — | 0 | .50 | 13 | .80 | 4 | .12 | 0 | .65 | 0 | .65 | 0 | .65 | 1 | .92 | 45,227 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .41 | 0 | .08 | (0 | .69) | (0 | .61) | — | — | — | — | 9 | .80 | (5 | .86) | 0 | .90 | 0 | .90 | 0 | .90 | 1 | .53 | 824,092 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 13 | .74 | 0 | .21• | 0 | .31 | 0 | .52 | 0 | .16 | 0 | .32 | — | 0 | .48 | 13 | .78 | 3 | .92 | 0 | .90 | 0 | .90 | 0 | .90 | 1 | .53 | 1,067,106 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .35 | 0 | .07 | (0 | .69) | (0 | .62) | — | — | — | — | 9 | .73 | (5 | .99) | 1 | .15 | 1 | .05 | 1 | .05 | 1 | .38 | 55,990 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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)(a) | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 13 | .70 | 0 | .19• | 0 | .30 | 0 | .49 | 0 | .15 | 0 | .32 | — | 0 | .47 | 13 | .72 | 3 | .75 | 1 | .15 | 1 | .05 | 1 | .05 | 1 | .41 | 38,469 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||
ING Van Kampen Growth and Income Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 19 | .33 | 0 | .09• | (1 | .75) | (1 | .66) | — | — | — | — | 17 | .67 | (8 | .59) | 1 | .40 | 1 | .25† | 1 | .24† | 0 | .97† | 4,124 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 24 | .73 | 0 | .24• | 2 | .14 | 2 | .38 | 0 | .25 | — | — | 0 | .25 | 26 | .86 | 9 | .71 | 1 | .40 | 1 | .25 | 1 | .24 | 0 | .92 | 855 | 39 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 19 | .23 | 0 | .15 | (1 | .76) | (1 | .61) | — | — | — | — | 17 | .62 | (8 | .37) | 0 | .65 | 0 | .65† | 0 | .64† | 1 | .51† | 15,136 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
40
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Net | Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | Net | asset | net of fee | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | realized | Total | value, | Expenses | waivers | Expenses | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | Net | and | from | From net | From net | From | end of | before | and/or | net of all | Net Investment | end of | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year | investment | unrealized | investment | investment | realized | return of | Total | year or | Total | reductions/ | recoupments, | reductions/ | income | year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
or period | income (loss) | gain (loss) | operations | income | gains | capital | distributions | period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss) (2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Van Kampen Growth and Income Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 19 | .34 | 0 | .13 | (1 | .77) | (1 | .64) | — | — | — | — | 17 | .70 | (8 | .48) | 0 | .90 | 0 | .90† | 0 | .89† | 1 | .26† | 487,506 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 24 | .85 | 0 | .36• | 2 | .12 | 2 | .48 | 0 | .26 | — | — | 0 | .26 | 27 | .07 | 10 | .07 | 0 | .90 | 0 | .89 | 0 | .89 | 1 | .33 | 852,319 | 39 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 19 | .26 | 0 | .11 | (1 | .75) | (1 | .64) | — | — | — | — | 17 | .62 | (8 | .52) | 1 | .15 | 1 | .05† | 1 | .04† | 1 | .11† | 45,089 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 24 | .79 | 0 | .30• | 2 | .13 | 2 | .43 | 0 | .26 | — | — | 0 | .26 | 26 | .96 | 9 | .89 | 1 | .15 | 1 | .05 | 1 | .04 | 1 | .16 | 70,395 | 39 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Wells Fargo Health Care Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .13 | (0 | .02) | (0 | .62) | (0 | .64) | — | — | — | — | 9 | .49 | (6 | .32) | 1 | .50 | 1 | .35† | 1 | .35† | (0 | .39)† | 1 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .34 | 0 | .01 | (0 | .61) | (0 | .60) | — | — | — | — | 9 | .74 | (5 | .80) | 0 | .75 | 0 | .75† | 0 | .75† | 0 | .15† | 4,778 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .29 | (0 | .00)* | (0 | .61) | (0 | .61) | — | — | — | — | 9 | .68 | (5 | .93) | 1 | .00 | 1 | .00† | 1 | .00† | (0 | .08)† | 184,117 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-05 | 10 | .00 | 0 | .00* | 1 | .04 | 1 | .04 | 0 | .00* | 0 | .35 | — | 0 | .35 | 10 | .69 | 10 | .41 | 1 | .01 | 1 | .01 | 1 | .01 | (0 | .04) | 166,655 | 118 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .26 | (0 | .02) | (0 | .61) | (0 | .63) | — | — | — | — | 9 | .63 | (6 | .14) | 1 | .25 | 1 | .15† | 1 | .15† | (0 | .45)† | 1 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 8 | .54 | (0 | .02) | 1 | .74 | 1 | .72 | — | — | — | — | 10 | .26 | 20 | .14 | 1 | .26 | 1 | .15 | 1 | .14 | (0 | .19) | 1 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 12 | .67 | (0 | .01)• | (3 | .49) | (3 | .50) | 0 | .01 | 0 | .62 | — | 0 | .63 | 8 | .54 | (28 | .71) | 1 | .25 | 1 | .15† | 1 | .14† | (0 | .06)† | 1 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-07 | 12 | .17 | 0 | .00•,* | 1 | .00 | 1 | .00 | 0 | .04 | 0 | .46 | — | 0 | .50 | 12 | .67 | 8 | .38 | 1 | .25 | 1 | .15 | 1 | .13 | 0 | .01 | 1 | 81 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-29-06(4)–12-31-06 | 12 | .17 | (0 | .00)* | — | (0 | .00)* | — | — | — | — | 12 | .17 | — | 1 | .27 | 1 | .17 | 1 | .15 | (1 | .15) | 1 | 37 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
41
(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. | |
(5) | Since April 29, 2005, J.P. Morgan Investment Management Inc. has served as portfolio manager for the ING JPMorgan Emerging Markets Equity Portfolio. Prior to this date, a different firm served as portfolio manager. | |
• | Calculated using average number of shares outstanding throughout the period. | |
* | Amount is less than $0.005 or 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 (Note 4). | |
(a) | There was no impact on total return by the affiliate payments in 2008. |
42
43
44
(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. |
45
46
Forward | ||||||||||||
Foreign | ||||||||||||
Equity | Currency | |||||||||||
Forwards | Contracts | Swaps | ||||||||||
Artio Foreign | $ | 9,718,628 | $ | 2,770,494 | $ | — | ||||||
Janus Contrarian | — | 39,143 | — | |||||||||
MFS Utilities | — | 378,204 | — | |||||||||
Morgan Stanley Global Franchise | — | 630,418 | — | |||||||||
Morgan Stanley Global Tactical Asset Allocation | — | 43,604 | — | |||||||||
PIMCO Total Return Bond | — | 11,146,459 | 31,624,912 |
47
Forward Foreign | ||||
Currency Contracts | ||||
Artio Foreign | $ | 3,171,773 | ||
Janus Contrarian | 235,159 | |||
MFS Utilities | 758,985 | |||
Morgan Stanley Global Franchise | 1,349,310 | |||
Morgan Stanley Global Tactical Asset Allocation | 189,779 |
Forward Foreign | ||||||||||
Currency Contracts | Swaps | Written Options | ||||||||
$ | 3,013,379 | $ | 3,116,404 | $ | 9,236,738 |
Buy | Sell | |||||||
Artio Foreign | $ | 43,329,112 | $ | 99,605,898 | ||||
Janus Contrarian | 14,984,859 | 29,808,206 | ||||||
MFS Utilities | 7,252,868 | 49,595,858 | ||||||
Pimco Total Return Bond | 98,721,101 | 181,539,774 | ||||||
Morgan Stanley Global Franchise | 42,523,610 | 38,823,334 | ||||||
Morgan Stanley Global Tactical Asset Allocation | 10,451,367 | 2,065,234 |
48
Buy | Sell | |||||||
Pimco Total Return Bond | $ | 2,386,417,863 | $ | — | ||||
Morgan Stanley Global Tactical Asset Allocation | 23,882,690 | 786,225 |
49
50
51
52
Purchases | Sales | |||||||
Artio Foreign | $ | 705,044,753 | $ | 731,638,148 | ||||
Clarion Global Real Estate | 123,010,796 | 127,702,145 | ||||||
FMRSM Diversified Mid Cap | 323,468,379 | 271,284,804 | ||||||
Global Resources | 279,929,574 | 369,203,492 | ||||||
Janus Contrarian | 308,597,089 | 355,475,015 | ||||||
JPMorgan Emerging Markets Equity | 78,203,566 | 159,449,061 | ||||||
Marsico Growth | 264,108,126 | 311,363,247 | ||||||
Marsico International Opportunities | 250,951,458 | 260,343,048 | ||||||
MFS Total Return | 86,682,836 | 123,397,723 | ||||||
MFS Utilities | 157,577,889 | 154,856,049 | ||||||
Morgan Stanley Global Franchise | 113,710,260 | 107,397,879 | ||||||
Morgan Stanley Global Tactical Asset Allocation | 40,313,474 | 27,117,287 | ||||||
PIMCO Total Return Bond | 1,753,799,546 | 1,656,882,250 | ||||||
Pioneer Mid Cap Value | 413,209,217 | 464,925,242 | ||||||
T. Rowe Price Capital Appreciation | 1,053,464,551 | 1,013,916,695 |
53
Purchases | Sales | |||||||
T. Rowe Price Equity Income | $ | 99,902,985 | $ | 99,152,716 | ||||
Van Kampen Growth and Income | 90,715,968 | 117,726,792 | ||||||
Wells Fargo Health Care | 69,589,978 | 78,371,164 |
Purchases | Sales | |||||||
MFS Total Return | $ | 36,748,883 | $ | 41,580,808 | ||||
PIMCO Total Return Bond | 4,679,610,729 | 3,936,819,805 |
Portfolio | Fee | |
Marsico International Opportunities(1) | 0.54% of the first $4 billion; 0.53% thereafter | |
MFS Utilities(1) | 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 | |
Morgan Stanley Global Tactical Asset Allocation | 0.75% of the first $500 million; 0.725% thereafter |
(1) | Effective January 1, 2010, the advisory fee breakpoints for purposes of calculating the advisory fee were modified. |
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. | |
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 | |
Global Resources, T. Rowe Price Capital Appreciation, T. Rowe Price Equity Income and Van Kampen Growth and Income(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 | |
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(2) | 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 |
54
Portfolio | Fee | |
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% | |
Wells Fargo Health Care | 0.75% of the first $500 million; 0.70% of the amount in excess of $500 million |
(1) | 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. |
(2) | 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. |
(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. |
Portfolio | Amount | |||
Artio Foreign | $ | 4,254 | ||
Clarion Global Real Estate | 1,588 | |||
FMRsm Diversified Mid Cap | 15,676 | |||
Global Resources | 3,653 | |||
Marsico Growth | 15,998 | |||
Marsico International Opportunities | 4,943 | |||
Pioneer Mid Cap Value | 5,353 | |||
Van Kampen Growth and Income | 748 | |||
Wells Fargo Health Care | 2,132 |
Portfolio | Sub-Adviser | |
Artio Foreign | Artio Global Management, LLC | |
Clarion Global Real Estate | ING Clarion Real Estate Securities, LLC* | |
FMRsm Diversified Mid Cap | Fidelity Management & Research Company | |
Global Resources | ING Investment Management Co.* | |
Janus Contrarian | Janus Capital Management LLC | |
JPMorgan Emerging Markets Equity | J.P. Morgan Investment Management Inc. | |
Liquid Assets | ING Investment Management Co.* |
55
Portfolio | Sub-Adviser | |
Marsico Growth | Marsico Capital Management, LLC | |
Marsico International Opportunities | 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. | |
Morgan Stanley Global Tactical Asset Allocation | 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. | |
Van Kampen Growth & Income | Morgan Stanley Investment Management, Inc. (d/b/a Van Kampen) | |
Wells Fargo Health Care | Wells Capital Management Inc. |
Class ADV | Class I | Class S | Class S2 | |||||||||||||
Clarion Global Real Estate | 1.50 | % | 0.90 | % | 1.15 | % | 1.30 | % | ||||||||
Marsico International Opportunities(1) | 1.40 | % | 0.80 | % | 1.05 | % | 1.20 | % | ||||||||
MFS Utilities | 1.40 | % | 0.80 | % | 1.05 | % | 1.20 | % | ||||||||
Morgan Stanley Global Tactical Asset Allocation | 1.53 | % | N/A | 1.18 | % | N/A | ||||||||||
Pioneer Mid Cap Value | 1.25 | % | 0.65 | % | 0.90 | % | 1.05 | % |
(1) | Prior to April 30, 2010, the expense limits were 1.30%, 0.70%, 0.95% and 1.10% for Classes ADV, I, S and S2 shares, respectively. |
June 30, | ||||||||||||||||
2011 | 2012 | 2013 | Total | |||||||||||||
Clarion Global Real Estate | $ | 230,619 | $ | 377,579 | $ | 404,577 | $ | 1,012,775 | ||||||||
Marsico International Opportunities | 172,900 | 367,368 | 178,006 | 718,274 | ||||||||||||
Morgan Stanley Global Tactical Asset Allocation | — | 54,688 | 90,759 | 145,447 |
56
ING Life Insurance and Annuity Company | Artio Foreign (8.46%) Clarion Global Real Estate (16.32%) FMRSM Diversified Mid Cap (17.78%) Global Resources (18.81%) Janus Contrarian (12.76%) JPMorgan Emerging Markets Equity (10.35%) Marsico Growth (10.32%) Marsico International Opportunities (7.82%) MFS Total Return (14.32%) MFS Utilities (10.00%) Pioneer Mid Cap Value (12.83%) T. Rowe Price Capital Appreciation (16.66%) T. Rowe Price Equity Income (20.94%) Van Kampen Growth & Income (6.70%) Wells Fargo Health Care (8.68%) | |
ING National Trust | FMRSM Diversified Mid Cap (9.16%) Liquid Assets (7.46%) T. Rowe Price Capital Appreciation (5.04%) T. Rowe Price Equity Income (6.74%) | |
ING Solution 2025 Portfolio | Artio Foreign (8.89%) Clarion Global Real Estate (10.63%) Marsico Growth (6.99%) Marsico International Opportunities (9.04%) T. Rowe Price Equity Income (5.79%) | |
ING Solution 2025 Portfolio | Artio Foreign (8.89%) Clarion Global Real Estate (10.63%) Marsico Growth (6.99%) Marsico International Opportunities (9.04%) T. Rowe Price Equity Income (5.79%) | |
ING Solution 2035 Portfolio | Artio Foreign (7.38%) Clarion Global Real Estate (8.82%) Marsico Growth (7.09%) Marsico International Opportunities (10.41%) T. Rowe Price Equity Income (5.52%) |
57
ING Solution 2045 Portfolio | Artio Foreign (5.53%) Clarion Global Real Estate (7.87%) Marsico International Opportunities (8.12%) | |
ING USA Annuity and Life Insurance | Artio Foreign (58.07%) Clarion Global Real Estate (37.76%) FMRSM Diversified Mid Cap (68.98%) Global Resources (72.28%) Janus Contrarian (84.37%) JPMorgan Emerging Markets Equity (67.30%) Liquid Assets (78.92%) Marsico Growth (65.23%) Marsico International Opportunities (41.87%) MFS Total Return (82.50%) MFS Utilities (83.22%) Morgan Stanley Global Franchise (98.30%) Morgan Stanley Global Tactical Asset Allocation (97.91%) PIMCO Total Return Bond (89.29%) Pioneer Mid Cap Value (66.92%) T. Rowe Price Capital Appreciation (70.47%) T. Rowe Price Equity Income (50.13%) Van Kampen Growth & Income (84.78%) Wells Fargo Health Care (85.80%) | |
Reliastar Life Insurance Company | Marsico International Opportunities (10.53%) | |
Security Life Insurance Company | JPMorgan Emerging Markets Equity (5.30%) Liquid Assets (9.20%) Marsico International Opportunities (5.15%) |
Accrued | Accrued | |||||||||||||||
Unified/ | Shareholder | |||||||||||||||
Investment | Accrued | Service and | ||||||||||||||
Management | Administrative | Distribution | ||||||||||||||
Portfolio | Fees | Fees | Fees | Total | ||||||||||||
Artio Foreign | $ | 670,718 | $ | — | $ | 136,610 | $ | 807,328 | ||||||||
Clarion Global Real Estate | 230,083 | 29,452 | 35,201 | 294,736 | ||||||||||||
FMR Diversified Mid Cap | 591,482 | — | 230,019 | 821,501 | ||||||||||||
Global Resources | 439,082 | — | 169,611 | 608,693 | ||||||||||||
Janus Contrarian | 343,763 | — | 104,863 | 448,626 | ||||||||||||
JPMorgan Emerging Markets Equity | 948,293 | — | 151,870 | 1,100,163 | ||||||||||||
Liquid Assets | 102,398 | — | 344,719 | 447,117 | ||||||||||||
Marsico Growth | 469,476 | — | 113,962 | 583,438 | ||||||||||||
Marsico International Opportunities | 153,672 | 28,637 | 39,926 | 222,235 | ||||||||||||
MFS Total Return | 576,533 | — | 187,995 | 764,528 | ||||||||||||
MFS Utilities | 226,320 | 37,719 | 93,860 | 357,899 | ||||||||||||
Morgan Stanley Global Franchise | 261,160 | — | 73,870 | 335,030 | ||||||||||||
Morgan Stanley Global Tactical Asset Allocation | 39,905 | 5,548 | 13,876 | 59,329 | ||||||||||||
PIMCO Total Return Bond | 1,674,544 | — | 708,371 | 2,382,915 | ||||||||||||
Pioneer Mid Cap Value | 418,944 | — | 114,328 | 533,272 | ||||||||||||
T. Rowe Price Capital Appreciation | 1,922,089 | — | 697,651 | 2,619,740 | ||||||||||||
T. Rowe Price Equity Income | 681,212 | — | 208,501 | 889,713 | ||||||||||||
Van Kampen Growth and Income | 310,276 | — | 124,282 | 434,558 | ||||||||||||
Wells Fargo Health Care | 119,570 | — | 38,917 | 158,487 |
Affiliated | Commissions | |||||||
Brokers | Received | |||||||
Morgan Stanley Global Franchise | ING Baring LLC | $ | 1,040 |
58
Approximate | ||||||||||||
Weighted | ||||||||||||
Approximate | Average | |||||||||||
Average Daily | Interest Rate | |||||||||||
Days | Balance For | For Days | ||||||||||
Portfolio | Utilized | Days Utilized | Utilized | |||||||||
Artio Foreign(1) | 8 | $ | 2,716,875 | 1.38 | % | |||||||
Clarion Global Real Estate | 4 | $ | 973,750 | 1.43 | % | |||||||
FMRSM Diversified Mid Cap(1) | 19 | $ | 2,192,105 | 1.44 | % | |||||||
Global Resources | 13 | $ | 1,075,385 | 1.39 | % | |||||||
Janus Contrarian | 52 | $ | 4,443,846 | 1.38 | % | |||||||
JPMorgan Emerging Markets Equity | 39 | $ | 5,525,256 | 1.40 | % | |||||||
MFS Total Return | 1 | $ | 1,000,000 | 1.42 | % | |||||||
MFS Utilities | 35 | $ | 2,916,429 | 1.45 | % | |||||||
PIMCO Total Return Bond | 1 | $ | 7,790,000 | 1.45 | % | |||||||
T. Rowe Price Capital Appreciation | 1 | $ | 4,940,000 | 1.39 | % | |||||||
Van Kampen Growth & Income | 1 | $ | 3,745,000 | 1.45 | % | |||||||
Wells Fargo Health Care | 20 | $ | 1,270,750 | 1.45 | % |
(1) | At June 30, 2010, Artio Foreign and FMRSM Diversified Mid Cap had outstanding balances of $740,000 and $2,815,000, respectively. |
Number of | ||||||||
Contracts | Cost | |||||||
Balance at 12/31/09 | — | $ | — | |||||
Options Purchased | 83,780 | 9,271,262 | ||||||
Options Terminated in Closing Sell Transactions | (64,614 | ) | (7,392,994 | ) | ||||
Options Expired | — | — | ||||||
Balance at 06/30/10 | 19,166 | $ | 1,878,268 | |||||
Number of | ||||||||
Contracts | Premium | |||||||
Balance at 12/31/09 | — | $ | — | |||||
Options Written | 31,603 | 1,667,764 | ||||||
Options Terminated in Closing Purchase Transactions | (15,333 | ) | (1,195,942 | ) | ||||
Options Expired | — | — | ||||||
Balance at 06/30/10 | 16,270 | $ | 471,822 | |||||
Number of | ||||||||
Contracts | Cost | |||||||
Balance at 12/31/09 | 2,192 | $ | 36,822 | |||||
Options Purchased | 3,715 | 56,726 | ||||||
Options Terminated in Closing Sell Transactions | — | — | ||||||
Options Expired | (5,907 | ) | (93,548 | ) | ||||
Balance at 06/30/10 | — | $ | — | |||||
USD | ||||||||
Notional | Cost | |||||||
Balance at 12/31/09 | 22,800,000 | $ | 971,166 | |||||
Options Purchased | — | — | ||||||
Options Terminated in Closing Sell Transactions | — | — | ||||||
Options Expired | (22,800,000 | ) | (971,166 | ) | ||||
Balance at 06/30/10 | — | $ | — | |||||
USD | EUR | |||||||||||
Notional | Notional | Premium | ||||||||||
Balance at 12/31/09 | — | — | $ | — | ||||||||
Options Written | 21,800,000 | 7,000,000 | 61,744 | |||||||||
Options Terminated in Closing Purchase Transactions | — | — | — | |||||||||
Options Exercised | — | — | — | |||||||||
Options Expired | (16,000,000 | ) | (7,000,000 | ) | (49,854 | ) | ||||||
Balance at 06/30/10 | 5,800,000 | — | $ | 11,890 | ||||||||
USD | EUR | |||||||||||
Notional | Notional | Premium | ||||||||||
Balance at 12/31/09 | 996,000,000 | 5,800,000 | $ | 11,663,492 | ||||||||
Options Written | 1,083,800,000 | — | 5,503,146 | |||||||||
Options Terminated in Closing Purchase Transactions | — | — | — | |||||||||
Options Exercised | (101,100,000 | ) | — | (457,215 | ) | |||||||
Options Expired | (938,800,000 | ) | (5,800,000 | ) | (10,008,884 | ) | ||||||
Balance at 06/30/10 | 1,039,900,000 | — | $ | 6,700,539 | ||||||||
59
Number of | ||||||||
Contracts | Premium | |||||||
Balance at 12/31/09 | 561 | $ | 219,769 | |||||
Options Written | 3,310 | 1,134,146 | ||||||
Options Terminated in Closing Purchase Transactions | (135 | ) | (50,457 | ) | ||||
Options Exercised | (382 | ) | (168,226 | ) | ||||
Options Expired | (2,772 | ) | (762,870 | ) | ||||
Balance at 06/30/10 | 582 | $ | 372,362 | |||||
USD | ||||||||
Notional | Premium | |||||||
Balance at 12/31/09 | 5,800,000 | $ | 45,820 | |||||
Options Written | 97,300,000 | 713,167 | ||||||
Options Terminated in Closing Purchase Transactions | ||||||||
Options Expired | (75,000,000 | ) | (503,578 | ) | ||||
Balance at 06/30/10 | 28,100,000 | $ | 255,409 | |||||
Number of | ||||||||
Contracts | Cost | |||||||
Balance at 12/31/09 | 1,833 | $ | 973,421 | |||||
Options Purchased | — | — | ||||||
Options Terminated in Closing Sell Transactions | (902 | ) | (496,661 | ) | ||||
Options Expired | (931 | ) | (476,760 | ) | ||||
Balance at 06/30/10 | — | $ | — | |||||
Number of | ||||||||
Contracts | Premium | |||||||
Balance at 12/31/09 | 48,604 | $ | 9,146,395 | |||||
Options Written | 64,737 | 8,426,160 | ||||||
Options Terminated in Closing Purchase Transactions | (17,831 | ) | (2,952,606 | ) | ||||
Options Exercised | (6,670 | ) | (1,169,245 | ) | ||||
Options Expired | (2,683 | ) | (685,073 | ) | ||||
Balance at 06/30/10 | 86,157 | $ | 12,765,631 | |||||
Net Increase | Proceeds | |||||||||||||||||||||||||||||||||||||||
Shares | (Decrease) in | from Shares | ||||||||||||||||||||||||||||||||||||||
Issued in | Reinvestment | Shares | Shares | Issued in | Reinvestment of | Shares | Net Increase | |||||||||||||||||||||||||||||||||
Shares Sold | Merger | of Distributions | Redeemed | Outstanding | Shares Sold | Merger | Distributions | Redeemed | (Decrease) | |||||||||||||||||||||||||||||||
Year or Period Ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||
Artio Foreign | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 185,553 | — | — | (22,321 | ) | 163,232 | 1,851,851 | — | — | (227,640 | ) | 1,624,211 | ||||||||||||||||||||||||||||
12-31-09 | 36,925 | 44 | 3,260 | (31,717 | ) | 8,512 | 339,204 | 442 | 29,459 | (316,558 | ) | 52,547 | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 4,792,768 | — | — | (2,126,104 | ) | 2,666,664 | 50,194,557 | — | — | (21,811,393 | ) | 28,383,164 | ||||||||||||||||||||||||||||
12-31-09 | 30,561,099 | — | 4,336,182 | (97,074,036 | ) | (62,176,755 | ) | 266,964,350 | — | 39,344,498 | (988,977,745 | ) | (682,668,897 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 919,324 | — | — | (8,474,979 | ) | (7,555,655 | ) | 9,313,446 | — | — | (86,622,537 | ) | (77,309,091 | ) | ||||||||||||||||||||||||||
12-31-09 | 3,594,324 | 7,362,065 | 2,384,651 | (10,970,677 | ) | 2,370,363 | 32,511,765 | 73,041,354 | 21,498,700 | (101,737,950 | ) | 25,313,869 | ||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 57,955 | — | — | (277,562 | ) | (219,607 | ) | 586,500 | — | — | (2,857,062 | ) | (2,270,562 | ) | ||||||||||||||||||||||||||
12-31-09 | 130,942 | 560,396 | 144,834 | (721,840 | ) | 114,332 | 1,235,807 | 5,539,547 | 1,301,536 | (6,596,634 | ) | 1,480,256 |
60
Net Increase | Proceeds | |||||||||||||||||||||||||||||||||||||||
Shares | (Decrease) in | from Shares | ||||||||||||||||||||||||||||||||||||||
Issued in | Reinvestment | Shares | Shares | Issued in | Reinvestment of | Shares | Net Increase | |||||||||||||||||||||||||||||||||
Shares Sold | Merger | of Distributions | Redeemed | Outstanding | Shares Sold | Merger | Distributions | Redeemed | (Decrease) | |||||||||||||||||||||||||||||||
Year or Period Ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||
Clarion Global Real Estate | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 135,372 | — | — | (530 | ) | 134,842 | 1,239,816 | — | — | (4,915 | ) | 1,234,901 | ||||||||||||||||||||||||||||
12-31-09 | — | — | — | (1 | ) | (1 | ) | — | — | — | (5 | ) | (5 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1,742,134 | — | — | (1,118,292 | ) | 623,842 | 16,042,617 | — | — | (10,338,743 | ) | 5,703,874 | ||||||||||||||||||||||||||||
12-31-09 | 11,152,563 | — | 880,188 | (29,651,842 | ) | (17,619,091 | ) | 79,206,100 | — | 6,266,937 | (226,703,036 | ) | (141,229,999 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 399,198 | — | — | (1,858,808 | ) | (1,459,610 | ) | 3,606,011 | — | — | (16,777,099 | ) | (13,171,088 | ) | ||||||||||||||||||||||||||
12-31-09 | 3,332,834 | — | 556,319 | (4,175,595 | ) | (286,442 | ) | 21,647,566 | — | 3,949,862 | (31,149,126 | ) | (5,551,698 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 154 | — | — | (20,785 | ) | (20,631 | ) | 1,451 | — | — | (187,179 | ) | (185,728 | ) | ||||||||||||||||||||||||||
12-31-09 | 40,553 | — | 6,020 | (36,715 | ) | 9,858 | 248,050 | — | 42,926 | (267,958 | ) | 23,018 | ||||||||||||||||||||||||||||
FMR Diversified Mid Cap | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 982,998 | — | — | (134,720 | ) | 848,278 | 12,125,144 | — | — | (1,652,014 | ) | 10,473,130 | ||||||||||||||||||||||||||||
12-31-09 | 657,042 | — | 1,789 | (436,630 | ) | 222,201 | 6,368,875 | — | 19,288 | (4,284,231 | ) | 2,103,932 | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 365,623 | — | — | (496,772 | ) | (131,149 | ) | 4,578,673 | — | — | (6,162,118 | ) | (1,583,445 | ) | ||||||||||||||||||||||||||
12-31-09 | 1,537,415 | — | 47,651 | (13,817,893 | ) | (12,232,827 | ) | 14,197,330 | — | 540,731 | (143,154,300 | ) | (128,416,239 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 2,333,125 | — | — | (7,586,072 | ) | (5,252,947 | ) | 28,935,791 | — | — | (93,400,005 | ) | (64,464,214 | ) | ||||||||||||||||||||||||||
12-31-09 | 10,607,392 | — | 346,318 | (8,342,707 | ) | 2,611,003 | 105,329,327 | — | 3,977,792 | (77,938,582 | ) | 31,368,537 | ||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 396,047 | — | — | (208,581 | ) | 187,466 | 4,937,846 | — | — | (2,556,637 | ) | 2,381,209 | ||||||||||||||||||||||||||||
12-31-09 | 603,020 | — | 12,855 | (437,986 | ) | 177,889 | 6,360,263 | — | 145,353 | (4,106,619 | ) | 2,398,997 | ||||||||||||||||||||||||||||
Global Resources | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 288,120 | — | — | (12,530 | ) | 275,590 | 5,003,553 | — | — | (216,542 | ) | 4,787,011 | ||||||||||||||||||||||||||||
12-31-09 | 120,892 | — | 82 | (47,433 | ) | 73,541 | 1,823,305 | — | 1,149 | (681,231 | ) | 1,143,223 | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 375,015 | — | — | (212,430 | ) | 162,585 | 6,796,039 | — | — | (3,706,410 | ) | 3,089,629 | ||||||||||||||||||||||||||||
12-31-09 | 780,422 | — | 10,392 | (936,615 | ) | (145,801 | ) | 11,675,251 | — | 148,080 | (13,654,135 | ) | (1,830,804 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 846,618 | — | — | (5,631,288 | ) | (4,784,670 | ) | 14,867,308 | — | — | (98,521,072 | ) | (83,653,764 | ) | ||||||||||||||||||||||||||
12-31-09 | 6,560,098 | — | 181,476 | (9,311,048 | ) | (2,569,474 | ) | 91,137,242 | — | 2,569,702 | (141,088,145 | ) | (47,381,201 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 7,897 | — | — | (94,303 | ) | (86,406 | ) | 128,151 | — | — | (1,642,276 | ) | (1,514,125 | ) | ||||||||||||||||||||||||||
12-31-09 | 71,557 | — | 756 | (208,994 | ) | (136,681 | ) | 988,168 | — | 10,643 | (2,964,142 | ) | (1,965,331 | ) | ||||||||||||||||||||||||||
Janus Contrarian | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 16,888 | — | — | (20,286 | ) | (3,398 | ) | 183,378 | — | — | (206,455 | ) | (23,077 | ) | ||||||||||||||||||||||||||
12-31-09 | 58,073 | — | 468 | (46,106 | ) | 12,435 | 471,092 | — | 3,920 | (341,318 | ) | 133,694 | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 132,624 | — | — | (109,106 | ) | 23,518 | 1,484,587 | — | — | (1,165,402 | ) | 319,185 | ||||||||||||||||||||||||||||
12-31-09 | 4,323,326 | — | 146,831 | (22,950,107 | ) | (18,479,950 | ) | 29,855,750 | — | 1,252,469 | (199,152,313 | ) | (168,044,094 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 670,648 | — | — | (4,630,357 | ) | (3,959,709 | ) | 7,462,433 | — | — | (50,370,952 | ) | (42,908,519 | ) | ||||||||||||||||||||||||||
12-31-09 | 3,912,409 | — | 332,250 | (11,921,479 | ) | (7,676,820 | ) | 29,892,031 | — | 2,830,768 | (100,832,579 | ) | (68,109,780 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 2,449 | — | — | (102,251 | ) | (99,802 | ) | 24,679 | — | — | (1,108,106 | ) | (1,083,427 | ) | ||||||||||||||||||||||||||
12-31-09 | 38,430 | — | 7,340 | (387,077 | ) | (341,307 | ) | 287,123 | — | 62,166 | (3,195,505 | ) | (2,846,216 | ) |
61
Net Increase | Proceeds | |||||||||||||||||||||||||||||||||||||||
Shares | (Decrease) in | from Shares | ||||||||||||||||||||||||||||||||||||||
Issued in | Reinvestment | Shares | Shares | Issued in | Reinvestment of | Shares | Net Increase | |||||||||||||||||||||||||||||||||
Shares Sold | Merger | of Distributions | Redeemed | Outstanding | Shares Sold | Merger | Distributions | Redeemed | (Decrease) | |||||||||||||||||||||||||||||||
Year or Period Ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 290,380 | — | — | (34,364 | ) | 256,016 | 5,819,283 | — | — | (679,133 | ) | 5,140,150 | ||||||||||||||||||||||||||||
12-31-09 | 98,452 | — | 1,679 | (89,632 | ) | 10,499 | 1,538,665 | — | 26,418 | (1,332,326 | ) | 232,757 | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1,912,210 | — | — | (1,236,918 | ) | 675,292 | 39,619,823 | — | — | (24,851,122 | ) | 14,768,701 | ||||||||||||||||||||||||||||
12-31-09 | 5,774,338 | — | 290,120 | (13,053,555 | ) | (6,989,097 | ) | 91,174,230 | — | 4,636,115 | (226,697,731 | ) | (130,887,386 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 298,199 | — | — | (5,190,434 | ) | (4,892,235 | ) | 6,134,642 | — | — | (103,619,356 | ) | (97,484,714 | ) | ||||||||||||||||||||||||||
12-31-09 | 7,975,815 | — | 572,127 | (8,575,668 | ) | (27,726 | ) | 116,535,212 | — | 9,131,223 | (139,518,541 | ) | (13,852,106 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 147 | — | — | (108,777 | ) | (108,630 | ) | 2,783 | — | — | (2,167,688 | ) | (2,164,905 | ) | ||||||||||||||||||||||||||
12-31-09 | 112,668 | — | 19,496 | (216,573 | ) | (84,409 | ) | 1,637,187 | — | 309,405 | (3,435,590 | ) | (1,488,998 | ) | ||||||||||||||||||||||||||
Liquid Assets | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 35,685,962 | — | 16,171 | (45,579,086 | ) | (9,876,953 | ) | 35,685,961 | — | 16,171 | (45,591,940 | ) | (9,889,808 | ) | ||||||||||||||||||||||||||
12-31-09 | 135,294,526 | — | 1,008,343 | (186,998,551 | ) | (50,695,682 | ) | 135,292,825 | — | 1,010,063 | (186,998,551 | ) | (50,695,663 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 321,588,978 | — | — | (521,511,377 | ) | (199,922,399 | ) | 321,588,979 | — | — | (521,517,599 | ) | (199,928,620 | ) | ||||||||||||||||||||||||||
12-31-09 | 478,760,929 | — | 6,616,676 | (1,333,326,078 | ) | (847,948,473 | ) | 478,761,132 | — | 6,616,696 | (1,333,326,078 | ) | (847,948,250 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 46,980,153 | — | — | (27,143,680 | ) | 19,836,473 | 46,999,385 | — | — | (27,143,669 | ) | 19,855,716 | ||||||||||||||||||||||||||||
12-31-09 | 35,870,529 | — | 401,153 | (73,601,489 | ) | (37,329,807 | ) | 35,870,544 | — | 401,153 | (73,601,489 | ) | (37,329,792 | ) | ||||||||||||||||||||||||||
Marsico Growth | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 219,501 | — | — | (115,050 | ) | 104,451 | 3,173,028 | — | — | (1,653,919 | ) | 1,519,109 | ||||||||||||||||||||||||||||
12-31-09 | 110,941 | — | 28 | (152,662 | ) | (41,693 | ) | 1,355,762 | — | 338 | (1,871,838 | ) | (515,738 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1,354,734 | — | — | (2,005,779 | ) | (651,045 | ) | 20,001,681 | — | — | (30,570,166 | ) | (10,568,485 | ) | ||||||||||||||||||||||||||
12-31-09 | 3,874,857 | — | 224,297 | (13,455,455 | ) | (9,356,301 | ) | 45,416,820 | — | 2,709,502 | (162,641,841 | ) | (114,515,519 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1,253,633 | — | — | (2,936,883 | ) | (1,683,250 | ) | 18,311,892 | — | — | (42,933,750 | ) | (24,621,858 | ) | ||||||||||||||||||||||||||
12-31-09 | 3,408,171 | — | 353,863 | (6,262,837 | ) | (2,500,803 | ) | 40,860,759 | — | 4,239,273 | (75,778,235 | ) | (30,678,203 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10,753 | — | — | (77,477 | ) | (66,724 | ) | 157,616 | — | — | (1,120,854 | ) | (963,238 | ) | ||||||||||||||||||||||||||
12-31-09 | 87,169 | — | 9,214 | (151,631 | ) | (55,248 | ) | 985,818 | — | 109,645 | (1,836,791 | ) | (741,328 | ) | ||||||||||||||||||||||||||
Marsico International Opportunities | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 206,397 | — | — | (157,267 | ) | 49,130 | 2,110,855 | — | — | (1,541,796 | ) | 569,059 | ||||||||||||||||||||||||||||
12-31-09 | 136,100 | — | 2,970 | (250,027 | ) | (110,957 | ) | 1,229,250 | — | 26,436 | (2,359,020 | ) | (1,103,334 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 2,271,007 | — | — | (1,063,692 | ) | 1,207,315 | 23,217,148 | — | — | (10,553,280 | ) | 12,663,868 | ||||||||||||||||||||||||||||
12-31-09 | 5,408,538 | — | 428,292 | (17,683,737 | ) | (11,846,907 | ) | 44,507,963 | — | 3,790,387 | (171,798,491 | ) | (123,500,141 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 318,069 | — | — | (2,299,378 | ) | (1,981,309 | ) | 3,125,215 | — | — | (22,954,925 | ) | (19,829,710 | ) | ||||||||||||||||||||||||||
12-31-09 | 1,199,967 | — | 287,023 | (5,600,786 | ) | (4,113,796 | ) | 9,878,560 | — | 2,534,412 | (48,793,656 | ) | (36,380,684 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
12-31-09 | — | — | — | (2 | ) | (2 | ) | — | — | — | (17 | ) | (17 | ) |
62
Net Increase | Proceeds | |||||||||||||||||||||||||||||||||||||||
Shares | (Decrease) in | from Shares | ||||||||||||||||||||||||||||||||||||||
Issued in | Reinvestment | Shares | Shares | Issued in | Reinvestment of | Shares | Net Increase | |||||||||||||||||||||||||||||||||
Shares Sold | Merger | of Distributions | Redeemed | Outstanding | Shares Sold | Merger | Distributions | Redeemed | (Decrease) | |||||||||||||||||||||||||||||||
Year or Period Ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||
MFS Total Return | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 53,585 | — | — | (8,412 | ) | 45,173 | 741,855 | — | — | (116,104 | ) | 625,751 | ||||||||||||||||||||||||||||
12-31-09 | 50,565 | — | 3,305 | (59,080 | ) | (5,210 | ) | 614,064 | — | 45,051 | (719,718 | ) | (60,603 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 160,297 | — | — | (745,284 | ) | (584,987 | ) | 2,230,200 | — | — | (10,337,058 | ) | (8,106,858 | ) | ||||||||||||||||||||||||||
12-31-09 | 471,474 | — | 241,622 | (1,632,373 | ) | (919,277 | ) | 5,912,582 | — | 3,291,532 | (19,974,466 | ) | (10,770,352 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1,136,936 | — | — | (5,073,291 | ) | (3,936,355 | ) | 16,068,340 | — | — | (70,446,918 | ) | (54,378,578 | ) | ||||||||||||||||||||||||||
12-31-09 | 4,218,947 | — | 1,558,869 | (10,011,675 | ) | (4,233,859 | ) | 54,178,334 | — | 21,266,755 | (125,380,267 | ) | (49,935,178 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 23,816 | — | — | (162,395 | ) | (138,579 | ) | 328,730 | — | — | (2,229,121 | ) | (1,900,391 | ) | ||||||||||||||||||||||||||
12-31-09 | 86,809 | — | 58,128 | (385,808 | ) | (240,871 | ) | 1,116,903 | — | 786,743 | (4,664,112 | ) | (2,760,466 | ) | ||||||||||||||||||||||||||
MFS Utilities | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 133,875 | — | — | (9,904 | ) | 123,971 | 1,561,967 | — | — | (117,738 | ) | 1,444,229 | ||||||||||||||||||||||||||||
12-31-09 | 39,025 | — | 2,652 | (51,786 | ) | (10,109 | ) | 419,290 | — | 30,554 | (544,656 | ) | (94,812 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 25,764 | — | — | (55,669 | ) | (29,905 | ) | 300,538 | — | — | (659,266 | ) | (358,728 | ) | ||||||||||||||||||||||||||
12-31-09 | 21,023 | — | 22,846 | (122,989 | ) | (79,120 | ) | 205,553 | — | 265,167 | (1,255,468 | ) | (784,748 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1,478,772 | — | — | (3,456,975 | ) | (1,978,203 | ) | 17,474,218 | — | — | (40,358,442 | ) | (22,884,224 | ) | ||||||||||||||||||||||||||
12-31-09 | 3,194,104 | — | 2,064,273 | (6,727,426 | ) | (1,469,049 | ) | 32,878,319 | — | 23,881,945 | (67,661,991 | ) | (10,901,727 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
12-31-09 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Morgan Stanley Global Franchise | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 5,485 | — | — | (63 | ) | 5,422 | 66,287 | — | — | (782 | ) | 65,505 | ||||||||||||||||||||||||||||
12-31-09 | — | — | — | (1 | ) | (1 | ) | — | — | — | (6 | ) | (6 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
12-31-09 | — | — | — | (2 | ) | (2 | ) | — | — | 2 | (24 | ) | (22 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1,578,494 | — | — | (1,985,088 | ) | (406,594 | ) | 19,992,826 | — | — | (24,822,616 | ) | (4,829,790 | ) | ||||||||||||||||||||||||||
12-31-09 | 2,981,666 | — | 2,277,715 | (3,258,153 | ) | 2,001,228 | 33,546,000 | — | 23,688,233 | (35,924,564 | ) | 21,309,669 | ||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 17,713 | — | — | (249,797 | ) | (232,084 | ) | 223,612 | — | — | (3,152,959 | ) | (2,929,347 | ) | ||||||||||||||||||||||||||
12-31-09 | 44,114 | — | 531,413 | (615,710 | ) | (40,183 | ) | 481,488 | — | 5,500,122 | (6,698,555 | ) | (716,945 | ) | ||||||||||||||||||||||||||
Morgan Stanley Global Tactical Asset Allocation | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
04-30-10(1)-06-30-10 | 3,463 | — | — | (1 | ) | 3,462 | 32,501 | — | — | (10 | ) | 32,491 | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1,980,696 | — | — | (993,247 | ) | 987,449 | 19,182,385 | — | — | (9,307,146 | ) | 9,875,239 | ||||||||||||||||||||||||||||
12-31-09 | 4,541,155 | — | 148,348 | (1,086,226 | ) | 3,603,277 | 40,087,976 | — | 1,437,491 | (10,398,727 | ) | 31,126,740 |
63
Net Increase | Proceeds | |||||||||||||||||||||||||||||||||||||||
Shares | (Decrease) in | from Shares | ||||||||||||||||||||||||||||||||||||||
Issued in | Reinvestment | Shares | Shares | Issued in | Reinvestment of | Shares | Net Increase | |||||||||||||||||||||||||||||||||
Shares Sold | Merger | of Distributions | Redeemed | Outstanding | Shares Sold | Merger | Distributions | Redeemed | (Decrease) | |||||||||||||||||||||||||||||||
Year or Period Ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||
PIMCO Total Return Bond | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 985,525 | — | — | (2,981 | ) | 982,544 | 12,297,655 | — | — | (37,005 | ) | 12,260,650 | ||||||||||||||||||||||||||||
12-31-09 | — | — | — | (3 | ) | (3 | ) | — | — | 1 | (29 | ) | (28 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 16,789,663 | — | — | (13,078,366 | ) | 3,711,297 | 212,505,426 | — | — | (164,149,803 | ) | 48,355,623 | ||||||||||||||||||||||||||||
12-31-09 | 31,271,933 | — | 6,560,548 | (83,876,319 | ) | (46,043,838 | ) | 364,785,527 | — | 74,790,249 | (1,004,806,441 | ) | (565,230,665 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 26,734,763 | — | — | (18,140,492 | ) | 8,594,271 | 335,865,675 | — | — | (227,704,863 | ) | 108,160,812 | ||||||||||||||||||||||||||||
12-31-09 | 63,172,515 | — | 16,839,243 | (18,226,662 | ) | 61,785,096 | 739,149,851 | — | 192,135,766 | (213,646,644 | ) | 717,638,973 | ||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 349,550 | — | — | (478,888 | ) | (129,338 | ) | 4,361,730 | — | — | (5,984,285 | ) | (1,622,555 | ) | ||||||||||||||||||||||||||
12-31-09 | 995,749 | — | 403,642 | (700,017 | ) | 699,374 | 11,547,438 | — | 4,585,372 | (8,266,848 | ) | 7,865,962 | ||||||||||||||||||||||||||||
Pioneer Mid Cap Value | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 96,149 | — | — | (3,026 | ) | 93,123 | 931,245 | — | — | (28,632 | ) | 902,613 | ||||||||||||||||||||||||||||
12-31-09 | 50,776 | — | 568 | (7,253 | ) | 44,091 | 436,800 | — | 5,285 | (57,636 | ) | 384,449 | ||||||||||||||||||||||||||||
Class I | �� | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 3,165,605 | — | — | (2,512,346 | ) | 653,259 | 30,774,520 | — | — | (24,924,248 | ) | 5,850,272 | ||||||||||||||||||||||||||||
12-31-09 | 12,986,088 | — | 362,375 | (29,151,494 | ) | (15,803,031 | ) | 100,218,198 | — | 3,362,117 | (256,868,345 | ) | (153,288,030 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1,581,936 | — | — | (5,734,090 | ) | (4,152,154 | ) | 15,729,500 | — | — | (55,654,485 | ) | (39,924,985 | ) | ||||||||||||||||||||||||||
12-31-09 | 2,826,832 | — | 694,873 | (8,253,308 | ) | (4,731,603 | ) | 23,043,323 | — | 6,485,491 | (65,506,866 | ) | (35,978,052 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
12-31-09 | — | — | — | (3 | ) | (3 | ) | — | — | — | (19 | ) | (19 | ) | ||||||||||||||||||||||||||
T. Rowe Price Capital Appreciation | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 913,696 | — | — | (162,919 | ) | 750,777 | 18,822,649 | — | — | (3,352,425 | ) | 15,470,224 | ||||||||||||||||||||||||||||
12-31-09 | 648,691 | — | 27,432 | (1,037,691 | ) | (361,568 | ) | 11,407,749 | — | 540,701 | (18,031,900 | ) | (6,083,450 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 3,562,503 | — | — | (1,636,329 | ) | 1,926,174 | 73,400,793 | — | — | (34,431,306 | ) | 38,969,487 | ||||||||||||||||||||||||||||
12-31-09 | 6,142,600 | — | 281,710 | (2,123,080 | ) | 4,301,230 | 118,816,326 | — | 5,674,503 | (37,997,738 | ) | 86,493,091 | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 4,918,149 | — | — | (7,487,736 | ) | (2,569,587 | ) | 102,657,911 | — | — | (154,706,975 | ) | (52,049,064 | ) | ||||||||||||||||||||||||||
12-31-09 | 11,862,617 | — | 2,618,599 | (13,085,659 | ) | 1,395,557 | 206,273,580 | — | 52,594,413 | (219,078,983 | ) | 39,789,010 | ||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 34,042 | — | — | (228,646 | ) | (194,604 | ) | 702,921 | — | — | (4,718,457 | ) | (4,015,536 | ) | ||||||||||||||||||||||||||
12-31-09 | 77,254 | — | 65,665 | (530,524 | ) | (387,605 | ) | 1,352,449 | — | 1,311,433 | (9,058,612 | ) | (6,394,730 | ) | ||||||||||||||||||||||||||
T. Rowe Price Equity Income | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 377,445 | — | — | (135,615 | ) | 241,830 | 4,066,540 | — | — | (1,415,285 | ) | 2,651,255 | ||||||||||||||||||||||||||||
12-31-09 | 294,988 | 292,506 | 22,745 | (404,710 | ) | 205,529 | 2,561,852 | 2,532,937 | 231,679 | (3,628,346 | ) | 1,698,122 | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 4,418,498 | — | — | (3,962,581 | ) | 455,917 | 46,815,039 | — | — | (43,797,221 | ) | 3,017,818 | ||||||||||||||||||||||||||||
12-31-09 | 18,084,528 | 383,658 | 568,835 | (4,897,547 | ) | 14,139,474 | 141,246,600 | 3,347,327 | 5,852,076 | (44,289,708 | ) | 106,156,295 | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 4,793,506 | — | — | (6,283,622 | ) | (1,490,116 | ) | 52,482,758 | — | — | (66,586,248 | ) | (14,103,490 | ) | ||||||||||||||||||||||||||
12-31-09 | 8,352,926 | 878,208 | 1,331,521 | (10,760,021 | ) | (197,366 | ) | 73,227,093 | 7,665,160 | 13,678,234 | (90,078,972 | ) | 4,491,515 | |||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 594,004 | — | — | (145,537 | ) | 448,467 | 6,359,452 | — | — | (1,532,993 | ) | 4,826,459 | ||||||||||||||||||||||||||||
12-31-09 | 915,532 | — | 76,637 | (624,333 | ) | 367,836 | 8,504,433 | — | 782,644 | (5,152,424 | ) | 4,134,653 |
64
Net Increase | Proceeds | |||||||||||||||||||||||||||||||||||||||
Shares | (Decrease) in | from Shares | ||||||||||||||||||||||||||||||||||||||
Issued in | Reinvestment | Shares | Shares | Issued in | Reinvestment of | Shares | Net Increase | |||||||||||||||||||||||||||||||||
Shares Sold | Merger | of Distributions | Redeemed | Outstanding | Shares Sold | Merger | Distributions | Redeemed | (Decrease) | |||||||||||||||||||||||||||||||
Year or Period Ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||
Van Kampen Growth and Income | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 101,332 | — | — | (7,129 | ) | 94,203 | 1,994,040 | — | — | (140,548 | ) | 1,853,492 | ||||||||||||||||||||||||||||
12-31-09 | 71,179 | — | 1,289 | (52,567 | ) | 19,901 | 1,257,449 | — | 24,538 | (837,754 | ) | 444,233 | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 63,768 | — | — | (68,855 | ) | (5,087 | ) | 1,249,511 | — | — | (1,382,110 | ) | (132,599 | ) | ||||||||||||||||||||||||||
12-31-09 | 186,573 | — | 12,059 | (160,378 | ) | 38,254 | 3,070,907 | — | 228,312 | (2,693,859 | ) | 605,360 | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 978,332 | — | — | (2,945,935 | ) | (1,967,603 | ) | 19,270,686 | — | — | (57,974,898 | ) | (38,704,212 | ) | ||||||||||||||||||||||||||
12-31-09 | 2,019,779 | — | 349,621 | (4,506,591 | ) | (2,137,191 | ) | 32,022,787 | — | 6,619,227 | (71,552,219 | ) | (32,910,205 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 21,345 | — | — | (130,452 | ) | (109,107 | ) | 387,571 | — | — | (2,544,455 | ) | (2,156,884 | ) | ||||||||||||||||||||||||||
12-31-09 | 69,193 | — | 28,327 | (270,516 | ) | (172,996 | ) | 1,125,166 | — | 532,094 | (4,352,117 | ) | (2,694,857 | ) | ||||||||||||||||||||||||||
Wells Fargo Health Care | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
12-31-09 | — | �� | — | (1 | ) | (1 | ) | — | — | — | (6 | ) | (6 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 103,842 | — | — | (376,346 | ) | (272,504 | ) | 1,095,315 | — | — | (3,935,789 | ) | (2,840,474 | ) | ||||||||||||||||||||||||||
12-31-09 | 551,513 | — | — | (443,740 | ) | 107,773 | 5,173,853 | — | — | (3,983,671 | ) | 1,190,182 | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 1,688,297 | — | — | (2,314,892 | ) | (626,595 | ) | 17,940,309 | — | — | (23,768,989 | ) | (5,828,680 | ) | ||||||||||||||||||||||||||
12-31-09 | 3,422,085 | — | — | (4,929,385 | ) | (1,507,300 | ) | 30,067,991 | — | — | (42,770,509 | ) | (12,702,518 | ) | ||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
12-31-09 | (1 | ) | — | — | — | (1 | ) | — | — | — | (4 | ) | (4 | ) |
(1) | Commencement of operations. |
Principal Amount/ | Initial | Cost/ | Percent | |||||||||||||||||||
Shares/ | Acquisition | Upfront | of Net | |||||||||||||||||||
Portfolio | Security | Notional Amount | Date | Payment | Value | Assets | ||||||||||||||||
Artio Foreign | BNY Institutional Cash Reserves Fund, Series B | 2,461,775 | 09/12/08 | $ | 2,461,775 | $ | 1,969,420 | 0.2 | % | |||||||||||||
Rolls-Royce Group PLC — C Shares | 15,487,920 | 03/07/08 | 20,879 | 23,140 | 0.0 | |||||||||||||||||
$ | 2,482,654 | $ | 1,992,560 | 0.2 | % | |||||||||||||||||
Clarion Global Real Estate | BNY Institutional Cash Reserves Fund, Series B | 372,743 | 09/12/08 | $ | 372,743 | $ | 298,194 | 0.1 | % | |||||||||||||
$ | 372,743 | $ | 298,194 | 0.1 | % | |||||||||||||||||
FMRSM Diversified Mid Cap | BNY Institutional Cash Reserves Fund, Series B | 1,748,799 | 09/12/08 | $ | 1,748,799 | $ | 1,399,039 | 0.1 | % | |||||||||||||
Uzel Makina Sanayii AS | 50,600 | 01/28/10 | 106,490 | 12,463 | 0.0 | |||||||||||||||||
$ | 1,855,289 | $ | 1,411,502 | 0.1 | % | |||||||||||||||||
Global Resources | BNY Institutional Cash Reserves Fund, Series B | 784,324 | 09/12/08 | $ | 784,324 | $ | 627,459 | 0.1 | % | |||||||||||||
$ | 784,324 | $ | 627,459 | 0.1 | % | |||||||||||||||||
65
Principal Amount/ | Initial | Cost/ | Percent | |||||||||||||||||||
Shares/ | Acquisition | Upfront | of Net | |||||||||||||||||||
Portfolio | Security | Notional Amount | Date | Payment | Value | Assets | ||||||||||||||||
Janus Contrarian | BNY Institutional Cash Reserves Fund, Series B | 1,618,796 | 09/12/08 | $ | 1,618,796 | $ | 1,295,037 | 0.3 | % | |||||||||||||
$ | 1,618,796 | $ | 1,295,037 | 0.3 | % | |||||||||||||||||
JPMorgan Emerging Markets Equity | BNY Institutional Cash Reserves Fund, Series B | 3,197,563 | 09/12/08 | $ | 3,197,563 | $ | 2,558,050 | 0.3 | % | |||||||||||||
Ping An Insurance Group Co. of China Ltd. | 2,380,000 | 10/30/08 | 13,909,114 | 19,668,032 | 2.2 | |||||||||||||||||
$ | 17,106,677 | $ | 22,226,082 | 2.5 | % | |||||||||||||||||
Marsico Growth | BNY Institutional Cash Reserves Fund, Series B | 2,402,610 | 09/12/08 | $ | 2,402,610 | $ | 1,922,088 | 0.3 | % | |||||||||||||
$ | 2,402,610 | $ | 1,922,088 | 0.3 | % | |||||||||||||||||
Marsico International Opportunities | BNY Institutional Cash Reserves Fund, Series B | 901,350 | 09/12/08 | $ | 901,350 | $ | 721,080 | 0.2 | % | |||||||||||||
Ping An Insurance Group Co. of China Ltd. | 423,500 | 05/13/10 | 3,359,552 | 3,499,753 | 1.1 | |||||||||||||||||
Rolls-Royce Group PLC — C Shares | 19,307,790 | 03/18/10 | 28,532 | 28,848 | 0.0 | |||||||||||||||||
$ | 4,289,434 | $ | 4,249,681 | 1.3 | % | |||||||||||||||||
MFS Total Return | BNY Institutional Cash Reserves Fund, Series B | 2,385,323 | 09/12/08 | $ | 2,385,323 | $ | 1,908,259 | 0.2 | % | |||||||||||||
Bruce Mansfield Unit, 6.850%, due 06/01/34 | 1,933,761 | 10/03/07 | 1,936,365 | 2,013,056 | 0.2 | |||||||||||||||||
Kennametal, Inc., 7.200%, due 06/15/12 | 1,283,000 | 06/14/02 | 1,293,777 | 1,364,514 | 0.1 | |||||||||||||||||
$ | 5,615,465 | $ | 5,285,829 | 0.5 | % | |||||||||||||||||
Morgan Stanley Global Franchise | BNY Institutional Cash Reserves Fund, Series B | 727,587 | 09/12/08 | $ | 727,587 | $ | 582,069 | 0.2 | % | |||||||||||||
$ | 727,587 | $ | 582,069 | 0.2 | % | |||||||||||||||||
PIMCO Total Return Bond | Credit Default Swaps | |||||||||||||||||||||
Japanese Government 20-Year Issue 2.000%, 03/21/22, receive 1.000% | 2,000,000 | 02/25/10 | $ | 21,660 | $ | 10,492 | 0.0 | % | ||||||||||||||
United Kingdom Gilt 4.250%, 06/07/32, receive 1.000% | 600,000 | 12/21/09 | 4,003 | 7,805 | 0.0 | |||||||||||||||||
United Kingdom Gilt 4.250%, 06/07/32, receive 1.000% | 200,000 | 12/18/09 | 1,252 | 2,602 | 0.0 | |||||||||||||||||
United Kingdom Gilt 4.250%, 06/07/32, receive 1.000% | 16,300,000 | 03/22/10 | 142,740 | 202,366 | 0.0 | |||||||||||||||||
United Kingdom Gilt 4.250%, 06/07/32, receive 1.000% | 600,000 | 12/21/09 | 4,003 | 7,805 | 0.0 | |||||||||||||||||
$ | 173,658 | $ | 231,070 | 0.0 | % | |||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||
Receive a fixed rate equal to 12.480% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP | ||||||||||||||||||||||
Counterparty: Credit Suisse International | BRL 134,600,000 | 05/12/10 | 89,811 | 579,737 | 0.0 | % | ||||||||||||||||
Receive a fixed rate equal to 12.590% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP | ||||||||||||||||||||||
Counterparty: Morgan Stanley Capital Services, Inc. | BRL 1,100,000 | 05/12/10 | 1,423 | 5,955 | 0.0 | |||||||||||||||||
Receive a fixed rate equal to 3.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA | ||||||||||||||||||||||
Counterparty: Barclays Bank PLC | 6,800,000 | 06/04/10 | 88,688 | 210,432 | 0.0 | |||||||||||||||||
Receive a fixed rate equal to 3.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA |
66
Principal Amount/ | Initial | Cost/ | Percent | |||||||||||||||||||
Shares/ | Acquisition | Upfront | of Net | |||||||||||||||||||
Portfolio | Security | Notional Amount | Date | Payment | Value | Assets | ||||||||||||||||
PIMCO Total Return Bond (continued) | Counterparty: Citibank N.A., New York | 2,200,000 | 06/07/10 | $ | 25,894 | $ | 68,081 | 0.0 | ||||||||||||||
Receive a fixed rate equal to 3.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA | ||||||||||||||||||||||
Counterparty: Deutsche Bank AG | 2,300,000 | 06/07/10 | 27,071 | 71,176 | 0.0 | |||||||||||||||||
Receive a fixed rate equal to 2.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA | ||||||||||||||||||||||
Counterparty: Morgan Stanley Capital Services Inc. | 193,300,000 | 06/18/10 | 2,183,939 | 2,812,367 | 0.1 | |||||||||||||||||
Receive a fixed rate equal to 4.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA | ||||||||||||||||||||||
Counterparty: The Royal Bank of Scotland PLC | 21,700,000 | 05/20/10 | 1,280,495 | 1,512,022 | 0.0 | |||||||||||||||||
$ | 3,697,321 | $ | 5,259,770 | 0.1 | % | |||||||||||||||||
Options | ||||||||||||||||||||||
Put Option OTC — Morgan Stanley Capital Group Inc. | ||||||||||||||||||||||
JPY/USD Currency Option 07/10 | 28,100,000 | 02/24/10 | $ | (255,409 | ) | $ | (604,969 | ) | 0.0 | % | ||||||||||||
$ | (255,409 | ) | $ | (604,969 | ) | 0.0 | % | |||||||||||||||
Securities | ||||||||||||||||||||||
BNY Institutional Cash Reserves Fund, Series B | 2,280,616 | 09/12/08 | $ | 2,280,616 | $ | 1,824,493 | 0.1 | % | ||||||||||||||
Countrywide Alternative Loan Trust, 4.653%, due 05/25/35 | 4,547,306 | 09/12/08 | (3,526 | ) | 462,069 | 0.0 | ||||||||||||||||
First Horizon Alternative Mortgage Securities, 4.353%, due 01/25/36 | 47,666,128 | 10/03/07 | (34,580 | ) | 4,408,378 | 0.1 | ||||||||||||||||
United Air Lines, Inc., 9.350%, due 04/07/16 | 125,953 | 06/14/02 | $ | 97,340 | $ | 29,599 | 0.0 | % | ||||||||||||||
$ | 2,339,850 | $ | 6,724,539 | 0.2 | % | |||||||||||||||||
Pioneer Mid Cap Value | BNY Institutional Cash Reserves Fund, Series B | 214,360 | 09/12/08 | $ | 214,360 | $ | 171,488 | 0.0 | % | |||||||||||||
$ | 214,360 | $ | 171,488 | 0.0 | % | |||||||||||||||||
T. Rowe Price Capital Appreciation | BNY Institutional Cash Reserves Fund, Series B | 2,552,122 | 09/12/08 | 2,552,122 | 2,041,698 | 0.1 | % | |||||||||||||||
Brocade Communications Systems, Inc., 6.625%, due 01/15/18 | 2,425,000 | 01/13/10 | 2,406,546 | 2,418,938 | 0.1 | |||||||||||||||||
Group 1 Automotive, Inc., 3.000%, due 03/15/20 | 2,448,000 | 03/17/10 | 2,448,000 | 1,978,447 | 0.1 | |||||||||||||||||
Gulfstream Natural Gas System LLC, 6.950%, due 06/01/16 | 1,415,000 | 05/21/09 | 1,410,415 | 1,576,835 | 0.0 | |||||||||||||||||
HJ Heinz Finance Co. | 42 | 01/28/09 | 3,607,200 | 4,499,250 | 0.1 | |||||||||||||||||
Host Hotels & Resorts L.P., 2.625%, due 04/15/27 | 15,463,000 | 06/25/08 | 12,644,220 | 14,728,508 | 0.4 | |||||||||||||||||
Hyatt Hotels Corp., 6.875%, due 08/15/19 | 3,061,000 | 08/10/09 | 3,056,837 | 3,296,657 | 0.1 | |||||||||||||||||
Kansas Gas & Electric, 6.700%, due 06/15/19 | 1,380,000 | 06/08/09 | 1,377,502 | 1,620,533 | 0.1 | |||||||||||||||||
MGM Resorts International, 6.000%, due 10/03/11 | 6,836,393 | 04/23/08 | 6,486,943 | 6,605,664 | 0.2 | |||||||||||||||||
Southeast Supply Header LLC, 4.850%, due 08/15/14 | 1,208,000 | 08/10/09 | 1,207,360 | 1,265,290 | 0.0 | |||||||||||||||||
Williams Partners L.P., 3.800%, due 02/15/15 | 1,220,000 | 01/30/09 | $ | 1,219,475 | $ | 1,229,209 | 0.0 | % | ||||||||||||||
$ | 6,486,943 | $ | 41,261,029 | 1.2 | % | |||||||||||||||||
67
Principal Amount/ | Initial | Cost/ | Percent | |||||||||||||||||||
Shares/ | Acquisition | Upfront | of Net | |||||||||||||||||||
Portfolio | Security | Notional Amount | Date | Payment | Value | Assets | ||||||||||||||||
T. Rowe Price Equity Income | BNY Institutional Cash Reserves Fund, Series B | 2,183,316 | 09/12/08 | $ | 2,183,316 | $ | 1,746,652 | 0.1 | % | |||||||||||||
$ | 2,183,316 | $ | 1,746,652 | 0.1 | % | |||||||||||||||||
Van Kampen Growth and Income | BNY Institutional Cash Reserves Fund, Series B | 1,680,468 | 09/12/08 | $ | 1,680,468 | $ | 1,344,375 | 0.2 | % | |||||||||||||
$ | 1,680,468 | $ | 1,344,375 | 0.2 | % | |||||||||||||||||
Wells Fargo Health Care | Medipattern Corp. | 1,823,990 | 07/16/07 | $ | 755,267 | $ | 145,638 | 0.1 | % | |||||||||||||
Novavax, Inc. | 133,228 | 06/26/09 | — | 136,265 | 0.0 | |||||||||||||||||
$ | 755,267 | $ | 281,903 | 0.1 | % | |||||||||||||||||
68
Value of | Cash | |||||||
Securities | Collateral | |||||||
Portfolio | Loaned | Received* | ||||||
Artio Foreign | $ | 41,538,145 | $ | 43,850,346 | ||||
Clarion Global Real Estate | 7,537,486 | 9,416,918 | ||||||
FMRSM Diversified Mid Cap | 104,747,183 | 107,825,146 | ||||||
Global Resources | 2,385,452 | 2,442,493 | ||||||
Janus Contrarian | 41,393,554 | 42,554,099 | ||||||
JPMorgan Emerging Markets Equity | 25,921,080 | 27,257,817 | ||||||
Liquid Assets | 100,715 | 102,750 | ||||||
Marsico Growth | 5,068,282 | 5,182,950 | ||||||
Marsico International Opportunities | 25,494,978 | 27,130,015 | ||||||
MFS Total Return | 4,999,706 | 5,104,788 | ||||||
Morgan Stanley Global Franchise | 2,296,639 | 2,470,730 | ||||||
PIMCO Total Return Bond | 325,450,321 | 332,197,899 | ||||||
Pioneer Mid Cap Value | 11,589,583 | 12,038,882 | ||||||
T. Rowe Price Capital Appreciation | 13,148,252 | 13,489,629 | ||||||
T. Rowe Price Equity Income | 6,431,108 | 6,657,082 | ||||||
Van Kampen Growth and Income | 17,331,701 | 17,775,084 |
* | Cash collateral received was invested in the BICR Fund, the fair value of which is presented in the Portfolio’s Portfolio of Investments. |
69
Net investment income | $ | 22,451,289 | ||
Net realized and unrealized gain on investments | $ | 248,205,432 | ||
Net increase in net assets resulting from operations | $ | 270,656,721 |
Acquired | ||||||||||||||||||||||
Total Net Assets | Total Net Assets | Acquired | Portfolio | |||||||||||||||||||
of Acquired | of Acquiring | Capital Loss | Unrealized | |||||||||||||||||||
Portfolio | Portfolio | Carryforwards | Depreciation | Conversion | ||||||||||||||||||
Acquiring Portfolio | Acquired Portfolio | (000s) | (000s) | (000s) | (000s) | Ratio | ||||||||||||||||
T. Rowe Price Equity Income | ING American Century Large Company Value Portfolio | $ | 13,545 | $ | 1,060,241 | $ | 14,025 | $ | (3,096 | ) | 0.5284 |
Net investment income | $ | 29,262,508 | ||
Net realized and unrealized gain on investments | $ | 298,598,236 | ||
Net increase in net assets resulting from operations | $ | 327,860,744 |
70
Acquired | ||||||||||||||||||||||
Total Net Assets | Total Net Assets | Acquired | Portfolio | |||||||||||||||||||
of Acquired | of Acquiring | Capital Loss | Unrealized | |||||||||||||||||||
Portfolio | Portfolio | Carryforwards | Appreciation | Conversion | ||||||||||||||||||
Acquiring Portfolio | Acquired Portfolio | (000s) | (000s) | (000s) | (000s) | Ratio | ||||||||||||||||
Artio Foreign | ING International Growth Opportunities Portfolio | $ | 78,581 | $ | 1,790,349 | $ | 47,454 | $ | 6,643 | 0.4739 |
Six Months Ended | ||||||||||||||||||||
June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||
Dividends Paid | ||||||||||||||||||||
Ordinary | Ordinary | Long-Term | Return of | Deduction on | ||||||||||||||||
Income | Income | Capital Gains | Capital | Redemptions | ||||||||||||||||
Artio Foreign | $ | — | $ | 62,174,193 | $ | — | $ | — | $ | — | ||||||||||
Clarion Global Real Estate | — | 10,259,737 | — | — | — | |||||||||||||||
FMRSM Diversified Mid Cap | — | 4,683,164 | — | — | — | |||||||||||||||
Global Resources | — | 2,729,574 | — | — | — | |||||||||||||||
Janus Contrarian | — | 4,149,323 | — | — | — | |||||||||||||||
JPMorgan Emerging Markets Equity | — | 14,103,161 | — | — | — | |||||||||||||||
Liquid Assets | 16,171 | 8,027,912 | — | — | — | |||||||||||||||
Marsico Growth | — | 7,058,758 | — | — | — | |||||||||||||||
Marsico International Opportunities | — | 6,351,237 | — | — | — | |||||||||||||||
MFS Total Return | — | 25,390,081 | — | — | — | |||||||||||||||
MFS Utilities | — | 23,557,194 | — | 620,515 | — | |||||||||||||||
Morgan Stanley Global Franchise | — | 20,348,723 | 8,839,790 | — | — | |||||||||||||||
Morgan Stanley Global Tactical Asset Allocation | — | 1,580,501 | 518,136 | — | 161,448 | |||||||||||||||
PIMCO Total Return Bond | — | 216,581,798 | 54,929,666 | — | — | |||||||||||||||
Pioneer Mid Cap Value | — | 9,852,901 | — | — | — | |||||||||||||||
T. Rowe Price Capital Appreciation | — | 60,121,050 | — | — | — | |||||||||||||||
T. Rowe Price Equity Income | — | 20,544,633 | — | — | — | |||||||||||||||
Van Kampen Growth and Income | — | 7,404,171 | — | — | — |
Undistributed | Undistributed | Unrealized | Post-October | Post-October | Post-October | |||||||||||||||||||||||||||
Ordinary | Long-Term | Appreciation/ | Capital Loss | Currency Loss | PFIC Loss | Capital Loss | Expiration | |||||||||||||||||||||||||
Income | Capital Gains | (Depreciation) | Deferred | Deferred | Deferred | Carryforwards | Dates | |||||||||||||||||||||||||
Artio Foreign | $ | — | $ | — | $ | 89,539,072 | $ | (2,027,715 | ) | $ | (324,320 | ) | $ | (248,185 | ) | $ | (9,545,897 | ) | 2015 | |||||||||||||
(282,954,941 | ) | 2016 | ||||||||||||||||||||||||||||||
(297,755,976 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (590,256,814 | )* | ||||||||||||||||||||||||||||||
71
Undistributed | Undistributed | Unrealized | Post-October | Post-October | Post-October | |||||||||||||||||||||||||||
Ordinary | Long-Term | Appreciation/ | Capital Loss | Currency Loss | PFIC Loss | Capital Loss | Expiration | |||||||||||||||||||||||||
Income | Capital Gains | (Depreciation) | Deferred | Deferred | Deferred | Carryforwards | Dates | |||||||||||||||||||||||||
Clarion Global Real Estate | $ | 34,406,960 | $ | — | $ | 6,584,114 | $ | — | $ | — | $ | — | $ | (20,588,432 | ) | 2015 | ||||||||||||||||
(76,339,565 | ) | 2016 | ||||||||||||||||||||||||||||||
(138,979,647 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (235,907,644 | )* | ||||||||||||||||||||||||||||||
FMRSM Diversified Mid Cap | 496,058 | — | 163,605,158 | (2,081,892 | ) | (33,004 | ) | — | (39,330,800 | ) | 2010 | |||||||||||||||||||||
(159,845,511 | ) | 2016 | ||||||||||||||||||||||||||||||
(182,829,613 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (382,005,924 | )* | ||||||||||||||||||||||||||||||
Global Resources | 8,487,142 | — | 50,202,669 | (61,566 | ) | — | — | (58,220,606 | ) | 2016 | ||||||||||||||||||||||
(177,383,563 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (235,604,169 | ) | ||||||||||||||||||||||||||||||
Janus Contrarian | — | — | 39,731,575 | (8,609,851 | ) | — | — | (80,019,816 | ) | 2016 | ||||||||||||||||||||||
(280,055,784 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (360,075,600 | ) | ||||||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity | 5,687,070 | 56,172,136 | 177,650,909 | — | — | — | — | — | ||||||||||||||||||||||||
Liquid Assets | 59,968 | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Marsico Growth | 4,465,123 | — | 112,708,390 | (1,758,828 | ) | — | — | (367,059,276 | ) | 2010 | ||||||||||||||||||||||
(110,597,085 | ) | 2011 | ||||||||||||||||||||||||||||||
(116,725,262 | ) | 2016 | ||||||||||||||||||||||||||||||
(51,567,144 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (645,948,767 | ) | ||||||||||||||||||||||||||||||
Marsico International Opportunities | 6,004,990 | — | 28,486,456 | (4,315,273 | ) | (62,781 | ) | — | (113,337,041 | ) | 2016 | |||||||||||||||||||||
(82,466,488 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (195,803,529 | ) | ||||||||||||||||||||||||||||||
MFS Total Return | 4,653,304 | — | 33,955,040 | (3,654,055 | ) | (7,090 | ) | — | (65,707,958 | ) | 2016 | |||||||||||||||||||||
(133,304,957 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (199,012,915 | ) | ||||||||||||||||||||||||||||||
MFS Utilities | — | — | 23,006,854 | (5,186,521 | ) | — | — | (17,441,017 | ) | 2016 | ||||||||||||||||||||||
(100,265,704 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (117,706,721 | ) | ||||||||||||||||||||||||||||||
Morgan Stanley Global Franchise | 1,433,915 | — | 30,007,790 | — | — | — | (17,400,045 | ) | 2017 | |||||||||||||||||||||||
Morgan Stanley Global Tactical Asset Allocation | 283,435 | 333,170 | 2,705,406 | — | (59,062 | ) | — | — | — | |||||||||||||||||||||||
PIMCO Total Return Bond | 268,085,388 | 8,233,156 | 63,176,545 | — | — | — | — | — | ||||||||||||||||||||||||
Pioneer Mid Cap Value | 1,988,220 | — | 51,899,151 | (3,216,135 | ) | — | — | (145,308 | ) | 2014 | ||||||||||||||||||||||
(313,932 | ) | 2015 | ||||||||||||||||||||||||||||||
(127,847,061 | ) | 2016 | ||||||||||||||||||||||||||||||
(138,590,943 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (266,897,244 | )* | ||||||||||||||||||||||||||||||
72
Undistributed | Undistributed | Unrealized | Post-October | Post-October | Post-October | |||||||||||||||||||||||||||
Ordinary | Long-Term | Appreciation/ | Capital Loss | Currency Loss | PFIC Loss | Capital Loss | Expiration | |||||||||||||||||||||||||
Income | Capital Gains | (Depreciation) | Deferred | Deferred | Deferred | Carryforwards | Dates | |||||||||||||||||||||||||
T. Rowe Price Capital Appreciation | $ | 18,386,359 | $ | — | $ | 333,025,524 | $ | — | $ | — | $ | — | $ | (85,471,063 | ) | 2016 | ||||||||||||||||
(374,856,517 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (460,327,580 | ) | ||||||||||||||||||||||||||||||
T. Rowe Price Equity Income | 3,812,458 | — | (47,055,063 | ) | (5,821,044 | ) | — | — | (4,004,428 | ) | 2015 | |||||||||||||||||||||
(17,005,247 | ) | 2016 | ||||||||||||||||||||||||||||||
(82,123,990 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (103,133,665 | )* | ||||||||||||||||||||||||||||||
Van Kampen Growth and Income | 1,532,079 | — | 56,438,714 | — | — | — | (7,061,260 | ) | 2016 | |||||||||||||||||||||||
(87,392,759 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (94,454,019 | ) | ||||||||||||||||||||||||||||||
Wells Fargo Health Care | — | — | 24,524,402 | — | — | — | (17,522,786 | ) | 2016 | |||||||||||||||||||||||
(16,678,678 | ) | 2017 | ||||||||||||||||||||||||||||||
$ | (34,201,464 | ) | ||||||||||||||||||||||||||||||
* | 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. |
73
PER SHARE AMOUNTS | ||||||||||||||||
Net Investment | Short-Term | Long-Term | Payable | Record | ||||||||||||
Income | Capital Gains | Capital Gains | Date | Date | ||||||||||||
Clarion Global Real Estate | ||||||||||||||||
Class ADV | $ | 0.8638 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.8638 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.8431 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.8312 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
FMRSM Diversified Mid Cap | ||||||||||||||||
Class ADV | $ | 0.0055 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.0057 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.0056 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.0055 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Global Resources | ||||||||||||||||
Class ADV | $ | 0.1841 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.2150 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.1714 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.1502 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
JPMorgan Emerging Markets Equity | ||||||||||||||||
Class ADV | $ | 0.1229 | $ | — | $ | 1.2195 | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.1608 | $ | — | $ | 1.2195 | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.1132 | $ | — | $ | 1.2195 | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.0910 | $ | — | $ | 1.2195 | July 15, 2010 | July 13, 2010 | ||||||||
Liquid Assets | ||||||||||||||||
Class I | $ | — | $ | 0.0000 | * | $ | — | July 15, 2010 | July 13, 2010 | |||||||
Class S | $ | — | $ | 0.0000 | * | $ | — | July 15, 2010 | July 13, 2010 | |||||||
Class S2 | $ | — | $ | 0.0000 | * | $ | — | July 15, 2010 | July 13, 2010 | |||||||
Class I | $ | 0.0001 | $ | — | $ | — | August 2, 2010 | Daily | ||||||||
Class S | $ | — | $ | — | $ | — | August 2, 2010 | Daily | ||||||||
Class S2 | $ | — | $ | — | $ | — | August 2, 2010 | Daily | ||||||||
Marsico Growth | ||||||||||||||||
Class ADV | $ | 0.0454 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.1161 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.0830 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.0633 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Marsico International Opportunities | ||||||||||||||||
Class ADV | $ | 0.1096 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.1808 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.1541 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.1808 | $ | — | $ | — | July 15, 2010 | July 13, 2010 |
74
PER SHARE AMOUNTS | ||||||||||||||||
Net Investment | Short-Term | Long-Term | Payable | Record | ||||||||||||
Income | Capital Gains | Capital Gains | Date | Date | ||||||||||||
MFS Total Return | ||||||||||||||||
Class ADV | $ | 0.0636 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.0640 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.0638 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.0637 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Morgan Stanley Global Franchise | ||||||||||||||||
Class ADV | $ | 0.0860 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.0865 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.0590 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.0402 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Morgan Stanley Global Tactical Asset Allocation | ||||||||||||||||
Class ADV | $ | 0.0008 | $ | 0.0380 | $ | 0.0455 | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.0007 | $ | 0.0380 | $ | 0.0455 | July 15, 2010 | July 13, 2010 | ||||||||
PIMCO Total Return Bond | ||||||||||||||||
Class ADV | $ | 0.6048 | $ | 0.3353 | $ | 0.0282 | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.6048 | $ | 0.3353 | $ | 0.0282 | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.5792 | $ | 0.3353 | $ | 0.0282 | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.5591 | $ | 0.3353 | $ | 0.0282 | July 15, 2010 | July 13, 2010 | ||||||||
Pioneer Mid Cap Value | ||||||||||||||||
Class ADV | $ | 0.0238 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.0239 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.0238 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.0234 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
T. Rowe Price Capital Appreciation | ||||||||||||||||
Class ADV | $ | 0.1042 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.1047 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.1044 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.1042 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
T. Rowe Price Equity Income | ||||||||||||||||
Class ADV | $ | 0.0305 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.0308 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.0307 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.0306 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Van Kampen Growth and Income | ||||||||||||||||
Class ADV | $ | 0.0492 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class I | $ | 0.0496 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S | $ | 0.0493 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||
Class S2 | $ | 0.0492 | $ | — | $ | — | July 15, 2010 | July 13, 2010 |
75
United Kingdom | 12.2% | |||
Japan | 9.7% | |||
Switzerland | 7.2% | |||
Germany | 6.8% | |||
Netherlands | 6.2% | |||
United States | 6.1% | |||
Canada | 5.8% | |||
Russia | 5.8% | |||
France | 4.9% | |||
Taiwan | 3.2% | |||
India | 2.8% | |||
Hong Kong | 2.5% | |||
Countries between 1.5% – 2.2%(1) | 12.2% | |||
Countries less than 1.5%(2) | 13.0% | |||
Other Assets and Liabilities – Net* | 1.6% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 91.2% | ||||||||||||||
Australia: 1.2% | ||||||||||||||
2,339,786 | Macquarie Airports Management Ltd. | $ | 5,243,876 | 0.6 | ||||||||||
Other Securities | 5,155,021 | 0.6 | ||||||||||||
10,398,897 | 1.2 | |||||||||||||
Austria: 1.4% | ||||||||||||||
302,017 | S | Erste Bank der Oesterreichischen Sparkassen AG | 9,582,489 | 1.1 | ||||||||||
Other Securities | 2,940,414 | 0.3 | ||||||||||||
12,522,903 | 1.4 | |||||||||||||
Belgium: 0.3% | ||||||||||||||
Other Securities | 2,676,952 | 0.3 | ||||||||||||
Brazil: 1.1% | ||||||||||||||
444,331 | @ | Hypermarcas SA | 5,698,760 | 0.6 | ||||||||||
Other Securities | 4,241,704 | 0.5 | ||||||||||||
9,940,464 | 1.1 | |||||||||||||
Canada: 5.8% | ||||||||||||||
323,567 | Barrick Gold Corp. | 14,686,729 | 1.7 | |||||||||||
116,776 | GoldCorp, Inc. | 5,112,892 | 0.6 | |||||||||||
Other Securities | 31,472,524 | 3.5 | ||||||||||||
51,272,145 | 5.8 | |||||||||||||
China: 2.0% | ||||||||||||||
Other Securities | 17,654,044 | 2.0 | ||||||||||||
Czech Republic: 1.7% | ||||||||||||||
92,092 | S | Komercni Banka A/S | 14,745,095 | 1.7 | ||||||||||
76
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Denmark: 0.8% | ||||||||||||||
68,745 | Novo-Nordisk A/S | $ | 5,554,097 | 0.6 | ||||||||||
Other Securities | 1,858,693 | 0.2 | ||||||||||||
7,412,790 | 0.8 | |||||||||||||
Finland: 1.1% | ||||||||||||||
Other Securities | 9,629,544 | 1.1 | ||||||||||||
France: 4.9% | ||||||||||||||
180,989 | Groupe Danone | 9,702,877 | 1.1 | |||||||||||
49,412 | S | LVMH Moet Hennessy Louis Vuitton S.A. | 5,378,157 | 0.6 | ||||||||||
104,394 | Sanofi-Aventis | 6,287,383 | 0.7 | |||||||||||
Other Securities | 22,363,636 | 2.5 | ||||||||||||
43,732,053 | 4.9 | |||||||||||||
Germany: 6.3% | ||||||||||||||
126,284 | @ | DaimlerChrysler AG | 6,388,154 | 0.7 | ||||||||||
277,164 | S,L | Fraport AG Frankfurt Airport Services Worldwide | 11,787,470 | 1.4 | ||||||||||
95,730 | Fresenius AG | 6,346,131 | 0.7 | |||||||||||
75,106 | S | MAN AG | 6,191,904 | 0.7 | ||||||||||
Other Securities | 24,675,479 | 2.8 | ||||||||||||
55,389,138 | 6.3 | |||||||||||||
Greece: 0.3% | ||||||||||||||
Other Securities | 2,986,475 | 0.3 | ||||||||||||
Hong Kong: 2.5% | ||||||||||||||
1,433,000 | China Mengniu Dairy Co., Ltd. | 4,644,637 | 0.5 | |||||||||||
2,562,000 | China Resources Enterprise | 9,431,857 | 1.1 | |||||||||||
Other Securities | 7,642,762 | 0.9 | ||||||||||||
21,719,256 | 2.5 | |||||||||||||
Hungary: 0.8% | ||||||||||||||
342,695 | @,L | OTP Bank Nyrt | 6,909,537 | 0.8 | ||||||||||
India: 2.8% | ||||||||||||||
325,845 | ICICI Bank Ltd. | 5,959,485 | 0.7 | |||||||||||
161,609 | Larsen & Toubro Ltd. | 6,250,649 | 0.7 | |||||||||||
Other Securities | 12,321,608 | 1.4 | ||||||||||||
24,531,742 | 2.8 | |||||||||||||
Indonesia: 0.2% | ||||||||||||||
Other Securities | 1,492,635 | 0.2 | ||||||||||||
Ireland: 0.4% | ||||||||||||||
Other Securities | 3,294,358 | 0.4 | ||||||||||||
77
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Israel: 0.5% | ||||||||||||||
Other Securities | $ | 4,531,812 | 0.5 | |||||||||||
Italy: 0.8% | ||||||||||||||
Other Securities | 7,352,430 | 0.8 | ||||||||||||
Japan: 9.7% | ||||||||||||||
246,620 | Honda Motor Co., Ltd. | 7,243,931 | 0.8 | |||||||||||
17,000 | Nintendo Co., Ltd. | 4,991,357 | 0.6 | |||||||||||
Other Securities | 73,957,969 | 8.3 | ||||||||||||
86,193,257 | 9.7 | |||||||||||||
Kenya: 0.1% | ||||||||||||||
Other Securities | 1,167,950 | 0.1 | ||||||||||||
Lebanon: 0.3% | ||||||||||||||
102,506 | # | Solidere GDR | 2,262,307 | 0.3 | ||||||||||
Luxembourg: 0.6% | ||||||||||||||
Other Securities | 5,477,966 | 0.6 | ||||||||||||
Macau: 0.1% | ||||||||||||||
Other Securities | 1,326,043 | 0.1 | ||||||||||||
Mexico: 1.5% | ||||||||||||||
140,648 | Fomento Economico Mexicano SA de CV ADR | 6,068,961 | 0.8 | |||||||||||
155,978 | @ | Fomento Economico Mexicano SA de CV ADR | 674,177 | |||||||||||
Other Securities | 6,415,898 | 0.7 | ||||||||||||
13,159,036 | 1.5 | |||||||||||||
Netherlands: 6.2% | ||||||||||||||
366,740 | Royal Dutch Shell PLC | 9,219,006 | 1.8 | |||||||||||
269,181 | Royal Dutch Shell PLC – Class A | 6,793,061 | ||||||||||||
365,964 | Royal KPN NV | 4,664,776 | 0.5 | |||||||||||
213,193 | TNT NV | 5,369,726 | 0.6 | |||||||||||
468,448 | S | Unilever NV | 12,792,974 | 1.5 | ||||||||||
Other Securities | 16,309,124 | 1.8 | ||||||||||||
55,148,667 | 6.2 | |||||||||||||
Nigeria: 0.2% | ||||||||||||||
Other Securities | 1,569,051 | 0.2 | ||||||||||||
Norway: 1.1% | ||||||||||||||
284,553 | Statoil ASA | 5,481,864 | 0.6 | |||||||||||
Other Securities | 4,619,359 | 0.5 | ||||||||||||
10,101,223 | 1.1 |
78
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Papua New Guinea: 0.2% | ||||||||||||||
Other Securities | $ | 1,930,729 | 0.2 | |||||||||||
Poland: 1.5% | ||||||||||||||
136,145 | Bank Pekao S.A. | 6,208,796 | 0.7 | |||||||||||
589,463 | Powszechna Kasa Oszczednosci Bank Polski S.A. | 6,287,457 | 0.7 | |||||||||||
Other Securities | 945,394 | 0.1 | ||||||||||||
13,441,647 | 1.5 | |||||||||||||
Portugal: 0.2% | ||||||||||||||
Other Securities | 1,796,859 | 0.2 | ||||||||||||
Romania: 0.2% | ||||||||||||||
Other Securities | 1,512,949 | 0.2 | ||||||||||||
Russia: 5.7% | ||||||||||||||
76,599 | @,S | Pharmstandard | 5,591,727 | 1.1 | ||||||||||
177,500 | @,S | Pharmstandard – Reg S GDR | 3,863,658 | |||||||||||
6,141,676 | Sberbank of Russian Federation | 14,985,682 | 1.7 | |||||||||||
Other Securities | 25,896,729 | 2.9 | ||||||||||||
50,337,796 | 5.7 | |||||||||||||
South Africa: 2.2% | ||||||||||||||
Other Securities | 19,227,318 | 2.2 | ||||||||||||
South Korea: 1.7% | ||||||||||||||
55,508 | Hyundai Motor Co. | 6,494,922 | 0.7 | |||||||||||
Other Securities | 8,646,015 | 1.0 | ||||||||||||
15,140,937 | 1.7 | |||||||||||||
Spain: 0.2% | ||||||||||||||
Other Securities | 1,655,365 | 0.2 | ||||||||||||
Sweden: 1.1% | ||||||||||||||
Other Securities | 9,450,809 | 1.1 | ||||||||||||
Switzerland: 7.2% | ||||||||||||||
229,925 | Nestle S.A. | 11,086,715 | 1.3 | |||||||||||
328,189 | Novartis AG | 15,905,065 | 1.8 | |||||||||||
60,078 | Roche Holding AG – Genusschein | 8,269,239 | 0.9 | |||||||||||
23,301 | Syngenta AG | 5,382,905 | 0.6 | |||||||||||
Other Securities | 23,301,940 | 2.6 | ||||||||||||
63,945,864 | 7.2 |
79
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Taiwan: 3.2% | ||||||||||||||
2,060,000 | Acer, Inc. | $ | 4,780,774 | 0.6 | ||||||||||
549,000 | High Tech Computer Corp. | 7,290,779 | 0.8 | |||||||||||
2,226,000 | @ | HON HAI Precision Industry Co., Ltd. | 7,802,514 | 0.9 | ||||||||||
2,925,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 5,466,953 | 0.6 | |||||||||||
Other Securities | 2,515,785 | 0.3 | ||||||||||||
27,856,805 | 3.2 | |||||||||||||
Thailand: 0.2% | ||||||||||||||
Other Securities | 1,966,081 | 0.2 | ||||||||||||
Ukraine: 0.7% | ||||||||||||||
Other Securities | 6,379,895 | 0.7 | ||||||||||||
United Kingdom: 12.2% | ||||||||||||||
353,124 | BHP Billiton PLC | 9,155,980 | 1.0 | |||||||||||
760,021 | GlaxoSmithKline PLC | 12,905,800 | 1.5 | |||||||||||
293,741 | Imperial Tobacco Group PLC | 8,207,316 | 0.9 | |||||||||||
6,805,203 | @,S | Lloyds TSB Group PLC | 5,372,481 | 0.6 | ||||||||||
241,160 | Reckitt Benckiser PLC | 11,217,388 | 1.3 | |||||||||||
257,395 | Rio Tinto PLC | 11,303,331 | 1.3 | |||||||||||
219,641 | Rolls Royce Group PLC | 1,833,295 | 0.2 | |||||||||||
15,487,920 | @,I | Rolls-Royce Group PLC – C Shares | 23,140 | |||||||||||
3,860,097 | S | Vodafone Group PLC | 7,953,692 | 0.9 | ||||||||||
Other Securities | 39,554,288 | 4.5 | ||||||||||||
107,526,711 | 12.2 | |||||||||||||
Total Common Stock (Cost $884,489,311) | 806,767,535 | 91.2 | ||||||||||||
EXCHANGE-TRADED FUNDS: 6.1% | ||||||||||||||
United States: 6.1% | ||||||||||||||
430,894 | L | Market Vectors – Gold Miners ETF | 22,389,252 | 2.5 | ||||||||||
259,158 | SPDR Gold Trust | 31,534,345 | 3.6 | |||||||||||
Total Exchange-Traded Funds (Cost $51,584,797) | 53,923,597 | 6.1 | ||||||||||||
PREFERRED STOCK: 1.1% | ||||||||||||||
Brazil: 0.5% | ||||||||||||||
Other Securities | 4,211,544 | 0.5 | ||||||||||||
Germany: 0.5% | ||||||||||||||
Other Securities | 4,178,567 | 0.5 | ||||||||||||
Russia: 0.1% | ||||||||||||||
Other Securities | 813,350 | 0.1 | ||||||||||||
Total Preferred Stock (Cost $9,356,010) | 9,203,461 | 1.1 |
80
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
WARRANTS: 0.0% | ||||||||||||||
Luxembourg: 0.0% | ||||||||||||||
Other Securities | $ | 212,111 | 0.0 | |||||||||||
Total Warrants (Cost $224,647) | 212,111 | 0.0 | ||||||||||||
Total Long-Term Investments (Cost $945,654,765) | 870,106,704 | 98.4 | ||||||||||||
SHORT-TERM INVESTMENTS: 4.9% | ||||||||||||||
Securities Lending CollateralCC: 4.9% | ||||||||||||||
41,388,571 | BNY Mellon Overnight Government Fund(1) | 41,388,571 | 4.7 | |||||||||||
2,461,775 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,969,420 | 0.2 | ||||||||||
Total Short-Term Investments (Cost $43,850,346) | 43,357,991 | 4.9 | ||||||||||||
Total Investments in Securities (Cost $989,505,111)* | $ | 913,464,695 | 103.3 | |||||||||||
Other Assets and Liabilities - Net | (29,240,441 | ) | (3.3 | ) | ||||||||||
Net Assets | $ | 884,224,254 | 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, 2010. | ||||||||||||||
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 | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
GDR | Global Depositary Receipt | |||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
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. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
* | Cost for federal income tax purposes is $1,008,551,790. | |||||||||||||
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 27,363,406 | ||
Gross Unrealized Depreciation | (122,450,501 | ) | ||
Net Unrealized Depreciation | $ | (95,087,095 | ) | |
81
Percentage of | ||||
Industry | Net Assets | |||
Consumer Discretionary | 8.2 | % | ||
Consumer Staples | 16.2 | |||
Energy | 6.4 | |||
Financials | 16.4 | |||
Health Care | 10.2 | |||
Industrials | 11.8 | |||
Information Technology | 5.5 | |||
Materials | 12.7 | |||
Telecommunication Services | 3.2 | |||
Utilities | 1.7 | |||
Other Long-Term Investments | 6.1 | |||
Short-Term Investments | 4.9 | |||
Other Assets and Liabilities - Net | (3.3 | ) | ||
Net Assets | 100.0 | % | ||
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Australia | $ | — | $ | 10,398,897 | $ | — | $ | 10,398,897 | ||||||||
Austria | — | 12,522,903 | — | 12,522,903 | ||||||||||||
Belgium | — | 2,676,952 | — | 2,676,952 | ||||||||||||
Brazil | 9,940,464 | — | — | 9,940,464 | ||||||||||||
Canada | 51,272,145 | — | — | 51,272,145 | ||||||||||||
China | 1,915,018 | 15,739,026 | — | 17,654,044 | ||||||||||||
Czech Republic | — | 14,745,095 | — | 14,745,095 | ||||||||||||
Denmark | — | 7,412,790 | — | 7,412,790 | ||||||||||||
Finland | — | 9,629,544 | — | 9,629,544 | ||||||||||||
France | — | 43,732,053 | — | 43,732,053 | ||||||||||||
Germany | — | 55,389,138 | — | 55,389,138 | ||||||||||||
Greece | — | 2,986,475 | — | 2,986,475 | ||||||||||||
Hong Kong | — | 21,719,256 | — | 21,719,256 | ||||||||||||
Hungary | — | 6,909,537 | — | 6,909,537 | ||||||||||||
India | 456,951 | 24,074,791 | — | 24,531,742 | ||||||||||||
Indonesia | — | 1,492,635 | — | 1,492,635 | ||||||||||||
Ireland | — | 3,294,358 | — | 3,294,358 | ||||||||||||
Israel | 4,531,812 | — | — | 4,531,812 | ||||||||||||
Italy | — | 7,352,430 | — | 7,352,430 | ||||||||||||
Japan | 7,243,931 | 78,949,326 | — | 86,193,257 | ||||||||||||
Kenya | 1,167,950 | — | — | 1,167,950 | ||||||||||||
Lebanon | 2,262,307 | — | — | 2,262,307 | ||||||||||||
Luxembourg | 323,723 | 5,154,243 | — | 5,477,966 | ||||||||||||
Macau | — | 1,326,043 | — | 1,326,043 | ||||||||||||
Mexico | 13,159,036 | — | — | 13,159,036 | ||||||||||||
Netherlands | — | 55,148,667 | — | 55,148,667 | ||||||||||||
Nigeria | 1,569,051 | — | — | 1,569,051 | ||||||||||||
Norway | — | 10,101,223 | — | 10,101,223 | ||||||||||||
Papua New Guinea | — | 1,930,729 | — | 1,930,729 | ||||||||||||
Poland | — | 13,441,647 | — | 13,441,647 | ||||||||||||
Portugal | — | 1,796,859 | — | 1,796,859 | ||||||||||||
Romania | — | 1,512,949 | — | 1,512,949 | ||||||||||||
Russia | 31,899,696 | 18,438,100 | — | 50,337,796 | ||||||||||||
South Africa | — | 19,227,318 | — | 19,227,318 | ||||||||||||
South Korea | — | 15,140,937 | — | 15,140,937 | ||||||||||||
Spain | 754,746 | 900,619 | — | 1,655,365 | ||||||||||||
Sweden | — | 9,450,809 | — | 9,450,809 | ||||||||||||
Switzerland | 1,352,916 | 62,592,948 | — | 63,945,864 | ||||||||||||
Taiwan | 640,742 | 27,216,063 | — | 27,856,805 | ||||||||||||
Thailand | — | 1,966,081 | — | 1,966,081 | ||||||||||||
Ukraine | — | 6,379,895 | — | 6,379,895 | ||||||||||||
United Kingdom | — | 107,526,711 | — | 107,526,711 | ||||||||||||
Total Common Stock | 128,490,488 | 678,277,047 | — | 806,767,535 | ||||||||||||
82
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Exchange-Traded Funds | $ | 53,923,597 | $ | — | $ | — | $ | 53,923,597 | ||||||||
Preferred Stock | 5,024,894 | 4,178,567 | — | 9,203,461 | ||||||||||||
Warrants | — | 212,111 | — | 212,111 | ||||||||||||
Short-Term Investments | 41,388,571 | — | 1,969,420 | 43,357,991 | ||||||||||||
Total Investments, at value | $ | 228,827,550 | $ | 682,667,725 | $ | 1,969,420 | $ | 913,464,695 | ||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | — | 2,770,494 | — | 2,770,494 | ||||||||||||
Equity forward contracts | — | 258,172 | — | 258,172 | ||||||||||||
Total Assets | $ | 228,827,550 | $ | 685,696,391 | $ | 1,969,420 | $ | 916,493,361 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | $ | — | $ | (3,171,773 | ) | $ | — | $ | (3,171,773 | ) | ||||||
Total Liabilities | $ | — | $ | (3,171,773 | ) | $ | — | $ | (3,171,773 | ) | ||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
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 Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. |
# | 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. |
Unrealized | ||||||||||||||||||||
Number | Expiration | Market | Appreciation/ | |||||||||||||||||
Contract Description | of Contracts | Date | Position | Value | (Depreciation) | |||||||||||||||
Russian Depository Index | 1,960 | 06/10/13 | Short | $ | 2,879,299 | $ | 110,589 | |||||||||||||
Counterparty: Credit Suisse International | ||||||||||||||||||||
RTS Index Future | 2,601 | 09/15/10 | Short | 6,839,329 | 147,583 | |||||||||||||||
Counterparty: Credit Suisse International | ||||||||||||||||||||
$ | 9,718,628 | $ | 258,172 | |||||||||||||||||
83
In | Unrealized | |||||||||||||||||||||
Settlement | Exchange | Appreciation | ||||||||||||||||||||
Currency | Buy/Sell | Date | For | Value | (Depreciation) | |||||||||||||||||
Canadian Dollar | CAD 4,107,533 | BUY | 09/16/10 | $ | 4,002,507 | $ | 3,856,389 | $ | (146,118 | ) | ||||||||||||
Canadian Dollar | CAD 4,108,114 | BUY | 09/16/10 | 3,966,452 | 3,856,935 | (109,517 | ) | |||||||||||||||
EU Euro | EUR 3,516,669 | BUY | 12/16/10 | 4,267,021 | 4,304,480 | 37,459 | ||||||||||||||||
British Pound | GBP 12,812,003 | BUY | 09/15/10 | 19,040,686 | 19,141,657 | 100,971 | ||||||||||||||||
Japanese Yen | JPY 1,684,175,917 | BUY | 09/15/10 | 18,377,870 | 19,073,853 | 695,983 | ||||||||||||||||
Japanese Yen | JPY 1,120,807,183 | BUY | 09/16/10 | 12,270,850 | 12,693,762 | 422,912 | ||||||||||||||||
$ | 1,001,690 | |||||||||||||||||||||
Czech Koruna | CZK 27,052,065 | SELL | 09/08/10 | $ | 1,249,778 | $ | 1,286,158 | $ | (36,380 | ) | ||||||||||||
Czech Koruna | CZK 21,738,858 | SELL | 09/15/10 | 1,095,019 | 1,033,531 | 61,488 | ||||||||||||||||
Czech Koruna | CZK 185,267,220 | SELL | 09/15/10 | 8,991,372 | 8,808,167 | 183,205 | ||||||||||||||||
Czech Koruna | CZK 32,219,909 | SELL | 09/16/10 | 1,498,391 | 1,531,829 | (33,438 | ) | |||||||||||||||
Czech Koruna | CZK 94,463,402 | SELL | 09/16/10 | 4,444,531 | 4,491,067 | (46,536 | ) | |||||||||||||||
Czech Koruna | CZK 149,243,602 | SELL | 12/08/10 | 6,943,210 | 7,095,576 | (152,366 | ) | |||||||||||||||
Czech Koruna | CZK 30,248,094 | SELL | 12/08/10 | 1,388,667 | 1,438,103 | (49,436 | ) | |||||||||||||||
Czech Koruna | CZK 62,941,217 | SELL | 12/16/10 | 2,999,772 | 2,992,465 | 7,307 | ||||||||||||||||
Czech Koruna | CZK 104,147,825 | SELL | 12/16/10 | 4,774,751 | 4,951,584 | (176,833 | ) | |||||||||||||||
EU Euro | EUR 14,934,370 | SELL | 09/15/10 | 17,930,056 | 18,270,496 | (340,440 | ) | |||||||||||||||
EU Euro | EUR 15,951,845 | SELL | 09/16/10 | 19,490,044 | 19,515,396 | (25,352 | ) | |||||||||||||||
EU Euro | EUR 5,303,356 | SELL | 09/16/10 | 6,489,584 | 6,488,095 | 1,489 | ||||||||||||||||
EU Euro | EUR 10,564,948 | SELL | 09/16/10 | 12,737,630 | 12,925,097 | (187,467 | ) | |||||||||||||||
EU Euro | EUR 2,612,408 | SELL | 12/16/10 | 3,120,052 | 3,197,645 | (77,593 | ) | |||||||||||||||
EU Euro | EUR 7,562,968 | SELL | 12/16/10 | 9,046,293 | 9,257,239 | (210,946 | ) | |||||||||||||||
EU Euro | EUR 10,063,431 | SELL | 12/16/10 | 12,125,730 | 12,317,859 | (192,129 | ) | |||||||||||||||
British Pound | GBP 12,812,003 | SELL | 09/15/10 | 18,829,032 | 19,141,657 | (312,625 | ) | |||||||||||||||
British Pound | GBP 3,291,076 | SELL | 09/15/10 | 4,725,688 | 4,917,002 | (191,314 | ) | |||||||||||||||
British Pound | GBP 12,432,326 | SELL | 09/15/10 | 18,009,903 | 18,574,406 | (564,503 | ) | |||||||||||||||
British Pound | GBP 1,378,186 | SELL | 09/16/10 | 2,004,103 | 2,059,065 | (54,962 | ) | |||||||||||||||
British Pound | GBP 2,025,133 | SELL | 09/16/10 | 2,967,249 | 3,025,631 | (58,382 | ) | |||||||||||||||
Hungarian Forint | HUF 1,247,360,958 | SELL | 09/15/10 | 5,821,445 | 5,300,931 | 520,514 | ||||||||||||||||
Hungarian Forint | HUF 341,186,835 | SELL | 09/15/10 | 1,523,020 | 1,449,947 | 73,073 | ||||||||||||||||
Polish Zloty | PLN 20,248,302 | SELL | 09/15/10 | 6,556,880 | 5,937,989 | 618,891 | ||||||||||||||||
Polish Zloty | PLN 4,568,068 | SELL | 09/15/10 | 1,386,827 | 1,339,625 | 47,202 | ||||||||||||||||
Swedish Krona | SEK 27,057,843 | SELL | 09/16/10 | 3,384,473 | 3,470,009 | (85,536 | ) | |||||||||||||||
Swedish Krona | SEK 10,863,245 | SELL | 09/16/10 | 1,371,622 | 1,393,147 | (21,525 | ) | |||||||||||||||
South African Rand | ZAR 17,253,995 | SELL | 09/15/10 | 2,119,590 | 2,217,965 | (98,375 | ) | |||||||||||||||
$ | (1,402,969 | ) | ||||||||||||||||||||
Derivatives not accounted for | ||||||
as hedging instruments | ||||||
under FASB ASC 815 | Location on Statement of Assets and Liabilities | Fair Value | ||||
Asset Derivatives | ||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 2,770,494 | |||
Equity contracts | Net Assets — Unrealized appreciation* | 258,172 | ||||
Total Asset Derivatives | $ | 3,028,666 | ||||
Liability Derivatives | ||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 3,171,773 | |||
Total Liability Derivatives | $ | 3,171,773 | ||||
* | Includes cumulative appreciation/depreciation of OTC equity forward contracts as reported in the table following the Portfolio of Investments. |
84
Amount of Realized Gain or (Loss) | ||||||||||||
on Derivatives Recognized in Income | ||||||||||||
Foreign | ||||||||||||
Derivatives not accounted for | Currency | |||||||||||
as hedging instruments | Related | |||||||||||
under FASB ASC 815 | Transactions* | Futures | Total | |||||||||
Equity contracts | $ | — | $ | (85,105 | ) | $ | (85,105 | ) | ||||
Foreign exchange contracts | 13,336,499 | — | 13,336,499 | |||||||||
Total | $ | 13,336,499 | $ | (85,105 | ) | $ | 13,251,394 | |||||
Change in Unrealized | ||||||||||||
Appreciation or (Depreciation) | ||||||||||||
on Derivatives Recognized in Income | ||||||||||||
Foreign | ||||||||||||
Derivatives not accounted for | Currency | |||||||||||
as hedging instruments | Related | |||||||||||
under FASB ASC 815 | Transactions* | Futures | Total | |||||||||
Equity contracts | $ | — | $ | 258,172 | $ | 258,172 | ||||||
Foreign exchange contracts | 201,371 | — | 201,371 | |||||||||
Total | $ | 201,371 | $ | 258,172 | $ | 459,543 | ||||||
* | 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. |
85
(as a percent of net assets)
United States | 42.6% | ||||
Hong Kong | 14.7% | ||||
Japan | 12.7% | ||||
Australia | 12.2% | ||||
United Kingdom | 6.1% | ||||
Singapore | 3.1% | ||||
Canada | 2.8% | ||||
France | 1.6% | ||||
Sweden | 0.9% | ||||
Norway | 0.7% | ||||
Switzerland | 0.5% | ||||
Other Assets and Liabilities – Net* | 2.1% | ||||
Net Assets | 100.0% |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 30.8% | ||||||||||||||
Australia: 0.5% | ||||||||||||||
Other Securities | $ | 1,791,366 | 0.5 | |||||||||||
Canada: 1.1% | ||||||||||||||
283,000 | Brookfield Properties Co. | 3,973,320 | 1.1 | |||||||||||
Hong Kong: 14.0% | ||||||||||||||
952,470 | Cheung Kong Holdings Ltd. | 10,992,247 | 3.2 | |||||||||||
496,000 | Hang Lung Group Ltd. | 2,673,026 | 0.8 | |||||||||||
910,700 | Hang Lung Properties Ltd. | 3,483,379 | 1.0 | |||||||||||
1,092,500 | L | Hongkong Land Holdings Ltd. | 5,400,249 | 1.6 | ||||||||||
1,601,400 | Sun Hung Kai Properties Ltd. | 21,900,708 | 6.4 | |||||||||||
Other Securities | 3,645,868 | 1.0 | ||||||||||||
48,095,477 | 14.0 | |||||||||||||
Japan: 9.3% | ||||||||||||||
326,700 | Daiwa House Industry Co., Ltd. | 2,939,045 | 0.9 | |||||||||||
970,057 | Mitsubishi Estate Co., Ltd. | 13,504,816 | 3.9 | |||||||||||
470,382 | Mitsui Fudosan Co., Ltd. | 6,546,998 | 1.9 | |||||||||||
439,968 | Sumitomo Realty & Development Co., Ltd. | 7,475,907 | 2.2 | |||||||||||
Other Securities | 1,529,936 | 0.4 | ||||||||||||
31,996,702 | 9.3 | |||||||||||||
Norway: 0.7% | ||||||||||||||
Other Securities | 2,286,863 | 0.7 | ||||||||||||
Singapore: 1.0% | ||||||||||||||
Other Securities | 3,638,694 | 1.0 | ||||||||||||
Sweden: 0.9% | ||||||||||||||
Other Securities | 3,218,641 | 0.9 | ||||||||||||
86
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Switzerland: 0.5% | ||||||||||||||
Other Securities | $ | 1,800,267 | 0.5 | |||||||||||
United Kingdom: 0.8% | ||||||||||||||
Other Securities | 2,685,874 | 0.8 | ||||||||||||
United States: 2.0% | ||||||||||||||
101,400 | Starwood Hotels & Resorts Worldwide, Inc. | 4,201,002 | 1.2 | |||||||||||
Other Securities | 2,559,210 | 0.8 | ||||||||||||
6,760,212 | 2.0 | |||||||||||||
Total Common Stock (Cost $102,307,304 ) | 106,247,416 | 30.8 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS: 66.1% | ||||||||||||||
Australia: 10.7% | ||||||||||||||
6,206,871 | Dexus Property Group | 3,982,826 | 1.1 | |||||||||||
1,585,440 | GPT Group | 3,701,765 | 1.1 | |||||||||||
10,481,700 | Macquarie Goodman Group | 5,543,893 | 1.6 | |||||||||||
1,399,820 | Stockland | 4,344,509 | 1.3 | |||||||||||
1,496,320 | Westfield Group | 15,205,266 | 4.4 | |||||||||||
Other Securities | 4,145,144 | 1.2 | ||||||||||||
36,923,403 | 10.7 | |||||||||||||
Canada: 1.7% | ||||||||||||||
162,000 | L | RioCan Real Estate Investment Trust | 2,897,450 | 0.8 | ||||||||||
Other Securities | 3,034,857 | 0.9 | ||||||||||||
5,932,307 | 1.7 | |||||||||||||
France: 1.6% | ||||||||||||||
16,259 | Unibail | 2,649,932 | 0.8 | |||||||||||
Other Securities | 2,673,899 | 0.8 | ||||||||||||
5,323,831 | 1.6 | |||||||||||||
Hong Kong: 0.7% | ||||||||||||||
Other Securities | 2,358,789 | 0.7 | ||||||||||||
Japan: 3.4% | ||||||||||||||
479 | Japan Real Estate Investment Corp. | 3,901,742 | 1.1 | |||||||||||
Other Securities | 7,733,411 | 2.3 | ||||||||||||
11,635,153 | 3.4 | |||||||||||||
Singapore: 2.1% | ||||||||||||||
2,298,879 | CapitaMall Trust | 2,997,094 | 0.9 | |||||||||||
Other Securities | 4,351,832 | 1.2 | ||||||||||||
7,348,926 | 2.1 | |||||||||||||
87
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
United Kingdom: 5.3% | ||||||||||||||
661,845 | British Land Co. PLC | $ | 4,275,143 | 1.3 | ||||||||||
164,220 | Derwent Valley Holdings PLC | 3,053,431 | 0.9 | |||||||||||
793,773 | Land Securities Group PLC | 6,569,069 | 1.9 | |||||||||||
Other Securities | 4,261,834 | 1.2 | ||||||||||||
18,159,477 | 5.3 | |||||||||||||
United States: 40.6% | ||||||||||||||
60,600 | Alexandria Real Estate Equities, Inc. | 3,840,222 | 1.1 | |||||||||||
147,600 | AMB Property Corp. | 3,499,596 | 1.0 | |||||||||||
188,200 | Apartment Investment & Management Co. | 3,645,435 | 1.1 | |||||||||||
66,225 | AvalonBay Communities, Inc. | 6,183,428 | 1.8 | |||||||||||
83,100 | Boston Properties, Inc. | 5,928,354 | 1.7 | |||||||||||
91,700 | BRE Properties, Inc. | 3,386,481 | 1.0 | |||||||||||
67,800 | Camden Property Trust | 2,769,630 | 0.8 | |||||||||||
317,300 | Developers Diversified Realty Corp. | 3,141,270 | 0.9 | |||||||||||
47,400 | L | Digital Realty Trust, Inc. | 2,734,032 | 0.8 | ||||||||||
235,900 | Equity Residential | 9,822,876 | 2.8 | |||||||||||
56,400 | Federal Realty Investment Trust | 3,963,228 | 1.1 | |||||||||||
605,121 | Host Hotels & Resorts, Inc. | 8,157,031 | 2.4 | |||||||||||
179,100 | Liberty Property Trust | 5,167,035 | 1.5 | |||||||||||
257,965 | Macerich Co. | 9,627,250 | 2.8 | |||||||||||
140,000 | Nationwide Health Properties, Inc. | 5,007,800 | 1.5 | |||||||||||
272,500 | Prologis | 2,760,425 | 0.8 | |||||||||||
124,100 | Regency Centers Corp. | 4,269,040 | 1.2 | |||||||||||
166,761 | Simon Property Group, Inc. | 13,465,951 | 3.9 | |||||||||||
79,400 | SL Green Realty Corp. | 4,370,176 | 1.3 | |||||||||||
71,500 | Tanger Factory Outlet Centers, Inc. | 2,958,670 | 0.9 | |||||||||||
76,600 | Taubman Centers, Inc. | 2,882,458 | 0.8 | |||||||||||
246,375 | UDR, Inc. | 4,713,154 | 1.4 | |||||||||||
134,700 | Ventas, Inc. | 6,324,165 | 1.8 | |||||||||||
149,131 | Vornado Realty Trust | 10,879,106 | 3.2 | |||||||||||
Other Securities | 10,287,001 | 3.0 | ||||||||||||
139,783,814 | 40.6 | |||||||||||||
Total Real Estate Investment Trusts (Cost $183,080,945) | 227,465,700 | 66.1 | ||||||||||||
MUTUAL FUNDS: 1.0% | ||||||||||||||
Australia: 1.0% | ||||||||||||||
6,993,500 | ** | ING Office Fund | 3,376,189 | 1.0 | ||||||||||
Total Mutual Funds (Cost $3,719,785) | 3,376,189 | 1.0 | ||||||||||||
88
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
WARRANTS: 0.0% | ||||||||||||||
Hong Kong: 0.0% | ||||||||||||||
Other Securities | $ | 18,433 | 0.0 | |||||||||||
Total Warrants (Cost $-) | 18,433 | 0.0 | ||||||||||||
Total Long-Term Investments (Cost $289,108,034) | 337,107,738 | 97.9 | ||||||||||||
SHORT-TERM INVESTMENTS: 4.5% | ||||||||||||||
Affiliated Mutual Fund: 1.8% | ||||||||||||||
5,984,287 | ING Institutional Prime Money Market Fund – Class I | 5,984,287 | 1.8 | |||||||||||
Total Mutual Fund (Cost $5,984,287) | 5,984,287 | 1.8 | ||||||||||||
Securities Lending CollateralCC: 2.7% | ||||||||||||||
9,044,175 | BNY Mellon Overnight Government Fund(1) | 9,044,175 | 2.6 | |||||||||||
372,743 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 298,194 | 0.1 | ||||||||||
Total Securities Lending Collateral (Cost $9,416,918) | 9,342,369 | 2.7 | ||||||||||||
Total Short-Term Investments (Cost $15,401,205) | 15,326,656 | 4.5 | ||||||||||||
Total Investments in Securities (Cost $304,509,239)* | $ | 352,434,394 | 102.4 | |||||||||||
Other Assets and Liabilities - Net | (8,121,478 | ) | (2.4 | ) | ||||||||||
Net Assets | $ | 344,312,916 | 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, 2010. | ||||||||||||||
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. | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
** | Investment in affiliate | |||||||||||||
* | Cost for federal income tax purposes is $364,792,771. | |||||||||||||
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 48,172,814 | ||
Gross Unrealized Depreciation | (60,531,191 | ) | ||
Net Unrealized Depreciation | $ | (12,358,377 | ) | |
89
Percentage of | ||||
Industry | Net Assets | |||
Affiliated Investment Companies | 1.0 | % | ||
Consumer Discretionary | 1.9 | |||
Financials | 95.0 | |||
Short-Term Investments | 4.5 | |||
Other Assets and Liabilities - Net | (2.4 | ) | ||
Net Assets | 100.0 | % | ||
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Australia | $ | — | $ | 1,791,366 | $ | — | $ | 1,791,366 | ||||||||
Canada | 3,973,320 | — | — | 3,973,320 | ||||||||||||
Hong Kong | — | 48,095,477 | — | 48,095,477 | ||||||||||||
Japan | — | 31,996,702 | — | 31,996,702 | ||||||||||||
Norway | — | 2,286,863 | — | 2,286,863 | ||||||||||||
Singapore | — | 3,638,694 | — | 3,638,694 | ||||||||||||
Sweden | — | 3,218,641 | — | 3,218,641 | ||||||||||||
Switzerland | 1,800,267 | — | — | 1,800,267 | ||||||||||||
United Kingdom | — | 2,685,874 | — | 2,685,874 | ||||||||||||
United States | 6,760,212 | — | — | 6,760,212 | ||||||||||||
Total Common Stock | 12,533,799 | 93,713,617 | — | 106,247,416 | ||||||||||||
Real Estate Investment Trusts | 145,716,121 | 81,749,579 | — | 227,465,700 | ||||||||||||
Mutual Funds | — | 3,376,189 | — | 3,376,189 | ||||||||||||
Warrants | 18,433 | — | — | 18,433 | ||||||||||||
Short-Term Investments | 15,028,462 | — | 298,194 | 15,326,656 | ||||||||||||
Total Investments, at value | $ | 173,296,815 | $ | 178,839,385 | $ | 298,194 | $ | 352,434,394 | ||||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
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. |
90
Consumer Discretionary | 24.3% | |||
Information Technology | 20.4% | |||
Health Care | 19.3% | |||
Financials | 11.3% | |||
Materials | 9.5% | |||
Energy | 6.2% | |||
Consumer Staples | 4.7% | |||
Industrials | 4.1% | |||
Utilities | 0.2% | |||
Telecommunication Services | 0.0% | |||
Other Assets and Liabilities – Net* | 0.0% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 100.0% | ||||||||||||||
Consumer Discretionary: 24.3% | ||||||||||||||
1,071,951 | Advance Auto Parts, Inc. | $ | 53,790,501 | 5.0 | ||||||||||
487,940 | @,L | Bridgepoint Education, Inc. | 7,714,331 | 0.7 | ||||||||||
229,559 | @,L | Fuel Systems Solutions, Inc. | 5,957,056 | 0.5 | ||||||||||
966,239 | Hasbro, Inc. | 39,712,423 | 3.7 | |||||||||||
768,693 | @,L | NetFlix, Inc. | 83,518,494 | 7.7 | ||||||||||
240,964 | Ross Stores, Inc. | 12,840,972 | 1.2 | |||||||||||
1,419,136 | @,L | Sally Beauty Holdings, Inc. | 11,636,915 | 1.1 | ||||||||||
144,909 | TJX Cos., Inc. | 6,078,933 | 0.6 | |||||||||||
518,633 | Walt Disney Co. | 16,336,940 | 1.5 | |||||||||||
Other Securities | 25,125,564 | 2.3 | ||||||||||||
262,712,129 | 24.3 | |||||||||||||
Consumer Staples: 4.7% | ||||||||||||||
477,900 | Kroger Co. | 9,409,851 | 0.9 | |||||||||||
200,310 | Molson Coors Brewing Co. | 8,485,132 | 0.8 | |||||||||||
239,404 | Wal-Mart Stores, Inc. | 11,508,150 | 1.1 | |||||||||||
10,519,000 | L | Want Want China Holdings Ltd. | 8,829,888 | 0.8 | ||||||||||
Other Securities | 12,509,940 | 1.1 | ||||||||||||
50,742,961 | 4.7 | |||||||||||||
Energy: 6.2% | ||||||||||||||
209,918 | @ | Dresser-Rand Group, Inc. | 6,622,913 | 0.6 | ||||||||||
340,284 | Ensco International PLC ADR | 13,366,356 | 1.2 | |||||||||||
868,825 | @ | Nabors Industries Ltd. | 15,308,697 | 1.4 | ||||||||||
1,421,535 | Patterson-UTI Energy, Inc. | 18,295,155 | 1.7 | |||||||||||
Other Securities | 13,533,507 | 1.3 | ||||||||||||
67,126,628 | 6.2 | |||||||||||||
Financials: 11.3% | ||||||||||||||
257,518 | Chubb Corp. | 12,878,475 | 1.2 | |||||||||||
1,726,742 | Old Republic International Corp. | 20,945,380 | 1.9 | |||||||||||
353,736 | Progressive Corp. | 6,621,938 | 0.6 | |||||||||||
355,316 | Protective Life Corp. | 7,600,209 | 0.7 | |||||||||||
91
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Financials (continued) | ||||||||||||||
593,941 | Reinsurance Group of America, Inc. | $ | 27,149,043 | 2.5 | ||||||||||
1,244,989 | Union Bank of India | 8,263,311 | 0.8 | |||||||||||
Other Securities | 38,567,175 | 3.6 | ||||||||||||
122,025,531 | 11.3 | |||||||||||||
Health Care: 19.3% | ||||||||||||||
1,296,693 | @,L | Allscripts Healthcare Solutions, Inc. | 20,876,757 | 1.9 | ||||||||||
217,562 | @,L | AMAG Pharmaceuticals, Inc. | 7,473,255 | 0.7 | ||||||||||
437,639 | @,L | Athenahealth, Inc. | 11,435,507 | 1.1 | ||||||||||
527,337 | @ | Cerner Corp. | 40,019,605 | 3.7 | ||||||||||
437,155 | @,L | Eclipsys Corp. | 7,798,845 | 0.7 | ||||||||||
222,152 | @ | Edwards Lifesciences Corp. | 12,444,955 | 1.2 | ||||||||||
289,580 | @ | Kinetic Concepts, Inc. | 10,572,566 | 1.0 | ||||||||||
92,896 | @ | Laboratory Corp. of America Holdings | 6,999,714 | 0.6 | ||||||||||
273,576 | @ | Thermo Fisher Scientific, Inc. | 13,418,903 | 1.2 | ||||||||||
905,631 | @ | Vertex Pharmaceuticals, Inc. | 29,795,260 | 2.8 | ||||||||||
Other Securities | 47,374,638 | 4.4 | ||||||||||||
208,210,005 | 19.3 | |||||||||||||
Industrials: 4.1% | ||||||||||||||
359,732 | @ | AGCO Corp. | 9,701,972 | 0.9 | ||||||||||
634,713 | @,L | Mastec, Inc. | 5,966,302 | 0.6 | ||||||||||
50,600 | @,I,X | Uzel Makina Sanayii AS | 12,463 | 0.0 | ||||||||||
Other Securities | 28,639,194 | 2.6 | ||||||||||||
44,319,931 | 4.1 | |||||||||||||
Information Technology: 20.4% | ||||||||||||||
427,771 | Altera Corp. | 10,612,999 | 1.0 | |||||||||||
3,175,713 | @ | eBay, Inc. | 62,275,726 | 5.8 | ||||||||||
448,077 | L | Gemalto NV | 16,862,876 | 1.6 | ||||||||||
555,319 | @ | Juniper Networks, Inc. | 12,672,380 | 1.2 | ||||||||||
702,100 | @ | Longtop Financial Technologies Ltd. ADR | 22,748,040 | 2.1 | ||||||||||
2,225,202 | @ | PMC — Sierra, Inc. | 16,733,519 | 1.5 | ||||||||||
260,256 | @,L | Shanda Interactive Entertainment Ltd. ADR | 10,324,356 | 1.0 | ||||||||||
918,156 | @,L | UbiSoft Entertainment | 6,870,806 | 0.6 | ||||||||||
951,693 | Xerox Corp. | 7,651,612 | 0.7 | |||||||||||
Other Securities | 53,351,197 | 4.9 | ||||||||||||
220,103,511 | 20.4 | |||||||||||||
Materials: 9.5% | ||||||||||||||
1,152,500 | Eldorado Gold Corp. (Canadian Denominated Security) | 20,656,334 | 2.0 | |||||||||||
26,000 | Eldorado Gold Corp. | 466,960 | ||||||||||||
828,000 | Iamgold Corp. | 14,599,183 | 1.3 | |||||||||||
655,200 | Kinross Gold Corp. | 11,200,734 | 1.0 | |||||||||||
669,592 | Newcrest Mining Ltd. | 19,536,390 | 1.8 | |||||||||||
92
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Materials (continued) | ||||||||||||||
192,800 | Newmont Mining Corp. | $ | 11,903,472 | 1.1 | ||||||||||
Other Securities | 24,327,601 | 2.3 | ||||||||||||
102,690,674 | 9.5 | |||||||||||||
Telecommunication Services: 0.0% | ||||||||||||||
Other Securities | 654,771 | 0.0 | ||||||||||||
Utilities: 0.2% | ||||||||||||||
Other Securities | 2,123,694 | 0.2 | ||||||||||||
Total Common Stock (Cost $925,120,673) | 1,080,709,835 | 100.0 | ||||||||||||
WARRANTS: 0.0% | ||||||||||||||
Consumer Discretionary: 0.0% | ||||||||||||||
Other Securities | 2,170 | 0.0 | ||||||||||||
Total Warrants (Cost $-) | 2,170 | 0.0 | ||||||||||||
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: 0.0% | ||||||||||||||
Consumer Staples: 0.0% | ||||||||||||||
$ | Other Securities | $ | 21,760 | 0.0 | ||||||||||
Total Corporate Bonds/Notes (Cost $16,991) | 21,760 | 0.0 | ||||||||||||
Total Long-Term Investments (Cost $925,137,664) | 1,080,733,765 | 100.0 | ||||||||||||
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: 10.0% | ||||||||||||||
Securities Lending CollateralCC: 10.0% | ||||||||||||||
106,076,347 | BNY Mellon Overnight Government Fund(1) | $ | 106,076,347 | 9.8 | ||||||||||
1,748,799 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,399,039 | 0.2 | ||||||||||
Total Short-Term Investments (Cost $107,825,146) | 107,475,386 | 10.0 | ||||||||||||
Total Investments in Securities (Cost $1,032,962,810)* | $ | 1,188,209,151 | 110.0 | |||||||||||
Other Assets and Liabilities - Net | (107,751,288 | ) | (10.0 | ) | ||||||||||
Net Assets | $ | 1,080,457,863 | 100.0 | |||||||||||
93
“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, 2010. | ||||||||||||||
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 | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. | |||||||||||||
* | Cost for federal income tax purposes is $1,047,632,848. | |||||||||||||
Net unrealized appreciation consists of: |
Gross Unrealized Appreciation | $ | 227,344,762 | ||
Gross Unrealized Depreciation | (86,768,459 | ) | ||
Net Unrealized Appreciation | $ | 140,576,303 | ||
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 250,689,355 | $ | 12,022,774 | $ | — | $ | 262,712,129 | ||||||||
Consumer Staples | 39,735,174 | 11,007,787 | — | 50,742,961 | ||||||||||||
Energy | 67,126,628 | — | — | 67,126,628 | ||||||||||||
Financials | 96,152,692 | 25,872,839 | — | 122,025,531 | ||||||||||||
Health Care | 192,992,931 | 15,217,074 | — | 208,210,005 | ||||||||||||
Industrials | 28,594,896 | 15,712,572 | 12,463 | 44,319,931 | ||||||||||||
Information Technology | 173,993,137 | 46,110,374 | — | 220,103,511 | ||||||||||||
Materials | 81,154,179 | 21,536,495 | — | 102,690,674 | ||||||||||||
Telecommunication Services | 654,771 | — | — | 654,771 | ||||||||||||
Utilities | 2,123,694 | — | — | 2,123,694 | ||||||||||||
Total Common Stock | 933,217,457 | 147,479,915 | 12,463 | 1,080,709,835 | ||||||||||||
Warrants | 2,170 | — | — | 2,170 | ||||||||||||
Corporate Bonds/Notes | — | 21,760 | — | 21,760 | ||||||||||||
Short-Term Investments | 106,076,347 | — | 1,399,039 | 107,475,386 | ||||||||||||
Total Investments, at value | $ | 1,039,295,974 | $ | 147,501,675 | $ | 1,411,502 | $ | 1,188,209,151 | ||||||||
94
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Common Stock | $ | 13,219 | $ | — | $ | — | $ | — | $ | — | $ | (756 | ) | $ | — | $ | — | $ | 12,463 | |||||||||||||||||
Short-Term Investments | 1,399,039 | — | — | — | — | — | — | — | 1,399,039 | |||||||||||||||||||||||||||
Total Investments, at value | $ | 1,412,258 | $ | — | $ | — | $ | — | $ | — | $ | (756 | ) | $ | — | $ | — | $ | 1,411,502 | |||||||||||||||||
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. |
95
(as a percent of net assets)
United States | 59.8% | ||||
Canada | 27.0% | ||||
Russia | 2.4% | ||||
United Kingdom | 1.9% | ||||
Netherlands | 1.8% | ||||
China | 1.2% | ||||
Bahamas | 0.9% | ||||
Japan | 0.9% | ||||
Thailand | 0.8% | ||||
France | 0.7% | ||||
Australia | 0.4% | ||||
Other Assets and Liabilities – Net* | 2.2% | ||||
Net Assets | 100.0% |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 97.8% | ||||||||||||||
Australia: 0.4% | ||||||||||||||
2,257,454 | @ | Australian Worldwide Exploration Ltd. | $ | 3,322,729 | 0.4 | |||||||||
Bahamas: 0.9% | ||||||||||||||
272,000 | Teekay Shipping Corp. | 7,118,240 | 0.9 | |||||||||||
Canada: 27.0% | ||||||||||||||
686,005 | Barrick Gold Corp. | 31,151,487 | 4.0 | |||||||||||
955,856 | Canadian Natural Resources Ltd. | 31,763,095 | 4.1 | |||||||||||
739,300 | @ | Centerra Gold, Inc. | 8,139,210 | 1.0 | ||||||||||
160,800 | Domtar Corp. | 7,903,320 | 1.0 | |||||||||||
764,479 | EnCana Corp. | 23,194,293 | 3.0 | |||||||||||
384,794 | GoldCorp, Inc. | 16,873,217 | 2.2 | |||||||||||
942,692 | Kinross Gold Corp. | 16,110,606 | 2.1 | |||||||||||
1,434,500 | @ | Lundin Mining Corp. | 4,056,028 | 0.5 | ||||||||||
938,229 | Nexen, Inc. | 18,454,964 | 2.4 | |||||||||||
1,337,639 | Suncor Energy, Inc. | 39,380,091 | 5.1 | |||||||||||
418,796 | Teck Cominco Ltd. – Class B | 12,387,986 | 1.6 | |||||||||||
209,414,297 | 27.0 | |||||||||||||
China: 1.2% | ||||||||||||||
11,108,784 | China Petroleum & Chemical Corp. | 8,960,677 | 1.2 | |||||||||||
France: 0.7% | ||||||||||||||
128,200 | Total SA ADR | 5,722,848 | 0.7 | |||||||||||
Japan: 0.9% | ||||||||||||||
1,244 | Inpex Holdings, Inc. | 6,899,862 | 0.9 | |||||||||||
Netherlands: 1.8% | ||||||||||||||
268,942 | Royal Dutch Shell PLC ADR – Class A | 13,506,267 | 1.8 | |||||||||||
96
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Russia: 2.4% | ||||||||||||||
186,692 | Lukoil-Spon ADR | $ | 9,614,638 | 1.2 | ||||||||||
491,034 | OAO Gazprom ADR | 9,236,350 | 1.2 | |||||||||||
18,850,988 | 2.4 | |||||||||||||
Thailand: 0.8% | ||||||||||||||
4,647,600 | Thai Oil PCL | 6,273,715 | 0.8 | |||||||||||
United Kingdom: 1.9% | ||||||||||||||
450,968 | @ | Anglo American PLC ADR | 7,770,179 | 1.0 | ||||||||||
164,788 | Rio Tinto PLC ADR | 7,184,757 | 0.9 | |||||||||||
14,954,936 | 1.9 | |||||||||||||
United States: 59.8% | ||||||||||||||
304,549 | @ | Alpha Natural Resources, Inc. | 10,315,075 | 1.3 | ||||||||||
124,200 | Anadarko Petroleum Corp. | 4,482,378 | 0.6 | |||||||||||
316,967 | Apache Corp. | 26,685,452 | 3.4 | |||||||||||
682,047 | Arch Coal, Inc. | 13,511,351 | 1.7 | |||||||||||
205,700 | @ | Bill Barrett Corp. | 6,329,389 | 0.8 | ||||||||||
645,838 | @ | Cal Dive International, Inc. | 3,778,152 | 0.5 | ||||||||||
145,984 | @ | Cameron International Corp. | 4,747,400 | 0.6 | ||||||||||
524,879 | Chevron Corp. | 35,618,289 | 4.6 | |||||||||||
394,200 | @,L | Coeur d’Alene Mines Corp. | 6,220,476 | 0.8 | ||||||||||
287,000 | @ | Complete Production Services, Inc. | 4,104,100 | 0.5 | ||||||||||
1,070,239 | ConocoPhillips | 52,538,033 | 6.8 | |||||||||||
701,600 | @ | Denbury Resources, Inc. | 10,271,424 | 1.3 | ||||||||||
351,780 | Devon Energy Corp. | 21,430,438 | 2.8 | |||||||||||
289,454 | Ensco International PLC ADR | 11,369,753 | 1.5 | |||||||||||
1,367,358 | ExxonMobil Corp. | 78,035,121 | 10.0 | |||||||||||
416,028 | Halliburton Co. | 10,213,487 | 1.3 | |||||||||||
382,300 | Hess Corp. | 19,244,982 | 2.5 | |||||||||||
637,339 | International Paper Co. | 14,422,982 | 1.9 | |||||||||||
107,000 | L | Kaiser Aluminum Corp. | 3,709,690 | 0.5 | ||||||||||
283,800 | Murphy Oil Corp. | 14,062,290 | 1.8 | |||||||||||
597,912 | National Oilwell Varco, Inc. | 19,772,950 | 2.5 | |||||||||||
136,400 | Newmont Mining Corp. | 8,421,336 | 1.1 | |||||||||||
249,086 | Peabody Energy Corp. | 9,746,735 | 1.3 | |||||||||||
272,700 | Penn Virginia Corp. | 5,483,997 | 0.7 | |||||||||||
743,122 | Schlumberger Ltd. | 41,124,371 | 5.3 | |||||||||||
446,553 | Smith International, Inc. | 16,812,720 | 2.2 | |||||||||||
170,936 | United States Steel Corp. | 6,589,583 | 0.8 | |||||||||||
Other Securities | 5,792,731 | 0.7 | ||||||||||||
464,834,685 | 59.8 | |||||||||||||
Total Common Stock (Cost $821,929,439 ) | 759,859,244 | 97.8 |
97
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: 1.8% | ||||||||||||||
Affiliated Mutual Fund: 1.5% | ||||||||||||||
11,898,000 | ING Institutional Prime Money Market Fund – Class I | $ | 11,898,000 | 1.5 | ||||||||||
Total Mutual Fund (Cost $11,898,000 ) | 11,898,000 | 1.5 | ||||||||||||
Securities Lending CollateralCC: 0.3% | ||||||||||||||
1,658,169 | BNY Mellon Overnight Government Fund(1) | 1,658,169 | 0.2 | |||||||||||
784,324 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 627,459 | 0.1 | ||||||||||
Total Securities Lending Collateral (Cost $2,442,493) | 2,285,628 | 0.3 | ||||||||||||
Total Short-Term Investments (Cost $14,340,493) | 14,183,628 | 1.8 | ||||||||||||
Total Investments in Securities (Cost $836,269,932)* | $ | 774,042,872 | 99.6 | |||||||||||
Other Assets and Liabilities - Net | 2,918,804 | 0.4 | ||||||||||||
Net Assets | $ | 776,961,676 | 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, 2010. | ||||||||||||||
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 | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
* | Cost for federal income tax purposes is $875,186,458. | |||||||||||||
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 44,649,844 | ||
Gross Unrealized Depreciation | (145,793,430 | ) | ||
Net Unrealized Depreciation | $ | (101,143,586 | ) | |
Percentage of | ||||
Industry | Net Assets | |||
Energy | 78.4 | % | ||
Materials | 19.4 | |||
Short-Term Investments | 1.8 | |||
Other Assets and Liabilities - Net | 0.4 | |||
Net Assets | 100.0 | % | ||
98
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Australia | $ | — | $ | 3,322,729 | $ | — | $ | 3,322,729 | ||||||||
Bahamas | 7,118,240 | — | — | 7,118,240 | ||||||||||||
Canada | 209,414,297 | — | — | 209,414,297 | ||||||||||||
China | — | 8,960,677 | — | 8,960,677 | ||||||||||||
France | 5,722,848 | — | — | 5,722,848 | ||||||||||||
Japan | — | 6,899,862 | — | 6,899,862 | ||||||||||||
Netherlands | 13,506,267 | — | — | 13,506,267 | ||||||||||||
Russia | 18,850,988 | — | — | 18,850,988 | ||||||||||||
Thailand | — | 6,273,715 | — | 6,273,715 | ||||||||||||
United Kingdom | 7,184,757 | 7,770,179 | — | 14,954,936 | ||||||||||||
United States | 464,834,685 | — | — | 464,834,685 | ||||||||||||
Total Common Stock | 726,632,082 | 33,227,162 | — | 759,859,244 | ||||||||||||
Short-Term Investments | 13,556,169 | — | 627,459 | 14,183,628 | ||||||||||||
Total Investments, at value | $ | 740,188,251 | $ | 33,227,162 | $ | 627,459 | $ | 774,042,872 | ||||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
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. |
# | 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. |
99
(as a percent of net assets)
Financials | 26.1% | |||
Health Care | 16.3% | |||
Energy | 12.2% | |||
Materials | 9.2% | |||
Information Technology | 8.8% | |||
Consumer Staples | 6.7% | |||
Industrials | 6.5% | |||
Utilities | 4.7% | |||
Consumer Discretionary | 4.4% | |||
Telecommunication Services | 2.8% | |||
Purchased Option | 0.0% | |||
Other Assets and Liabilities – Net* | 2.3% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 92.2% | ||||||||||||||
Consumer Discretionary: 4.4% | ||||||||||||||
1,153,509 | Bharat Forge Ltd. | $ | 7,123,156 | 1.5 | ||||||||||
863,602 | Pantaloon Retail India Ltd. | 7,662,166 | 1.6 | |||||||||||
48,435 | Pantaloon Retail India Ltd. | 295,746 | ||||||||||||
186,685 | @ | Vail Resorts, Inc. | 6,517,173 | 1.3 | ||||||||||
21,598,241 | 4.4 | |||||||||||||
Consumer Staples: 6.7% | ||||||||||||||
101,397 | Nestle India Ltd. | 6,262,943 | 1.2 | |||||||||||
247,283 | Nestle S.A. | 11,923,698 | 2.4 | |||||||||||
104,420 | S | Reckitt Benckiser PLC | 4,857,023 | 1.0 | ||||||||||
211,910 | Sysco Corp. | 6,054,269 | 1.2 | |||||||||||
762,118 | Tesco PLC | 4,299,418 | 0.9 | |||||||||||
33,397,351 | 6.7 | |||||||||||||
Energy: 12.2% | ||||||||||||||
139,544 | BG Group PLC | 2,075,413 | 0.4 | |||||||||||
652,245 | @ | Denbury Resources, Inc. | 9,548,867 | 1.9 | ||||||||||
336,505 | Halliburton Co. | 8,261,198 | 1.7 | |||||||||||
460,807 | @ | Kinder Morgan Management, LLC | 26,077,068 | 5.3 | ||||||||||
160,430 | Peabody Energy Corp. | 6,277,626 | 1.3 | |||||||||||
138,425 | @ | Plains All American Pipeline L.P. | 8,125,548 | 1.6 | ||||||||||
60,365,720 | 12.2 | |||||||||||||
Financials: 20.6% | ||||||||||||||
815,485 | Assured Guaranty Ltd. | 10,821,486 | 2.2 | |||||||||||
834,282 | S | CapitaLand Ltd. | 2,127,372 | 0.4 | ||||||||||
957,705 | @ | CB Richard Ellis Group, Inc. | 13,034,365 | 2.6 | ||||||||||
777,109 | @ | DB Realty Ltd. | 6,312,913 | 1.3 | ||||||||||
3,344,000 | Hang Lung Properties Ltd. | 12,790,622 | 2.6 | |||||||||||
893,980 | ICICI Bank Ltd. | 16,350,290 | 4.2 | |||||||||||
126,440 | ICICI Bank Ltd. ADR | 4,569,542 | ||||||||||||
1,123,995 | Radian Group, Inc. | 8,137,724 | 1.6 | |||||||||||
100
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Financials (continued) | ||||||||||||||
870,420 | @,L | St Joe Co/The | $ | 20,158,922 | 4.1 | |||||||||
274,800 | Sumitomo Mitsui Financial Group, Inc. | 7,777,490 | 1.6 | |||||||||||
102,080,726 | 20.6 | |||||||||||||
Health Care: 16.3% | ||||||||||||||
526,550 | Bristol-Myers Squibb Co. | 13,132,157 | 2.7 | |||||||||||
106,385 | @ | Express Scripts, Inc. | 5,002,223 | 1.0 | ||||||||||
759,095 | @ | Forest Laboratories, Inc. | 20,821,976 | 4.2 | ||||||||||
1,021,200 | @,L | Mylan Laboratories | 17,401,248 | 3.5 | ||||||||||
311,610 | Perrigo Co. | 18,406,803 | 3.7 | |||||||||||
85,115 | Teva Pharmaceutical Industries Ltd. ADR | 4,425,129 | 0.9 | |||||||||||
Other Securities | 1,480,235 | 0.3 | ||||||||||||
80,669,771 | 16.3 | |||||||||||||
Industrials: 6.5% | ||||||||||||||
507,350 | @ | Continental Airlines, Inc. | 11,161,700 | 2.3 | ||||||||||
144,750 | CSX Corp. | 7,183,943 | 1.4 | |||||||||||
663,570 | @,L | UAL Corp. | 13,642,999 | 2.8 | ||||||||||
31,988,642 | 6.5 | |||||||||||||
Information Technology: 8.8% | ||||||||||||||
20,520 | International Business Machines Corp. | 2,533,810 | 0.5 | |||||||||||
117,645 | @ | Lam Research Corp. | 4,477,569 | 0.9 | ||||||||||
470,015 | Microsoft Corp. | 10,815,045 | 2.2 | |||||||||||
2,394,890 | @ | Motorola, Inc. | 15,614,683 | 3.1 | ||||||||||
1,045,335 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 10,202,470 | 2.1 | |||||||||||
43,643,577 | 8.8 | |||||||||||||
Materials: 9.2% | ||||||||||||||
902,430 | Jindal Steel & Power Ltd. | 12,050,302 | 2.5 | |||||||||||
836,397 | Jsw Steel Ltd. | 18,886,494 | 3.8 | |||||||||||
233,475 | Newmont Mining Corp. | 14,414,747 | 2.9 | |||||||||||
45,351,543 | 9.2 | |||||||||||||
Telecommunication Services: 2.8% | ||||||||||||||
3,254,145 | @,S | Sprint Nextel Corp. | 13,797,575 | 2.8 | ||||||||||
Utilities: 4.7% | ||||||||||||||
160,995 | American Water Works Co., Inc. | 3,316,497 | 0.7 | |||||||||||
162,646 | E.ON AG | 4,373,270 | 0.9 | |||||||||||
132,300 | Light S.A. | 1,542,889 | 0.3 | |||||||||||
101
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Utilities (continued) | ||||||||||||||
2,020,761 | NTPC Ltd. | $ | 8,647,345 | 1.7 | ||||||||||
2,429,515 | Power Grid Corp. of India Ltd. | 5,405,675 | 1.1 | |||||||||||
23,285,676 | 4.7 | |||||||||||||
Total Common Stock (Cost $454,676,911) | 456,178,822 | 92.2 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS: 5.5% | ||||||||||||||
Financials: 5.5% | ||||||||||||||
277,172 | Plum Creek Timber Co., Inc. | 9,570,749 | 1.9 | |||||||||||
224,835 | Potlatch Corp. | 8,033,355 | 1.6 | |||||||||||
902,490 | Prologis | 9,142,224 | 1.9 | |||||||||||
Other Securities | 244,149 | 0.1 | ||||||||||||
Total Real Estate Investment Trusts (Cost $26,701,645) | 26,990,477 | 5.5 | ||||||||||||
No. of | Percent of | |||||||||||||
Contracts | Value | Net Assets | ||||||||||||
POSITIONS IN PURCHASED OPTIONS: 0.0% | ||||||||||||||
Exchange-Traded Call Options: 0.0% | ||||||||||||||
19,166 | Ford Motor Co., Strike @ 14.00 — Exp 09/18/10 | $ | 229,992 | 0.0 | ||||||||||
Total Positions in Purchased Options (Cost $1,878,268) | 229,992 | 0.0 | ||||||||||||
Total Long-Term Investments (Cost $483,256,824) | 483,399,291 | 97.7 | ||||||||||||
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: 8.6% | ||||||||||||||
Securities Lending CollateralCC: 8.6% | ||||||||||||||
40,935,303 | BNY Mellon Overnight Government Fund(1) | $ | 40,935,303 | 8.3 | ||||||||||
1,618,796 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,295,037 | 0.3 | ||||||||||
Total Short-Term Investments (Cost $42,554,099) | 42,230,340 | 8.6 | ||||||||||||
Total Investments in Securities (Cost $525,810,923)* | $ | 525,629,631 | 106.3 | |||||||||||
Other Assets and Liabilities - Net | (30,919,483 | ) | (6.3 | ) | ||||||||||
Net Assets | $ | 494,710,148 | 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, 2010. | ||||||||||||||
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 | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
102
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. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
* | Cost for federal income tax purposes is $555,757,828. | |||||||||||||
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 43,748,312 | ||
Gross Unrealized Depreciation | (73,876,509 | ) | ||
Net Unrealized Depreciation | $ | (30,128,197 | ) | |
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 6,517,173 | $ | 15,081,068 | $ | — | $ | 21,598,241 | ||||||||
Consumer Staples | 6,054,269 | 27,343,082 | — | 33,397,351 | ||||||||||||
Energy | 58,290,307 | 2,075,413 | — | 60,365,720 | ||||||||||||
Financials | 63,034,952 | 39,045,774 | — | 102,080,726 | ||||||||||||
Health Care | 80,669,771 | — | — | 80,669,771 | ||||||||||||
Industrials | 31,988,642 | — | — | 31,988,642 | ||||||||||||
Information Technology | 43,643,577 | — | — | 43,643,577 | ||||||||||||
Materials | 14,414,747 | 30,936,796 | — | 45,351,543 | ||||||||||||
Telecommunication Services | 13,797,575 | — | — | 13,797,575 | ||||||||||||
Utilities | 4,859,386 | 18,426,290 | — | 23,285,676 | ||||||||||||
Total Common Stock | 323,270,399 | 132,908,423 | — | 456,178,822 | ||||||||||||
Real Estate Investment Trusts | 26,990,477 | — | — | 26,990,477 | ||||||||||||
Positions In Purchased Options | 229,992 | — | — | 229,992 | ||||||||||||
Short-Term Investments | 40,935,303 | — | 1,295,037 | 42,230,340 | ||||||||||||
Total Investments, at value | $ | 391,426,171 | $ | 132,908,423 | $ | 1,295,037 | $ | 525,629,631 | ||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | — | 39,143 | — | 39,143 | ||||||||||||
Total Assets | $ | 391,426,171 | $ | 132,947,566 | $ | 1,295,037 | $ | 525,668,774 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | $ | — | $ | (235,159 | ) | $ | — | $ | (235,159 | ) | ||||||
Written options | (292,860 | ) | — | — | (292,860 | ) | ||||||||||
Total Liabilities | $ | (292,860 | ) | $ | (235,159 | ) | $ | — | $ | (528,019 | ) | |||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 1,295,037 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,295,037 | ||||||||||||||||||
Total Investments, at value | $ | 1,295,037 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,295,037 | ||||||||||||||||||
103
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. |
In | Unrealized | |||||||||||||||||||||
Settlement | Exchange | Appreciation | ||||||||||||||||||||
Currency | Buy/Sell | Date | For | Value | (Depreciation) | |||||||||||||||||
British Pound | GBP 1,300,000 | BUY | 07/29/10 | $ | 1,926,860 | $ | 1,942,300 | $ | 15,440 | |||||||||||||
British Pound | GBP 2,000,000 | BUY | 08/05/10 | 2,964,440 | 2,988,143 | 23,703 | ||||||||||||||||
$ | 39,143 | |||||||||||||||||||||
British Pound | GBP 2,800,000 | SELL | 07/29/10 | $ | 4,081,840 | $ | 4,183,415 | $ | (101,575 | ) | ||||||||||||
British Pound | GBP 2,700,000 | SELL | 08/05/10 | 3,966,678 | 4,033,993 | (67,315 | ) | |||||||||||||||
British Pound | GBP 2,000,000 | SELL | 08/05/10 | 2,958,064 | 2,988,143 | (30,079 | ) | |||||||||||||||
British Pound | GBP 3,170,000 | SELL | 08/12/10 | 4,700,000 | 4,736,190 | (36,190 | ) | |||||||||||||||
$ | (235,159 | ) | ||||||||||||||||||||
Exercise | Expiration | # of | Premium | |||||||||||||||||
Description/Name of Issuer | Price | Date | Contracts | Received | Value | |||||||||||||||
Sprint Nextel Corporation | 5.00 | 08/21/10 | 16,270 | $ | 471,822 | $ | (292,860 | ) | ||||||||||||
$ | 471,822 | $ | (292,860 | ) | ||||||||||||||||
Derivatives not accounted for | ||||||
as hedging instruments | ||||||
under FASB ASC 815 | Location on Statement of Assets and Liabilities | Fair Value | ||||
Asset Derivatives | ||||||
Equity contracts | Investments in securities at value* | $ | 229,992 | |||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 39,143 | ||||
Total Asset Derivatives | $ | 269,135 | ||||
Liability Derivatives | ||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 235,159 | |||
Equity contracts | Written options | 292,860 | ||||
Total Liability Derivatives | $ | 528,019 | ||||
104
Amount of Realized Gain or (Loss) | ||||||||||||||||
on Derivatives Recognized in Income | ||||||||||||||||
Foreign | ||||||||||||||||
Derivatives not accounted for | Currency | |||||||||||||||
as hedging instruments | Related | Written | ||||||||||||||
under FASB ASC 815 | Investments* | Transactions** | Options | Total | ||||||||||||
Equity contracts | $ | 4,848,150 | $ | — | $ | (1,052,608 | ) | $ | 3,795,542 | |||||||
Foreign exchange contracts | — | 3,576,947 | — | 3,576,947 | ||||||||||||
Total | $ | 4,848,150 | $ | 3,576,947 | $ | (1,052,608 | ) | $ | 7,372,489 | |||||||
Change in Unrealized | ||||||||||||||||
Appreciation or (Depreciation) | ||||||||||||||||
on Derivatives Recognized in Income | ||||||||||||||||
Foreign | ||||||||||||||||
Derivatives not accounted for | Currency | |||||||||||||||
as hedging instruments | Related | Written | ||||||||||||||
under FASB ASC 815 | Investments* | Transactions** | Options | Total | ||||||||||||
Equity contracts | $ | (1,648,276 | ) | $ | — | $ | 178,962 | $ | (1,469,314 | ) | ||||||
Foreign exchange contracts | — | (873,434 | ) | — | (873,434 | ) | ||||||||||
Total | $ | (1,648,276 | ) | $ | (873,434 | ) | $ | 178,962 | $ | (2,342,748 | ) | |||||
* | 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. |
105
(as a percent of net assets)
Brazil | 16.4% | ||||
India | 14.6% | ||||
China | 12.1% | ||||
South Korea | 10.7% | ||||
Hong Kong | 10.2% | ||||
South Africa | 7.5% | ||||
Taiwan | 5.4% | ||||
Mexico | 5.2% | ||||
Russia | 3.8% | ||||
Indonesia | 3.4% | ||||
Turkey | 2.9% | ||||
Egypt | 1.6% | ||||
Countries less than 1.6%(1) | 5.5% | ||||
Other Assets and Liabilities – Net* | 0.7% | ||||
Net Assets | 100.0% |
* | Includes short-term investments related to securities lending collateral. |
(1) | Includes six countries, which each represents less than 1.6% of net assets. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 97.2% | ||||||||||||||
Belgium: 0.7% | ||||||||||||||
Other Securities | $ | 6,369,480 | 0.7 | |||||||||||
Brazil: 14.3% | ||||||||||||||
1,155,033 | All America Latina Logistica S.A. | 9,029,095 | 1.0 | |||||||||||
150,847 | Cia de Bebidas das Americas ADR | 15,237,055 | 1.7 | |||||||||||
1,419,900 | Companhia Brasileira de Meios de Pagamento | 12,067,183 | 1.3 | |||||||||||
1,795,800 | @ | OGX Petroleo e Gas Participacoes S.A. | 16,684,524 | 1.9 | ||||||||||
1,246,687 | Petroleo Brasileiro SA ADR | 37,151,273 | 4.2 | |||||||||||
1,778,681 | Vale S.A. ADR | 37,387,875 | 4.2 | |||||||||||
127,557,005 | 14.3 | |||||||||||||
Chile: 1.3% | ||||||||||||||
172,701 | L | Banco Santander Chile S.A. ADR | 11,586,510 | 1.3 | ||||||||||
China: 12.1% | ||||||||||||||
4,388,000 | L | Anhui Conch Cement Co., Ltd. | 12,757,046 | 1.4 | ||||||||||
13,279,537 | China Merchants Bank Co., Ltd. | 31,768,644 | 3.6 | |||||||||||
139,611 | @,L | New Oriental Education & Technology Group ADR | 13,010,349 | 1.4 | ||||||||||
2,380,000 | I,X | Ping An Insurance Group Co. of China Ltd. | 19,668,032 | 2.2 | ||||||||||
2,406,000 | L | Tsingtao Brewery Co., Ltd. | 11,239,579 | 1.3 | ||||||||||
Other Securities | 19,272,339 | 2.2 | ||||||||||||
107,715,989 | 12.1 | |||||||||||||
Egypt: 1.6% | ||||||||||||||
227,538 | Orascom Construction Industries | 8,957,793 | 1.0 | |||||||||||
Other Securities | 5,545,195 | 0.6 | ||||||||||||
14,502,988 | 1.6 | |||||||||||||
106
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Hong Kong: 10.2% | ||||||||||||||
1,763,500 | China Mobile Ltd. | $ | 17,525,397 | 2.0 | ||||||||||
3,506,000 | L | China Resources Enterprise | 12,907,139 | 1.4 | ||||||||||
11,430,000 | CNOOC Ltd. | 19,427,322 | 2.2 | |||||||||||
1,971,429 | Esprit Holdings Ltd. | 10,589,259 | 1.2 | |||||||||||
2,530,000 | Hang Lung Properties Ltd. | 9,677,116 | 1.1 | |||||||||||
4,648,000 | Li & Fung Ltd. | 20,795,044 | 2.3 | |||||||||||
90,921,277 | 10.2 | |||||||||||||
Hungary: 0.3% | ||||||||||||||
Other Securities | 2,894,003 | 0.3 | ||||||||||||
India: 14.6% | ||||||||||||||
503,406 | ACC Ltd. | 9,462,452 | 1.1 | |||||||||||
2,691,022 | Bharti Airtel Ltd. | 15,150,522 | 1.7 | |||||||||||
276,098 | HDFC Bank Ltd. ADR | 39,473,731 | 4.4 | |||||||||||
455,084 | Infosys Technologies Ltd. ADR | 27,264,082 | 3.1 | |||||||||||
673,500 | Jindal Steel & Power Ltd. | 8,993,360 | 1.0 | |||||||||||
570,335 | @ | Reliance Capital Ltd. | 9,267,594 | 1.0 | ||||||||||
381,300 | United Spirits Ltd. | 10,668,562 | 1.2 | |||||||||||
Other Securities | 9,796,671 | 1.1 | ||||||||||||
130,076,974 | 14.6 | |||||||||||||
Indonesia: 3.4% | ||||||||||||||
11,534,500 | Bank Rakyat Indonesia | 11,710,500 | 1.3 | |||||||||||
2,660,500 | PT Astra International Tbk | 14,056,719 | 1.6 | |||||||||||
Other Securities | 4,022,136 | 0.5 | ||||||||||||
29,789,355 | 3.4 | |||||||||||||
Italy: 1.4% | ||||||||||||||
346,207 | L | Tenaris SA ADR | 11,982,224 | 1.4 | ||||||||||
Malaysia: 0.6% | ||||||||||||||
Other Securities | 5,355,965 | 0.6 | ||||||||||||
Mexico: 5.2% | ||||||||||||||
215,128 | America Movil SA de CV — Series L ADR | 10,218,580 | 1.1 | |||||||||||
3,727,464 | @ | Grupo Financiero Banorte SA de CV | 14,122,402 | 1.6 | ||||||||||
7,704,340 | @ | Wal-Mart de Mexico SA de CV | 17,067,076 | 1.9 | ||||||||||
Other Securities | 4,963,850 | 0.6 | ||||||||||||
46,371,908 | 5.2 | |||||||||||||
Russia: 3.8% | ||||||||||||||
771,400 | # | Magnit OJSC GDR | 12,970,582 | 1.5 | ||||||||||
8,408,806 | Sberbank of Russian Federation | 20,517,487 | 2.3 | |||||||||||
33,488,069 | 3.8 | |||||||||||||
107
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
South Africa: 7.5% | ||||||||||||||
2,838,779 | African Bank Investments Ltd. | $ | 11,141,280 | 1.2 | ||||||||||
754,928 | Impala Platinum Holdings Ltd. | 17,570,247 | 2.0 | |||||||||||
873,657 | Massmart Holdings Ltd. | 13,390,130 | 1.5 | |||||||||||
1,063,499 | MTN Group Ltd. | 13,937,317 | 1.6 | |||||||||||
Other Securities | 10,874,853 | 1.2 | ||||||||||||
66,913,827 | 7.5 | |||||||||||||
South Korea: 10.7% | ||||||||||||||
118,392 | Hyundai Mobis | 19,857,240 | 2.2 | |||||||||||
127,797 | Hyundai Motor Co. | 14,953,367 | 1.7 | |||||||||||
237,243 | KT&G Corp. | 11,663,073 | 1.3 | |||||||||||
2 | # | KT&G Corp. GDR | 49 | |||||||||||
32,440 | Posco | 12,291,868 | 1.4 | |||||||||||
38,411 | Samsung Electronics Co., Ltd. | 24,091,926 | 2.7 | |||||||||||
27,867 | Shinsegae Co., Ltd. | 12,040,607 | 1.4 | |||||||||||
94,898,130 | 10.7 | |||||||||||||
Taiwan: 5.4% | ||||||||||||||
5,564,608 | @ | HON HAI Precision Industry Co., Ltd. | 19,504,911 | 2.2 | ||||||||||
2,483,223 | Taiwan Semiconductor Manufacturing Co., Ltd. | 4,641,253 | 3.2 | |||||||||||
2,442,162 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 23,835,501 | ||||||||||||
Other Securities | 1 | 0.0 | ||||||||||||
47,981,666 | 5.4 | |||||||||||||
Turkey: 2.9% | ||||||||||||||
6,118,927 | Turkiye Garanti Bankasi A/S | 25,464,730 | 2.9 | |||||||||||
Other Securities | 20 | 0.0 | ||||||||||||
25,464,750 | 2.9 | |||||||||||||
United States: 1.2% | ||||||||||||||
340,561 | @ | NII Holdings, Inc. | 11,075,044 | 1.2 | ||||||||||
Total Common Stock (Cost $753,304,937) | 864,945,164 | 97.2 | ||||||||||||
PREFERRED STOCK: 2.1% | ||||||||||||||
Brazil: 2.1% | ||||||||||||||
1,042,023 | Itau Unibanco Holding SA | 18,785,279 | 2.1 | |||||||||||
Total Preferred Stock (Cost $14,594,475) | 18,785,279 | 2.1 | ||||||||||||
Total Long-Term Investments (Cost $767,899,412) | 883,730,443 | 99.3 |
108
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: 3.0% | ||||||||||||||
Securities Lending CollateralCC: 3.0% | ||||||||||||||
24,060,254 | BNY Mellon Overnight Government Fund(1) | $ | 24,060,254 | 2.7 | ||||||||||
3,197,563 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 2,558,050 | 0.3 | ||||||||||
Total Short-Term Investments (Cost $27,257,817) | 26,618,304 | 3.0 | ||||||||||||
Total Investments in Securities (Cost $795,157,229)* | $ | 910,348,747 | 102.3 | |||||||||||
Other Assets and Liabilities - Net | (20,623,302 | ) | (2.3 | ) | ||||||||||
Net Assets | $ | 889,725,445 | 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, 2010. | ||||||||||||||
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 | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
GDR | Global Depositary Receipt | |||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. | |||||||||||||
* | Cost for federal income tax purposes is $814,078,347. | |||||||||||||
Net unrealized appreciation consists of: |
Gross Unrealized Appreciation | $ | 147,956,166 | ||
Gross Unrealized Depreciation | (51,685,766 | ) | ||
Net Unrealized Appreciation | $ | 96,270,400 | ||
Percentage of | ||||
Industry | Net Assets | |||
Consumer Discretionary | 10.5 | % | ||
Consumer Staples | 15.4 | |||
Energy | 9.6 | |||
Financials | 27.3 | |||
Industrials | 2.0 | |||
Information Technology | 13.5 | |||
Materials | 12.7 | |||
Telecommunication Services | 8.3 | |||
Short-Term Investments | 3.0 | |||
Other Assets and Liabilities - Net | (2.3 | ) | ||
Net Assets | 100.0 | % | ||
109
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Belgium | $ | — | $ | 6,369,480 | $ | — | $ | 6,369,480 | ||||||||
Brazil | 127,557,005 | — | — | 127,557,005 | ||||||||||||
Chile | 11,586,510 | — | — | 11,586,510 | ||||||||||||
China | 13,010,349 | 94,705,640 | — | 107,715,989 | ||||||||||||
Egypt | — | 14,502,988 | — | 14,502,988 | ||||||||||||
Hong Kong | — | 90,921,277 | — | 90,921,277 | ||||||||||||
Hungary | — | 2,894,003 | — | 2,894,003 | ||||||||||||
India | 66,737,830 | 63,339,144 | — | 130,076,974 | ||||||||||||
Indonesia | — | 29,789,355 | — | 29,789,355 | ||||||||||||
Italy | 11,982,224 | — | — | 11,982,224 | ||||||||||||
Malaysia | — | 5,355,965 | — | 5,355,965 | ||||||||||||
Mexico | 46,371,908 | — | — | 46,371,908 | ||||||||||||
Russia | 25,251,055 | 8,237,014 | — | 33,488,069 | ||||||||||||
South Africa | — | 66,913,827 | — | 66,913,827 | ||||||||||||
South Korea | 49 | 94,898,081 | — | 94,898,130 | ||||||||||||
Taiwan | 23,835,501 | 24,146,165 | — | 47,981,666 | ||||||||||||
Turkey | — | 25,464,750 | — | 25,464,750 | ||||||||||||
United States | 11,075,044 | — | — | 11,075,044 | ||||||||||||
Total Common Stock | 337,407,475 | 527,537,689 | — | 864,945,164 | ||||||||||||
Preferred Stock | 18,785,279 | — | — | 18,785,279 | ||||||||||||
Short-Term Investments | 24,060,254 | — | 2,558,050 | 26,618,304 | ||||||||||||
Total Investments, at value | $ | 380,253,008 | $ | 527,537,689 | $ | 2,558,050 | $ | 910,348,747 | ||||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 2,558,050 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,558,050 | ||||||||||||||||||
Total Investments, at value | $ | 2,558,050 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,558,050 | ||||||||||||||||||
^ | 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. |
110
(as a percent of net assets)
Commercial Paper | 42.0% | |||
Repurchase Agreement | 32.0% | |||
Corporate Bonds/Notes | 12.8% | |||
Certificates Of Deposit | 10.6% | |||
U.S. Government Agency Obligations | 2.7% | |||
Securities Lending Collateralcc | 0.0% | |||
Other Assets and Liabilities – Net | (0.1)% | |||
Net Assets | 100.0% |
Principal | ||||||||||
Amount | Value | |||||||||
CERTIFICATES OF DEPOSIT: 10.6% | ||||||||||
$ | 17,500,000 | Barclays PLC, 0.500%, due 10/01/10 | $ | 17,500,000 | ||||||
8,750,000 | BNP Paribas, 0.250%, due 07/06/10 | 8,750,000 | ||||||||
21,000,000 | BNP Paribas, 0.270%, due 08/02/10 | 21,000,000 | ||||||||
8,750,000 | Dexia Del, LLC, 0.550%, due 07/22/10 | 8,750,102 | ||||||||
10,500,000 | Natixis, 0.270%, due 07/07/10 | 10,500,017 | ||||||||
16,250,000 | Natixis, 0.340%, due 07/07/10 | 16,250,000 | ||||||||
2,500,000 | Rabobank USA Financial Corp., 0.340%, due 11/15/10 | 2,498,951 | ||||||||
15,250,000 | Rabobank USA Financial Corp., 0.530%, due 11/30/10 | 15,250,642 | ||||||||
4,250,000 | Royal Bank of Canada, 0.400%, due 10/28/10 | 4,248,594 | ||||||||
19,750,000 | Societe Generale, 0.300%, due 07/09/10 | 19,750,131 | ||||||||
14,500,000 | Societe Generale, 0.300%, due 07/23/10 | 14,499,999 | ||||||||
14,500,000 | Svenska Handelsbanken AB, 0.290%, due 09/01/10 | 14,500,000 | ||||||||
2,000,000 | Svenska Handelsbanken AB, 0.520%, due 08/30/10 | 2,000,033 | ||||||||
1,750,000 | Toronoto Dominion Bank, 0.450%, due 11/04/10 | 1,750,000 | ||||||||
8,750,000 | Toronoto Dominion Bank, 0.510%, due 11/17/10 | 8,750,337 | ||||||||
11,750,000 | Toronoto Dominion Bank, 0.540%, due 11/19/10 | 11,751,827 | ||||||||
3,000,000 | UBS AG, 1.340%, due 09/27/10 | 3,005,373 | ||||||||
Total Certificates of Deposit (Cost $180,756,006) | 180,756,006 | |||||||||
COMMERCIAL PAPER: 42.0% | ||||||||||
6,000,000 | American Honda, 0.280%, due 08/31/10 | 5,997,153 | ||||||||
6,750,000 | ANZ National Bank Ltd., 0.501%, due 08/23/10 | 6,745,031 | ||||||||
14,000,000 | ANZ National Bank Ltd., 0.603%, due 04/20/11 | 13,931,633 | ||||||||
10,000,000 | ANZ National Bank Ltd., 0.704%, due 09/17/10 | 9,984,833 | ||||||||
35,750,000 | ASB Finance Ltd., 0.391%, due 09/24/10 | 35,717,257 | ||||||||
27,000,000 | Barton Capital, LLC, 0.420%, due 07/26/10 | 26,992,125 | ||||||||
6,500,000 | Barton Capital, LLC, 0.491%, due 09/16/10 | 6,493,188 | ||||||||
10,000,000 | Barton Capital, LLC, 0.491%, due 09/07/10 | 9,990,744 | ||||||||
5,750,000 | BNP Paribas, 0.591%, due 09/27/10 | 5,741,707 | ||||||||
4,435,000 | Cafco, LLC, 0.285%, due 07/08/10 | 4,434,754 | ||||||||
5,000,000 | Cafco, LLC, 0.350%, due 08/10/10 | 4,998,056 | ||||||||
16,000,000 | Cafco, LLC, 0.501%, due 09/16/10 | 15,982,889 | ||||||||
21,750,000 | Cafco, LLC, 0.561%, due 09/01/10 | 21,729,023 | ||||||||
7,250,000 | Ciesco, LLC, 0.440%, due 08/11/10 | 7,246,367 | ||||||||
15,000,000 | Ciesco, LLC, 0.501%, due 09/16/10 | 14,983,958 | ||||||||
18,250,000 | Ciesco, LLC, 0.531%, due 09/02/10 | 18,233,073 | ||||||||
20,500,000 | Commonwealth Bank of Australia, 0.361%, due 09/17/10 | 20,484,010 | ||||||||
111
Principal | ||||||||||
Amount | Value | |||||||||
$ | 2,000,000 | Concord Minutemen Capital Co., LLC, 0.400%, due 07/06/10 | $ | 1,999,889 | ||||||
11,000,000 | Concord Minutemen Capital Co., LLC, 0.551%, due 07/12/10 | 10,998,151 | ||||||||
4,000,000 | Concord Minutemen Capital Co., LLC, 0.592%, due 09/02/10 | 3,995,870 | ||||||||
7,500,000 | Concord Minutemen Capital Co., LLC, 0.602%, due 11/19/10 | 7,482,375 | ||||||||
17,000,000 | Concord Minutemen Capital Co., LLC, 0.955%, due 01/11/11 | 16,912,969 | ||||||||
8,750,000 | Credit Suisse USA, Inc., 0.250%, due 07/30/10 | 8,748,238 | ||||||||
11,000,000 | Crown Point Capital Co., 0.551%, due 07/12/10 | 10,998,151 | ||||||||
4,500,000 | Crown Point Capital Co., 0.592%, due 09/02/10 | 4,495,354 | ||||||||
10,000,000 | Crown Point Capital Co., 0.602%, due 11/19/10 | 9,973,680 | ||||||||
16,750,000 | Crown Point Capital Co., 0.955%, due 01/11/11 | 16,664,249 | ||||||||
15,500,000 | Danske Corp., 0.290%, due 07/23/10 | 15,497,253 | ||||||||
1,600,000 | Danske Corp., 0.300%, due 07/20/10 | 1,599,747 | ||||||||
30,750,000 | Deutsche Bank AG/London, 0.270%, due 07/26/10 | 30,744,234 | ||||||||
8,755,000 | Edison Asset Securities, LLC, 0.400%, due 08/09/10 | 8,751,206 | ||||||||
8,250,000 | Edison Asset Securities, LLC, 0.411%, due 10/18/10 | 8,239,759 | ||||||||
8,290,000 | Edison Asset Securities, LLC, 0.461%, due 08/30/10 | 8,283,644 | ||||||||
23,000,000 | Edison Asset Securities, LLC, 0.491%, due 09/07/10 | 22,978,712 | ||||||||
33,000,000 | Jupiter, 0.340%, due 08/06/10 | 32,987,745 | ||||||||
9,750,000 | Jupiter, 0.400%, due 08/12/10 | 9,745,450 | ||||||||
8,250,000 | Natixis, 0.400%, due 07/22/10 | 8,248,075 | ||||||||
10,250,000 | Natixis, 0.601%, due 08/06/10 | 10,244,630 | ||||||||
1,750,000 | Old Line Funding, LLC, 0.360%, due 08/13/10 | 1,749,248 | ||||||||
15,000,000 | Old Line Funding, LLC, 0.400%, due 08/18/10 | 14,992,000 | ||||||||
25,750,000 | Old Line Funding, LLC, 0.622%, due 12/13/10 | 25,676,827 | ||||||||
17,500,000 | Royal Bank of Canada, 0.571%, due 09/27/10 | 17,475,617 | ||||||||
3,750,000 | Societe Generale, 0.350%, due 08/03/10 | 3,748,797 | ||||||||
5,000,000 | Societe Generale, 0.500%, due 08/13/10 | 4,997,014 | ||||||||
6,750,000 | Societe Generale, 0.621%, due 09/15/10 | 6,741,165 | ||||||||
750,000 | Thunder Bay Funding, LLC, 0.270%, due 07/14/10 | 749,927 | ||||||||
1,000,000 | Thunder Bay Funding, LLC, 0.280%, due 07/13/10 | 999,907 | ||||||||
42,250,000 | Thunder Bay Funding, LLC, 0.420%, due 08/13/10 | 42,228,807 | ||||||||
53,000,000 | Variable Funding Capital Corp., 0.270%, due 07/14/10 | 52,994,833 | ||||||||
9,750,000 | Windmill Funding Corp., 0.340%, due 07/22/10 | 9,748,066 | ||||||||
12,750,000 | Windmill Funding Corp., 0.380%, due 07/26/10 | 12,746,635 | ||||||||
2,250,000 | Windmill Funding Corp., 0.491%, due 09/13/10 | 2,247,734 | ||||||||
17,500,000 | Windmill Funding Corp., 0.521%, due 09/20/10 | 17,479,525 | ||||||||
13,607,000 | Yorkstown Capital, LLC, 0.240%, due 07/09/10 | 13,606,274 | ||||||||
6,000,000 | Yorkstown Capital, LLC, 0.330%, due 07/23/10 | 5,998,790 | ||||||||
4,746,000 | Yorkstown Capital, LLC, 0.360%, due 07/26/10 | 4,744,814 | ||||||||
Total Commercial Paper (Cost $718,201,162) | 718,201,162 | |||||||||
CORPORATE BONDS/NOTES: 12.8% | ||||||||||
2,650,000 | C | Abbott Laboratories, 3.750%, due 03/15/11 | 2,706,781 | |||||||
3,000,000 | Australia & New Zealand Banking Group Ltd., 4.875%, due 11/08/10 | 3,046,788 | ||||||||
14,000,000 | # | Commonwealth Bank of Australia, 0.568%, due 06/20/11 | 14,000,000 | |||||||
16,450,000 | Credit Suisse USA, Inc., 0.636%, due 08/16/10 | 16,451,963 | ||||||||
7,750,000 | Credit Suisse USA, Inc., 0.726%, due 03/02/11 | 7,752,514 | ||||||||
2,750,000 | Credit Suisse USA, Inc., 4.875%, due 08/15/10 | 2,762,811 | ||||||||
8,000,000 | Deutsche Bank AG/London, 5.000%, due 10/12/10 | 8,103,557 | ||||||||
26,750,000 | Dexia Del, LLC, 0.447%, due 06/29/11 | 26,750,000 | ||||||||
112
Principal | ||||||||||
Amount | Value | |||||||||
$ | 16,500,000 | Kreditanstalt fuer Wiederaufbau, 3.250%, due 02/15/11 | $ | 16,785,344 | ||||||
12,500,000 | Kreditanstalt fuer Wiederaufbau, 4.625%, due 01/20/11 | 12,774,165 | ||||||||
7,000,000 | # | Rabobank, 0.436%, due 06/16/11 | 7,000,000 | |||||||
10,900,000 | Rabobank USA Financial Corp., 5.000%, due 02/15/11 | 11,178,303 | ||||||||
24,000,000 | #,C | Royal Bank of Canada, 0.342%, due 08/01/11 | 24,000,000 | |||||||
9,500,000 | C | Royal Bank of Canada, 0.611%, due 07/01/11 | 9,531,412 | |||||||
21,000,000 | #,C | Svenska Handelsbanken AB, 0.404%, due 08/09/11 | 21,000,000 | |||||||
26,500,000 | C | Westpac Banking Corp., 0.324%, due 06/28/11 | 26,500,000 | |||||||
8,250,000 | # | Westpac Banking Corp., 0.423%, due 08/13/10 | 8,249,886 | |||||||
Total Corporate Bonds/Notes (Cost $218,593,524) | 218,593,524 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 2.7% | ||||||||||
12,500,000 | Federal Home Loan Mortgage Corporation, 1.550%, due 12/15/10 | 12,567,996 | ||||||||
25,000,000 | Federal National Mortgage Association, 0.462%, due 03/01/11 | 24,922,375 | ||||||||
1,250,000 | L | Federal National Mortgage Association, 1.500%, due 09/16/10 | 1,252,866 | |||||||
2,000,000 | Federal National Mortgage Association, 4.250%, due 08/15/10 | 2,009,388 | ||||||||
4,800,000 | Federal National Mortgage Association, 4.750%, due 12/15/10 | 4,896,269 | ||||||||
Total U.S. Government Agency Obligations (Cost $45,648,894) | 45,648,894 | |||||||||
REPURCHASE AGREEMENTS: 32.0% | ||||||||||
304,076,000 | Goldman Sachs Repurchase Agreement dated 06/30/10, 0.020%, due 07/01/10, $304,076,169 to be received upon repurchase (Collateralized by $254,093,000 various U.S. Government Agency Obligations, 5.050%-6.750%, Market Value plus accrued interest $310,158,735, due 07/15/12-03/15/31) | 304,076,000 | ||||||||
243,000,000 | Morgan Stanley Repurchase Agreement dated 06/30/10, 0.020%, due 07/01/10, $243,000,135 to be received upon repurchase (Collateralized by $245,575,000 Federal Home Loan Bank, 0.280%-4.250%, Market Value plus accrued interest $247,863,704, due 09/30/10-06/27/11) | 243,000,000 | ||||||||
Total Repurchase Agreement (Cost $547,076,000) | 547,076,000 | |||||||||
Shares | Value | |||||||||
SECURITIES LENDING COLLATERALCC: 0.0% | ||||||||||
102,750 | BNY Mellon Overnight Government Fund(1) | $ | 102,750 | |||||||
Total Securities Lending Collateral (Cost $102,750) | 102,750 |
Total Investments in Securities (Cost $1,710,378,336)* | 100.1 | % | $ | 1,710,378,336 | ||||||||||
Other Assets and Liabilities - Net | (0.1 | ) | (1,823,243 | ) | ||||||||||
Net Assets | 100.0 | % | $ | 1,708,555,093 | ||||||||||
113
(1) | All securities with a maturity date of greater than 13 months have either a variable rate, a demand feature, prerefunded, optional or mandatory put resulting in a maturity of one year or less. Rate shown reflects current rate. | |||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | |||||||||||||
C | Bond may be called prior to maturity date. | |||||||||||||
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, 2010. | |||||||||||||
* | Cost for federal income tax purposes is the same as for financial statement purposes. |
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Certificates of Deposit | $ | — | $ | 180,756,006 | $ | — | $ | 180,756,006 | ||||||||
Commercial Paper | — | 718,201,162 | — | 718,201,162 | ||||||||||||
Corporate Bonds/Notes | — | 218,593,524 | — | 218,593,524 | ||||||||||||
U.S. Government Agency Obligations | — | 45,648,894 | — | 45,648,894 | ||||||||||||
Repurchase Agreements | — | 547,076,000 | — | 547,076,000 | ||||||||||||
Securities Lending Collateral | 102,750 | — | — | 102,750 | ||||||||||||
Total Investments, at value | $ | 102,750 | $ | 1,710,275,586 | $ | — | $ | 1,710,378,336 | ||||||||
See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
114
(as a percent of net assets)
Consumer Discretionary | 22.9% | |||
Information Technology | 19.8% | |||
Financials | 14.5% | |||
Materials | 13.7% | |||
Industrials | 13.5% | |||
Energy | 3.2% | |||
Health Care | 3.2% | |||
Telecommunication Services | 2.6% | |||
Other Assets and Liabilities – Net* | 6.6% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 92.9% | ||||||||||||||
Consumer Discretionary: 22.9% | ||||||||||||||
176,820 | @,L | Amazon.com, Inc. | $ | 19,319,353 | 2.9 | |||||||||
379,392 | @ | DIRECTV | 12,868,977 | 1.9 | ||||||||||
496,707 | Home Depot, Inc. | 13,942,565 | 2.1 | |||||||||||
410,995 | McDonald’s Corp. | 27,072,241 | 4.0 | |||||||||||
323,437 | Nike, Inc. | 21,848,169 | 3.3 | |||||||||||
245,844 | Nordstrom, Inc. | 7,913,718 | 1.2 | |||||||||||
62,753 | @ | Priceline.com, Inc. | 11,078,415 | 1.7 | ||||||||||
153,433 | Tiffany & Co. | 5,816,645 | 0.9 | |||||||||||
143,032 | TJX Cos., Inc. | 6,000,192 | 0.9 | |||||||||||
573,904 | Walt Disney Co. | 18,077,976 | 2.7 | |||||||||||
111,941 | L | Wynn Resorts Ltd. | 8,537,740 | 1.3 | ||||||||||
152,475,991 | 22.9 | |||||||||||||
Energy: 3.2% | ||||||||||||||
219,003 | EOG Resources, Inc. | 21,543,325 | 3.2 | |||||||||||
Financials: 14.0% | ||||||||||||||
129,028 | American Express Co. | 5,122,412 | 0.8 | |||||||||||
62,978 | Goldman Sachs Group, Inc. | 8,267,122 | 1.2 | |||||||||||
398,803 | JP Morgan Chase & Co. | 14,600,178 | 2.2 | |||||||||||
321,025 | PNC Financial Services Group, Inc. | 18,137,913 | 2.7 | |||||||||||
952,012 | US Bancorp. | 21,277,468 | 3.2 | |||||||||||
1,024,577 | Wells Fargo & Co. | 26,229,169 | 3.9 | |||||||||||
93,634,262 | 14.0 | |||||||||||||
Health Care: 3.2% | ||||||||||||||
181,440 | L | Johnson & Johnson | 10,715,846 | 1.6 | ||||||||||
298,477 | Merck & Co., Inc. | 10,437,741 | 1.6 | |||||||||||
21,153,587 | 3.2 |
115
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Industrials: 13.5% | ||||||||||||||
344,548 | Danaher Corp. | $ | 12,789,622 | 1.9 | ||||||||||
185,982 | L | FedEx Corp. | 13,039,198 | 2.0 | ||||||||||
324,764 | General Dynamics Corp. | 19,018,180 | 2.8 | |||||||||||
309,015 | Norfolk Southern Corp. | 16,393,246 | 2.5 | |||||||||||
416,325 | Union Pacific Corp. | 28,938,751 | 4.3 | |||||||||||
90,178,997 | 13.5 | |||||||||||||
Information Technology: 19.8% | ||||||||||||||
209,950 | @ | Apple, Inc. | 52,808,724 | 7.9 | ||||||||||
341,009 | @ | Baidu.com ADR | 23,215,893 | 3.5 | ||||||||||
946,793 | @ | Cisco Systems, Inc. | 20,176,159 | 3.0 | ||||||||||
868,106 | @ | EMC Corp. | 15,886,340 | 2.4 | ||||||||||
44,325 | @ | Google, Inc. – Class A | 19,722,409 | 3.0 | ||||||||||
131,809,525 | 19.8 | |||||||||||||
Materials: 13.7% | ||||||||||||||
403,545 | BHP Billiton PLC ADR | 20,758,355 | 3.1 | |||||||||||
1,006,743 | Dow Chemical Co. | 23,879,944 | 3.6 | |||||||||||
220,223 | Monsanto Co. | 10,178,707 | 1.5 | |||||||||||
95,190 | Potash Corp. of Saskatchewan | 8,209,186 | 1.2 | |||||||||||
205,993 | PPG Industries, Inc. | 12,444,037 | 1.9 | |||||||||||
211,425 | Praxair, Inc. | 16,066,186 | 2.4 | |||||||||||
91,536,415 | 13.7 | |||||||||||||
Telecommunication Services: 2.6% | ||||||||||||||
282,118 | @ | American Tower Corp. | 12,554,251 | 1.9 | ||||||||||
120,190 | @,L | Crown Castle International Corp. | 4,478,279 | 0.7 | ||||||||||
17,032,530 | 2.6 | |||||||||||||
Total Common Stock (Cost $570,824,802) | 619,364,632 | 92.9 | ||||||||||||
PREFERRED STOCK: 0.5% | ||||||||||||||
Financials: 0.5% | ||||||||||||||
131,480 | P,L | Wells Fargo & Co. | 3,404,017 | 0.5 | ||||||||||
Total Preferred Stock (Cost $2,516,649) | 3,404,017 | 0.5 | ||||||||||||
Total Long-Term Investments (Cost $573,341,451) | 622,768,649 | 93.4 | ||||||||||||
SHORT-TERM INVESTMENTS: 7.6% | ||||||||||||||
Affiliated Mutual Fund: 6.9% | ||||||||||||||
45,896,445 | ING Institutional Prime Money Market Fund – Class I | 45,896,445 | 6.9 | |||||||||||
Total Mutual Fund (Cost $45,896,445) | 45,896,445 | 6.9 |
116
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Securities Lending CollateralCC: 0.7% | ||||||||||||||
2,780,340 | BNY Mellon Overnight Government Fund(1) | $ | 2,780,340 | 0.4 | ||||||||||
2,402,610 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,922,088 | 0.3 | ||||||||||
Total Securities Lending Collateral (Cost $5,182,950) | 4,702,428 | 0.7 | ||||||||||||
Total Short-Term Investments (Cost $51,079,395) | 50,598,873 | 7.6 | ||||||||||||
Total Investments in Securities (Cost $624,420,846)* | $ | 673,367,522 | 101.0 | |||||||||||
Other Assets and Liabilities - Net | (6,754,050 | ) | (1.0 | ) | ||||||||||
Net Assets | $ | 666,613,472 | 100.0 | |||||||||||
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 | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
P | Preferred Stock may be called prior to convertible date. | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
* | Cost for federal income tax purposes is $634,493,393. | |||||||||||||
Net unrealized appreciation consists of: |
Gross Unrealized Appreciation | $ | 71,451,088 | ||
Gross Unrealized Depreciation | (32,576,959 | ) | ||
Net Unrealized Appreciation | $ | 38,874,129 | ||
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock* | $ | 619,364,632 | $ | — | $ | — | $ | 619,364,632 | ||||||||
Preferred Stock | — | 3,404,017 | — | 3,404,017 | ||||||||||||
Short-Term Investments | 48,676,785 | — | 1,922,088 | 50,598,873 | ||||||||||||
Total Investments, at value | $ | 668,041,417 | $ | 3,404,017 | $ | 1,922,088 | $ | 673,367,522 | ||||||||
117
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
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. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
118
(as a percent of net assets)
Germany | 12.7% | |||
Japan | 12.3% | |||
United Kingdom | 11.9% | |||
France | 8.2% | |||
Switzerland | 7.4% | |||
Brazil | 7.2% | |||
Hong Kong | 5.0% | |||
Spain | 4.8% | |||
China | 4.4% | |||
Canada | 3.8% | |||
Israel | 3.2% | |||
Taiwan | 3.1% | |||
Countries less than 3.1%(1) | 12.8% | |||
Other Assets and Liabilities – Net* | 3.2% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 96.6% | ||||||||||||||
Argentina: 0.5% | ||||||||||||||
Other Securities | $ | 1,571,245 | 0.5 | |||||||||||
Belgium: 2.5% | ||||||||||||||
175,677 | Anheuser-Busch InBev NV | 8,446,793 | 2.5 | |||||||||||
Brazil: 7.0% | ||||||||||||||
924,600 | @ | OGX Petroleo e Gas Participacoes S.A. | 8,590,328 | 2.6 | ||||||||||
728,100 | PDG Realty SA Empreendimentos e Participacoes | 6,099,098 | 1.8 | |||||||||||
199,900 | Vale S.A. ADR | 4,867,565 | 1.5 | |||||||||||
Other Securities | 3,723,670 | 1.1 | ||||||||||||
23,280,661 | 7.0 | |||||||||||||
Canada: 3.8% | ||||||||||||||
120,910 | Canadian National Railway Co. | 6,937,816 | 2.1 | |||||||||||
71,067 | @ | Research In Motion Ltd. | 3,500,760 | 1.0 | ||||||||||
Other Securities | 2,390,741 | 0.7 | ||||||||||||
12,829,317 | 3.8 | |||||||||||||
China: 4.4% | ||||||||||||||
51,980 | @ | Baidu.com ADR | 3,538,798 | 1.1 | ||||||||||
91,000 | @ | Ctrip.com International Ltd. ADR | 3,417,960 | 1.0 | ||||||||||
423,500 | I,X | Ping An Insurance Group Co. of China Ltd. | 3,499,753 | 1.0 | ||||||||||
Other Securities | 4,227,057 | 1.3 | ||||||||||||
14,683,568 | 4.4 | |||||||||||||
Denmark: 2.4% | ||||||||||||||
64,549 | Novo-Nordisk A/S | 5,215,091 | 1.6 | |||||||||||
Other Securities | 2,800,154 | 0.8 | ||||||||||||
8,015,245 | 2.4 |
119
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
France: 8.2% | ||||||||||||||
121,316 | @,L | Accor S.A. | $ | 5,616,376 | 1.7 | |||||||||
321,172 | L | AXA S.A. | 4,906,586 | 1.5 | ||||||||||
45,680 | L | Pernod-Ricard S.A. | 3,543,185 | 1.0 | ||||||||||
124,167 | L | Publicis Groupe | 4,953,004 | 1.5 | ||||||||||
66,069 | Schneider Electric S.A. | 6,672,982 | 2.0 | |||||||||||
Other Securities | 1,655,884 | 0.5 | ||||||||||||
27,348,017 | 8.2 | |||||||||||||
Germany: 12.7% | ||||||||||||||
99,666 | Adidas AG | 4,825,330 | 1.4 | |||||||||||
191,804 | BASF AG | 10,480,263 | 3.1 | |||||||||||
129,040 | @ | DaimlerChrysler AG | 6,527,568 | 2.0 | ||||||||||
641,198 | @ | Infineon Technologies AG | 3,717,294 | 1.1 | ||||||||||
129,393 | Metro AG | 6,601,841 | 2.0 | |||||||||||
79,780 | Siemens AG | 7,135,517 | 2.1 | |||||||||||
Other Securities | 3,322,743 | 1.0 | ||||||||||||
42,610,556 | 12.7 | |||||||||||||
Hong Kong: 5.0% | ||||||||||||||
2,479,400 | CNOOC Ltd. | 4,214,182 | 1.2 | |||||||||||
1,730,000 | Li & Fung Ltd. | 7,739,974 | 2.3 | |||||||||||
Other Securities | 4,917,696 | 1.5 | ||||||||||||
16,871,852 | 5.0 | |||||||||||||
India: 2.8% | ||||||||||||||
161,206 | ICICI Bank Ltd. ADR | 5,825,985 | 1.7 | |||||||||||
79,250 | L | Reliance Industries – Spons GDR | 3,666,876 | 1.1 | ||||||||||
9,492,861 | 2.8 | |||||||||||||
Ireland: 1.0% | ||||||||||||||
86,200 | Covidien PLC | 3,463,516 | 1.0 | |||||||||||
Israel: 3.2% | ||||||||||||||
204,065 | Teva Pharmaceutical Industries Ltd. ADR | 10,609,339 | 3.2 | |||||||||||
Japan: 12.3% | ||||||||||||||
133,800 | Canon, Inc. | 4,986,653 | 1.5 | |||||||||||
134,400 | L | FamilyMart Co., Ltd. | 4,438,284 | 1.3 | ||||||||||
119,800 | Honda Motor Co., Ltd. | 3,518,867 | 1.1 | |||||||||||
1,329,000 | Marubeni Corp. | 6,812,989 | 2.0 | |||||||||||
2,559,800 | L | Mizuho Financial Group, Inc. | 4,200,148 | 1.3 | ||||||||||
17,200 | Nintendo Co., Ltd. | 5,050,078 | 1.5 | |||||||||||
147,600 | Tokyo Electric Power Co., Inc. | 4,015,229 | 1.2 | |||||||||||
Other Securities | 8,022,068 | 2.4 | ||||||||||||
41,044,316 | 12.3 |
120
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Luxembourg: 1.6% | ||||||||||||||
65,000 | Millicom International Cellular S.A. | $ | 5,269,550 | 1.6 | ||||||||||
Singapore: 1.5% | ||||||||||||||
1,969,500 | CapitaLand Ltd. | 5,022,114 | 1.5 | |||||||||||
Spain: 4.8% | ||||||||||||||
525,349 | Banco Bilbao Vizcaya Argentaria S.A. | 5,412,646 | 1.6 | |||||||||||
183,996 | Inditex S.A. | 10,491,728 | 3.2 | |||||||||||
15,904,374 | 4.8 | |||||||||||||
Sweden: 0.5% | ||||||||||||||
Other Securities | 1,598,735 | 0.5 | ||||||||||||
Switzerland: 7.4% | ||||||||||||||
89,053 | Credit Suisse Group | 3,348,147 | 1.0 | |||||||||||
147,005 | Nestle S.A. | 7,088,410 | 2.1 | |||||||||||
23,474 | Swatch Group AG – BR | 6,620,257 | 2.0 | |||||||||||
23,977 | Syngenta AG | 5,539,072 | 1.6 | |||||||||||
Other Securities | 2,283,141 | 0.7 | ||||||||||||
24,879,027 | 7.4 | |||||||||||||
Taiwan: 3.1% | ||||||||||||||
288,000 | High Tech Computer Corp. | 3,824,671 | 1.1 | |||||||||||
1,901,237 | @ | HON HAI Precision Industry Co., Ltd. | 6,664,164 | 2.0 | ||||||||||
10,488,835 | 3.1 | |||||||||||||
United Kingdom: 11.9% | ||||||||||||||
182,081 | @ | Autonomy Corp. PLC | 4,963,227 | 1.5 | ||||||||||
672,950 | Compass Group PLC | 5,119,451 | 1.5 | |||||||||||
726,310 | HSBC Holdings PLC | 6,635,346 | 2.0 | |||||||||||
79,282 | Reckitt Benckiser PLC | 3,687,747 | 1.1 | |||||||||||
609,624 | Rolls-Royce Group PLC | 5,088,398 | 1.5 | |||||||||||
19,307,790 | @,I | Rolls-Royce Group PLC – C Shares | 28,848 | |||||||||||
276,411 | Standard Chartered PLC | 6,730,716 | 2.0 | |||||||||||
737,848 | Tesco PLC | 4,162,501 | 1.3 | |||||||||||
Other Securities | 3,252,817 | 1.0 | ||||||||||||
39,669,051 | 11.9 | |||||||||||||
Total Common Stock (Cost $334,083,157) | 323,098,972 | 96.6 | ||||||||||||
PREFERRED STOCK: 0.2% | ||||||||||||||
Brazil: 0.2% | ||||||||||||||
Other Securities | 734,270 | 0.2 | ||||||||||||
Total Preferred Stock (Cost $1,020,177) | 734,270 | 0.2 | ||||||||||||
Total Long-Term Investments (Cost $335,103,334) | 323,833,242 | 96.8 |
121
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: 11.5% | ||||||||||||||
Affiliated Mutual Fund: 3.4% | ||||||||||||||
11,334,294 | ING Institutional Prime Money Market Fund – Class I | $ | 11,334,294 | 3.4 | ||||||||||
Total Mutual Fund (Cost $11,334,294) | 11,334,294 | 3.4 | ||||||||||||
Securities Lending CollateralCC: 8.1% | ||||||||||||||
26,228,665 | BNY Mellon Overnight Government Fund(1) | 26,228,665 | 7.9 | |||||||||||
901,350 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 721,080 | 0.2 | ||||||||||
Total Securities Lending Collateral (Cost $27,130,015) | 26,949,745 | 8.1 | ||||||||||||
Total Short-Term Investments (Cost $38,464,309) | 38,284,039 | 11.5 | ||||||||||||
Total Investments in Securities (Cost $373,567,643)* | $ | 362,117,281 | 108.3 | |||||||||||
Other Assets and Liabilities - Net | (27,729,352 | ) | (8.3 | ) | ||||||||||
Net Assets | $ | 334,387,929 | 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, 2010. | ||||||||||||||
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 | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
GDR | Global Depositary Receipt | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. | |||||||||||||
* | Cost for federal income tax purposes is $386,098,799. | |||||||||||||
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 11,104,139 | ||
Gross Unrealized Depreciation | (35,085,657 | ) | ||
Net Unrealized Depreciation | $ | (23,981,518 | ) | |
122
Percentage of | ||||
Industry | Net Assets | |||
Consumer Discretionary | 21.7% | |||
Consumer Staples | 11.4 | |||
Energy | 4.9 | |||
Financials | 16.0 | |||
Health Care | 6.4 | |||
Industrials | 11.3 | |||
Information Technology | 13.5 | |||
Materials | 8.8 | |||
Telecommunication Services | 1.6 | |||
Utilities | 1.2 | |||
Short-Term Investments | 11.5 | |||
Other Assets and Liabilities - Net | (8.3 | ) | ||
Net Assets | 100.0% | |||
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Argentina | $ | 1,571,245 | $ | — | $ | — | $ | 1,571,245 | ||||||||
Belgium | — | 8,446,793 | — | 8,446,793 | ||||||||||||
Brazil | 23,280,661 | — | — | 23,280,661 | ||||||||||||
Canada | 12,829,317 | — | — | 12,829,317 | ||||||||||||
China | 6,956,758 | 7,726,810 | — | 14,683,568 | ||||||||||||
Denmark | — | 8,015,245 | — | 8,015,245 | ||||||||||||
France | — | 27,348,017 | — | 27,348,017 | ||||||||||||
Germany | — | 42,610,556 | — | 42,610,556 | ||||||||||||
Hong Kong | — | 16,871,852 | — | 16,871,852 | ||||||||||||
India | 5,825,985 | 3,666,876 | — | 9,492,861 | ||||||||||||
Ireland | 3,463,516 | — | — | 3,463,516 | ||||||||||||
Israel | 10,609,339 | — | — | 10,609,339 | ||||||||||||
Japan | 3,518,867 | 37,525,449 | — | 41,044,316 | ||||||||||||
Luxembourg | 5,269,550 | — | — | 5,269,550 | ||||||||||||
Singapore | — | 5,022,114 | — | 5,022,114 | ||||||||||||
Spain | — | 15,904,374 | — | 15,904,374 | ||||||||||||
Sweden | — | 1,598,735 | — | 1,598,735 | ||||||||||||
Switzerland | — | 24,879,027 | — | 24,879,027 | ||||||||||||
Taiwan | — | 10,488,835 | — | 10,488,835 | ||||||||||||
United Kingdom | — | 39,669,051 | — | 39,669,051 | ||||||||||||
Total Common Stock | 73,325,238 | 249,773,734 | — | 323,098,972 | ||||||||||||
Preferred Stock | 734,270 | — | — | 734,270 | ||||||||||||
Short-Term Investments | 37,562,959 | — | 721,080 | 38,284,039 | ||||||||||||
Total Investments, at value | $ | 111,622,467 | $ | 249,773,734 | $ | 721,080 | $ | 362,117,281 | ||||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 721,080 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 721,080 | ||||||||||||||||||
Total Investments, at value | $ | 721,080 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 721,080 | ||||||||||||||||||
123
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. |
124
Common Stock | 55.8% | |||
U.S. Government Agency Obligations | 14.9% | |||
U.S. Treasury Obligations | 13.4% | |||
Corporate Bonds/Notes | 10.7% | |||
Collateralized Mortgage Obligations | 2.5% | |||
Asset-Backed Securities | 1.1% | |||
Municipal Bonds | 0.5% | |||
Other Bonds | 0.3% | |||
Preferred Stock | 0.0% | |||
Other Assets and Liabilities – Net* | 0.8% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to commercial paper and securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 55.8% | ||||||||||||||
Consumer Discretionary: 4.8% | ||||||||||||||
111,060 | Nike, Inc. | $ | 7,502,103 | 0.8 | ||||||||||
143,720 | Omnicom Group | 4,929,596 | 0.5 | |||||||||||
234,290 | Walt Disney Co. | 7,380,135 | 0.7 | |||||||||||
Other Securities | 27,527,423 | 2.8 | ||||||||||||
47,339,257 | 4.8 | |||||||||||||
Consumer Staples: 7.4% | ||||||||||||||
375,977 | Diageo PLC | 5,905,807 | 0.6 | |||||||||||
135,990 | General Mills, Inc. | 4,830,365 | 0.5 | |||||||||||
206,308 | Nestle S.A. | 9,947,931 | 1.0 | |||||||||||
131,120 | PepsiCo, Inc. | 7,991,764 | 0.8 | |||||||||||
304,120 | Philip Morris International, Inc. | 13,940,861 | 1.4 | |||||||||||
139,084 | Procter & Gamble Co. | 8,342,258 | 0.9 | |||||||||||
Other Securities | 22,007,721 | 2.2 | ||||||||||||
72,966,707 | 7.4 | |||||||||||||
Energy: 7.0% | ||||||||||||||
121,090 | Apache Corp. | 10,194,567 | 1.0 | |||||||||||
133,397 | Chevron Corp. | 9,052,320 | 0.9 | |||||||||||
237,144 | ExxonMobil Corp. | 13,533,808 | 1.4 | |||||||||||
163,250 | Total SA ADR | 7,287,480 | 0.8 | |||||||||||
Other Securities | 28,676,139 | 2.9 | ||||||||||||
68,744,314 | 7.0 | |||||||||||||
Financials: 12.2% | ||||||||||||||
715,260 | Bank of America Corp. | 10,278,286 | 1.0 | |||||||||||
512,436 | Bank of New York Mellon Corp. | 12,652,045 | 1.3 | |||||||||||
101,180 | Goldman Sachs Group, Inc. | 13,281,899 | 1.4 | |||||||||||
494,380 | JP Morgan Chase & Co. | 18,099,252 | 1.8 | |||||||||||
313,200 | Metlife, Inc. | 11,826,432 | 1.2 | |||||||||||
78,120 | PNC Financial Services Group, Inc. | 4,413,780 | 0.5 | |||||||||||
145,620 | Prudential Financial, Inc. | 7,813,969 | 0.8 | |||||||||||
172,330 | State Street Corp. | 5,828,201 | 0.6 | |||||||||||
125
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Financials (continued) | ||||||||||||||
138,410 | Travelers Cos., Inc. | $ | 6,816,693 | 0.7 | ||||||||||
366,370 | Wells Fargo & Co. | 9,379,072 | 1.0 | |||||||||||
Other Securities | 18,900,687 | 1.9 | ||||||||||||
119,290,316 | 12.2 | |||||||||||||
Health Care: 5.9% | ||||||||||||||
193,680 | Abbott Laboratories | 9,060,351 | 0.9 | |||||||||||
65,800 | Becton Dickinson & Co. | 4,449,396 | 0.4 | |||||||||||
244,160 | Johnson & Johnson | 14,420,090 | 1.5 | |||||||||||
150,730 | Medtronic, Inc. | 5,466,977 | 0.6 | |||||||||||
600,268 | Pfizer, Inc. | 8,559,822 | 0.9 | |||||||||||
Other Securities | 15,646,580 | 1.6 | ||||||||||||
57,603,216 | 5.9 | |||||||||||||
Industrials: 6.6% | ||||||||||||||
93,080 | 3M Co. | 7,352,390 | 0.7 | |||||||||||
139,320 | Danaher Corp. | 5,171,558 | 0.5 | |||||||||||
234,040 | Lockheed Martin Corp. | 17,435,980 | 1.8 | |||||||||||
103,970 | Northrop Grumman Corp. | 5,660,127 | 0.6 | |||||||||||
185,770 | United Technologies Corp. | 12,058,331 | 1.2 | |||||||||||
Other Securities | 17,472,390 | 1.8 | ||||||||||||
65,150,776 | 6.6 | |||||||||||||
Information Technology: 4.5% | ||||||||||||||
147,770 | Accenture PLC | 5,711,312 | 0.6 | |||||||||||
121,719 | Hewlett-Packard Co. | 5,267,998 | 0.5 | |||||||||||
315,110 | Intel Corp. | 6,128,890 | 0.6 | |||||||||||
54,170 | International Business Machines Corp. | 6,688,912 | 0.7 | |||||||||||
342,788 | Oracle Corp. | 7,356,230 | 0.7 | |||||||||||
Other Securities | 13,327,417 | 1.4 | ||||||||||||
44,480,759 | 4.5 | |||||||||||||
Materials: 1.8% | ||||||||||||||
79,290 | Air Products & Chemicals, Inc. | 5,138,786 | 0.5 | |||||||||||
99,810 | PPG Industries, Inc. | 6,029,522 | 0.6 | |||||||||||
Other Securities | 6,266,300 | 0.7 | ||||||||||||
17,434,608 | 1.8 | |||||||||||||
Telecommunication Services: 2.6% | ||||||||||||||
654,396 | AT&T, Inc. | 15,829,832 | 1.6 | |||||||||||
3,809,920 | Vodafone Group PLC | 7,850,302 | 0.8 | |||||||||||
Other Securities | 1,909,596 | 0.2 | ||||||||||||
25,589,730 | 2.6 |
126
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Utilities: 3.0% | ||||||||||||||
146,160 | Public Service Enterprise Group, Inc. | $ | 4,579,193 | 0.5 | ||||||||||
Other Securities | 24,386,907 | 2.5 | ||||||||||||
28,966,100 | 3.0 | |||||||||||||
Total Common Stock (Cost $536,724,208) | 547,565,783 | 55.8 | ||||||||||||
PREFERRED STOCK: 0.0% | ||||||||||||||
Utilities: 0.0% | ||||||||||||||
Other Securities | 498,980 | 0.0 | ||||||||||||
Total Preferred Stock (Cost $478,500) | 498,980 | 0.0 | ||||||||||||
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: 10.7% | ||||||||||||||
Consumer Discretionary: 1.0% | ||||||||||||||
Other Securities | $ | 9,430,576 | 1.0 | |||||||||||
Consumer Staples: 0.6% | ||||||||||||||
$ | 1,090,000 | # | Anheuser-Busch InBev Worldwide, Inc., 8.000%, due 11/15/39 | 1,428,992 | 0.2 | |||||||||
965,000 | # | Erac USA Finance Co., 7.000%, due 10/15/37 | 1,054,905 | 0.1 | ||||||||||
1,119,000 | # | SABMiller PLC, 5.500%, due 08/15/13 | 1,225,061 | 0.1 | ||||||||||
Other Securities | 2,358,075 | 0.2 | ||||||||||||
6,067,033 | 0.6 | |||||||||||||
Energy: 1.3% | ||||||||||||||
925,000 | # | Ras Laffan Liquefied Natural Gas Co., Ltd. II, 5.832%, due 09/30/16 | 996,142 | 0.1 | ||||||||||
Other Securities | 11,330,175 | 1.2 | ||||||||||||
12,326,317 | 1.3 | |||||||||||||
Financials: 4.4% | ||||||||||||||
750,000 | # | Achmea Hypotheekbank NV, 3.200%, due 11/03/14 | 775,649 | 0.1 | ||||||||||
521,000 | # | Banco Bradesco SA/Cayman Islands, 6.750%, due 09/29/19 | 554,865 | 0.1 | ||||||||||
558,000 | # | BNP Paribas, 7.195%, due 12/31/49 | 491,040 | 0.1 | ||||||||||
1,125,000 | # | BPCE S.A., 12.500%, due 08/29/49 | 1,094,344 | 0.1 | ||||||||||
610,000 | # | Commonwealth Bank of Australia, 5.000%, due 10/15/19 | 634,380 | 0.1 | ||||||||||
605,000 | # | Crown Castle Towers LLC, 6.113%, due 01/15/20 | 665,239 | 0.1 | ||||||||||
837,000 | # | DBS Capital Funding Corp., 7.657%, due 03/31/49 | 855,833 | 0.1 | ||||||||||
1,400,000 | # | Irish Life & Permanent Group Holdings PLC, 3.600%, due 01/14/13 | 1,387,905 | 0.1 | ||||||||||
480,000 | # | Metropolitan Life Global Funding I, 5.125%, due 04/10/13 | 519,491 | 0.1 | ||||||||||
470,000 | # | Metropolitan Life Global Funding I, 5.125%, due 06/10/14 | 511,028 | |||||||||||
497,000 | #,L | Nordea Bank AB, 5.424%, due 12/29/49 | 444,917 | 0.0 | ||||||||||
1,960,000 | # | Royal Bank of Scotland PLC, 2.625%, due 05/11/12 | 2,010,921 | 0.2 | ||||||||||
1,500,000 | # | Svenska Handelsbanken AB, 4.875%, due 06/10/14 | 1,585,196 | 0.2 | ||||||||||
1,280,000 | # | Unicredit Luxembourg Finance S.A., 6.000%, due 10/31/17 | 1,279,343 | 0.1 | ||||||||||
1,619,000 | #,L | Unicredito Italiano Capital Trust II, 9.200%, due 10/29/49 | 1,546,145 | 0.2 | ||||||||||
314,000 | # | WEA Finance, LLC / WT Finance Aust Pty Ltd., 6.750%, due 09/02/19 | 349,602 | 0.0 | ||||||||||
2,157,000 | # | Woori Bank, 6.125%, due 05/03/16 | 2,174,262 | 0.2 | ||||||||||
127
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
Financials (continued) | ||||||||||||||
$ | 150,000 | # | ZFS Finance USA Trust IV, 5.875%, due 05/09/32 | $ | 133,128 | 0.0 | ||||||||
430,000 | # | ZFS Finance USA Trust V, 6.500%, due 05/09/37 | 389,150 | 0.0 | ||||||||||
Other Securities | 25,891,293 | 2.6 | ||||||||||||
43,293,731 | 4.4 | |||||||||||||
Health Care: 0.7% | ||||||||||||||
1,510,000 | # | Roche Holdings, Inc., 6.000%, due 03/01/19 | 1,762,027 | 0.2 | ||||||||||
Other Securities | 5,614,093 | 0.5 | ||||||||||||
7,376,120 | 0.7 | |||||||||||||
Industrials: 0.6% | ||||||||||||||
873,000 | # | Atlas Copco AB, 5.600%, due 05/22/17 | 946,501 | 0.1 | ||||||||||
1,754,000 | # | BAE Systems Holdings, Inc., 5.200%, due 08/15/15 | 1,883,177 | 0.2 | ||||||||||
1,283,000 | I | Kennametal, Inc., 7.200%, due 06/15/12 | 1,364,514 | 0.1 | ||||||||||
Other Securities | 1,485,818 | 0.2 | ||||||||||||
5,680,010 | 0.6 | |||||||||||||
Information Technology: 0.3% | ||||||||||||||
Other Securities | 2,552,402 | 0.3 | ||||||||||||
Materials: 0.2% | ||||||||||||||
Other Securities | 2,021,679 | 0.2 | ||||||||||||
Telecommunication Services: 0.6% | ||||||||||||||
319,000 | # | Qtel International Finance Ltd., 7.875%, due 06/10/19 | 370,081 | 0.0 | ||||||||||
Other Securities | 5,812,001 | 0.6 | ||||||||||||
6,182,082 | 0.6 | |||||||||||||
Utilities: 1.0% | ||||||||||||||
1,933,761 | I | Bruce Mansfield Unit, 6.850%, due 06/01/34 | 2,013,056 | 0.2 | ||||||||||
902,000 | # | EDP Finance BV, 6.000%, due 02/02/18 | 889,681 | 0.1 | ||||||||||
940,000 | # | Enel Finance International S.A., 5.125%, due 10/07/19 | 945,914 | 0.1 | ||||||||||
858,000 | # | Enel Finance International S.A., 6.250%, due 09/15/17 | 931,317 | 0.1 | ||||||||||
765,000 | # | PSEG Power, LLC, 5.320%, due 09/15/16 | 825,509 | 0.2 | ||||||||||
991,000 | PSEG Power, LLC, 6.950%, due 06/01/12 | 1,083,167 | ||||||||||||
Other Securities | 3,325,789 | 0.3 | ||||||||||||
10,014,433 | 1.0 | |||||||||||||
Total Corporate Bonds/Notes (Cost $99,074,949) | 104,944,383 | 10.7 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 14.9% | ||||||||||||||
Federal Home Loan Mortgage Corporation##: 5.0% | ||||||||||||||
9,730,642 | 4.500%, due 08/01/18-06/01/39 | 10,227,399 | 5.0 | |||||||||||
18,543,351 | 5.000%, due 03/01/18-09/01/39 | 19,685,998 | ||||||||||||
7,602,666 | 5.500%, due 01/01/19-02/01/37 | 8,212,008 | ||||||||||||
7,727,618 | 6.000%, due 04/01/16-05/01/37 | 8,458,890 | ||||||||||||
2,395,759 | 6.500%, due 05/01/34-02/01/38 | 2,644,333 | ||||||||||||
49,228,628 | 5.0 |
128
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
Federal National Mortgage Association##: 8.2% | ||||||||||||||
$ | 17,030,811 | 5.000%, due 11/01/17-11/01/39 | $ | 18,114,871 | 8.2 | |||||||||
26,944,658 | 5.500%, due 11/01/17-08/01/38 | 29,064,027 | ||||||||||||
15,003,998 | 6.000%, due 02/01/17-07/01/37 | 16,423,291 | ||||||||||||
15,486,875 | 4.010%-7.500%, due 11/15/10-06/01/31 | 16,737,072 | ||||||||||||
80,339,261 | 8.2 | |||||||||||||
Government National Mortgage Association: 1.6% | ||||||||||||||
6,860,579 | 5.000%, due 07/20/33-09/15/39 | 7,333,056 | 1.6 | |||||||||||
7,607,482 | 4.500%-6.000%, due 09/15/32-07/20/33 | 8,260,036 | ||||||||||||
15,593,092 | 1.6 | |||||||||||||
Other U.S. Agency Obligations: 0.1% | ||||||||||||||
Other Securities | 622,194 | 0.1 | ||||||||||||
Total U.S. Government Agency Obligations (Cost $136,534,709) | 145,783,175 | 14.9 | ||||||||||||
U.S. TREASURY OBLIGATIONS: 13.4% | ||||||||||||||
U.S. Treasury Notes: 13.4% | ||||||||||||||
6,848,000 | 1.375%, due 01/15/13 | 6,941,092 | 13.4 | |||||||||||
19,882,000 | 1.875%, due 04/30/14 | 20,243,912 | ||||||||||||
13,666,000 | 2.750%, due 10/31/13 | 14,384,531 | ||||||||||||
14,194,000 | 3.750%, due 11/15/18 | 15,296,249 | ||||||||||||
5,949,000 | 5.000%, due 05/15/37 | 7,091,392 | ||||||||||||
23,103,000 | 5.125%, due 06/30/11-05/15/16 | 24,311,331 | ||||||||||||
6,312,000 | 5.250%, due 02/15/29 | 7,597,085 | ||||||||||||
4,440,000 | 8.500%, due 02/15/20 | 6,513,618 | ||||||||||||
26,803,000 | L | 1.500%-9.875%, due 08/31/10-02/15/36 | 29,301,410 | |||||||||||
Total U.S. Treasury Obligations (Cost $126,902,878) | 131,680,620 | 13.4 | ||||||||||||
ASSET-BACKED SECURITIES: 1.1% | ||||||||||||||
Credit Card Asset-Backed Securities: 0.2% | ||||||||||||||
Other Securities | 1,873,459 | 0.2 | ||||||||||||
Home Equity Asset-Backed Securities: 0.1% | ||||||||||||||
1,144,987 | # | Bayview Financial Revolving Mortgage Loan Trust, 1.947%, due 12/28/40 | 471,506 | 0.0 | ||||||||||
Other Securities | 915,765 | 0.1 | ||||||||||||
1,387,271 | 0.1 | |||||||||||||
Other Asset-Backed Securities: 0.8% | ||||||||||||||
1,134,757 | # | Anthracite CDO I Ltd., 0.797%, due 05/24/17 | 1,062,473 | 0.1 | ||||||||||
4,858,836 | Small Business Administration, 4.770%-5.180%, due 04/01/24-08/01/25 | 5,220,926 | 0.6 | |||||||||||
Other Securities | 1,098,920 | 0.1 | ||||||||||||
7,382,319 | 0.8 | |||||||||||||
Total Asset-Backed Securities (Cost $12,470,092) | 10,643,049 | 1.1 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.5% | ||||||||||||||
30,362 | # | BlackRock Capital Finance LP, 7.750%, due 09/25/26 | 20,942 | 0.0 | ||||||||||
7,349,933 | JP Morgan Chase Commercial Mortgage Securities Corp., 4.780%-6.064%, | |||||||||||||
due 09/12/37-06/15/49 | 7,363,344 | 0.8 | ||||||||||||
129
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
$ | 5,713,051 | #,ˆ | Morgan Stanley Capital I, 1.134%, due 11/15/30 | $ | 231,000 | 0.0 | ||||||||
1,185,451 | # | Spirit Master Funding, LLC, 5.050%, due 07/20/23 | 1,031,627 | 0.1 | ||||||||||
359,641 | # | System Energy Resources, Inc., 5.129%, due 01/15/14 | 367,429 | 0.0 | ||||||||||
Other Securities | 15,550,049 | 1.6 | ||||||||||||
Total Collateralized Mortgage Obligations (Cost $25,093,321) | 24,564,391 | 2.5 | ||||||||||||
MUNICIPAL BONDS: 0.5% | ||||||||||||||
Massachusetts: 0.3% | ||||||||||||||
Other Securities | 2,330,046 | 0.3 | ||||||||||||
New Jersey: 0.1% | ||||||||||||||
Other Securities | 1,134,378 | 0.1 | ||||||||||||
New York: 0.1% | ||||||||||||||
Other Securities | 1,137,957 | 0.1 | ||||||||||||
Total Municipal Bonds (Cost $4,182,667) | 4,602,381 | 0.5 | ||||||||||||
OTHER BONDS: 0.3% | ||||||||||||||
Foreign Government Bonds: 0.3% | ||||||||||||||
1,800,000 | # | Russian Foreign Bond — Eurobond, 3.625%, due 04/29/15 | 1,750,500 | 0.2 | ||||||||||
611,000 | # | Societe Financement de l’Economie Francaise, 3.375%, due 05/05/14 | 638,843 | 0.1 | ||||||||||
Other Securities | 122,655 | 0.0 | ||||||||||||
Total Other Bonds (Cost $2,504,953) | 2,511,998 | 0.3 | ||||||||||||
Total Long-Term Investments (Cost $943,966,277) | 972,794,760 | 99.2 | ||||||||||||
SHORT-TERM INVESTMENTS: 1.2% | ||||||||||||||
Commercial Paper: 0.8% | ||||||||||||||
7,668,000 | BNP Paribas, 0.040%, due 07/01/10 | 7,667,991 | 0.8 | |||||||||||
Total Commercial Paper (Cost $7,667,991) | 7,667,991 | 0.8 |
130
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Securities Lending CollateralCC: 0.4% | ||||||||||||||
2,719,465 | BNY Mellon Overnight Government Fund(1) | $ | 2,719,465 | 0.2 | ||||||||||
2,385,323 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,908,259 | 0.2 | ||||||||||
Total Securities Lending Collateral (Cost $5,104,788) | 4,627,724 | 0.4 | ||||||||||||
Total Short-Term Investments (Cost $12,772,779) | 12,295,715 | 1.2 | ||||||||||||
Total Investments in Securities (Cost $956,739,056)* | $ | 985,090,475 | 100.4 | |||||||||||
Other Assets and Liabilities - Net | (4,175,903 | ) | (0.4 | ) | ||||||||||
Net Assets | $ | 980,914,572 | 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, 2010. | ||||||||||||||
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. | ||||||||||||||
ADR | American Depositary Receipt | |||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
## | 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. | ||||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
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. | |||||||||||||
* | Cost for federal income tax purposes is $983,995,061. | |||||||||||||
Net unrealized appreciation consists of: |
Gross Unrealized Appreciation | $ | 69,518,302 | ||
Gross Unrealized Depreciation | (68,422,888 | ) | ||
Net Unrealized Appreciation | $ | 1,095,414 | ||
131
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 47,339,257 | $ | — | $ | — | $ | 47,339,257 | ||||||||
Consumer Staples | 54,363,546 | 18,603,161 | — | 72,966,707 | ||||||||||||
Energy | 68,744,314 | — | — | 68,744,314 | ||||||||||||
Financials | 118,198,573 | 1,091,743 | — | 119,290,316 | ||||||||||||
Health Care | 53,329,675 | 4,273,541 | — | 57,603,216 | ||||||||||||
Industrials | 65,150,776 | — | — | 65,150,776 | ||||||||||||
Information Technology | 44,480,759 | — | — | 44,480,759 | ||||||||||||
Materials | 17,434,608 | — | — | 17,434,608 | ||||||||||||
Telecommunication Services | 17,739,428 | 7,850,302 | — | 25,589,730 | ||||||||||||
Utilities | 28,966,100 | — | — | 28,966,100 | ||||||||||||
Total Common Stock | 515,747,036 | 31,818,747 | — | 547,565,783 | ||||||||||||
Preferred Stock | — | 498,980 | — | 498,980 | ||||||||||||
Corporate Bonds/Notes | — | 104,944,383 | — | 104,944,383 | ||||||||||||
U.S. Government Agency Obligations | — | 145,783,175 | — | 145,783,175 | ||||||||||||
U.S. Treasury Obligations | — | 131,680,620 | — | 131,680,620 | ||||||||||||
Asset-Backed Securities | — | 9,109,070 | 1,533,979 | 10,643,049 | ||||||||||||
Collateralized Mortgage Obligations | — | 24,564,391 | — | 24,564,391 | ||||||||||||
Municipal Bonds | — | 4,602,381 | — | 4,602,381 | ||||||||||||
Other Bonds | — | 2,511,998 | — | 2,511,998 | ||||||||||||
Short-Term Investments | 2,719,465 | 7,667,991 | 1,908,259 | 12,295,715 | ||||||||||||
Total Investments, at value | $ | 518,466,501 | $ | 463,181,736 | $ | 3,442,238 | $ | 985,090,475 | ||||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 509,497 | $ | 1,062,404 | $ | (67,043 | ) | $ | 3,081 | $ | 1,023 | $ | 25,017 | $ | — | $ | — | $ | 1,533,979 | |||||||||||||||||
Short-Term Investments | 1,908,259 | — | — | — | — | — | — | — | 1,908,259 | |||||||||||||||||||||||||||
Total Investments, at value | $ | 2,417,756 | $ | 1,062,404 | $ | (67,043 | ) | $ | 3,081 | $ | 1,023 | $ | 25,016 | $ | — | $ | — | $ | 3,442,238 | |||||||||||||||||
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. |
132
Utilities | 60.2% | |||
Telecommunication Services | 20.2% | |||
Energy | 9.8% | |||
Consumer Discretionary | 8.7% | |||
Other Assets and Liabilities – Net* | 1.1% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to commercial paper. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 93.0% | ||||||||||||||
Consumer Discretionary: 8.7% | ||||||||||||||
650,000 | Comcast Corp. – Special Class A | $ | 10,679,500 | 2.4 | ||||||||||
175,626 | Time Warner Cable, Inc. | 9,146,602 | 2.1 | |||||||||||
1,004,000 | Virgin Media, Inc. | 16,756,760 | 3.8 | |||||||||||
Other Securities | 1,635,081 | 0.4 | ||||||||||||
38,217,943 | 8.7 | |||||||||||||
Energy: 8.9% | ||||||||||||||
111,840 | Consol Energy, Inc. | 3,775,718 | 0.8 | |||||||||||
1,103,310 | El Paso Corp. | 12,257,774 | 2.8 | |||||||||||
819,541 | Williams Cos., Inc. | 14,981,209 | 3.4 | |||||||||||
Other Securities | 8,200,804 | 1.9 | ||||||||||||
39,215,505 | 8.9 | |||||||||||||
Telecommunication Services: 19.3% | ||||||||||||||
129,700 | @ | American Tower Corp. | 5,771,650 | 1.3 | ||||||||||
438,660 | Cellcom Israel Ltd. | 10,966,500 | 2.5 | |||||||||||
222,500 | CenturyTel, Inc. | 7,411,475 | 1.7 | |||||||||||
140,900 | @ | NII Holdings, Inc. | 4,582,068 | 1.0 | ||||||||||
323,200 | Partner Communications ADR | 4,932,032 | 1.1 | |||||||||||
464,800 | Portugal Telecom SGPS S.A. | 4,645,662 | 1.1 | |||||||||||
926,000 | Qwest Communications International, Inc. | 4,861,500 | 1.1 | |||||||||||
222,480 | Telefonica S.A. | 4,121,382 | 0.9 | |||||||||||
125,138 | @ | Telenet Group Holding NV | 3,283,118 | 0.7 | ||||||||||
280,000 | Vivo Participacoes S.A. ADR | 7,257,600 | 1.7 | |||||||||||
3,414,810 | Vodafone Group PLC | 7,036,182 | 1.6 | |||||||||||
415,714 | Windstream Corp. | 4,389,940 | 1.0 | |||||||||||
Other Securities | 15,994,431 | 3.6 | ||||||||||||
85,253,540 | 19.3 | |||||||||||||
Utilities: 56.1% | ||||||||||||||
979,380 | @ | AES Corp. | 9,049,471 | 2.0 | ||||||||||
393,510 | American Electric Power Co., Inc. | 12,710,373 | 2.9 | |||||||||||
387,090 | @ | Calpine Corp. | 4,923,785 | 1.1 | ||||||||||
350,000 | CenterPoint Energy, Inc. | 4,606,000 | 1.0 | |||||||||||
140,740 | CEZ A/S | 5,728,406 | 1.3 | |||||||||||
1,086,370 | CMS Energy Corp. | 15,915,319 | 3.6 | |||||||||||
133
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Utilities (continued) | ||||||||||||||
178,090 | Constellation Energy Group, Inc. | $ | 5,743,403 | 1.3 | ||||||||||
122,900 | CPFL Energia S.A. ADR | 3,191,431 | 0.7 | |||||||||||
282,300 | DPL, Inc. | 6,746,970 | 1.5 | |||||||||||
209,845 | E.ON AG | 5,642,369 | 1.3 | |||||||||||
2,538,400 | Energias de Portugal S.A. | 7,554,400 | 1.7 | |||||||||||
160,700 | Entergy Corp. | 11,509,334 | 2.6 | |||||||||||
383,630 | EQT Corp. | 13,864,388 | 3.1 | |||||||||||
123,100 | FirstEnergy Corp. | 4,336,813 | 1.0 | |||||||||||
218,400 | Fortum OYJ | 4,794,043 | 1.1 | |||||||||||
1,064,680 | National Grid PLC | 7,773,185 | 1.8 | |||||||||||
76,400 | NextEra Energy, Inc. | 3,725,264 | 0.8 | |||||||||||
240,800 | NiSource, Inc. | 3,491,600 | 0.8 | |||||||||||
233,000 | Northeast Utilities | 5,936,840 | 1.3 | |||||||||||
366,614 | @ | NRG Energy, Inc. | 7,775,883 | 1.8 | ||||||||||
165,900 | OGE Energy Corp. | 6,065,304 | 1.4 | |||||||||||
247,600 | Pacific Gas & Electric Co. | 10,176,360 | 2.3 | |||||||||||
349,400 | PPL Corp. | 8,717,530 | 2.0 | |||||||||||
375,920 | Public Service Enterprise Group, Inc. | 11,777,574 | 2.7 | |||||||||||
354,590 | Questar Corp. | 16,130,299 | 3.7 | |||||||||||
192,239 | Red Electrica de Espana | 6,883,124 | 1.6 | |||||||||||
155,720 | Sempra Energy | 7,286,139 | 1.7 | |||||||||||
576,700 | Tractebel Energia S.A. | 6,741,479 | 1.5 | |||||||||||
134,200 | Wisconsin Energy Corp. | 6,809,308 | 1.5 | |||||||||||
Other Securities | 21,940,072 | 5.0 | ||||||||||||
247,546,466 | 56.1 | |||||||||||||
Total Common Stock (Cost $411,292,591) | 410,233,454 | 93.0 | ||||||||||||
PREFERRED STOCK: 5.0% | ||||||||||||||
Energy: 0.9% | ||||||||||||||
4,430 | El Paso Corp. | 4,264,983 | 0.9 | |||||||||||
Utilities: 4.1% | ||||||||||||||
242,120 | Eletropaulo Metropolitana de Sao Paulo S.A. | 4,863,862 | 1.1 | |||||||||||
96,000 | NextEra Energy, Inc. | 4,737,600 | 1.1 | |||||||||||
Other Securities | 8,342,408 | 1.9 | ||||||||||||
17,943,870 | 4.1 | |||||||||||||
Total Preferred Stock (Cost $20,742,023) | 22,208,853 | 5.0 |
134
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: 0.9% | ||||||||||||||
Telecommunication Services: 0.9% | ||||||||||||||
$ | 3,184,000 | Virgin Media, Inc., 6.500%, due 11/15/16 | $ | 3,745,180 | 0.9 | |||||||||
Total Corporate Bonds/Notes (Cost $2,847,403) | 3,745,180 | 0.9 | ||||||||||||
Total Long-Term Investments (Cost $434,882,017) | 436,187,487 | 98.9 | ||||||||||||
SHORT-TERM INVESTMENTS: 0.9% | ||||||||||||||
Commercial Paper: 0.9% | ||||||||||||||
4,198,000 | AT&T, Inc., 0.050%, due 07/01/10 | 4,197,994 | 0.9 | |||||||||||
Total Short-Term Investments (Cost $4,197,994) | 4,197,994 | 0.9 | ||||||||||||
Total Investments in Securities (Cost $439,080,011)* | $ | 440,385,481 | 99.8 | |||||||||||
Other Assets and Liabilities - Net | 706,380 | 0.2 | ||||||||||||
Net Assets | $ | 441,091,861 | 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, 2010. | ||||||||||||||
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 | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
* | Cost for federal income tax purposes is $449,099,365. | |||||||||||||
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 33,094,075 | ||
Gross Unrealized Depreciation | (41,807,959 | ) | ||
Net Unrealized Depreciation | $ | (8,713,884 | ) | |
135
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 38,217,943 | $ | — | $ | — | $ | 38,217,943 | ||||||||
Energy | 39,215,505 | — | — | 39,215,505 | ||||||||||||
Telecommunication Services | 60,182,934 | 25,070,606 | — | 85,253,540 | ||||||||||||
Utilities | 202,423,974 | 45,122,492 | — | 247,546,466 | ||||||||||||
Total Common Stock | 340,040,356 | 70,193,098 | — | 410,233,454 | ||||||||||||
Preferred Stock | 11,301,596 | 10,907,257 | — | 22,208,853 | ||||||||||||
Corporate Bonds/Notes | — | 3,745,180 | — | 3,745,180 | ||||||||||||
Short-Term Investments | — | 4,197,994 | — | 4,197,994 | ||||||||||||
Total Investments, at value | $ | 351,341,952 | $ | 89,043,529 | $ | — | $ | 440,385,481 | ||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | — | 378,204 | — | 378,204 | ||||||||||||
Total Assets | $ | 351,341,952 | $ | 89,421,733 | $ | — | $ | 440,763,685 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | $ | — | $ | (758,985 | ) | $ | — | $ | (758,985 | ) | ||||||
Total Liabilities | $ | — | $ | (758,985 | ) | $ | — | $ | (758,985 | ) | ||||||
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. |
# | 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. |
136
In | Unrealized | |||||||||||||||||||||
Settlement | Exchange | Appreciation | ||||||||||||||||||||
Currency | Buy/Sell | Date | For | Value | (Depreciation) | |||||||||||||||||
EU Euro | EUR 118,875 | Buy | 07/12/10 | $ | 146,352 | $ | 145,375 | $ | (977 | ) | ||||||||||||
EU Euro | EUR 128,949 | Buy | 07/12/10 | 159,210 | 157,695 | (1,515 | ) | |||||||||||||||
EU Euro | EUR 568,811 | Buy | 09/14/10 | 696,937 | 695,870 | (1,067 | ) | |||||||||||||||
EU Euro | EUR 110,599 | Buy | 09/14/10 | 136,757 | 135,304 | (1,453 | ) | |||||||||||||||
British Pound | GBP 240,203 | Buy | 07/12/10 | 345,030 | 358,884 | 13,854 | ||||||||||||||||
British Pound | GBP 298,184 | Buy | 07/12/10 | 436,523 | 445,513 | 8,990 | ||||||||||||||||
British Pound | GBP 452,301 | Buy | 07/12/10 | 654,254 | 675,778 | 21,524 | ||||||||||||||||
British Pound | GBP 91,760 | Buy | 07/12/10 | 133,669 | 137,097 | 3,428 | ||||||||||||||||
British Pound | GBP 34,823 | Buy | 09/14/10 | 51,346 | 52,028 | 682 | ||||||||||||||||
$ | 43,466 | |||||||||||||||||||||
EU Euro | EUR 633,981 | Sell | 07/12/10 | $ | 849,477 | $ | 775,311 | $ | 74,166 | |||||||||||||
EU Euro | EUR 670,554 | Sell | 07/12/10 | 862,607 | 820,036 | 42,571 | ||||||||||||||||
EU Euro | EUR 4,696 | Sell | 07/12/10 | 5,743 | 5,743 | — | ||||||||||||||||
EU Euro | EUR 1,814,000 | Sell | 07/12/10 | 2,216,799 | 2,218,385 | (1,586 | ) | |||||||||||||||
EU Euro | EUR 5,547 | Sell | 09/14/10 | 6,670 | 6,786 | (116 | ) | |||||||||||||||
EU Euro | EUR 138,172 | Sell | 09/14/10 | 169,939 | 169,037 | 902 | ||||||||||||||||
EU Euro | EUR 55,012 | Sell | 09/14/10 | 67,117 | 67,300 | (183 | ) | |||||||||||||||
EU Euro | EUR 46,419 | Sell | 09/14/10 | 56,825 | 56,788 | 37 | ||||||||||||||||
EU Euro | EUR 1,497,606 | Sell | 09/15/10 | 1,804,560 | 1,832,150 | (27,590 | ) | |||||||||||||||
EU Euro | EUR 16,332,858 | Sell | 09/15/10 | 19,678,154 | 19,981,386 | (303,232 | ) | |||||||||||||||
EU Euro | EUR 1,113,054 | Sell | 09/15/10 | 1,341,186 | 1,361,695 | (20,509 | ) | |||||||||||||||
EU Euro | EUR 1,814,858 | Sell | 09/15/10 | 2,181,350 | 2,220,271 | (38,921 | ) | |||||||||||||||
EU Euro | EUR 2,816,984 | Sell | 09/15/10 | 3,394,297 | 3,446,258 | (51,961 | ) | |||||||||||||||
British Pound | GBP 3,352,495 | Sell | 07/12/10 | 5,114,969 | 5,008,927 | 106,042 | ||||||||||||||||
British Pound | GBP 3,352,495 | Sell | 07/12/10 | 5,114,935 | 5,008,927 | 106,008 | ||||||||||||||||
British Pound | GBP 4,260,000 | Sell | 07/12/10 | 6,206,437 | 6,364,821 | (158,384 | ) | |||||||||||||||
British Pound | GBP 2,294,000 | Sell | 07/12/10 | 3,339,640 | 3,427,441 | (87,801 | ) | |||||||||||||||
British Pound | GBP 3,076,000 | Sell | 07/12/10 | 4,534,332 | 4,595,819 | (61,487 | ) | |||||||||||||||
British Pound | GBP 193,591 | Sell | 07/12/10 | 287,039 | 289,242 | (2,203 | ) | |||||||||||||||
$ | (424,247 | ) | ||||||||||||||||||||
Derivatives not accounted for | ||||||
as hedging instruments | ||||||
under FASB ASC 815 | Location on Statement of Assets and Liabilities | Fair Value | ||||
Asset Derivatives | ||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 378,204 | |||
Total Asset Derivatives | $ | 378,204 | ||||
Liability Derivatives | ||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 758,985 | |||
Total Liability Derivatives | $ | 758,985 | ||||
Amount of Realized Gain or (Loss) | ||||
on Derivatives Recognized in Income | ||||
Foreign | ||||
Derivatives not accounted for | Currency | |||
as hedging instruments | Related | |||
under FASB ASC 815 | Transactions* | |||
Foreign exchange contracts | $ | 5,375,302 | ||
Total | $ | 5,375,302 | ||
137
Change in Unrealized | ||||
Appreciation or (Depreciation) | ||||
on Derivatives Recognized in Income | ||||
Foreign | ||||
Derivatives not accounted for | Currency | |||
as hedging instruments | Related | |||
under FASB ASC 815 | Transactions* | |||
Foreign exchange contracts | $ | (663,080 | ) | |
Total | $ | (663,080 | ) | |
* | 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. |
138
(as a percent of net assets)
United States | 37.6% | |||
United Kingdom | 31.0% | |||
Switzerland | 8.7% | |||
Sweden | 4.8% | |||
Netherlands | 4.4% | |||
France | 3.0% | |||
Finland | 2.9% | |||
Japan | 2.8% | |||
Ireland | 2.5% | |||
Other Assets and Liabilities – Net* | 2.3% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 97.7% | ||||||||||||||
Finland: 2.9% | ||||||||||||||
230,912 | Kone OYJ | $ | 9,193,855 | 2.9 | ||||||||||
France: 3.0% | ||||||||||||||
181,955 | Groupe Danone | 9,754,665 | 3.0 | |||||||||||
Ireland: 2.5% | ||||||||||||||
208,198 | Accenture PLC | 8,046,853 | 2.5 | |||||||||||
Japan: 2.8% | ||||||||||||||
388,200 | Kao Corp. | 9,133,900 | 2.8 | |||||||||||
Netherlands: 4.4% | ||||||||||||||
959,840 | Reed Elsevier NV | 10,625,675 | 3.3 | |||||||||||
174,189 | L | Wolters Kluwer NV | 3,340,428 | 1.1 | ||||||||||
13,966,103 | 4.4 | |||||||||||||
Sweden: 4.8% | ||||||||||||||
708,329 | Swedish Match AB | 15,478,634 | 4.8 | |||||||||||
Switzerland: 8.7% | ||||||||||||||
437,784 | Nestle S.A. | 21,109,434 | 6.6 | |||||||||||
141,511 | Novartis AG | 6,858,066 | 2.1 | |||||||||||
27,967,500 | 8.7 | |||||||||||||
United Kingdom: 31.0% | ||||||||||||||
233,238 | Admiral Group PLC | 4,884,536 | 1.5 | |||||||||||
910,065 | British American Tobacco PLC | 28,881,618 | 9.0 | |||||||||||
445,540 | Diageo PLC | 6,998,495 | 2.2 | |||||||||||
352,655 | Experian Group Ltd. | 3,066,794 | 1.0 | |||||||||||
746,939 | Imperial Tobacco Group PLC | 20,869,966 | 6.5 | |||||||||||
421,215 | Reckitt Benckiser PLC | 19,592,520 | 6.1 | |||||||||||
562,237 | Unilever PLC | 15,029,716 | 4.7 | |||||||||||
99,323,645 | 31.0 |
139
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
United States: 37.6% | ||||||||||||||
156,760 | Brown-Forman Corp. | $ | 8,971,375 | 2.8 | ||||||||||
513,902 | Dr Pepper Snapple Group, Inc. | 19,214,796 | 6.0 | |||||||||||
319,867 | Kellogg Co. | 16,089,310 | 5.0 | |||||||||||
115,552 | Mead Johnson Nutrition Co. | 5,791,466 | 1.8 | |||||||||||
367,417 | Microsoft Corp. | 8,454,265 | 2.6 | |||||||||||
606,361 | L | Moody’s Corp. | 12,078,711 | 3.8 | ||||||||||
312,556 | Philip Morris International, Inc. | 14,327,567 | 4.5 | |||||||||||
246,277 | Procter & Gamble Co. | 14,771,694 | 4.6 | |||||||||||
179,162 | Scotts Miracle-Gro Co. | 7,956,584 | 2.5 | |||||||||||
136,292 | Visa, Inc. | 9,642,659 | 3.0 | |||||||||||
121,048 | Weight Watchers International, Inc. | 3,109,723 | 1.0 | |||||||||||
120,408,150 | 37.6 | |||||||||||||
Total Common Stock (Cost $308,875,264) | 313,273,305 | 97.7 | ||||||||||||
SHORT-TERM INVESTMENTS: 0.7% | ||||||||||||||
Securities Lending CollateralCC: 0.7% | ||||||||||||||
1,743,143 | BNY Mellon Overnight Government Fund(1) | 1,743,143 | 0.5 | |||||||||||
727,587 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 582,069 | 0.2 | ||||||||||
Total Short-Term Investments (Cost $2,470,730) | 2,325,212 | 0.7 | ||||||||||||
Total Investments in Securities (Cost $311,345,994)* | $ | 315,598,517 | 98.4 | |||||||||||
Other Assets and Liabilities - Net | 5,037,916 | 1.6 | ||||||||||||
Net Assets | $ | 320,636,433 | 100.0 | |||||||||||
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. | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
* | Cost for federal income tax purposes is $313,005,773. | |||||||||||||
Net unrealized appreciation consists of: |
Gross Unrealized Appreciation | $ | 25,664,633 | ||
Gross Unrealized Depreciation | (23,071,889 | ) | ||
Net Unrealized Appreciation | $ | 2,592,744 | ||
140
Percentage of | |||||
Industry | Net Assets | ||||
Consumer Discretionary | 5.3 | % | |||
Consumer Staples | 70.5 | ||||
Financials | 5.3 | ||||
Health Care | 2.1 | ||||
Industrials | 3.8 | ||||
Information Technology | 8.2 | ||||
Materials | 2.5 | ||||
Short-Term Investments | 0.7 | ||||
Other Assets and Liabilities – Net | 1.6 | ||||
Net Assets | 100.0 | % | |||
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Finland | $ | — | $ | 9,193,855 | $ | — | $ | 9,193,855 | ||||||||
France | — | 9,754,665 | — | 9,754,665 | ||||||||||||
Ireland | 8,046,853 | — | — | 8,046,853 | ||||||||||||
Japan | — | 9,133,900 | — | 9,133,900 | ||||||||||||
Netherlands | — | 13,966,103 | — | 13,966,103 | ||||||||||||
Sweden | — | 15,478,634 | — | 15,478,634 | ||||||||||||
Switzerland | — | 27,967,500 | — | 27,967,500 | ||||||||||||
United Kingdom | — | 99,323,645 | — | 99,323,645 | ||||||||||||
United States | 120,408,150 | — | — | 120,408,150 | ||||||||||||
Total Common Stock | 128,455,003 | 184,818,302 | — | 313,273,305 | ||||||||||||
Short-Term Investments | 1,743,143 | — | 582,069 | 2,325,212 | ||||||||||||
Total Investments, at value | $ | 130,198,146 | $ | 184,818,302 | $ | 582,069 | $ | 315,598,517 | ||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | — | 630,418 | — | 630,418 | ||||||||||||
Total Assets | $ | 130,198,146 | $ | 185,448,720 | $ | 582,069 | $ | 316,228,935 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | $ | — | $ | (1,349,310 | ) | $ | — | $ | (1,349,310 | ) | ||||||
Total Liabilities | $ | — | $ | (1,349,310 | ) | $ | — | $ | (1,349,310 | ) | ||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table Investments, at value | ||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 582,069 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 582,069 | ||||||||||||||||||
Total Investments, at value | $ | 582,069 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 582,069 | ||||||||||||||||||
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 reported at their unrealized gain/loss at |
141
measurement date which represents the amount due to/from the Portfolio. Swaps and written options are reported at their market value at measurement date. |
# | 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. |
In | Unrealized | |||||||||||||||||||||
Settlement | Exchange | Appreciation | ||||||||||||||||||||
Currency | Buy/Sell | Date | For | Value | (Depreciation) | |||||||||||||||||
British Pound | GBP 5,462,500 | Buy | 07/01/10 | $ | 8,003,955 | $ | 8,161,512 | $ | 157,557 | |||||||||||||
British Pound | GBP 5,462,500 | Buy | 07/01/10 | 8,003,874 | 8,161,512 | 157,638 | ||||||||||||||||
British Pound | GBP 5,462,500 | Buy | 07/01/10 | 8,003,928 | 8,161,512 | 157,584 | ||||||||||||||||
British Pound | GBP 5,462,500 | Buy | 07/01/10 | 8,003,873 | 8,161,512 | 157,639 | ||||||||||||||||
$ | 630,418 | |||||||||||||||||||||
British Pound | GBP 5,462,500 | Sell | 07/01/10 | $ | 7,824,212 | $ | 8,161,512 | $ | (337,300 | ) | ||||||||||||
British Pound | GBP 5,462,500 | Sell | 07/01/10 | 7,824,102 | 8,161,512 | (337,410 | ) | |||||||||||||||
British Pound | GBP 5,462,500 | Sell | 07/01/10 | 7,824,212 | 8,161,512 | (337,300 | ) | |||||||||||||||
British Pound | GBP 5,462,500 | Sell | 07/01/10 | 7,824,212 | 8,161,512 | (337,300 | ) | |||||||||||||||
$ | (1,349,310 | ) | ||||||||||||||||||||
Derivatives not accounted for | ||||||
as hedging instruments | ||||||
under FASB ASC 815 | Location on Statement of Assets and Liabilities | Fair Value | ||||
Asset Derivatives | ||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 630,418 | |||
Total Asset Derivatives | $ | 630,418 | ||||
Liability Derivatives | ||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 1,349,310 | |||
Total Liability Derivatives | $ | 1,349,310 | ||||
Amount of Realized Gain or (Loss) | ||||
on Derivatives Recognized in Income | ||||
Foreign | ||||
Derivatives not accounted for | Currency | |||
as hedging instruments | Related | |||
under FASB ASC 815 | Transactions* | |||
Foreign exchange contracts | $ | 5,512,726 | ||
Total | $ | 5,512,726 | ||
142
Change in Unrealized | ||||
Appreciation or (Depreciation) | ||||
on Derivatives Recognized in Income | ||||
Foreign | ||||
Derivatives not accounted for | Currency | |||
as hedging instruments | Related | |||
under FASB ASC 815 | Transactions* | |||
Foreign exchange contracts | $ | (1,843,452 | ) | |
Total | $ | (1,843,452 | ) | |
* | 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. |
143
United States | 42.4% | |||
Japan | 6.9% | |||
United Kingdom | 4.7% | |||
Switzerland | 2.3% | |||
France | 2.1% | |||
Germany | 1.7% | |||
Netherlands | 1.0% | |||
Sweden | 0.8% | |||
Spain | 0.7% | |||
Italy | 0.5% | |||
Countries less than 0.5%(1) | 1.2% | |||
Other Assets and Liabilities – Net | 35.7% | |||
Net Assets | 100.0% |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 46.6% | ||||||||||||||
Austria: 0.0% | ||||||||||||||
Other Securities | $ | 10,562 | 0.0 | |||||||||||
Belgium: 0.2% | ||||||||||||||
Other Securities | 143,438 | 0.2 | ||||||||||||
Bermuda: 0.1% | ||||||||||||||
Other Securities | 76,404 | 0.1 | ||||||||||||
Denmark: 0.3% | ||||||||||||||
Other Securities | 220,659 | 0.3 | ||||||||||||
Finland: 0.2% | ||||||||||||||
Other Securities | 102,875 | 0.2 | ||||||||||||
France: 2.0% | ||||||||||||||
2,687 | Sanofi-Aventis | 161,831 | 0.3 | |||||||||||
Other Securities | 1,163,012 | 1.7 | ||||||||||||
1,324,843 | 2.0 | |||||||||||||
Germany: 1.6% | ||||||||||||||
Other Securities | 1,073,233 | 1.6 | ||||||||||||
Ireland: 0.1% | ||||||||||||||
Other Securities | 87,776 | 0.1 | ||||||||||||
Italy: 0.5% | ||||||||||||||
Other Securities | 348,893 | 0.5 | ||||||||||||
Japan: 6.9% | ||||||||||||||
91,000 | Sumitomo Osaka Cement Co., Ltd. | 172,939 | 0.3 | |||||||||||
Other Securities | 4,426,748 | 6.6 | ||||||||||||
4,599,687 | 6.9 |
144
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Luxembourg: 0.1% | ||||||||||||||
Other Securities | $ | 80,621 | 0.1 | |||||||||||
Netherlands: 1.0% | ||||||||||||||
10,276 | Royal Dutch Shell PLC – Class B | 253,926 | 0.4 | |||||||||||
Other Securities | 384,639 | 0.6 | ||||||||||||
638,565 | 1.0 | |||||||||||||
Norway: 0.2% | ||||||||||||||
Other Securities | 106,821 | 0.2 | ||||||||||||
Portugal: 0.0% | ||||||||||||||
Other Securities | 26,558 | 0.0 | ||||||||||||
Spain: 0.7% | ||||||||||||||
Other Securities | 453,738 | 0.7 | ||||||||||||
Sweden: 0.8% | ||||||||||||||
Other Securities | 550,972 | 0.8 | ||||||||||||
Switzerland: 2.3% | ||||||||||||||
8,137 | Nestle S.A. | 392,357 | 0.6 | |||||||||||
3,949 | Novartis AG | 191,381 | 0.3 | |||||||||||
1,320 | Roche Holding AG – Genusschein | 181,687 | 0.2 | |||||||||||
Other Securities | 798,455 | 1.2 | ||||||||||||
1,563,880 | 2.3 | |||||||||||||
United Kingdom: 4.7% | ||||||||||||||
25,873 | HSBC Holdings PLC | 236,368 | 0.4 | |||||||||||
79,659 | Vodafone Group PLC | 164,137 | 0.2 | |||||||||||
Other Securities | 2,745,548 | 4.1 | ||||||||||||
3,146,053 | 4.7 | |||||||||||||
United States: 24.9% | ||||||||||||||
8,100 | S | Abbott Laboratories | 378,918 | 0.6 | ||||||||||
1,500 | @,S | Apple, Inc. | 377,295 | 0.6 | ||||||||||
8,300 | Archer-Daniels-Midland Co. | 214,306 | 0.3 | |||||||||||
6,800 | Automatic Data Processing, Inc. | 273,768 | 0.4 | |||||||||||
12,100 | Bristol-Myers Squibb Co. | 301,774 | 0.5 | |||||||||||
7,800 | Campbell Soup Co. | 279,474 | 0.4 | |||||||||||
4,500 | S | Caterpillar, Inc. | 270,315 | 0.4 | ||||||||||
17,500 | CenterPoint Energy, Inc. | 230,300 | 0.3 | |||||||||||
4,000 | Chevron Corp. | 271,440 | 0.4 | |||||||||||
5,400 | Chubb Corp. | 270,054 | 0.4 | |||||||||||
10,600 | @,S | Cisco Systems, Inc. | 225,886 | 0.3 | ||||||||||
4,000 | S | Coca-Cola Co. | 200,480 | 0.3 | ||||||||||
5,600 | ConocoPhillips | 274,904 | 0.4 | |||||||||||
145
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
United States (continued) | ||||||||||||||
8,100 | EI Du Pont de Nemours & Co. | $ | 280,179 | 0.4 | ||||||||||
4,138 | ExxonMobil Corp. | 236,156 | 0.4 | |||||||||||
17,600 | General Electric Co. | 253,792 | 0.4 | |||||||||||
5,100 | Genuine Parts Co. | 201,195 | 0.3 | |||||||||||
400 | @,S | Google, Inc. – Class A | 177,980 | 0.3 | ||||||||||
4,600 | S | Hewlett-Packard Co. | 199,088 | 0.3 | ||||||||||
5,100 | Integrys Energy Group, Inc. | 223,074 | 0.3 | |||||||||||
18,400 | S | Intel Corp. | 357,880 | 0.5 | ||||||||||
4,300 | S | International Business Machines Corp. | 530,964 | 0.8 | ||||||||||
7,700 | S | Johnson & Johnson | 454,762 | 0.7 | ||||||||||
8,900 | JP Morgan Chase & Co. | 325,829 | 0.5 | |||||||||||
8,700 | Marathon Oil Corp. | 270,483 | 0.4 | |||||||||||
5,000 | S | McDonald’s Corp. | 329,350 | 0.5 | ||||||||||
22,700 | S | Microsoft Corp. | 522,332 | 0.8 | ||||||||||
3,400 | Northrop Grumman Corp. | 185,096 | 0.3 | |||||||||||
2,700 | PepsiCo, Inc. | 164,565 | 0.2 | |||||||||||
5,100 | Philip Morris International, Inc. | 233,784 | 0.3 | |||||||||||
4,000 | Raytheon Co. | 193,560 | 0.3 | |||||||||||
9,900 | Verizon Communications, Inc. | 277,398 | 0.4 | |||||||||||
5,600 | Wal-Mart Stores, Inc. | 269,192 | 0.4 | |||||||||||
8,645 | S | Waste Management, Inc. | 270,502 | 0.4 | ||||||||||
6,800 | S | Yum! Brands, Inc. | 265,472 | 0.4 | ||||||||||
Other Securities | 6,878,002 | 10.3 | ||||||||||||
16,669,549 | 24.9 | |||||||||||||
Total Common Stock (Cost $34,061,631) | 31,225,127 | 46.6 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS: 0.8% | ||||||||||||||
France: 0.1% | ||||||||||||||
Other Securities | 37,649 | 0.1 | ||||||||||||
United Kingdom: 0.0% | ||||||||||||||
Other Securities | 31,135 | 0.0 | ||||||||||||
United States: 0.7% | ||||||||||||||
4,900 | Health Care Real Estate Investment Trust, Inc. | 206,388 | 0.3 | |||||||||||
5,800 | Plum Creek Timber Co., Inc. | 200,274 | 0.3 | |||||||||||
Other Securities | 42,041 | 0.1 | ||||||||||||
448,703 | 0.7 | |||||||||||||
Total Real Estate Investment Trusts (Cost $542,022) | 517,487 | 0.8 | ||||||||||||
EXCHANGE-TRADED FUNDS: 0.5% | ||||||||||||||
United States: 0.5% | ||||||||||||||
8,500 | S | SPDR Barclays Capital High Yield Bond ETF | 321,555 | 0.5 | ||||||||||
Total Exchange-Traded Funds (Cost $317,709) | 321,555 | 0.5 |
146
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
MUTUAL FUNDS: 8.5% | ||||||||||||||
United States: 8.5% | ||||||||||||||
266,290 | Morgan Stanley Institutional Fund Trust – Core Plus Fixed Income Portfolio | $ | 2,593,661 | 8.5 | ||||||||||
52,657 | Morgan Stanley Institutional Fund, Inc. – Capital Growth Portfolio | 972,043 | ||||||||||||
92,951 | Morgan Stanley Institutional Fund, Inc. – Emerging Markets Debt Portfolio | 1,154,454 | ||||||||||||
73,806 | Morgan Stanley Institutional Fund, Inc. – Global Franchise Portfolio | 987,519 | ||||||||||||
Total Mutual Funds (Cost $5,569,849) | 5,707,677 | 8.5 | ||||||||||||
PREFERRED STOCK: 0.1% | ||||||||||||||
Germany: 0.1% | ||||||||||||||
Other Securities | 59,439 | 0.1 | ||||||||||||
Total Preferred Stock (Cost $63,125) | 59,439 | 0.1 | ||||||||||||
RIGHTS: 0.0% | ||||||||||||||
Norway: 0.0% | ||||||||||||||
Other Securities | 136 | 0.0 | ||||||||||||
Spain: 0.0% | ||||||||||||||
Other Securities | 1,189 | 0.0 | ||||||||||||
Total Rights (Cost $—) | 1,325 | 0.0 | ||||||||||||
WARRANTS: 0.0% | ||||||||||||||
Italy: 0.0% | ||||||||||||||
Other Securities | 8 | 0.0 | ||||||||||||
Total Warrants (Cost $—) | 8 | 0.0 | ||||||||||||
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 4.3% | ||||||||||||||
Federal Home Loan Mortgage Corporation##: 2.0% | ||||||||||||||
$ | 1,240,000 | S | 5.500%, due 08/20/12 | $ | 1,363,695 | 2.0 | ||||||||
Federal National Mortgage Association##: 2.3% | ||||||||||||||
1,415,000 | S | 4.875%, due 05/18/12 | 1,525,015 | 2.3 | ||||||||||
Total U.S. Government Agency Obligations (Cost $2,768,695) | 2,888,710 | 4.3 |
147
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
U.S. TREASURY OBLIGATIONS: 3.5% | ||||||||||||||
U.S. Treasury Notes: 3.5% | ||||||||||||||
$ | 2,125,000 | S | 4.000%, due 08/15/18 | $ | 2,337,666 | 3.5 | ||||||||
Total U.S. Treasury Obligations (Cost $2,151,644) | 2,337,666 | 3.5 | ||||||||||||
Total Investments in Securities (Cost $45,474,675)* | $ | 43,058,994 | 64.3 | |||||||||||
Other Assets and Liabilities - Net | 23,938,367 | 35.7 | ||||||||||||
Net Assets | $ | 66,997,361 | 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, 2010. | ||||||||||||||
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 | |||||||||||||
## | 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. | |||||||||||||
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. | |||||||||||||
* | Cost for federal income tax purposes is $46,046,040. | |||||||||||||
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 878,259 | ||
Gross Unrealized Depreciation | (3,865,305 | ) | ||
Net Unrealized Depreciation | $ | (2,987,046 | ) | |
Percentage of | ||||
Industry | Net Assets | |||
Consumer Discretionary | 4.9 | % | ||
Consumer Staples | 5.3 | |||
Energy | 4.0 | |||
Federal Home Loan Mortgage Corporation## | 2.0 | |||
Federal National Mortgage Association## | 2.3 | |||
Financials | 7.2 | |||
Health Care | 5.1 | |||
Industrials | 6.1 | |||
Information Technology | 7.7 | |||
Materials | 3.8 | |||
Open-End Funds | 8.5 | |||
Telecommunication Services | 1.8 | |||
U.S. Treasury Notes | 3.5 | |||
Utilities | 1.6 | |||
Other Long-Term Investments | 0.5 | |||
Other Assets and Liabilities - Net | 35.7 | |||
Net Assets | 100.0 | % | ||
148
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Austria | $ | — | $ | 10,562 | $ | — | $ | 10,562 | ||||||||
Belgium | — | 143,438 | — | 143,438 | ||||||||||||
Bermuda | 67,890 | 8,514 | — | 76,404 | ||||||||||||
Denmark | — | 220,659 | — | 220,659 | ||||||||||||
Finland | — | 102,875 | — | 102,875 | ||||||||||||
France | 14,838 | 1,310,005 | — | 1,324,843 | ||||||||||||
Germany | 15,897 | 1,057,336 | — | 1,073,233 | ||||||||||||
Ireland | 57,449 | 30,327 | — | 87,776 | ||||||||||||
Italy | — | 348,893 | — | 348,893 | ||||||||||||
Japan | — | 4,599,687 | — | 4,599,687 | ||||||||||||
Luxembourg | — | 80,621 | — | 80,621 | ||||||||||||
Netherlands | — | 638,565 | — | 638,565 | ||||||||||||
Norway | — | 106,821 | — | 106,821 | ||||||||||||
Portugal | — | 26,558 | — | 26,558 | ||||||||||||
Spain | — | 453,738 | — | 453,738 | ||||||||||||
Sweden | — | 550,972 | — | 550,972 | ||||||||||||
Switzerland | 5,148 | 1,558,732 | — | 1,563,880 | ||||||||||||
United Kingdom | — | 3,146,053 | — | 3,146,053 | ||||||||||||
United States | 16,669,549 | — | — | 16,669,549 | ||||||||||||
Total Common Stock | 16,830,771 | 14,394,356 | — | 31,225,127 | ||||||||||||
Real Estate Investment Trusts | 448,703 | 68,784 | — | 517,487 | ||||||||||||
Exchange-Traded Funds | 321,555 | — | — | 321,555 | ||||||||||||
Mutual Funds | 5,707,677 | — | — | 5,707,677 | ||||||||||||
Preferred Stock | — | 59,439 | — | 59,439 | ||||||||||||
Rights | 136 | 1,189 | — | 1,325 | ||||||||||||
Warrants | — | 8 | — | 8 | ||||||||||||
U.S. Government Agency Obligations | — | 2,888,710 | — | 2,888,710 | ||||||||||||
U.S. Treasury Obligations | — | 2,337,666 | — | 2,337,666 | ||||||||||||
Total Investments, at value | $ | 23,308,842 | $ | 19,750,152 | $ | — | $ | 43,058,994 | ||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | — | 43,604 | — | 43,604 | ||||||||||||
Futures | 207,332 | — | — | 207,332 | ||||||||||||
Total Assets | $ | 23,516,174 | $ | 19,793,756 | $ | — | $ | 43,309,930 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | $ | — | $ | (189,779 | ) | $ | — | $ | (189,779 | ) | ||||||
Futures | (568,945 | ) | — | — | (568,945 | ) | ||||||||||
Total Liabilities | $ | (568,945 | ) | $ | (189,779 | ) | $ | — | $ | (758,724 | ) | |||||
^ | 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. |
# | 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. |
149
Unrealized | ||||||||||||||||
Number | Expiration | Market | Appreciation/ | |||||||||||||
Contract Description | of Contracts | Date | Value | (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
ASX SPI 200® Index | 17 | 09/16/10 | $ | 1,524,705 | $ | (86,868 | ) | |||||||||
CAC40® 10 Euro | 11 | 07/16/10 | 462,997 | (20,944 | ) | |||||||||||
DAX Index | 2 | 09/17/10 | 364,502 | (15,957 | ) | |||||||||||
Euro STOXX 50® | 26 | 09/17/10 | 816,474 | (19,529 | ) | |||||||||||
FTSE 100 Index | 7 | 09/17/10 | 510,436 | (32,087 | ) | |||||||||||
Hang Seng Index | 3 | 07/29/10 | 386,784 | (12,626 | ) | |||||||||||
MSCI Singapore Index (SGX) | 8 | 07/29/10 | 384,307 | (5,613 | ) | |||||||||||
S&P 500 E-Mini | 76 | 09/17/10 | 3,901,080 | (299,188 | ) | |||||||||||
S&P/TSX 60 Index | 17 | 09/16/10 | 2,105,378 | (76,133 | ) | |||||||||||
U.S. Treasury 5-Year Note | 7 | 09/30/10 | 828,461 | 11,853 | ||||||||||||
U.S. Treasury 10-Year Note | 56 | 09/21/10 | 6,862,625 | 94,030 | ||||||||||||
U.S. Treasury Long Bond | 9 | 09/21/10 | 1,147,500 | 46,176 | ||||||||||||
$ | 19,295,249 | $ | (416,886 | ) | ||||||||||||
Short Contracts | ||||||||||||||||
Russell 2000® Mini Index | 10 | 09/17/10 | $ | 607,800 | $ | 46,984 | ||||||||||
Tokyo Price Index (TOPIX) | 2 | 09/09/10 | 189,674 | 8,289 | ||||||||||||
$ | 797,474 | $ | 55,273 | |||||||||||||
In | Unrealized | |||||||||||||||||||||
Settlement | Exchange | Appreciation | ||||||||||||||||||||
Currency | Buy/Sell | Date | For | Value | (Depreciation) | |||||||||||||||||
Australian Dollar | AUD 1,501,400 | BUY | 07/15/10 | $ | 1,289,478 | $ | 1,261,494 | $ | (27,984 | ) | ||||||||||||
Australian Dollar | AUD 208,975 | BUY | 07/15/10 | 179,625 | 175,583 | (4,042 | ) | |||||||||||||||
Australian Dollar | AUD 393,094 | BUY | 07/15/10 | 337,393 | 330,282 | (7,111 | ) | |||||||||||||||
Canadian Dollar | CAD 2,082,558 | BUY | 07/15/10 | 2,023,669 | 1,956,096 | (67,573 | ) | |||||||||||||||
Canadian Dollar | CAD 1,102,625 | BUY | 07/15/10 | 1,071,394 | 1,035,669 | (35,725 | ) | |||||||||||||||
Canadian Dollar | CAD 804,429 | BUY | 07/15/10 | 757,217 | 755,581 | (1,636 | ) | |||||||||||||||
EU Euro | EUR 1,371,191 | BUY | 07/15/10 | 1,689,677 | 1,676,887 | (12,790 | ) | |||||||||||||||
British Pound | GBP 444,317 | BUY | 07/15/10 | 658,496 | 663,849 | 5,353 | ||||||||||||||||
Hong Kong Sar Dollar | HKD 3,755,032 | BUY | 07/15/10 | 482,051 | 482,258 | 207 | ||||||||||||||||
Indian Rupee | INR 30,608 | BUY | 07/15/10 | 656 | 658 | 2 | ||||||||||||||||
Japanese Yen | JPY 13,073,838 | BUY | 07/15/10 | 143,117 | 147,905 | 4,788 | ||||||||||||||||
Mexican Peso | MXN 27,261 | BUY | 07/15/10 | 2,160 | 2,105 | (55 | ) | |||||||||||||||
Norwegian Krone | NOK 68,607 | BUY | 07/15/10 | 10,772 | 10,534 | (238 | ) | |||||||||||||||
Russian Ruble | RUB 35,978 | BUY | 07/15/10 | 1,143 | 1,149 | 6 | ||||||||||||||||
Swedish Krona | SEK 295,996 | BUY | 07/15/10 | 38,169 | 37,961 | (208 | ) | |||||||||||||||
Singapore Dollar | SGD 477,302 | BUY | 07/15/10 | 342,422 | 341,120 | (1,302 | ) | |||||||||||||||
$ | (148,308 | ) | ||||||||||||||||||||
Brazilian Real | BRL 120,568 | SELL | 07/15/10 | $ | 66,135 | $ | 66,584 | $ | (449 | ) | ||||||||||||
Canadian Dollar | CAD 754,831 | SELL | 07/15/10 | 738,886 | 708,994 | 29,892 | ||||||||||||||||
EU Euro | EUR 133,493 | SELL | 07/15/10 | 164,625 | 163,255 | 1,370 | ||||||||||||||||
EU Euro | EUR 202,211 | SELL | 07/15/10 | 248,992 | 247,292 | 1,700 | ||||||||||||||||
British Pound | GBP 111,325 | SELL | 07/15/10 | 164,990 | 166,330 | (1,340 | ) | |||||||||||||||
Japanese Yen | JPY 79,859,214 | SELL | 07/15/10 | 874,125 | 903,451 | (29,326 | ) | |||||||||||||||
Norwegian Krone | NOK 82,233 | SELL | 07/15/10 | 12,912 | 12,626 | 286 | ||||||||||||||||
$ | 2,133 | |||||||||||||||||||||
150
Derivatives not accounted for | ||||||
as hedging instruments | ||||||
under FASB ASC 815 | Location on Statement of Assets and Liabilities | Fair Value | ||||
Asset Derivatives | ||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 43,604 | |||
Equity contracts | Net Assets — Unrealized appreciation* | 55,273 | ||||
Interest rate contracts | Net Assets — Unrealized appreciation* | 152,059 | ||||
Total Asset Derivatives | $ | 250,936 | ||||
Liability Derivatives | ||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 189,779 | |||
Equity contracts | Net Assets — Unrealized depreciation* | 568,945 | ||||
Total Liability Derivatives | $ | 758,724 | ||||
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
Amount of Realized Gain or (Loss) | ||||||||||||
on Derivatives Recognized in Income | ||||||||||||
Foreign | ||||||||||||
Derivatives not accounted for | Currency | |||||||||||
as hedging instruments | Related | |||||||||||
under FASB ASC 815 | Transactions* | Futures | Total | |||||||||
Equity contracts | $ | — | $ | 199,875 | $ | 199,875 | ||||||
Foreign exchange contracts | (407,468 | ) | — | (407,468 | ) | |||||||
Interest rate contracts | — | 305,823 | 305,823 | |||||||||
Total | $ | (407,468 | ) | $ | 505,698 | $ | 98,230 | |||||
Change in Unrealized | ||||||||||||
Appreciation or (Depreciation) | ||||||||||||
on Derivatives Recognized in Income | ||||||||||||
Foreign | ||||||||||||
Derivatives not accounted for | Currency | |||||||||||
as hedging instruments | Related | |||||||||||
under FASB ASC 815 | Transactions* | Futures | Total | |||||||||
Equity contracts | $ | — | $ | (882,713 | ) | $ | (882,713 | ) | ||||
Foreign exchange contracts | (104,856 | ) | — | (104,856 | ) | |||||||
Interest rate contracts | — | 332,971 | 332,971 | |||||||||
Total | $ | (104,856 | ) | $ | (549,742 | ) | $ | (654,598 | ) | |||
* | 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. |
151
Corporate Bonds/Notes | 27.9% | ||||
U.S. Treasury Obligations | 27.1% | ||||
U.S. Government Agency Obligations | 24.0% | ||||
Collateralized Mortgage Obligations | 4.5% | ||||
Municipal Bonds | 2.8% | ||||
Asset-Backed Securities | 2.3% | ||||
Other Bonds | 1.2% | ||||
Preferred Stock | 1.0% | ||||
Other Assets and Liabilities – Net* | 9.2% | ||||
Net Assets | 100.0% |
* | Includes short-term investments related to securities lending collateral, U.S. government agency obligation and U.S. Treasury Bill. |
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: 27.9% | ||||||||||||||
Consumer Discretionary: 0.3% | ||||||||||||||
Other Securities | $ | 13,299,067 | 0.3 | |||||||||||
Consumer Staples: 1.7% | ||||||||||||||
$ | 18,000,000 | S | Duke University, 4.200%-5.150%, due 04/01/14-04/01/19 | 19,578,890 | 0.5 | |||||||||
5,500,000 | #,S | President and Fellows of Harvard College, 6.000%, due 01/15/19 | 6,517,308 | 0.9 | ||||||||||
21,500,000 | #,S | President and Fellows of Harvard College, 6.500%, due 01/15/39 | �� | 27,047,774 | ||||||||||
Other Securities | 11,679,439 | 0.3 | ||||||||||||
64,823,411 | 1.7 | |||||||||||||
Energy: 2.1% | ||||||||||||||
13,500,000 | Gaz Capital for Gazprom, 8.625%, due 04/28/34 | 15,541,875 | 0.4 | |||||||||||
11,300,000 | S | Kinder Morgan Energy Partners LP, 5.950%, due 02/15/18 | 12,223,210 | 0.3 | ||||||||||
21,100,000 | S | Petrobras International Finance Co., 7.875%, due 03/15/19 | 24,247,234 | 0.7 | ||||||||||
14,900,000 | S | Petroleos Mexicanos, 8.000%, due 05/03/19 | 17,805,500 | 0.5 | ||||||||||
1,300,000 | #,S | Williams Cos., Inc., 6.375%, due 10/01/10 | 1,311,333 | 0.0 | ||||||||||
Other Securities | 7,639,386 | 0.2 | ||||||||||||
78,768,538 | 2.1 | |||||||||||||
Financials: 20.8% | ||||||||||||||
17,979,000 | S | American Express Credit Corp., 0.498%-5.875%, due 10/04/10-05/02/13 | 18,232,893 | 0.5 | ||||||||||
19,100,000 | S | American General Finance Corp., 0.787%-7.250%, due 03/15/11-12/15/17 | 17,540,039 | 0.5 | ||||||||||
EUR | 1,700,000 | American International Group, Inc., 4.875%, due 03/15/67 | 1,112,185 | 0.9 | ||||||||||
GBP | 7,300,000 | American International Group, Inc., 5.950%, due 10/04/10 | 10,946,499 | |||||||||||
$ | 22,000,000 | S | American International Group, Inc., 0.466%-5.850%, due 07/26/10-01/16/18 | 20,827,467 | ||||||||||
4,800,000 | #,S | ANZ National International Ltd., 6.200%, due 07/19/13 | 5,321,592 | 0.2 | ||||||||||
23,500,000 | S | Bank of America Corp., 6.500%, due 08/01/16 | 25,464,248 | 1.0 | ||||||||||
13,000,000 | S | Bank of America Corp., 2.100%, due 04/30/12 | 13,318,721 | |||||||||||
13,600,000 | S | Bank of America NA, 0.817%, due 06/15/16 | 11,919,339 | 0.3 | ||||||||||
1,200,000 | #,L | Bank of China Hong Kong Ltd., 5.550%, due 02/11/20 | 1,214,195 | 0.0 | ||||||||||
2,300,000 | #,S | Bank of Montreal, 2.850%, due 06/09/15 | 2,340,271 | 0.1 | ||||||||||
2,900,000 | #,S | Barclays Bank PLC, 6.050%, due 12/04/17 | 2,931,140 | 0.1 | ||||||||||
200,000 | S | Bear Stearns Cos., Inc., 0.646%, due 08/15/11 | 200,191 | 0.0 | ||||||||||
EUR | 4,100,000 | Bear Stearns Cos., Inc., 0.992%, due 09/26/13 | 4,849,553 | 0.1 | ||||||||||
$ | 9,300,000 | S | Bear Stearns Cos., Inc., 6.950%-7.250%, due 08/10/12-02/01/18 | 10,782,158 | 0.3 | |||||||||
11,990,000 | #,S | BNP Paribas, 5.186%, due 06/29/49 | 9,921,725 | 0.3 | ||||||||||
152
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
Financials (continued) | ||||||||||||||
$ | 17,173,021 | S,L | CIT Group, Inc., 7.000%-9.500%, due 01/20/12-05/01/17 | $ | 16,293,886 | 0.4 | ||||||||
31,800,000 | S | Citigroup Capital XXI, 8.300%, due 12/21/57 | 31,130,218 | 0.8 | ||||||||||
18,300,000 | S | Citigroup, Inc., 5.500%, due 04/11/13 | 19,035,074 | 1.1 | ||||||||||
21,600,000 | S | Citigroup, Inc., 0.535%-8.500%, due 05/18/11-05/22/19 | 22,856,482 | |||||||||||
4,700,000 | #,S | Commonwealth Bank of Australia, 6.024%, due 03/29/49 | 4,234,019 | 0.1 | ||||||||||
4,200,000 | #,S | Corp Nacional del Cobre de Chile — CODELCO, 7.500%, due 01/15/19 | 5,163,194 | 0.1 | ||||||||||
25,900,000 | #,S | Dexia Credit Local/New York NY, 0.938%, due 03/05/13 | 25,927,843 | 0.7 | ||||||||||
19,200,000 | S | Export-Import Bank of Korea, 5.875%, due 01/14/15 | 20,845,037 | 0.6 | ||||||||||
1,900,000 | Export-Import Bank of Korea, 5.125%, due 06/29/20 | 1,915,044 | ||||||||||||
11,737,367 | S | Ford Motor Credit Co., LLC, 3.310%-8.000%, due 02/01/11-12/15/16 | 11,855,667 | 0.3 | ||||||||||
20,600,000 | S | General Electric Capital Corp., 2.625%, due 12/28/12 | 21,420,065 | 1.4 | ||||||||||
EUR | 9,700,000 | General Electric Capital Corp., 5.500%, due 09/15/67 | 9,963,804 | |||||||||||
$ | 18,100,000 | S | General Electric Capital Corp., 2.000%-6.875%, due 12/09/11-01/10/39 | 18,835,316 | ||||||||||
12,200,000 | S | General Motors Acceptance Corp., 6.875%, due 09/15/11 | 12,357,148 | 0.3 | ||||||||||
26,700,000 | S | Goldman Sachs Group, Inc., 5.950%-6.875%, due 01/15/11-10/01/37 | 27,295,282 | 0.7 | ||||||||||
EUR | 9,500,000 | International Lease Finance Corp., 1.058%, due 08/15/11 | 10,702,974 | 0.6 | ||||||||||
$ | 11,700,000 | S | International Lease Finance Corp., 5.300%-5.450%, due 03/24/11-05/01/12 | 11,227,050 | ||||||||||
40,000,000 | S | JP Morgan Chase & Co., 0.664%-7.900%, due 12/21/11-04/29/49 | 41,712,418 | 1.1 | ||||||||||
22,400,000 | S | Merrill Lynch & Co., Inc., 0.544%-6.875%, due 11/01/11-04/25/18 | 23,321,562 | 0.6 | ||||||||||
EUR | 14,000,000 | Morgan Stanley, 0.944%, due 07/20/12 | 16,297,342 | 0.8 | ||||||||||
$ | 14,592,000 | S | Morgan Stanley, 0.550%-6.250%, due 01/09/12-12/28/17 | 14,348,136 | ||||||||||
4,000,000 | #,S | National Australia Bank Ltd., 5.350%, due 06/12/13 | 4,336,616 | 0.1 | ||||||||||
1,200,000 | #,S | Pacific LifeCorp, 6.000%, due 02/10/20 | 1,275,781 | 0.0 | ||||||||||
4,900,000 | #,S | Pricoa Global Funding I, 0.438%, due 01/30/12 | 4,807,209 | 0.2 | ||||||||||
2,000,000 | #,S | Pricoa Global Funding I, 0.737%, due 09/27/13 | 1,913,286 | |||||||||||
2,137,000 | #,S | Rabobank, 11.000%, due 12/29/49 | 2,646,619 | 0.1 | ||||||||||
1,500,000 | #,S | Resona Bank Ltd., 5.850%, due 09/29/49 | 1,419,297 | 0.0 | ||||||||||
3,900,000 | #,S | Royal Bank of Scotland Group PLC, 6.990%, due 10/29/49 | 2,554,500 | 0.1 | ||||||||||
11,800,000 | # | Royal Bank of Scotland PLC, 1.450%, due 10/20/11 | 11,826,102 | 0.7 | ||||||||||
11,300,000 | #,S | Royal Bank of Scotland PLC, 3.000%, due 12/09/11 | 11,604,953 | |||||||||||
900,000 | #,S | Royal Bank of Scotland PLC, 4.875%, due 08/25/14 | 903,458 | |||||||||||
22,800,000 | #,S | Santander US Debt SA Unipersonal, 1.333%, due 03/30/12 | 22,383,794 | 0.6 | ||||||||||
6,500,000 | #,S | Societe Generale, 5.922%, due 12/31/49 | 4,926,773 | 0.1 | ||||||||||
2,700,000 | #,S | Temasek Financial I Ltd., 4.300%, due 10/25/19 | 2,814,944 | 0.1 | ||||||||||
1,700,000 | #,S | TransCapitalInvest Ltd for OJSC AK Transneft, 8.700%, due 08/07/18 | 1,986,149 | 0.1 | ||||||||||
10,700,000 | S | UBS AG/Stamford CT, 1.584%-5.875%, due 02/23/12-04/25/18 | 11,049,789 | 0.3 | ||||||||||
31,015,000 | S | Wachovia Corp., 0.433%-5.750%, due 10/15/11-02/01/18 | 31,018,924 | 0.8 | ||||||||||
27,092,000 | S | Wells Fargo & Company, 7.980%, due 02/28/49 | 28,040,220 | 0.8 | ||||||||||
3,000,000 | #,S | Westpac Banking Corp., 0.784%, due 07/16/14 | 3,018,966 | 0.1 | ||||||||||
350,000 | #,S | ZFS Finance USA Trust IV, 5.875%, due 05/09/32 | 310,632 | 0.0 | ||||||||||
Other Securities(a) | 104,574,865 | 2.8 | ||||||||||||
777,072,654 | 20.8 | |||||||||||||
Health Care: 0.8% | ||||||||||||||
12,700,000 | S | Amgen, Inc., 6.150%, due 06/01/18 | 15,046,300 | 0.4 | ||||||||||
10,600,000 | S | Novartis Capital Corp., 4.125%, due 02/10/14 | 11,446,251 | 0.3 | ||||||||||
Other Securities | 3,010,554 | 0.1 | ||||||||||||
29,503,105 | 0.8 |
153
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
Industrials: 0.3% | ||||||||||||||
$ | 3,400,000 | #,S | C8 Capital SPV Ltd., 6.640%, due 12/31/49 | $ | 2,241,991 | 0.1 | ||||||||
125,953 | ±,S,I | United Air Lines, Inc., 9.350%, due 04/07/16 | 29,599 | 0.0 | ||||||||||
Other Securities | 8,266,815 | 0.2 | ||||||||||||
10,538,405 | 0.3 | |||||||||||||
Information Technology: 0.6% | ||||||||||||||
12,400,000 | S | Oracle Corp., 5.750%, due 04/15/18 | 14,378,098 | 0.4 | ||||||||||
Other Securities | 7,800,821 | 0.2 | ||||||||||||
22,178,919 | 0.6 | |||||||||||||
Materials: 0.1% | ||||||||||||||
2,200,000 | #,S | Sealed Air Corp., 5.625%, due 07/15/13 | 2,303,008 | 0.1 | ||||||||||
Telecommunication Services: 0.9% | ||||||||||||||
20,700,000 | S | Cellco Partnership / Verizon Wireless Capital, LLC, 5.250%, due 02/01/12 | 21,950,632 | 0.6 | ||||||||||
Other Securities | 12,539,571 | 0.3 | ||||||||||||
34,490,203 | 0.9 | |||||||||||||
Utilities: 0.3% | ||||||||||||||
3,700,000 | #,S | Electricite de France, 5.500%, due 01/26/14 | 4,092,611 | 0.3 | ||||||||||
1,300,000 | #,S | Electricite de France, 6.500%, due 01/26/19 | 1,515,235 | |||||||||||
3,700,000 | #,S | Electricite de France, 6.950%, due 01/26/39 | 4,474,854 | |||||||||||
10,082,700 | 0.3 | |||||||||||||
Total Corporate Bonds/Notes (Cost $1,002,360,197) | 1,043,060,010 | 27.9 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 24.0% | ||||||||||||||
Federal Home Loan Mortgage Corporation##: 4.3% | ||||||||||||||
21,100,000 | S | 1.125%, due 06/01/11 | 21,236,749 | 4.3 | ||||||||||
23,800,000 | L | 1.125%, due 07/27/12 | 23,980,523 | |||||||||||
45,000,000 | W | 5.500%, due 08/14/36 | 48,150,000 | |||||||||||
30,000,000 | W | 6.000%, due 08/15/34 | 32,470,320 | |||||||||||
34,192,425 | S | 0.700%-8.250%, due 03/15/17-10/25/44 | 36,142,050 | |||||||||||
161,979,642 | 4.3 | |||||||||||||
Federal National Mortgage Association##: 19.6% | ||||||||||||||
20,700,000 | L | 1.750%, due 05/07/13 | 21,092,783 | 19.6 | ||||||||||
103,000,000 | W | 4.500%, due 07/15/35-09/01/39 | 106,302,969 | |||||||||||
59,899,197 | S | 5.500%, due 06/01/23-04/01/37 | 64,559,324 | |||||||||||
20,000,000 | W | 6.000%, due 07/14/37-08/12/40 | 21,660,004 | |||||||||||
367,830,181 | S | 6.000%, due 09/01/21-11/01/39 | 400,127,367 | |||||||||||
29,000,000 | W | 6.500%, due 07/15/33 | 31,764,077 | |||||||||||
85,106,085 | W,S,L | 0.547%-6.500%, due 07/30/12-08/01/42 | 88,137,410 | |||||||||||
733,643,934 | 19.6 |
154
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
Government National Mortgage Association: 0.1% | ||||||||||||||
Other Securities(b) | $ | 4,120,075 | 0.1 | |||||||||||
Total U.S. Government Agency Obligations (Cost $871,833,747) | 899,743,651 | 24.0 | ||||||||||||
U.S. TREASURY OBLIGATIONS: 27.1% | ||||||||||||||
U.S. Treasury Notes: 26.8% | ||||||||||||||
$ | 70,700,000 | L | 0.625%, due 06/30/12 | 70,716,685 | ||||||||||
53,100,000 | S | 0.750%, due 05/31/12 | 53,261,796 | |||||||||||
64,500,000 | S | 1.125%, due 06/15/13 | 64,766,772 | |||||||||||
53,000,000 | S | 1.375%, due 03/15/13-05/15/13 | 53,663,542 | |||||||||||
37,200,000 | L | 1.875%, due 06/30/15 | 37,348,242 | |||||||||||
88,200,000 | S,L | 2.125%, due 05/31/15 | 89,729,917 | |||||||||||
152,600,000 | L | 2.500%, due 04/30/15-06/30/17 | 153,656,143 | |||||||||||
51,300,000 | S | 2.750%, due 05/31/17 | 52,386,118 | 26.8 | ||||||||||
68,500,000 | S | 3.125%, due 04/30/17 | 71,614,627 | |||||||||||
25,600,000 | S | 3.375%, due 11/15/19 | 26,518,016 | |||||||||||
148,200,000 | L | 3.500%, due 05/15/20 | 155,123,459 | |||||||||||
40,100,000 | S,L | 3.625%, due 02/15/20 | 42,374,432 | |||||||||||
37,200,000 | S | 3.625%, due 08/15/19 | 39,341,902 | |||||||||||
20,000,000 | S | 4.375%, due 02/15/38-05/15/40 | 21,633,749 | |||||||||||
29,200,000 | S | 4.625%, due 02/15/40 | 32,827,195 | |||||||||||
35,100,000 | S,L | 2.250%-8.750%, due 01/31/15-11/15/39 | 40,232,185 | |||||||||||
1,005,194,780 | 26.8 | |||||||||||||
Treasury Inflation Indexed Protected Securitiesip: 0.3% | ||||||||||||||
9,570,451 | S | 2.000%-2.375%, due 01/15/25-01/15/26 | 10,614,895 | 0.3 | ||||||||||
Total U.S. Treasury Obligations (Cost $993,405,666) | 1,015,809,675 | 27.1 | ||||||||||||
ASSET-BACKED SECURITIES: 2.3% | ||||||||||||||
Automobile Asset-Backed Securities: 0.3% | ||||||||||||||
4,215,838 | #,S | Ally Auto Receivables Trust, 1.320%, due 03/15/12 | 4,225,481 | 0.1 | ||||||||||
Other Securities | 5,740,724 | 0.2 | ||||||||||||
9,966,205 | 0.3 | |||||||||||||
Credit Card Asset-Backed Securities: 0.1% | ||||||||||||||
Other Securities | 3,305,444 | 0.1 | ||||||||||||
Home Equity Asset-Backed Securities: 0.0% | ||||||||||||||
Other Securities | 689,770 | 0.0 | ||||||||||||
Other Asset-Backed Securities: 1.9% | ||||||||||||||
18,082,254 | S | Small Business Administration, 5.160%, due 02/01/28 | 19,472,002 | 1.7 | ||||||||||
41,119,574 | S | Small Business Administration, 5.290%-5.902%, due 02/10/18-03/01/28 | 44,878,871 | |||||||||||
Other Securities | 5,690,725 | 0.2 | ||||||||||||
70,041,598 | 1.9 | |||||||||||||
Total Asset-Backed Securities (Cost $80,781,965) | 84,003,017 | 2.3 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 4.5% | ||||||||||||||
4,547,306 | S,I,ˆ | Countrywide Alternative Loan Trust, 4.653%, due 05/25/35 | 462,069 | 0.0 | ||||||||||
155
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
$ | 3,619,236 | #,S | Countrywide Home Loan Mortgage Pass-through Trust, 0.687%, due 06/25/35 | $ | 2,970,066 | 0.1 | ||||||||
45,329 | S | Countrywide Home Loan Mortgage Pass-through Trust, 5.750%, due 05/25/33 | 45,201 | |||||||||||
11,100,000 | S | Credit Suisse Mortgage Capital Certificates, 5.695%-5.846%, due 03/15/39-09/15/40 | 10,601,857 | 0.3 | ||||||||||
47,666,128 | S,I,ˆ | First Horizon Alternative Mortgage Securities, 4.353%, due 01/25/36 | 4,408,378 | 0.1 | ||||||||||
24,470,000 | S | Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.378%-6.155%, due 08/12/48-03/12/51 | 23,945,360 | 0.6 | ||||||||||
20,400,000 | S | Morgan Stanley Capital I, 5.809%-6.075%, due 06/11/49-12/12/49 | 21,087,991 | 0.6 | ||||||||||
1,400,000 | #,S | Morgan Stanley Reremic Trust, 5.999%, due 08/12/45 | 1,470,327 | 0.0 | ||||||||||
63,673 | #,S | Nomura Asset Acceptance Corp., 7.000%, due 02/19/30 | 63,712 | 0.0 | ||||||||||
26,772,947 | S | SLM Student Loan Trust, 1.816%, due 04/25/23 | 27,709,350 | 1.0 | ||||||||||
8,227,220 | S | SLM Student Loan Trust, 0.566%-2.846%, due 07/25/13-12/16/19 | 8,255,953 | |||||||||||
3,613,020 | #,S | Wachovia Bank Commercial Mortgage Trust, 0.440%, due 09/15/21 | 3,283,604 | 0.1 | ||||||||||
Other Securities | 65,182,714 | 1.7 | ||||||||||||
Total Collateralized Mortgage Obligations (Cost $171,910,261) | 169,486,582 | 4.5 | ||||||||||||
MUNICIPAL BONDS: 2.8% | ||||||||||||||
Alaska: 0.2% | ||||||||||||||
Other Securities | 6,009,514 | 0.2 | ||||||||||||
California: 1.4% | ||||||||||||||
21,000,000 | S | Southern California Public Power Authority, 5.943%, due 07/01/40 | 21,061,320 | 0.5 | ||||||||||
Other Securities | 33,367,333 | 0.9 | ||||||||||||
54,428,653 | 1.4 | |||||||||||||
Connecticut: 0.3% | ||||||||||||||
Other Securities | 10,051,545 | 0.3 | ||||||||||||
Illinois: 0.4% | ||||||||||||||
Other Securities | 14,484,170 | 0.4 | ||||||||||||
Nebraska: 0.0% | ||||||||||||||
Other Securities | 1,569,045 | 0.0 | ||||||||||||
Nevada: 0.1% | ||||||||||||||
Other Securities | 2,618,573 | 0.1 | ||||||||||||
New Jersey: 0.2% | ||||||||||||||
Other Securities | 8,095,950 | 0.2 | ||||||||||||
New York: 0.0% | ||||||||||||||
Other Securities | 849,268 | 0.0 | ||||||||||||
Pennsylvania: 0.2% | ||||||||||||||
Other Securities | 7,150,802 | 0.2 | ||||||||||||
156
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
Washington: 0.0% | ||||||||||||||
Other Securities | $ | 1,055,371 | 0.0 | |||||||||||
Total Municipal Bonds (Cost $103,353,361) | 106,312,891 | 2.8 | ||||||||||||
OTHER BONDS: 1.2% | ||||||||||||||
Foreign Government Bonds: 1.2% | ||||||||||||||
BRL | 56,500,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, due 01/01/17 | 28,331,542 | 0.8 | ||||||||||
$ | 2,400,000 | #,S | Export-Import Bank of China, 4.875%, due 07/21/15 | 2,597,971 | 0.1 | |||||||||
4,000,000 | #,S | Societe Financement de l’Economie Francaise, 0.504%, due 07/16/12 | 4,021,120 | 0.1 | ||||||||||
Other Securities | 7,983,415 | 0.2 | ||||||||||||
Total Other Bonds (Cost $42,013,179) | 42,934,048 | 1.2 | ||||||||||||
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
PREFERRED STOCK: 1.0% | ||||||||||||||
Consumer Discretionary: 0.0% | ||||||||||||||
Other Securities | $ | 1,306,080 | 0.0 | |||||||||||
Financials: 1.0% | ||||||||||||||
94,400 | S | American International Group, Inc. | 906,240 | 0.0 | ||||||||||
39,000 | S | Wells Fargo & Co. | 36,309,000 | 1.0 | ||||||||||
37,215,240 | 1.0 | |||||||||||||
Total Preferred Stock (Cost $32,325,465) | 38,521,320 | 1.0 | ||||||||||||
Total Long-Term Investments (Cost $3,297,983,841) | 3,399,871,194 | 90.8 | ||||||||||||
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: 25.3% | ||||||||||||||
U.S. Government Agency Obligations: 16.4% | ||||||||||||||
$ | 31,000,000 | S,Z | Fannie Mae, 0.090%, due 08/18/10 | $ | 30,996,390 | 9.6 | ||||||||
157,100,000 | S,Z | Fannie Mae, 0.090%, due 09/08/10 | 157,072,979 | |||||||||||
82,825,000 | S,Z | Fannie Mae, 0.110%, due 07/21/10 | 82,819,495 | |||||||||||
50,800,000 | S,L,Z | Fannie Mae, 0.110%, due 08/11/10 | 50,793,247 | |||||||||||
35,800,000 | S,Z | Fannie Mae, 0.090%, due 07/28/10-09/20/10 | 35,795,983 | |||||||||||
19,800,000 | S,Z | Federal Home Loan Bank, 0.090%, due 09/03/10 | 19,796,832 | 3.2 | ||||||||||
71,293,000 | S,Z | Federal Home Loan Bank, 0.160%, due 08/06/10 | 71,281,459 | |||||||||||
28,400,000 | S,Z | Federal Home Loan Bank, 0.090%-0.150%, due 07/16/10-08/20/10 | 28,396,279 | |||||||||||
27,000,000 | S,Z | Federal Home Loan Mortage Corporation, 0.090%, due 08/18/10 | 26,996,856 | 3.6 | ||||||||||
33,600,000 | S,Z | Federal Home Loan Mortage Corporation, 0.140%, due 10/06/10 | 33,587,333 | |||||||||||
74,807,000 | S,Z | Federal Home Loan Mortage Corporation, 0.090%-0.140%, due 08/03/10-10/12/10 | 74,796,526 | |||||||||||
Total U.S. Government Agency Obligations (Cost $612,274,103) | 612,333,379 | 16.4 | ||||||||||||
U.S. Treasury Bills: 0.0% | ||||||||||||||
Other Securities | 579,991 | 0.0 | ||||||||||||
Total U.S. Treasury Bills (Cost $579,991) | 579,991 | 0.0 |
157
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Securities Lending CollateralCC: 8.9% | ||||||||||||||
329,917,283 | BNY Mellon Overnight Government Fund(1) | $ | 329,917,283 | 8.8 | ||||||||||
2,280,616 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,824,493 | 0.1 | ||||||||||
Total Securities Lending Collateral (Cost $332,197,899) | 331,741,776 | 8.9 | ||||||||||||
Total Short-Term Investments (Cost $945,051,993) | 944,655,146 | 25.3 | ||||||||||||
Total Investments in Securities (Cost $4,243,035,834)* | $ | 4,344,526,340 | 116.1 | |||||||||||
Other Assets and Liabilities - Net | (601,547,185 | ) | (16.1 | ) | ||||||||||
Net Assets | $ | 3,742,979,155 | 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, 2010. | ||||||||||||||
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. | ||||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
ip | Treasury inflation indexed protected security whose principal value is adjusted in accordance with changes to the Consumer Price Index. | |||||||||||||
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. | |||||||||||||
W | Settlement is on a when-issued or delayed-delivery basis. | |||||||||||||
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. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
± | Defaulted security | |||||||||||||
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. | |||||||||||||
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. | |||||||||||||
BRL | Brazilian Real | |||||||||||||
EUR | EU Euro | |||||||||||||
GBP | British Pound | |||||||||||||
(a) | The grouping contains securities in default. | |||||||||||||
(b) | The grouping contains when-issued securities. | |||||||||||||
* | Cost for federal income tax purposes is $4,244,596,420. | |||||||||||||
Net unrealized appreciation consists of: |
Gross Unrealized Appreciation | $ | 156,457,007 | ||
Gross Unrealized Depreciation | (56,527,087 | ) | ||
Net Unrealized Appreciation | $ | 99,929,920 | ||
158
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Preferred Stock | $ | 36,309,000 | $ | 2,212,320 | $ | — | $ | 38,521,320 | ||||||||
Corporate Bonds/Notes | 8,106,701 | 1,034,953,309 | — | 1,043,060,010 | ||||||||||||
U.S. Government Agency Obligations | — | 899,743,651 | — | 899,743,651 | ||||||||||||
U.S. Treasury Obligations | 14,746,809 | 1,001,062,866 | — | 1,015,809,675 | ||||||||||||
Asset-Backed Securities | — | 84,003,017 | — | 84,003,017 | ||||||||||||
Collateralized Mortgage Obligations | — | 168,979,002 | 507,580 | 169,486,582 | ||||||||||||
Municipal Bonds | — | 106,312,891 | — | 106,312,891 | ||||||||||||
Other Bonds | — | 38,912,928 | 4,021,120 | 42,934,048 | ||||||||||||
Short-Term Investments | 329,917,283 | 612,913,370 | 1,824,493 | 944,655,146 | ||||||||||||
Total Investments, at value | $ | 389,079,793 | $ | 3,949,093,354 | $ | 6,353,193 | $ | 4,344,526,340 | ||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | — | 11,146,459 | — | 11,146,459 | ||||||||||||
Futures | 15,742,251 | — | — | 15,742,251 | ||||||||||||
Swaps, at value | — | 30,739,453 | 885,459 | 31,624,912 | ||||||||||||
Total Assets | $ | 404,822,044 | $ | 3,990,979,266 | $ | 7,238,652 | $ | 4,403,039,962 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | $ | — | $ | (3,013,379 | ) | $ | — | $ | (3,013,379 | ) | ||||||
Swaps, at value | — | (3,051,022 | ) | (65,382 | ) | (3,116,404 | ) | |||||||||
Written options | (745,126 | ) | (9,236,739 | ) | — | (9,981,865 | ) | |||||||||
Sales commitments | — | (30,371,264 | ) | — | (30,371,264 | ) | ||||||||||
Total Liabilities | $ | (745,126 | ) | $ | (45,672,404 | ) | $ | (65,382 | ) | $ | (46,482,912 | ) | ||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations | $ | 509,001 | $ | — | $ | (6,773 | ) | $ | (217 | ) | $ | (236 | ) | $ | 5,805 | $ | — | $ | — | $ | 507,580 | |||||||||||||||
Other Bonds | 3,997,016 | — | — | — | — | 24,104 | — | — | 4,021,120 | |||||||||||||||||||||||||||
Short-Term Investments | 1,824,493 | — | — | — | — | — | — | — | 1,824,493 | |||||||||||||||||||||||||||
Total Investments, at value | $ | 6,330,510 | $ | — | $ | (6,773 | ) | $ | (217 | ) | $ | (236 | ) | $ | 29,909 | $ | — | $ | — | $ | 6,353,193 | |||||||||||||||
Other Financial Instruments+: | ||||||||||||||||||||||||||||||||||||
Swaps, at value | $ | 1,174,660 | $ | — | $ | — | $ | — | $ | — | $ | (289,201 | ) | $ | — | $ | — | $ | 885,459 | |||||||||||||||||
Total Assets | $ | 7,505,170 | $ | — | $ | (6,773 | ) | $ | (217 | ) | $ | (236 | ) | $ | (259,292 | ) | $ | — | $ | — | $ | 7,238,652 | ||||||||||||||
Liabilities Table | ||||||||||||||||||||||||||||||||||||
Other Financial Instruments+: | ||||||||||||||||||||||||||||||||||||
Swaps, at value | $ | (1,702 | ) | $ | — | $ | — | $ | — | $ | — | $ | (63,680 | ) | $ | — | $ | — | $ | (65,382 | ) | |||||||||||||||
Total Liabilities | $ | (1,702 | ) | $ | — | $ | — | $ | — | $ | — | $ | (63,680 | ) | $ | — | $ | — | $ | (65,382 | ) | |||||||||||||||
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 reported at their unrealized gain/loss at |
159
measurement date which represents the amount due to/from the Portfolio. Swaps and written options are reported at their market value at measurement date. |
Unrealized | ||||||||||||||||
Number | Appreciation/ | |||||||||||||||
Contract Description | of Contracts | Expiration Date | Market Value | (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
90-Day Eurodollar | 1,655 | 09/13/10 | $ | 411,039,938 | $ | 2,002,468 | ||||||||||
90-Day Eurodollar | 1,702 | 12/13/10 | 422,223,650 | 3,094,681 | ||||||||||||
90-Day Eurodollar | 521 | 03/14/11 | 129,155,900 | 2,052,904 | ||||||||||||
U.S. Treasury 2-Year Note | 2,661 | 09/30/10 | 582,301,627 | 2,485,390 | ||||||||||||
U.S. Treasury 5-Year Note | 238 | 09/30/10 | 28,167,671 | 394,047 | ||||||||||||
U.S. Treasury 10-Year Note | 2,511 | 09/21/10 | 307,715,216 | 5,712,761 | ||||||||||||
$ | 1,880,604,002 | $ | 15,742,251 | |||||||||||||
�� | ||||||||||||||||||||||
In | Unrealized | |||||||||||||||||||||
Settlement | Exchange | Appreciation | ||||||||||||||||||||
Currency | Buy/Sell | Date | For | Value | (Depreciation) | |||||||||||||||||
Australian Dollar | AUD 4,607,000 | Buy | 07/30/10 | $ | 3,998,876 | $ | 3,863,766 | $ | (135,110 | ) | ||||||||||||
Chinese Yuan | CNY 1,087,200 | Buy | 08/25/10 | 160,000 | 160,402 | 402 | ||||||||||||||||
Chinese Yuan | CNY 10,864,000 | Buy | 08/25/10 | 1,600,000 | 1,602,836 | 2,836 | ||||||||||||||||
Chinese Yuan | CNY 3,469,358 | Buy | 08/25/10 | 510,500 | 511,857 | 1,357 | ||||||||||||||||
Chinese Yuan | CNY 3,469,358 | Buy | 08/25/10 | 510,500 | 511,857 | 1,357 | ||||||||||||||||
Chinese Yuan | CNY 3,469,869 | Buy | 08/25/10 | 510,500 | 511,932 | 1,432 | ||||||||||||||||
Chinese Yuan | CNY 3,468,848 | Buy | 08/25/10 | 510,500 | 511,781 | 1,281 | ||||||||||||||||
Chinese Yuan | CNY 5,506,785 | Buy | 08/25/10 | 810,000 | 812,451 | 2,451 | ||||||||||||||||
Chinese Yuan | CNY 2,310,980 | Buy | 08/25/10 | 340,000 | 340,954 | 954 | ||||||||||||||||
Chinese Yuan | CNY 6,668,500 | Buy | 08/25/10 | 1,000,000 | 983,847 | (16,153 | ) | |||||||||||||||
Chinese Yuan | CNY 6,670,000 | Buy | 08/25/10 | 1,000,000 | 984,068 | (15,932 | ) | |||||||||||||||
Chinese Yuan | CNY 6,665,000 | Buy | 08/25/10 | 1,000,000 | 983,330 | (16,670 | ) | |||||||||||||||
Chinese Yuan | CNY 6,638,340 | Buy | 08/25/10 | 996,000 | 979,397 | (16,603 | ) | |||||||||||||||
Chinese Yuan | CNY 1,998,038 | Buy | 11/17/10 | 301,000 | 295,685 | (5,315 | ) | |||||||||||||||
Chinese Yuan | CNY 7,953,567 | Buy | 11/17/10 | 1,199,000 | 1,177,030 | (21,970 | ) | |||||||||||||||
Chinese Yuan | CNY 7,813,674 | Buy | 11/17/10 | 1,178,000 | 1,156,327 | (21,673 | ) | |||||||||||||||
Chinese Yuan | CNY 6,479,022 | Buy | 11/17/10 | 979,000 | 958,815 | (20,185 | ) | |||||||||||||||
Chinese Yuan | CNY 4,226,050 | Buy | 11/17/10 | 638,569 | 625,403 | (13,166 | ) | |||||||||||||||
Chinese Yuan | CNY 4,042,376 | Buy | 11/17/10 | 611,000 | 598,222 | (12,778 | ) | |||||||||||||||
Chinese Yuan | CNY 4,036,980 | Buy | 11/17/10 | 610,000 | 597,423 | (12,577 | ) | |||||||||||||||
Chinese Yuan | CNY 2,883,833 | Buy | 11/23/10 | 435,000 | 426,880 | (8,120 | ) | |||||||||||||||
Chinese Yuan | CNY 2,018,256 | Buy | 11/23/10 | 304,000 | 298,753 | (5,247 | ) | |||||||||||||||
Chinese Yuan | CNY 10,148,460 | Buy | 04/07/11 | 1,533,000 | 1,512,411 | (20,589 | ) | |||||||||||||||
Chinese Yuan | CNY 10,194,800 | Buy | 04/07/11 | 1,540,000 | 1,519,317 | (20,683 | ) | |||||||||||||||
Chinese Yuan | CNY 10,361,500 | Buy | 04/07/11 | 1,564,000 | 1,544,160 | (19,840 | ) | |||||||||||||||
Chinese Yuan | CNY 12,927,326 | Buy | 04/07/11 | 1,951,000 | 1,926,541 | (24,459 | ) | |||||||||||||||
Chinese Yuan | CNY 10,194,800 | Buy | 04/07/11 | 1,540,000 | 1,519,317 | (20,683 | ) | |||||||||||||||
Chinese Yuan | CNY 13,294,368 | Buy | 04/07/11 | 2,007,000 | 1,981,241 | (25,759 | ) | |||||||||||||||
Chinese Yuan | CNY 10,148,460 | Buy | 04/07/11 | 1,533,000 | 1,512,411 | (20,589 | ) | |||||||||||||||
EU Euro | EUR 164,000 | Buy | 07/26/10 | 203,052 | 200,573 | (2,479 | ) | |||||||||||||||
EU Euro | EUR 4,009,000 | Buy | 07/26/10 | 5,047,171 | 4,903,040 | (144,131 | ) | |||||||||||||||
EU Euro | EUR 1,019,000 | Buy | 07/26/10 | 1,253,290 | 1,246,245 | (7,045 | ) | |||||||||||||||
EU Euro | EUR 388,000 | Buy | 07/26/10 | 474,489 | 474,527 | 38 | ||||||||||||||||
EU Euro | EUR 109,000 | Buy | 07/26/10 | 130,889 | 133,308 | 2,419 | ||||||||||||||||
EU Euro | EUR 383,000 | Buy | 07/26/10 | 463,017 | 468,412 | 5,395 | ||||||||||||||||
EU Euro | EUR 1,532,000 | Buy | 07/26/10 | 1,882,404 | 1,873,649 | (8,755 | ) | |||||||||||||||
EU Euro | EUR 47,753,000 | Buy | 08/24/10 | 58,952,989 | 58,411,789 | (541,200 | ) | |||||||||||||||
Indonesian Rupiah | IDR 15,443,960,000 | Buy | 10/07/10 | 1,520,000 | 1,675,577 | 155,577 | ||||||||||||||||
Indonesian Rupiah | IDR 4,373,100,000 | Buy | 10/07/10 | 430,000 | 474,455 | 44,455 | ||||||||||||||||
Indonesian Rupiah | IDR 7,251,309,000 | Buy | 10/07/10 | 730,000 | 786,724 | 56,724 | ||||||||||||||||
Indonesian Rupiah | IDR 12,352,705,500 | Buy | 10/07/10 | 1,230,000 | 1,340,194 | 110,194 | ||||||||||||||||
South Korean Won | KRW 130,000,000 | Buy | 07/28/10 | 109,705 | 106,280 | (3,425 | ) |
160
In | Unrealized | |||||||||||||||||||||
Settlement | Exchange | Appreciation | ||||||||||||||||||||
Currency | Buy/Sell | Date | For | Value | (Depreciation) | |||||||||||||||||
South Korean Won | KRW 128,960,772 | Buy | 07/28/10 | $ | 108,071 | $ | 105,431 | $ | (2,640 | ) | ||||||||||||
South Korean Won | KRW 128,799,645 | Buy | 07/28/10 | 109,171 | 105,299 | (3,872 | ) | |||||||||||||||
South Korean Won | KRW 214,128,000 | Buy | 07/28/10 | 181,058 | 175,059 | (5,999 | ) | |||||||||||||||
South Korean Won | KRW 1,800,314,083 | Buy | 07/28/10 | 1,463,908 | 1,471,832 | 7,924 | ||||||||||||||||
South Korean Won | KRW 5,834,859,000 | Buy | 08/27/10 | 4,896,248 | 4,765,364 | (130,884 | ) | |||||||||||||||
South Korean Won | KRW 512,539,000 | Buy | 08/27/10 | 435,351 | 418,594 | (16,757 | ) | |||||||||||||||
South Korean Won | KRW 230,493,000 | Buy | 11/12/10 | 196,868 | 188,029 | (8,839 | ) | |||||||||||||||
South Korean Won | KRW 125,999,083 | Buy | 11/12/10 | 107,899 | 102,786 | (5,113 | ) | |||||||||||||||
South Korean Won | KRW 340,050,000 | Buy | 11/12/10 | 300,000 | 277,402 | (22,598 | ) | |||||||||||||||
South Korean Won | KRW 698,907,500 | Buy | 11/12/10 | 610,000 | 570,146 | (39,854 | ) | |||||||||||||||
South Korean Won | KRW 713,682,000 | Buy | 11/12/10 | 620,000 | 582,198 | (37,802 | ) | |||||||||||||||
South Korean Won | KRW 185,440,000 | Buy | 11/12/10 | 160,000 | 151,276 | (8,724 | ) | |||||||||||||||
South Korean Won | KRW 381,051,000 | Buy | 11/12/10 | 330,000 | 310,849 | (19,151 | ) | |||||||||||||||
South Korean Won | KRW 386,050,500 | Buy | 11/12/10 | 330,000 | 314,927 | (15,073 | ) | |||||||||||||||
South Korean Won | KRW 385,852,500 | Buy | 11/12/10 | 330,000 | 314,766 | (15,234 | ) | |||||||||||||||
South Korean Won | KRW 187,680,000 | Buy | 11/12/10 | 160,000 | 153,103 | (6,897 | ) | |||||||||||||||
South Korean Won | KRW 186,848,000 | Buy | 11/12/10 | 160,000 | 152,424 | (7,576 | ) | |||||||||||||||
South Korean Won | KRW 373,632,000 | Buy | 11/12/10 | 320,000 | 304,797 | (15,203 | ) | |||||||||||||||
South Korean Won | KRW 371,808,000 | Buy | 11/12/10 | 320,000 | 303,309 | (16,691 | ) | |||||||||||||||
South Korean Won | KRW 360,406,000 | Buy | 11/12/10 | 310,000 | 294,007 | (15,993 | ) | |||||||||||||||
South Korean Won | KRW 235,640,000 | Buy | 11/12/10 | 200,000 | 192,227 | (7,773 | ) | |||||||||||||||
South Korean Won | KRW 235,280,000 | Buy | 11/12/10 | 200,000 | 191,934 | (8,066 | ) | |||||||||||||||
South Korean Won | KRW 364,401,900 | Buy | 11/12/10 | 308,371 | 297,267 | (11,104 | ) | |||||||||||||||
South Korean Won | KRW 946,479,600 | Buy | 11/12/10 | 837,000 | 772,107 | (64,893 | ) | |||||||||||||||
South Korean Won | KRW 102,811,800 | Buy | 11/12/10 | 91,000 | 83,870 | (7,130 | ) | |||||||||||||||
Mexican Peso | MXN 3,359,071 | Buy | 09/24/10 | 260,625 | 257,309 | (3,316 | ) | |||||||||||||||
Mexican Peso | MXN 6,572,795 | Buy | 09/24/10 | 530,000 | 503,485 | (26,515 | ) | |||||||||||||||
Mexican Peso | MXN 6,430,000 | Buy | 09/24/10 | 518,946 | 492,547 | (26,399 | ) | |||||||||||||||
Mexican Peso | MXN 630,000 | Buy | 09/24/10 | 50,159 | 48,259 | (1,900 | ) | |||||||||||||||
Mexican Peso | MXN 554,000 | Buy | 09/24/10 | 42,097 | 42,437 | 340 | ||||||||||||||||
Mexican Peso | MXN 650,000 | Buy | 09/24/10 | 50,837 | 49,791 | (1,046 | ) | |||||||||||||||
Malaysian Ringgit | MYR 1,214,964 | Buy | 10/12/10 | 360,000 | 373,442 | 13,442 | ||||||||||||||||
Malaysian Ringgit | MYR 1,225,836 | Buy | 10/12/10 | 360,000 | 376,784 | 16,784 | ||||||||||||||||
Malaysian Ringgit | MYR 1,230,336 | Buy | 10/12/10 | 360,000 | 378,167 | 18,167 | ||||||||||||||||
Malaysian Ringgit | MYR 824,328 | Buy | 10/12/10 | 240,000 | 253,373 | 13,373 | ||||||||||||||||
Malaysian Ringgit | MYR 1,651,200 | Buy | 10/12/10 | 480,000 | 507,527 | 27,527 | ||||||||||||||||
Malaysian Ringgit | MYR 4,292,371 | Buy | 10/12/10 | 1,253,613 | 1,319,341 | 65,728 | ||||||||||||||||
Malaysian Ringgit | MYR 3,174,000 | Buy | 10/12/10 | 976,615 | 975,589 | (1,026 | ) | |||||||||||||||
Malaysian Ringgit | MYR 668,000 | Buy | 10/12/10 | 198,249 | 205,322 | 7,073 | ||||||||||||||||
Malaysian Ringgit | MYR 685,000 | Buy | 10/12/10 | 203,324 | 210,548 | 7,224 | ||||||||||||||||
Malaysian Ringgit | MYR 1,330,000 | Buy | 10/12/10 | 398,980 | 408,801 | 9,821 | ||||||||||||||||
Malaysian Ringgit | MYR 1,330,000 | Buy | 10/12/10 | 403,948 | 408,801 | 4,853 | ||||||||||||||||
Malaysian Ringgit | MYR 758,474 | Buy | 10/12/10 | 230,343 | 233,131 | 2,788 | ||||||||||||||||
Malaysian Ringgit | MYR 758,474 | Buy | 10/12/10 | 230,413 | 233,131 | 2,718 | ||||||||||||||||
New Zealand Dollar | NZD 1,693,000 | Buy | 07/30/10 | 1,202,030 | 1,158,740 | (43,290 | ) | |||||||||||||||
Philippine Peso | PHP 2,214,000 | Buy | 11/15/10 | 47,511 | 47,099 | (412 | ) | |||||||||||||||
Philippine Peso | PHP 2,241,000 | Buy | 11/15/10 | 48,225 | 47,673 | (552 | ) | |||||||||||||||
Philippine Peso | PHP 2,140,000 | Buy | 11/15/10 | 46,002 | 45,525 | (477 | ) | |||||||||||||||
Philippine Peso | PHP 2,195,000 | Buy | 11/15/10 | 47,449 | 46,695 | (754 | ) | |||||||||||||||
Philippine Peso | PHP 2,827,200 | Buy | 11/15/10 | 61,301 | 60,143 | (1,158 | ) | |||||||||||||||
Singapore Dollar | SGD 314,372 | Buy | 09/16/10 | 223,403 | 224,739 | 1,336 | ||||||||||||||||
Singapore Dollar | SGD 491,144 | Buy | 09/16/10 | 350,642 | 351,110 | 468 | ||||||||||||||||
Singapore Dollar | SGD 365,085 | Buy | 09/16/10 | 259,349 | 260,993 | 1,644 | ||||||||||||||||
Taiwan New Dollar | TWD 14,165,000 | Buy | 10/12/10 | 451,546 | 444,130 | (7,416 | ) | |||||||||||||||
Taiwan New Dollar | TWD 5,121,000 | Buy | 10/12/10 | 163,741 | 160,564 | (3,177 | ) | |||||||||||||||
Taiwan New Dollar | TWD 1,032,568 | Buy | 10/12/10 | 33,223 | 32,375 | (848 | ) | |||||||||||||||
Taiwan New Dollar | TWD 15,534,390 | Buy | 10/12/10 | 502,000 | 487,066 | (14,934 | ) | |||||||||||||||
Taiwan New Dollar | TWD 13,201,740 | Buy | 10/12/10 | 426,000 | 413,928 | (12,072 | ) | |||||||||||||||
Taiwan New Dollar | TWD 7,631,000 | Buy | 01/14/11 | 246,679 | 241,009 | (5,670 | ) | |||||||||||||||
Taiwan New Dollar | TWD 9,382,000 | Buy | 01/14/11 | 298,552 | 296,310 | (2,242 | ) | |||||||||||||||
Taiwan New Dollar | TWD 5,081,000 | Buy | 01/14/11 | 160,309 | 160,472 | 163 |
161
In | Unrealized | |||||||||||||||||||||
Settlement | Exchange | Appreciation | ||||||||||||||||||||
Currency | Buy/Sell | Date | For | Value | (Depreciation) | |||||||||||||||||
Taiwan New Dollar | TWD 6,095,000 | Buy | 01/14/11 | $ | 193,002 | $ | 192,497 | $ | (505 | ) | ||||||||||||
Taiwan New Dollar | TWD 2,323,772 | Buy | 01/14/11 | 73,817 | 73,391 | (426 | ) | |||||||||||||||
$ | (1,240,892 | ) | ||||||||||||||||||||
Canadian Dollar | CAD 2,990,000 | Sell | 07/07/10 | 2,972,805 | 2,808,575 | 164,230 | ||||||||||||||||
Danish Krone | DKK 98,189,000 | Sell | 09/21/10 | 16,259,822 | 16,123,758 | 136,064 | ||||||||||||||||
EU Euro | EUR 86,825,000 | Sell | 07/26/10 | 116,357,221 | 106,187,688 | 10,169,533 | ||||||||||||||||
EU Euro | EUR 2,642,000 | Sell | 07/26/10 | 3,274,558 | 3,231,188 | 43,370 | ||||||||||||||||
EU Euro | EUR 8,682,000 | Sell | 07/26/10 | 10,657,329 | 10,618,157 | 39,172 | ||||||||||||||||
EU Euro | EUR 457,000 | Sell | 07/26/10 | 561,690 | 558,915 | 2,775 | ||||||||||||||||
EU Euro | EUR 584,000 | Sell | 07/26/10 | 716,965 | 714,237 | 2,728 | ||||||||||||||||
British Pound | GBP 21,615,000 | Sell | 09/23/10 | 31,978,096 | 32,293,568 | (315,472 | ) | |||||||||||||||
Japanese Yen | JPY 2,079,817,000 | Sell | 07/14/10 | 22,739,684 | 23,528,679 | (788,995 | ) | |||||||||||||||
South Korean Won | KRW 827,952,500 | Sell | 07/28/10 | 670,000 | 676,886 | (6,886 | ) | |||||||||||||||
South Korean Won | KRW 817,410,000 | Sell | 07/28/10 | 660,000 | 668,267 | (8,267 | ) | |||||||||||||||
South Korean Won | KRW 199,200,000 | Sell | 07/28/10 | 160,000 | 162,854 | (2,854 | ) | |||||||||||||||
South Korean Won | KRW 285,775,000 | Sell | 07/28/10 | 230,000 | 233,633 | (3,633 | ) | |||||||||||||||
South Korean Won | KRW 271,865,000 | Sell | 07/28/10 | 220,000 | 222,261 | (2,261 | ) | |||||||||||||||
South Korean Won | KRW 220,037,000 | Sell | 08/27/10 | 178,703 | 179,706 | (1,003 | ) | |||||||||||||||
South Korean Won | KRW 1,800,314,083 | Sell | 08/27/10 | 1,462,600 | 1,470,327 | (7,727 | ) | |||||||||||||||
South Korean Won | KRW 4,849,600,000 | Sell | 11/12/10 | 3,922,547 | 3,956,144 | (33,597 | ) | |||||||||||||||
South Korean Won | KRW 1,962,912,000 | Sell | 11/12/10 | 1,587,732 | 1,601,279 | (13,547 | ) | |||||||||||||||
Singapore Dollar | SGD 1,170,601 | Sell | 09/16/10 | 837,185 | 836,843 | 342 | ||||||||||||||||
$ | 9,373,972 | |||||||||||||||||||||
(Pay)/ | Upfront | |||||||||||||||||||||||||||||
Receive | Premium | Unrealized | ||||||||||||||||||||||||||||
Reference | Buy/Sell | Fixed | Termination | Notional | Market | Paid/ | Appreciation/ | |||||||||||||||||||||||
Counterparty | Entity/Obligation | Protection | Rate (%) | Date | Amount(4) | Value(5) | (Received) | (Depreciation) | ||||||||||||||||||||||
Barclays Bank PLC | iStar Financial Inc. 5.800%, 03/15/11 | Buy | (0.365 | ) | 03/20/11 | USD 5,000,000 | $ | 630,606 | $ | — | $ | 630,606 | ||||||||||||||||||
Deutsche Bank AG | Lennar Corp. 5.950%, 10/17/11 | Buy | (0.660 | ) | 12/20/11 | USD 5,000,000 | 144,269 | — | 144,269 | |||||||||||||||||||||
Morgan Stanley Capital Services Inc. | Sealed Air Corp. 5.625%, 07/15/13 | Buy | (0.580 | ) | 09/20/13 | USD 2,200,000 | 38,486 | — | 38,486 | |||||||||||||||||||||
$ | 813,361 | $ | — | $ | 813,361 | |||||||||||||||||||||||||
(Pay)/ | Upfront | |||||||||||||||||||||||||||||
Receive | Premium | Unrealized | ||||||||||||||||||||||||||||
Reference | Buy/Sell | Fixed | Termination | Notional | Market | Paid/ | Appreciation | |||||||||||||||||||||||
Counterparty | Entity/Obligation | Protection | Rate (%) | Date | Amount(4) | Value(5) | (Received) | (Depreciation) | ||||||||||||||||||||||
Deutsche Bank AG | CDX.EM.12 Index | Sell | 5.000 | 12/20/14 | USD1,400,000 | $ | 127,735 | $ | 124,238 | $ | 3,497 | |||||||||||||||||||
Barclays Bank PLC | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD200,000 | 20,553 | 23,591 | (3,038 | ) | |||||||||||||||||||||
Barclays Bank PLC | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD2,800,000 | 287,735 | 329,517 | (41,782 | ) | |||||||||||||||||||||
Credit Suisse International | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 1,800,000 | 184,973 | 231,744 | (46,771 | ) | |||||||||||||||||||||
Deutsche Bank AG | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 14,300,000 | 1,469,506 | 1,718,395 | (248,889 | ) | |||||||||||||||||||||
Goldman Sachs International | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 100,000 | 10,276 | 12,015 | (1,739 | ) | |||||||||||||||||||||
Goldman Sachs International | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD 100,000 | 10,276 | 11,748 | (1,472 | ) | |||||||||||||||||||||
HSBC Bank USA, N.A. | CDX.EM.13 Index | Sell | 5.000 | 06/20/15 | USD5,300,000 | 544,642 | 629,944 | (85,302 | ) | |||||||||||||||||||||
Citibank N.A., New York | CDX.NA.HY.8 Index (35-100% Tranche) | Sell | 0.355 | 06/20/12 | USD 5,777,640 | (65,382 | ) | — | (65,382 | ) | ||||||||||||||||||||
Deutsche Bank AG | CDX.NA.IG.10 Index (30-100% Tranche) | Sell | 0.530 | 06/20/13 | USD 2,989,946 | 26,671 | — | 26,671 | ||||||||||||||||||||||
Goldman Sachs International | CDX.NA.IG.10 Index (30-100% Tranche) | Sell | 0.463 | 06/20/13 | USD 3,761,546 | 26,165 | — | 26,165 |
162
(Pay)/ | Upfront | |||||||||||||||||||||||||||||
Receive | Premium | Unrealized | ||||||||||||||||||||||||||||
Reference | Buy/Sell | Fixed | Termination | Notional | Market | Paid/ | Appreciation | |||||||||||||||||||||||
Counterparty | Entity/Obligation | Protection | Rate (%) | Date | Amount(4) | Value(5) | (Received) | (Depreciation) | ||||||||||||||||||||||
Barclays Bank PLC | CDX.NA.IG.9 Index (30-100% Tranche) | Sell | 0.758 | 12/20/12 | USD 19,868,677 | $ | 290,989 | $ | — | $ | 290,989 | |||||||||||||||||||
Deutsche Bank AG | CDX.NA.IG.9 Index (30-100% Tranche) | Sell | 0.705 | 12/20/12 | USD 13,117,185 | 175,291 | — | 175,291 | ||||||||||||||||||||||
Goldman Sachs International | CDX.NA.IG.9 Index (30-100% Tranche) | Sell | 0.548 | 12/20/17 | USD 2,218,347 | 13,431 | — | 13,431 | ||||||||||||||||||||||
$ | 3,122,861 | $ | 3,081,192 | $ | 41,669 | |||||||||||||||||||||||||
(Pay)/ | Implied | Upfront | ||||||||||||||||||||||||||||||||||||
Receive | Credit | Premium | Unrealized | |||||||||||||||||||||||||||||||||||
Buy/Sell | Fixed | Termination | Spread at | Notional | Market | Paid/ | Appreciation/ | |||||||||||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Protection | Rate (%) | Date | 06/30/10 (%)(3) | Amount(4) | Value(5) | (Received) | (Depreciation) | |||||||||||||||||||||||||||||
Deutsche Bank AG | American Express Comp. 4.875%, 07/15/13 | Sell | 1.750 | 03/20/13 | 0.95 | USD 5,300,000 | $ | 113,710 | $ | — | $ | 113,710 | ||||||||||||||||||||||||||
Deutsche Bank AG | American International Group 6.250%, 05/01/36 | Sell | 5.000 | 12/20/13 | 3.38 | USD 6,100,000 | 308,100 | (385,698 | ) | 693,798 | ||||||||||||||||||||||||||||
Deutsche Bank AG | Berkshire Hathaway Inc. 4.625%, 10/15/13 | Sell | 0.850 | 03/20/13 | 1.71 | USD 2,200,000 | (49,676 | ) | — | (49,676 | ) | |||||||||||||||||||||||||||
Goldman Sachs International | Berkshire Hathaway Inc. 4.625%, 10/15/13 | Sell | 1.000 | 03/20/15 | 1.98 | USD 1,500,000 | (63,670 | ) | (24,500 | ) | (39,170 | ) | ||||||||||||||||||||||||||
UBS AG | Berkshire Hathaway Inc. 4.625%, 10/15/13 | Sell | 1.000 | 03/20/15 | 1.98 | USD 1,500,000 | (63,670 | ) | (25,134 | ) | (38,536 | ) | ||||||||||||||||||||||||||
Barclays Bank PLC | Citigroup Inc. 6.500%, 01/18/11 | Sell | 1.000 | 03/20/11 | 1.24 | USD 600,000 | (1,021 | ) | (2,275 | ) | 1,254 | |||||||||||||||||||||||||||
Goldman Sachs International | Citigroup Inc. 6.500%, 01/18/11 | Sell | 1.000 | 03/20/11 | 1.24 | USD 500,000 | (850 | ) | (1,789 | ) | 939 | |||||||||||||||||||||||||||
UBS AG | Citigroup Inc. 6.500%, 01/18/11 | Sell | 1.000 | 03/20/11 | 1.24 | USD 1,700,000 | (2,892 | ) | (6,083 | ) | 3,191 | |||||||||||||||||||||||||||
Barclays Bank PLC | Federative Republic of Brazil 12.250%, 03/06/30 | Sell | 1.000 | 06/20/15 | 1.34 | USD 500,000 | (8,002 | ) | (6,844 | ) | (1,158 | ) | ||||||||||||||||||||||||||
Credit Suisse International | Federative Republic of Brazil 12.250%, 03/06/30 | Sell | 1.000 | 06/20/15 | 1.34 | USD 2,000,000 | (32,008 | ) | (50,235 | ) | 18,227 | |||||||||||||||||||||||||||
Goldman Sachs International | Federative Republic of Brazil 12.250%, 03/06/30 | Sell | 1.000 | 06/20/15 | 1.34 | USD 500,000 | (8,002 | ) | (6,392 | ) | (1,610 | ) | ||||||||||||||||||||||||||
HSBC Bank USA, N.A. | Federative Republic of Brazil 12.250%, 03/06/30 | Sell | 1.000 | 06/20/15 | 1.34 | USD 3,000,000 | (48,012 | ) | (79,384 | ) | 31,372 | |||||||||||||||||||||||||||
HSBC Bank USA, N.A. | Federative Republic of Brazil 12.250%, 03/06/30 | Sell | 1.000 | 06/20/15 | 1.34 | USD 5,700,000 | (91,224 | ) | (59,950 | ) | (31,274 | ) | ||||||||||||||||||||||||||
Barclays Bank PLC | Ford Motor Credit Co. 7.000%, 10/01/13 | Sell | 5.650 | 09/20/12 | 4.14 | USD 700,000 | 21,659 | — | 21,659 | |||||||||||||||||||||||||||||
Barclays Bank PLC, London | GAZ Capital (GAZPROM) LPN 8.625%, 04/28/34 | Sell | 1.600 | 12/20/12 | 2.58 | USD 5,900,000 | (137,256 | ) | — | (137,256 | ) | |||||||||||||||||||||||||||
Morgan Stanley & Co. International | GAZ Capital (GAZPROM) LPN 8.625%, 04/28/34 | Sell | 2.180 | 02/20/13 | 2.61 | USD 400,000 | (4,363 | ) | — | (4,363 | ) | |||||||||||||||||||||||||||
UBS AG, London | GAZ Capital (GAZPROM) LPN 8.625%, 04/28/34 | Sell | 2.180 | 02/20/13 | 2.61 | USD 1,200,000 | (13,089 | ) | — | (13,089 | ) | |||||||||||||||||||||||||||
BNP Paribas | General Electric Capital Corp. 5.625%, 09/15/17 | Sell | 4.700 | 12/20/13 | 2.03 | USD 1,800,000 | 156,913 | — | 156,913 | |||||||||||||||||||||||||||||
Citibank N.A., New York | General Electric Capital Corp. 5.625%, 09/15/17 | Sell | 4.000 | 12/20/13 | 2.03 | USD 7,600,000 | 488,806 | — | 488,806 | |||||||||||||||||||||||||||||
Citibank N.A., New York | General Electric Capital Corp. 5.625%, 09/15/17 | Sell | 4.200 | 12/20/13 | 2.03 | USD 6,200,000 | 439,253 | — | 439,253 | |||||||||||||||||||||||||||||
Citibank N.A., New York | General Electric Capital Corp. 5.625%, 09/15/17 | Sell | 4.325 | 12/20/13 | 2.03 | USD 4,500,000 | 337,180 | — | 337,180 | |||||||||||||||||||||||||||||
Citibank N.A., New York | General Electric Capital Corp. 5.625%, 09/15/17 | Sell | 4.850 | 12/20/13 | 2.03 | USD 3,600,000 | 331,459 | — | 331,459 | |||||||||||||||||||||||||||||
Citibank N.A., New York | General Electric Capital Corp. 5.625%, 09/15/17 | Sell | 3.850 | 03/20/14 | 2.05 | USD 7,000,000 | 438,388 | — | 438,388 | |||||||||||||||||||||||||||||
Deutsche Bank AG | General Electric Capital Corp. 5.625%, 09/15/17 | Sell | 1.000 | 03/20/11 | 1.69 | USD 3,700,000 | (18,507 | ) | (15,260 | ) | (3,247 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG | General Electric Capital Corp. 5.625%, 09/15/17 | Sell | 4.230 | 12/20/13 | 2.03 | USD 4,200,000 | 301,673 | — | 301,673 | |||||||||||||||||||||||||||||
Deutsche Bank AG | General Electric Capital Corp. 5.625%, 09/15/17 | Sell | 4.750 | 12/20/13 | 2.03 | USD 3,900,000 | 346,346 | — | 346,346 |
163
(Pay)/ | Implied | Upfront | ||||||||||||||||||||||||||||||||||||
Receive | Credit | Premium | Unrealized | |||||||||||||||||||||||||||||||||||
Buy/Sell | Fixed | Termination | Spread at | Notional | Market | Paid/ | Appreciation/ | |||||||||||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Protection | Rate (%) | Date | 06/30/10 (%)(3) | Amount(4) | Value(5) | (Received) | (Depreciation) | |||||||||||||||||||||||||||||
Goldman Sachs International | General Electric Capital Corp. 5.625%, 09/15/17 | Sell | 8.000 | 03/20/11 | 1.72 | USD 1,800,000 | $ | 81,463 | $ | — | $ | 81,463 | ||||||||||||||||||||||||||
Barclays Bank PLC | General Electric Capital Corp. 6.000%, 06/15/12 | Sell | 0.620 | 03/20/11 | 1.72 | USD 5,700,000 | (45,234 | ) | — | (45,234 | ) | |||||||||||||||||||||||||||
Barclays Bank PLC | General Electric Capital Corp. 6.000%, 06/15/12 | Sell | 0.640 | 12/20/12 | 1.95 | USD 5,700,000 | (177,898 | ) | — | (177,898 | ) | |||||||||||||||||||||||||||
BNP Paribas | General Electric Capital Corp. 6.000%, 06/15/12 | Sell | 0.780 | 03/20/11 | 1.72 | USD 1,400,000 | (9,496 | ) | — | (9,496 | ) | |||||||||||||||||||||||||||
Deutsche Bank AG | General Electric Capital Corp. 6.000%, 06/15/12 | Sell | 0.800 | 06/20/11 | 1.76 | USD 6,800,000 | (63,290 | ) | — | (63,290 | ) | |||||||||||||||||||||||||||
Barclays Bank PLC | GMAC LLC 6.875%, 08/28/12 | Sell | 3.650 | 09/20/12 | 4.41 | USD 1,000,000 | (15,225 | ) | — | (15,225 | ) | |||||||||||||||||||||||||||
Barclays Bank PLC | GMAC LLC 6.875%, 08/28/12 | Sell | 4.800 | 09/20/12 | 4.41 | USD 1,300,000 | 10,354 | — | 10,354 | |||||||||||||||||||||||||||||
Goldman Sachs International | GMAC LLC 6.875%, 08/28/12 | Sell | 3.200 | 09/20/12 | 4.41 | USD 1,100,000 | (26,729 | ) | — | (26,729 | ) | |||||||||||||||||||||||||||
Citibank N.A., New York | Government of France O.A.T. 4.250%, 04/25/19 | Sell | 0.250 | 03/20/15 | 0.87 | USD 1,100,000 | (30,720 | ) | (16,627 | ) | (14,093 | ) | ||||||||||||||||||||||||||
Goldman Sachs International | Government of France O.A.T. 4.250%, 04/25/19 | Sell | 0.250 | 03/20/15 | 0.87 | USD 2,400,000 | (67,026 | ) | (38,853 | ) | (28,173 | ) | ||||||||||||||||||||||||||
The Royal Bank of Scotland PLC | Government of France O.A.T. 4.250%, 04/25/19 | Sell | 0.250 | 03/20/15 | 0.87 | USD 1,000,000 | (27,928 | ) | (15,991 | ) | (11,937 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG | Japanese Government 20-Year Issue 2.000%, 03/21/22 | I | Sell | 1.000 | 03/20/15 | 0.88 | USD 2,000,000 | 10,492 | 21,660 | (11,168 | ) | |||||||||||||||||||||||||||
Deutsche Bank AG | Metlife Inc. 5.000%, 06/15/15 | Sell | 1.000 | 03/20/15 | 3.28 | USD 13,500,000 | (1,273,134 | ) | (751,083 | ) | (522,051 | ) | ||||||||||||||||||||||||||
Goldman Sachs International | Morgan Stanley 6.600%, 04/01/12 | Sell | 1.000 | 03/20/11 | 2.19 | USD 1,700,000 | (14,561 | ) | (1,224 | ) | (13,337 | ) | ||||||||||||||||||||||||||
Citibank N.A., New York | People’s Republic of China 4.750%, 10/29/13 | Sell | 1.000 | 06/20/15 | 0.90 | USD 1,300,000 | 6,018 | 20,532 | (14,514 | ) | ||||||||||||||||||||||||||||
The Royal Bank of Scotland PLC | People’s Republic of China 4.750%, 10/29/13 | Sell | 1.000 | 06/20/15 | 0.90 | USD 4,000,000 | 18,517 | 65,062 | (46,545 | ) | ||||||||||||||||||||||||||||
Citibank N.A., New York | Reynolds American Inc. 7.625%, 06/01/16 | Sell | 1.280 | 06/20/17 | 2.07 | USD 2,600,000 | (122,637 | ) | — | (122,637 | ) | |||||||||||||||||||||||||||
Citibank N.A., New York | SLM Corp. 5.125%, 08/27/12 | Sell | 4.850 | 03/20/13 | 5.49 | USD 3,100,000 | (48,177 | ) | — | (48,177 | ) | |||||||||||||||||||||||||||
Citibank N.A., New York | SLM Corp. 5.125%, 08/27/12 | Sell | 5.000 | 12/20/13 | 5.75 | USD 7,600,000 | (170,556 | ) | (733,963 | ) | 563,407 | |||||||||||||||||||||||||||
Citibank N.A., New York | SLM Corp. 5.125%, 08/27/12 | Sell | 5.000 | 12/20/13 | 5.75 | USD 1,800,000 | (40,395 | ) | (172,909 | ) | 132,514 | |||||||||||||||||||||||||||
Deutsche Bank AG | SLM Corp. 5.125%, 08/27/12 | Sell | 5.000 | 09/20/10 | 3.01 | USD 100,000 | 451 | (1,723 | ) | 2,174 | ||||||||||||||||||||||||||||
BNP Paribas SA | United Kingdom Gilt 4.250%, 06/07/32 | I | Sell | 1.000 | 12/20/14 | 0.70 | USD 600,000 | 7,805 | 4,003 | 3,802 | ||||||||||||||||||||||||||||
Deutsche Bank AG | United Kingdom Gilt 4.250%, 06/07/32 | I | Sell | 1.000 | 12/20/14 | 0.70 | USD 200,000 | 2,602 | 1,252 | 1,350 | ||||||||||||||||||||||||||||
Goldman Sachs International | United Kingdom Gilt 4.250%, 06/07/32 | I | Sell | 1.000 | 06/20/15 | 0.74 | USD 16,300,000 | 202,366 | 142,740 | 59,626 | ||||||||||||||||||||||||||||
Morgan Stanley Capital Services Inc. | United Kingdom Gilt 4.250%, 06/07/32 | I | Sell | 1.000 | 12/20/14 | 0.70 | USD 600,000 | 7,805 | 4,003 | 3,802 | ||||||||||||||||||||||||||||
Barclays Bank PLC | United Mexican States 7.500%, 04/08/33 | Sell | 1.000 | 03/20/15 | 1.28 | USD 2,000,000 | (25,285 | ) | (41,482 | ) | 16,197 | |||||||||||||||||||||||||||
Citibank N.A., New York | United Mexican States 7.500%, 04/08/33 | Sell | 1.000 | 03/20/15 | 1.28 | USD 2,000,000 | (25,285 | ) | (42,333 | ) | 17,048 | |||||||||||||||||||||||||||
Deutsche Bank AG | United Mexican States 7.500%, 04/08/33 | Sell | 1.000 | 03/20/15 | 1.28 | USD 1,000,000 | (12,642 | ) | (21,166 | ) | 8,524 | |||||||||||||||||||||||||||
Deutsche Bank AG | Wachovia Corp. 3.625%, 02/17/09* | Sell | 1.520 | 03/20/13 | 0.97 | USD 1,300,000 | 19,205 | — | 19,205 | |||||||||||||||||||||||||||||
* In the event of a default, if this bond is no longer available an equivalent bond will be delivered. | $ | 912,105 | $ | (2,241,646 | ) | $ | 3,153,751 | |||||||||||||||||||||||||||||||
(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. |
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(2) | 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 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. |
(3) | Implied credit spreads, represented in absolute terms, utilized in determining the market 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 market 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. |
(4) | 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. |
(5) | The market 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 market 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. |
Upfront | ||||||||||||||||||||||||
Premium | Unrealized | |||||||||||||||||||||||
Termination | Notional | Market | Paid/ | Appreciation/ | ||||||||||||||||||||
Date | Amount | Value | (Received) | (Depreciation) | ||||||||||||||||||||
Receive a fixed rate equal to 4.500% and pay a floating rate based on 3-month AUD-BBR-BBSW Counterparty: Deutsche Bank AG | 06/15/11 | AUD 3,200,000 | $ | (8,577 | ) | $ | 2,850 | $ | (11,427 | ) | ||||||||||||||
Receive a fixed rate equal to 4.500% and pay a floating rate based on 3-month AUD-BBR-BBSW Counterparty: UBS AG | 06/15/11 | AUD 34,600,000 | (92,744 | ) | 5,998 | (98,742 | ) | |||||||||||||||||
Receive a fixed rate equal to 6.000% and pay a floating rate based on 6-month AUD-BBR-BBSW Counterparty: UBS AG | 09/15/12 | AUD 28,800,000 | 467,684 | — | 467,684 | |||||||||||||||||||
Receive a fixed rate equal to 10.600% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Barclays Bank PLC, London | 01/02/12 | BRL 2,700,000 | (3,943 | ) | — | (3,943 | ) | |||||||||||||||||
Receive a fixed rate equal to 11.910% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Barclays Bank PLC | 01/02/13 | BRL 13,700,000 | 12,570 | 31,178 | (18,608 | ) | ||||||||||||||||||
Receive a fixed rate equal to 12.480% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Credit Suisse International | I | 01/02/13 | BRL 134,600,000 | 579,737 | 89,811 | 489,926 | ||||||||||||||||||
Receive a fixed rate equal to 10.835% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Goldman Sachs Bank USA | 01/02/12 | BRL 33,000,000 | 47,707 | 18,710 | 28,997 | |||||||||||||||||||
Receive a fixed rate equal to 10.990% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Goldman Sachs Bank USA | 01/02/12 | BRL 7,100,000 | 8,797 | 10,020 | (1,223 | ) |
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Upfront | ||||||||||||||||||||||||
Premium | Unrealized | |||||||||||||||||||||||
Termination | Notional | Market | Paid/ | Appreciation/ | ||||||||||||||||||||
Date | Amount | Value | (Received) | (Depreciation) | ||||||||||||||||||||
Receive a fixed rate equal to 11.890% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Goldman Sachs Bank USA | 01/02/13 | BRL 78,300,000 | $ | 116,562 | $ | 18,684 | $ | 97,878 | ||||||||||||||||
Receive a fixed rate equal to 11.930% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Goldman Sachs Bank USA | 01/02/13 | BRL 11,900,000 | 19,861 | (16,433 | ) | 36,294 | ||||||||||||||||||
Receive a fixed rate equal to 12.650% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Goldman Sachs Bank USA | 01/02/14 | BRL 14,700,000 | 155,039 | 105,360 | 49,679 | |||||||||||||||||||
Receive a fixed rate equal to 10.610% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: HSBC Bank USA, N.A. | 01/02/12 | BRL 2,400,000 | (3,221 | ) | — | (3,221 | ) | |||||||||||||||||
Receive a fixed rate equal to 11.140% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: HSBC Bank USA, N.A. | 01/02/12 | BRL 6,300,000 | 30,463 | 23,962 | 6,501 | |||||||||||||||||||
Receive a fixed rate equal to 11.360% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: HSBC Bank USA, N.A. | 01/02/12 | BRL 6,100,000 | 22,685 | 22,557 | 128 | |||||||||||||||||||
Receive a fixed rate equal to 11.880% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: HSBC Bank USA, N.A. | 01/02/13 | BRL 17,500,000 | 2,891 | (12,939 | ) | 15,830 | ||||||||||||||||||
Receive a fixed rate equal to 11.890% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: HSBC Bank USA, N.A. | 01/02/13 | BRL 40,900,000 | 60,886 | 57,475 | 3,411 | |||||||||||||||||||
Receive a fixed rate equal to 12.300% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: HSBC Bank USA, N.A. | 01/02/13 | BRL 18,000,000 | 114,780 | 82,013 | 32,767 | |||||||||||||||||||
Receive a fixed rate equal to 12.540% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: HSBC Bank USA, N.A. | 01/02/14 | BRL 1,600,000 | 14,580 | 9,389 | 5,191 | |||||||||||||||||||
Receive a fixed rate equal to 12.540% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Merrill Lynch Capital Services, Inc. | 01/02/12 | BRL 12,500,000 | 275,104 | (35,867 | ) | 310,971 | ||||||||||||||||||
Receive a fixed rate equal to 11.980% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Morgan Stanley Capital Services, Inc. | 01/02/13 | BRL 5,900,000 | 13,560 | 8,986 | 4,574 |
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Upfront | ||||||||||||||||||||||||
Premium | Unrealized | |||||||||||||||||||||||
Termination | Notional | Market | Paid/ | Appreciation/ | ||||||||||||||||||||
Date | Amount | Value | (Received) | (Depreciation) | ||||||||||||||||||||
Receive a fixed rate equal to 12.590% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Morgan Stanley Capital Services, Inc. | I | 01/02/13 | BRL 1,100,000 | $ | 5,955 | $ | 1,423 | $ | 4,532 | |||||||||||||||
Receive a fixed rate equal to 12.510% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Morgan Stanley Capital Services, Inc. | 01/02/14 | BRL 5,200,000 | 45,418 | 23,060 | 22,358 | |||||||||||||||||||
Receive a fixed rate equal to 11.420% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: UBS AG | 01/02/12 | BRL 6,700,000 | (3,059 | ) | — | (3,059 | ) | |||||||||||||||||
Receive a fixed rate equal to 12.070% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: UBS AG | 01/02/13 | BRL 7,900,000 | 28,108 | 17,384 | 10,724 | |||||||||||||||||||
Receive a fixed rate equal to 12.250% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: UBS AG | 01/02/14 | BRL 9,600,000 | 49,441 | 24,152 | 25,289 | |||||||||||||||||||
Receive a fixed rate equal to 2.090% and pay a floating rate based on France CPI Ex Tobacco Index (FRCPXTOB) Counterparty: BNP Paribas | 10/15/10 | EUR 7,800,000 | 290,222 | (17,681 | ) | 307,903 | ||||||||||||||||||
Receive a fixed rate equal to 2.146% and pay a floating rate based on France CPI Ex Tobacco Index (FRCPXTOB) Counterparty: UBS AG | 10/15/10 | EUR 1,500,000 | 62,691 | — | 62,691 | |||||||||||||||||||
Receive a fixed rate equal to 5.000% and pay a floating rate based on 6-month GBP-LIBOR-BBA Counterparty: Barclays Bank PLC, London | 09/15/10 | GBP 30,300,000 | 393,416 | (136,213 | ) | 529,629 | ||||||||||||||||||
Receive a fixed rate equal to 5.000% and pay a floating rate based on 6-month GBP-LIBOR-BBA Counterparty: The Royal Bank of Scotland PLC | 09/15/10 | GBP 4,100,000 | 53,235 | (18,936 | ) | 72,171 | ||||||||||||||||||
Receive a fixed rate equal to 8.860% and pay a floating rate based on 28-day MXN-TIIE-BANXICO Counterparty: Citibank N.A., New York | 09/12/16 | MXN 23,500,000 | 195,276 | — | 195,276 | |||||||||||||||||||
Receive a fixed rate equal to 7.640% and pay a floating rate based on 28-day MXN-TIIE-BANXICO Counterparty: Goldman Sachs International | 03/01/17 | MXN 148,800,000 | 469,061 | (851 | ) | 469,912 | ||||||||||||||||||
Receive a fixed rate equal to 7.330% and pay a floating rate based on 28-day MXN-TIIE-BANXICO Counterparty: HSBC Bank USA, N.A. | 01/28/15 | MXN 78,000,000 | 220,610 | 31,690 | 188,920 | |||||||||||||||||||
Receive a fixed rate equal to 3.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: Barclays Bank PLC | I | 12/15/15 | USD 6,800,000 | 210,432 | 88,688 | 121,744 | ||||||||||||||||||
Receive a fixed rate equal to 4.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: Barclays Bank PLC, London | 06/16/17 | USD 4,300,000 | 401,635 | 164,524 | 237,111 |
167
Upfront | ||||||||||||||||||||||||
Premium | Unrealized | |||||||||||||||||||||||
Termination | Notional | Market | Paid/ | Appreciation/ | ||||||||||||||||||||
Date | Amount | Value | (Received) | (Depreciation) | ||||||||||||||||||||
Receive a fixed rate equal to 3.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: Citibank N.A., New York | I | 12/15/15 | USD 2,200,000 | $ | 68,081 | $ | 25,894 | $ | 42,187 | |||||||||||||||
Receive a fixed rate equal to 4.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: Citibank N.A., New York | 06/16/17 | USD 3,500,000 | 326,912 | 144,986 | 181,926 | |||||||||||||||||||
Receive a fixed rate equal to 3.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: Deutsche Bank AG | I | 12/15/15 | USD 2,300,000 | 71,176 | 27,071 | 44,105 | ||||||||||||||||||
Receive a fixed rate equal to 2.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: Morgan Stanley Capital Services Inc. | I | 12/15/12 | USD 193,300,000 | 2,812,367 | 2,183,939 | 628,428 | ||||||||||||||||||
Receive a fixed rate equal to 4.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: Morgan Stanley Capital Services Inc. | 06/16/15 | USD 13,200,000 | 1,227,266 | 685,481 | 541,785 | |||||||||||||||||||
Receive a fixed rate equal to 4.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: Morgan Stanley Capital Services, Inc. | 06/16/17 | USD 73,100,000 | 6,827,792 | 4,059,922 | 2,767,870 | |||||||||||||||||||
Receive a fixed rate equal to 4.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: The Royal Bank of Scotland PLC | 06/16/15 | USD 8,600,000 | 799,582 | 549,416 | 250,166 | |||||||||||||||||||
Receive a fixed rate equal to 4.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: The Royal Bank of Scotland PLC | 06/16/17 | USD 63,800,000 | 5,959,140 | 3,644,831 | 2,314,309 | |||||||||||||||||||
Receive a fixed rate equal to 4.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: The Royal Bank of Scotland PLC | I | 12/15/20 | USD 21,700,000 | 1,512,022 | 1,280,495 | 231,527 | ||||||||||||||||||
$ | 23,861,200 | $ | 13,201,029 | $ | 10,660,171 | |||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||||||
Reference | Strike | Floor | Termination | Notional | Market | Premium | Appreciation/ | |||||||||||||||||||||||
Counterparty | Entity/Obligation | Index | Rate | Date | Amount | Value | Received | (Depreciation) | ||||||||||||||||||||||
Deutsche Bank AG New York | OTC Inflation Floor – CPURNSA Index | 215.949 | 0.000% | 03/10/20 | 2,800,000 | $ | (27,404 | ) | $ | (21,000 | ) | $ | (6,404 | ) | ||||||||||||||||
Citibank N.A., New York | OTC Inflation Floor – CPURNSA Index | 215.949 | 0.000% | 03/12/20 | 7,800,000 | (87,350 | ) | (66,000 | ) | (21,350 | ) | |||||||||||||||||||
Citibank N.A., New York | OTC Inflation Floor – CPURNSA Index | 216.687 | 0.000% | 04/07/20 | 7,600,000 | (86,265 | ) | (66,880 | ) | (19,385 | ) | |||||||||||||||||||
$ | (201,019 | ) | $ | (153,880 | ) | $ | (47,139 | ) | ||||||||||||||||||||||
168
Floating Rate | Pay/ | |||||||||||||||||||||||||
Index/Underlying | Receive | Strike | Expiration | Notional | Premium | |||||||||||||||||||||
Description | Counterparty | Reference Entity | Floating | Price | Date | Amount | Received | Value | ||||||||||||||||||
Call OTC Swaption | Morgan Stanley Capital Services Inc. | CDX.NA.IG.14 | Receive | 0.800% | 07/21/10 | USD 2,900,000 | $ | 4,060 | $ | (86 | ) | |||||||||||||||
Put OTC Swaption | Morgan Stanley Capital Services Inc. | CDX.NA.IG.14 | Pay | 1.600% | 07/21/10 | USD 2,900,000 | 7,830 | (2,452 | ) | |||||||||||||||||
$ | 11,890 | $ | (2,538 | ) | ||||||||||||||||||||||
Floating Rate | Pay/ | |||||||||||||||||||||||||
Index/Underlying | Receive | Exercise | Expiration | Notional | Premium | Market | ||||||||||||||||||||
Description | Counterparty | Reference Entity | Floating | Rate | Date | Amount | Received | Value | ||||||||||||||||||
Call OTC Swaption | Barclays Bank PLC | 3-month USD-LIBOR-BBA | Receive | 3.250% | 08/31/10 | USD 89,100,000 | $ | 233,309 | $ | (2,071,988 | ) | |||||||||||||||
Call OTC Swaption | Barclays Bank PLC | 3-month USD-LIBOR-BBA | Receive | 3.500% | 08/31/10 | USD 40,700,000 | 195,360 | (1,632,671 | ) | |||||||||||||||||
Call OTC Swaption | Citibank N.A., New York | 3-month USD-LIBOR-BBA | Receive | 3.250% | 08/31/10 | USD14,200,000 | 63,900 | (330,216 | ) | |||||||||||||||||
Call OTC Swaption | Citibank N.A., New York | 3-month USD-LIBOR-BBA | Receive | 3.250% | 10/29/10 | USD7,000,000 | 31,850 | (179,627 | ) | |||||||||||||||||
Call OTC Swaption | Credit Suisse International | 3-month USD-LIBOR-BBA | Receive | 3.250% | 10/29/10 | USD 24,100,000 | 139,780 | (618,431 | ) | |||||||||||||||||
Call OTC Swaption | Morgan Stanley Capital Services Inc. | 3-month USD-LIBOR-BBA | Receive | 3.500% | 08/31/10 | USD 37,900,000 | 295,620 | (1,520,350 | ) | |||||||||||||||||
Call OTC Swaption | The Royal Bank of Scotland PLC | 3-month USD-LIBOR-BBA | Receive | 3.250% | 08/31/10 | USD 91,600,000 | 499,337 | (2,130,124 | ) | |||||||||||||||||
Call OTC Swaption | The Royal Bank of Scotland PLC | 3-month USD-LIBOR-BBA | Receive | 3.500% | 08/31/10 | USD 2,500,000 | 16,875 | (100,287 | ) | |||||||||||||||||
Put OTC Swaption | Barclays Bank PLC | 3-month USD-LIBOR-BBA | Pay | 4.500% | 08/31/10 | USD 40,700,000 | 276,760 | (1,261 | ) | |||||||||||||||||
Put OTC Swaption | Barclays Bank PLC | 3-month USD-LIBOR-BBA | Pay | 4.750% | 08/31/10 | USD 89,100,000 | 463,920 | (677 | ) | |||||||||||||||||
Put OTC Swaption | Citibank N.A., New York | 3-month USD-LIBOR-BBA | Pay | 4.500% | 08/31/10 | USD14,200,000 | 51,830 | (440 | ) | |||||||||||||||||
Put OTC Swaption | Citibank N.A., New York | 3-month USD-LIBOR-BBA | Pay | 5.000% | 10/29/10 | USD7,000,000 | 33,250 | (1,058 | ) | |||||||||||||||||
Put OTC Swaption | Credit Suisse International | 3-month USD-LIBOR-BBA | Pay | 5.000% | 10/29/10 | USD 24,100,000 | 175,930 | (3,644 | ) | |||||||||||||||||
Put OTC Swaption | Deutsche Bank AG, New York | 3-month USD-LIBOR-BBA | Pay | 5.500% | 08/31/10 | USD32,000,000 | 344,783 | — | ||||||||||||||||||
Put OTC Swaption | Morgan Stanley Capital Services Inc. | 3-month USD-LIBOR-BBA | Pay | 4.000% | 12/01/10 | USD 83,900,000 | 528,570 | (28,445 | ) | |||||||||||||||||
Put OTC Swaption | Morgan Stanley Capital Services Inc. | 3-month USD-LIBOR-BBA | Pay | 4.500% | 08/31/10 | USD 37,900,000 | 193,290 | (1,174 | ) | |||||||||||||||||
Put OTC Swaption | Morgan Stanley Capital Services Inc. | 3-month USD-LIBOR-BBA | Pay | 5.500% | 08/31/10 | USD 125,000,000 | 1,383,750 | — | ||||||||||||||||||
Put OTC Swaption | Morgan Stanley Capital Services Inc. | 3-month USD-LIBOR-BBA | Pay | 10.000% | 07/10/12 | USD 19,400,000 | 116,885 | (1,654 | ) | |||||||||||||||||
Put OTC Swaption | The Royal Bank of Scotland PLC | 3-month USD-LIBOR-BBA | Pay | 4.000% | 12/01/10 | USD 15,300,000 | 98,685 | (5,187 | ) | |||||||||||||||||
Put OTC Swaption | The Royal Bank of Scotland PLC | 3-month USD-LIBOR-BBA | Pay | 4.500% | 08/31/10 | USD 54,800,000 | 235,653 | (1,698 | ) | |||||||||||||||||
Put OTC Swaption | The Royal Bank of Scotland PLC | 3-month USD-LIBOR-BBA | Pay | 4.750% | 08/31/10 | USD 39,300,000 | 184,710 | (299 | ) | |||||||||||||||||
Put OTC Swaption | The Royal Bank of Scotland PLC | 3-month USD-LIBOR-BBA | Pay | 5.500% | 08/31/10 | USD 27,100,000 | 224,054 | — | ||||||||||||||||||
Put OTC Swaption | The Royal Bank of Scotland PLC | 3-month USD-LIBOR-BBA | Pay | 6.000% | 08/31/10 | USD 28,000,000 | 198,800 | — | ||||||||||||||||||
Put OTC Swaption | The Royal Bank of Scotland PLC | 3-month USD-LIBOR-BBA | Pay | 6.000% | 08/31/10 | USD 95,000,000 | 713,638 | — | ||||||||||||||||||
$ | 6,700,539 | $ | (8,629,231 | ) | ||||||||||||||||||||||
169
Exercise | Expiration | # of | Notional | Premium | ||||||||||||||||||||||||
Description/Name of Issuer | Price | Date | Contracts | Amount | Received | Value | ||||||||||||||||||||||
Put Option CBOT | ||||||||||||||||||||||||||||
US Treasury 10-Year Note Future 09/10 | 114.00 USD | 09/21/10 | 264 | $ | 148,656 | $ | (12,376 | ) | ||||||||||||||||||||
Put Option CBOT | ||||||||||||||||||||||||||||
US Treasury 10-Year Note Future 09/10 | 117.00 USD | 09/21/10 | 54 | 47,959 | (6,750 | ) | ||||||||||||||||||||||
Call Option CBOT | ||||||||||||||||||||||||||||
US Treasury 10-Year Note Future 09/10 | 120.00 USD | 09/21/10 | 210 | 143,819 | (636,563 | ) | ||||||||||||||||||||||
Call Option CBOT | ||||||||||||||||||||||||||||
US Treasury 10-Year Note Future 09/10 | 122.00 USD | 09/21/10 | 54 | 31,928 | (89,438 | ) | ||||||||||||||||||||||
Foreign Currency Options | ||||||||||||||||||||||||||||
Put Option OTC – Morgan Stanley Capital Group Inc. | I | 90.00 USD | 07/21/10 | 28,100,000 | 255,409 | (604,969 | ) | |||||||||||||||||||||
JPY/USD Currency Option 07/10 | ||||||||||||||||||||||||||||
$ | 627,771 | $ | (1,350,096 | ) | ||||||||||||||||||||||||
Principal Amount | Description | Market Value | ||||
$(28,000,000) W | Fannie Mae, 6.000%, 07/01/37 | $ | (30,371,264 | ) | ||
Total sales commitments (Cost $30,372,500) | $ | (30,371,264 | ) | |||
Derivatives not accounted for | ||||||
as hedging instruments | ||||||
under FASB ASC 815 | Location on Statement of Assets and Liabilities | Fair Value | ||||
Asset Derivatives | ||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 11,146,459 | |||
Credit contracts | Swaps, at value | 7,652,169 | ||||
Interest rate contracts | Swaps, at value | 23,972,744 | ||||
Interest rate contracts | Net Assets — Unrealized appreciation* | 15,742,251 | ||||
Total Asset Derivatives | $ | 58,513,623 | ||||
Liability Derivatives | ||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 3,013,379 | |||
Credit contracts | Swaps, at value | 2,803,842 | ||||
Interest rate contracts | Swaps, at value | 312,563 | ||||
Credit contracts | Written options | 2,538 | ||||
Foreign exchange contracts | Written options | 604,969 | ||||
Interest rate contracts | Written options | 9,374,358 | ||||
Total Liability Derivatives | $ | 16,111,649 | ||||
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
�� | ||||||||||||||||||||||||
Amount of Realized Gain or (Loss) | ||||||||||||||||||||||||
on Derivatives Recognized in Income | ||||||||||||||||||||||||
Foreign | ||||||||||||||||||||||||
Derivatives not accounted for | Currency | |||||||||||||||||||||||
as hedging instruments | Related | Written | ||||||||||||||||||||||
under FASB ASC 815 | Investments* | Transactions** | Futures | Swaps | Options | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 1,986,262 | $ | 49,853 | $ | 2,036,115 | ||||||||||||
Foreign exchange contracts | (971,166 | ) | 8,752,570 | — | — | 503,578 | 8,284,982 | |||||||||||||||||
Interest rate contracts | (93,547 | ) | — | 32,571,167 | 20,458,190 | 11,386,343 | 64,322,153 | |||||||||||||||||
Total | $ | (1,064,713 | ) | $ | 8,752,570 | $ | 32,571,167 | $ | 22,444,452 | $ | 11,939,774 | $ | 74,643,250 | |||||||||||
170
Change in Unrealized | ||||||||||||||||||||||||
Appreciation or (Depreciation) | ||||||||||||||||||||||||
on Derivatives Recognized in Income | ||||||||||||||||||||||||
Foreign | ||||||||||||||||||||||||
Derivatives not accounted for | Currency | |||||||||||||||||||||||
as hedging instruments | Related | Written | ||||||||||||||||||||||
under FASB ASC 815 | Investments* | Transactions** | Futures | Swaps | Options | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | (2,979,769 | ) | $ | 9,352 | $ | (2,970,417 | ) | ||||||||||
Foreign exchange contracts | (426,702 | ) | 6,139,247 | — | — | (348,134 | ) | 5,364,411 | ||||||||||||||||
Interest rate contracts | 6,790 | — | 5,113,077 | 6,294,617 | (9,247,685 | ) | 2,166,799 | |||||||||||||||||
Total | $ | (419,912 | ) | $ | 6,139,247 | $ | 5,113,077 | $ | 3,314,848 | $ | (9,586,467 | ) | $ | 4,560,793 | ||||||||||
* | 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. |
171
Financials | 27.7% | |||
Consumer Discretionary | 10.9% | |||
Utilities | 9.9% | |||
Industrials | 9.0% | |||
Information Technology | 8.8% | |||
Energy | 8.5% | |||
Consumer Staples | 6.8% | |||
Materials | 6.7% | |||
Health Care | 5.6% | |||
Telecommunication Services | 1.6% | |||
Other Assets and Liabilities – Net* | 4.5% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 89.0% | ||||||||||||||
Consumer Discretionary: 10.9% | ||||||||||||||
256,600 | Best Buy Co., Inc. | $ | 8,688,476 | 1.1 | ||||||||||
565,000 | CBS Corp. – Class B | 7,305,450 | 1.0 | |||||||||||
219,955 | Fortune Brands, Inc. | 8,617,837 | 1.1 | |||||||||||
1,289,700 | @ | Interpublic Group of Cos., Inc. | 9,195,561 | 1.2 | ||||||||||
376,200 | @ | Jack in the Box, Inc. | 7,317,090 | 1.0 | ||||||||||
428,700 | @ | Toll Brothers, Inc. | 7,013,532 | 0.9 | ||||||||||
Other Securities | 34,365,192 | 4.6 | ||||||||||||
82,503,138 | 10.9 | |||||||||||||
Consumer Staples: 6.8% | ||||||||||||||
487,600 | @ | Constellation Brands, Inc. | 7,616,312 | 1.0 | ||||||||||
115,100 | JM Smucker Co. | 6,931,322 | 0.9 | |||||||||||
Other Securities | 36,450,822 | 4.9 | ||||||||||||
50,998,456 | 6.8 | |||||||||||||
Energy: 8.5% | ||||||||||||||
178,550 | Devon Energy Corp. | 10,877,266 | 1.4 | |||||||||||
1,134,280 | El Paso Corp. | 12,601,851 | 1.7 | |||||||||||
424,100 | @ | Nabors Industries Ltd. | 7,472,642 | 1.0 | ||||||||||
184,700 | Noble Energy, Inc. | 11,142,951 | 1.5 | |||||||||||
387,700 | Valero Energy Corp. | 6,970,846 | 0.9 | |||||||||||
Other Securities | 15,044,492 | 2.0 | ||||||||||||
64,110,048 | 8.5 |
172
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Financials: 21.2% | ||||||||||||||
263,100 | Axis Capital Holdings Ltd. | $ | 7,819,332 | 1.0 | ||||||||||
202,109 | Comerica, Inc. | 7,443,674 | 1.0 | |||||||||||
319,900 | Hartford Financial Services Group, Inc. | 7,079,387 | 0.9 | |||||||||||
347,026 | Lazard Ltd. | 9,269,064 | 1.2 | |||||||||||
601,300 | Marsh & McLennan Cos., Inc. | 13,559,315 | 1.8 | |||||||||||
659,500 | L | Moody’s Corp. | 13,137,240 | 1.8 | ||||||||||
319,600 | Northern Trust Corp. | 14,925,320 | 2.0 | |||||||||||
534,745 | People’s United Financial, Inc. | 7,219,058 | 1.0 | |||||||||||
164,800 | PNC Financial Services Group, Inc. | 9,311,200 | 1.2 | |||||||||||
205,893 | RenaissanceRe Holdings Ltd. | 11,585,599 | 1.5 | |||||||||||
877,207 | UnumProvident Corp. | 19,035,390 | 2.5 | |||||||||||
Other Securities | 39,573,282 | 5.3 | ||||||||||||
159,957,861 | 21.2 | |||||||||||||
Health Care: 5.6% | ||||||||||||||
362,050 | @ | Forest Laboratories, Inc. | 9,931,032 | 1.3 | ||||||||||
195,262 | @ | Thermo Fisher Scientific, Inc. | 9,577,601 | 1.3 | ||||||||||
Other Securities | 22,520,630 | 3.0 | ||||||||||||
42,029,263 | 5.6 | |||||||||||||
Industrials: 9.0% | ||||||||||||||
127,600 | L-3 Communications Holdings, Inc. | 9,039,184 | 1.2 | |||||||||||
155,600 | SPX Corp. | 8,217,236 | 1.1 | |||||||||||
544,000 | Textron, Inc. | 9,231,680 | 1.2 | |||||||||||
90,070 | WW Grainger, Inc. | 8,957,462 | 1.2 | |||||||||||
Other Securities | 32,680,034 | 4.3 | ||||||||||||
68,125,596 | 9.0 | |||||||||||||
Information Technology: 8.8% | ||||||||||||||
155,583 | Computer Sciences Corp. | 7,040,131 | 0.9 | |||||||||||
1,294,956 | @ | Compuware Corp. | 10,333,749 | 1.4 | ||||||||||
615,100 | @ | Dell, Inc. | 7,418,106 | 1.0 | ||||||||||
621,400 | Western Union Co. | 9,265,074 | 1.2 | |||||||||||
Other Securities | 32,436,795 | 4.3 | ||||||||||||
66,493,855 | 8.8 | |||||||||||||
Materials: 6.7% | ||||||||||||||
165,600 | Air Products & Chemicals, Inc. | 10,732,536 | 1.4 | |||||||||||
231,059 | Ball Corp. | 12,206,847 | 1.6 | |||||||||||
312,400 | International Paper Co. | 7,069,612 | 1.0 | |||||||||||
123,798 | Newmont Mining Corp. | 7,643,289 | 1.0 | |||||||||||
363,800 | Temple-Inland, Inc. | 7,519,746 | 1.0 | |||||||||||
Other Securities | 5,303,998 | 0.7 | ||||||||||||
50,476,028 | 6.7 |
173
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Telecommunication Services: 1.6% | ||||||||||||||
364,300 | CenturyTel, Inc. | $ | 12,134,833 | 1.6 | ||||||||||
Utilities: 9.9% | ||||||||||||||
491,200 | CMS Energy Corp. | 7,196,080 | 1.0 | |||||||||||
219,927 | Edison International | 6,976,084 | 0.9 | |||||||||||
246,900 | FirstEnergy Corp. | 8,698,287 | 1.1 | |||||||||||
355,126 | Public Service Enterprise Group, Inc. | 11,126,098 | 1.5 | |||||||||||
180,529 | Questar Corp. | 8,212,264 | 1.1 | |||||||||||
322,145 | Sempra Energy | 15,073,165 | 2.0 | |||||||||||
Other Securities | 17,393,924 | 2.3 | ||||||||||||
74,675,902 | 9.9 | |||||||||||||
Total Common Stock (Cost $688,861,950) | 671,504,980 | 89.0 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS: 6.5% | ||||||||||||||
Financials: 6.5% | ||||||||||||||
450,716 | Annaly Capital Management, Inc. | 7,729,779 | 1.0 | |||||||||||
531,204 | Host Hotels & Resorts, Inc. | 7,160,630 | 0.9 | |||||||||||
Other Securities | 34,400,959 | 4.6 | ||||||||||||
Total Real Estate Investment Trusts (Cost $45,986,695) | 49,291,368 | 6.5 | ||||||||||||
Total Long-Term Investments (Cost $734,848,645) | 720,796,348 | 95.5 | ||||||||||||
SHORT-TERM INVESTMENTS: 4.2% | ||||||||||||||
Affiliated Mutual Fund: 2.6% | ||||||||||||||
19,867,661 | ING Institutional Prime Money Market Fund – Class I | 19,867,661 | 2.6 | |||||||||||
Total Mutual Fund (Cost $19,867,661) | 19,867,661 | 2.6 | ||||||||||||
Securities Lending CollateralCC: 1.6% | ||||||||||||||
11,824,522 | BNY Mellon Overnight Government Fund(1) | 11,824,522 | 1.6 | |||||||||||
214,360 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 171,488 | 0.0 | ||||||||||
Total Securities Lending Collateral (Cost $12,038,882) | 11,996,010 | 1.6 | ||||||||||||
Total Short-Term Investments (Cost $31,906,543) | 31,863,671 | 4.2 | ||||||||||||
Total Investments in Securities (Cost $766,755,188)* | $ | 752,660,019 | 99.7 | |||||||||||
Other Assets and Liabilities - Net | 2,220,339 | 0.3 | ||||||||||||
Net Assets | $ | 754,880,358 | 100.0 | |||||||||||
174
“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, 2010. | ||||||||||||||
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. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
* | Cost for federal income tax purposes is $777,518,322. | |||||||||||||
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 38,582,262 | ||
Gross Unrealized Depreciation | (63,440,565 | ) | ||
Net Unrealized Depreciation | $ | (24,858,303 | ) | |
Quoted Prices | ||||||||||||||||
in Active Markets | Significant Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock* | $ | 671,504,980 | $ | — | $ | — | $ | 671,504,980 | ||||||||
Real Estate Investment Trusts | 49,291,368 | — | — | 49,291,368 | ||||||||||||
Short-Term Investments | 31,692,183 | — | 171,488 | 31,863,671 | ||||||||||||
Total Investments, at value | $ | 752,488,531 | $ | — | $ | 171,488 | $ | 752,660,019 | ||||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 171,488 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 171,488 | ||||||||||||||||||
Total Investments, at value | $ | 171,488 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 171,488 | ||||||||||||||||||
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. |
175
Common Stock | 68.9% | |||
Corporate Bonds/Notes | 19.0% | |||
Preferred Stock | 1.9% | |||
Other Assets and Liabilities – Net* | 10.2% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to T. Rowe Price Reserve Investment Fund and securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 68.9% | ||||||||||||||
Consumer Discretionary: 10.1% | ||||||||||||||
244,600 | @,L | Autozone, Inc. | $ | 47,261,612 | 1.4 | |||||||||
1,169,219 | Cablevision Systems Corp. | 28,072,948 | 0.8 | |||||||||||
1,274,645 | @ | Dollar General Corp. | 35,116,470 | 1.0 | ||||||||||
3,307,200 | Lowe’s Cos., Inc. | 67,533,024 | 1.9 | |||||||||||
473,500 | McDonald’s Corp. | 31,189,445 | 0.9 | |||||||||||
3,561,033 | Time Warner, Inc. | 102,949,464 | 2.9 | |||||||||||
Other Securities | 42,427,805 | 1.2 | ||||||||||||
354,550,768 | 10.1 | |||||||||||||
Consumer Staples: 9.8% | ||||||||||||||
804,000 | Campbell Soup Co. | 28,807,320 | 0.8 | |||||||||||
1,592,284 | General Mills, Inc. | 56,557,928 | 1.6 | |||||||||||
1,195,400 | Kellogg Co. | 60,128,620 | 1.7 | |||||||||||
961,200 | PepsiCo, Inc. | 58,585,140 | 1.7 | |||||||||||
1,056,200 | Philip Morris International, Inc. | 48,416,208 | 1.4 | |||||||||||
918,673 | Procter & Gamble Co. | 55,102,007 | 1.6 | |||||||||||
Other Securities | 34,969,780 | 1.0 | ||||||||||||
342,567,003 | 9.8 | |||||||||||||
Energy: 6.8% | ||||||||||||||
1,342,100 | ExxonMobil Corp. | 76,593,647 | 2.2 | |||||||||||
2,838,200 | Nexen, Inc. | 55,827,394 | 1.6 | |||||||||||
1,428,600 | Spectra Energy Corp. | 28,672,002 | 0.8 | |||||||||||
2,846,100 | Williams Cos., Inc. | 52,026,708 | 1.5 | |||||||||||
Other Securities | 25,761,307 | 0.7 | ||||||||||||
238,881,058 | 6.8 | |||||||||||||
Financials: 13.5% | ||||||||||||||
1,657,300 | AON Corp. | 61,518,976 | 1.8 | |||||||||||
4,987,402 | Bank of America Corp. | 71,668,967 | 2.1 | |||||||||||
1,520,500 | JP Morgan Chase & Co. | 55,665,505 | 1.6 | |||||||||||
688,800 | Metlife, Inc. | 26,009,088 | 0.7 | |||||||||||
1,265,800 | State Street Corp. | 42,809,356 | 1.2 | |||||||||||
3,874,100 | US Bancorp. | 86,586,120 | 2.5 | |||||||||||
3,410,800 | Wells Fargo & Co. | 87,316,480 | 2.5 | |||||||||||
Other Securities | 39,565,588 | 1.1 | ||||||||||||
471,140,080 | 13.5 |
176
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Health Care: 8.4% | ||||||||||||||
556,000 | Baxter International, Inc. | $ | 22,595,840 | 0.6 | ||||||||||
515,200 | Beckman Coulter, Inc. | 31,061,408 | 0.9 | |||||||||||
741,502 | @,L | Henry Schein, Inc. | 40,708,460 | 1.2 | ||||||||||
597,500 | Merck & Co., Inc. | 20,894,575 | 0.6 | |||||||||||
5,888,537 | Pfizer, Inc. | 83,970,538 | 2.4 | |||||||||||
1,263,300 | @ | Thermo Fisher Scientific, Inc. | 61,964,865 | 1.8 | ||||||||||
Other Securities | 33,158,439 | 0.9 | ||||||||||||
294,354,125 | 8.4 | |||||||||||||
Industrials: 8.8% | ||||||||||||||
1,949,062 | Danaher Corp. | 72,349,181 | 2.1 | |||||||||||
399,200 | Lockheed Martin Corp. | 29,740,400 | 0.9 | |||||||||||
389,400 | Northrop Grumman Corp. | 21,198,936 | 0.6 | |||||||||||
2,259,600 | Tyco International Ltd. | 79,605,708 | 2.3 | |||||||||||
717,701 | United Technologies Corp. | 46,585,972 | 1.3 | |||||||||||
Other Securities | 57,579,112 | 1.6 | ||||||||||||
307,059,309 | 8.8 | |||||||||||||
Information Technology: 7.7% | ||||||||||||||
929,200 | Accenture PLC | 35,913,580 | 1.0 | |||||||||||
1,247,600 | CA, Inc. | 22,955,840 | 0.7 | |||||||||||
858,500 | International Business Machines Corp. | 106,007,580 | 3.0 | |||||||||||
1,611,908 | Tyco Electronics Ltd. | 40,910,225 | 1.2 | |||||||||||
2,821,800 | Western Union Co. | 42,073,038 | 1.2 | |||||||||||
Other Securities | 20,660,685 | 0.6 | ||||||||||||
268,520,948 | 7.7 | |||||||||||||
Materials: 0.8% | ||||||||||||||
Other Securities | 28,757,901 | 0.8 | ||||||||||||
Telecommunication Services: 0.2% | ||||||||||||||
Other Securities | 8,868,054 | 0.2 | ||||||||||||
Utilities: 2.8% | ||||||||||||||
2,842,400 | NV Energy, Inc. | 33,568,744 | 1.0 | |||||||||||
951,000 | OGE Energy Corp. | 34,768,560 | 1.0 | |||||||||||
Other Securities | 29,475,987 | 0.8 | ||||||||||||
97,813,291 | 2.8 | |||||||||||||
Total Common Stock (Cost $2,331,546,670) | 2,412,512,537 | 68.9 | ||||||||||||
PREFERRED STOCK: 1.9% | ||||||||||||||
Consumer Discretionary: 0.3% | ||||||||||||||
Other Securities | 11,769,975 | 0.3 | ||||||||||||
Consumer Staples: 0.1% | ||||||||||||||
42 | #,I | HJ Heinz Finance Co. | 4,499,250 | 0.1 | ||||||||||
177
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Energy: 0.0% | ||||||||||||||
Other Securities | $ | 453,530 | 0.0 | |||||||||||
Financials: 1.0% | ||||||||||||||
Other Securities | 33,829,289 | 1.0 | ||||||||||||
Sovereign: 0.0% | ||||||||||||||
Other Securities | 369,000 | 0.0 | ||||||||||||
Telecommunication Services: 0.3% | ||||||||||||||
Other Securities | 9,658,125 | 0.3 | ||||||||||||
Utilities: 0.2% | ||||||||||||||
Other Securities | 5,193,144 | 0.2 | ||||||||||||
Total Preferred Stock (Cost $85,044,275) | 65,772,313 | 1.9 | ||||||||||||
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: 19.0% | ||||||||||||||
Consumer Discretionary: 4.8% | ||||||||||||||
$ | 30,925,835 | CSC Holdings, Inc., 3.250%-7.625%, due 04/01/11-03/30/16 | $ | 30,618,760 | 0.9 | |||||||||
15,147,482 | & | Dollar General Corp., 3.100%-11.875%, due 07/07/14-07/15/17 | 16,139,634 | 0.5 | ||||||||||
28,543,090 | Federal Mogul Corp., 2.288%, due 06/27/15-12/27/15 | 24,939,526 | 0.7 | |||||||||||
2,448,000 | #,I | Group 1 Automotive, Inc., 3.000%, due 03/15/20 | 1,978,447 | 0.0 | ||||||||||
3,061,000 | #,I | Hyatt Hotels Corp., 6.875%, due 08/15/19 | 3,296,657 | 0.1 | ||||||||||
6,836,393 | I | MGM Resorts International, 6.000%, due 10/03/11 | 6,605,664 | 0.4 | ||||||||||
1,650,000 | # | MGM Resorts International, 9.000%, due 03/15/20 | 1,703,625 | |||||||||||
4,260,000 | L | MGM Resorts International, 10.375%-13.000%, due 11/15/13-05/15/14 | 4,792,500 | |||||||||||
2,375,000 | # | Sirius XM Radio, Inc., 9.750%, due 09/01/15 | 2,535,313 | 0.1 | ||||||||||
3,250,000 | # | XM Satellite Radio, Inc., 11.250%, due 06/15/13 | 3,485,625 | 0.1 | ||||||||||
Other Securities | 71,247,549 | 2.0 | ||||||||||||
167,343,300 | 4.8 | |||||||||||||
Consumer Staples: 0.3% | ||||||||||||||
Other Securities | 12,416,845 | 0.3 | ||||||||||||
Energy: 2.3% | ||||||||||||||
11,950,000 | # | Consol Energy, Inc., 8.000%, due 04/01/17 | 12,398,125 | 0.4 | ||||||||||
1,415,000 | #,I | Gulfstream Natural Gas System LLC, 6.950%, due 06/01/16 | 1,576,835 | 0.0 | ||||||||||
29,255,000 | Peabody Energy Corp., 4.750%, due 12/15/41 | 28,669,900 | 0.9 | |||||||||||
1,200,000 | Peabody Energy Corp., 6.875%, due 03/15/13 | 1,215,000 | ||||||||||||
1,208,000 | #,I | Southeast Supply Header LLC, 4.850%, due 08/15/14 | 1,265,290 | 0.0 | ||||||||||
1,220,000 | #,I | Williams Partners L.P., 3.800%, due 02/15/15 | 1,229,209 | 0.0 | ||||||||||
Other Securities | 34,686,645 | 1.0 | ||||||||||||
81,041,004 | 2.3 |
178
Principal | Percent of | |||||||||||||
Amount | Value | Net Assets | ||||||||||||
Financials: 1.1% | ||||||||||||||
$ | 15,463,000 | #,I | Host Hotels & Resorts L.P., 2.625%, due 04/15/27 | $ | 14,728,508 | 0.4 | ||||||||
Other Securities | 24,161,884 | 0.7 | ||||||||||||
38,890,392 | 1.1 | |||||||||||||
Health Care: 1.8% | ||||||||||||||
20,874,000 | L | Millipore Corp., 3.750%, due 06/01/26 | 26,170,778 | 0.8 | ||||||||||
Other Securities | 35,800,750 | 1.0 | ||||||||||||
61,971,528 | 1.8 | |||||||||||||
Industrials: 0.8% | ||||||||||||||
Other Securities | 29,020,771 | 0.8 | ||||||||||||
Information Technology: 3.7% | ||||||||||||||
2,425,000 | #,I | Brocade Communications Systems, Inc., 6.625%, due 01/15/18 | 2,418,938 | 0.1 | ||||||||||
575,000 | # | Brocade Communications Systems, Inc., 6.875%, due 01/15/20 | 573,563 | |||||||||||
9,825,000 | # | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, due 05/01/17 | 10,439,063 | 0.3 | ||||||||||
35,689,954 | First Data Corp., 3.097%, due 09/24/14 | 30,149,089 | 0.9 | |||||||||||
26,774,000 | L | Linear Technology Corp., 3.000%, due 05/01/27 | 26,338,923 | 0.7 | ||||||||||
22,280,000 | Xilinx, Inc., 3.125%, due 03/15/37 | 20,414,050 | 0.6 | |||||||||||
Other Securities | 39,303,828 | 1.1 | ||||||||||||
129,637,454 | 3.7 | |||||||||||||
Materials: 2.2% | ||||||||||||||
24,456,661 | Georgia-Pacific Corp., 2.537%, due 12/20/12 | 23,696,989 | 1.1 | |||||||||||
2,300,000 | # | Georgia-Pacific Corp., 8.250%, due 05/01/16 | 2,463,875 | |||||||||||
11,787,578 | Georgia-Pacific Corp., 2.533%-3.787%, due 08/22/14-12/23/14 | 11,666,825 | ||||||||||||
Other Securities | 38,235,764 | 1.1 | ||||||||||||
76,063,453 | 2.2 | |||||||||||||
Telecommunication Services: 1.1% | ||||||||||||||
825,000 | # | SBA Telecommunications, Inc., 8.000%, due 08/15/16 | 858,000 | 0.0 | ||||||||||
625,000 | # | SBA Telecommunications, Inc., 8.250%, due 08/15/19 | 660,938 | |||||||||||
Other Securities | 36,524,287 | 1.1 | ||||||||||||
38,043,225 | 1.1 | |||||||||||||
Utilities: 0.9% | ||||||||||||||
7,875,000 | # | Calpine Construction Finance Co. L.P., 8.000%, due 06/01/16 | 8,091,563 | 0.2 | ||||||||||
1,380,000 | #,I | Kansas Gas & Electric, 6.700%, due 06/15/19 | 1,620,533 | 0.1 | ||||||||||
Other Securities | 22,025,876 | 0.6 | ||||||||||||
31,737,972 | 0.9 | |||||||||||||
Total Corporate Bonds/Notes (Cost $625,393,347) | 666,165,944 | 19.0 | ||||||||||||
Total Long-Term Investments (Cost $3,041,984,292) | 3,144,450,794 | 89.8 | ||||||||||||
179
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: 12.5% | ||||||||||||||
Money Market: 12.1% | ||||||||||||||
422,686,382 | T. Rowe Price Reserve Investment Fund | $ | 422,686,382 | 12.1 | ||||||||||
Total Money Market (Cost $422,686,382) | 422,686,382 | 12.1 | ||||||||||||
Securities Lending CollateralCC: 0.4% | ||||||||||||||
10,937,507 | BNY Mellon Overnight Government Fund(1) | 10,937,507 | 0.3 | |||||||||||
2,552,122 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 2,041,698 | 0.1 | ||||||||||
Total Securities Lending Collateral (Cost $13,489,629) | 12,979,205 | 0.4 | ||||||||||||
Total Short-Term Investments (Cost $436,176,011) | 435,665,587 | 12.5 | ||||||||||||
Total Investments in Securities (Cost $3,478,160,303)* | $ | 3,580,116,381 | 102.3 | |||||||||||
Other Assets and Liabilities - Net | (80,364,643 | ) | (2.3 | ) | ||||||||||
Net Assets | $ | 3,499,751,738 | 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, 2010. | ||||||||||||||
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 | |||||||||||||
& | Payment-in-kind | |||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
* | Cost for federal income tax purposes is $3,522,558,949. | |||||||||||||
Net unrealized appreciation consists of: |
Gross Unrealized Appreciation | $ | 235,388,165 | ||
Gross Unrealized Depreciation | (177,830,733 | ) | ||
Net Unrealized Appreciation | $ | 57,557,432 | ||
180
Quoted Prices | ||||||||||||||||
in Active Markets | Significant Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 354,550,768 | $ | — | $ | — | $ | 354,550,768 | ||||||||
Consumer Staples | 342,567,003 | — | — | 342,567,003 | ||||||||||||
Energy | 233,246,778 | 5,634,280 | — | 238,881,058 | ||||||||||||
Financials | 471,140,080 | — | — | 471,140,080 | ||||||||||||
Health Care | 294,354,125 | — | — | 294,354,125 | ||||||||||||
Industrials | 289,525,855 | 17,533,454 | — | 307,059,309 | ||||||||||||
Information Technology | 268,520,948 | — | — | 268,520,948 | ||||||||||||
Materials | 28,757,901 | — | — | 28,757,901 | ||||||||||||
Telecommunication Services | 8,868,054 | — | — | 8,868,054 | ||||||||||||
Utilities | 97,813,291 | — | — | 97,813,291 | ||||||||||||
Total Common Stock | 2,389,344,803 | 23,167,734 | — | 2,412,512,537 | ||||||||||||
Preferred Stock | 2,885,991 | 62,886,322 | — | 65,772,313 | ||||||||||||
Corporate Bonds/Notes | — | 666,165,944 | — | 666,165,944 | ||||||||||||
Short-Term Investments | 10,937,507 | 422,686,382 | 2,041,698 | 435,665,587 | ||||||||||||
Total Investments, at value | $ | 2,403,168,301 | $ | 1,174,906,382 | $ | 2,041,698 | $ | 3,580,116,381 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+: | ||||||||||||||||
Written options | (3,265,757 | ) | — | — | (3,265,757 | ) | ||||||||||
Total Liabilities | $ | (3,265,757 | ) | $ | — | $ | — | $ | (3,265,757 | ) | ||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 2,041,698 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,041,698 | ||||||||||||||||||
Total Investments, at value | $ | 2,041,698 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,041,698 | ||||||||||||||||||
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 reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Portfolio. Swaps and written options are reported at their market value at measurement date. |
# | 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. |
181
Expiration | # of | Premium | ||||||||||||||||||
Description/Name of Issuer | Exercise Price | Date | Contracts | Received | Value | |||||||||||||||
AT&T Inc. | 25.00 | 01/22/11 | 3,666 | $ | 659,872 | $ | (421,590 | ) | ||||||||||||
Bank Of America Corp. | 17.50 | 01/22/11 | 5,491 | 988,532 | (444,771 | ) | ||||||||||||||
Exxon-Mobil Corp. | 75.00 | 01/22/11 | 9,909 | 3,304,180 | (346,815 | ) | ||||||||||||||
Exxon-Mobil Corp. | 80.00 | 01/22/11 | 2,298 | 926,731 | (39,066 | ) | ||||||||||||||
Merck & Co. | 45.00 | 01/22/11 | 5,975 | 631,960 | (185,225 | ) | ||||||||||||||
Pfizer Inc. | 20.00 | 01/22/11 | 49,632 | 3,714,244 | (496,320 | ) | ||||||||||||||
Procter & Gamble Co. | 65.00 | 01/22/11 | 9,186 | 2,540,112 | (1,331,970 | ) | ||||||||||||||
$ | 12,765,631 | $ | (3,265,757 | ) | ||||||||||||||||
Derivatives not accounted for | ||||||
as hedging instruments | ||||||
under FASB ASC 815 | Location on Statement of Assets and Liabilities | Fair Value | ||||
Liability Derivatives | ||||||
Equity contracts | Written options | $ | 3,265,757 | |||
Total Liability Derivatives | $ | 3,265,757 | ||||
Amount of Realized Gain or (Loss) | ||||||||||||
Derivatives not accounted for | on Derivatives Recognized in Income | |||||||||||
as hedging instruments | Written | |||||||||||
under FASB ASC 815 | Investments* | Options | Total | |||||||||
Equity contracts | $ | (10,109 | ) | $ | 453,018 | $ | 442,909 | |||||
Total | $ | (10,109 | ) | $ | 453,018 | $ | 442,909 | |||||
Change in Unrealized | ||||||||||||
Appreciation or (Depreciation) | ||||||||||||
Derivatives not accounted for | on Derivatives Recognized in Income | |||||||||||
as hedging instruments | Written | |||||||||||
under FASB ASC 815 | Investments* | Options | Total | |||||||||
Equity contracts | $ | 158,502 | $ | 9,146,385 | $ | 9,304,887 | ||||||
Total | $ | 158,502 | $ | 9,146,385 | $ | 9,304,887 | ||||||
* | Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments. |
182
�� | ||||
Financials | 20.5% | |||
Consumer Discretionary | 14.7% | |||
Industrials | 13.7% | |||
Energy | 12.0% | |||
Utilities | 8.2% | |||
Materials | 6.8% | |||
Information Technology | 5.6% | |||
Health Care | 5.3% | |||
Consumer Staples | 4.7% | |||
Telecommunication Services | 4.3% | |||
Other Assets and Liabilities – Net* | 4.2% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to T. Rowe Price Reserve Investment Fund and securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 95.8% | ||||||||||||||
Consumer Discretionary: 14.7% | ||||||||||||||
310,300 | @ | Bed Bath & Beyond, Inc. | $ | 11,505,924 | 1.0 | |||||||||
381,800 | Fortune Brands, Inc. | 14,958,924 | 1.2 | |||||||||||
720,100 | Home Depot, Inc. | 20,213,207 | 1.7 | |||||||||||
492,300 | Mattel, Inc. | 10,417,068 | 0.9 | |||||||||||
438,500 | McGraw-Hill Cos., Inc. | 12,339,390 | 1.0 | |||||||||||
634,366 | Time Warner, Inc. | 18,339,521 | 1.5 | |||||||||||
480,100 | Walt Disney Co. | 15,123,150 | 1.2 | |||||||||||
144,500 | Whirlpool Corp. | 12,689,990 | 1.0 | |||||||||||
Other Securities | 63,834,102 | 5.2 | ||||||||||||
179,421,276 | 14.7 | |||||||||||||
Consumer Staples: 4.7% | ||||||||||||||
436,500 | Hershey Co. | 20,921,445 | 1.7 | |||||||||||
220,000 | Kimberly-Clark Corp. | 13,338,600 | 1.1 | |||||||||||
Other Securities | 23,060,768 | 1.9 | ||||||||||||
57,320,813 | 4.7 | |||||||||||||
Energy: 12.0% | ||||||||||||||
443,090 | Chevron Corp. | 30,068,087 | 2.4 | |||||||||||
445,424 | ExxonMobil Corp. | 25,420,348 | 2.1 | |||||||||||
314,400 | Murphy Oil Corp. | 15,578,520 | 1.3 | |||||||||||
430,500 | Royal Dutch Shell PLC ADR – Class A | 21,619,710 | 1.8 | |||||||||||
253,900 | Schlumberger Ltd. | 14,050,826 | 1.1 | |||||||||||
Other Securities | 40,300,650 | 3.3 | ||||||||||||
147,038,141 | 12.0 | |||||||||||||
Financials: 20.5% | ||||||||||||||
699,900 | American Express Co. | 27,786,030 | 2.3 | |||||||||||
1,875,619 | Bank of America Corp. | 26,952,645 | 2.2 | |||||||||||
460,800 | Bank of New York Mellon Corp. | 11,377,152 | 0.9 | |||||||||||
1,029,644 | JP Morgan Chase & Co. | 37,695,267 | 3.1 | |||||||||||
384,200 | Legg Mason, Inc. | 10,769,126 | 0.9 | |||||||||||
183
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Financials (continued) | ||||||||||||||
583,400 | Marsh & McLennan Cos., Inc. | $ | 13,155,670 | 1.1 | ||||||||||
421,100 | SunTrust Bank | 9,811,630 | 0.8 | |||||||||||
849,400 | US Bancorp. | 18,984,090 | 1.5 | |||||||||||
938,400 | Wells Fargo & Co. | 24,023,040 | 2.0 | |||||||||||
Other Securities | 69,794,125 | 5.7 | ||||||||||||
250,348,775 | 20.5 | |||||||||||||
Health Care: 5.3% | ||||||||||||||
435,700 | Bristol-Myers Squibb Co. | 10,866,358 | 0.9 | |||||||||||
327,800 | Eli Lilly & Co. | 10,981,300 | 0.9 | |||||||||||
199,700 | Johnson & Johnson | 11,794,282 | 0.9 | |||||||||||
418,000 | Merck & Co., Inc. | 14,617,460 | 1.2 | |||||||||||
699,376 | Pfizer, Inc. | 9,973,102 | 0.8 | |||||||||||
Other Securities | 7,022,100 | 0.6 | ||||||||||||
65,254,602 | 5.3 | |||||||||||||
Industrials: 13.7% | ||||||||||||||
278,400 | 3M Co. | 21,990,816 | 1.8 | |||||||||||
188,300 | Boeing Co. | 11,815,825 | 1.0 | |||||||||||
208,700 | Deere & Co. | 11,620,416 | 0.9 | |||||||||||
2,069,700 | General Electric Co. | 29,845,072 | 2.4 | |||||||||||
336,500 | Honeywell International, Inc. | 13,133,595 | 1.1 | |||||||||||
345,100 | Illinois Tool Works, Inc. | 14,245,728 | 1.2 | |||||||||||
233,400 | United Parcel Service, Inc. – Class B | 13,278,126 | 1.1 | |||||||||||
Other Securities | 51,020,345 | 4.2 | ||||||||||||
166,949,923 | 13.7 | |||||||||||||
Information Technology: 5.6% | ||||||||||||||
381,900 | Analog Devices, Inc. | 10,639,735 | 0.9 | |||||||||||
220,800 | Computer Sciences Corp. | 9,991,200 | 0.8 | |||||||||||
649,400 | Microsoft Corp. | 14,942,694 | 1.2 | |||||||||||
Other Securities | 33,172,847 | 2.7 | ||||||||||||
68,746,476 | 5.6 | |||||||||||||
Materials: 6.8% | ||||||||||||||
330,500 | EI Du Pont de Nemours & Co. | 11,431,995 | 1.0 | |||||||||||
238,100 | International Flavors & Fragrances, Inc. | 10,100,202 | 0.8 | |||||||||||
659,893 | International Paper Co. | 14,933,379 | 1.2 | |||||||||||
242,800 | Monsanto Co. | 11,222,216 | 0.9 | |||||||||||
307,100 | Nucor Corp. | 11,755,788 | 1.0 | |||||||||||
Other Securities | 23,562,677 | 1.9 | ||||||||||||
83,006,257 | 6.8 |
184
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Telecommunication Services: 4.3% | ||||||||||||||
992,303 | AT&T, Inc. | $ | 24,003,810 | 2.0 | ||||||||||
390,950 | Verizon Communications, Inc. | 10,954,419 | 0.9 | |||||||||||
Other Securities | 17,268,717 | 1.4 | ||||||||||||
52,226,946 | 4.3 | |||||||||||||
Utilities: 8.2% | ||||||||||||||
330,500 | Exelon Corp. | 12,549,085 | 1.0 | |||||||||||
711,400 | NiSource, Inc. | 10,315,300 | 0.9 | |||||||||||
246,100 | Progress Energy, Inc. | 9,652,042 | 0.8 | |||||||||||
Other Securities | 67,379,720 | 5.5 | ||||||||||||
99,896,147 | 8.2 | |||||||||||||
Total Common Stock (Cost $1,294,157,601) | 1,170,209,356 | 95.8 | ||||||||||||
SHORT-TERM INVESTMENTS: 3.6% | ||||||||||||||
Money Market: 3.1% | ||||||||||||||
37,108,977 | T. Rowe Price Reserve Investment Fund | 37,108,977 | 3.1 | |||||||||||
Total Money Market (Cost $37,108,977) | 37,108,977 | 3.1 | ||||||||||||
Securities Lending CollateralCC: 0.5% | ||||||||||||||
4,473,766 | BNY Mellon Overnight Government Fund(1) | 4,473,766 | 0.4 | |||||||||||
2,183,316 | I | BNY Institutional Cash Reserves Fund, Series B (1)(2) | 1,746,652 | 0.1 | ||||||||||
Total Securities Lending Collateral (Cost $6,657,082) | 6,220,418 | 0.5 | ||||||||||||
Total Short-Term Investments (Cost $43,766,059) | 43,329,395 | 3.6 | ||||||||||||
Total Investments in Securities (Cost $1,337,923,660)* | $ | 1,213,538,751 | 99.4 | |||||||||||
Other Assets and Liabilities - Net | 7,551,694 | 0.6 | ||||||||||||
Net Assets | $ | 1,221,090,445 | 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, 2010. | ||||||||||||||
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 | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security |
185
* | Cost for federal income tax purposes is $1,352,931,510. | |||||||||||||
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 85,784,649 | ||
Gross Unrealized Depreciation | (225,177,408 | ) | ||
Net Unrealized Depreciation | $ | (139,392,759 | ) | |
Quoted Prices | ||||||||||||||||
in Active Markets | Significant Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 175,782,146 | $ | 3,639,130 | $ | — | $ | 179,421,276 | ||||||||
Consumer Staples | 57,320,813 | — | — | 57,320,813 | ||||||||||||
Energy | 147,038,141 | — | — | 147,038,141 | ||||||||||||
Financials | 250,348,775 | — | — | 250,348,775 | ||||||||||||
Health Care | 65,254,602 | — | — | 65,254,602 | ||||||||||||
Industrials | 166,949,923 | — | — | 166,949,923 | ||||||||||||
Information Technology | 68,746,476 | — | — | 68,746,476 | ||||||||||||
Materials | 83,006,257 | — | — | 83,006,257 | ||||||||||||
Telecommunication Services | 47,565,911 | 4,661,035 | — | 52,226,946 | ||||||||||||
Utilities | 99,896,147 | — | — | 99,896,147 | ||||||||||||
Total Common Stock | 1,161,909,191 | 8,300,165 | — | 1,170,209,356 | ||||||||||||
Short-Term Investments | 4,473,766 | 37,108,977 | 1,746,652 | 43,329,395 | ||||||||||||
Total Investments, at value | $ | 1,166,382,955 | $ | 45,409,144 | $ | 1,746,652 | $ | 1,213,538,751 | ||||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 1,746,652 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,746,652 | ||||||||||||||||||
Total Investments, at value | $ | 1,746,652 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,746,652 | ||||||||||||||||||
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. |
186
Financials | 21.8% | |||
Consumer Discretionary | 12.5% | |||
Health Care | 12.5% | |||
Industrials | 11.3% | |||
Information Technology | 11.2% | |||
Energy | 11.1% | |||
Consumer Staples | 8.6% | |||
Utilities | 4.3% | |||
Telecommunication Services | 2.5% | |||
Materials | 2.4% | |||
Other Assets and Liabilities – Net* | 1.8% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 98.2% | ||||||||||||||
Consumer Discretionary: 12.5% | ||||||||||||||
535,638 | Comcast Corp. – Class A | $ | 9,304,032 | 1.7 | ||||||||||
326,172 | Home Depot, Inc. | 9,155,648 | 1.7 | |||||||||||
213,300 | Sony Corp. ADR | 5,690,844 | 1.0 | |||||||||||
135,099 | Time Warner Cable, Inc. | 7,035,956 | 1.3 | |||||||||||
363,738 | Time Warner, Inc. | 10,515,666 | 1.9 | |||||||||||
515,216 | Viacom – Class B | 16,162,326 | 2.9 | |||||||||||
Other Securities | 11,204,764 | 2.0 | ||||||||||||
69,069,236 | 12.5 | |||||||||||||
Consumer Staples: 8.6% | ||||||||||||||
209,814 | Avon Products, Inc. | 5,560,071 | 1.0 | |||||||||||
440,689 | Kraft Foods, Inc. | 12,339,292 | 2.2 | |||||||||||
225,921 | Sysco Corp. | 6,454,563 | 1.2 | |||||||||||
206,984 | Wal-Mart Stores, Inc. | 9,949,721 | 1.8 | |||||||||||
Other Securities | 12,917,980 | 2.4 | ||||||||||||
47,221,627 | 8.6 | |||||||||||||
Energy: 11.1% | ||||||||||||||
167,050 | Anadarko Petroleum Corp. | 6,028,835 | 1.1 | |||||||||||
123,529 | ConocoPhillips | 6,064,039 | 1.1 | |||||||||||
89,713 | Devon Energy Corp. | 5,465,316 | 1.0 | |||||||||||
95,897 | ExxonMobil Corp. | 5,472,842 | 1.0 | |||||||||||
113,115 | Hess Corp. | 5,694,209 | 1.0 | |||||||||||
173,927 | Occidental Petroleum Corp. | 13,418,468 | 2.4 | |||||||||||
198,143 | Royal Dutch Shell PLC ADR – Class A | 9,950,741 | 1.8 | |||||||||||
121,962 | Schlumberger Ltd. | 6,749,377 | 1.2 | |||||||||||
Other Securities | 2,633,405 | 0.5 | ||||||||||||
61,477,232 | 11.1 |
187
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Financials: 21.8% | ||||||||||||||
942,836 | Bank of America Corp. | $ | 13,548,553 | 2.5 | ||||||||||
533,453 | Charles Schwab Corp. | 7,564,364 | 1.4 | |||||||||||
129,003 | Chubb Corp. | 6,451,440 | 1.2 | |||||||||||
1,491,307 | @ | Citigroup, Inc. | 5,607,314 | 1.0 | ||||||||||
728,146 | JP Morgan Chase & Co. | 26,657,425 | 4.8 | |||||||||||
799,791 | Marsh & McLennan Cos., Inc. | 18,035,287 | 3.3 | |||||||||||
213,470 | PNC Financial Services Group, Inc. | 12,061,055 | 2.2 | |||||||||||
241,969 | Wells Fargo & Co. | 6,194,406 | 1.1 | |||||||||||
Other Securities | 23,980,496 | 4.3 | ||||||||||||
120,100,340 | 21.8 | |||||||||||||
Health Care: 12.5% | ||||||||||||||
101,993 | Bayer AG ADR | 5,691,209 | 1.0 | |||||||||||
426,727 | Bristol-Myers Squibb Co. | 10,642,571 | 1.9 | |||||||||||
180,059 | Covidien PLC | 7,234,771 | 1.3 | |||||||||||
135,249 | @ | Genzyme Corp. | 6,866,592 | 1.2 | ||||||||||
262,960 | Merck & Co., Inc. | 9,195,711 | 1.7 | |||||||||||
541,566 | Pfizer, Inc. | 7,722,731 | 1.4 | |||||||||||
169,231 | Roche Holding AG ADR | 5,804,623 | 1.1 | |||||||||||
279,559 | UnitedHealth Group, Inc. | 7,939,476 | 1.4 | |||||||||||
Other Securities | 8,178,583 | 1.5 | ||||||||||||
69,276,267 | 12.5 | |||||||||||||
Industrials: 11.3% | ||||||||||||||
142,702 | Dover Corp. | 5,963,517 | 1.1 | |||||||||||
1,251,148 | General Electric Co. | 18,041,553 | 3.3 | |||||||||||
66,377 | L | Siemens AG ADR | 5,942,733 | 1.1 | ||||||||||
237,993 | Tyco International Ltd. | 8,384,493 | 1.5 | |||||||||||
Other Securities | 23,852,629 | 4.3 | ||||||||||||
62,184,925 | 11.3 | |||||||||||||
Information Technology: 11.2% | ||||||||||||||
367,365 | @ | Cisco Systems, Inc. | 7,828,548 | 1.4 | ||||||||||
489,155 | @ | Dell, Inc. | 5,899,209 | 1.1 | ||||||||||
642,737 | @ | eBay, Inc. | 12,604,073 | 2.3 | ||||||||||
237,666 | Hewlett-Packard Co. | 10,286,184 | 1.9 | |||||||||||
336,521 | Intel Corp. | 6,545,333 | 1.2 | |||||||||||
413,023 | @,L | Yahoo!, Inc. | 5,712,108 | 1.0 | ||||||||||
Other Securities | 12,936,007 | 2.3 | ||||||||||||
61,811,462 | 11.2 | |||||||||||||
Materials: 2.4% | ||||||||||||||
244,121 | Dow Chemical Co. | 5,790,550 | 1.1 | |||||||||||
Other Securities | 7,273,984 | 1.3 | ||||||||||||
13,064,534 | 2.4 |
188
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Telecommunication Services: 2.5% | ||||||||||||||
194,677 | Verizon Communications, Inc. | $ | 5,454,850 | 1.0 | ||||||||||
403,214 | L | Vodafone Group PLC ADR | 8,334,433 | 1.5 | ||||||||||
13,789,283 | 2.5 | |||||||||||||
Utilities: 4.3% | ||||||||||||||
370,763 | American Electric Power Co., Inc. | 11,975,645 | 2.2 | |||||||||||
Other Securities | 11,616,380 | 2.1 | ||||||||||||
23,592,025 | 4.3 | |||||||||||||
Total Common Stock (Cost $550,818,878) | 541,586,931 | 98.2 | ||||||||||||
SHORT-TERM INVESTMENTS: 4.6% | ||||||||||||||
Affiliated Mutual Fund: 1.5% | ||||||||||||||
8,101,645 | ING Institutional Prime Money Market Fund – Class I | 8,101,645 | 1.5 | |||||||||||
Total Mutual Fund (Cost $8,101,645) | 8,101,645 | 1.5 | ||||||||||||
Securities Lending CollateralCC: 3.1% | ||||||||||||||
16,094,616 | BNY Mellon Overnight Government Fund(1) | 16,094,616 | 2.9 | |||||||||||
1,680,468 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 1,344,375 | 0.2 | ||||||||||
Total Securities Lending Collateral (Cost $17,775,084) | 17,438,991 | 3.1 | ||||||||||||
Total Short-Term Investments (Cost $25,876,729) | 25,540,636 | 4.6 | ||||||||||||
Total Investments in Securities (Cost $576,695,607)* | $ | 567,127,567 | 102.8 | |||||||||||
Other Assets and Liabilities - Net | (15,272,631 | ) | (2.8 | ) | ||||||||||
Net Assets | $ | 551,854,936 | 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, 2010. | ||||||||||||||
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 | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
* | Cost for federal income tax purposes is $579,805,889. | |||||||||||||
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 30,668,531 | ||
Gross Unrealized Depreciation | (43,346,853 | ) | ||
Net Unrealized Depreciation | $ | (12,678,322 | ) | |
189
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock* | $ | 541,586,931 | $ | — | $ | — | $ | 541,586,931 | ||||||||
Short-Term Investments | 24,196,261 | — | 1,344,375 | 25,540,636 | ||||||||||||
Total Investments, at value | $ | 565,783,192 | $ | — | $ | 1,344,375 | $ | 567,127,567 | ||||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Short-Term Investments | $ | 1,344,375 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,344,375 | ||||||||||||||||||
Total Investments, at value | $ | 1,344,375 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,344,375 | ||||||||||||||||||
^ | 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. |
190
(as a percent of net assets)
Health Care | 93.4% | |||
Industrials | 2.6% | |||
Consumer Staples | 1.2% | |||
Other Assets and Liabilities – Net* | 2.8% | |||
Net Assets | 100.0% |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I. |
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
COMMON STOCK: 97.1% | ||||||||||||||
Consumer Staples: 1.2% | ||||||||||||||
77,016 | CVS Caremark Corp. | $ | 2,258,109 | 1.2 | ||||||||||
Health Care: 93.3% | ||||||||||||||
58,641 | Abbott Laboratories | 2,743,226 | 1.5 | |||||||||||
88,062 | @ | Alexion Pharmaceuticals, Inc. | 4,507,894 | 2.4 | ||||||||||
50,396 | Allergan, Inc. | 2,936,071 | 1.6 | |||||||||||
108,963 | @ | Amgen, Inc. | 5,731,454 | 3.0 | ||||||||||
127,760 | @ | Amylin Pharmaceuticals, Inc. | 2,401,888 | 1.3 | ||||||||||
108,295 | @ | Arthrocare Corp. | 3,319,242 | 1.8 | ||||||||||
83,251 | Baxter International, Inc. | 3,383,321 | 1.8 | |||||||||||
30,702 | Becton Dickinson & Co. | 2,076,069 | 1.1 | |||||||||||
192,924 | Biovail Corp. | 3,711,858 | 2.0 | |||||||||||
338,129 | @ | Boston Scientific Corp. | 1,961,148 | 1.0 | ||||||||||
174,463 | Bristol-Myers Squibb Co. | 4,351,107 | 2.3 | |||||||||||
124,972 | Cardinal Health, Inc. | 4,200,309 | 2.2 | |||||||||||
46,220 | @ | Celgene Corp. | 2,348,900 | 1.2 | ||||||||||
44,774 | @ | Cephalon, Inc. | 2,540,925 | 1.3 | ||||||||||
79,152 | Cigna Corp. | 2,458,461 | 1.3 | |||||||||||
63,122 | Covidien PLC | 2,536,242 | 1.3 | |||||||||||
43,212 | @ | Edwards Lifesciences Corp. | 2,420,736 | 1.3 | ||||||||||
120,279 | Eli Lilly & Co. | 4,029,347 | 2.1 | |||||||||||
95,942 | @ | Express Scripts, Inc. | 4,511,193 | 2.4 | ||||||||||
113,080 | @ | Forest Laboratories, Inc. | 3,101,784 | 1.6 | ||||||||||
44,175 | Fresenius AG | 2,928,448 | 1.6 | |||||||||||
46,723 | Fresenius Medical Care AG & Co. KGaA | 2,520,924 | 1.3 | |||||||||||
97,953 | @ | Gilead Sciences, Inc. | 3,357,829 | 1.8 | ||||||||||
30,819 | @ | HeartWare International, Inc. | 2,159,487 | 1.1 | ||||||||||
88,934 | @ | Human Genome Sciences, Inc. | 2,015,244 | 1.1 | ||||||||||
158,723 | @ | Inverness Medical Innovations, Inc. | 4,231,555 | 2.2 | ||||||||||
34,548 | Johnson & Johnson | 2,040,405 | 1.1 | |||||||||||
44,257 | @ | Life Technologies Corp. | 2,091,143 | 1.1 | ||||||||||
56,914 | Lonza Group AG | 3,789,300 | 2.0 | |||||||||||
231,726 | @ | MAP Pharmaceuticals, Inc. | 3,040,245 | 1.6 | ||||||||||
67,771 | @ | Medco Health Solutions, Inc. | 3,732,827 | 2.0 | ||||||||||
1,823,990 | @,I | Medipattern Corp. | 145,638 | 0.1 | ||||||||||
191
Percent of | ||||||||||||||
Shares | Value | Net Assets | ||||||||||||
Health Care (continued) | ||||||||||||||
122,997 | Merck & Co., Inc. | $ | 4,301,205 | 2.3 | ||||||||||
217,818 | @ | Nektar Therapeutics | 2,635,598 | 1.4 | ||||||||||
356,721 | Pfizer, Inc. | 5,086,841 | 2.7 | |||||||||||
117,143 | @ | Qiagen NV | 2,251,488 | 1.2 | ||||||||||
39,978 | @ | Resmed, Inc. | 2,431,062 | 1.3 | ||||||||||
82,198 | @ | Salix Pharmaceuticals Ltd. | 3,208,188 | 1.7 | ||||||||||
53,770 | Shire PLC ADR | 3,300,403 | 1.8 | |||||||||||
81,549 | @ | St. Jude Medical, Inc. | 2,943,103 | 1.6 | ||||||||||
57,246 | Stryker Corp. | 2,865,735 | 1.5 | |||||||||||
67,036 | Teva Pharmaceutical Industries Ltd. ADR | 3,485,202 | 1.8 | |||||||||||
798,437 | @ | Theratechnologies, Inc. | 3,840,118 | 2.0 | ||||||||||
78,727 | @ | Thoratec Corp. | 3,364,005 | 1.8 | ||||||||||
67,086 | UnitedHealth Group, Inc. | 1,905,242 | 1.0 | |||||||||||
89,775 | @ | Vertex Pharmaceuticals, Inc. | 2,953,598 | 1.6 | ||||||||||
164,590 | @ | Warner Chilcott PLC | 3,760,882 | 2.0 | ||||||||||
70,338 | @ | Zimmer Holdings, Inc. | 3,801,769 | 2.0 | ||||||||||
93,553 | @ | Zoll Medical Corp. | 2,535,286 | 1.3 | ||||||||||
Other Securities | 24,224,585 | 12.8 | ||||||||||||
176,218,530 | 93.3 | |||||||||||||
Industrials: 2.6% | ||||||||||||||
2,419,383 | @ | CareView Communications, Inc. | 5,056,509 | 2.6 | ||||||||||
Total Common Stock (Cost $175,834,815) | 183,533,148 | 97.1 | ||||||||||||
WARRANTS: 0.1% | ||||||||||||||
Health Care: 0.1% | ||||||||||||||
133,228 | I | Novavax, Inc. | 136,265 | 0.1 | ||||||||||
Total Warrants (Cost $—) | 136,265 | 0.1 | ||||||||||||
Total Long-Term Investments (Cost $175,834,815) | 183,669,413 | 97.2 | ||||||||||||
SHORT-TERM INVESTMENTS: 2.5% | ||||||||||||||
Affiliated Mutual Fund: 2.5% | ||||||||||||||
4,700,285 | ING Institutional Prime Money Market Fund – Class I | 4,700,285 | 2.5 | |||||||||||
Total Short-Term Investments (Cost $4,700,285) | 4,700,285 | 2.5 | ||||||||||||
Total Investments in Securities (Cost $180,535,100)* | $ | 188,369,698 | 99.7 | |||||||||||
Other Assets and Liabilities - Net | 526,582 | 0.3 | ||||||||||||
Net Assets | $ | 188,896,280 | 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, 2010. |
192
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 | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
I | Illiquid security | |||||||||||||
* | Cost for federal income tax purposes is $181,969,335. | |||||||||||||
Net unrealized appreciation consists of: |
Gross Unrealized Appreciation | $ | 23,145,540 | ||
Gross Unrealized Depreciation | (16,745,177 | ) | ||
Net Unrealized Appreciation | $ | 6,400,363 | ||
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs# | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Staples | $ | 2,258,109 | $ | — | $ | — | $ | 2,258,109 | ||||||||
Health Care | 166,979,858 | 9,238,672 | — | 176,218,530 | ||||||||||||
Industrials | 5,056,509 | — | — | 5,056,509 | ||||||||||||
Total Common Stock | 174,294,476 | 9,238,672 | — | �� | 183,533,148 | |||||||||||
Warrants | — | 136,265 | — | 136,265 | ||||||||||||
Short-Term Investments | 4,700,285 | — | — | 4,700,285 | ||||||||||||
Total Investments, at value | $ | 178,994,761 | $ | 9,374,937 | $ | — | $ | 188,369,698 | ||||||||
^ | 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. |
193
194
195
Table of Contents
Semi-Annual Report
June 30, 2010
Adviser (“ADV”), Institutional (“I”), Service (“S”) and Service 2 (“S2”) Classes
ING Investors Trust
n | ING BlackRock Large Cap Growth Portfolio |
n | ING BlackRock Large Cap Value 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 (formerly, ING Wells Fargo Omega Portfolio) |
n | ING Limited Maturity Bond Portfolio |
n | ING Lord Abbett Growth and Income Portfolio (formerly, ING Lord Abbett Affiliated Portfolio) |
n | ING PIMCO High Yield Portfolio |
n | ING Pioneer Equity Income Portfolio |
n | ING Pioneer Fund Portfolio |
n | ING Templeton Global Growth Portfolio |
n | ING U.S. Stock Index Portfolio (formerly, ING Stock Index Portfolio) |
n | ING Wells Fargo Small Cap Disciplined 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 | ||
7 | ||
15 | ||
19 | ||
27 | ||
38 | ||
63 | ||
140 |
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.ingfunds.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.ingfunds.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.
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Pay now and/or later
Dear Shareholder,
It’s summer, and it’s hot — 100 degrees has not been uncommon here on the East Coast — with no relief in the forecast. Do you turn up the air conditioning, knowing it will cost a fortune on your next electric bill Or do you try to tough it out, sweltering to save money Most of us would probably choose the immediate comfort of the A/C; the bill will come later.
The current heat wave thus presents a timely comparison to the trade-offs confronting policymakers as they consider the global economy. How do we balance the short-term need to sustain a fragile economic recovery against the long-term need to reduce deficits and debt As with the heat, unless we make it through the short term, the long
term won’t matter much. But spending on economic stimulus in the short term could add to our long-term debt burden.
Most of the world is facing the same issues. Fiscal austerity programs are being implemented across Europe, and not just in those countries at most immediate risk of default. In the United States, there is as of yet no clear course of action. Expect to hear about this in the fall, as the gentle breezes of summer give way to the hot winds of electoral politics. We believe that for the next several months, markets will see heightened volatility as investors worldwide seek assurance that the global recovery remains on track. On the bright side, we expect corporate profits to continue to exceed expectations.
Confronted with this type of uncertainty, what do you do Keep your options open — consider investing in funds that provide diversification geographically across markets and seek investment managers that are skilled at anticipating changes in correlations and risks among asset classes. And of course, discuss any proposed portfolio changes with your investment advisor before you take action.
Thank you for your continued confidence in ING Funds. We look forward to serving your investment needs in the future.
Sincerely,
Shaun Mathews
President & Chief Executive Officer
ING Funds
July 10, 2010
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
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MARKET PERSPECTIVE: SIX MONTHS ENDED JUNE 30, 2010
After a 13-month advance through mid-April, a confluence of local and world concerns sent global equities, in the form of the MSCI World IndexSM measured in local currencies, including net reinvested dividends (“MSCI” for regions discussed below), on a steeply downward path. For the first half of the new fiscal year, the index fell 7.1% to closing levels not seen since October 2, 2009. (The MSCI World IndexSM returned (9.84)% for the six months ended June 30, 2010, measured in U.S. dollars.)
By the end of 2009, the rally had become increasingly edgy. The rescue of failing institutions by governments and central banks in Europe and the U.S. together with unprecedented fiscal and monetary stimulus to counter the ensuing recession had led to enormous, unsustainable budget deficits. Not only would stimulus programs end, but debt would need to be wound down.
Beacons of hope in this rather bleak outlook were thought to be the U.S. and emerging markets, centered on China. The U.S. with its vast, dynamic, flexible economy would surely bounce back most quickly in the developed world. Emerging market economies, more fiscally robust these days, had never suffered much of a financial crisis and recession anyway and were again showing vibrant growth. The demand for capital goods from China might sustain Japan’s export led revival, while in Europe, growth may be tepid but at least the situation was stable. By early May all of these premises were disintegrating, the erosion gathering pace through June.
In the U.S., the critical housing market seemed to be improving, boosted by tax credits for home buyers. After sliding for more than three years, house prices (based on the S&P/Case-Shiller 20-City Composite Home Price Index) finally showed year-over-year increases from February. But even before the credits expired, sales of existing homes turned down. And in May, sales of new homes fell by one third from April, to the lowest rate since at least 1963. Unemployment remained stubbornly high, near 10%. The June report showed only 41,000 private sector jobs created, with annual wage growth below 2%. The final estimate of Gross Domestic Product (“GDP”) growth for the first quarter was revised down to 2.7% annualized. And excluding inventory build-up, real final demand expanded at just 0.8% per annum. Retail sales unexpectedly dipped in May. Some commentators also cited trends in the bond market (see below) and pointed to a double-dip recession.
China had grown at “only” 8.7% in 2009. In response, the government instructed the banks to expand lending and first quarter GDP growth rebounded to 11.9%. But inflation picked up and a housing bubble developed. The authorities quickly back-pedaled and repeatedly raised banks’ reserve ratio requirements. By the end of June the increasingly closely-watched Chinese manufacturing purchasing managers’ index was weakening. The unofficial version compiled by HSBC plumbed a 12-month low.
In the Eurozone, default on billions of euro of Greece’s maturing bonds loomed. Amid downgrades and ballooning yields, Eurozone countries, with no single voice, dithered on the need for a bail-out, its size, terms and the involvement of the International Monetary Fund (“IMF”). Many expected contagion and even doubted the viability of the euro itself. At last on the weekend of May 8-9, Eurozone finance ministers agreed on a Financial Stabilization mechanism funded with €500 billion, while the IMF would add up to €250 billion. The European Central Bank started buying sovereign debt and by then it was abundantly clear that the real problem was that vast quantities of the debt were held in the banking system, which might seize up as a result. In short, another “Lehman” event was feared.
In U.S. fixed income markets, the Barclays Capital U.S. Aggregate Bond Index of investment grade bonds returned 5.33%, with the Barclays Capital U.S. Treasury Index (which returned 5.86%) slightly outperforming the Barclays Capital Corporate Investment Grade Bond Index (which returned 5.79%). The Barclays Capital High Yield Bond — 2% Issuer Constrained Composite Index gained 4.45%. In the flight to safety, the two-year Treasury yield reached a record low, while the difference between the yields on two-year and ten-year Treasuries, having set new record high levels in February, fell back to October 2009 spreads by the end of June.
U.S. equities, represented by the S&P 500® Index including dividends, fell 6.65% in the first half. Through early April, the economic reports seemed to be improving. Stock prices were also supported by strong earnings reports, with first quarter operating earnings per share for S&P 500® companies coming in about 92% above those for the corresponding quarter of 2009. The index peaked on April 23, up over 9% for the year, before factors described above drove investor sentiment and the market back down amid surging volatility.
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MARKET PERSPECTIVE: SIX MONTHS ENDED JUNE 30, 2010
In currencies, the scenario described above in the Eurozone propelled the dollar up 17.4% on the euro. The dollar also gained 5.7% against the pound but lost 3.9% to the Japanese yen.
In international markets, the MSCI Japan® Index dropped 7.5% for the first half of the year. The last thing export dependent Japan needed was a double-dip recession in the developed economies. Impressive 5% annualized first quarter GDP growth was considered vulnerable with household demand still slow and consumer prices drifting down. The MSCI Europe ex UK® Index fell 6.2%. As in the U.S., the first few weeks of April saw the 2010 high point for the index before the peril inherent in shaky sovereign debt captured the attention of investors. The MSCI UK® Index lost 7.6%, with BP contributing over 3% of it. The newly elected coalition government introduced an aggressively austere budget that would reduce the deficit to 3.9% by 2015, but this would have a depressing effect on growth and profits.
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.ingfunds.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.
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 Ba,1, 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. |
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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, 2010 to June 30, 2010. 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, 2010 | Ending Account Value June 30, 2010 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2010* | Beginning Account Value January 1, 2010 | Ending Account Value June 30, 2010 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2010* | |||||||||||||||||
ING BlackRock Large Cap Growth Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 930.20 | 1.40 | % | $ | 6.70 | $ | 1,000.00 | $ | 1,017.85 | 1.40 | % | $ | 7.00 | ||||||||
Class I | 1,000.00 | 931.90 | 0.80 | 3.83 | 1,000.00 | 1,020.83 | 0.80 | 4.01 | ||||||||||||||||
Class S | 1,000.00 | 930.50 | 1.04 | 4.98 | 1,000.00 | 1,019.64 | 1.04 | 5.21 | ||||||||||||||||
Class S2 | 1,000.00 | 929.70 | 1.20 | 5.74 | 1,000.00 | 1,018.84 | 1.20 | 6.01 | ||||||||||||||||
ING BlackRock Large Cap Value Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 905.50 | 1.34 | % | $ | 6.33 | $ | 1,000.00 | $ | 1,018.15 | 1.34 | % | $ | 6.71 | ||||||||
Class I | 1,000.00 | 906.70 | 0.74 | 3.50 | 1,000.00 | 1,021.12 | 0.74 | 3.71 | ||||||||||||||||
Class S | 1,000.00 | 905.60 | 0.99 | 4.68 | 1,000.00 | 1,019.89 | 0.99 | 4.96 | ||||||||||||||||
Class S2 | 1,000.00 | 905.10 | 1.14 | 5.38 | 1,000.00 | 1,019.14 | 1.14 | 5.71 | ||||||||||||||||
ING Clarion Real Estate Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,050.70 | 1.21 | % | $ | 6.15 | $ | 1,000.00 | $ | 1,018.79 | 1.21 | % | $ | 6.06 | ||||||||
Class I | 1,000.00 | 1,053.40 | 0.61 | 3.11 | 1,000.00 | 1,021.77 | 0.61 | 3.06 | ||||||||||||||||
Class S | 1,000.00 | 1,052.40 | 0.86 | 4.38 | 1,000.00 | 1,020.53 | 0.86 | 4.31 | ||||||||||||||||
Class S2 | 1,000.00 | 1,050.90 | 1.01 | 5.14 | 1,000.00 | 1,019.79 | 1.01 | 5.06 |
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SHAREHOLDER EXPENSE EXAMPLES (UNAUDITED) (CONTINUED)
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||
Beginning Account Value January 1, 2010 | Ending Account Value June 30, 2010 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2010* | Beginning Account Value January 1, 2010 | Ending Account Value June 30, 2010 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2010* | |||||||||||||||||
ING Franklin Income Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 996.80 | 1.35 | % | $ | 6.68 | $ | 1,000.00 | $ | 1,018.10 | 1.35 | % | $ | 6.76 | ||||||||
Class I | 1,000.00 | 1,001.10 | 0.75 | 3.72 | 1,000.00 | 1,021.08 | 0.75 | 3.76 | ||||||||||||||||
Class S | 1,000.00 | 998.90 | 1.00 | 4.96 | 1,000.00 | 1,019.84 | 1.00 | 5.01 | ||||||||||||||||
Class S2 | 1,000.00 | 998.90 | 1.15 | 5.70 | 1,000.00 | 1,019.09 | 1.15 | 5.76 | ||||||||||||||||
ING Franklin Mutual Shares Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 950.00 | 1.38 | % | $ | 6.67 | $ | 1,000.00 | $ | 1,017.95 | 1.38 | % | $ | 6.90 | ||||||||
Class I | 1,000.00 | 954.50 | 0.78 | 3.78 | 1,000.00 | 1,020.93 | 0.78 | 3.91 | ||||||||||||||||
Class S | 1,000.00 | 953.00 | 1.03 | 4.99 | 1,000.00 | 1,019.69 | 1.03 | 5.16 | ||||||||||||||||
ING JPMorgan Small Cap Core Equity Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 993.20 | 1.48 | % | $ | 7.31 | $ | 1,000.00 | $ | 1,017.46 | 1.48 | % | $ | 7.40 | ||||||||
Class I | 1,000.00 | 996.20 | 0.88 | 4.36 | 1,000.00 | 1,020.43 | 0.88 | 4.41 | ||||||||||||||||
Class S | 1,000.00 | 994.20 | 1.13 | 5.59 | 1,000.00 | 1,019.19 | �� | 1.13 | 5.66 | |||||||||||||||
Class S2 | 1,000.00 | 994.20 | 1.28 | 6.33 | 1,000.00 | 1,018.45 | 1.28 | 6.41 | ||||||||||||||||
ING Large Cap Growth Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 902.10 | 1.20 | % | $ | 5.66 | $ | 1,000.00 | $ | 1,018.84 | 1.20 | % | $ | 6.01 | ||||||||
Class I | 1,000.00 | 904.60 | 0.60 | 2.83 | 1,000.00 | 1,021.82 | 0.60 | 3.01 | ||||||||||||||||
Class S | 1,000.00 | 902.90 | 0.85 | 4.01 | 1,000.00 | 1,020.58 | 0.85 | 4.26 | ||||||||||||||||
Class S2 | 1,000.00 | 902.70 | 1.00 | 4.72 | 1,000.00 | 1,019.84 | 1.00 | 5.01 | ||||||||||||||||
ING Limited Maturity Bond Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,018.50 | 0.87 | % | $ | 4.35 | $ | 1,000.00 | $ | 1,020.48 | 0.87 | % | $ | 4.36 | ||||||||
Class I | 1,000.00 | 1,021.20 | 0.27 | 1.35 | 1,000.00 | 1,023.46 | 0.27 | 1.35 | ||||||||||||||||
Class S | 1,000.00 | 1,019.20 | 0.52 | 2.60 | 1,000.00 | 1,022.22 | 0.52 | 2.61 | ||||||||||||||||
ING Lord Abbett Growth and Income Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 946.50 | 1.35 | % | $ | 6.52 | $ | 1,000.00 | $ | 1,018.10 | 1.35 | % | $ | 6.76 | ||||||||
Class I | 1,000.00 | 948.10 | 0.75 | 3.62 | 1,000.00 | 1,021.08 | 0.75 | 3.76 | ||||||||||||||||
Class S | 1,000.00 | 945.80 | 1.00 | 4.82 | 1,000.00 | 1,019.84 | 1.00 | 5.01 | ||||||||||||||||
Class S2 | 1,000.00 | 945.50 | 1.15 | 5.55 | 1,000.00 | 1,019.09 | 1.15 | 5.76 | ||||||||||||||||
ING PIMCO High Yield Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,044.50 | 1.09 | % | $ | 5.53 | $ | 1,000.00 | $ | 1,019.39 | 1.09 | % | $ | 5.46 | ||||||||
Class I | 1,000.00 | 1,047.60 | 0.49 | 2.49 | 1,000.00 | 1,022.36 | 0.49 | 2.46 | ||||||||||||||||
Class S | 1,000.00 | 1,046.20 | 0.74 | 3.75 | 1,000.00 | 1,021.12 | 0.74 | 3.71 | ||||||||||||||||
Class S2 | 1,000.00 | 1,043.30 | 0.89 | 4.51 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | ||||||||||||||||
ING Pioneer Equity Income Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 979.80 | 1.29 | % | $ | 6.33 | $ | 1,000.00 | $ | 1,018.40 | 1.29 | % | $ | 6.46 | ||||||||
Class I | 1,000.00 | 981.30 | 0.69 | 3.39 | 1,000.00 | 1,021.37 | 0.69 | 3.46 | ||||||||||||||||
Class S | 1,000.00 | 981.20 | 0.94 | 4.62 | 1,000.00 | 1,020.13 | 0.94 | 4.71 | ||||||||||||||||
ING Pioneer Fund Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 918.90 | 1.33 | % | $ | 6.33 | $ | 1,000.00 | $ | 1,018.20 | 1.33 | % | $ | 6.66 | ||||||||
Class I | 1,000.00 | 921.90 | 0.73 | 3.48 | 1,000.00 | 1,021.17 | 0.73 | 3.66 | ||||||||||||||||
Class S | 1,000.00 | 920.90 | 0.98 | 4.67 | 1,000.00 | 1,019.93 | 0.98 | 4.91 |
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SHAREHOLDER EXPENSE EXAMPLES (UNAUDITED) (CONTINUED)
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||
Beginning Account Value January 1, 2010 | Ending Account Value June 30, 2010 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2010* | Beginning Account Value January 1, 2010 | Ending Account Value June 30, 2010 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2010* | |||||||||||||||||
ING Templeton Global Growth Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 877.40 | 1.49 | % | $ | 6.94 | $ | 1,000.00 | $ | 1,017.41 | 1.49 | % | $ | 7.45 | ||||||||
Class I | 1,000.00 | 880.30 | 0.89 | 4.15 | 1,000.00 | 1,020.38 | 0.89 | 4.46 | ||||||||||||||||
Class S | 1,000.00 | 879.70 | 1.14 | 5.31 | 1,000.00 | 1,019.14 | 1.14 | 5.71 | ||||||||||||||||
Class S2 | 1,000.00 | 879.00 | 1.29 | 6.01 | 1,000.00 | 1,018.40 | 1.29 | 6.46 | ||||||||||||||||
ING U.S. Stock Index Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 929.90 | 0.79 | % | $ | 3.78 | $ | 1,000.00 | $ | 1,020.88 | 0.79 | % | $ | 3.96 | ||||||||
Class I | 1,000.00 | 931.70 | 0.26 | 1.25 | 1,000.00 | 1,023.51 | 0.26 | 1.30 | ||||||||||||||||
Class S | 1,000.00 | 930.40 | 0.51 | 2.44 | 1,000.00 | 1,022.27 | 0.51 | 2.56 | ||||||||||||||||
Class S2 | 1,000.00 | 930.10 | 0.66 | 3.16 | 1,000.00 | 1,021.52 | 0.66 | 3.31 | ||||||||||||||||
ING Wells Fargo Small Cap Disciplined Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 937.80 | 1.53 | % | $ | 7.35 | $ | 1,000.00 | $ | 1,017.21 | 1.53 | % | $ | 7.65 | ||||||||
Class I | 1,000.00 | 940.60 | 0.93 | 4.47 | 1,000.00 | 1,020.18 | 0.93 | 4.66 | ||||||||||||||||
Class S | 1,000.00 | 939.30 | 1.18 | 5.67 | 1,000.00 | 1,018.94 | 1.18 | 5.91 | ||||||||||||||||
Class S2 | 1,000.00 | 939.10 | 1.33 | 6.39 | 1,000.00 | 1,018.20 | 1.33 | 6.66 |
* | 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. |
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STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED)
ING BlackRock Large Cap Growth Portfolio | ING BlackRock Large Cap Value Portfolio | ING Clarion Real Estate Portfolio | ING Franklin Income Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities at value+* | $ | 284,088,200 | $ | 157,446,530 | $ | 454,930,027 | $ | 722,014,972 | ||||||||
Short-term investments at value** | 3,351,214 | 1,084,556 | 6,533,673 | 60,456,252 | ||||||||||||
Short-term investments in affiliates*** | 355,573 | 6,224,383 | 9,068,811 | — | ||||||||||||
Cash | — | — | — | 4,937,787 | ||||||||||||
Foreign currencies at value**** | — | — | — | 108,115 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 52,084,364 | 23,969,480 | — | 13,302,250 | ||||||||||||
Fund shares sold | 336,910 | 124,135 | 93,745 | 159,081 | ||||||||||||
Dividends and interest | 194,927 | 158,821 | 1,295,859 | 9,200,069 | ||||||||||||
Prepaid expenses | — | — | — | 3,462 | ||||||||||||
Reimbursement due from manager | — | — | — | 27,969 | ||||||||||||
Total assets | 340,411,188 | 189,007,905 | 471,922,115 | 810,209,957 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 51,809,115 | 23,802,960 | — | 4,572,020 | ||||||||||||
Payable for fund shares redeemed | 40,263 | 69,286 | 2,013,469 | 1,160,974 | ||||||||||||
Payable upon receipt of securities loaned | 3,444,930 | 1,137,800 | 7,285,449 | 60,508,703 | ||||||||||||
Payable to affiliates | 230,207 | 109,107 | 337,634 | 544,486 | ||||||||||||
Payable for trustee fees | — | — | — | 5,854 | ||||||||||||
Payable for borrowings against line of credit | — | — | — | 6,905,000 | ||||||||||||
Other accrued expenses and liabilities | — | — | — | 159,916 | ||||||||||||
Total liabilities | 55,524,515 | 25,119,153 | 9,636,552 | 73,856,953 | ||||||||||||
NET ASSETS | $ | 284,886,673 | $ | 163,888,752 | $ | 462,285,563 | $ | 736,353,004 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||
Paid-in capital | $ | 385,950,562 | $ | 202,257,987 | $ | 817,955,075 | $ | 834,143,357 | ||||||||
Undistributed net investment income | 1,729,798 | 3,978,096 | 21,586,363 | 60,606,033 | ||||||||||||
Accumulated net realized loss | (93,528,515 | ) | (33,622,933 | ) | (484,816,281 | ) | (79,478,558 | ) | ||||||||
Net unrealized appreciation or depreciation | (9,265,172 | ) | (8,724,398 | ) | 107,560,406 | (78,917,828 | ) | |||||||||
NET ASSETS | $ | 284,886,673 | $ | 163,888,752 | $ | 462,285,563 | $ | 736,353,004 | ||||||||
| ||||||||||||||||
+ Including securities loaned at value | $ | 3,374,948 | $ | 1,112,055 | $ | 7,087,095 | $ | 58,900,527 | ||||||||
* Cost of investments in securities | $ | 293,261,195 | $ | 166,117,684 | $ | 346,617,845 | $ | 800,872,404 | ||||||||
** Cost of short-term investments | $ | 3,444,930 | $ | 1,137,800 | $ | 7,285,449 | $ | 60,508,703 | ||||||||
*** Cost of short-term investments in affiliates | $ | 355,573 | $ | 6,224,383 | $ | 9,068,811 | $ | — | ||||||||
****Cost of foreign currencies | $ | — | $ | — | $ | — | $ | 103,827 |
See Accompanying Notes to Financial Statements
7
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
ING BlackRock Large Cap Growth Portfolio | ING BlackRock Large Cap Value Portfolio | ING Clarion Real Estate Portfolio | ING Franklin Income Portfolio | |||||||||
Class ADV: | ||||||||||||
Net assets | $ | 3,818,118 | $ | 512,884 | $ | 2,896,268 | $ | 1,644,892 | ||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||
Shares outstanding | 486,013 | 59,513 | 158,978 | 176,936 | ||||||||
Net asset value and redemption price per share | $ | 7.86 | $ | 8.62 | $ | 18.22 | $ | 9.30 | ||||
Class I: | ||||||||||||
Net assets | $ | 149,436,984 | $ | 136,663,931 | $ | 45,810,926 | $ | 283,238,069 | ||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||
Shares outstanding | 18,497,311 | 15,615,403 | 2,445,930 | 30,047,410 | ||||||||
Net asset value and redemption price per share | $ | 8.08 | $ | 8.75 | $ | 18.73 | $ | 9.43 | ||||
Class S: | ||||||||||||
Net assets | $ | 127,867,574 | $ | 24,912,228 | $ | 395,402,963 | $ | 444,243,915 | ||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||
Shares outstanding | 15,918,391 | 2,853,137 | 21,170,717 | 47,399,999 | ||||||||
Net asset value and redemption price per share | $ | 8.03 | $ | 8.73 | $ | 18.68 | $ | 9.37 | ||||
Class S2: | ||||||||||||
Net assets | $ | 3,763,997 | $ | 1,799,709 | $ | 18,175,406 | $ | 7,226,128 | ||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||
Shares outstanding | 474,415 | 207,272 | 978,023 | 773,016 | ||||||||
Net asset value and redemption price per share | $ | 7.93 | $ | 8.68 | $ | 18.58 | $ | 9.35 |
See Accompanying Notes to Financial Statements
8
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED)
ING Franklin Mutual Shares Portfolio | ING JPMorgan Small Cap Core Equity Portfolio | ING Large Cap Growth Portfolio | ING Limited Maturity Bond Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities at value+* | $ | 405,452,404 | $ | 301,867,741 | $ | 355,525,443 | $ | 339,708,667 | ||||||||
Short-term investments at value** | 9,997,040 | 22,352,621 | — | 43,377,377 | ||||||||||||
Short-term investments in affiliates*** | — | 11,202,232 | 13,120,000 | 15,078,000 | ||||||||||||
Short-term investments at amortized cost | 16,998,832 | — | — | — | ||||||||||||
Cash | 5,207,163 | 18,002 | 697 | 32,073 | ||||||||||||
Cash collateral for futures | — | — | — | 608,531 | ||||||||||||
Foreign currencies at value**** | 1,890,384 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 4,237,054 | 521,948 | — | 163 | ||||||||||||
Fund shares sold | 360,297 | 42,847 | 545,370 | 5,786 | ||||||||||||
Dividends and interest | 1,447,892 | 284,254 | 444,552 | 2,599,389 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 6,386,012 | — | — | — | ||||||||||||
Unrealized appreciation on swap agreements | — | — | — | 4,701 | ||||||||||||
Total assets | 451,977,078 | 336,289,645 | 369,636,062 | 401,414,687 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 6,839,658 | 1,980,564 | 5,015,156 | 1,870,661 | ||||||||||||
Payable for fund shares redeemed | 66 | 1,426,448 | 87,566 | 657,519 | ||||||||||||
Payable upon receipt of securities loaned | — | 22,576,875 | — | 43,546,983 | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | 523,594 | — | — | — | ||||||||||||
Upfront payments received on swap agreements | — | — | — | 26,010 | ||||||||||||
Unrealized depreciation on swap agreements | — | — | — | 383,706 | ||||||||||||
Payable to affiliates | 336,090 | 293,710 | 209,172 | 116,850 | ||||||||||||
Total liabilities | 7,699,408 | 26,277,597 | 5,311,894 | 46,601,729 | ||||||||||||
NET ASSETS | $ | 444,277,670 | $ | 310,012,048 | $ | 364,324,168 | $ | 354,812,958 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||
Paid-in capital | $ | 583,556,122 | $ | 372,137,977 | $ | 339,420,859 | $ | 344,233,704 | ||||||||
Undistributed net investment income | 4,598,341 | 1,078,678 | 2,605,710 | 18,002,914 | ||||||||||||
Accumulated net realized gain (loss) | (90,852,316 | ) | (49,504,709 | ) | 41,126,615 | (10,490,419 | ) | |||||||||
Net unrealized appreciation or depreciation | (53,024,477 | ) | (13,699,898 | ) | (18,829,016 | ) | 3,066,759 | |||||||||
NET ASSETS | $ | 444,277,670 | $ | 310,012,048 | $ | 364,324,168 | $ | 354,812,958 | ||||||||
| ||||||||||||||||
+ Including securities loaned at value | $ | — | $ | 21,768,893 | $ | — | $ | 42,666,278 | ||||||||
* Cost of investments in securities | $ | 464,313,173 | $ | 315,247,765 | $ | 374,354,459 | $ | 335,854,243 | ||||||||
** Cost of short-term investments | $ | 9,995,406 | $ | 22,576,875 | $ | — | $ | 43,546,983 | ||||||||
*** Cost of short-term investments in affiliates | $ | — | $ | 11,202,232 | $ | 13,120,000 | $ | 15,078,000 | ||||||||
****Cost of foreign currencies | $ | 1,917,382 | $ | — | $ | — | $ | — |
See Accompanying Notes to Financial Statements
9
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
ING Franklin Mutual Shares Portfolio | ING JPMorgan Small Cap Core Equity Portfolio | ING Large Cap Growth Portfolio | ING Limited Maturity Bond Portfolio | |||||||||
Class ADV: | ||||||||||||
Net assets | $ | 1,013,308 | $ | 4,288,716 | $ | 2,068,770 | $ | 829,205 | ||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||
Shares outstanding | 148,054 | 421,684 | 202,283 | 79,282 | ||||||||
Net asset value and redemption price per share | $ | 6.84 | $ | 10.17 | $ | 10.23 | $ | 10.46 | ||||
Class I: | ||||||||||||
Net assets | $ | 258,272,037 | $ | 73,270,128 | $ | 254,197,197 | $ | 165,854,479 | ||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||
Shares outstanding | 37,334,411 | 7,029,853 | 24,169,313 | 15,649,126 | ||||||||
Net asset value and redemption price per share | $ | 6.92 | $ | 10.42 | $ | 10.52 | $ | 10.60 | ||||
Class S: | ||||||||||||
Net assets | $ | 184,992,325 | $ | 200,388,770 | $ | 107,285,256 | $ | 188,129,274 | ||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||
Shares outstanding | 26,827,375 | 19,375,060 | 10,294,240 | 17,714,350 | ||||||||
Net asset value and redemption price per share | $ | 6.90 | $ | 10.34 | $ | 10.42 | $ | 10.62 | ||||
Class S2: | ||||||||||||
Net assets | n/a | $ | 32,064,434 | $ | 772,945 | n/a | ||||||
Shares authorized | n/a | unlimited | unlimited | n/a | ||||||||
Par value | n/a | $ | 0.001 | $ | 0.001 | n/a | ||||||
Shares outstanding | n/a | 3,128,169 | 74,388 | n/a | ||||||||
Net asset value and redemption price per share | n/a | $ | 10.25 | $ | 10.39 | n/a |
See Accompanying Notes to Financial Statements
10
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED)
ING Lord Abbett Growth and Income Portfolio | ING PIMCO High Yield Portfolio | ING Pioneer Equity Income Portfolio | ING Pioneer Fund Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities at value+* | $ | 131,610,084 | $ | 591,141,504 | $ | 116,956,085 | $ | 73,009,189 | ||||||||
Short-term investments at value** | 1,051,070 | 23,417,738 | — | — | ||||||||||||
Short-term investments in affiliates*** | — | — | 1,952,247 | 345,000 | ||||||||||||
Short-term investments at amortized cost | — | 17,198,529 | — | — | ||||||||||||
Cash | 1,272,810 | 893,674 | — | — | ||||||||||||
Foreign currencies at value**** | — | 417,578 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 1,767,996 | — | — | — | ||||||||||||
Fund shares sold | 183,428 | 19,049 | 59,489 | 326,560 | ||||||||||||
Dividends and interest | 72,652 | 10,677,911 | 238,706 | 100,766 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | 978,440 | — | — | ||||||||||||
Upfront payments made on swap agreements | — | 10,975 | — | — | ||||||||||||
Unrealized appreciation on swap agreements | — | 2,873,865 | — | — | ||||||||||||
Prepaid expenses | — | — | 607 | — | ||||||||||||
Reimbursement due from manager | — | — | 11,177 | — | ||||||||||||
Total assets | 135,958,040 | 647,629,263 | 119,218,311 | 73,781,515 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 2,415,021 | 2,688,440 | — | — | ||||||||||||
Payable for fund shares redeemed | 400 | 3,501,738 | — | — | ||||||||||||
Payable upon receipt of securities loaned | 1,079,060 | 4,650,990 | — | — | ||||||||||||
Payable for collateral due to counterparties | — | 1,270,000 | — | — | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | 177,156 | — | — | ||||||||||||
Upfront payments received on swap agreements | — | 3,946,009 | — | — | ||||||||||||
Unrealized depreciation on swap agreements | — | 1,103,931 | — | — | ||||||||||||
Payable to affiliates | 99,026 | 358,945 | 76,380 | 56,881 | ||||||||||||
Payable for trustee fees | — | — | 2,274 | — | ||||||||||||
Other accrued expenses and liabilities | — | — | 54,858 | — | ||||||||||||
Written Options^ | — | — | — | — | ||||||||||||
Total liabilities | 3,593,507 | 17,697,209 | 133,512 | 56,881 | ||||||||||||
NET ASSETS | $ | 132,364,533 | $ | 629,932,054 | $ | 119,084,799 | $ | 73,724,634 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||
Paid-in capital | $ | 202,354,211 | $ | 693,724,618 | $ | 164,579,041 | $ | 89,156,422 | ||||||||
Undistributed net investment income | 679,131 | 1,167,666 | 4,934,772 | 741,144 | ||||||||||||
Accumulated net realized loss | (71,527,066 | ) | (95,264,959 | ) | (46,912,908 | ) | (12,745,667 | ) | ||||||||
Net unrealized appreciation or depreciation | 858,257 | 30,304,729 | (3,516,106 | ) | (3,427,265 | ) | ||||||||||
NET ASSETS | $ | 132,364,533 | $ | 629,932,054 | $ | 119,084,799 | $ | 73,724,634 | ||||||||
| ||||||||||||||||
+ Including securities loaned at value | $ | 1,019,595 | $ | 4,533,380 | $ | — | $ | — | ||||||||
* Cost of investments in securities | $ | 130,723,837 | $ | 562,994,770 | $ | 120,472,191 | $ | 76,436,339 | ||||||||
** Cost of short-term investments | $ | 1,079,060 | $ | 23,859,473 | $ | — | $ | — | ||||||||
*** Cost of short-term investments in affiliates | $ | — | $ | — | $ | 1,952,247 | $ | 345,000 | ||||||||
****Cost of foreign currencies | $ | — | $ | 417,694 | $ | — | $ | — | ||||||||
^ Premiums received on written options | $ | — | $ | 41,974 | $ | — | $ | — |
See Accompanying Notes to Financial Statements
11
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
ING Lord Abbett Growth and Income Portfolio | ING PIMCO High Yield Portfolio | ING Pioneer Equity Income Portfolio | ING Pioneer Fund Portfolio | |||||||||
Class ADV: | ||||||||||||
Net assets | $ | 409,912 | $ | 8,825,193 | $ | 678 | $ | 109,635 | ||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||
Shares outstanding | 56,569 | 911,618 | 100 | 12,252 | ||||||||
Net asset value and redemption price per share | $ | 7.25 | $ | 9.68 | $ | 6.78 | $ | 8.95 | ||||
Class I: | ||||||||||||
Net assets | $ | 78,148,728 | $ | 115,225,110 | $ | 119,081,481 | $ | 25,129,060 | ||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||
Shares outstanding | 10,710,754 | 11,903,246 | 17,495,752 | 2,800,990 | ||||||||
Net asset value and redemption price per share | $ | 7.30 | $ | 9.68 | $ | 6.81 | $ | 8.97 | ||||
Class S: | ||||||||||||
Net assets | $ | 52,009,612 | $ | 505,880,806 | $ | 2,640 | $ | 48,485,939 | ||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||
Shares outstanding | 7,091,541 | 52,259,815 | 390 | 5,404,114 | ||||||||
Net asset value and redemption price per share | $ | 7.33 | $ | 9.68 | $ | 6.77 | $ | 8.97 | ||||
Class S2: | ||||||||||||
Net assets | $ | 1,796,281 | $ | 945 | n/a | n/a | ||||||
Shares authorized | unlimited | unlimited | n/a | n/a | ||||||||
Par value | $ | 0.001 | $ | 0.001 | n/a | n/a | ||||||
Shares outstanding | 246,310 | 98 | n/a | n/a | ||||||||
Net asset value and redemption price per share | $ | 7.29 | $ | 9.69 | n/a | n/a |
See Accompanying Notes to Financial Statements
12
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED)
ING Templeton Global Growth Portfolio | ING U.S. Stock Index Portfolio | ING Wells Fargo Small Cap Disciplined Portfolio | ||||||||||
ASSETS: | ||||||||||||
Investments in securities at value+* | $ | 505,146,781 | $ | 3,089,028,817 | $ | 45,636,705 | ||||||
Short-term investments at value** | 11,290,880 | 16,713,730 | 2,832,739 | |||||||||
Short-term investments in affiliates*** | — | 129,819,000 | — | |||||||||
Short-term investments at amortized cost | 9,700,000 | — | — | |||||||||
Cash | 12,564 | 7,100,937 | 21,745 | |||||||||
Cash collateral for futures | — | 4,232,268 | — | |||||||||
Foreign currencies at value**** | 407,771 | — | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 24,723 | 2,633,826 | — | |||||||||
Fund shares sold | 1,518,921 | 147,217 | 145,841 | |||||||||
Dividends and interest | 1,250,813 | 4,272,215 | 27,471 | |||||||||
Prepaid expenses | — | — | 315 | |||||||||
Reimbursement due from manager | — | — | 677 | |||||||||
Total assets | 529,352,453 | 3,253,948,010 | 48,665,493 | |||||||||
LIABILITIES: | ||||||||||||
Payable for investment securities purchased | 1,368,799 | 1,794,015 | — | |||||||||
Payable for fund shares redeemed | 92 | 799,968 | — | |||||||||
Payable upon receipt of securities loaned | 11,435,123 | 16,798,748 | 2,914,835 | |||||||||
Payable to affiliates | 454,504 | 737,209 | 44,323 | |||||||||
Payable for trustee fees | — | — | 3,004 | |||||||||
Other accrued expenses and liabilities | — | — | 44,292 | |||||||||
Total liabilities | 13,258,518 | 20,129,940 | 3,006,454 | |||||||||
NET ASSETS | $ | 516,093,935 | $ | 3,233,818,070 | $ | 45,659,039 | ||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||
Paid-in capital | $ | 691,761,818 | $ | 3,254,627,524 | $ | 98,014,303 | ||||||
Undistributed net investment income | 15,933,749 | 35,559,419 | 322,224 | |||||||||
Accumulated net realized gain (loss) | (91,140,149 | ) | 24,333,038 | (47,609,709 | ) | |||||||
Net unrealized depreciation | (100,461,483 | ) | (80,701,911 | ) | (5,067,779 | ) | ||||||
NET ASSETS | $ | 516,093,935 | $ | 3,233,818,070 | $ | 45,659,039 | ||||||
| ||||||||||||
+ Including securities loaned at value | $ | 10,887,788 | $ | 16,204,475 | $ | 2,747,882 | ||||||
* Cost of investments in securities | $ | 605,450,114 | $ | 3,164,599,660 | $ | 50,622,388 | ||||||
** Cost of short-term investments | $ | 11,435,123 | $ | 16,798,748 | $ | 2,914,835 | ||||||
*** Cost of short-term investments in affiliates | $ | — | $ | 129,819,000 | $ | — | ||||||
****Cost of foreign currencies | $ | 423,114 | $ | — | $ | — |
See Accompanying Notes to Financial Statements
13
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
ING Templeton Global Growth Portfolio | ING U.S. Stock Index Portfolio | ING Wells Fargo Small Cap Disciplined Portfolio | |||||||
Class ADV: | |||||||||
Net assets | $ | 641 | $ | 810,962 | $ | 363,473 | |||
Shares authorized | unlimited | unlimited | unlimited | ||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||
Shares outstanding | 69 | 91,245 | 48,180 | ||||||
Net asset value and redemption price per share | $ | 9.23 | $ | 8.89 | $ | 7.54 | |||
Class I: | |||||||||
Net assets | $ | 258,057,361 | $ | 3,185,985,130 | $ | 5,986,464 | |||
Shares authorized | unlimited | unlimited | unlimited | ||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||
Shares outstanding | 27,617,507 | 353,912,707 | 787,660 | ||||||
Net asset value and redemption price per share | $ | 9.34 | $ | 9.00 | $ | 7.60 | |||
Class S: | |||||||||
Net assets | $ | 254,038,375 | $ | 24,521,161 | $ | 38,931,579 | |||
Shares authorized | unlimited | unlimited | unlimited | ||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||
Shares outstanding | 27,136,649 | 2,738,919 | 5,133,953 | ||||||
Net asset value and redemption price per share | $ | 9.36 | $ | 8.95 | $ | 7.58 | |||
Class S2: | |||||||||
Net assets | $ | 3,997,558 | $ | 22,500,817 | $ | 377,523 | |||
Shares authorized | unlimited | unlimited | unlimited | ||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||
Shares outstanding | 429,817 | 2,522,862 | 49,956 | ||||||
Net asset value and redemption price per share | $ | 9.30 | $ | 8.92 | $ | 7.56 |
See Accompanying Notes to Financial Statements
14
Table of Contents
STATEMENTS OF OPERATIONSFORTHE SIX MONTHS ENDED JUNE 30, 2010 (UNAUDITED)
ING BlackRock Large Cap Growth Portfolio | ING BlackRock Large Cap Value Portfolio | ING Clarion Real Estate Portfolio | ING Franklin Income Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends, net of foreign taxes withheld*(1) | $ | 2,018,800 | $ | 1,934,748 | $ | 6,593,845 | $ | 6,120,467 | ||||||||
Interest | — | — | — | 17,409,619 | ||||||||||||
Securities lending income, net | 9,246 | 5,162 | 4,276 | 101,509 | ||||||||||||
Total investment income | 2,028,046 | 1,939,910 | 6,598,121 | 23,631,595 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment management fees | — | — | — | 2,426,331 | ||||||||||||
Unified fees | 1,278,677 | 797,018 | 1,531,523 | — | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class ADV | 14,613 | 762 | 7,421 | 2,262 | ||||||||||||
Class S | 181,664 | 35,333 | 509,946 | 574,432 | ||||||||||||
Class S2 | 10,158 | 5,204 | 47,906 | 18,376 | ||||||||||||
Transfer agent fees | — | — | — | 852 | ||||||||||||
Administrative service fees | — | — | — | 383,723 | ||||||||||||
Shareholder reporting expense | — | — | — | 94,975 | ||||||||||||
Professional fees | — | — | — | 43,337 | ||||||||||||
Custody and accounting expense | — | — | — | 46,994 | ||||||||||||
Trustee fees | 5,705 | 4,271 | 8,541 | 9,849 | ||||||||||||
Miscellaneous expense | — | — | — | 17,542 | ||||||||||||
Interest expense | 752 | 172 | — | 750 | ||||||||||||
Total expenses | 1,491,569 | 842,760 | 2,105,337 | 3,619,423 | ||||||||||||
Net waived and reimbursed fees | (14,880 | ) | (63,794 | ) | (112,344 | ) | (145,256 | ) | ||||||||
Net expenses | 1,476,689 | 778,966 | 1,992,993 | 3,474,167 | ||||||||||||
Net investment income | 551,357 | 1,160,944 | 4,605,128 | 20,157,428 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 22,480,433 | 11,596,684 | 39,688,830 | 9,553,404 | ||||||||||||
Foreign currency related transactions | — | — | — | (53,062 | ) | |||||||||||
Net realized gain | 22,480,433 | 11,596,684 | 39,688,830 | 9,500,342 | ||||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||
Investments | (44,024,726 | ) | (28,099,661 | ) | (20,520,582 | ) | (29,477,784 | ) | ||||||||
Foreign currency related transactions | (531 | ) | — | — | (13,353 | ) | ||||||||||
Net change in unrealized appreciation or depreciation | (44,025,257 | ) | (28,099,661 | ) | (20,520,582 | ) | (29,491,137 | ) | ||||||||
Net realized and unrealized gain (loss) | (21,544,824 | ) | (16,502,977 | ) | 19,168,248 | (19,990,795 | ) | |||||||||
Increase (decrease) in net assets resulting from operations | $ | (20,993,467 | ) | $ | (15,342,033 | ) | $ | 23,773,376 | $ | 166,633 | ||||||
| ||||||||||||||||
* Foreign taxes withheld | $ | — | $ | — | $ | 4,253 | $ | 46,222 | ||||||||
(1) Dividends from affiliates | $ | 766 | $ | 634 | $ | 6,358 | $ | 376 |
See Accompanying Notes to Financial Statements
15
Table of Contents
STATEMENTS OF OPERATIONSFORTHE SIX MONTHS ENDED JUNE 30, 2010 (UNAUDITED)
ING Franklin Mutual Shares Portfolio | ING JPMorgan Small Cap Core Equity Portfolio | ING Large Cap Growth Portfolio | ING Limited Maturity Bond Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends, net of foreign taxes withheld*(1) | $ | 5,808,000 | $ | 1,685,455 | $ | 2,367,140 | $ | 13,110 | ||||||||
Interest | 1,135,634 | 606 | — | 5,290,391 | ||||||||||||
Securities lending income, net | — | 100,031 | — | 11,525 | ||||||||||||
Total investment income | 6,943,634 | 1,786,092 | 2,367,140 | 5,315,026 | ||||||||||||
EXPENSES: | ||||||||||||||||
Unified fees | 1,873,549 | 1,395,554 | 1,163,951 | 436,215 | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class ADV | 1,239 | 12,297 | 2,669 | 505 | ||||||||||||
Class S | 246,294 | 250,609 | 137,801 | 236,767 | ||||||||||||
Class S2 | — | 87,570 | 2,126 | 2 | ||||||||||||
Trustee fees | 9,025 | 5,483 | 6,939 | 5,731 | ||||||||||||
Interest expense | 212 | — | 491 | 46 | ||||||||||||
Total expenses | 2,130,319 | 1,751,513 | 1,313,977 | 679,266 | ||||||||||||
Net waived and reimbursed fees | (248 | ) | (23,750 | ) | (4,277 | ) | (6,943 | ) | ||||||||
Brokerage commission recapture | — | — | (2,669 | ) | — | |||||||||||
Net expenses | 2,130,071 | 1,727,763 | 1,307,031 | 672,323 | ||||||||||||
Net investment income | 4,813,563 | 58,329 | 1,060,109 | 4,642,703 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 1,348,696 | 9,054,950 | 46,858,321 | 2,326,088 | ||||||||||||
Foreign currency related transactions | 8,012,727 | — | — | — | ||||||||||||
Futures | — | (356,510 | ) | — | (395,192 | ) | ||||||||||
Swaps | — | — | — | 111,950 | ||||||||||||
Net realized gain | 9,361,423 | 8,698,440 | 46,858,321 | 2,042,846 | ||||||||||||
Net change in unrealized appreciation or | ||||||||||||||||
Investments | (38,690,991 | ) | (12,761,669 | ) | (86,250,058 | ) | 1,021,989 | |||||||||
Foreign currency related transactions | 3,001,769 | — | — | — | ||||||||||||
Futures | — | (218,487 | ) | — | (733,516 | ) | ||||||||||
Swaps | — | — | — | (583,818 | ) | |||||||||||
Net change in unrealized appreciation or depreciation | (35,689,222 | ) | (12,980,156 | ) | (86,250,058 | ) | (295,345 | ) | ||||||||
Net realized and unrealized gain (loss) | (26,327,799 | ) | (4,281,716 | ) | (39,391,737 | ) | 1,747,501 | |||||||||
Increase (decrease) in net assets resulting from operations | $ | (21,514,236 | ) | $ | (4,223,387 | ) | $ | (38,331,628 | ) | $ | 6,390,204 | |||||
| ||||||||||||||||
* Foreign taxes withheld | $ | 401,685 | $ | — | $ | 60,694 | $ | — | ||||||||
(1) Dividends from affiliates | $ | — | $ | 8,455 | $ | 7,808 | $ | 13,110 |
See Accompanying Notes to Financial Statements
16
Table of Contents
STATEMENTS OF OPERATIONSFORTHE SIX MONTHS ENDED JUNE 30, 2010 (UNAUDITED)
ING Lord Abbett Growth and Income Portfolio | ING PIMCO High Yield Portfolio | ING Pioneer Equity Income Portfolio | ING Pioneer Fund Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends, net of foreign taxes withheld*(1) | $ | 1,056,855 | $ | 412,402 | $ | 1,985,503 | $ | 887,718 | ||||||||
Interest | 500 | 24,895,488 | — | — | ||||||||||||
Securities lending income, net | 6,238 | 9,587 | — | — | ||||||||||||
Total investment income | 1,063,593 | 25,317,477 | 1,985,503 | 887,718 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment management fees | — | — | 414,559 | — | ||||||||||||
Unified fees | 556,298 | 1,473,050 | — | 299,536 | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class ADV | 672 | 14,949 | 2 | 122 | ||||||||||||
Class S | 74,121 | 599,955 | 4 | 67,820 | ||||||||||||
Class S2 | 5,008 | 4 | — | 2 | ||||||||||||
Transfer agent fees | — | — | 87 | — | ||||||||||||
Administrative service fees | — | — | 63,778 | — | ||||||||||||
Shareholder reporting expense | — | — | 19,560 | — | ||||||||||||
Professional fees | — | — | 8,054 | — | ||||||||||||
Custody and accounting expense | — | — | 6,464 | — | ||||||||||||
Trustee fees | 2,767 | 10,566 | 6,189 | 1,447 | ||||||||||||
Interest expense | — | — | — | 116 | ||||||||||||
Total expenses | 638,866 | 2,098,524 | 518,697 | 369,043 | ||||||||||||
Net waived and reimbursed fees | (1,135 | ) | (2,990 | ) | (77,345 | ) | (192 | ) | ||||||||
Brokerage commission recapture | (3,689 | ) | — | (934 | ) | (856 | ) | |||||||||
Net expenses | 634,042 | 2,095,534 | 440,418 | 367,995 | ||||||||||||
Net investment income | 429,551 | 23,221,943 | 1,545,085 | 519,723 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 3,726,258 | 15,071,025 | (643,708 | ) | 1,035,009 | |||||||||||
Foreign currency related transactions | 24 | 2,818,329 | — | 986 | ||||||||||||
Swaps | — | (819,248 | ) | — | — | |||||||||||
Written options | — | 910,133 | — | — | ||||||||||||
Net realized gain (loss) | 3,726,282 | 17,980,239 | (643,708 | ) | 1,035,995 | |||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||
Investments | (11,325,517 | ) | (16,176,181 | ) | (2,902,794 | ) | (7,900,702 | ) | ||||||||
Foreign currency related transactions | — | 241,749 | — | (341 | ) | |||||||||||
Swaps | — | 1,279,510 | — | — | ||||||||||||
Written options | — | 55,978 | — | — | ||||||||||||
Net change in unrealized appreciation or depreciation | (11,325,517 | ) | (14,598,944 | ) | (2,902,794 | ) | (7,901,043 | ) | ||||||||
Net realized and unrealized gain (loss) on | (7,599,235 | ) | 3,381,295 | (3,546,502 | ) | (6,865,048 | ) | |||||||||
Increase (decrease) in net assets resulting from operations | $ | (7,169,684 | ) | $ | 26,603,238 | $ | (2,001,417 | ) | $ | (6,345,325 | ) | |||||
| ||||||||||||||||
* Foreign taxes withheld | $ | 9,923 | $ | — | $ | 3,854 | $ | 9,279 | ||||||||
(1) Dividends from affiliates | $ | — | $ | — | $ | 656 | $ | 363 |
See Accompanying Notes to Financial Statements
17
Table of Contents
STATEMENTS OF OPERATIONSFORTHE SIX MONTHS ENDED JUNE 30, 2010 (UNAUDITED)
ING Templeton Global Growth Portfolio | ING U.S. Stock Index Portfolio | ING Wells Fargo Small Cap Disciplined Portfolio | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividends, net of foreign taxes withheld*(1) | $ | 8,937,947 | $ | 34,909,788 | $ | 246,180 | ||||||
Interest | 4,140 | 27 | — | |||||||||
Securities lending income, net | 371,025 | 163,201 | 5,462 | |||||||||
Total investment income | 9,313,112 | 35,073,016 | 251,642 | |||||||||
EXPENSES: | ||||||||||||
Investment management fees | — | — | 197,231 | |||||||||
Unified fees | 2,556,961 | 4,657,470 | — | |||||||||
Distribution and service fees: | ||||||||||||
Class ADV | 3 | 1,881 | 1,206 | |||||||||
Class S | 361,958 | 32,570 | 54,509 | |||||||||
Class S2 | 11,004 | 59,396 | 1,062 | |||||||||
Transfer agent fees | — | — | 201 | |||||||||
Administrative service fees | — | — | 25,614 | |||||||||
Shareholder reporting expense | — | — | 18,702 | |||||||||
Professional fees | — | — | 3,808 | |||||||||
Custody and accounting expense | — | — | 2,612 | |||||||||
Trustee fees | 10,954 | 65,960 | 991 | |||||||||
Miscellaneous expense | — | — | 2,726 | |||||||||
Interest expense | 93 | 210 | 208 | |||||||||
Total expenses | 2,940,973 | 4,817,487 | 308,870 | |||||||||
Net waived and reimbursed fees | (2,201 | ) | (39,392 | ) | (14,549 | ) | ||||||
Brokerage commission recapture | (1,050 | ) | — | — | ||||||||
Net expenses | 2,937,722 | 4,778,095 | 294,321 | |||||||||
Net investment income (loss) | 6,375,390 | 30,294,921 | (42,679 | ) | ||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | (1,631,266 | ) | 41,791,324 | 3,732,070 | ||||||||
Foreign currency related transactions | (107,417 | ) | — | — | ||||||||
Futures | — | (1,002,838 | ) | — | ||||||||
Net realized gain (loss) | (1,738,683 | ) | 40,788,486 | 3,732,070 | ||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||
Investments | (75,195,150 | ) | (303,203,721 | ) | (6,993,288 | ) | ||||||
Foreign currency related transactions | 3,889 | — | — | |||||||||
Futures | — | (5,136,267 | ) | — | ||||||||
Net change in unrealized appreciation or depreciation | (75,191,261 | ) | (308,339,988 | ) | (6,993,288 | ) | ||||||
Net realized and unrealized loss | (76,929,944 | ) | (267,551,502 | ) | (3,261,218 | ) | ||||||
Decrease in net assets resulting from operations | $ | (70,554,554 | ) | $ | (237,256,581 | ) | $ | (3,303,897 | ) | |||
| ||||||||||||
* Foreign taxes withheld | $ | 733,616 | $ | — | $ | — | ||||||
(1) Dividends from affiliates | $ | — | $ | 64,987 | $ | 1,700 |
See Accompanying Notes to Financial Statements
18
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING BlackRock Large Cap Growth Portfolio | ING BlackRock Large Cap Value Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 551,357 | $ | 1,187,621 | $ | 1,160,944 | $ | 2,826,537 | ||||||||
Net realized gain (loss) | 22,480,433 | (8,478,690 | ) | 11,596,684 | (7,537,626 | ) | ||||||||||
Net change in unrealized appreciation or depreciation | (44,025,257 | ) | 82,706,701 | (28,099,661 | ) | 47,914,368 | ||||||||||
Increase (decrease) in net assets resulting from operations | (20,993,467 | ) | 75,415,632 | (15,342,033 | ) | 43,203,279 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (885,048 | ) | — | (1,659,953 | ) | ||||||||||
Class S | — | (390,902 | ) | — | (114,838 | ) | ||||||||||
Class S2 | — | — | — | (4,682 | ) | |||||||||||
Total distributions | — | (1,275,950 | ) | — | (1,779,473 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 25,447,772 | 42,878,741 | 20,712,101 | 95,386,679 | ||||||||||||
Reinvestment of distributions | — | 1,275,950 | — | 1,779,473 | ||||||||||||
25,447,772 | 44,154,691 | 20,712,101 | 97,166,152 | |||||||||||||
Cost of shares redeemed | (38,570,544 | ) | (47,266,748 | ) | (76,157,830 | ) | (49,173,791 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (13,122,772 | ) | (3,112,057 | ) | (55,445,729 | ) | 47,992,361 | |||||||||
Net increase (decrease) in net assets | (34,116,239 | ) | 71,027,625 | (70,787,762 | ) | 89,416,167 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 319,002,912 | 247,975,287 | 234,676,514 | 145,260,347 | ||||||||||||
End of period | $ | 284,886,673 | $ | 319,002,912 | $ | 163,888,752 | $ | 234,676,514 | ||||||||
Undistributed net investment income at end of period | $ | 1,729,798 | $ | 1,178,441 | $ | 3,978,096 | $ | 2,817,152 | ||||||||
See Accompanying Notes to Financial Statements
19
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Clarion Real Estate Portfolio | ING Franklin Income Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 4,605,128 | $ | 17,317,566 | $ | 20,157,428 | $ | 39,793,232 | ||||||||
Net realized gain (loss) | 39,688,830 | (345,066,174 | ) | 9,500,342 | (29,024,964 | ) | ||||||||||
Net change in unrealized appreciation or depreciation | (20,520,582 | ) | 492,618,694 | (29,491,137 | ) | 172,307,947 | ||||||||||
Increase in net assets resulting from operations | 23,773,376 | 164,870,086 | 166,633 | 183,076,215 | ||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (33,355 | ) | — | (48 | ) | ||||||||||
Class I | — | (12,826,211 | ) | — | (18,194,815 | ) | ||||||||||
Class S | — | (12,603,759 | ) | — | (25,329,375 | ) | ||||||||||
Class S2 | — | (577,947 | ) | — | (462,107 | ) | ||||||||||
Net realized gains: | ||||||||||||||||
Class ADV | — | (22,450 | ) | — | — | |||||||||||
Class I | — | (7,082,767 | ) | — | — | |||||||||||
Class S | — | (7,699,229 | ) | — | — | |||||||||||
Class S2 | — | (375,213 | ) | — | — | |||||||||||
Total distributions | — | (41,220,931 | ) | — | (43,986,345 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 29,592,099 | 136,969,415 | 29,847,001 | 117,172,299 | ||||||||||||
Reinvestment of distributions | — | 41,220,930 | — | 43,986,297 | ||||||||||||
29,592,099 | 178,190,345 | 29,847,001 | 161,158,596 | |||||||||||||
Cost of shares redeemed | (52,226,131 | ) | (553,254,635 | ) | (73,545,039 | ) | (88,662,790 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (22,634,032 | ) | (375,064,290 | ) | (43,698,038 | ) | 72,495,806 | |||||||||
Net increase (decrease) in net assets | 1,139,344 | (251,415,135 | ) | (43,531,405 | ) | 211,585,676 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 461,146,219 | 712,561,354 | 779,884,409 | 568,298,733 | ||||||||||||
End of period | $ | 462,285,563 | $ | 461,146,219 | $ | 736,353,004 | $ | 779,884,409 | ||||||||
Undistributed net investment income at end of period | $ | 21,586,363 | $ | 16,981,235 | $ | 60,606,033 | $ | 40,448,605 | ||||||||
See Accompanying Notes to Financial Statements
20
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Franklin Mutual Shares Portfolio | ING JPMorgan Small Cap Core Equity Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 4,813,563 | $ | 7,395,304 | $ | 58,329 | $ | 1,254,300 | ||||||||
Net realized gain (loss) | 9,361,423 | (57,981,573 | ) | 8,698,440 | (45,083,029 | ) | ||||||||||
Net change in unrealized appreciation or depreciation | (35,689,222 | ) | 153,979,816 | (12,980,156 | ) | 111,301,374 | ||||||||||
Increase (decrease) in net assets resulting from operations | (21,514,236 | ) | 103,393,547 | (4,223,387 | ) | 67,472,645 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (1 | ) | — | (3,377 | ) | ||||||||||
Class I | — | (333,572 | ) | — | (842,165 | ) | ||||||||||
Class S | — | (218,739 | ) | — | (629,675 | ) | ||||||||||
Class S2 | — | — | — | (71,528 | ) | |||||||||||
Net realized gains: | ||||||||||||||||
Class ADV | — | — | — | (48,040 | ) | |||||||||||
Class I | — | — | — | (2,490,759 | ) | |||||||||||
Class S | — | — | — | (3,341,755 | ) | |||||||||||
Class S2 | — | — | — | (705,495 | ) | |||||||||||
Total distributions | — | (552,312 | ) | — | (8,132,794 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 11,371,134 | 47,037,941 | 61,796,434 | 27,894,143 | ||||||||||||
Reinvestment of distributions | — | 552,311 | — | 8,132,794 | ||||||||||||
11,371,134 | 47,590,252 | 61,796,434 | 36,026,937 | |||||||||||||
Cost of shares redeemed | (31,770,609 | ) | (46,422,543 | ) | (33,181,749 | ) | (93,209,693 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (20,399,475 | ) | 1,167,709 | 28,614,685 | (57,182,756 | ) | ||||||||||
Net increase (decrease) in net assets | (41,913,711 | ) | 104,008,944 | 24,391,298 | 2,157,095 | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 486,191,381 | 382,182,437 | 285,620,750 | 283,463,655 | ||||||||||||
End of period | $ | 444,277,670 | $ | 486,191,381 | $ | 310,012,048 | $ | 285,620,750 | ||||||||
Undistributed net investment income (distributions in excess of net investment income) at end of period | $ | 4,598,341 | $ | (215,222 | ) | $ | 1,078,678 | $ | 1,020,349 | |||||||
See Accompanying Notes to Financial Statements
21
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Large Cap Growth Portfolio | ING Limited Maturity Bond Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 1,060,109 | $ | 1,549,534 | $ | 4,642,703 | $ | 13,158,321 | ||||||||
Net realized gain (loss) | 46,858,321 | (4,406,560 | ) | 2,042,846 | (9,229,852 | ) | ||||||||||
Net change in unrealized appreciation or depreciation | (86,250,058 | ) | 99,240,244 | (295,345 | ) | 23,437,954 | ||||||||||
Increase (decrease) in net assets resulting from operations | (38,331,628 | ) | 96,383,218 | 6,390,204 | 27,366,423 | |||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | — | — | (45 | ) | |||||||||||
Class I | — | (1,196,338 | ) | — | (12,895,715 | ) | ||||||||||
Class S | — | (223,847 | ) | — | (9,447,837 | ) | ||||||||||
Class S2 | — | (64 | ) | — | (49 | ) | ||||||||||
Net realized gains: | ||||||||||||||||
Class ADV | — | — | — | (9 | ) | |||||||||||
Class I | — | — | — | (2,104,759 | ) | |||||||||||
Class S | — | — | — | (1,637,288 | ) | |||||||||||
Class S2 | — | — | — | (9 | ) | |||||||||||
Total distributions | — | (1,420,249 | ) | — | (26,085,711 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 59,700,291 | 199,747,835 | 85,060,763 | 174,268,522 | ||||||||||||
Reinvestment of distributions | — | 1,420,249 | — | 26,085,599 | ||||||||||||
59,700,291 | 201,168,084 | 85,060,763 | 200,354,121 | |||||||||||||
Cost of shares redeemed | (36,366,914 | ) | (46,778,667 | ) | (46,637,206 | ) | (311,050,828 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 23,333,377 | 154,389,417 | 38,423,557 | (110,696,707 | ) | |||||||||||
Net increase (decrease) in net assets | (14,998,251 | ) | 249,352,386 | 44,813,761 | (109,415,995 | ) | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 379,322,419 | 129,970,033 | 309,999,197 | 419,415,192 | ||||||||||||
End of period | $ | 364,324,168 | $ | 379,322,419 | $ | 354,812,958 | $ | 309,999,197 | ||||||||
Undistributed net investment income at end of period | $ | 2,605,710 | $ | 1,545,601 | $ | 18,002,914 | $ | 13,360,211 | ||||||||
See Accompanying Notes to Financial Statements
22
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Lord Abbett Growth and Income Portfolio | ING PIMCO High Yield Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 429,551 | $ | 1,304,178 | $ | 23,221,943 | $ | 54,741,023 | ||||||||
Net realized gain (loss) | 3,726,282 | (34,559,624 | ) | 17,980,239 | (97,176,511 | ) | ||||||||||
Net change in unrealized appreciation or depreciation | (11,325,517 | ) | 56,319,633 | (14,598,944 | ) | 258,033,300 | ||||||||||
Increase (decrease) in net assets resulting from operations | (7,169,684 | ) | 23,064,187 | 26,603,238 | 215,597,812 | |||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (4 | ) | (159,486 | ) | (43,496 | ) | |||||||||
Class I | — | (786,480 | ) | (5,160,256 | ) | (15,408,026 | ) | |||||||||
Class S | — | (412,179 | ) | (20,435,627 | ) | (34,201,804 | ) | |||||||||
Class S2 | — | (11,170 | ) | (38 | ) | (68 | ) | |||||||||
Total distributions | — | (1,209,833 | ) | (25,755,407 | ) | (49,653,394 | ) | |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 2,871,820 | 3,586,688 | 132,230,810 | 56,357,219 | ||||||||||||
Reinvestment of distributions | — | 1,209,829 | 25,755,369 | 49,151,561 | ||||||||||||
2,871,820 | 4,796,517 | 157,986,179 | 105,508,780 | |||||||||||||
Cost of shares redeemed | (9,775,183 | ) | (21,355,596 | ) | (58,586,370 | ) | (506,112,368 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (6,903,363 | ) | (16,559,079 | ) | 99,399,809 | (400,603,588 | ) | |||||||||
Net increase (decrease) in net assets | (14,073,047 | ) | 5,295,275 | 100,247,640 | (234,659,170 | ) | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 146,437,580 | 141,142,305 | 529,684,414 | 764,343,584 | ||||||||||||
End of period | $ | 132,364,533 | $ | 146,437,580 | $ | 629,932,054 | $ | 529,684,414 | ||||||||
Undistributed net investment income at end of period | $ | 679,131 | $ | 249,580 | $ | 1,167,666 | $ | 3,701,130 | ||||||||
See Accompanying Notes to Financial Statements
23
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Pioneer Equity Income Portfolio | ING Pioneer Fund Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 1,545,085 | $ | 3,470,085 | $ | 519,723 | $ | 1,195,013 | ||||||||
Net realized gain (loss) | (643,708 | ) | (26,958,129 | ) | 1,035,995 | (7,403,072 | ) | |||||||||
Net change in unrealized appreciation or depreciation | (2,902,794 | ) | 39,001,625 | (7,901,043 | ) | 22,898,367 | ||||||||||
Increase (decrease) in net assets resulting from operations | (2,001,417 | ) | 15,513,581 | (6,345,325 | ) | 16,690,308 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | — | — | (6 | ) | |||||||||||
Class I | — | — | — | (375,025 | ) | |||||||||||
Class S | — | — | — | (594,694 | ) | |||||||||||
Class S2 | — | — | — | (9 | ) | |||||||||||
Total distributions | — | — | — | (969,734 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 1,368,141 | 9,680,529 | 4,610,601 | 9,147,235 | ||||||||||||
Reinvestment of distributions | — | — | — | 969,719 | ||||||||||||
1,368,141 | 9,680,529 | 4,610,601 | 10,116,954 | |||||||||||||
Cost of shares redeemed | (9,654,913 | ) | (12,277,263 | ) | (8,566,059 | ) | (14,265,948 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions |
| (8,286,772 | ) |
| (2,596,734 | ) |
| (3,955,458 | ) |
| (4,148,994 | ) | ||||
Net increase (decrease) in net assets | (10,288,189 | ) | 12,916,847 | (10,300,783 | ) | 11,571,580 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 129,372,988 | 116,456,141 | 84,025,417 | 72,453,837 | ||||||||||||
End of period | $ | 119,084,799 | $ | 129,372,988 | $ | 73,724,634 | $ | 84,025,417 | ||||||||
Undistributed net investment income at end of period | $ | 4,934,772 | $ | 3,389,687 | $ | 741,144 | $ | 221,421 | ||||||||
See Accompanying Notes to Financial Statements
24
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Templeton Global Growth Portfolio | ING U.S. Stock Index Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 6,375,390 | $ | 9,144,941 | $ | 30,294,921 | $ | 24,123,008 | ||||||||
Net realized gain (loss) | (1,738,683 | ) | (44,355,166 | ) | 40,788,486 | (944,203 | ) | |||||||||
Net change in unrealized appreciation or depreciation | (75,191,261 | ) | 184,953,942 | (308,339,988 | ) | 343,024,831 | ||||||||||
Increase (decrease) in net assets resulting from operations | (70,554,554 | ) | 149,743,717 | (237,256,581 | ) | 366,203,636 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (10 | ) | — | (677 | ) | ||||||||||
Class I | — | (6,662,051 | ) | — | (19,039,079 | ) | ||||||||||
Class S | — | (5,758,627 | ) | — | (113,476 | ) | ||||||||||
Class S2 | — | (81,628 | ) | — | (79,644 | ) | ||||||||||
Total distributions | — | (12,502,316 | ) | — | (19,232,876 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 25,715,948 | 44,496,188 | 744,992,783 | 3,044,296,310 | ||||||||||||
Reinvestment of distributions | — | 12,502,306 | — | 19,232,857 | ||||||||||||
25,715,948 | 56,998,494 | 744,992,783 | 3,063,529,167 | |||||||||||||
Cost of shares redeemed | (44,935,058 | ) | (65,558,659 | ) | (801,457,916 | ) | (243,715,013 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (19,219,110 | ) | (8,560,165 | ) | (56,465,133 | ) | 2,819,814,154 | |||||||||
Net increase (decrease) in net assets | (89,773,664 | ) | 128,681,236 | (293,721,714 | ) | 3,166,784,914 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 605,867,599 | 477,186,363 | 3,527,539,784 | 360,754,870 | ||||||||||||
End of period | $ | 516,093,935 | $ | 605,867,599 | $ | 3,233,818,070 | $ | 3,527,539,784 | ||||||||
Undistributed net investment income at end of period | $ | 15,933,749 | $ | 9,558,359 | $ | 35,559,419 | $ | 5,264,498 | ||||||||
See Accompanying Notes to Financial Statements
25
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Wells Fargo Small Cap Disciplined Portfolio | ||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | (42,679 | ) | $ | 374,553 | |||
Net realized gain (loss) | 3,732,070 | (33,655,004 | ) | |||||
Net change in unrealized appreciation or depreciation | (6,993,288 | ) | 52,622,159 | |||||
Increase (decrease) in net assets resulting from operations | (3,303,897 | ) | 19,341,708 | |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income: | ||||||||
Class ADV | — | (744 | ) | |||||
Class I | — | (831,630 | ) | |||||
Class S | — | (180,153 | ) | |||||
Class S2 | — | (2,009 | ) | |||||
Total distributions | — | (1,014,536 | ) | |||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Net proceeds from sale of shares | 21,810,384 | 23,426,604 | ||||||
Reinvestment of distributions | — | 1,014,536 | ||||||
21,810,384 | 24,441,140 | |||||||
Cost of shares redeemed | (14,487,017 | ) | (106,927,612 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 7,323,367 | (82,486,472 | ) | |||||
Net increase (decrease) in net assets | 4,019,470 | (64,159,300 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 41,639,569 | 105,798,869 | ||||||
End of period | $ | 45,659,039 | $ | 41,639,569 | ||||
Undistributed net investment income at end of period | $ | 322,224 | $ | 364,903 | ||||
See Accompanying Notes to Financial Statements
26
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 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 8.45 | (0.01 | ) | (0.58 | ) | (0.59 | ) | — | — | — | — | 7.86 | (6.98 | ) | 1.55 | 1.40 | † | 1.40 | † | (0.13 | )† | 3,818 | 120 | ||||||||||||||||
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 | |||||||||||||||||||||
12-31-05 | 10.45 | (0.02 | ) | 1.05 | 1.03 | — | — | — | — | 11.48 | 9.86 | 1.56 | 1.36 | 1.36 | (0.64 | ) | 1,714 | 155 | |||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 8.67 | 0.02 | (0.61 | ) | (0.59 | ) | — | — | — | — | 8.08 | (6.81 | ) | 0.80 | 0.80 | † | 0.80 | † | 0.47 | † | 149,437 | 120 | |||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 8.63 | 0.01 | (0.61 | ) | (0.60 | ) | — | — | — | — | 8.03 | (6.95 | ) | 1.05 | 1.04 | † | 1.04 | † | 0.23 | † | 127,868 | 120 | |||||||||||||||||
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 | |||||||||||||||||||||
12-31-05 | 10.48 | (0.01 | ) | 1.09 | 1.08 | — | — | — | — | 11.56 | 10.31 | 1.06 | 1.01 | 1.01 | (0.27 | ) | 155,252 | 155 | |||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 8.53 | 0.00 | * | (0.60 | ) | (0.60 | ) | — | — | — | — | 7.93 | (7.03 | ) | 1.30 | 1.20 | † | 1.20 | † | 0.06 | † | 3,764 | 120 | ||||||||||||||||
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 BlackRock Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.52 | 0.03 | • | (0.93 | ) | (0.90 | ) | — | — | — | — | 8.62 | (9.45 | ) | 1.56 | 1.34 | † | 1.34 | † | 0.63 | † | 513 | 76 | ||||||||||||||||
12-31-09 | 8.46 | 0.08 | 0.98 | 1.06 | — | — | — | — | 9.52 | 12.53 | 1.56 | 1.34 | † | 1.34 | † | 0.88 | † | 1 | 207 | ||||||||||||||||||||
12-31-08 | 13.85 | 0.06 | (4.86 | ) | (4.80 | ) | — | 0.59 | — | 0.59 | 8.46 | (35.61 | ) | 1.55 | 1.34 | † | 1.34 | † | 0.53 | † | 1 | 129 | |||||||||||||||||
12-31-07 | 13.75 | 0.03 | • | 0.53 | 0.56 | 0.02 | 0.44 | — | 0.46 | 13.85 | 3.87 | 1.55 | 1.34 | 1.34 | 0.23 | 1 | 110 | ||||||||||||||||||||||
04-28-06(4) - 12-31-06 | 13.48 | 0.04 | • | 0.66 | 0.70 | 0.10 | 0.33 | — | 0.43 | 13.75 | 5.45 | 1.55 | 1.35 | 1.35 | 0.47 | 1 | 103 |
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 BlackRock Large Cap Value Portfolio (Continued) | |||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.65 | 0.06 | • | (0.96 | ) | (0.90 | ) | — | — | — | — | 8.75 | (9.33 | ) | 0.81 | 0.74 | † | 0.74 | † | 1.20 | † | 136,664 | 76 | ||||||||||||||||||
12-31-09 | 8.60 | 0.12 | • | 1.00 | 1.12 | 0.07 | — | — | 0.07 | 9.65 | 13.19 | 0.81 | 0.74 | † | 0.74 | † | 1.37 | † | 203,859 | 207 | |||||||||||||||||||||
12-31-08 | 14.08 | 0.13 | • | (4.94 | ) | (4.81 | ) | 0.08 | 0.59 | — | 0.67 | 8.60 | (35.19 | ) | 0.80 | 0.74 | † | 0.74 | † | 1.12 | † | 112,925 | 129 | ||||||||||||||||||
12-31-07 | 13.94 | 0.11 | • | 0.55 | 0.66 | 0.08 | 0.44 | — | 0.52 | 14.08 | 4.55 | 0.80 | 0.74 | 0.74 | 0.77 | 114,103 | 110 | ||||||||||||||||||||||||
12-31-06 | 12.35 | 0.12 | • | 1.90 | 2.02 | 0.10 | 0.33 | — | 0.43 | 13.94 | 16.65 | 0.80 | 0.75 | 0.75 | 0.90 | 43,567 | 103 | ||||||||||||||||||||||||
12-31-05 | 11.70 | 0.10 | 0.55 | 0.65 | — | 0.00 | * | — | 0.00 | * | 12.35 | 5.56 | 0.82 | 0.78 | 0.78 | 0.83 | 44,567 | 170 | |||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.64 | 0.05 | (0.96 | ) | (0.91 | ) | — | — | — | — | 8.73 | (9.44 | ) | 1.06 | 0.99 | † | 0.99 | † | 0.98 | † | 24,912 | 76 | |||||||||||||||||||
12-31-09 | 8.58 | 0.10 | • | 1.00 | 1.10 | 0.04 | — | — | 0.04 | 9.64 | 12.85 | 1.06 | 0.99 | † | 0.99 | † | 1.20 | † | 28,628 | 207 | |||||||||||||||||||||
12-31-08 | 14.02 | 0.12 | (4.93 | ) | (4.81 | ) | 0.04 | 0.59 | — | 0.63 | 8.58 | (35.32 | ) | 1.05 | 0.99 | † | 0.99 | † | 0.82 | † | 30,122 | 129 | |||||||||||||||||||
12-31-07 | 13.89 | 0.08 | • | 0.54 | 0.62 | 0.05 | 0.44 | — | 0.49 | 14.02 | 4.30 | 1.05 | 0.99 | 0.99 | 0.55 | 60,977 | 110 | ||||||||||||||||||||||||
12-31-06 | 12.31 | 0.09 | • | 1.89 | 1.98 | 0.07 | 0.33 | — | 0.40 | 13.89 | 16.36 | 1.05 | 1.00 | 1.00 | 0.69 | 71,171 | 103 | ||||||||||||||||||||||||
12-31-05 | 11.69 | 0.09 | 0.53 | 0.62 | — | 0.00 | * | — | 0.00 | * | 12.31 | 5.31 | 1.07 | 1.03 | 1.03 | 0.57 | 42,308 | 170 | |||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.59 | 0.05 | (0.96 | ) | (0.91 | ) | — | — | — | — | 8.68 | (9.49 | ) | 1.31 | 1.14 | † | 1.14 | † | 0.83 | † | 1,800 | 76 | |||||||||||||||||||
12-31-09 | 8.53 | 0.09 | • | 0.99 | 1.08 | 0.02 | — | — | 0.02 | 9.59 | 12.69 | 1.31 | 1.14 | † | 1.14 | † | 1.04 | † | 2,189 | 207 | |||||||||||||||||||||
12-31-08 | 13.94 | 0.10 | (4.90 | ) | (4.80 | ) | 0.02 | 0.59 | — | 0.61 | 8.53 | (35.42 | ) | 1.30 | 1.14 | † | 1.14 | † | 0.67 | † | 2,213 | 129 | |||||||||||||||||||
12-31-07 | 13.82 | 0.06 | • | 0.53 | 0.59 | 0.03 | 0.44 | — | 0.47 | 13.94 | 4.11 | 1.30 | 1.14 | 1.14 | 0.40 | 4,304 | 110 | ||||||||||||||||||||||||
12-31-06 | 12.26 | 0.07 | • | 1.89 | 1.96 | 0.07 | 0.33 | — | 0.40 | 13.82 | 16.20 | 1.30 | 1.15 | 1.15 | 0.53 | 4,560 | 103 | ||||||||||||||||||||||||
12-31-05 | 11.67 | 0.05 | 0.54 | 0.59 | — | 0.00 | * | — | 0.00 | * | 12.26 | 5.06 | 1.32 | 1.18 | 1.18 | 0.45 | 3,134 | 170 | |||||||||||||||||||||||
ING Clarion Real Estate Portfolio | |||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||
06-30-10 | 17.34 | 0.15 | • | 0.73 | 0.88 | — | — | — | — | 18.22 | 5.07 | 1.40 | 1.21 | † | 1.21 | † | 1.64 | † | 2,896 | 23 | |||||||||||||||||||||
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 | ||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||
06-30-10 | 17.78 | 0.21 | • | 0.74 | 0.95 | — | — | — | — | 18.73 | 5.34 | 0.65 | 0.61 | † | 0.61 | † | 2.18 | 45,811 | 23 | ||||||||||||||||||||||
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 | ||||||||||||||||||||||||
12-31-05 | 27.68 | 0.58 | (b) | 4.06 | †(b) | 4.64 | 0.35 | 0.86 | — | 1.21 | 31.11 | 17.11 | 0.65 | 0.65 | 0.65 | 1.86 | † | 9,654 | 24 |
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 Clarion Real Estate Portfolio (Continued) | |||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 17.75 | 0.18 | • | 0.75 | 0.93 | — | — | — | — | 18.68 | 5.24 | 0.90 | 0.86 | † | 0.86 | † | 1.92 | 1 | 395,403 | 23 | |||||||||||||||||||
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 | ||||||||||||||||||||||
12-31-05 | 27.61 | 0.47 | (b)• | 4.07 | (b) | 4.54 | 0.31 | 0.86 | — | 1.17 | 30.98 | 16.78 | 0.90 | 0.90 | 0.90 | 1.58 | † | 983,628 | 24 | ||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 17.68 | 0.16 | • | 0.74 | 0.90 | — | — | — | — | 18.58 | 5.09 | 1.15 | 1.01 | † | 1.01 | † | 1.77 | 1 | 18,175 | 23 | |||||||||||||||||||
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 | ||||||||||||||||||||||
12-31-05 | 27.58 | 0.42 | (b)• | 4.07 | (b) | 4.49 | 0.30 | 0.86 | — | 1.16 | 30.91 | 16.59 | 1.15 | 1.05 | 1.05 | 1.43 | † | 28,996 | 24 | ||||||||||||||||||||
ING Franklin Income Portfolio | |||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.33 | 0.25 | • | (0.28 | ) | (0.03 | ) | — | — | — | — | 9.30 | (0.32 | ) | 1.54 | 1.35 | 1.35 | 5.25 | 1,645 | 24 | |||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.42 | 0.26 | • | (0.25 | ) | 0.01 | — | — | — | — | 9.43 | 0.11 | 0.79 | 0.75 | 0.75 | 5.40 | 283,238 | 24 | |||||||||||||||||||||
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 | ||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.38 | 0.24 | • | (0.25 | ) | (0.01 | ) | — | — | — | — | 9.37 | (0.11 | ) | 1.04 | 1.00 | 1.00 | 5.16 | 444,244 | 24 | |||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.36 | 0.24 | • | (0.25 | ) | (0.01 | ) | — | — | — | — | 9.35 | (0.11 | ) | 1.29 | 1.15 | 1.15 | 5.01 | 7,226 | 24 | |||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements
29
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 Mutual Shares Portfolio | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.20 | 0.07 | • | (0.43 | ) | (0.36 | ) | — | — | — | — | 6.84 | (5.00 | ) | 1.53 | 1.38 | 1.38 | 1.96 | 1,013 | 16 | ||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.25 | 0.08 | (0.41 | ) | (0.33 | ) | — | — | — | — | 6.92 | (4.55 | ) | 0.78 | 0.78 | 0.78 | 2.10 | 258,272 | 16 | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.24 | 0.07 | (0.41 | ) | (0.34 | ) | — | — | — | — | 6.90 | (4.70 | ) | 1.03 | 1.03 | 1.03 | 1.86 | 184,992 | 16 | |||||||||||||||||||||||
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 | ||||||||||||||||||||
ING JPMorgan Small Cap Core Equity Portfolio | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10.24 | (0.03 | ) | (0.04 | ) | (0.07 | ) | — | — | — | — | 10.17 | (0.68 | ) | 1.63 | 1.48 | † | 1.48 | † | (0.32 | )† | 4,289 | 25 | |||||||||||||||||||
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 | ||||||||||||||||||||||||
12-31-05 | 13.34 | (0.03 | )• | 0.44 | 0.41 | — | 1.31 | — | 1.31 | 12.44 | 3.37 | 1.64 | 1.49 | 1.48 | (0.21 | ) | 746 | 57 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10.46 | 0.01 | (0.05 | ) | (0.04 | ) | — | — | — | — | 10.42 | (0.38 | ) | 0.88 | 0.88 | † | 0.88 | † | 0.24 | † | 73,270 | 25 | ||||||||||||||||||||
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 | ||||||||||||||||||||||||||
12-31-05 | 13.39 | 0.05 | • | 0.44 | 0.49 | — | 1.31 | — | 1.31 | 12.57 | 4.00 | 0.89 | 0.89 | 0.88 | 0.39 | 94,448 | 57 | |||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10.40 | (0.01 | ) | (0.05 | ) | (0.06 | ) | — | — | — | — | 10.34 | (0.58 | ) | 1.13 | 1.13 | † | 1.13 | † | (0.00 | )† | 200,389 | 25 | |||||||||||||||||||
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 | ||||||||||||||||||||||||||
12-31-05 | 13.37 | 0.02 | • | 0.43 | 0.45 | — | 1.31 | — | 1.31 | 12.51 | 3.69 | 1.14 | 1.14 | 1.13 | 0.14 | 180,454 | 57 |
See Accompanying Notes to Financial Statements
30
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 (Continued) | |||||||||||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10.31 | (0.01 | ) | (0.05 | ) | (0.06 | ) | — | — | — | — | 10.25 | (0.58 | ) | 1.38 | 1.28 | † | 1.28 | † | (0.16 | )† | 32,064 | 25 | ||||||||||||||||||
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 | |||||||||||||||||||||||||
12-31-05 | 13.32 | (0.00 | )* | 0.43 | 0.43 | — | 1.31 | — | 1.31 | 12.44 | 3.55 | 1.39 | 1.29 | 1.28 | (0.01 | ) | 45,413 | 57 | |||||||||||||||||||||||
ING Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||
06-30-10 | 11.34 | 0.01 | • | (1.12 | ) | (1.11 | ) | — | — | — | — | 10.23 | (9.79 | ) | 1.35 | 1.20 | † | 1.20 | † | 0.17 | † | 2,069 | 93 | ||||||||||||||||||
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 | ||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||
06-30-10 | 11.63 | 0.04 | (1.15 | ) | (1.11 | ) | — | — | — | — | 10.52 | (9.54 | ) | 0.60 | 0.60 | † | 0.60 | † | 0.62 | † | 254,197 | 93 | |||||||||||||||||||
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 | |||||||||||||||||||||||||
05-02-05(4) - 12-31-05 | 9.67 | 0.01 | • | 1.31 | 1.32 | 0.00 | * | — | — | 0.00 | * | 10.99 | 13.68 | 0.60 | 0.60 | 0.60 | 0.14 | 207,699 | 140 | ||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||
06-30-10 | 11.54 | 0.01 | (1.13 | ) | (1.12 | ) | — | — | — | — | 10.42 | (9.71 | ) | 0.85 | 0.85 | † | 0.85 | † | 0.38 | † | 107,285 | 93 | |||||||||||||||||||
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 | |||||||||||||||||||||||||
12-31-05 | 10.54 | (0.02 | ) | 0.44 | 0.42 | — | — | — | — | 10.96 | 3.98 | 0.85 | 0.85 | 0.85 | (0.23 | ) | 8,096 | 140 | |||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||
06-30-10 | 11.51 | 0.01 | (1.13 | ) | (1.12 | ) | — | — | — | — | 10.39 | (9.73 | ) | 1.10 | 1.00 | † | 1.00 | † | 0.22 | † | 773 | 93 | |||||||||||||||||||
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 | |||||||||||||||||||||||
12-31-05 | 10.53 | (0.03 | ) | 0.43 | 0.40 | — | — | — | — | 10.93 | 3.80 | 1.10 | 1.00 | 1.00 | (0.37 | ) | 961 | 140 |
See Accompanying Notes to Financial Statements
31
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 Limited Maturity Bond Portfolio | |||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 10.27 | 0.11 | • | 0.08 | 0.19 | — | — | — | — | 10.46 | 1.85 | 1.02 | 0.87 | † | 0.87 | † | 2.19 | † | 829 | 198 | |||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 10.38 | 0.15 | • | 0.07 | 0.22 | — | — | — | — | 10.60 | 2.12 | 0.27 | 0.27 | † | 0.27 | † | 2.97 | † | 165,854 | 198 | |||||||||||||||||||
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 | ||||||||||||||||||
04-29-05(4) - 12-31-05 | 11.14 | 0.28 | • | (0.12 | ) | 0.16 | 0.57 | 0.03 | — | 0.60 | 10.70 | 1.44 | 0.29 | 0.29 | 0.29 | 3.96 | 3,265 | 219 | |||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 10.42 | 0.14 | • | 0.06 | 0.20 | — | — | — | — | 10.62 | 1.92 | 0.52 | 0.52 | † | 0.52 | † | 2.74 | † | 188,129 | 198 | |||||||||||||||||||
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 | ||||||||||||||||||
12-31-05 | 11.10 | 0.37 | • | (0.19 | ) | 0.18 | 0.53 | 0.03 | — | 0.56 | 10.72 | 1.63 | 0.54 | 0.54 | 0.54 | 3.44 | 300,275 | 219 | |||||||||||||||||||||
ING Lord Abbett Growth and Income Portfolio | |||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.66 | 0.01 | • | (0.42 | ) | (0.41 | ) | — | — | — | — | 7.25 | (5.35 | ) | 1.50 | 1.35 | 1.35 | 0.24 | 410 | 21 | |||||||||||||||||||
12-31-09 | 6.49 | 0.04 | • | 1.18 | 1.22 | 0.05 | — | — | 0.05 | 7.66 | 18.78 | 1.51 | 1.36 | † | 1.35 | † | 0.63 | † | 1 | 70 | |||||||||||||||||||
12-31-08 | 12.48 | 0.11 | (4.42 | ) | (4.31 | ) | 0.16 | 1.52 | — | 1.68 | 6.49 | (36.86 | ) | 1.50 | 1.35 | † | 1.35 | † | 1.16 | † | 1 | 108 | |||||||||||||||||
12-31-07 | 12.51 | 0.09 | 0.38 | 0.47 | 0.19 | 0.31 | — | 0.50 | 12.48 | 3.67 | 1.50 | 1.35 | 1.34 | 0.72 | 1 | 131 | |||||||||||||||||||||||
04-28-06(4) - 12-31-06 | 12.92 | 0.08 | • | 0.82 | 0.90 | 0.16 | 1.15 | — | 1.31 | 12.51 | 7.95 | 1.50 | 1.35 | 1.34 | 1.00 | 1 | 48 | ||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.70 | 0.03 | (0.43 | ) | (0.40 | ) | — | — | — | — | 7.30 | (5.19 | ) | 0.75 | 0.75 | 0.75 | 0.69 | 78,149 | 21 | ||||||||||||||||||||
12-31-09 | 6.53 | 0.08 | 1.16 | 1.24 | 0.07 | — | — | 0.07 | 7.70 | 19.03 | 0.76 | 0.76 | † | 0.75 | † | 1.08 | † | 84,790 | 70 | ||||||||||||||||||||
12-31-08 | 12.68 | 0.17 | (4.48 | ) | (4.31 | ) | 0.32 | 1.52 | — | 1.84 | 6.53 | (36.39 | ) | 0.75 | 0.75 | † | 0.75 | † | 1.70 | † | 78,882 | 108 | |||||||||||||||||
12-31-07 | 12.68 | 0.16 | • | 0.40 | 0.56 | 0.25 | 0.31 | — | 0.56 | 12.68 | 4.35 | 0.75 | 0.75 | 0.74 | 1.25 | 142,519 | 131 | ||||||||||||||||||||||
12-31-06 | 11.98 | 0.19 | • | 1.82 | 2.01 | 0.16 | 1.15 | — | 1.31 | 12.68 | 17.92 | 0.75 | 0.75 | 0.74 | 1.56 | 91,058 | 48 | ||||||||||||||||||||||
12-31-05 | 11.50 | 0.16 | • | 0.49 | 0.65 | 0.17 | — | — | 0.17 | 11.98 | 5.73 | 0.75 | 0.75 | 0.75 | 1.36 | 1,270 | 141 |
See Accompanying Notes to Financial Statements
32
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 Lord Abbett Growth and Income Portfolio (Continued) | ||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.75 | 0.02 | (0.44 | ) | (0.42 | ) | — | — | — | — | 7.33 | (5.42 | ) | 1.00 | 1.00 | 1.00 | 0.43 | 52,010 | 21 | |||||||||||||||||||||
12-31-09 | 6.57 | 0.06 | 1.17 | 1.23 | 0.05 | — | — | 0.05 | 7.75 | 18.79 | 1.01 | 1.01 | † | 1.00 | † | 0.85 | † | 59,656 | 70 | |||||||||||||||||||||
12-31-08 | 12.68 | 0.17 | (4.51 | ) | (4.34 | ) | 0.25 | 1.52 | — | 1.77 | 6.57 | (36.58 | ) | 1.00 | 1.00 | † | 1.00 | † | 1.46 | † | 60,368 | 108 | ||||||||||||||||||
12-31-07 | 12.67 | 0.14 | • | 0.40 | 0.54 | 0.22 | 0.31 | — | 0.53 | 12.68 | 4.15 | 1.00 | 1.00 | 0.99 | 1.07 | 127,090 | 131 | |||||||||||||||||||||||
12-31-06 | 11.96 | 0.15 | • | 1.82 | 1.97 | 0.11 | 1.15 | — | 1.26 | 12.67 | 17.60 | 1.00 | 1.00 | 0.99 | 1.25 | 161,230 | 48 | |||||||||||||||||||||||
12-31-05 | 11.48 | 0.13 | • | 0.49 | 0.62 | 0.14 | — | — | 0.14 | 11.96 | 5.48 | 1.00 | 1.00 | 1.00 | 1.10 | 176,644 | 141 | |||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.71 | 0.01 | (0.43 | ) | (0.42 | ) | — | — | — | — | 7.29 | (5.45 | ) | 1.25 | 1.15 | 1.15 | 0.29 | 1,796 | 21 | |||||||||||||||||||||
12-31-09 | 6.54 | 0.05 | 1.16 | 1.21 | 0.04 | — | — | 0.04 | 7.71 | 18.57 | 1.26 | 1.16 | † | 1.15 | † | 0.69 | † | 1,992 | 70 | |||||||||||||||||||||
12-31-08 | 12.61 | 0.13 | (4.45 | ) | (4.32 | ) | 0.23 | 1.52 | — | 1.75 | 6.54 | (36.67 | ) | 1.25 | 1.15 | † | 1.15 | † | 1.31 | † | 1,891 | 108 | ||||||||||||||||||
12-31-07 | 12.61 | 0.12 | • | 0.40 | 0.52 | 0.21 | 0.31 | — | 0.52 | 12.61 | 4.03 | 1.25 | 1.15 | 1.14 | 0.91 | 3,429 | 131 | |||||||||||||||||||||||
12-31-06 | 11.94 | 0.14 | • | 1.79 | 1.93 | 0.11 | 1.15 | — | 1.26 | 12.61 | 17.31 | 1.25 | 1.15 | 1.14 | 1.12 | 3,688 | 48 | |||||||||||||||||||||||
12-31-05 | 11.47 | 0.11 | • | 0.50 | 0.61 | 0.14 | — | — | 0.14 | 11.94 | 5.41 | 1.25 | 1.15 | 1.15 | 0.94 | 2,803 | 141 | |||||||||||||||||||||||
ING PIMCO High Yield Portfolio | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.64 | 0.35 | • | 0.08 | 0.43 | 0.39 | — | — | 0.39 | 9.68 | 4.45 | 1.24 | 1.09 | 1.09 | 7.32 | 8,825 | 20 | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.65 | 0.38 | • | 0.08 | 0.46 | 0.43 | — | — | 0.43 | 9.68 | 4.76 | 0.49 | 0.49 | 0.49 | 7.94 | 115,225 | 20 | |||||||||||||||||||||||
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 | |||||||||||||||||||||||
04-29-05(4) - 12-31-05 | 10.07 | 0.48 | • | 0.16 | 0.64 | 0.49 | 0.02 | — | 0.51 | 10.20 | 6.48 | 0.50 | 0.50 | 0.50 | 7.10 | 841 | 102 | |||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.65 | 0.37 | 0.07 | 0.44 | 0.41 | — | — | 0.41 | 9.68 | 4.62 | 0.74 | 0.74 | 0.74 | 7.67 | 505,881 | 20 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
12-31-05 | 10.50 | 0.67 | • | (0.24 | ) | 0.43 | 0.70 | 0.02 | — | 0.72 | 10.21 | 4.33 | 0.75 | 0.75 | 0.75 | 6.53 | 721,985 | 102 | ||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.66 | 0.36 | 0.06 | 0.42 | 0.39 | — | — | 0.39 | 9.69 | 4.33 | 0.99 | 0.89 | 0.89 | 7.40 | 1 | 20 | ||||||||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements
33
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 Equity Income Portfolio | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 6.92 | 0.06 | (0.20 | ) | (0.14 | ) | — | — | — | — | 6.78 | (2.02 | ) | 1.56 | 1.29 | † | 1.29 | † | 1.82 | † | 1 | 7 | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 6.94 | 0.09 | • | (0.22 | ) | (0.13 | ) | — | — | — | — | 6.81 | (1.87 | ) | 0.81 | 0.69 | † | 0.69 | † | 2.42 | † | 119,081 | 7 | |||||||||||||||||
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 | ||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 6.90 | 0.08 | • | (0.21 | ) | (0.13 | ) | — | — | — | — | 6.77 | (1.88 | ) | 1.06 | 0.94 | † | 0.94 | † | 2.17 | † | 3 | 7 | |||||||||||||||||
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 Pioneer Fund Portfolio | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.74 | 0.04 | • | (0.83 | ) | (0.79 | ) | — | — | — | — | 8.95 | (8.11 | ) | 1.48 | 1.33 | † | 1.33 | † | 0.90 | † | 110 | 7 | |||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.73 | 0.07 | (0.83 | ) | (0.76 | ) | — | — | — | — | 8.97 | (7.81 | ) | 0.73 | 0.73 | † | 0.73 | † | 1.42 | † | 25,129 | 7 | ||||||||||||||||||
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 | ||||||||||||||||||||||||
04-29-05(4) - 12-31-05 | 10.06 | 0.11 | • | 0.92 | 1.03 | 0.05 | 0.00 | * | — | 0.05 | 11.04 | 10.25 | (a) | 0.75 | 0.71 | 0.71 | 1.49 | 28,289 | 39 | |||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.74 | 0.06 | (0.83 | ) | (0.77 | ) | — | — | — | — | 8.97 | (7.91 | ) | 0.98 | 0.98 | † | 0.98 | † | 1.17 | † | 48,486 | 7 | ||||||||||||||||||
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 | ||||||||||||||||||||||||
05-03-05(4) - 12-31-05 | 10.17 | 0.09 | • | 0.82 | 0.91 | 0.04 | 0.00 | * | — | 0.04 | 11.04 | 8.99 | (a) | 1.00 | 0.96 | 0.96 | 1.27 | 82,505 | 39 |
See Accompanying Notes to Financial Statements
34
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 Templeton Global Growth Portfolio | |||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 10.52 | 0.08 | (1.37 | ) | (1.29 | ) | — | — | — | — | 9.23 | (12.26 | ) | 1.64 | 1.49 | 1.49 | 1.62 | 1 | 3 | ||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 10.61 | 0.12 | (1.39 | ) | (1.27 | ) | — | — | — | — | 9.34 | (11.97 | ) | 0.89 | 0.89 | 0.89 | 2.36 | 258,057 | 3 | ||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 10.64 | 0.12 | (1.40 | ) | (1.28 | ) | — | — | — | — | 9.36 | (12.03 | ) | 1.14 | 1.14 | 1.14 | 2.09 | 254,038 | 3 | ||||||||||||||||||||
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 | |||||||||||||||||||||||
12-31-05 | 12.48 | 0.09 | 1.13 | 1.22 | 0.09 | — | — | 0.09 | 13.61 | 9.88 | 1.22 | 1.22 | 1.22 | 0.67 | 380,403 | 109 | |||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 10.58 | 0.11 | (1.39 | ) | (1.28 | ) | — | — | — | — | 9.30 | (12.10 | ) | 1.39 | 1.29 | 1.29 | 1.96 | 3,998 | 3 | ||||||||||||||||||||
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 | |||||||||||||||||||||||
12-31-05 | 12.43 | 0.06 | 1.14 | 1.20 | 0.09 | — | — | 0.09 | 13.54 | 9.78 | 1.47 | 1.37 | 1.37 | 0.49 | 6,469 | 109 | |||||||||||||||||||||||
ING U.S. Stock Index Portfolio | |||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.56 | 0.06 | • | (0.73 | ) | (0.67 | ) | — | — | — | — | 8.89 | (7.01 | ) | 1.01 | 0.79 | † | 0.79 | † | 1.16 | † | 811 | 15 | ||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.66 | 0.08 | (0.74 | ) | (0.66 | ) | — | — | — | — | 9.00 | (6.83 | ) | 0.26 | 0.26 | † | 0.26 | † | 1.70 | † | 3,185,985 | 15 | |||||||||||||||||
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 | |||||||||||||||||||
12-31-05 | 10.90 | 0.19 | 0.31 | 0.50 | — | — | — | — | 11.40 | 4.59 | 0.28 | 0.28 | 0.28 | 1.68 | 388,184 | 6 |
See Accompanying Notes to Financial Statements
35
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 (Continued) | |||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.62 | 0.07 | (0.74 | ) | (0.67 | ) | — | — | — | — | 8.95 | (6.96 | ) | 0.51 | 0.51 | † | 0.51 | † | 1.45 | † | 24,521 | 15 | |||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.59 | 0.06 | (0.73 | ) | (0.67 | ) | — | — | — | — | 8.92 | (6.99 | ) | 0.76 | 0.66 | † | 0.66 | † | 1.31 | † | 22,501 | 15 | |||||||||||||||||
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 | ||||||||||||||||||
ING Wells Fargo Small Cap Disciplined Portfolio | |||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 8.04 | (0.02 | )• | (0.48 | ) | (0.50 | ) | — | — | — | — | 7.54 | (6.22 | ) | 1.74 | 1.53 | 1.53 | (0.55 | ) | 363 | 27 | ||||||||||||||||||
12-31-09 | 6.23 | (0.01 | )• | 1.84 | 1.83 | 0.02 | — | — | 0.02 | 8.04 | 29.46 | 1.72 | 1.51 | † | 1.51 | † | (0.14 | )† | 283 | 89 | |||||||||||||||||||
12-31-08 | 10.91 | 0.03 | • | (3.36 | ) | (3.33 | ) | 0.05 | 1.30 | — | 1.35 | 6.23 | (32.96 | ) | 1.68 | 1.47 | † | 1.47 | † | 0.34 | † | 122 | 69 | ||||||||||||||||
12-31-07 | 11.37 | 0.05 | (0.51 | ) | (0.46 | ) | — | — | — | — | 10.91 | (4.05 | ) | 1.67 | 1.47 | 1.47 | 0.36 | 354 | 111 | ||||||||||||||||||||
12-31-06 | 9.73 | 0.01 | • | 1.88 | 1.89 | 0.03 | 0.22 | — | 0.25 | 11.37 | 19.44 | 1.69 | 1.47 | 1.47 | 0.09 | 412 | 62 | ||||||||||||||||||||||
11-30-05(4) - 12-31-05 | 10.00 | (0.01 | ) | (0.26 | ) | (0.27 | ) | — | — | — | — | 9.73 | (2.70 | ) | 2.03 | 1.47 | 1.47 | (1.69 | ) | 1 | 1 | ||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 8.08 | 0.01 | (0.49 | ) | (0.48 | ) | — | — | — | — | 7.60 | (5.94 | ) | 0.99 | 0.93 | 0.93 | 0.05 | 5,986 | 27 | ||||||||||||||||||||
12-31-09 | 6.27 | 0.04 | • | 1.84 | 1.88 | 0.07 | — | — | 0.07 | 8.08 | 30.27 | 0.97 | 0.91 | † | 0.91 | † | 0.57 | † | 6,770 | 89 | |||||||||||||||||||
12-31-08 | 11.01 | 0.11 | (3.42 | ) | (3.31 | ) | 0.13 | 1.30 | — | 1.43 | 6.27 | (32.58 | ) | 0.93 | 0.87 | † | 0.87 | † | 1.06 | † | 84,464 | 69 | |||||||||||||||||
12-31-07 | 11.40 | 0.10 | (0.49 | ) | (0.39 | ) | — | — | — | — | 11.01 | (3.42 | ) | 0.92 | 0.87 | 0.87 | 0.97 | 146,223 | 111 | ||||||||||||||||||||
12-31-06 | 9.73 | 0.08 | • | 1.86 | 1.94 | 0.05 | 0.22 | — | 0.27 | 11.40 | 19.93 | 0.94 | 0.87 | 0.87 | 0.73 | 111,724 | 62 | ||||||||||||||||||||||
11-30-05(4) - 12-31-05 | 10.00 | (0.01 | ) | (0.26 | ) | (0.27 | ) | — | — | — | — | 9.73 | (2.70 | ) | 1.28 | 0.87 | 0.87 | (1.27 | ) | 1 | 1 | ||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 8.07 | (0.02 | ) | (0.47 | ) | (0.49 | ) | — | — | — | — | 7.58 | (6.07 | ) | 1.24 | 1.18 | 1.18 | (0.20 | ) | 38,932 | 27 | ||||||||||||||||||
12-31-09 | 6.26 | 0.01 | 1.85 | 1.86 | 0.05 | — | — | 0.05 | 8.07 | 29.91 | 1.22 | 1.16 | † | 1.16 | † | 0.20 | † | 34,161 | 89 | ||||||||||||||||||||
12-31-08 | 10.97 | 0.08 | (3.41 | ) | (3.33 | ) | 0.08 | 1.30 | — | 1.38 | 6.26 | (32.76 | ) | 1.18 | 1.12 | † | 1.12 | † | 0.78 | † | 20,843 | 69 | |||||||||||||||||
12-31-07 | 11.39 | 0.08 | • | (0.50 | ) | (0.42 | ) | — | — | — | — | 10.97 | (3.69 | ) | 1.17 | 1.12 | 1.12 | 0.66 | 40,176 | 111 | |||||||||||||||||||
12-31-06 | 9.73 | 0.03 | • | 1.88 | 1.91 | 0.03 | 0.22 | — | 0.25 | 11.39 | 19.62 | 1.19 | 1.12 | 1.12 | 0.32 | 61,248 | 62 | ||||||||||||||||||||||
11-30-05(4) - 12-31-05 | 10.00 | (0.01 | ) | (0.26 | ) | (0.27 | ) | — | — | — | — | 9.73 | (2.70 | ) | 1.53 | 1.12 | 1.12 | (1.10 | ) | 4,939 | 1 | ||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 8.05 | (0.01 | ) | (0.48 | ) | (0.49 | ) | — | — | — | — | 7.56 | (6.09 | ) | 1.49 | 1.33 | 1.33 | (0.34 | ) | 378 | 27 | ||||||||||||||||||
12-31-09 | 6.24 | 0.01 | 1.84 | 1.85 | 0.04 | — | — | 0.04 | 8.05 | 29.71 | 1.47 | 1.31 | † | 1.31 | † | 0.07 | † | 425 | 89 | ||||||||||||||||||||
12-31-08 | 10.94 | 0.06 | (3.39 | ) | (3.33 | ) | 0.07 | 1.30 | — | 1.37 | 6.24 | (32.86 | ) | 1.43 | 1.27 | † | 1.27 | † | 0.63 | † | 369 | 69 | |||||||||||||||||
12-31-07 | 11.38 | 0.07 | (0.51 | ) | (0.44 | ) | — | — | — | — | 10.94 | (3.87 | ) | 1.42 | 1.27 | 1.27 | 0.54 | 642 | 111 | ||||||||||||||||||||
12-31-06 | 9.73 | 0.04 | • | 1.86 | 1.90 | 0.03 | 0.22 | — | 0.25 | 11.38 | 19.52 | 1.44 | 1.27 | 1.27 | 0.33 | 1,313 | 62 | ||||||||||||||||||||||
11-30-05(4) - 12-31-05 | 10.00 | (0.01 | ) | (0.26 | ) | (0.27 | ) | — | — | — | — | 9.73 | (2.70 | ) | 1.78 | 1.27 | 1.27 | (1.27 | ) | 1 | 1 |
See Accompanying Notes to Financial Statements
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FINANCIAL HIGHLIGHTS (UNAUDITED)(CONTINUED)
(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 (Note 4). |
(a) | In 2005, the Investment Adviser fully reimbursed the Portfolio for a loss incurred from a transaction not meeting the Portfolio’s investment guidelines. The impact on the total return was 0.02% on Class I and Class S, and excluding this item, total return would have been 10.23% and 8.97% for Class I and Class S, respectively. |
(b) | Effective January 1, 2005, the Portfolio adopted a policy to reduce cost of investments for financial statement purposes by the distributions received in excess of income from Real Estate Investment Trusts. The effect of this change for the twelve months ended December 31, 2005 was to decrease net investment income per share by $0.42, $0.40 and $0.39 for Class I, Class S and Class S2, respectively; increase net realized and unrealized gain on investments by $0.42, $0.40 and $0.39 for Class I, Class S and Class S2; and decrease the ratio of net investment income to average net assets from 3.21% to 1.86%, 2.93% to 1.58% and 2.78% to 1.43% on Class I, Class S and Class S2, respectively. |
See Accompanying Notes to Financial Statements
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (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 fifty active separate investment series. There are fifteen 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 BlackRock Large Cap Value Portfolio (“BlackRock Large Cap Value”), 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 Limited Maturity Bond Portfolio (“Limited Maturity Bond”), ING Lord Abbett Growth and Income Portfolio (“Lord Abbett Growth and Income”), ING PIMCO High Yield Portfolio (“PIMCO High Yield”), ING Pioneer Equity Income Portfolio (“Pioneer Equity Income”), ING Pioneer Fund Portfolio (“Pioneer Fund”), ING Templeton Global Growth Portfolio (“Templeton Global Growth”), ING U.S. Stock Index Portfolio (“U.S. Stock Index”) and ING Wells Fargo Small Cap Disciplined Portfolio (“Wells Fargo Small Cap Disciplined”).
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”)); Focus 5 and Franklin Mutual Shares, Limited Maturity Bond and Pioneer Fund do not 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. 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. Common expenses of the Portfolios (including custodial asset-based fees, legal and audit fees, printing and mailing fees, and fees and expenses of the independent trustees) are allocated to each Portfolio in proportion to its average net assets. Expenses directly attributable to a particular Portfolio (including advisory, administration, custodial transaction-based, registration, other professional, distribution and/or service fees, certain taxes, transfer agency out-of-pocket expenses, and offering costs) are charged directly to that Portfolio. Differences in per share dividend rates generally result from differences in separate class expenses, including distribution and shareholder service fees, if applicable.
Each Portfolio’s shares may be offered to variable annuity and variable life insurance separate accounts, qualified pension and retirement plans outside the separate account context, custodial accounts, certain investment advisers and their affiliates in connection with the creation or management of the Portfolios and certain other investment management companies.
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, 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 (formerly, ING Funds 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 divested by ING Groep by the end of 2013. While there can be no assurance that it will be carried out, the restructuring plan presents certain risks, including uncertainty about the effect on the businesses of the ING entities that service the Portfolios and potential termination of the Portfolios’ existing advisory agreement, which may trigger the need for shareholder approval of new agreements.
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
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 for investment companies.
A. Security Valuation. 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 acquired with more than 60 days to maturity are valued using matrix pricing methods determined by an independent pricing service which takes into consideration such factors as yields, maturities, liquidity, ratings and traded prices in similar or identical securities. 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 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
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
(continued)
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 Portfolios of Investments.
For the six months ended June 30, 2010, 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 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
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
(continued)
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 objectives 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 maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
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.
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
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
(continued)
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, 2010, 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 $6,386,012 and $1,638,325, respectively, which represents the gross payments to be received by the Portfolio’s on open credit default swaps, interest rate swaps and forward foreign currency transactions were they to be unwound as of
June 30, 2010. As of June 30, 2010, PIMCO High Yield received $1,270,000 in cash collateral 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, 2010, Franklin Mutual Shares and PIMCO High Yield had a net liability position of $523,594 and $3,002,141, respectively, on open credit default swaps, interest rate swaps and forward foreign currency contracts with credit related contingent features. If a contingent feature would have been triggered as of June 30, 2010, the Portfolio’s could have been required to pay this amount in cash to its counterparties. As of June 30, 2010, PIMCO High Yield has posted $874,000 principal amount in U.S. Treasury Bills for open OTC derivative transactions with their respective 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
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
(continued)
securities values and interest rates. Open forward foreign currency contracts are presented following the respective Portfolio of Investments.
For the six months ended June 30, 2010, certain Portfolios have entered into forward foreign currency contracts with the obligation to buy and sell specified foreign currencies in the future at a currently negotiated forward rate in order to increase or decrease exposure to foreign exchange rate risk. The Portfolios uses forward foreign currency contracts to enhance potential gain, hedge against anticipated currency exchange rates, gain exposure to foreign currencies and to maintain diversity and liquidity of the portfolio.
During the six months ended June 30, 2010, the following Portfolios had average contract amounts on forward foreign currency contracts to buy and sell as disclosed below:
Purchased | Sold | |||||
Franklin Mutual Shares | $ | 8,102,070 | $ | 118,263,915 | ||
Pimco High Yield | 6,425,859 | 26,160,058 |
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 the each Portfolio of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are footnoted in the 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, 2010, JPMorgan Small Cap Core Equity has posted $600,000 principal value in U.S. Treasury Bills 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, 2010, certain Portfolios have purchased futures contracts on various equity indexes to increase exposure to equity risk. In addition, certain Portfolios have 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 Portfolios securities. With futures, there is minimal counterparty credit risk to the Portfolios since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
During the six months ended June 30, 2010, the Portfolios had average market values on futures contracts purchased and sold as disclosed below:
Buy | Sell | ||||
JPMorgan Small Cap Core Equity | $ | 3,657,784 | — | ||
Limited Maturity Bond | 57,206,223 | 32,564,422 | |||
U.S. Stock Index | 78,165,392 | — |
J. Options Contracts. Certain Portfolios may purchase put and call options and may write (sell) put options and covered call options. 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
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NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
(continued)
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.
During the six months ended June 30, 2010, PIMCO High Yield has written put options on swaps (“Swaptions”) to decrease exposure to interest rate risk. Please refer to Note 10 for the volume of written swaptions during the six months ended June 30, 2010.
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 market 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 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 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
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NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
(continued)
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 market 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 market 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, 2010, for which a Portfolio is seller of protection are disclosed following each 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, 2010, 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, 2010, 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.
For the six months ended June 30, 2010, Limited Maturity Bond and PIMCO High Yield had average notional amounts of $— and $16,463,000 on credit default swaps to buy protection and average notional amounts of $5,000,000 and $54,401,243 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, 2010, PIMCO High Yield has entered into interest rate swaps in which it receives a fixed interest rate and pays a floating
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NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
(continued)
interest rate in order to decrease exposure to interest rate risk. Since the Portfolio holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. The Portfolio enters into these swap agreements to help hedge against this risk and to maintain its ability to generate income at prevailing market rates.
For the six months ended June 30, 2010, Limited Maturity Bond and PIMCO High Yield had an average notional amount of $3,077,667 and $40,445,394, respectively.
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. Certain 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. Illiquid and Restricted Securities. The Portfolios may not invest more than 15% of their net assets (10% for Limited Maturity Bond and Lord Abbett Growth and Income) in illiquid securities. Illiquid securities are not readily marketable. Disposing of illiquid investments may involve time-consuming negotiation and legal expenses, and it may be difficult or impossible for the Portfolios to sell them promptly at an acceptable price. The Portfolios may also 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. Certain restricted securities may be considered liquid pursuant to guidelines approved by the Board or may be deemed to be illiquid because they may not be readily marketable. Illiquid and 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, cannot be estimated; however, based on experience, management believes the risk of loss from such claims is considered remote.
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NOTE 3 — INVESTMENT TRANSACTIONS
For the six months ended June 30, 2010, 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 | $ | 379,038,979 | $ | 392,517,374 | ||
BlackRock Large Cap Value | 151,566,928 | 212,111,981 | ||||
Clarion Real Estate | 108,375,711 | 130,528,045 | ||||
Franklin Income | 199,654,480 | 180,914,475 | ||||
Franklin Mutual Shares | 82,928,454 | 66,898,723 | ||||
JPMorgan Small Cap Core Equity | 99,908,970 | 74,801,817 | ||||
Large Cap Growth | 376,091,434 | 350,034,178 | ||||
Limited Maturity Bond | 128,018,162 | 90,882,324 | ||||
Lord Abbett Growth and Income | 29,491,912 | 34,341,361 | ||||
PIMCO High Yield | 183,717,955 | 113,509,795 | ||||
Pioneer Equity Income | 8,727,362 | 16,231,588 | ||||
Pioneer Fund | 5,669,401 | 9,423,014 | ||||
Templeton Global Growth | 18,476,179 | 29,707,205 | ||||
U.S. Stock Index | 525,483,288 | 674,749,360 | ||||
Wells Fargo Small Cap Disciplined | 20,756,164 | 12,955,147 |
U.S. government securities not included above were as follows:
Purchases | Sales | |||||
Limited Maturity Bond | $ | 536,141,436 | $ | 514,414,456 |
NOTE 4 — INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES
Franklin Income, Pioneer Equity Income, and Wells Fargo Small Cap Disciplined 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 | |
Pioneer Equity Income | 0.65% of the first $500 million; and 0.60% of the amount in excess of $500 million | |
Wells Fargo Small Cap | 0.77% of the first $500 million; | |
Disciplined | 0.70% of the next $500 million; | |
0.65% of the next $500 million; | ||
0.60% of the next $5 billion; and 0.53% of the amount in excess of $6.5 billion |
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 | ||
BlackRock Large Cap Value | 0.80% of the first $500 million; | |
0.75% of the first $250 million; | ||
0.70% of the first $500 million; | ||
0.65% of the first $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(2) | 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 |
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NOTE 4 — INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES (continued)
Portfolio | Fee | |
Large Cap Growth | 0.600% of the first $750 million; | |
0.550% of the next $750 million; | ||
0.500% of the next $5 billion; | ||
0.475% of the next $5 billion; | ||
0.455% of the next $5 billion; | ||
0.440% of the next $5 billion; and 0.430% of the amount in excess of $21.5 billion | ||
Limited Maturity Bond(3) | 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 | ||
Lord Abbett Growth and Income | 0.75% of the first $500 million; | |
0.70% of the next $250 million; | ||
0.65% of the next $500 million; and 0.60% of the amount in excess of $1.25 billion | ||
PIMCO High Yield | 0.490% of assets | |
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 | ||
U.S. Stock Index | 0.26% of assets | |
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 |
(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 and Income Portfolio and ING Van Kampen Growth and Income Portfolio, which are not included in this report, to determine the Unified Fee. |
(2) | Effective January 1, 2010, the advisory fee breakpoints for purposes of calculating the advisory fee were modified. |
(3) | 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 BlackRock Large Cap Value and Clarion Real Estate(1). 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, 2010, DSL waived $62,266 and $98,712 for BlackRock Large Cap Value and Clarion Real Estate.
The waivers will continue through at least May 1, 2011 for BlackRock Large Cap Value and 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 Portfolios are permitted to invest end-of-day cash balances into ING Institutional Prime Money Market Fund. Investment management fees paid by the Portfolios will be reduced by an amount equal to the management fees paid indirectly to the ING Institutional Prime Money Market Fund with respect to assets invested by the Portfolios. These fees are not subject to recoupment. For the six months ended June 30, 2010, the Portfolios waived the following of such management fees:
Portfolio | Amount | ||
BlackRock Large Cap Growth | $ | 491 | |
BlackRock Large Cap Value | 335 | ||
Clarion Real Estate | 2,567 | ||
Franklin Income | 493 | ||
JPMorgan Small Cap Core Equity | 3,777 | ||
Large Cap Growth | 3,318 | ||
Limited Maturity Bond | 6,843 | ||
Pioneer Equity Income | 278 | ||
Pioneer Fund | 168 | ||
U.S. Stock Index | 26,177 | ||
Wells Fargo Small Cap Disciplined | 1,003 |
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, Pioneer Equity Income, and Wells Fargo Small Cap Disciplined 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 | |
BlackRock Large Cap Value | BlackRock Investment Management, LLC | |
Clarion Real Estate(1) | ING Clarion Real Estate Securities L.P.* | |
Large Cap Growth | ING Investment Management Co.(2) | |
Franklin Income | Franklin Advisers, Inc. | |
Franklin Mutual Shares | Franklin Mutual Advisers LLC | |
JPMorgan Small Cap Core Equity | J.P. Morgan Investment Management Inc. |
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NOTE 4 — INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES (continued)
Portfolio | Sub-Adviser | |
Limited Maturity Bond | ING Investment Management Co.* | |
Lord Abbett Growth and Income | Lord, Abbett & Co. LLC | |
PIMCO High Yield | Pacific Investment Management Company LLC | |
Pioneer Equity Income | Pioneer Investment Management, Inc. | |
Pioneer Fund | Pioneer Investment Management, Inc. | |
U.S. Stock Index | ING Investment Management Co.* | |
Templeton Global Growth | Templeton Global Advisors Limited | |
Wells Fargo Small Cap Disciplined | Wells Capital Management, Inc. |
(1) | Prior to April 30, 2009, the Portfolio was managed by a different sub-adviser. |
(2) | Effective April 30, 2010, the Portfolio was managed by a different sub-adviser. In conjunction with the sub-adviser change, the Portfolio changed it’s name. Prior to June 11, 2010, the Portfolio was managed by a different sub-adviser. Effective June 11, 2010, pursuant to an interim sub-advisory agreement, ING IM is the sub-advisor until shareholder approval of the sub-adviser change is attained. |
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 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, 2011. Pursuant to a side agreement dated March 15, 2010, the Distributor agreed to waive 0.01% of the shareholder service fee for Class S shares of U.S. Stock Index through May 1, 2011.
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, 2010. Pursuant to a side agreement the Distributor agreed to waive 0.22% of the distribution fee for U.S. Stock Index Class ADV shares through May 1, 2011.
Pursuant to an agreement effective September 23, 2005, as amended and restated January 30, 2009, the Distributor 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.
NOTE 6 — EXPENSE LIMITATION AGREEMENTS
Each Investment Adviser has entered into written expense limitation agreements with certain of the Portfolios, whereby each 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) | 1.39 | % | 0.79 | % | 1.04 | % | 1.19 | % | ||||
Pioneer Equity Income | 1.29 | % | 0.69 | % | 0.94 | % | N/A | |||||
Wells Fargo Small Cap Disciplined | 1.53 | % | 0.93 | % | 1.18 | % | 1.33 | % |
(1) | Prior to April 30, 2010, the expense limits were 1.44%, 0.74%, 0.99% and 1.24% for classes ADV, I, S, and S2 shares, respectively. |
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 6 — EXPENSE LIMITATION AGREEMENTS (continued)
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, 2010, the amounts of waived and reimbursed fees that are subject to possible recoupment by each Investment Adviser, and the related expiration dates are as follows:
June 30, | ||||||||||||
2011 | 2012 | 2013 | Total | |||||||||
Franklin Income | $ | 211,380 | $ | 306,029 | $ | 362,482 | $ | 879,891 | ||||
Pioneer Equity Income | 166,714 | 141,734 | 177,194 | 485,642 | ||||||||
Wells Fargo Small Cap Disciplined | 100,688 | 48,582 | 38,973 | 188,243 |
NOTE 7 — OTHER TRANSACTIONS WITH AFFILIATED AND RELATED PARTIES
The Trust has adopted a Retirement Policy (“Policy”) covering independent trustees of the Trust who were trustees on or before May 9, 2007, and who will have served as an independent trustee for at least five years as of the date of their retirement (as that term is defined in the Policy). Benefits under the Policy are based on an annual rate as defined in the Policy.
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.
At June 30, 2010, the following ING Portfolios or indirect, wholly-owned subsidiaries of ING Groep owned more than 5% of the following Portfolios:
% | ||||
ING Franklin Templeton Founding Strategic Portfolio | Franklin Income | 36.34 | ||
Franklin Mutual Shares | 58.07 | |||
Templeton Global Growth | 50.04 | |||
ING Life Insurance & Annuity Company | BlackRock Large Cap Growth | 49.58 | ||
Clarion Real Estate | 21.76 | |||
JPMorgan Small Cap Core Equity | 6.32 | |||
Lord Abbett Growth and Income | 58.71 | |||
PIMCO High Yield | 11.10 | |||
Pioneer Equity Income | 98.81 | |||
Pioneer Fund | 31.60 | |||
U.S. Stock Index | 6.85 | |||
Wells Fargo Small Cap Disciplined | 6.53 | |||
ING Retirement Growth Portfolio | U.S. Stock Index | 41.81 | ||
ING Retirement Moderate Growth Portfolio | U.S. Stock Index | 27.75 | ||
ING Retirement Moderate Portfolio | U.S. Stock Index | 13.24 | ||
ING Solution 2015 Portfolio | BlackRock Large Cap Value | 10.83 | ||
Limited Maturity Bond | 17.18 | |||
PIMCO High Yield | 6.28 | |||
ING Solution 2025 Portfolio | BlackRock Large Cap Value | 23.90 | ||
Large Cap Growth | 11.47 | |||
Limited Maturity Bond | 17.85 | |||
PIMCO High Yield | 6.72 | |||
ING Solution 2035 Portfolio | BlackRock Large Cap Value | 23.81 | ||
Large Cap Growth | 11.90 | |||
ING Solution 2045 Portfolio | BlackRock Large Cap Value | 18.17 | ||
Large Cap Growth | 7.43 | |||
ING Solution Income Portfolio | Limited Maturity Bond | 11.64 | ||
ING USA Annuity and Life Insurance Company | BlackRock Large Cap Growth | 40.78 | ||
Blackrock Large Cap Value | 14.05 | |||
Clarion Real Estate | 67.59 | |||
Franklin Income | 57.18 | |||
Franklin Mutual Shares | 39.93 | |||
JPMorgan Small Cap Core Equity | 67.65 | |||
Large Cap Growth | 28.87 | |||
Limited Maturity Bond | 30.95 | |||
Lord Abbett Growth and Income | 39.55 | |||
PIMCO High Yield | 67.46 | |||
Pioneer Fund | 62.11 | |||
Templeton Global Growth | 48.25 | |||
Wells Fargo Small Cap Disciplined | 47.36 |
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 7 — OTHER TRANSACTIONS WITH AFFILIATED AND RELATED PARTIES (continued)
% | ||||
Reliastar Life Insurance Company | BlackRock Large Cap Growth | 5.24 | ||
JPMorgan Small Cap Core Equity | 13.81 | |||
Large Cap Growth | 24.02 | |||
Limited Maturity Bond | 9.52 | |||
Wells Fargo Small Cap Disciplined | 14.99 | |||
Security Life Insurance Company | JPMorgan Small Cap Core Equity | 10.05 | ||
Large Cap Growth | 8.08 | |||
Limited Maturity Bond | 8.83 | |||
Wells Fargo Small Cap Disciplined | 30.20 |
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, 2010, the Portfolios had the following amounts recorded in 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 | $ | 199,982 | $ | — | $ | 30,225 | $ | 230,207 | ||||
BlackRock Large Cap Value | 102,760 | — | 6,347 | 109,107 | ||||||||
Clarion Real Estate | 243,340 | — | 94,294 | 337,634 | ||||||||
Franklin Income | 387,928 | 61,229 | 95,329 | 544,486 | ||||||||
Franklin Mutual Shares | 296,265 | — | 39,825 | 336,090 | ||||||||
JPMorgan Small Cap Core Equity | 236,805 | — | 56,905 | 293,710 | ||||||||
Large Cap Growth | 185,205 | — | 23,967 | 209,172 | ||||||||
Limited Maturity Bond | 77,769 | — | 39,081 | 116,850 | ||||||||
Lord Abbett Growth and Income | 86,863 | — | 12,163 | 99,026 | ||||||||
PIMCO High Yield | 252,387 | — | 106,558 | 358,945 | ||||||||
Pioneer Equity Income | 66,187 | 10,193 | — | 76,380 | ||||||||
Pioneer Fund | 46,300 | — | 10,581 | 56,881 | ||||||||
Templeton Global Growth | 398,618 | — | 55,886 | 454,504 | ||||||||
U.S. Stock Index | 724,256 | — | 12,953 | 737,209 | ||||||||
Wells Fargo Small Cap Disciplined | 31,273 | 4,063 | 8,987 | 44,323 |
NOTE 8 — OTHER ACCRUED EXPENSES AND LIABILITIES
At June 30, 2010, the following Portfolios had the following payables included in Other Accrued Expenses and Liabilities on the Statements of Assets and Liabilities that exceeded 5% of total liabilities:
Portfolio | Accrued Expenses | Amount | |||
Pioneer Equity Income | Audit | $ | 8,640 | ||
Postage | 38,375 |
NOTE 9 — LINE OF CREDIT
The Portfolios, in addition to certain other portfolios 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 Portfolios. The Portfolios pay a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount payable quarterly in arrears.
The following Portfolios utilized the line of credit during the six months ended June 30, 2010, as follows:
Portfolio | Days | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||
BlackRock Large Cap Growth | 13 | $ | 1,465,769 | 1.44 | % | |||
BlackRock Large Cap Value | 2 | 2,222,500 | 1.41 | % | ||||
Franklin Income(1) | 5 | 3,884,000 | 1.41 | % | ||||
Franklin Mutual Shares | 5 | 1,106,000 | 1.40 | % | ||||
Large Cap Growth | 9 | 1,372,778 | 1.45 | % | ||||
Limited Maturity Bond | 2 | 597,500 | 1.41 | % | ||||
Pioneer Fund | 5 | 583,000 | 1.45 | % | ||||
Templeton Global Growth | 1 | 2,340,000 | 1.45 | % | ||||
U.S. Stock Index | 7 | 782,857 | 1.40 | % | ||||
Wells Fargo Small Cap Disciplined | 11 | 478,182 | 1.44 | % |
(1) | At June 30, 2010, Franklin Income had an outstanding balance of $6,905,000. |
NOTE 10 — WRITTEN OPTIONS
Transactions in written swaptions for PIMCO High Yield during the six months ended June 30, 2010 were as follows:
USD Notional | Premium | ||||||
Balance at 12/31/09 | 107,400,000 | $ | 952,108 | ||||
Options Written | — | — | |||||
Options Terminated in Closing Purchase Transactions | — | — | |||||
Options Expired | (102,400,000 | ) | (910,134 | ) | |||
Balance at 06/30/10 | 5,000,000 | $ | 41,974 | ||||
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 11 — 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 | ||||||||||||||||||||||
06-30-10 | 80,463 | — | (49,875 | ) | 30,588 | 694,534 | — | (440,260 | ) | 254,274 | ||||||||||||
12-31-09 | 68,130 | — | (67,218 | ) | 912 | 476,319 | — | (475,493 | ) | 826 | ||||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 470,332 | — | (1,296,278 | ) | (825,946 | ) | 4,210,431 | — | (11,524,596 | ) | (7,314,165 | ) | ||||||||||
12-31-09 | 1,177,481 | 121,239 | (2,587,267 | ) | (1,288,547 | ) | 8,518,542 | 885,048 | (18,658,756 | ) | (9,255,166 | ) | ||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 2,178,410 | — | (2,920,576 | ) | (742,166 | ) | 19,720,246 | — | (25,867,968 | ) | (6,147,722 | ) | ||||||||||
12-31-09 | 4,671,807 | 53,769 | (3,722,943 | ) | 1,002,633 | 32,749,524 | 390,902 | (26,878,933 | ) | 6,261,493 | ||||||||||||
Class S2 | ||||||||||||||||||||||
06-30-10 | 94,047 | — | (83,664 | ) | 10,383 | 822,561 | — | (737,720 | ) | 84,841 | ||||||||||||
12-31-09 | 158,853 | — | (178,454 | ) | (19,601 | ) | 1,134,356 | — | (1,253,566 | ) | (119,210 | ) | ||||||||||
BlackRock Large Cap Value |
| |||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 59,774 | — | (335 | ) | 59,439 | 574,979 | — | (3,177 | ) | 571,802 | ||||||||||||
12-31-09 | — | — | (2 | ) | (2 | ) | — | — | (18 | ) | (18 | ) | ||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 1,975,773 | — | (7,495,558 | ) | (5,519,785 | ) | 18,944,521 | — | (73,571,305 | ) | (54,626,784 | ) | ||||||||||
12-31-09 | 12,427,424 | 200,963 | (4,624,471 | ) | 8,003,916 | 93,675,433 | 1,659,953 | (42,699,824 | ) | 52,635,562 | ||||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 124,167 | — | (242,229 | ) | (118,062 | ) | 1,188,370 | — | (2,371,453 | ) | (1,183,083 | ) | ||||||||||
12-31-09 | 195,233 | 13,903 | (750,188 | ) | (541,052 | ) | 1,687,180 | 114,838 | (6,186,180 | ) | (4,384,162 | ) | ||||||||||
Class S2 | ||||||||||||||||||||||
06-30-10 | 481 | — | (21,460 | ) | (20,979 | ) | 4,231 | — | (211,895 | ) | (207,664 | ) | ||||||||||
12-31-09 | 2,756 | 569 | (34,443 | ) | (31,118 | ) | 24,066 | 4,682 | (287,769 | ) | (259,021 | ) | ||||||||||
Clarion Real Estate | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 117,543 | — | (38,761 | ) | 78,782 | 2,264,576 | — | (719,576 | ) | 1,545,000 | ||||||||||||
12-31-09 | 41,656 | 4,836 | (33,867 | ) | 12,625 | 542,524 | 55,805 | (436,909 | ) | 161,420 | ||||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 441,358 | — | (524,100 | ) | (82,742 | ) | 8,607,639 | — | (10,326,912 | ) | (1,719,273 | ) | ||||||||||
12-31-09 | 9,687,137 | 1,688,633 | (35,093,832 | ) | (23,718,062 | ) | 112,393,340 | 19,908,978 | (491,050,712 | ) | (358,748,394 | ) | ||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 951,455 | — | (2,087,631 | ) | (1,136,176 | ) | 18,719,847 | — | (39,554,383 | ) | (20,834,536 | ) | ||||||||||
12-31-09 | 1,852,786 | 1,722,051 | (4,349,047 | ) | (774,210 | ) | 23,487,786 | 20,302,987 | (59,008,055 | ) | (15,217,282 | ) | ||||||||||
Class S2 | ||||||||||||||||||||||
06-30-10 | — | — | (87,551 | ) | (87,551 | ) | 37 | — | (1,625,260 | ) | (1,625,223 | ) | ||||||||||
12-31-09 | 53,813 | 81,120 | (201,330 | ) | (66,397 | ) | 545,765 | 953,160 | (2,758,959 | ) | (1,260,034 | ) | ||||||||||
Franklin Income | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 181,954 | — | (5,109 | ) | 176,845 | 1,725,642 | — | (49,402 | ) | 1,676,240 | ||||||||||||
12-31-09 | — | — | (2 | ) | (2 | ) | — | — | (16 | ) | (16 | ) |
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 11 — 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 | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 589,976 | — | (3,028,368 | ) | (2,438,392 | ) | 5,779,286 | — | (28,899,624 | ) | (23,120,338 | ) | ||||||||||
12-31-09 | 3,499,446 | 2,274,352 | (6,162,399 | ) | (388,601 | ) | 28,561,745 | 18,194,815 | (49,669,519 | ) | (2,912,959 | ) | ||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 2,287,735 | — | (4,572,060 | ) | (2,284,325 | ) | 21,776,860 | — | (43,396,878 | ) | (21,620,018 | ) | ||||||||||
12-31-09 | 10,589,510 | 3,174,107 | (4,645,228 | ) | 9,118,389 | 86,492,752 | 25,329,375 | (36,887,641 | ) | 74,934,486 | ||||||||||||
Class S2 | ||||||||||||||||||||||
06-30-10 | 59,687 | — | (126,240 | ) | (66,553 | ) | 565,213 | — | (1,199,135 | ) | (633,922 | ) | ||||||||||
12-31-09 | 268,153 | 57,981 | (256,715 | ) | 69,419 | 2,117,802 | 462,107 | (2,105,614 | ) | 474,295 | ||||||||||||
Franklin Mutual Shares | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 148,702 | — | (748 | ) | 147,954 | 1,085,693 | — | (5,459 | ) | 1,080,234 | ||||||||||||
12-31-09 | — | — | (1 | ) | (1 | ) | — | — | (5 | ) | (5 | ) | ||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 402,559 | — | (3,071,618 | ) | (2,669,059 | ) | 2,941,150 | — | (22,471,763 | ) | (19,530,613 | ) | ||||||||||
12-31-09 | 3,984,464 | 55,045 | (4,027,881 | ) | 11,628 | 23,620,208 | 333,572 | (24,697,197 | ) | (743,417 | ) | |||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 993,093 | — | (1,261,751 | ) | (268,658 | ) | 7,344,291 | — | (9,293,387 | ) | (1,949,096 | ) | ||||||||||
12-31-09 | 4,008,215 | 36,095 | (3,672,215 | ) | 372,095 | 23,417,733 | 218,739 | (21,725,341 | ) | 1,911,131 | ||||||||||||
JPMorgan Small Cap Core Equity | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 220,486 | — | (45,225 | ) | 175,261 | 2,464,025 | — | (502,112 | ) | 1,961,913 | ||||||||||||
12-31-09 | 139,897 | 5,979 | (94,835 | ) | 51,041 | 1,197,059 | 51,417 | (808,988 | ) | 439,488 | ||||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 375,985 | — | (566,444 | ) | (190,459 | ) | 4,500,499 | — | (6,279,352 | ) | (1,778,853 | ) | ||||||||||
12-31-09 | 575,466 | 380,471 | (7,171,011 | ) | (6,215,074 | ) | 4,802,970 | 3,332,924 | (66,995,437 | ) | (58,859,543 | ) | ||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 4,880,562 | — | (2,176,354 | ) | 2,704,208 | 54,831,910 | — | (24,306,841 | ) | 30,525,069 | ||||||||||||
12-31-09 | 2,377,212 | 455,962 | (2,606,024 | ) | 227,150 | 21,703,100 | 3,971,430 | (22,010,372 | ) | 3,664,158 | ||||||||||||
Class S2 | ||||||||||||||||||||||
06-30-10 | — | — | (192,010 | ) | (192,010 | ) | — | — | (2,093,444 | ) | (2,093,444 | ) | ||||||||||
12-31-09 | 20,952 | 89,829 | (393,678 | ) | (282,897 | ) | 191,014 | 777,023 | (3,394,896 | ) | (2,426,859 | ) | ||||||||||
Large Cap Growth | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 202,426 | — | (230 | ) | 202,196 | 2,294,327 | — | (2,658 | ) | 2,291,669 | ||||||||||||
12-31-09 | — | — | (1 | ) | (1 | ) | — | — | (8 | ) | (8 | ) | ||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 1,731,068 | — | (1,882,422 | ) | (151,354 | ) | 19,911,611 | — | (22,174,372 | ) | (2,262,761 | ) | ||||||||||
12-31-09 | 13,601,921 | 128,225 | (4,063,589 | ) | 9,666,557 | 123,119,675 | 1,196,338 | (38,526,338 | ) | 85,789,675 | ||||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 3,251,389 | — | (1,240,477 | ) | 2,010,912 | 37,491,195 | — | (14,164,547 | ) | 23,326,648 | ||||||||||||
12-31-09 | 8,000,604 | 24,174 | (865,878 | ) | 7,158,900 | 76,623,006 | 223,847 | (8,037,099 | ) | 68,809,754 |
53
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 11 — 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 | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||
Class S2 | ||||||||||||||||||||||
06-30-10 | 293 | — | (2,236 | ) | (1,943 | ) | 3,158 | — | (25,337 | ) | (22,179 | ) | ||||||||||
12-31-09 | 565 | 7 | (23,243 | ) | (22,671 | ) | 5,154 | 64 | (215,222 | ) | (210,004 | ) | ||||||||||
Limited Maturity Bond | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 90,608 | — | (11,419 | ) | 79,189 | 944,648 | — | (118,874 | ) | 825,774 | ||||||||||||
12-31-09 | — | — | (2 | ) | (2 | ) | — | — | (20 | ) | (20 | ) | ||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 6,771,914 | — | (2,071,842 | ) | 4,700,072 | 71,379,767 | — | (21,855,324 | ) | 49,524,443 | ||||||||||||
12-31-09 | 14,552,751 | 1,480,797 | (25,889,925 | ) | (9,856,377 | ) | 153,311,065 | 15,000,474 | (267,411,956 | ) | (99,100,417 | ) | ||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 1,206,762 | — | (2,340,497 | ) | (1,133,735 | ) | 12,736,348 | — | (24,662,010 | ) | (11,925,662 | ) | ||||||||||
12-31-09 | 2,017,846 | 1,089,983 | (4,184,854 | ) | (1,077,025 | ) | 20,957,457 | 11,085,125 | (43,638,816 | ) | (11,596,234 | ) | ||||||||||
Class S2(2) | ||||||||||||||||||||||
06-30-10 | — | — | (93 | ) | (93 | ) | — | — | (998 | ) | (998 | ) | ||||||||||
12-31-09 | — | — | (2 | ) | (2 | ) | — | — | (20 | ) | (20 | ) | ||||||||||
Lord Abbett Growth and Income | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 56,970 | — | (478 | ) | 56,492 | 461,293 | — | (3,933 | ) | 457,360 | ||||||||||||
12-31-09 | — | — | (3 | ) | (3 | ) | — | — | (16 | ) | (16 | ) | ||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 273,599 | — | (572,635 | ) | (299,036 | ) | 2,247,479 | — | (4,580,166 | ) | (2,332,687 | ) | ||||||||||
12-31-09 | 436,081 | 103,579 | (1,617,340 | ) | (1,077,680 | ) | 2,810,088 | 786,480 | (10,612,145 | ) | (7,015,577 | ) | ||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 20,629 | — | (625,780 | ) | (605,151 | ) | 155,981 | — | (5,089,495 | ) | (4,933,514 | ) | ||||||||||
12-31-09 | 113,432 | 54,325 | (1,661,092 | ) | (1,493,335 | ) | 743,331 | 412,179 | (10,498,837 | ) | (9,343,327 | ) | ||||||||||
Class S2 | ||||||||||||||||||||||
06-30-10 | 955 | — | (12,847 | ) | (11,892 | ) | 7,067 | — | (101,589 | ) | (94,522 | ) | ||||||||||
12-31-09 | 5,123 | 1,488 | (37,645 | ) | (31,034 | ) | 33,269 | 11,170 | (244,598 | ) | (200,159 | ) | ||||||||||
PIMCO High Yield | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 847,493 | 16,336 | (104,028 | ) | 759,801 | 8,270,219 | 159,486 | (1,009,297 | ) | 7,420,408 | ||||||||||||
12-31-09 | 155,356 | 4,978 | (38,572 | ) | 121,762 | 1,395,636 | 43,496 | (340,982 | ) | 1,098,150 | ||||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 7,095,694 | 527,183 | (1,722,385 | ) | 5,900,492 | 69,218,710 | 5,160,256 | (16,859,793 | ) | 57,519,173 | ||||||||||||
12-31-09 | 3,994,875 | 1,989,030 | (57,732,832 | ) | (51,748,927 | ) | 29,408,351 | 14,906,254 | (427,388,328 | ) | (383,073,723 | ) | ||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 5,607,257 | 2,088,415 | (4,162,434 | ) | 3,533,238 | 54,741,881 | 20,435,627 | (40,717,280 | ) | 34,460,228 | ||||||||||||
12-31-09 | 3,091,866 | 4,136,266 | (9,674,777 | ) | (2,446,645 | ) | 25,553,232 | 34,201,805 | (78,383,040 | ) | (18,628,003 | ) | ||||||||||
Class S2 | ||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | ||||||||||||||
12-31-09 | — | 1 | (2 | ) | (1 | ) | — | 6 | (18 | ) | (12 | ) |
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 11 — 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 | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||
Pioneer Equity Income | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | ||||||||||||||
12-31-09 | — | — | (2 | ) | (2 | ) | — | — | (11 | ) | (11 | ) | ||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 192,799 | — | (1,347,542 | ) | (1,154,743 | ) | 1,368,141 | — | (9,654,174 | ) | (8,286,033 | ) | ||||||||||
12-31-09 | 1,709,187 | — | (1,954,564 | ) | (245,377 | ) | 9,678,029 | — | (12,277,237 | ) | (2,599,208 | ) | ||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | — | — | (102 | ) | (102 | ) | — | — | (739 | ) | (739 | ) | ||||||||||
12-31-09 | 393 | — | (2 | ) | 391 | 2,500 | — | (15 | ) | 2,485 | ||||||||||||
Pioneer Fund | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 12,437 | — | (263 | ) | 12,174 | 122,339 | — | (2,618 | ) | 119,721 | ||||||||||||
12-31-09 | — | — | (1 | ) | (1 | ) | — | — | (15 | ) | (15 | ) | ||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 130,362 | — | (305,867 | ) | (175,505 | ) | 1,276,811 | — | (3,001,615 | ) | (1,724,804 | ) | ||||||||||
12-31-09 | 494,759 | 38,229 | (512,942 | ) | 20,046 | 4,007,131 | 375,025 | (4,171,149 | ) | 211,007 | ||||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 322,494 | — | (569,321 | ) | (246,827 | ) | 3,211,451 | — | (5,561,069 | ) | (2,349,618 | ) | ||||||||||
12-31-09 | 595,386 | 60,559 | (1,188,395 | ) | (532,450 | ) | 5,140,104 | 594,694 | (10,094,769 | ) | (4,359,971 | ) | ||||||||||
Class S2(2) | ||||||||||||||||||||||
06-30-10 | — | — | (78 | ) | (78 | ) | — | — | (757 | ) | (757 | ) | ||||||||||
12-31-09 | — | — | (1 | ) | (1 | ) | — | — | (15 | ) | (15 | ) | ||||||||||
Templeton Global Growth | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | ||||||||||||||
12-31-09 | — | — | (1 | ) | (1 | ) | — | — | (5 | ) | (5 | ) | ||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 2,081,439 | — | (1,732,346 | ) | 349,093 | 21,124,625 | — | (17,863,829 | ) | 3,260,796 | ||||||||||||
12-31-09 | 3,112,293 | 763,121 | (4,492,249 | ) | (616,835 | ) | 25,297,015 | 6,662,051 | (39,457,620 | ) | (7,498,554 | ) | ||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 419,230 | — | (2,596,302 | ) | (2,177,072 | ) | 4,317,906 | — | (26,661,311 | ) | (22,343,405 | ) | ||||||||||
12-31-09 | 1,996,428 | 656,628 | (3,039,630 | ) | (386,574 | ) | 18,989,427 | 5,758,627 | (25,698,914 | ) | (950,860 | ) | ||||||||||
Class S2 | ||||||||||||||||||||||
06-30-10 | 26,024 | — | (39,684 | ) | (13,660 | ) | 273,417 | — | (409,918 | ) | (136,501 | ) | ||||||||||
12-31-09 | 22,994 | 9,361 | (45,929 | ) | (13,574 | ) | 209,746 | 81,628 | (402,120 | ) | (110,746 | ) | ||||||||||
U.S. Stock Index | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 82,132 | — | (7,097 | ) | 75,035 | 828,167 | — | (69,556 | ) | 758,611 | ||||||||||||
05-28-09(1)-12-31-09 | 31,033 | 68 | (14,891 | ) | 16,210 | 277,807 | 658 | (140,726 | ) | 137,739 | ||||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 74,248,583 | — | (80,131,738 | ) | (5,883,155 | ) | 734,231,932 | — | (790,075,779 | ) | (55,843,847 | ) | ||||||||||
12-31-09 | 340,668,587 | 1,963,479 | (26,173,560 | ) | 316,458,506 | 3,020,309,949 | 19,039,079 | (234,802,980 | ) | 2,804,546,048 |
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 11 — 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 | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 214,556 | — | (254,995 | ) | (40,439 | ) | 2,067,840 | — | (2,495,476 | ) | (427,636 | ) | ||||||||||
12-31-09 | 1,595,111 | 12,086 | (706,547 | ) | 900,650 | 12,962,951 | 113,476 | (5,971,367 | ) | 7,105,060 | ||||||||||||
Class S2 | ||||||||||||||||||||||
06-30-10 | 802,797 | — | (919,647 | ) | (116,850 | ) | 7,864,844 | — | (8,817,105 | ) | (952,261 | ) | ||||||||||
12-31-09 | 1,303,543 | 8,485 | (343,538 | ) | 968,490 | 10,745,603 | 79,644 | (2,799,940 | ) | 8,025,307 | ||||||||||||
Wells Fargo Small Cap Disciplined | ||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 47,863 | — | (34,908 | ) | 12,955 | 397,804 | — | (269,554 | ) | 128,250 | ||||||||||||
12-31-09 | 18,767 | 111 | (3,300 | ) | 15,578 | 121,228 | 744 | (23,182 | ) | 98,790 | ||||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 52,291 | — | (102,301 | ) | (50,010 | ) | 446,689 | — | (848,128 | ) | (401,439 | ) | ||||||||||
12-31-09 | 1,195,657 | 124,309 | (13,953,179 | ) | (12,633,213 | ) | 6,925,727 | 831,630 | (97,071,330 | ) | (89,313,973 | ) | ||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 2,468,767 | — | (1,565,684 | ) | 903,083 | 20,965,665 | — | (13,345,888 | ) | 7,619,777 | ||||||||||||
12-31-09 | 2,247,610 | 26,929 | (1,372,372 | ) | 902,167 | 16,377,279 | 180,153 | (9,785,586 | ) | 6,771,846 | ||||||||||||
Class S2 | ||||||||||||||||||||||
06-30-10 | 30 | — | (2,823 | ) | (2,793 | ) | 226 | — | (23,447 | ) | (23,221 | ) | ||||||||||
12-31-09 | 324 | 301 | (7,029 | ) | (6,404 | ) | 2,370 | 2,009 | (47,514 | ) | (43,135 | ) |
(1) | Commencement of operations. |
(2) | Class S2 closed on April 6, 2010. |
NOTE 12 — ILLIQUID SECURITIES
Pursuant to guidelines adopted by the Portfolios’ Board, the following securities have been deemed to be illiquid. Each Portfolio currently limits investment in illiquid securities to 15% of the Portfolio’s net assets (10% for Limited Maturity Bond), at market value, at time of purchase.
Portfolio | Security | Notional | Initial | Cost/ | Value | Percent of | |||||||||
BlackRock Large Cap Growth | BNY Institutional Cash Reserves Fund, Series B | 468,580 | 09/12/08 | $ | 468,580 | $ | 374,864 | 0.1 | % | ||||||
$ | 468,580 | $ | 374,864 | 0.1 | % | ||||||||||
BlackRock Large Cap Value | BNY Institutional Cash Reserves Fund, Series B | 266,221 | 09/12/08 | $ | 266,221 | $ | 212,977 | 0.1 | % | ||||||
$ | 266,221 | $ | 212,977 | 0.1 | % | ||||||||||
Clarion Real Estate | BNY Institutional Cash Reserves Fund, Series B | 3,758,883 | 09/12/08 | $ | 3,758,883 | $ | 3,007,107 | 0.7 | % | ||||||
$ | 3,758,883 | $ | 3,007,107 | 0.7 | % | ||||||||||
Franklin Income | BNY Institutional Cash Reserves Fund, Series B | 262,251 | 09/12/08 | $ | 262,251 | $ | 209,800 | 0.0 | % | ||||||
$ | 262,251 | $ | 209,800 | 0.0 | % | ||||||||||
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 12 — ILLIQUID SECURITIES (continued)
Portfolio | Security | Notional | Initial | Cost/ | Value | Percent of | |||||||||
Franklin Mutual Shares | Calpine Corp., | 179,000 | 11/18/09 | $ | — | $ | — | 0.0 | % | ||||||
Canary Wharf Group PLC | 454,259 | 02/19/10 | 2,187,056 | 2,005,003 | 0.5 | % | |||||||||
DaimlerChrysler Escrow | 1,304,035 | 07/26/07 | 1,268,428 | 599,856 | 0.1 | % | |||||||||
DaimlerChrysler Escrow, | 1,017,500 | 07/26/07 | 998,543 | 468,050 | 0.1 | % | |||||||||
Northwest Airlines Claim (Pending Reorganization) due 02/20/49 | 715,000 | 05/16/07 | 201,857 | — | 0.0 | % | |||||||||
$ | 4,655,884 | $ | 3,072,909 | 0.7 | % | ||||||||||
JPMorgan Small Cap Core Equity | BNY Institutional Cash Reserves Fund, Series B | 1,121,269 | 09/12/08 | $ | 1,121,269 | $ | 897,015 | 0.3 | % | ||||||
$ | 1,121,269 | $ | 897,015 | 0.3 | % | ||||||||||
Limited Maturity Bond | BNY Institutional Cash Reserves Fund, Series B | 848,027 | 09/12/08 | $ | 848,027 | $ | 678,421 | 0.2 | % | ||||||
$ | 848,027 | $ | 678,421 | 0.2 | % | ||||||||||
Lord Abbett Growth and Income | BNY Institutional Cash Reserves Fund, Series B | 139,950 | 09/12/08 | $ | 139,950 | $ | 111,960 | 0.1 | % | ||||||
$ | 139,950 | $ | 111,960 | 0.1 | % | ||||||||||
PIMCO High Yield | Credit Default Swaps | ||||||||||||||
Merrill Lynch International CDX.NA.HY.9 Index (35-100% Tranche) | 866,439 | 03/06/08 | $ | — | $ | 2,194 | 0.0 | % | |||||||
$ | — | $ | 2,194 | 0.0 | % | ||||||||||
Securities | |||||||||||||||
BNY Institutional Cash Reserves Fund, Series B | 1,169,840 | 09/12/08 | $ | 1,169,840 | $ | 935,872 | 0.1 | % | |||||||
Continental Airlines, | 593,530 | 04/30/04 | 587,595 | 579,089 | 0.1 | % | |||||||||
Hawaiian Telcom Communications, Inc., 4.750%, due 06/01/14 | 1,156,321 | 06/01/07 | 1,156,321 | 984,800 | 0.2 | % | |||||||||
Hawaiian Telcom Communications, Inc., 9.750%, due 05/01/13 | 600,000 | 05/04/06 | 631,232 | 13,500 | 0.0 | % | |||||||||
Ineos Finance PLC, | 500,000 | 05/05/10 | 641,026 | 609,898 | 0.1 | % | |||||||||
Kerling PLC, | 450,000 | 01/22/10 | 632,459 | 555,099 | 0.1 | % | |||||||||
Lehman Brothers Holdings, | 499,200 | 05/21/08 | 499,200 | 22,912 | 0.0 | % | |||||||||
Local Insight Regatta Holdings, Inc., | 1,624,039 | 06/09/09 | 1,512,315 | 1,380,433 | 0.2 | % | |||||||||
SemGroup Corp., | 5,260,000 | 12/24/09 | — | — | 0.0 | % | |||||||||
TNK-BP Finance S.A., | 1,000,000 | 07/13/06 | 1,019,400 | 1,041,875 | 0.2 | % | |||||||||
UPCB Finance Ltd., | 1,500,000 | 01/13/10 | 2,138,414 | 1,811,351 | 0.3 | % | |||||||||
Tribune Co., | 550,135 | 07/08/08 | 546,737 | 333,290 | 0.1 | % | |||||||||
Tribune Co., | 1,925,650 | 06/18/08 | 1,430,028 | 1,157,797 | 0.2 | % | |||||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., | 1,000,000 | 06/29/10 | 962,500 | 970,000 | 0.2 | % | |||||||||
$ | 12,405,796 | $ | 9,874,041 | 1.6 | % | ||||||||||
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 12 — ILLIQUID SECURITIES (continued)
Portfolio | Security | Notional | Initial | Cost/ | Value | Percent of | |||||||||
Templeton Global Growth | BNY Institutional Cash Reserves Fund, Series B | 721,212 | 09/12/08 | $ | 721,212 | $ | 576,968 | 0.1 | % | ||||||
$ | 721,212 | $ | 576,968 | 0.1 | % | ||||||||||
U.S. Stock Index | BNY Institutional Cash Reserves Fund, Series B | 425,091 | 09/12/08 | $ | 425,091 | $ | 340,073 | 0.0 | % | ||||||
$ | 425,091 | $ | 340,073 | 0.0 | % | ||||||||||
Wells Fargo Small Cap Disciplined | BNY Institutional Cash Reserves Fund, Series B | 410,481 | 09/12/08 | $ | 410,481 | $ | 328,385 | 0.7 | % | ||||||
$ | 410,481 | $ | 328,385 | 0.7 | % | ||||||||||
NOTE 13 — 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, 2010, 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 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,
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 13 — SECURITIES LENDING (continued)
market and other risks associated with investing in the Portfolios. At June 30, 2010, the following Portfolios had securities on loan with the following market values:
Portfolio | Value of Securities Loaned | Value of Collateral* | ||||
BlackRock Large Cap Growth | $ | 3,374,948 | $ | 3,444,930 | ||
BlackRock Large Cap Value | 1,112,055 | 1,137,800 | ||||
Clarion Real Estate | 7,087,095 | 7,285,449 | ||||
Franklin Income | 58,900,527 | 60,508,703 | ||||
JPMorgan Small Cap Core Equity | 21,768,893 | 22,576,875 | ||||
Limited Maturity Bond | 42,666,278 | 43,546,983 | ||||
Lord Abbett Growth and Income | 1,019,595 | 1,079,060 | ||||
PIMCO High Yield | 4,533,380 | 4,650,990 | ||||
Templeton Global Growth | 10,887,788 | 11,435,123 | ||||
U.S. Stock Index | 16,204,475 | 16,798,748 | ||||
Wells Fargo Small Cap Disciplined | 2,747,882 | 2,914,835 |
* | Cash collateral received was invested in the BICR Fund, the fair value of which is presented in the respective Funds’ Portfolio of Investments. |
NOTE 14 — 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.
NOTE 15 — 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
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 15 — FEDERAL INCOME TAXES (continued)
capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, income from passive foreign investment corporations, 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, 2010 | Year Ended December 31, 2009 | ||||||||
Ordinary Income | Ordinary | Long-Term | |||||||
BlackRock Large Cap Growth | $ | — | $ | 1,275,950 | $ | — | |||
BlackRock Large Cap Value | — | 1,779,473 | — | ||||||
Clarion Real Estate | — | 26,051,544 | 15,169,387 | ||||||
Franklin Income | — | 43,986,345 | — | ||||||
Franklin Mutual Shares | — | 552,312 | — | ||||||
JPMorgan Small Cap Core Equity | — | 3,105,915 | 5,026,879 | ||||||
Large Cap Growth | — | 1,420,249 | — | ||||||
Limited Maturity Bond | — | 26,085,711 | — | ||||||
Lord Abbett Growth and Income | — | 1,209,833 | — | ||||||
PIMCO High Yield | 25,755,407 | 49,653,410 | — | ||||||
Pioneer Fund | — | 969,734 | — | ||||||
Templeton Global Growth | — | 12,502,316 | — | ||||||
U.S. Stock Index | — | 19,232,876 | — | ||||||
Wells Fargo Small Cap Disciplined | — | 1,014,536 | — |
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, 2009 were:
Undistributed | Unrealized | Post-October | Post-October | Capital Loss | Expiration | ||||||||||||||||
BlackRock Large Cap Growth | $ | 1,178,441 | $ | 30,778,862 | $ | — | $ | — | $ | (102,864,084 | ) | 2016 | |||||||||
(9,163,641 | ) | 2017 | |||||||||||||||||||
$ | (112,027,725 | ) | |||||||||||||||||||
BlackRock Large Cap Value | 2,817,152 | 14,802,546 | — | — | (34,075,942 | ) | 2016 | ||||||||||||||
(6,570,958 | ) | 2017 | |||||||||||||||||||
$ | (40,646,900 | ) | |||||||||||||||||||
Clarion Real Estate | 16,981,305 | 61,344,363 | (527,479 | ) | — | (457,241,077 | ) | 2017 | |||||||||||||
Franklin Income | 41,013,911 | (49,923,153 | ) | — | (29,166 | ) | (47,116,241 | ) | 2016 | ||||||||||||
(41,925,368 | ) | 2017 | |||||||||||||||||||
$ | (89,041,609 | ) | |||||||||||||||||||
Franklin Mutual Shares | 2,646,893 | (21,552,592 | ) | — | — | (46,763,970 | ) | 2016 | |||||||||||||
(52,094,547 | ) | 2017 | |||||||||||||||||||
$ | (98,858,517 | ) | |||||||||||||||||||
JPMorgan Small Cap Core Equity | 1,020,349 | (6,405,511 | ) | (2,048,956 | ) | — | (50,468,424 | ) | 2017 | ||||||||||||
Large Cap Growth | 1,545,601 | 65,313,024 | — | — | (937,898 | ) | 2016 | ||||||||||||||
(2,685,790 | ) | 2017 | |||||||||||||||||||
$ | (3,623,688 | ) | |||||||||||||||||||
60
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 15 — FEDERAL INCOME TAXES (continued)
Undistributed | Unrealized | Post-October | Post-October | Capital Loss | Expiration | ||||||||||||||||
Limited Maturity Bond | $ | 13,565,024 | $ | 2,402,648 | $ | — | $ | — | $ | (11,778,622 | ) | 2017 | |||||||||
Lord Abbett Growth and Income | 249,580 | 8,229,207 | — | — | (26,174,481 | ) | 2016 | ||||||||||||||
(45,124,300 | ) | 2017 | |||||||||||||||||||
$ | (71,298,781 | ) | |||||||||||||||||||
PIMCO High Yield | 6,614,839 | 40,360,215 | — | — | (15,989,377 | ) | 2016 | ||||||||||||||
(95,626,072 | ) | 2017 | |||||||||||||||||||
$ | (111,615,449 | ) | |||||||||||||||||||
Pioneer Equity Income | 3,389,687 | (1,096,771 | ) | — | — | (100,106 | ) | 2015 | |||||||||||||
(19,074,626 | ) | 2016 | |||||||||||||||||||
(26,611,009 | ) | 2017 | |||||||||||||||||||
$ | (45,785,741 | ) | |||||||||||||||||||
Pioneer Fund | 221,421 | 4,031,483 | — | — | (5,864,224 | ) | 2016 | ||||||||||||||
(7,475,143 | ) | 2017 | |||||||||||||||||||
$ | (13,339,367 | ) | |||||||||||||||||||
Templeton Global Growth | 9,561,445 | (26,870,126 | ) | (3,745,908 | ) | (3,916 | ) | (24,327,199 | ) | 2016 | |||||||||||
(59,727,625 | ) | 2017 | |||||||||||||||||||
$ | (84,054,824 | ) | |||||||||||||||||||
U.S. Stock Index | 5,264,498 | 217,595,226 | — | — | (6,412,597 | ) | 2016 | ||||||||||||||
Wells Fargo Small Cap Disciplined | 364,903 | 1,481,180 | — | — | (17,686,717 | ) | 2016 | ||||||||||||||
(33,210,733 | ) | 2017 | |||||||||||||||||||
$ | (50,897,450 | ) | |||||||||||||||||||
The Portfolios’ major tax jurisdictions are federal, Arizona, and Massachusetts. The earliest tax year that remains subject to examination by these jurisdictions is 2005.
As of June 30, 2010, no provisions for income tax would be required in the Portfolios’ financial statements as a
result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue.
NOTE 16 — SUBSEQUENT EVENTS
Dividends: Subsequent to June 30, 2010, the following Portfolios declared dividends from net investment income:
Per Share | Payable | Record | |||||
BlackRock Large Cap Growth | |||||||
Class ADV | $ | 0.0016 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.0426 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.0244 | July 15, 2010 | July 13, 2010 | |||
Class S2 | $ | 0.0143 | July 15, 2010 | July 13, 2010 | |||
BlackRock Large Cap Value | |||||||
Class ADV | $ | 0.1547 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.1548 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.1311 | July 15, 2010 | July 13, 2010 | |||
Class S2 | $ | 0.1153 | July 15, 2010 | July 13, 2010 |
Per Share | Payable | Record | |||||
Clarion Real Estate | |||||||
Class ADV | $ | 0.6933 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.7242 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.6876 | July 15, 2010 | July 13, 2010 | |||
Class S2 | $ | 0.6629 | July 15, 2010 | July 13, 2010 | |||
Franklin Income | |||||||
Class ADV | $ | 0.5374 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.5375 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.5177 | July 15, 2010 | July 13, 2010 | |||
Class S2 | $ | 0.5013 | July 15, 2010 | July 13, 2010 | |||
Franklin Mutual Shares | |||||||
Class ADV | $ | 0.0479 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.0479 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.0324 | July 15, 2010 | July 13, 2010 |
61
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 16 — SUBSEQUENT EVENTS (continued)
Per Share | Payable | Record | |||||
JPMorgan Small Cap Core Equity | |||||||
Class ADV | $ | 0.0248 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.0513 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.0325 | July 15, 2010 | July 13, 2010 | |||
Class S2 | $ | 0.0126 | July 15, 2010 | July 13, 2010 | |||
Large Cap Growth | |||||||
Class ADV | $ | 0.0480 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.0481 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.0372 | July 15, 2010 | July 13, 2010 | |||
Class S2 | $ | 0.0036 | July 15, 2010 | July 13, 2010 | |||
Limited Maturity Bond | |||||||
Class ADV | $ | 0.4208 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.4209 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.3928 | July 15, 2010 | July 13, 2010 | |||
Lord Abbett Growth and Income | |||||||
Class ADV | $ | 0.0139 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.0139 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.0138 | July 15, 2010 | July 13, 2010 | |||
Class S2 | $ | 0.0137 | July 15, 2010 | July 13, 2010 | |||
PIMCO High Yield | |||||||
Class ADV | $ | 0.0641 | August 2, 2010 | Daily | |||
Class I | $ | 0.0691 | August 2, 2010 | Daily | |||
Class S | $ | 0.0671 | August 2, 2010 | Daily | |||
Class S2 | $ | 0.0631 | August 2, 2010 | Daily | |||
Pioneer Equity Income | |||||||
Class ADV | $ | 0.1585 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.1950 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.1876 | July 15, 2010 | July 13, 2010 | |||
Pioneer Fund | |||||||
Class ADV | $ | 0.0272 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.0272 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.0270 | July 15, 2010 | July 13, 2010 |
Per Share | Payable | Record | |||||
Templeton Global Growth | |||||||
Class ADV | $ | 0.1327 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.1864 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.1624 | July 15, 2010 | July 13, 2010 | |||
Class S2 | $ | 0.1495 | July 15, 2010 | July 13, 2010 | |||
U.S. Stock Index | |||||||
Class ADV | $ | 0.0147 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.0148 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.0146 | July 15, 2010 | July 13, 2010 | |||
Class S2 | $ | 0.0145 | July 15, 2010 | July 13, 2010 | |||
Wells Fargo Small Cap Disciplined | |||||||
Class ADV | $ | 0.0526 | July 15, 2010 | July 13, 2010 | |||
Class I | $ | 0.0768 | July 15, 2010 | July 13, 2010 | |||
Class S | $ | 0.0655 | July 15, 2010 | July 13, 2010 | |||
Class S2 | $ | 0.0487 | July 15, 2010 | July 13, 2010 |
Effective March 25, 2010, the Board approved the merger of Wells Fargo Small Cap Disciplined with and into ING Small Company Portfolio. Subject to shareholder approval, the merger is expected to take place on or about August 21, 2010.
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.
62
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ING BLACKROCK LARGE CAP GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Industry Allocation
as of June 30, 2010
(as a percent of net assets)
Information Technology | 21.1% | |
Health Care | 18.5% | |
Consumer Discretionary | 17.5% | |
Industrials | 13.8% | |
Materials | 7.5% | |
Energy | 7.2% |
Consumer Staples | 6.5% | |
Utilities | 2.8% | |
Financials | 2.5% | |
Telecommunication Services | 2.3% | |
Other Assets and Liabilities – Net* | 0.3% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 99.7% | |||||||||
Consumer Discretionary: 17.5% | |||||||||
66,000 | Advance Auto Parts, Inc. | $ | 3,311,880 | 1.2 | |||||
90,000 | @ | Big Lots, Inc. | 2,888,100 | 1.0 | |||||
141,000 | Limited Brands, Inc. | 3,111,870 | 1.1 | ||||||
263,000 | News Corp. - Class A | 3,145,480 | 1.1 | ||||||
104,000 | Petsmart, Inc. | 3,137,680 | 1.1 | ||||||
62,000 | Ross Stores, Inc. | 3,303,980 | 1.1 | ||||||
103,000 | Target Corp. | 5,064,510 | 1.8 | ||||||
93,000 | TJX Cos., Inc. | 3,901,350 | 1.4 | ||||||
Other Securities | 21,988,040 | 7.7 | |||||||
49,852,890 | 17.5 | ||||||||
Consumer Staples: 6.5% | |||||||||
86,000 | Dr Pepper Snapple Group, Inc. | 3,215,540 | 1.1 | ||||||
70,000 | Hershey Co. | 3,355,100 | 1.2 | ||||||
42,000 | Lorillard, Inc. | 3,023,160 | 1.1 | ||||||
212,000 | Sara Lee Corp. | 2,989,200 | 1.0 | ||||||
165,000 | Walgreen Co. | 4,405,500 | 1.5 | ||||||
Other Securities | 1,573,690 | 0.6 | |||||||
18,562,190 | 6.5 | ||||||||
Energy: 7.2% | |||||||||
127,000 | @ | Exterran Holdings, Inc. | 3,277,870 | 1.2 | |||||
152,000 | ExxonMobil Corp. | 8,674,640 | 3.0 | ||||||
73,000 | SM Energy Co. | 2,931,680 | 1.0 | ||||||
114,000 | Teekay Shipping Corp. | 2,983,380 | 1.0 | ||||||
Other Securities | 2,749,440 | 1.0 | |||||||
20,617,010 | 7.2 | ||||||||
Financials: 2.5% | |||||||||
Other Securities | 7,175,160 | 2.5 | |||||||
Health Care: 18.5% | |||||||||
109,000 | Aetna, Inc. | 2,875,420 | 1.0 | ||||||
111,000 | AmerisourceBergen Corp. | 3,524,250 | 1.2 | ||||||
117,000 | Bristol-Myers Squibb Co. | 2,917,980 | 1.0 | ||||||
101,000 | Eli Lilly & Co. | 3,383,500 | 1.2 | ||||||
372,000 | @ | Health Management Associates, Inc. | 2,890,440 | 1.0 |
See Accompanying Notes to Financial Statements
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ING BLACKROCK LARGE CAP GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Health Care: (continued) | |||||||||
66,000 | @ | Humana, Inc. | $ | 3,014,220 | 1.1 | ||||
53,000 | McKesson Corp. | 3,559,480 | 1.3 | ||||||
78,000 | @ | Medco Health Solutions, Inc. | 4,296,240 | 1.5 | |||||
55,000 | L | Perrigo Co. | 3,248,850 | 1.1 | |||||
59,000 | @ | WellPoint, Inc. | 2,886,870 | 1.0 | |||||
Other Securities | 20,072,030 | 7.1 | |||||||
52,669,280 | 18.5 | ||||||||
Industrials: 13.8% | |||||||||
98,000 | Crane Co. | 2,960,580 | 1.0 | ||||||
59,000 | Joy Global, Inc. | 2,955,310 | 1.0 | ||||||
102,000 | @ | Owens Corning, Inc. | 3,050,820 | 1.1 | |||||
59,000 | Raytheon Co. | 2,855,010 | 1.0 | ||||||
61,000 | Toro Co. | 2,996,320 | 1.1 | ||||||
40,000 | Valmont Industries, Inc. | 2,906,400 | 1.0 | ||||||
Other Securities | 21,737,010 | 7.6 | |||||||
39,461,450 | 13.8 | ||||||||
Information Technology: 21.1% | |||||||||
27,000 | @ | Apple, Inc. | 6,791,310 | 2.4 | |||||
172,000 | CA, Inc. | 3,164,800 | 1.1 | ||||||
315,000 | @ | Dell, Inc. | 3,798,900 | 1.3 | |||||
341,000 | Intel Corp. | 6,632,450 | 2.3 | ||||||
24,000 | International Business Machines Corp. | 2,963,520 | 1.1 | ||||||
399,000 | Microsoft Corp. | 9,180,990 | 3.2 | ||||||
72,000 | @ | Sandisk Corp. | 3,029,040 | 1.1 | |||||
233,000 | @ | Seagate Technology, Inc. | 3,038,320 | 1.1 | |||||
95,000 | @ | Western Digital Corp. | 2,865,200 | 1.0 | |||||
Other Securities | 18,583,180 | 6.5 | |||||||
60,047,710 | 21.1 | ||||||||
Materials: 7.5% | |||||||||
131,000 | @ | Crown Holdings, Inc. | 3,280,240 | 1.1 | |||||
62,000 | Freeport-McMoRan Copper & Gold, Inc. | 3,666,060 | 1.3 | ||||||
38,000 | Lubrizol Corp. | 3,051,780 | 1.1 | ||||||
147,000 | Nalco Holding Co. | 3,007,620 | 1.1 | ||||||
164,000 | RPM International, Inc. | 2,925,760 | 1.0 | ||||||
Other Securities | 5,300,410 | 1.9 | |||||||
21,231,870 | 7.5 | ||||||||
Telecommunication Services: 2.3% | |||||||||
369,000 | @ | MetroPCS Communications, Inc. | 3,022,110 | 1.1 | |||||
Other Securities | 3,584,880 | 1.2 | |||||||
6,606,990 | 2.3 | ||||||||
Utilities: 2.8% | |||||||||
100,000 | Constellation Energy Group, Inc. | 3,225,000 | 1.1 | ||||||
75,000 | Integrys Energy Group, Inc. | 3,280,500 | 1.2 | ||||||
Other Securities | 1,358,150 | 0.5 | |||||||
7,863,650 | 2.8 | ||||||||
Total Common Stock (Cost $ 293,261,195) | 284,088,200 | 99.7 |
See Accompanying Notes to Financial Statements
64
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ING BLACKROCK LARGE CAP GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS: 1.3% | ||||||||||||
Affiliated Mutual Fund: 0.1% | ||||||||||||
355,573 | ING Institutional Prime Money Market Fund - Class I | $ | 355,573 | 0.1 | ||||||||
Total Mutual Fund (Cost $ 355,573) | 355,573 | 0.1 | ||||||||||
Principal Amount | Value | Percent of Net Assets | ||||||||||
Securities Lending Collateralcc: 1.2% | ||||||||||||
$ | 2,976,350 | BNY Mellon Overnight Government Fund(1) | $ | 2,976,350 | 1.1 | |||||||
468,580 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 374,864 | 0.1 | ||||||||
Total Securities Lending Collateral (Cost $ 3,444,930) | 3,351,214 | 1.2 | ||||||||||
Total Short-Term Investments (Cost $ 3,800,503) | 3,706,787 | 1.3 | ||||||||||
Total Investments in Securities (Cost $ 297,061,698)* | $ | 287,794,987 | 101.0 | |||||||||
Other Assets and Liabilities - Net | (2,908,314 | ) | (1.0 | ) | ||||||||
Net Assets | $ | 284,886,673 | 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, 2010.
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. |
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
I | Illiquid security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
* | Cost for federal income tax purposes is $298,420,136. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 13,846,811 | ||
Gross Unrealized Depreciation | (24,471,960 | ) | ||
Net Unrealized Depreciation | $ | (10,625,149 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Common Stock* | $ | 284,088,200 | $ | — | $ | — | $ | 284,088,200 | ||||
Short-Term Investments | 3,331,923 | — | 374,864 | 3,706,787 | ||||||||
Total Investments, at value | $ | 287,420,123 | $ | — | $ | 374,864 | $ | 287,794,987 | ||||
See Accompanying Notes to Financial Statements
65
Table of Contents
ING BLACKROCK LARGE CAP GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | |||||||||||||||||||
Asset Table | |||||||||||||||||||||||||||
Investments, at value | |||||||||||||||||||||||||||
Short-Term Investments | $ | 374,864 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 374,864 | |||||||||
Total Investments, at value | $ | 374,864 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 374,864 | |||||||||
As of June 30, 2010, 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.
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
Transfers in or out of Level 3 represents 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. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
See Accompanying Notes to Financial Statements
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ING BLACKROCK LARGE CAP VALUE PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Industry Allocation
as of June 30, 2010
(as a percent of net assets)
Financials | 18.1% | |
Health Care | 13.6% | |
Energy | 13.1% | |
Industrials | 12.8% | |
Materials | 11.3% | |
Consumer Discretionary | 8.8% |
Utilities | 7.7% | |
Information Technology | 4.8% | |
Consumer Staples | 3.8% | |
Telecommunication Services | 2.1% | |
Other Assets and Liabilities – Net* | 3.9% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 96.1% | |||||||||
Consumer Discretionary: 8.8% | |||||||||
35,000 | @, L | Autoliv, Inc. | $ | 1,674,750 | 1.0 | ||||
155,000 | @ | Liberty Media Corp. - Interactive - Class A | 1,627,500 | 1.0 | |||||
73,000 | Limited Brands, Inc. | 1,611,110 | 1.0 | ||||||
90,000 | Macy’s, Inc. | 1,611,000 | 1.0 | ||||||
Other Securities | 7,958,650 | 4.8 | |||||||
14,483,010 | 8.8 | ||||||||
Consumer Staples: 3.8% | |||||||||
84,000 | ConAgra Foods, Inc. | 1,958,880 | 1.2 | ||||||
120,000 | Sara Lee Corp. | 1,692,000 | 1.0 | ||||||
Other Securities | 2,579,200 | 1.6 | |||||||
6,230,080 | 3.8 | ||||||||
Energy: 13.1% | |||||||||
81,000 | Chevron Corp. | 5,496,660 | 3.4 | ||||||
23,000 | Cimarex Energy Co. | 1,646,340 | 1.0 | ||||||
39,000 | ConocoPhillips | 1,914,510 | 1.2 | ||||||
66,000 | Marathon Oil Corp. | 2,051,940 | 1.2 | ||||||
41,000 | @ | Oil States International, Inc. | 1,622,780 | 1.0 | |||||
78,000 | Southern Union Co. | 1,705,080 | 1.0 | ||||||
21,000 | @ | Whiting Petroleum Corp. | 1,646,820 | 1.0 | |||||
95,000 | Williams Cos., Inc. | 1,736,600 | 1.1 | ||||||
Other Securities | 3,586,880 | 2.2 | |||||||
21,407,610 | 13.1 | ||||||||
Financials: 18.1% | |||||||||
64,000 | American Financial Group, Inc. | 1,748,480 | 1.1 | ||||||
87,000 | @ | AmeriCredit Corp. | 1,585,140 | 1.0 | |||||
54,000 | Assurant, Inc. | 1,873,800 | 1.1 | ||||||
400,000 | Bank of America Corp. | 5,748,000 | 3.5 | ||||||
51,000 | Capital One Financial Corp. | 2,055,300 | 1.3 | ||||||
970,000 | @ | Citigroup, Inc. | 3,647,200 | 2.2 | |||||
7,000 | CME Group, Inc. | 1,970,850 | 1.2 | ||||||
37,000 | Prudential Financial, Inc. | 1,985,420 | 1.2 | ||||||
Other Securities | 9,056,830 | 5.5 | |||||||
29,671,020 | 18.1 |
See Accompanying Notes to Financial Statements
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ING BLACKROCK LARGE CAP VALUE PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Health Care: 13.6% | |||||||||
72,000 | Aetna, Inc. | $ | 1,899,360 | 1.2 | |||||
55,000 | AmerisourceBergen Corp. | 1,746,250 | 1.1 | ||||||
56,000 | Cardinal Health, Inc. | 1,882,160 | 1.1 | ||||||
64,000 | Eli Lilly & Co. | 2,144,000 | 1.3 | ||||||
67,000 | @ | Health Net, Inc. | 1,632,790 | 1.0 | |||||
38,000 | @ | Humana, Inc. | 1,735,460 | 1.1 | |||||
29,000 | McKesson Corp. | 1,947,640 | 1.2 | ||||||
95,000 | UnitedHealth Group, Inc. | 2,698,000 | 1.6 | ||||||
38,000 | @ | WellPoint, Inc. | 1,859,340 | 1.1 | |||||
Other Securities | 4,762,730 | 2.9 | |||||||
22,307,730 | 13.6 | ||||||||
Industrials: 12.8% | |||||||||
116,000 | General Electric Co. | 1,672,720 | 1.0 | ||||||
24,000 | L-3 Communications Holdings, Inc. | 1,700,160 | 1.1 | ||||||
36,000 | Northrop Grumman Corp. | 1,959,840 | 1.2 | ||||||
32,000 | Parker Hannifin Corp. | 1,774,720 | 1.1 | ||||||
40,000 | L | Ryder System, Inc. | 1,609,200 | 1.0 | |||||
Other Securities | 12,170,910 | 7.4 | |||||||
20,887,550 | 12.8 | ||||||||
Information Technology: 4.8% | |||||||||
136,000 | Intel Corp. | 2,645,200 | 1.6 | ||||||
50,000 | @ | Lexmark International, Inc. | 1,651,500 | 1.0 | |||||
Other Securities | 3,498,700 | 2.2 | |||||||
7,795,400 | 4.8 | ||||||||
Materials: 11.3% | |||||||||
34,000 | Ashland, Inc. | 1,578,280 | 1.0 | ||||||
71,000 | International Paper Co. | 1,606,730 | 1.0 | ||||||
20,000 | Lubrizol Corp. | 1,606,200 | 1.0 | ||||||
77,000 | MeadWestvaco Corp. | 1,709,400 | 1.0 | ||||||
31,000 | PPG Industries, Inc. | 1,872,710 | 1.1 | ||||||
92,000 | Sealed Air Corp. | 1,814,240 | 1.1 | ||||||
Other Securities | 8,373,570 | 5.1 | |||||||
18,561,130 | 11.3 | ||||||||
Telecommunication Services: 2.1% | |||||||||
Other Securities | 3,498,690 | 2.1 | |||||||
Utilities: 7.7% | |||||||||
52,000 | Constellation Energy Group, Inc. | 1,677,000 | 1.0 | ||||||
41,000 | DTE Energy Co. | 1,870,010 | 1.1 | ||||||
61,000 | Edison International | 1,934,920 | 1.2 | ||||||
40,000 | Integrys Energy Group, Inc. | 1,749,600 | 1.1 | ||||||
84,000 | @ | NRG Energy, Inc. | 1,781,640 | 1.1 | |||||
Other Securities | 3,591,140 | 2.2 | |||||||
12,604,310 | 7.7 | ||||||||
Total Common Stock (Cost $ 166,117,684) | 157,446,530 | 96.1 |
See Accompanying Notes to Financial Statements
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ING BLACKROCK LARGE CAP VALUE PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||||
SHORT-TERM INVESTMENTS: 4.4% | |||||||||||
Affiliated Mutual Fund: 3.8% | |||||||||||
6,224,383 | ING Institutional Prime Money Market Fund - Class I | $ | 6,224,383 | 3.8 | |||||||
Total Mutual Fund (Cost $ 6,224,383) | 6,224,383 | 3.8 | |||||||||
Principal Amount | Value | Percent of Net Assets | |||||||||
Securities Lending Collateralcc: 0.6% | |||||||||||
$871,579 | BNY Mellon Overnight Government Fund(1) | $ | 871,579 | 0.5 | |||||||
266,221 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 212,977 | 0.1 | |||||||
Total Securities Lending Collateral (Cost $ 1,137,800) | 1,084,556 | 0.6 | |||||||||
Total Short-Term Investments (Cost $ 7,362,183) | 7,308,939 | 4.4 | |||||||||
Total Investments in Securities (Cost $ 173,479,867)* | $ | 164,755,469 | 100.5 | ||||||||
Other Assets and Liabilities - Net | (866,717 | ) | (0.5 | ) | |||||||
Net Assets | $ | 163,888,752 | 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, 2010.
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. |
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
I | Illiquid security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
* | Cost for federal income tax purposes is $177,122,502. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 4,798,433 | ||
Gross Unrealized Depreciation | (17,165,466 | ) | ||
Net Unrealized Depreciation | $ | (12,367,033 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Common Stock* | $ | 157,446,530 | $ | — | $ | — | $ | 157,446,530 | ||||
Short-Term Investments | 7,095,962 | — | 212,977 | 7,308,939 | ||||||||
Total Investments, at value | $ | 164,542,492 | $ | — | $ | 212,977 | $ | 164,755,469 | ||||
See Accompanying Notes to Financial Statements
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ING BLACKROCK LARGE CAP VALUE PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | |||||||||||||||||||
Asset Table | |||||||||||||||||||||||||||
Investments, at value | |||||||||||||||||||||||||||
Short-Term Investments | $ | 212,977 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 212,977 | |||||||||
Total Investments, at value | $ | 212,977 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 212,977 | |||||||||
As of June 30, 2010, 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.
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
Transfers in or out of Level 3 represents 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. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
See Accompanying Notes to Financial Statements
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ING CLARION REAL ESTATE PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Industry Allocation
as of June 30, 2010
(as a percent of net assets)
Financials | 96.2% | |
Consumer Discretionary | 2.2% |
Other Assets and Liabilities – Net* | 1.6% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 3.3% | |||||||||
Consumer Discretionary: 2.2% | |||||||||
139,700 | @ | Hyatt Hotels Corp. | $ | 5,181,473 | 1.1 | ||||
115,800 | Starwood Hotels & Resorts Worldwide, Inc. | 4,797,594 | 1.1 | ||||||
9,979,067 | 2.2 | ||||||||
Financials: 1.1% | |||||||||
364,700 | Brookfield Properties Co. | 5,120,388 | 1.1 | ||||||
Total Common Stock (Cost $ 13,979,095) | 15,099,455 | 3.3 | |||||||
REAL ESTATE INVESTMENT TRUSTS: 95.1% | |||||||||
Financials: 95.1% | |||||||||
243,360 | Acadia Realty Trust | 4,093,315 | 0.9 | ||||||
157,571 | Alexandria Real Estate Equities, Inc. | 9,985,274 | 2.2 | ||||||
481,478 | AMB Property Corp. | 11,415,843 | 2.5 | ||||||
306,478 | Apartment Investment & Management Co. | 5,936,479 | 1.3 | ||||||
231,300 | Associated Estates Realty Corp. | 2,995,335 | 0.6 | ||||||
186,792 | AvalonBay Communities, Inc. | 17,440,769 | 3.8 | ||||||
255,496 | Boston Properties, Inc. | 18,227,084 | 3.9 | ||||||
711,100 | Brandywine Realty Trust | 7,644,325 | 1.6 | ||||||
221,820 | BRE Properties, Inc. | 8,191,813 | 1.8 | ||||||
146,200 | Camden Property Trust | 5,972,270 | 1.3 | ||||||
422,900 | CBL & Associates Properties, Inc. | 5,260,876 | 1.1 | ||||||
297,700 | Colonial Properties Trust | 4,325,581 | 0.9 | ||||||
856,800 | Developers Diversified Realty Corp. | 8,482,320 | 1.8 | ||||||
167,957 | L | Digital Realty Trust, Inc. | 9,687,760 | 2.1 | |||||
124,766 | Equity Lifestyle Properties, Inc. | 6,017,464 | 1.3 | ||||||
575,771 | Equity Residential | 23,975,104 | 5.2 | ||||||
264,496 | Extra Space Storage, Inc. | 3,676,494 | 0.8 | ||||||
191,988 | Federal Realty Investment Trust | 13,490,997 | 2.9 | ||||||
352,252 | HCP, Inc. | 11,360,127 | 2.5 | ||||||
305,747 | Highwoods Properties, Inc. | 8,487,537 | 1.8 | ||||||
422,621 | Hospitality Properties Trust | 8,917,303 | 1.9 | ||||||
1,475,668 | Host Hotels & Resorts, Inc. | 19,892,007 | 4.3 | ||||||
127,900 | @ | Hudson Pacific Properties, Inc. | 2,206,275 | 0.5 | |||||
171,300 | Kilroy Realty Corp. | 5,092,749 | 1.1 | ||||||
461,478 | Kimco Realty Corp. | 6,202,264 | 1.3 | ||||||
415,745 | Liberty Property Trust | 11,994,243 | 2.6 | ||||||
453,923 | Macerich Co. | 16,940,406 | 3.7 |
See Accompanying Notes to Financial Statements
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ING CLARION REAL ESTATE PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | ||||||||||
Financials: (continued) | ||||||||||||
367,419 | Nationwide Health Properties, Inc. | $ | 13,142,578 | 2.8 | ||||||||
37,900 | @ | Pebblebrook Hotel Trust | 714,415 | 0.2 | ||||||||
177,900 | L | Pennsylvania Real Estate Investment Trust | 2,173,938 | 0.5 | ||||||||
435,663 | Prologis | 4,413,266 | 1.0 | |||||||||
196,764 | Public Storage, Inc. | 17,297,523 | 3.7 | |||||||||
327,003 | Regency Centers Corp. | 11,248,903 | 2.4 | |||||||||
555,511 | Simon Property Group, Inc. | 44,857,513 | 9.7 | |||||||||
199,954 | SL Green Realty Corp. | 11,005,468 | 2.4 | |||||||||
209,849 | Tanger Factory Outlet Centers, Inc. | 8,683,552 | 1.9 | |||||||||
223,074 | Taubman Centers, Inc. | 8,394,275 | 1.8 | |||||||||
560,203 | UDR, Inc. | 10,716,683 | 2.3 | |||||||||
493,400 | U-Store-It Trust | 3,680,764 | 0.8 | |||||||||
340,140 | Ventas, Inc. | 15,969,573 | 3.5 | |||||||||
406,033 | Vornado Realty Trust | 29,620,107 | 6.4 | |||||||||
Total Real Estate Investment Trusts (Cost $ 332,638,750) | 439,830,572 | 95.1 | ||||||||||
Total Long-Term Investments (Cost $ 346,617,845) | 454,930,027 | 98.4 | ||||||||||
SHORT-TERM INVESTMENTS: 3.4% | ||||||||||||
Affiliated Mutual Fund: 2.0% | ||||||||||||
9,068,811 | ING Institutional Prime Money Market Fund - Class I | 9,068,811 | 2.0 | |||||||||
Total Mutual Fund (Cost $ 9,068,811) | 9,068,811 | 2.0 | ||||||||||
Principal Amount | Value | Percent of Net Assets | ||||||||||
Securities Lending Collateralcc: 1.4% | ||||||||||||
$ | 3,526,566 | BNY Mellon Overnight Government Fund(1) | $ | 3,526,566 | 0.8 | |||||||
3,758,883 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 3,007,107 | 0.6 | ||||||||
Total Securities Lending Collateral (Cost $ 7,285,449) | 6,533,673 | 1.4 | ||||||||||
Total Short-Term Investments (Cost $ 16,354,260) | 15,602,484 | 3.4 | ||||||||||
Total Investments in Securities (Cost $ 362,972,105)* | $ | 470,532,511 | 101.8 | |||||||||
Other Assets and Liabilities - Net | (8,246,948 | ) | (1.8 | ) | ||||||||
Net Assets | $ | 462,285,563 | 100.0 | |||||||||
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. |
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
I | Illiquid security |
See Accompanying Notes to Financial Statements
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ING CLARION REAL ESTATE PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
* | Cost for federal income tax purposes is $419,586,761. |
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 111,317,352 | ||
Gross Unrealized Depreciation | (60,371,602 | ) | ||
Net Unrealized Appreciation | $ | 50,945,750 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Common Stock* | $ | 15,099,455 | $ | — | $ | — | $ | 15,099,455 | ||||
Real Estate Investment Trusts | 439,830,572 | — | — | 439,830,572 | ||||||||
Short-Term Investments | 12,595,377 | — | 3,007,107 | 15,602,484 | ||||||||
Total Investments, at value | $ | 467,525,404 | $ | — | $ | 3,007,107 | $ | 470,532,511 | ||||
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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | |||||||||||||||||||
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, 2010, 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.
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
Transfers in or out of Level 3 represents 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. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
See Accompanying Notes to Financial Statements
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ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Investment Type Allocation
as of June 30, 2010
(as a percent of net assets)
Corporate Bonds/Notes | 60.5% | |
Common Stock | 31.4% | |
Preferred Stock | 5.7% |
Municipal Bonds | 0.5% | |
Other Assets and Liabilities – Net* | 1.9% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to securities lending collateral. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 31.4% | |||||||||
Consumer Discretionary: 1.1% | |||||||||
Other Securities | $ | 7,908,886 | 1.1 | ||||||
Consumer Staples: 0.6% | |||||||||
Other Securities | 4,489,434 | 0.6 | |||||||
Energy: 5.4% | |||||||||
350,000 | L | Canadian Oil Sands Trust | 8,873,703 | 1.2 | |||||
200,000 | ConocoPhillips | 9,818,000 | 1.3 | ||||||
200,000 | ExxonMobil Corp. | 11,414,000 | 1.6 | ||||||
Other Securities | 9,648,766 | 1.3 | |||||||
39,754,469 | 5.4 | ||||||||
Financials: 3.8% | |||||||||
550,000 | Bank of America Corp. | 7,903,500 | 1.1 | ||||||
200,000 | JP Morgan Chase & Co. | 7,322,000 | 1.0 | ||||||
299,600 | Wells Fargo & Co. | 7,669,760 | 1.0 | ||||||
Other Securities | 5,287,690 | 0.7 | |||||||
28,182,950 | 3.8 | ||||||||
Health Care: 2.5% | |||||||||
350,000 | Merck & Co., Inc. | 12,239,500 | 1.7 | ||||||
Other Securities | 5,916,700 | 0.8 | |||||||
18,156,200 | 2.5 | ||||||||
Industrials: 0.1% | |||||||||
Other Securities | 721,000 | 0.1 | |||||||
Information Technology: 1.4% | |||||||||
300,000 | Intel Corp. | 5,835,000 | 0.8 | ||||||
Other Securities | 4,619,400 | 0.6 | |||||||
10,454,400 | 1.4 | ||||||||
Materials: 1.8% | |||||||||
120,000 | Newmont Mining Corp. | 7,408,800 | 1.0 | ||||||
Other Securities | 5,760,700 | 0.8 | |||||||
13,169,500 | 1.8 | ||||||||
Telecommunication Services: 2.7% | |||||||||
275,000 | AT&T, Inc. | 6,652,250 | 0.9 | ||||||
2,750,000 | Vodafone Group PLC | 5,666,348 | 0.8 | ||||||
Other Securities | 7,488,701 | 1.0 | |||||||
19,807,299 | 2.7 |
See Accompanying Notes to Financial Statements
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ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Utilities: 12.0% | |||||||||
160,000 | Dominion Resources, Inc. | $ | 6,198,400 | 0.8 | |||||
550,000 | Duke Energy Corp. | 8,800,000 | 1.2 | ||||||
150,000 | NextEra Energy, Inc. | 7,314,000 | 1.0 | ||||||
190,000 | Pacific Gas & Electric Co. | 7,809,000 | 1.1 | ||||||
175,000 | Public Service Enterprise Group, Inc. | 5,482,750 | 0.7 | ||||||
120,000 | Sempra Energy | 5,614,800 | 0.8 | ||||||
325,000 | Southern Co. | 10,816,000 | 1.5 | ||||||
300,000 | Xcel Energy, Inc. | 6,183,000 | 0.8 | ||||||
Other Securities | 30,323,074 | 4.1 | |||||||
88,541,024 | 12.0 | ||||||||
Total Common Stock (Cost $272,950,644) | 231,185,162 | 31.4 | |||||||
PREFERRED STOCK: 5.7% | |||||||||
Consumer Discretionary: 0.1% | |||||||||
Other Securities | 823,500 | 0.1 | |||||||
Energy: 0.5% | |||||||||
3,500 | @, # | Chesapeake Energy Corp. | 3,422,564 | 0.5 | |||||
Financials: 4.6% | |||||||||
9,300 | Bank of America Corp. | 8,444,400 | 1.2 | ||||||
250,000 | @, # | Barclays Bank PLC | 3,026,325 | 0.4 | |||||
100,000 | @, # | Deutsche Bank AG/London | 2,227,070 | 0.3 | |||||
1,839 | #, P, L | General Motors Acceptance Corp. | 1,429,535 | 0.2 | |||||
75,000 | @, # | Goldman Sachs Group, Inc. | 3,171,728 | 0.4 | |||||
8,000 | Wells Fargo & Co. | 7,448,000 | 1.0 | ||||||
Other Securities | 8,372,135 | 1.1 | |||||||
34,119,193 | 4.6 | ||||||||
Health Care: 0.3% | |||||||||
2,500 | Tenet Healthcare Corp. | 2,090,625 | 0.3 | ||||||
Sovereign: 0.1% | |||||||||
191,500 | @, P, ## | Federal Home Loan Mortgage Corporation | 65,110 | 0.0 | |||||
Other Securities | 306,252 | 0.1 | |||||||
371,362 | 0.1 | ||||||||
Utilities: 0.1% | |||||||||
20,000 | NextEra Energy, Inc. | 987,000 | 0.1 | ||||||
Total Preferred Stock (Cost $66,802,602) | 41,814,244 | 5.7 | |||||||
WARRANTS: 0.0% | |||||||||
Consumer Discretionary: 0.0% | |||||||||
Other Securities | 132,725 | 0.0 | |||||||
Total Warrants (Cost $9,030,960) | 132,725 | 0.0 |
See Accompanying Notes to Financial Statements
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ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | ||||||||
CORPORATE BONDS/NOTES: 60.6% | ||||||||||
Consumer Discretionary: 7.0% | ||||||||||
$ | 1,000,000 | # | Cablevision Systems Corp., 8.625%, due 09/15/17 | $ | 1,025,000 | 0.9 | ||||
6,000,000 | L | Cablevision Systems Corp., 7.750%-8.000%, due 04/15/18-04/15/20 | 6,067,500 | |||||||
5,867,024 | CCH II, LLC / CCH II Capital Corp., 13.500%, due 11/30/16 | 6,864,418 | 0.9 | |||||||
3,700,000 | # | CCO Holdings LLC / CCO Holdings Capital Corp., 8.125%, due 04/30/20 | 3,801,750 | 0.5 | ||||||
2,000,000 | # | Cequel Communications Holdings I, LLC and Cequel Capital Corp., 8.625%, due 11/15/17 | 2,002,500 | 0.3 | ||||||
8,469,075 | Clear Channel Communications, Inc., 3.997%, due 11/13/15 | 6,591,058 | 0.9 | |||||||
400,000 | #, L | Clear Channel Worldwide Holdings, Inc., 9.250%, due 12/15/17 | 400,000 | 0.3 | ||||||
1,600,000 | # | Clear Channel Worldwide Holdings, Inc., 9.250%, due 12/15/17 | 1,616,000 | |||||||
4,154,084 | &, #, L | Univision Communications, Inc., 9.750%, due 03/15/15 | 3,479,045 | 0.5 | ||||||
Other Securities | 19,843,316 | 2.7 | ||||||||
51,690,587 | 7.0 | |||||||||
Consumer Staples: 2.6% | ||||||||||
8,000,000 | Hertz Corp., 8.875%, due 01/01/14 | 8,140,000 | 1.3 | |||||||
1,500,000 | L | Hertz Corp., 10.500%, due 01/01/16 | 1,563,750 | |||||||
3,300,000 | # | Johnsondiversey Holdings, Inc., 10.500%, due 05/15/20 | 3,679,500 | 0.5 | ||||||
Other Securities | 5,838,750 | 0.8 | ||||||||
19,222,000 | 2.6 | |||||||||
Energy: 11.8% | ||||||||||
1,400,000 | # | Antero Resources Finance Corp., 9.375%, due 12/01/17 | 1,407,000 | 0.2 | ||||||
1,500,000 | #, L | ATP Oil & Gas Corp., 11.875%, due 05/01/15 | 1,095,000 | 0.1 | ||||||
6,000,000 | Chesapeake Energy Corp., 7.250%, due 12/15/18 | 6,225,000 | 2.3 | |||||||
10,500,000 | Chesapeake Energy Corp., 6.250%-9.500%, due 02/15/15-11/15/20 | 10,986,250 | ||||||||
1,400,000 | # | Consol Energy, Inc., 8.250%, due 04/01/20 | 1,466,500 | 0.2 | ||||||
6,000,000 | Dynegy Holdings, Inc., 7.500%, due 06/01/15 | 4,777,500 | 1.0 | |||||||
3,300,000 | Dynegy Holdings, Inc., 7.750%-8.375%, due 05/01/16-06/01/19 | 2,377,625 | ||||||||
4,500,000 | El Paso Corp., 7.250%, due 06/01/18 | 4,534,628 | 0.9 | |||||||
1,600,000 | El Paso Corp., 12.000%, due 12/12/13 | 1,852,000 | ||||||||
1,900,000 | # | Expro Finance Luxembourg SCA, 8.500%, due 12/15/16 | 1,824,000 | 0.2 | ||||||
2,000,000 | # | Linn Energy LLC/Linn Energy Finance Corp., 8.625%, due 04/15/20 | 2,057,500 | 0.3 | ||||||
6,600,000 | PetroHawk Energy Corp., 7.875%-10.500%, due 08/01/14-06/01/15 | 6,823,500 | 0.9 | |||||||
4,000,000 | #, L | SandRidge Energy, Inc., 8.000%, due 06/01/18 | 3,810,000 | 1.0 | ||||||
3,200,000 | # | SandRidge Energy, Inc., 9.875%, due 05/15/16 | 3,264,000 | |||||||
3,000,000 | # | W&T Offshore, Inc., 8.250%, due 06/15/14 | 2,715,000 | 0.4 | ||||||
Other Securities | 31,561,993 | 4.3 | ||||||||
86,777,496 | 11.8 | |||||||||
Financials: 13.9% | ||||||||||
3,500,000 | # | Ally Financial, Inc., 8.000%, due 03/15/20 | 3,430,000 | 0.5 | ||||||
1,500,000 | L | Bank of America Corp., 8.125%, due 12/29/49 | 1,450,770 | 0.2 | ||||||
3,600,000 | # | CEVA Group PLC, 11.500%, due 04/01/18 | 3,742,557 | 0.5 | ||||||
9,500,000 | L | CIT Group, Inc., 7.000%, due 05/01/15 | 8,811,250 | 2.1 | ||||||
7,500,000 | L | CIT Group, Inc., 7.000%, due 05/01/14-05/01/17 | 6,943,750 | |||||||
5,000,000 | Ford Motor Credit Co., LLC, 12.000%, due 05/15/15 | 5,793,440 | 2.2 | |||||||
10,100,000 | L | Ford Motor Credit Co., LLC, 7.000%-8.700%, due 08/01/12-04/15/15 | 10,333,856 | |||||||
2,500,000 | # | Goldman Sachs Group, Inc., 10.550%, due 07/21/10 | 2,961,169 | 0.4 | ||||||
6,300,000 | L | Host Hotels & Resorts L.P., 6.375%-9.000%, due 11/01/14-05/15/17 | 6,331,375 | 0.9 |
See Accompanying Notes to Financial Statements
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ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | ||||||||
Financials: (continued) | ||||||||||
$ | 2,000,000 | # | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp., 7.750%, due 01/15/16 | $ | 1,955,000 | 0.5 | ||||
2,000,000 | # | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp., 8.000%, due 01/15/18 | 1,950,000 | |||||||
700,000 | # | International Lease Finance Corp., 8.625%, due 09/15/15 | 665,000 | 0.1 | ||||||
9,500,000 | iStar Financial, Inc., 1.033%-8.625%, due 10/01/12-06/01/13 | 7,340,000 | 1.0 | |||||||
12,500,000 | JP Morgan Chase & Co., 7.900%, due 04/29/49 | 12,926,238 | 1.8 | |||||||
1,100,000 | # | LBI Escrow Corp., 8.000%, due 11/01/17 | 1,135,750 | 0.1 | ||||||
6,000,000 | # | Liberty Mutual Group, Inc., 10.750%, due 06/15/58 | 6,540,000 | 0.9 | ||||||
800,000 | # | New Communications Holdings, Inc., 8.250%, due 04/15/17 | 807,000 | 0.2 | ||||||
900,000 | # | New Communications Holdings, Inc., 8.500%, due 04/15/20 | 906,750 | |||||||
1,000,000 | # | Petroplus Finance Ltd., 6.750%, due 05/01/14 | 875,000 | 0.5 | ||||||
1,500,000 | # | Petroplus Finance Ltd., 7.000%, due 05/01/17 | 1,230,000 | |||||||
1,500,000 | # | Petroplus Finance Ltd., 9.375%, due 09/15/19 | 1,297,500 | |||||||
2,100,000 | # | UPC Germany GmbH, 8.125%, due 12/01/17 | 2,068,500 | 0.3 | ||||||
1,750,000 | #, ± | Washington Mutual IV, 9.750%, due 10/29/49 | 72,188 | 0.0 | ||||||
6,500,000 | Wells Fargo Capital XV, 9.750%, due 09/26/44 | 6,987,500 | 0.9 | |||||||
Other Securities | 6,037,804 | 0.8 | ||||||||
102,592,397 | 13.9 | |||||||||
Health Care: 6.8% | ||||||||||
5,000,000 | Community Health Systems, Inc., 8.875%, due 07/15/15 | 5,168,750 | 0.7 | |||||||
6,500,000 | HCA, Inc., 8.500%, due 04/15/19 | 6,922,500 | 2.3 | |||||||
10,000,000 | HCA, Inc., 6.500%-9.250%, due 02/15/16-02/15/20 | 10,163,750 | ||||||||
4,000,000 | &, # | Quintiles Transnational Corp., 9.500%, due 12/30/14 | 4,030,000 | 0.5 | ||||||
500,000 | # | Talecris Biotherapeutics Holdings Corp., 7.750%, due 11/15/16 | 535,000 | 0.1 | ||||||
2,750,000 | # | Tenet Healthcare Corp., 9.000%, due 05/01/15 | 2,921,875 | 2.1 | ||||||
5,000,000 | L | Tenet Healthcare Corp., 9.250%, due 02/01/15 | 5,187,500 | |||||||
2,750,000 | # | Tenet Healthcare Corp., 10.000%, due 05/01/18 | 3,052,500 | |||||||
4,000,000 | Tenet Healthcare Corp., 7.375%, due 02/01/13 | 4,020,000 | ||||||||
Other Securities | 8,058,260 | 1.1 | ||||||||
50,060,135 | 6.8 | |||||||||
Industrials: 2.8% | ||||||||||
2,500,000 | # | Bombardier, Inc., 7.750%, due 03/15/20 | 2,606,250 | 0.4 | ||||||
4,900,000 | # | Case New Holland, Inc., 7.875%, due 12/01/17 | 4,961,250 | 0.7 | ||||||
2,500,000 | # | Niska Gas Storage US LLC/Niska Gas Storage Canada ULC, 8.875%, due 03/15/18 | 2,550,000 | 0.3 | ||||||
2,200,000 | # | RBS Global, Inc. / Rexnord LLC, 8.500%, due 05/01/18 | 2,145,000 | 0.5 | ||||||
1,500,000 | L | RBS Global, Inc. and Rexnord Corp., 11.750%, due 08/01/16 | 1,571,250 | |||||||
Other Securities | 6,426,875 | 0.9 | ||||||||
20,260,625 | 2.8 | |||||||||
Information Technology: 5.4% | ||||||||||
1,500,000 | # | Advanced Micro Devices, Inc., 8.125%, due 12/15/17 | 1,500,000 | 0.2 | ||||||
5,854,887 | First Data Corp., 3.097%, due 09/24/14 | 4,942,061 | 1.9 | |||||||
5,700,000 | First Data Corp., 9.875%, due 09/24/15 | 4,303,500 | ||||||||
6,750,000 | L | First Data Corp., 9.875%-11.250%, due 09/24/15-03/31/16 | 4,946,250 | |||||||
6,000,000 | L | Freescale Semiconductor, Inc., 8.875%, due 12/15/14 | 5,505,000 | 2.0 | ||||||
3,000,000 | # | Freescale Semiconductor, Inc., 9.250%, due 04/15/18 | 2,977,500 | |||||||
5,000,000 | # | Freescale Semiconductor, Inc., 10.125%, due 03/15/18 | 5,125,000 | |||||||
1,000,000 | L | Freescale Semiconductor, Inc., 10.125%, due 12/15/16 | 805,000 | |||||||
1,500,000 | # | IMS Health, Inc., 12.500%, due 03/01/18 | 1,721,250 | 0.3 | ||||||
Other Securities | 7,494,000 | 1.0 | ||||||||
39,319,561 | 5.4 |
See Accompanying Notes to Financial Statements
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ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | |||||||||
Materials: 2.5% | |||||||||||
EUR 3,220,000 | # | Ineos Group Holdings PLC, 7.875%, due 02/15/16 | $ | 2,884,281 | 0.4 | ||||||
$ 5,000,000 | # | JohnsonDiversey, Inc., 8.250%, due 11/15/19 | 5,175,000 | 0.7 | |||||||
Other Securities | 10,350,882 | 1.4 | |||||||||
18,410,163 | 2.5 | ||||||||||
Telecommunication Services: 1.8% | |||||||||||
3,000,000 | #, L | Clearwire Communications, LLC/Clearwire Finance, Inc., 12.000%, due 12/01/15 | 3,003,750 | 0.8 | |||||||
2,500,000 | # | Clearwire Communications, LLC/Clearwire Finance, Inc., 12.000%, due 12/01/15 | 2,490,625 | ||||||||
1,000,000 | # | Digicel Group Ltd., 8.875%, due 01/15/15 | 982,500 | 0.1 | |||||||
4,250,000 | UPC Germany GmbH, 8.125%-9.625%, due 12/01/17-12/01/19 | 5,207,824 | 0.7 | ||||||||
Other Securities | 1,530,000 | 0.2 | |||||||||
13,214,699 | 1.8 | ||||||||||
Utilities: 6.0% | |||||||||||
1,750,000 | # | Calpine Construction Finance Co. L.P., 8.000%, due 06/01/16 | 1,798,125 | 0.3 | |||||||
17,737,149 | & | Energy Future Holdings, 11.250%, due 11/01/17 | 11,617,829 | 1.7 | |||||||
1,500,000 | L | Energy Future Holdings, 10.875%, due 11/01/17 | 1,117,500 | ||||||||
1,500,000 | # | Intergen NV, 9.000%, due 06/30/17 | 1,500,000 | 0.2 | |||||||
4,600,000 | RRI Energy, Inc., 7.875%, due 06/15/17 | 4,370,000 | 0.7 | ||||||||
1,000,000 | L | RRI Energy, Inc., 7.625%, due 06/15/14 | 990,000 | ||||||||
11,000,000 | L | Texas Competitive Electric Holdings Co., LLC, 10.250%, due 11/01/15 | 7,315,000 | 2.7 | |||||||
17,632,988 | &, L | Texas Competitive Electric Holdings Co., LLC, 3.850%-10.500%, due 10/24/14-11/01/16 | 12,262,352 | ||||||||
Other Securities | 3,210,202 | 0.4 | |||||||||
44,181,008 | 6.0 | ||||||||||
Total Corporate Bonds/Notes (Cost $449,084,669) | 445,728,671 | 60.6 | |||||||||
MUNICIPAL BONDS: 0.4% | |||||||||||
California: 0.4% | |||||||||||
Other Securities | 3,154,170 | 0.4 | |||||||||
Total Municipal Bonds (Cost $3,003,529) | 3,154,170 | 0.4 | |||||||||
Total Long-Term Investments (Cost $800,872,404) | 722,014,972 | 98.1 | |||||||||
Shares | Value | Percent of Net Assets | |||||||||
SHORT-TERM INVESTMENTS: 8.2% | |||||||||||
Securities Lending Collateralcc: 8.2% | |||||||||||
60,246,452 | BNY Mellon Overnight Government Fund(1) | $ | 60,246,452 | 8.2 | |||||||
262,251 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 209,800 | 0.0 | |||||||
8.2 | |||||||||||
Total Short-Term Investments (Cost $60,508,703) | 60,456,252 | 8.2 | |||||||||
Total Investments in Securities (Cost $861,381,107)* | $ | 782,471,224 | 106.3 | ||||||||
Other Assets and Liabilities - Net | (46,118,220 | ) | (6.3 | ) | |||||||
Net Assets | $ | 736,353,004 | 100.0 | ||||||||
See Accompanying Notes to Financial Statements
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ING FRANKLIN INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of June 30, 2010.
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 |
& | Payment-in-kind |
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. |
P | Preferred Stock may be called prior to convertible date. |
cc | Securities purchased with cash collateral for securities loaned. |
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
## | 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. |
I | Illiquid security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
± | Defaulted security |
EUR | EU Euro |
* | Cost for federal income tax purposes is $861,382,143. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 31,657,312 | ||
Gross Unrealized Depreciation | (110,568,231 | ) | ||
Net Unrealized Depreciation | $ | (78,910,919 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Common Stock | ||||||||||||
Consumer Discretionary | $ | 7,908,886 | $ | — | $ | — | $ | 7,908,886 | ||||
Consumer Staples | 2,133,250 | 2,356,184 | — | 4,489,434 | ||||||||
Energy | 39,754,469 | — | — | 39,754,469 | ||||||||
Financials | 24,643,942 | 3,539,008 | — | 28,182,950 | ||||||||
Health Care | 18,156,200 | — | — | 18,156,200 | ||||||||
Industrials | 721,000 | — | — | 721,000 | ||||||||
Information Technology | 10,454,400 | — | — | 10,454,400 | ||||||||
Materials | 13,169,500 | — | — | 13,169,500 | ||||||||
Telecommunication Services | 11,960,350 | 7,846,949 | — | 19,807,299 | ||||||||
Utilities | 88,541,024 | — | — | 88,541,024 | ||||||||
Total Common Stock | 217,443,021 | 13,742,141 | — | 231,185,162 | ||||||||
Preferred Stock | 7,480,000 | 34,334,244 | — | 41,814,244 | ||||||||
Warrants | — | 132,725 | — | 132,725 | ||||||||
Corporate Bonds/Notes | — | 442,767,502 | 2,961,169 | 445,728,671 | ||||||||
Municipal Bonds | — | 3,154,170 | — | 3,154,170 | ||||||||
Short-Term Investments | 60,246,452 | — | 209,800 | 60,456,252 | ||||||||
Total Investments, at value | $ | 285,169,473 | $ | 494,130,782 | $ | 3,170,969 | $ | 782,471,224 | ||||
See Accompanying Notes to Financial Statements
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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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | ||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||
Preferred Stock | $ | 3,456,607 | $ | — | $ | — | $ | — | $ | (96,441 | ) | $ | 23,031 | $ | — | $ | (3,383,197 | ) | $ | — | ||||||||||
Corporate Bonds/Notes | 3,047,231 | — | — | — | — | (86,062 | ) | — | — | 2,961,169 | ||||||||||||||||||||
Short-Term Investments | 209,800 | — | — | — | — | — | — | — | 209,800 | |||||||||||||||||||||
Total Investments, at value | $ | 6,713,638 | $ | — | $ | — | $ | — | $ | (96,441 | ) | $ | (63,031 | ) | $ | — | $ | (3,383,197 | ) | $ | 3,170,969 | |||||||||
As of June 30, 2010, total change in unrealized gain (loss) on Level 3 securities still held at period end and included in the change in net assets was $(86,062).
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
Transfers in or out of Level 3 represents 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. |
# | 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. |
See Accompanying Notes to Financial Statements
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ING FRANKLIN MUTUAL SHARES PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Industry Allocation
as of June 30, 2010
(as a percent of net assets)
Consumer Staples | 23.2% | |
Financials | 18.0% | |
Information Technology | 9.3% | |
Consumer Discretionary | 8.0% | |
Health Care | 7.9% | |
Industrials | 6.2% | |
Energy | 5.6% |
Utilities | 4.7% | |
Materials | 4.6% | |
Telecommunication Services | 3.4% | |
Consumer Discretionary | 0.3% | |
Other Assets and Liabilities – Net* | 8.8% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to U.S. government agency obligation and U.S. Treasury Bill. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 83.2% | |||||||||
Consumer Discretionary: 7.0% | |||||||||
1,304,035 | @, I | DaimlerChrysler Escrow | $ | 599,856 | 0.1 | ||||
248,099 | Mattel, Inc. | 5,249,775 | 1.2 | ||||||
690,084 | News Corp. - Class A | 8,253,405 | 1.9 | ||||||
313,583 | Virgin Media, Inc. | 5,233,700 | 1.2 | ||||||
Other Securities | 11,553,484 | 2.6 | |||||||
30,890,220 | 7.0 | ||||||||
Consumer Staples: 23.2% | |||||||||
464,181 | Altria Group, Inc. | 9,302,185 | 2.1 | ||||||
310,766 | British American Tobacco PLC | 9,862,400 | 2.2 | ||||||
82 | British American Tobacco PLC ADR | 5,191 | |||||||
404,821 | CVS Caremark Corp. | 11,869,352 | 2.7 | ||||||
175,638 | Dr Pepper Snapple Group, Inc. | 6,567,105 | 1.5 | ||||||
105,752 | General Mills, Inc. | 3,756,311 | 0.8 | ||||||
286,682 | Imperial Tobacco Group PLC | 8,010,083 | 1.8 | ||||||
338,111 | Kraft Foods, Inc. | 9,467,108 | 2.1 | ||||||
252,059 | Kroger Co. | 4,963,042 | 1.1 | ||||||
167,877 | Nestle S.A. | 8,094,833 | 1.8 | ||||||
71,423 | Pernod-Ricard S.A. | 5,539,949 | 1.3 | ||||||
Other Securities | 25,705,913 | 5.8 | |||||||
103,143,472 | 23.2 | ||||||||
Energy: 5.6% | |||||||||
199,340 | Marathon Oil Corp. | 6,197,481 | 1.4 | ||||||
189,844 | Royal Dutch Shell PLC | 4,772,244 | 1.1 | ||||||
90,768 | @ | Transocean Ltd. | 4,205,281 | 1.0 | |||||
Other Securities | 9,515,262 | 2.1 | |||||||
24,690,268 | 5.6 | ||||||||
Financials: 14.0% | |||||||||
81,774 | ACE Ltd. | 4,209,726 | 0.9 | ||||||
479,732 | Bank of America Corp. | 6,893,749 | 1.6 | ||||||
974,744 | Barclays PLC | 3,890,691 | 0.9 | ||||||
31,900 | @, # | Bond Street Holdings, LLC | 638,000 | 0.1 | |||||
454,259 | @, I | Canary Wharf Group PLC | 2,005,003 | 0.4 | |||||
189,000 | Morgan Stanley | 4,386,690 | 1.0 |
See Accompanying Notes to Financial Statements
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ING FRANKLIN MUTUAL SHARES PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Financials: (continued) | |||||||||
62,680 | PNC Financial Services Group, Inc. | $ | 3,541,420 | 0.8 | |||||
223,690 | Wells Fargo & Co. | 5,726,464 | 1.3 | ||||||
20,198 | @ | White Mountains Insurance Group Ltd. | 6,548,192 | 1.5 | |||||
Other Securities | 24,271,313 | 5.5 | |||||||
62,111,248 | 14.0 | ||||||||
Health Care: 7.9% | |||||||||
205,820 | Eli Lilly & Co. | 6,894,970 | 1.5 | ||||||
80,062 | Novartis AG | 3,880,055 | 0.9 | ||||||
315,900 | Pfizer, Inc. | 4,504,734 | 1.0 | ||||||
901,741 | @ | Tenet Healthcare Corp. | 3,913,556 | 0.9 | |||||
249,510 | UnitedHealth Group, Inc. | 7,086,084 | 1.6 | ||||||
Other Securities | 9,025,996 | 2.0 | |||||||
35,305,395 | 7.9 | ||||||||
Industrials: 6.2% | |||||||||
645 | AP Moller - Maersk A/S - Class B | 5,079,902 | 1.2 | ||||||
781,823 | Orkla ASA | 4,999,871 | 1.1 | ||||||
115,723 | @ | Owens Corning, Inc. | 3,461,275 | 0.8 | |||||
65,000 | Siemens AG | 5,813,595 | 1.3 | ||||||
Other Securities | 8,167,075 | 1.8 | |||||||
27,521,718 | 6.2 | ||||||||
Information Technology: 7.9% | |||||||||
386,574 | @ | Dell, Inc. | 4,662,082 | 1.0 | |||||
872,815 | @ | LSI Logic Corp. | 4,014,949 | 0.9 | |||||
366,079 | Microsoft Corp. | 8,423,478 | 1.9 | ||||||
584,874 | @ | Motorola, Inc. | 3,813,378 | 0.9 | |||||
688,342 | Xerox Corp. | 5,534,270 | 1.2 | ||||||
Other Securities | 8,697,024 | 2.0 | |||||||
35,145,181 | 7.9 | ||||||||
Materials: 4.4% | |||||||||
220,488 | International Paper Co. | 4,989,643 | 1.1 | ||||||
39,314 | Linde AG | 4,133,867 | 0.9 | ||||||
211,754 | Weyerhaeuser Co. | 7,453,741 | 1.7 | ||||||
Other Securities | 2,997,079 | 0.7 | |||||||
19,574,330 | 4.4 | ||||||||
Telecommunication Services: 3.3% | |||||||||
253,813 | Telefonica S.A. | 4,701,818 | 1.0 | ||||||
2,795,023 | Vodafone Group PLC | 5,759,117 | 1.3 | ||||||
Other Securities | 4,323,316 | 1.0 | |||||||
14,784,251 | 3.3 | ||||||||
Utilities: 3.7% | |||||||||
165,020 | E.ON AG | 4,437,102 | 1.0 | ||||||
98,032 | Exelon Corp. | 3,722,275 | 0.8 | ||||||
Other Securities | 8,304,957 | 1.9 | |||||||
16,464,334 | 3.7 | ||||||||
Total Common Stock (Cost $ 427,377,334) | 369,630,417 | 83.2 |
See Accompanying Notes to Financial Statements
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ING FRANKLIN MUTUAL SHARES PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | ||||||||
REAL ESTATE INVESTMENT TRUSTS: 1.1% | ||||||||||
Financials: 1.1% | ||||||||||
Other Securities | $ | 5,038,033 | 1.1 | |||||||
Total Real Estate Investment Trusts ( Cost $ 5,329,755 ) | 5,038,033 | 1.1 | ||||||||
PREFERRED STOCK: 0.9% | ||||||||||
Consumer Discretionary: 0.9% | ||||||||||
46,407 | Volkswagen AG | 4,072,252 | 0.9 | |||||||
Total Preferred Stock (Cost $ 4,090,570) | 4,072,252 | 0.9 | ||||||||
RIGHTS: 0.0% | ||||||||||
Consumer Discretionary: 0.0% | ||||||||||
715,000 | I, X | Northwest Airlines Claim (Pending Reorganization) due 02/20/49 | — | 0.0 | ||||||
Total Rights (Cost $ 201,857) | — | 0.0 | ||||||||
Principal Amount | Value | Percent of Net Assets | ||||||||
CORPORATE BONDS/NOTES: 6.0% | ||||||||||
Consumer Discretionary: 0.4% | ||||||||||
$ | 1,017,500 | I | DaimlerChrysler Escrow, 12.000%, due 07/31/14 | $ | 468,050 | 0.1 | ||||
Other Securities(a) | 1,268,552 | 0.3 | ||||||||
1,736,602 | 0.4 | |||||||||
Financials: 2.9% | ||||||||||
6,456,560 | CIT Group, Inc., 7.000%-13.000%, due 01/20/12-05/01/17 | 6,078,945 | 1.3 | |||||||
6,408,639 | Realogy Corp., 3.347%, due 10/10/13 | 5,463,365 | 1.6 | |||||||
1,929,060 | Realogy Corp., 2.250%-13.500%, due 10/10/13-10/15/17 | 1,650,671 | ||||||||
Other Securities(a) | 851 | 0.0 | ||||||||
13,193,832 | 2.9 | |||||||||
Information Technology: 1.4% | ||||||||||
4,089,000 | Avaya, Inc., 2.531%, due 10/26/14 | 3,508,023 | 0.8 | |||||||
Other Securities | 2,611,951 | 0.6 | ||||||||
6,119,974 | 1.4 | |||||||||
Materials: 0.2% | ||||||||||
Other Securities | 895,000 | 0.2 | ||||||||
Telecommunication Services: 0.1% | ||||||||||
Other Securities | 334,915 | 0.1 | ||||||||
Utilities: 1.0% | ||||||||||
179,000 | I, X | Calpine Corp., due 12/30/99 | — | 0.0 | ||||||
5,467,506 | Texas Competitive Electric Holdings Co., LLC, 3.527%-4.027%, due 10/10/14 | 4,041,967 | 0.9 | |||||||
Other Securities | 389,412 | 0.1 | ||||||||
4,431,379 | 1.0 | |||||||||
Total Corporate Bonds/Notes (Cost $ 27,313,657) | 26,711,702 | 6.0 | ||||||||
Total Long-Term Investments (Cost $ 464,313,173) | 405,452,404 | 91.2 |
See Accompanying Notes to Financial Statements
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ING FRANKLIN MUTUAL SHARES PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | ||||||||
SHORT-TERM INVESTMENTS: 6.1% | ||||||||||
U.S. Government Agency Obligations: 0.7% | ||||||||||
Other Securities | $ | 3,000,000 | 0.7 | |||||||
Total U.S. Government Agency Obligations (Cost $ 3,000,000) | 3,000,000 | 0.7 | ||||||||
U.S. Treasury Bills: 5.4% | ||||||||||
$ | 5,000,000 | 0.030%, due 07/08/10 | 4,999,893 | 5.4 | ||||||
5,000,000 | 0.140%, due 09/09/10 | 4,998,590 | ||||||||
5,000,000 | 0.140%, due 09/16/10 | 4,998,449 | ||||||||
9,000,000 | 0.040%-0.130%, due 07/15/10-08/26/10 | 8,998,940 | ||||||||
Total U.S. Treasury Bills (Cost $ 23,994,238) | 23,995,872 | 5.4 | ||||||||
Total Short-Term Investments (Cost $ 26,994,238) | 26,995,872 | 6.1 | ||||||||
Total Investments in Securities (Cost $ 491,307,411)* | $ | 432,448,276 | 97.3 | |||||||
Other Assets and Liabilities - Net | 11,829,394 | 2.7 | ||||||||
Net Assets | $ | 444,277,670 | 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, 2010.
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 |
ADR | American Depositary Receipt |
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. |
I | Illiquid security |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. |
(a) | The grouping contains securities in default. |
* | Cost for federal income tax purposes is $492,679,578. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 15,936,518 | ||
Gross Unrealized Depreciation | (76,167,820 | ) | ||
Net Unrealized Depreciation | $ | (60,231,302 | ) | |
See Accompanying Notes to Financial Statements
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ING FRANKLIN MUTUAL SHARES PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||||
Asset Table | ||||||||||||||
Investments, at value | ||||||||||||||
Common Stock | ||||||||||||||
Consumer Discretionary | $ | 26,574,554 | $ | 3,715,810 | $ | 599,856 | $ | 30,890,220 | ||||||
Consumer Staples | 63,574,296 | 39,569,176 | — | 103,143,472 | ||||||||||
Energy | 16,179,433 | 8,510,835 | — | 24,690,268 | ||||||||||
Financials | 46,804,784 | 15,306,464 | — | 62,111,248 | ||||||||||
Health Care | 31,425,340 | 3,880,055 | — | 35,305,395 | ||||||||||
Industrials | 7,351,045 | 20,170,673 | — | 27,521,718 | ||||||||||
Information Technology | 32,100,453 | 3,044,728 | — | 35,145,181 | ||||||||||
Materials | 15,440,463 | 4,133,867 | — | 19,574,330 | ||||||||||
Telecommunication Services | 4,323,316 | 10,460,935 | — | 14,784,251 | ||||||||||
Utilities | 9,149,883 | 7,314,451 | — | 16,464,334 | ||||||||||
Total Common Stock | 252,923,567 | 116,106,994 | 599,856 | 369,630,417 | ||||||||||
Real Estate Investment Trusts | 2,874,105 | 2,163,928 | — | 5,038,033 | ||||||||||
Preferred Stock | — | 4,072,252 | — | 4,072,252 | ||||||||||
Corporate Bonds/Notes | — | 26,243,652 | 468,050 | 26,711,702 | ||||||||||
Short-Term Investments | — | 26,995,872 | — | 26,995,872 | ||||||||||
Total Investments, at value | $ | 255,797,672 | $ | 175,582,698 | $ | 1,067,906 | $ | 432,448,276 | ||||||
Other Financial Instruments+: | ||||||||||||||
Forward foreign currency contracts | — | 6,386,012 | — | 6,386,012 | ||||||||||
Total Assets | $ | 255,797,672 | $ | 181,968,710 | $ | 1,067,906 | $ | 438,834,288 | ||||||
Liabilities Table | ||||||||||||||
Other Financial Instruments+: | ||||||||||||||
Forward foreign currency contracts | $ | — | $ | (523,594 | ) | $ | — | $ | (523,594 | ) | ||||
Total Liabilities | $ | — | $ | (523,594 | ) | $ | — | $ | (523,594 | ) | ||||
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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | ||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||
Common Stock | $ | 243,454 | $ | 144,733 | $ | — | $ | — | $ | — | $ | 211,669 | $ | — | $ | — | $ | 599,856 | ||||||||||
Rights | 450 | — | — | 6,581 | — | (7,031 | ) | — | — | — | ||||||||||||||||||
Corporate Bonds/ Notes | 213,675 | — | — | 2,232 | — | 252,143 | — | — | 468,050 | |||||||||||||||||||
Total Investments, at value | $ | 457,579 | $ | 144,733 | $ | — | $ | 8,813 | $ | — | $ | 456,781 | $ | — | $ | — | $ | 1,067,906 | ||||||||||
As of June 30, 2010, total change in unrealized gain (loss) on Level 3 securities still held at period end and included in the change in net assets was $463,812 .
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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+ | 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 reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Portfolio. Swaps and written options are reported at their market value at measurement date. |
Transfers in or out of Level 3 represents 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. |
# | 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. |
At June 30, 2010 the following forward foreign currency contracts were outstanding for the ING Franklin Mutual Shares Portfolio:
Currency | Buy/Sell | Settlement Date | In Exchange For | Value | Unrealized Appreciation (Depreciation) | |||||||||||
Australian Dollar | ||||||||||||||||
AUD | 111,900 | BUY | 8/19/10 | $ | 94,954 | $ | 93,626 | $ | (1,328 | ) | ||||||
Swiss Franc | ||||||||||||||||
CHF | 489,600 | BUY | 11/10/10 | 444,061 | 455,560 | 11,499 | ||||||||||
Danish Krone | ||||||||||||||||
DKK | 1,068,200 | BUY | 7/23/10 | 182,809 | 175,369 | (7,440 | ) | |||||||||
Danish Krone | ||||||||||||||||
DKK | 790,000 | BUY | 7/23/10 | 133,414 | 129,696 | (3,718 | ) | |||||||||
Danish Krone | ||||||||||||||||
DKK | 735,000 | BUY | 7/23/10 | 120,287 | 120,667 | 380 | ||||||||||
EU Euro | ||||||||||||||||
EUR | 459,252 | BUY | 7/16/10 | 566,900 | 561,641 | (5,259 | ) | |||||||||
EU Euro | ||||||||||||||||
EUR | 500,000 | BUY | 7/16/10 | 602,240 | 611,474 | 9,234 | ||||||||||
EU Euro | ||||||||||||||||
EUR | 1,210,000 | BUY | 7/16/10 | 1,482,794 | 1,479,768 | (3,026 | ) | |||||||||
British Pound | ||||||||||||||||
GBP | 467,000 | BUY | 8/12/10 | 698,062 | 697,729 | (333 | ) | |||||||||
Japanese Yen | ||||||||||||||||
JPY | 8,600,000 | BUY | 10/20/10 | 91,504 | 97,470 | 5,966 | ||||||||||
Japanese Yen | ||||||||||||||||
JPY | 16,600,000 | BUY | 10/20/10 | 185,047 | 188,139 | 3,092 | ||||||||||
Norwegian Krone | ||||||||||||||||
NOK | 2,000,000 | BUY | 8/16/10 | 331,082 | 306,570 | (24,512 | ) | |||||||||
Norwegian Krone | ||||||||||||||||
NOK | 2,358,000 | BUY | 8/16/10 | 397,103 | 361,446 | (35,657 | ) | |||||||||
Norwegian Krone | ||||||||||||||||
NOK | 1,480,000 | BUY | 8/16/10 | 248,348 | 226,862 | (21,486 | ) | |||||||||
Norwegian Krone | ||||||||||||||||
NOK | 3,680,000 | BUY | 8/16/10 | 587,297 | 564,089 | (23,208 | ) | |||||||||
Norwegian Krone | ||||||||||||||||
NOK | 1,215,000 | BUY | 8/16/10 | 187,113 | 186,241 | (872 | ) | |||||||||
Norwegian Krone | ||||||||||||||||
NOK | 1,640,000 | BUY | 8/16/10 | 254,421 | 251,387 | (3,034 | ) | |||||||||
Norwegian Krone | ||||||||||||||||
NOK | 940,900 | BUY | 8/16/10 | 144,643 | 144,226 | (417 | ) | |||||||||
Norwegian Krone | ||||||||||||||||
NOK | 1,076,500 | BUY | 8/16/10 | 165,242 | 165,011 | (231 | ) | |||||||||
$ | (100,350 | ) | ||||||||||||||
See Accompanying Notes to Financial Statements
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ING FRANKLIN MUTUAL SHARES PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Currency | Buy/Sell | Settlement Date | In Exchange For | Value | Unrealized Appreciation (Depreciation) | |||||||||||
Australian Dollar | ||||||||||||||||
AUD | 581,800 | SELL | 8/19/10 | $ | 504,421 | $ | 486,790 | $ | 17,631 | |||||||
Swiss Franc | ||||||||||||||||
CHF | 11,557,056 | SELL | 11/10/10 | 10,487,347 | 10,753,549 | (266,201 | ) | |||||||||
Swiss Franc | ||||||||||||||||
CHF | 370,000 | SELL | 11/10/10 | 325,403 | 344,276 | (18,873 | ) | |||||||||
Danish Krone | ||||||||||||||||
DKK | 12,740,566 | SELL | 7/23/10 | 2,288,341 | 2,091,654 | 196,688 | ||||||||||
Danish Krone | ||||||||||||||||
DKK | 2,000,000 | SELL | 7/23/10 | 332,889 | 328,346 | 4,543 | ||||||||||
Danish Krone | ||||||||||||||||
DKK | 1,025,000 | SELL | 7/23/10 | 167,022 | 168,277 | (1,255 | ) | |||||||||
EU Euro | ||||||||||||||||
EUR | 34,685,463 | SELL | 7/16/10 | 47,415,028 | 42,418,531 | 4,996,497 | ||||||||||
EU Euro | ||||||||||||||||
EUR | 770,641 | SELL | 7/16/10 | 1,042,315 | 942,454 | 99,861 | ||||||||||
EU Euro | ||||||||||||||||
EUR | 224,838 | SELL | 7/16/10 | 304,258 | 274,966 | 29,292 | ||||||||||
EU Euro | ||||||||||||||||
EUR | 800,670 | SELL | 7/16/10 | 1,078,270 | 979,178 | 99,092 | ||||||||||
EU Euro | ||||||||||||||||
EUR | 1,600,000 | SELL | 7/16/10 | 2,171,232 | 1,956,717 | 214,515 | ||||||||||
EU Euro | ||||||||||||||||
EUR | 248,838 | SELL | 7/16/10 | 330,693 | 304,316 | 26,377 | ||||||||||
EU Euro | ||||||||||||||||
EUR | 770,000 | SELL | 7/16/10 | 946,176 | 941,670 | 4,506 | ||||||||||
EU Euro | ||||||||||||||||
EUR | 113,149 | SELL | 7/16/10 | 139,461 | 138,375 | 1,086 | ||||||||||
British Pound | ||||||||||||||||
GBP | 19,911,008 | SELL | 8/12/10 | 29,816,734 | 29,748,366 | 68,368 | ||||||||||
British Pound | ||||||||||||||||
GBP | 800,000 | SELL | 8/12/10 | 1,185,176 | 1,195,253 | (10,077 | ) | |||||||||
British Pound | ||||||||||||||||
GBP | 229,503 | SELL | 8/12/10 | 340,009 | 342,893 | (2,884 | ) | |||||||||
Japanese Yen | ||||||||||||||||
JPY | 188,443,500 | SELL | 10/20/10 | 2,041,973 | 2,135,756 | (93,783 | ) | |||||||||
Norwegian Krone | ||||||||||||||||
NOK | 36,983,349 | SELL | 8/16/10 | 6,192,376 | 5,668,992 | 523,384 | ||||||||||
Norwegian Krone | ||||||||||||||||
NOK | 1,800,000 | SELL | 8/16/10 | 301,245 | 275,913 | 25,332 | ||||||||||
Norwegian Krone | ||||||||||||||||
NOK | 720,000 | SELL | 8/16/10 | 122,337 | 110,365 | 11,972 | ||||||||||
Norwegian Krone | ||||||||||||||||
NOK | 2,350,000 | SELL | 8/16/10 | 396,290 | 360,220 | 36,070 | ||||||||||
Norwegian Krone | ||||||||||||||||
NOK | 1,696,000 | SELL | 8/16/10 | 260,598 | 259,971 | 627 | ||||||||||
$ | 5,962,768 | |||||||||||||||
See Accompanying Notes to Financial Statements
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ING FRANKLIN MUTUAL SHARES PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of June 30, 2010 was as follows:
Derivatives not accounted for as hedging | Location on Statement of Assets and Liabilities | Fair Value | |||
Asset Derivatives | |||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 6,386,012 | ||
Total Asset Derivatives | $ | 6,386,012 | |||
Liability Derivatives | |||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 523,594 | ||
Total Liability Derivatives | $ | 523,594 | |||
The effect of derivative instruments on the Portfolio’s Statement of Operations for the six months ended June 30, 2010 was as follows:
Derivatives not accounted for as hedging | Amount of Realized Gain or (Loss) on Derivatives Recognized in Income Foreign currency related transactions* | |
Foreign exchange contracts | $8,805,866 | |
Total | $8,805,866 | |
Derivatives not accounted for as hedging | Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income Foreign currency related transactions* | |
Foreign exchange contracts | $2,919,846 | |
Total | $2,919,846 | |
* | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
See Accompanying Notes to Financial Statements
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ING JPMORGAN SMALL CAP CORE EQUITY PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Industry Allocation
as of June 30, 2010
(as a percent of net assets)
Financials | 21.6% | |
Consumer Discretionary | 15.9% | |
Industrials | 14.7% | |
Information Technology | 13.7% | |
Health Care | 11.3% | |
Materials | 6.3% | |
Energy | 4.6% |
Consumer Staples | 4.2% | |
Utilities | 2.9% | |
Telecommunication Services | 2.0% | |
U.S. Treasury Notes | 0.2% | |
Other Assets and Liabilities – Net* | 2.6% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 91.6% | |||||||||
Consumer Discretionary: 15.9% | |||||||||
72,070 | @ | Dick’s Sporting Goods, Inc. | $ | 1,793,822 | 0.6 | ||||
139,811 | Jarden Corp. | 3,756,710 | 1.2 | ||||||
71,470 | L | Nutri/System, Inc. | 1,639,522 | 0.5 | |||||
119,090 | @ | Papa John’s International, Inc. | 2,753,361 | 0.9 | |||||
81,280 | @ | Penn National Gaming, Inc. | 1,877,568 | 0.6 | |||||
77,870 | Williams-Sonoma, Inc. | 1,932,733 | 0.6 | ||||||
Other Securities | 35,680,204 | 11.5 | |||||||
49,433,920 | 15.9 | ||||||||
Consumer Staples: 4.2% | |||||||||
153,210 | @, L | Dole Food Co., Inc. | 1,597,980 | 0.5 | |||||
53,580 | @ | Hansen Natural Corp. | 2,095,514 | 0.7 | |||||
182,868 | @, L | Winn-Dixie Stores, Inc. | 1,762,848 | 0.6 | |||||
Other Securities | 7,453,720 | 2.4 | |||||||
12,910,062 | 4.2 | ||||||||
Energy: 4.6% | |||||||||
83,233 | @, L | Exterran Holdings, Inc. | 2,148,244 | 0.7 | |||||
122,420 | Patterson-UTI Energy, Inc. | 1,575,545 | 0.5 | ||||||
50,390 | Tidewater, Inc. | 1,951,101 | 0.6 | ||||||
Other Securities | 8,657,635 | 2.8 | |||||||
14,332,525 | 4.6 | ||||||||
Financials: 16.0% | |||||||||
141,440 | L | Associated Banc-Corp. | 1,734,054 | 0.6 | |||||
153,352 | First Financial Bancorp. | 2,292,612 | 0.7 | ||||||
170,067 | First Niagara Financial Group, Inc. | 2,130,940 | 0.7 | ||||||
61,319 | IBERIABANK Corp. | 3,156,702 | 1.0 | ||||||
164,490 | @ | OptionsXpress Holdings, Inc. | 2,589,073 | 0.8 | |||||
70,430 | @ | ProAssurance Corp. | 3,997,607 | 1.3 | |||||
148,232 | Umpqua Holdings Corp. | 1,701,703 | 0.6 | ||||||
Other Securities | 31,900,707 | 10.3 | |||||||
49,503,398 | 16.0 | ||||||||
See Accompanying Notes to Financial Statements
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ING JPMORGAN SMALL CAP CORE EQUITY PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Health Care: 11.3% | |||||||||
112,150 | @ | Coventry Health Care, Inc. | $ | 1,982,812 | 0.7 | ||||
30,570 | @, L | Idexx Laboratories, Inc. | 1,861,713 | 0.6 | |||||
43,230 | @ | MWI Veterinary Supply, Inc. | 2,172,740 | 0.7 | |||||
108,583 | @, L | PharMerica Corp. | 1,591,827 | 0.5 | |||||
143,080 | @ | PSS World Medical, Inc. | 3,026,142 | 1.0 | |||||
Other Securities | 24,293,845 | 7.8 | |||||||
34,929,079 | 11.3 | ||||||||
Industrials: 14.7% | |||||||||
158,367 | Herman Miller, Inc. | 2,988,385 | 1.0 | ||||||
50,110 | Kaydon Corp. | 1,646,615 | 0.5 | ||||||
65,441 | @ | RBC Bearings, Inc. | 1,897,135 | 0.6 | |||||
53,760 | @ | TransDigm Group, Inc. | 2,743,373 | 0.9 | |||||
89,720 | @ | Waste Connections, Inc. | 3,130,331 | 1.0 | |||||
Other Securities | 33,029,322 | 10.7 | |||||||
45,435,161 | 14.7 | ||||||||
Information Technology: 13.7% | |||||||||
41,740 | @ | Anixter International, Inc. | 1,778,124 | 0.6 | |||||
145,271 | @ | Aspen Technology, Inc. | 1,582,001 | 0.5 | |||||
45,950 | @, L | Blackboard, Inc. | 1,715,314 | 0.6 | |||||
186,236 | @ | Deltek, Inc. | 1,553,208 | 0.5 | |||||
286,461 | @, L | Dice Holdings, Inc. | 1,982,310 | 0.6 | |||||
73,588 | @, S | JDA Software Group, Inc. | 1,617,464 | 0.5 | |||||
58,500 | @ | Micros Systems, Inc. | 1,864,395 | 0.6 | |||||
109,900 | @, S | Skyworks Solutions, Inc. | 1,845,221 | 0.6 | |||||
62,850 | Solera Holdings, Inc. | 2,275,170 | 0.7 | ||||||
Other Securities | 26,337,599 | 8.5 | |||||||
42,550,806 | 13.7 | ||||||||
Materials: 6.3% | |||||||||
66,270 | Aptargroup, Inc. | 2,506,331 | 0.8 | ||||||
77,320 | @ | Crown Holdings, Inc. | 1,936,093 | 0.6 | |||||
39,600 | Scotts Miracle-Gro Co. | 1,758,636 | 0.6 | ||||||
148,720 | Silgan Holdings, Inc. | 4,220,674 | 1.3 | ||||||
Other Securities | 9,193,689 | 3.0 | |||||||
19,615,423 | 6.3 | ||||||||
Telecommunication Services: 2.0% | |||||||||
148,720 | NTELOS Holdings Corp. | 2,557,984 | 0.8 | ||||||
Other Securities | 3,800,458 | 1.2 | |||||||
6,358,442 | 2.0 | ||||||||
Utilities: 2.9% | |||||||||
46,970 | Northwest Natural Gas Co. | 2,046,483 | 0.7 | ||||||
81,020 | NorthWestern Corp. | 2,122,724 | 0.7 | ||||||
Other Securities | 4,818,189 | 1.5 | |||||||
8,987,396 | 2.9 | ||||||||
Total Common Stock (Cost $ 296,083,587) | 284,056,212 | 91.6 |
See Accompanying Notes to Financial Statements
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ING JPMORGAN SMALL CAP CORE EQUITY PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | ||||||||||
REAL ESTATE INVESTMENT TRUSTS: 5.6% | ||||||||||||
Financials: 5.6% | ||||||||||||
53,120 | L | EastGroup Properties, Inc. | $ | 1,890,010 | 0.6 | |||||||
48,300 | Mid-America Apartment Communities, Inc. | 2,486,001 | 0.8 | |||||||||
125,670 | L | National Retail Properties, Inc. | 2,694,365 | 0.9 | ||||||||
Other Securities | 10,138,481 | 3.3 | ||||||||||
Total Real Estate Investment Trusts (Cost $ 18,561,776) | 17,208,857 | 5.6 | ||||||||||
Principal Amount | Value | Percent of Net Assets | ||||||||||
U.S. TREASURY OBLIGATIONS: 0.2% | ||||||||||||
U.S. Treasury Notes: 0.2% | ||||||||||||
Other Securities | $ | 602,672 | 0.2 | |||||||||
Total U.S. Treasury Obligations (Cost $ 602,402) | 602,672 | 0.2 | ||||||||||
Total Long-Term Investments (Cost $ 315,247,765) | 301,867,741 | 97.4 | ||||||||||
Shares | Value | Percent of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS: 10.8% | ||||||||||||
Affiliated Mutual Fund: 3.6% | ||||||||||||
11,202,232 | ING Institutional Prime Money Market Fund - Class I | $ | 11,202,232 | 3.6 | ||||||||
Total Mutual Fund (Cost $ 11,202,232) | 11,202,232 | 3.6 | ||||||||||
Principal Amount | Value | Percent of Net Assets | ||||||||||
Securities Lending Collateralcc: 7.2% | ||||||||||||
$ | 21,455,606 | BNY Mellon Overnight Government Fund(1) | $ | 21,455,606 | 6.9 | |||||||
1,121,269 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 897,015 | 0.3 | ||||||||
Total Securities Lending Collateral (Cost $ 22,576,875) | 22,352,621 | 7.2 | ||||||||||
Total Short-Term Investments (Cost $ 33,779,107) | 33,554,853 | 10.8 | ||||||||||
Total Investments in Securities (Cost $ 349,026,872)* | $ | 335,422,594 | 108.2 | |||||||||
Other Assets and Liabilities - Net | (25,410,546 | ) | (8.2 | ) | ||||||||
Net Assets | $ | 310,012,048 | 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, 2010.
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. |
(1) | Collateral received from brokers for securities lending was invested in these short-term investments. |
See Accompanying Notes to Financial Statements
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ING JPMORGAN SMALL CAP CORE EQUITY PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
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. |
I | Illiquid security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
* | Cost for federal income tax purposes is $355,277,737. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 28,493,877 | ||
Gross Unrealized Depreciation | (48,349,020 | ) | ||
Net Unrealized Depreciation | $ | (19,855,143 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||||
Asset Table | ||||||||||||||
Investments, at value | ||||||||||||||
Common Stock* | $ | 284,056,212 | $ | — | $ | — | $ | 284,056,212 | ||||||
Real Estate Investment Trusts | 17,208,857 | — | — | 17,208,857 | ||||||||||
U.S. Treasury Obligations | — | 602,672 | — | 602,672 | ||||||||||
Short-Term Investments | 32,657,838 | — | 897,015 | 33,554,853 | ||||||||||
Total Investments, at value | $ | 333,922,907 | $ | 602,672 | $ | 897,015 | $ | 335,422,594 | ||||||
Liabilities Table | ||||||||||||||
Other Financial Instruments+: | ||||||||||||||
Futures | (95,620 | ) | — | — | (95,620 | ) | ||||||||
Total Liabilities | $ | (95,620 | ) | $ | — | $ | — | $ | (95,620 | ) | ||||
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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | |||||||||||||||||||
Asset Table | |||||||||||||||||||||||||||
Investments, at value | |||||||||||||||||||||||||||
Short-Term Investments | $ | 897,015 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 897,015 | |||||||||
Total Investments, at value | $ | 897,015 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 897,015 | |||||||||
As of June 30, 2010, 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.
^ | 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 reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Portfolio. Swaps and written options are reported at their market value at measurement date. |
Transfers in or out of Level 3 represents 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. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
See Accompanying Notes to Financial Statements
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ING JPMORGAN SMALL CAP CORE EQUITY PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
ING JPMorgan Small Cap Core Equity Portfolio Open Futures Contracts on June 30, 2010:
Contract Description | Number of Contracts | Expiration Date | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||
Long Contracts | |||||||||||
Russell 2000® Mini Index | 75 | 09/17/10 | $ | 4,571,853 | $ | (95,620 | ) | ||||
$ | 4,571,853 | $ | (95,620 | ) | |||||||
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of June 30, 2010 was as follows:
Derivatives not accounted for as hedging | Location on Statement of Assets and Liabilities | Fair Value | |||
Liability Derivatives | |||||
Equity contracts | Net Assets-Unrealized depreciation* | $ | 95,620 | ||
Total Liability Derivatives | $ | 95,620 | |||
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the six months ended June 30, 2010 was as follows:
Derivatives not accounted for as hedging | Amount of Realized Gain or (Loss) on | |
Equity contracts | $ (356,510) | |
Total | $ (356,510) | |
Derivatives not accounted for as hedging | Change in Unrealized Appreciation or | |
Equity contracts | $ (218,487) | |
Total | $ (218,487) | |
See Accompanying Notes to Financial Statements
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ING LARGE CAP GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Industry Allocation
as of June 30, 2010
(as a percent of net assets)
Information Technology | 31.0% | |
Health Care | 13.8% | |
Industrials | 12.3% | |
Consumer Discretionary | 11.8% | |
Consumer Staples | 11.0% |
Energy | 9.2% | |
Financials | 5.1% | |
Materials | 3.4% | |
Other Assets and Liabilities – Net* | 2.4% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 97.6% | |||||||||
Consumer Discretionary: 11.8% | |||||||||
153,000 | @ | Bed Bath & Beyond, Inc. | $ | 5,673,240 | 1.6 | ||||
268,810 | @ | DIRECTV | 9,118,035 | 2.5 | |||||
93,840 | @ | Kohl’s Corp. | 4,457,400 | 1.2 | |||||
219,020 | Mattel, Inc. | 4,634,463 | 1.3 | ||||||
25,590 | @ | Priceline.com, Inc. | 4,517,659 | 1.2 | |||||
209,180 | Wyndham Worldwide Corp. | 4,212,885 | 1.1 | ||||||
Other Securities | 10,491,319 | 2.9 | |||||||
43,105,001 | 11.8 | ||||||||
Consumer Staples: 11.0% | |||||||||
150,860 | Alberto-Culver Co. | 4,086,797 | 1.1 | ||||||
162,460 | Coca-Cola Enterprises, Inc. | 4,201,216 | 1.2 | ||||||
259,140 | Philip Morris International, Inc. | 11,878,978 | 3.3 | ||||||
93,374 | Procter & Gamble Co. | 5,600,573 | 1.5 | ||||||
179,840 | Walgreen Co. | 4,801,728 | 1.3 | ||||||
151,490 | Wal-Mart Stores, Inc. | 7,282,124 | 2.0 | ||||||
Other Securities | 2,307,304 | 0.6 | |||||||
40,158,720 | 11.0 | ||||||||
Energy: 9.2% | |||||||||
54,450 | Apache Corp. | 4,584,146 | 1.3 | ||||||
283,880 | ExxonMobil Corp. | 16,201,032 | 4.4 | ||||||
134,580 | National Oilwell Varco, Inc. | 4,450,561 | 1.2 | ||||||
123,540 | Peabody Energy Corp. | 4,834,120 | 1.3 | ||||||
Other Securities | 3,607,578 | 1.0 | |||||||
33,677,437 | 9.2 | ||||||||
Financials: 5.1% | |||||||||
166,118 | American Express Co. | 6,594,885 | 1.8 | ||||||
131,870 | JP Morgan Chase & Co. | 4,827,761 | 1.3 | ||||||
Other Securities | 7,066,334 | 2.0 | |||||||
18,488,980 | 5.1 | ||||||||
Health Care: 13.8% | |||||||||
140,040 | AmerisourceBergen Corp. | 4,446,270 | 1.2 | ||||||
118,210 | Cardinal Health, Inc. | 3,973,038 | 1.1 | ||||||
137,460 | Covidien PLC | 5,523,143 | 1.5 |
See Accompanying Notes to Financial Statements
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ING LARGE CAP GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Health Care: (continued) | |||||||||
151,100 | @ | Gilead Sciences, Inc. | $ | 5,179,708 | 1.4 | ||||
124,100 | @ | Hospira, Inc. | 7,129,545 | 2.0 | |||||
106,414 | Merck & Co., Inc. | 3,721,298 | 1.0 | ||||||
79,150 | @ | Varian Medical Systems, Inc. | 4,137,962 | 1.2 | |||||
85,770 | @ | Waters Corp. | 5,549,319 | 1.5 | |||||
Other Securities | 10,692,282 | 2.9 | |||||||
50,352,565 | 13.8 | ||||||||
Industrials: 12.3% | |||||||||
86,900 | Caterpillar, Inc. | 5,220,083 | 1.4 | ||||||
181,580 | Danaher Corp. | 6,740,250 | 1.9 | ||||||
128,930 | Emerson Electric Co. | 5,632,952 | 1.6 | ||||||
116,340 | Ingersoll-Rand PLC | 4,012,567 | 1.1 | ||||||
117,470 | Roper Industries, Inc. | 6,573,621 | 1.8 | ||||||
105,710 | Tyco International Ltd. | 3,724,163 | 1.0 | ||||||
76,990 | Union Pacific Corp. | 5,351,575 | 1.5 | ||||||
113,470 | United Technologies Corp. | 7,365,338 | 2.0 | ||||||
44,620,549 | 12.3 | ||||||||
Information Technology: 31.0% | |||||||||
91,060 | @ | Ansys, Inc. | 3,694,304 | 1.0 | |||||
80,840 | @ | Apple, Inc. | 20,333,685 | 5.6 | |||||
144,830 | Broadcom Corp. | 4,775,045 | 1.3 | ||||||
646,800 | @ | Cisco Systems, Inc. | 13,783,304 | 3.8 | |||||
105,710 | @ | Cognizant Technology Solutions Corp. | 5,291,843 | 1.5 | |||||
208,680 | Hewlett-Packard Co. | 9,031,670 | 2.5 | ||||||
104,940 | @ | Intuit, Inc. | 3,648,764 | 1.0 | |||||
233,140 | @ | Marvell Technology Group Ltd. | 3,674,286 | 1.0 | |||||
530,770 | Microsoft Corp. | 12,213,018 | 3.4 | ||||||
349,350 | National Semiconductor Corp. | 4,702,251 | 1.3 | ||||||
534,317 | Oracle Corp. | 11,466,443 | 3.1 | ||||||
269,660 | Qualcomm, Inc. | 8,855,634 | 2.4 | ||||||
68,490 | Visa, Inc. | 4,845,668 | 1.3 | ||||||
Other Securities | 6,535,086 | 1.8 | |||||||
112,851,001 | 31.0 | ||||||||
Materials: 3.4% | |||||||||
99,520 | Ecolab, Inc. | 4,469,443 | 1.2 | ||||||
87,830 | Sigma-Aldrich Corp. | 4,376,569 | 1.2 | ||||||
Other Securities | 3,425,178 | 1.0 | |||||||
12,271,190 | 3.4 | ||||||||
Total Common Stock (Cost $ 374,354,459) | 355,525,443 | 97.6 |
See Accompanying Notes to Financial Statements
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ING LARGE CAP GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||||
SHORT-TERM INVESTMENTS: 3.6% | |||||||||||
Affiliated Mutual Fund: 3.6% | |||||||||||
13,120,000 | ING Institutional Prime Money Market Fund - Class I | $ | 13,120,000 | 3.6 | |||||||
Total Short-Term Investments (Cost $ 13,120,000) | 13,120,000 | 3.6 | |||||||||
Total Investments in Securities (Cost $ 387,474,459)* | $ | 368,645,443 | 101.2 | ||||||||
Other Assets and Liabilities - Net | (4,321,275 | ) | (1.2 | ) | |||||||
Net Assets | $ | 364,324,168 | 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, 2010.
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 |
* | Cost for federal income tax purposes is $388,249,254. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 4,248,879 | ||
Gross Unrealized Depreciation | (23,852,690 | ) | ||
Net Unrealized Depreciation | $ | (19,603,811 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Common Stock* | $ | 355,525,443 | $ | — | $ | — | $ | 355,525,443 | ||||
Short-Term Investments | 13,120,000 | — | — | 13,120,000 | ||||||||
Total Investments, at value | $ | 368,645,443 | $ | — | $ | — | $ | 368,645,443 | ||||
��
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
See Accompanying Notes to Financial Statements
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ING LIMITED MATURITY BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Investment Type Allocation
as of June 30, 2010
(as a percent of net assets)
Corporate Bonds/Notes | 53.4% | |
U.S. Treasury Obligations | 25.6% | |
U.S. Government Agency Obligations | 9.8% | |
Asset-Backed Securities | 4.2% |
Collateralized Mortgage Obligations | 2.7% | |
Other Assets and Liabilities – Net* | 4.3% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Portfolio holdings are subject to change daily.
Principal Amount | Value | Percent of Net Assets | ||||||||
CORPORATE BONDS/NOTES: 53.4% | ||||||||||
Consumer Discretionary: 3.5% | ||||||||||
$ | 2,144,000 | COX Communications, Inc., 6.750%, due 03/15/11 | $ | 2,215,968 | 0.8 | |||||
449,000 | COX Communications, Inc., 4.625%, due 06/01/13 | 479,071 | ||||||||
1,800,000 | Home Depot, Inc., 5.250%, due 12/16/13 | 1,980,756 | 0.5 | |||||||
2,162,000 | Time Warner Cable, Inc., 5.400%, due 07/02/12 | 2,310,490 | 0.6 | |||||||
Other Securities | 5,584,197 | 1.6 | ||||||||
12,570,482 | 3.5 | |||||||||
Consumer Staples: 4.5% | ||||||||||
2,461,000 | # | Anheuser-Busch InBev Worldwide, Inc., 2.500%, due 03/26/13 | 2,491,809 | 0.7 | ||||||
1,591,000 | Colgate-Palmolive Co., 4.200%, due 05/15/13 | 1,723,537 | 0.5 | |||||||
1,992,000 | Diageo Capital PLC, 5.200%, due 01/30/13 | 2,168,039 | 0.6 | |||||||
1,811,000 | Kraft Foods, Inc., 6.250%, due 06/01/12 | 1,974,852 | 0.6 | |||||||
Other Securities | 7,514,141 | 2.1 | ||||||||
15,872,378 | 4.5 | |||||||||
Energy: 2.5% | ||||||||||
299,000 | L | BP Capital Markets PLC, 1.550%, due 08/11/11 | 284,968 | 0.1 | ||||||
1,575,000 | Conoco Funding Co., 6.350%, due 10/15/11 | 1,680,588 | 0.5 | |||||||
2,281,000 | S | Shell International Finance BV, 1.875%, due 03/25/13 | 2,301,680 | 0.6 | ||||||
Other Securities | 4,624,466 | 1.3 | ||||||||
8,891,702 | 2.5 | |||||||||
Financials: 28.0% | ||||||||||
3,980,000 | Ally Financial, Inc., 2.200%, due 12/19/12 | 4,091,448 | 1.1 | |||||||
885,000 | # | ANZ National International Ltd., 2.375%, due 12/21/12 | 896,945 | 0.2 | ||||||
1,152,000 | # | Banco Santander Chile S.A., 2.875%, due 11/13/12 | 1,144,300 | 0.3 | ||||||
5,107,000 | S | Bank of America Corp., 2.100%, due 04/30/12 | 5,232,208 | 1.5 | ||||||
1,730,000 | L | Bank of Montreal, 2.125%, due 06/28/13 | 1,746,077 | 0.5 | ||||||
954,000 | # | Bank of Tokyo-Mitsubishi UFJ Ltd., 2.600%, due 01/22/13 | 970,197 | 0.3 | ||||||
2,200,000 | S | Barclays Bank PLC, 2.500%, due 01/23/13 | 2,192,436 | 0.6 | ||||||
1,924,000 | S | Berkshire Hathaway, Inc., 2.125%, due 02/11/13 | 1,965,593 | 0.6 | ||||||
2,635,000 | S | BP Capital Markets PLC, 3.125%-5.250%, due 03/10/12-11/07/13 | 2,428,782 | 0.7 | ||||||
946,000 | # | Canadian Imperial Bank of Commerce/Canada, 2.000%, due 02/04/13 | 957,119 | 0.3 | ||||||
4,513,000 | S | Citibank NA, 1.375%, due 08/10/11 | 4,557,468 | 1.3 | ||||||
4,769,000 | S | Citigroup, Inc., 2.125%, due 04/30/12 | 4,888,068 | 2.7 | ||||||
3,151,000 | Citigroup, Inc., 5.300%, due 10/17/12 | 3,267,171 | ||||||||
1,293,000 | Citigroup, Inc., 5.500%, due 04/11/13 | 1,344,937 | ||||||||
2,100,000 | Credit Suisse New York, 5.000%, due 05/15/13 | 2,245,104 | 0.6 |
See Accompanying Notes to Financial Statements
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ING LIMITED MATURITY BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | ||||||||
Financials: (continued) | ||||||||||
$ | 2,275,000 | General Electric Capital Corp., 2.200%, due 06/08/12 | $ | 2,336,134 | 2.7 | |||||
2,311,000 | General Electric Capital Corp., 2.250%, due 03/12/12 | 2,371,966 | ||||||||
3,300,000 | General Electric Capital Corp., 2.800%, due 01/08/13 | 3,338,653 | ||||||||
1,500,000 | L | General Electric Capital Corp., 3.750%-4.800%, due 05/01/13-11/14/14 | 1,557,398 | |||||||
2,278,000 | S | Goldman Sachs Group, Inc., 3.625%-6.000%, due 08/01/12-05/01/14 | 2,369,036 | 0.7 | ||||||
1,658,000 | John Deere Capital Corp., 1.875%-5.400%, due 10/17/11-06/17/13 | 1,711,361 | 0.5 | |||||||
3,000,000 | JP Morgan Chase & Co., 5.375%, due 10/01/12 | 3,244,221 | 0.9 | |||||||
1,048,000 | # | MassMutual Global Funding II, 3.625%, due 07/16/12 | 1,094,710 | 0.3 | ||||||
3,525,000 | Merrill Lynch & Co., Inc., 6.050%, due 08/15/12 | 3,749,803 | 1.1 | |||||||
700,000 | # | Metropolitan Life Global Funding I, 5.125%, due 11/09/11 | 727,915 | 0.2 | ||||||
2,332,000 | Morgan Stanley, 5.750%, due 08/31/12 | 2,445,009 | 1.3 | |||||||
2,215,000 | L | Morgan Stanley, 2.250%-5.300%, due 03/13/12-03/01/13 | 2,290,679 | |||||||
118,253 | # | Power Receivable Finance, LLC, 6.290%, due 01/01/12 | 120,630 | 0.0 | ||||||
2,374,000 | L | State Street Corp., 2.150%, due 04/30/12 | 2,432,170 | 0.7 | ||||||
750,000 | # | TIAA Global Markets, Inc., 5.125%, due 10/10/12 | 798,299 | 0.2 | ||||||
2,063,000 | Wachovia Corp., 5.300%-5.500%, due 10/15/11-05/01/13 | 2,196,237 | 0.6 | |||||||
1,700,000 | # | Westpac Securities NZ Ltd., 2.625%, due 01/28/13 | 1,719,453 | 0.5 | ||||||
Other Securities | 26,993,346 | 7.6 | ||||||||
99,424,873 | 28.0 | |||||||||
Health Care: 4.1% | ||||||||||
1,664,000 | Express Scripts, Inc., 5.250%, due 06/15/12 | 1,778,523 | 0.5 | |||||||
2,230,000 | S | Novartis Capital Corp., 1.900%, due 04/24/13 | 2,265,238 | 0.6 | ||||||
1,831,000 | # | Roche Holdings, Inc., 4.500%, due 03/01/12 | 1,928,863 | 0.6 | ||||||
1,786,000 | Wyeth, 5.500%, due 03/15/13 | 1,976,700 | 0.6 | |||||||
Other Securities | 6,428,775 | 1.8 | ||||||||
14,378,099 | 4.1 | |||||||||
Industrials: 0.8% | ||||||||||
Other Securities | 2,671,903 | 0.8 | ||||||||
Information Technology: 1.2% | ||||||||||
2,166,000 | Hewlett-Packard Co., 2.950%-4.250%, due 02/24/12-08/15/12 | 2,273,968 | 0.6 | |||||||
1,641,000 | Oracle Corp., 3.750%, due 07/08/14 | 1,758,542 | 0.5 | |||||||
Other Securities | 400,667 | 0.1 | ||||||||
4,433,177 | 1.2 | |||||||||
Materials: 0.2% | ||||||||||
Other Securities | 671,363 | 0.2 | ||||||||
Telecommunication Services: 5.6% | ||||||||||
1,840,000 | S | BellSouth Corp., 4.750%, due 11/15/12 | 1,973,761 | 0.5 | ||||||
2,100,000 | British Telecommunications PLC, 5.150%, due 01/15/13 | 2,203,608 | 0.6 | |||||||
2,926,000 | Cellco Partnership / Verizon Wireless Capital, LLC, 5.250%, due 02/01/12 | 3,102,780 | 0.9 | |||||||
2,175,000 | France Telecom S.A., 4.375%, due 07/08/14 | 2,347,621 | 0.9 | |||||||
666,000 | France Telecom S.A., 7.750%, due 03/01/11 | 695,083 | ||||||||
1,893,000 | Verizon Communications, Inc., 4.375%, due 06/01/13 | 2,035,079 | 0.9 | |||||||
1,150,000 | Verizon Communications, Inc., 4.350%, due 02/15/13 | 1,230,063 | ||||||||
Other Securities | 6,366,920 | 1.8 | ||||||||
19,954,915 | 5.6 | |||||||||
See Accompanying Notes to Financial Statements
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ING LIMITED MATURITY BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | ||||||||
Utilities: 3.0% | ||||||||||
$ | 2,554,000 | S | Commonwealth Edison Co., 6.150%, due 03/15/12 | $ | 2,753,991 | 0.8 | ||||
1,500,000 | # | EDP Finance BV, 5.375%, due 11/02/12 | 1,541,996 | 0.4 | ||||||
987,000 | # | PSEG Power LLC, 2.500%, due 04/15/13 | 997,226 | 0.3 | ||||||
Other Securities | 5,428,332 | 1.5 | ||||||||
10,721,545 | 3.0 | |||||||||
Total Corporate Bonds/Notes (Cost $ 187,380,619) | 189,590,437 | 53.4 | ||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 9.8% | ||||||||||
Federal Home Loan Bank: 2.6% | ||||||||||
5,245,000 | L | 1.375%, due 05/16/11 | 5,289,152 | 2.6 | ||||||
3,665,000 | S | 3.625%, due 07/01/11 | 3,784,505 | |||||||
9,073,657 | 2.6 | |||||||||
Federal Home Loan Mortgage Corporation##: 5.0% | ||||||||||
3,500,000 | L | 1.750%, due 06/15/12 | 3,570,403 | 5.0 | ||||||
3,240,000 | S | 3.000%, due 04/07/15 | 3,241,477 | |||||||
3,640,000 | S | 3.250%, due 04/23/15 | 3,645,962 | |||||||
6,064,828 | S | 5.500%, due 10/15/14-06/15/35 | 6,295,273 | |||||||
1,087,075 | S | 2.125%-6.000%, due 02/15/13-01/01/17 | 1,097,525 | |||||||
17,850,640 | 5.0 | |||||||||
Federal National Mortgage Association##: 2.2% | ||||||||||
6,143,034 | S | 6.000%, due 05/15/11-09/01/17 | 6,456,068 | 2.2 | ||||||
1,032,970 | S | 2.392%-7.500%, due 12/01/17-10/01/32 | 1,157,574 | |||||||
7,613,642 | 2.2 | |||||||||
Government National Mortgage Association: 0.0% | ||||||||||
Other Securities | 71,937 | 0.0 | ||||||||
Total U.S. Government Agency Obligations (Cost $ 33,844,146) | 34,609,876 | 9.8 | ||||||||
U.S. TREASURY OBLIGATIONS: 25.6% | ||||||||||
U.S. Treasury Notes: 25.6% | ||||||||||
6,088,000 | L | 0.750%, due 05/31/12 | 6,106,550 | 25.6 | ||||||
51,010,000 | S | 1.000%, due 04/30/12 | 51,400,533 | |||||||
16,785,000 | L | 1.125%, due 06/15/13 | 16,854,423 | |||||||
4,840,000 | L | 2.125%, due 05/31/15 | 4,923,955 | |||||||
4,135,000 | L | 3.500%, due 05/15/20 | 4,328,175 | |||||||
6,520,000 | S | 4.625%, due 02/15/40 | 7,329,908 | |||||||
Total U.S. Treasury Obligations (Cost $ 90,088,874) | 90,943,544 | 25.6 | ||||||||
ASSET-BACKED SECURITIES: 4.2% | ||||||||||
Automobile Asset-Backed Securities: 2.2% | ||||||||||
586,000 | #, S | Bank of America Auto Trust, 3.520%, due 06/15/16 | 613,869 | 0.2 | ||||||
3,526,000 | S | Harley-Davidson Motorcycle Trust, 2.620%-5.520%, due 11/15/13-02/15/17 | 3,627,519 | 1.0 | ||||||
Other Securities | 3,444,904 | 1.0 | ||||||||
7,686,292 | 2.2 | |||||||||
Credit Card Asset-Backed Securities: 1.8% | ||||||||||
1,630,000 | S | Chase Issuance Trust, 5.120%-5.160%, due 10/15/14-04/16/18 | 1,835,325 | 0.5 | ||||||
2,916,000 | Citibank Credit Card Issuance Trust, 1.000%-6.950%, due 05/15/13-02/18/14 | 3,021,091 | 0.9 |
See Accompanying Notes to Financial Statements
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ING LIMITED MATURITY BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | ||||||||||
Credit Card Asset-Backed Securities: (continued) | ||||||||||||
Other Securities | $ | 1,568,499 | 0.4 | |||||||||
6,424,915 | 1.8 | |||||||||||
Other Asset-Backed Securities: 0.2% | ||||||||||||
$ | 500,000 | # | Carlyle High Yield Partners, 0.798%, due 08/11/16 | $ | 464,037 | 0.1 | ||||||
Other Securities | 306,518 | 0.1 | ||||||||||
770,555 | 0.2 | |||||||||||
Total Asset-Backed Securities (Cost $14,712,232) | 14,881,762 | 4.2 | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.7% | ||||||||||||
2,926,211 | S | Bear Stearns Commercial Mortgage Securities, 4.240%-7.000%, due 05/20/30-06/11/41 | 3,057,305 | 0.8 | ||||||||
2,615,173 | S | Credit Suisse First Boston Mortgage Securities Corp., 3.727%, due 03/15/35 | 2,669,498 | 0.9 | ||||||||
506,292 | S | Credit Suisse First Boston Mortgage Securities Corp., 3.819%, due 05/15/36 | 508,878 | |||||||||
Other Securities(d) | 3,447,259 | 1.0 | ||||||||||
Total Collateralized Mortgage Obligations (Cost $9,828,372) | 9,682,940 | 2.7 | ||||||||||
Shares | Value | Percent of Net Assets | ||||||||||
COMMON STOCK: 0.0% | ||||||||||||
Utilities: 0.0% | ||||||||||||
Other Securities | $ | 108 | 0.0 | |||||||||
Total Common Stock (Cost $ —) | 108 | 0.0 | ||||||||||
Total Long-Term Investments (Cost $335,854,243) | 339,708,667 | 95.7 | ||||||||||
SHORT-TERM INVESTMENTS: 16.5% | ||||||||||||
Affiliated Mutual Fund: 4.3% | ||||||||||||
15,078,000 | ING Institutional Prime Money Market Fund - Class I | 15,078,000 | 4.3 | |||||||||
Total Mutual Fund (Cost $15,078,000) | 15,078,000 | 4.3 | ||||||||||
Securities Lending Collateralcc: 12.2% | ||||||||||||
42,698,956 | BNY Mellon Overnight Government Fund(1) | 42,698,956 | 12.0 | |||||||||
848,027 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 678,421 | 0.2 | ||||||||
Total Securities Lending Collateral (Cost $43,546,983) | 43,377,377 | 12.2 | ||||||||||
Total Short-Term Investments (Cost $58,624,983) | 58,455,377 | 16.5 | ||||||||||
Total Investments in Securities (Cost $394,479,226)* | $ | 398,164,044 | 112.2 | |||||||||
Other Assets and Liabilities - Net | (43,351,086 | ) | (12.2 | ) | ||||||||
Net Assets | $ | 354,812,958 | 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, 2010.
See Accompanying Notes to Financial Statements
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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.
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. |
cc | Securities purchased with cash collateral for securities loaned. |
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
## | 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. |
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. |
I | Illiquid security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
(d) | The grouping contains Interest only securities. |
* | Cost for federal income tax purposes is $394,482,012. |
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 6,285,345 | ||
Gross Unrealized Depreciation | (2,603,313 | ) | ||
Net Unrealized Appreciation | $ | 3,682,032 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | ||||||||||||
Asset Table | |||||||||||||||
Investments, at value | |||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 189,590,437 | $ | — | $ | 189,590,437 | |||||||
U.S. Government Agency Obligations | — | 34,609,876 | — | 34,609,876 | |||||||||||
U.S. Treasury Obligations | — | 90,943,544 | — | 90,943,544 | |||||||||||
Asset-Backed Securities | — | 14,417,725 | 464,037 | 14,881,762 | |||||||||||
Collateralized Mortgage Obligations | — | 9,682,940 | — | 9,682,940 | |||||||||||
Common Stock* | 108 | — | — | 108 | |||||||||||
Short-Term Investments | 57,776,956 | — | 678,421 | 58,455,377 | |||||||||||
Total Investments, at value | $ | 57,777,064 | $ | 339,244,522 | $ | 1,142,458 | $ | 398,164,044 | |||||||
Other Financial Instruments+: | |||||||||||||||
Futures | 417,499 | — | — | 417,499 | |||||||||||
Total Assets | $ | 58,194,563 | $ | 339,244,522 | $ | 1,142,458 | $ | 398,581,543 | |||||||
Liabilities Table | |||||||||||||||
Other Financial Instruments+: | |||||||||||||||
Futures | (656,553 | ) | — | — | (656,553 | ) | |||||||||
Swaps, at value | — | (405,015 | ) | — | (405,015 | ) | |||||||||
Total Liabilities | $ | (656,553 | ) | $ | (405,015 | ) | $ | — | $ | (1,061,568 | ) | ||||
See Accompanying Notes to Financial Statements
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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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | |||||||||||||||||||
Asset Table | |||||||||||||||||||||||||||
Investments, at value | |||||||||||||||||||||||||||
Asset-Backed Securities | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 464,037 | $ | — | $ | 464,037 | |||||||||
Short-Term Investments | 678,421 | — | — | — | — | — | — | — | 678,421 | ||||||||||||||||||
Total Investments, at value | $ | 678,421 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 464,037 | $ | — | $ | 1,142,458 | |||||||||
As of June 30, 2010, total change in unrealized gain (loss) on Level 3 securities still held at period end and included in the change in net assets was $(11,281).
^ | 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 reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Portfolio. Swaps and written options are reported at their market value at measurement date. |
Transfers in or out of Level 3 represents 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. |
ING Limited Maturity Bond Portfolio Open Futures Contracts on June 30, 2010:
Contract Description | Number of Contracts | Expiration Date | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||
Long Contracts | |||||||||||
U.S. Treasury 2-Year Note | 258 | 09/30/10 | $ | 56,457,655 | $ | 259,932 | |||||
U.S. Treasury 10-Year Note | 86 | 09/21/10 | 10,539,032 | 157,567 | |||||||
$ | 66,996,687 | $ | 417,499 | ||||||||
Short Contracts | |||||||||||
U.S. Treasury 5-Year Note | 175 | 09/30/10 | $ | 20,711,523 | $ | (357,273 | ) | ||||
U.S. Treasury Long Bond | 87 | 09/21/10 | 11,092,500 | (299,280 | ) | ||||||
$ | 31,804,023 | $ | (656,553 | ) | |||||||
ING Limited Maturity Bond Portfolio Credit Default Swap Agreements Outstanding on June 30, 2010:
Credit Default Swaps on Corporate and Sovereign Issues — Sell Protection (1)
Counterparty | Reference | Buy/Sell Protection | (Pay)/Receive Fixed Rate (%) | Termination Date | Implied Credit Spread At | Notional Amount (3) | Market | Upfront Premium Paid/(received) | Unrealized Appreciation/ (depreciation) | ||||||||||||||||
Barclays Bank PLC | General Electric Capital Corp. 5.625%, 09/15/17 | Sell | 1.000 | 06/20/11 | 1.73 | USD | 3,000,000 | $ | (21,309 | ) | $ | (26,010 | ) | $ | 4,701 | ||||||||||
$ | (21,309 | ) | $ | (26,010 | ) | $ | 4,701 | ||||||||||||||||||
(1) | If the Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will generally either 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 cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market 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 |
See Accompanying Notes to Financial Statements
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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 market 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. |
(3) | 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. |
(4) | The market 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 market values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
ING Limited Maturity Bond Portfolio Interest Rate Swap Agreements Outstanding on June 30, 2010:
Termination | Notional | Market | Upfront Premium | Unrealized | |||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.478% | |||||||||||||||||
Counterparty: Citibank N.A. | 05/11/20 | USD | 9,233,000 | $ | (383,706 | ) | $ | — | $ | (383,706 | ) | ||||||
$ | (383,706 | ) | $ | — | $ | (383,706 | ) | ||||||||||
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of June 30, 2010 was as follows:
Derivatives not accounted for as hedging | Location on Statement of Assets and Liabilities | Fair Value | |||
Asset Derivatives | |||||
Interest rate contracts | Net Assets- Unrealized appreciation* | $ | 417,499 | ||
Total Asset Derivatives | $ | 417,499 | |||
Liability Derivatives | |||||
Credit contracts | Swaps, at value | $ | 21,309 | ||
Interest rate contracts | Swaps, at value | 383,706 | |||
Interest rate contracts | Net Assets- Unrealized depreciation* | 656,553 | |||
Total Liability Derivatives | $ | 1,061,568 | |||
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the six months ended June 30, 2010 was as follows:
Derivatives not accounted for as hedging | Amount of Realized Gain or (Loss) on | |||||||||||
Futures | Swaps | Total | ||||||||||
Credit contracts | $ | — | 150,847 | $ | 150,847 | |||||||
Interest rate contracts | (395,192 | ) | (38,897 | ) | (434,089 | ) | ||||||
Total | $ | (395,192 | ) | $ | 111,950 | $ | (283,242 | ) | ||||
Derivatives not accounted for as hedging | Change in Unrealized Appreciation or | |||||||||||
Futures | Swaps | Total | ||||||||||
Credit contracts | $ | — | $ | (200,112 | ) | $ | (200,112 | ) | ||||
Interest rate contracts | (733,516 | ) | (383,706 | ) | (1,117,222 | ) | ||||||
Total | $ | (733,516 | ) | $ | (583,818 | ) | $ | (1,317,334 | ) | |||
See Accompanying Notes to Financial Statements
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ING LORD ABBETT GROWTHAND INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Industry Allocation
as of June 30, 2010
(as a percent of net assets)
Financials | 29.7% | |
Energy | 17.2% | |
Consumer Discretionary | 13.0% | |
Industrials | 9.4% | |
Health Care | 9.2% | |
Materials | 6.8% |
Consumer Staples | 5.5% | |
Utilities | 3.3% | |
Telecommunication Services | 2.8% | |
Information Technology | 2.5% | |
Other Assets and Liabilities – Net* | 0.6% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to securities lending collateral. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 99.1% | |||||||||
Consumer Discretionary: 13.0% | |||||||||
38,700 | Carnival Corp. | $ | 1,170,288 | 0.9 | |||||
108,000 | Comcast Corp. – Class A | 1,875,960 | 1.4 | ||||||
195,500 | @ | Ford Motor Co. | 1,970,640 | 1.5 | |||||
101,431 | @ | HSN, Inc. | 2,434,344 | 1.9 | |||||
39,500 | @ | Hyatt Hotels Corp. | 1,465,055 | 1.1 | |||||
48,627 | Marriott International, Inc. | 1,455,892 | 1.1 | ||||||
49,200 | Target Corp. | 2,419,164 | 1.8 | ||||||
Other Securities | 4,388,373 | 3.3 | |||||||
17,179,716 | 13.0 | ||||||||
Consumer Staples: 5.5% | |||||||||
65,900 | Archer-Daniels-Midland Co. | 1,701,538 | 1.3 | ||||||
16,700 | Colgate-Palmolive Co. | 1,315,292 | 1.0 | ||||||
150,165 | Kroger Co. | 2,956,749 | 2.2 | ||||||
Other Securities | 1,301,965 | 1.0 | |||||||
7,275,544 | 5.5 | ||||||||
Energy: 17.2% | |||||||||
62,200 | Chevron Corp. | 4,220,892 | 3.2 | ||||||
118,000 | El Paso Corp. | 1,310,980 | 1.0 | ||||||
103,355 | ExxonMobil Corp. | 5,898,470 | 4.5 | ||||||
72,400 | Halliburton Co. | 1,777,420 | 1.3 | ||||||
47,500 | Marathon Oil Corp. | 1,476,775 | 1.1 | ||||||
52,650 | Schlumberger Ltd. | 2,913,651 | 2.2 | ||||||
Other Securities | 5,147,736 | 3.9 | |||||||
22,745,924 | 17.2 | ||||||||
Financials: 29.4% | |||||||||
194,387 | Bank of America Corp. | 2,793,341 | 2.1 | ||||||
121,760 | Bank of New York Mellon Corp. | 3,006,254 | 2.3 | ||||||
15,900 | @ | Berkshire Hathaway, Inc. | 1,267,071 | 1.0 | |||||
114,900 | Charles Schwab Corp. | 1,629,282 | 1.2 | ||||||
596,200 | @ | Citigroup, Inc. | 2,241,712 | 1.7 | |||||
15,100 | Goldman Sachs Group, Inc. | 1,982,177 | 1.5 | ||||||
127,697 | JP Morgan Chase & Co. | 4,674,987 | 3.5 | ||||||
180,100 | Keycorp | 1,384,969 | 1.1 | ||||||
14,400 | M&T Bank Corp. | 1,223,280 | 0.9 |
See Accompanying Notes to Financial Statements
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ING LORD ABBETT GROWTHAND INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Financials: (continued) | |||||||||
69,400 | Morgan Stanley | $ | 1,610,774 | 1.2 | |||||
38,100 | PNC Financial Services Group, Inc. | 2,152,650 | 1.6 | ||||||
34,800 | State Street Corp. | 1,176,936 | 0.9 | ||||||
123,168 | SunTrust Bank | 2,869,814 | 2.2 | ||||||
222,500 | Wells Fargo & Co. | 5,696,002 | 4.3 | ||||||
86,200 | Zions Bancorp. | 1,859,334 | 1.4 | ||||||
Other Securities | 3,293,208 | 2.5 | |||||||
38,861,791 | 29.4 | ||||||||
Health Care: 9.2% | |||||||||
36,700 | Abbott Laboratories | 1,716,826 | 1.3 | ||||||
38,000 | @ | Amgen, Inc. | 1,998,800 | 1.5 | |||||
36,468 | Covidien PLC | 1,465,284 | 1.1 | ||||||
25,900 | Johnson & Johnson | 1,529,654 | 1.1 | ||||||
26,200 | Teva Pharmaceutical Industries Ltd. ADR | 1,362,138 | 1.0 | ||||||
73,700 | UnitedHealth Group, Inc. | 2,093,080 | 1.6 | ||||||
Other Securities | 2,070,173 | 1.6 | |||||||
12,235,955 | 9.2 | ||||||||
Industrials: 9.4% | |||||||||
27,500 | Caterpillar, Inc. | 1,651,925 | 1.3 | ||||||
240,257 | @ | Delta Airlines, Inc. | 2,823,020 | 2.1 | |||||
40,845 | Eaton Corp. | 2,672,897 | 2.0 | ||||||
244,426 | @, L | Hertz Global Holdings, Inc. | 2,312,270 | 1.7 | |||||
Other Securities | 3,050,282 | 2.3 | |||||||
12,510,394 | 9.4 | ||||||||
Information Technology: 2.5% | |||||||||
23,975 | Hewlett-Packard Co. | 1,037,638 | 0.8 | ||||||
Other Securities | 2,299,164 | 1.7 | |||||||
3,336,802 | 2.5 | ||||||||
Materials: 6.8% | |||||||||
49,000 | Barrick Gold Corp. | 2,225,090 | 1.7 | ||||||
21,200 | Cliffs Natural Resources, Inc. | 999,792 | 0.8 | ||||||
58,200 | Dow Chemical Co. | 1,380,504 | 1.0 | ||||||
29,500 | Mosaic Co. | 1,149,910 | 0.9 | ||||||
33,100 | Newmont Mining Corp. | 2,043,594 | 1.5 | ||||||
Other Securities | 1,158,564 | 0.9 | |||||||
8,957,454 | 6.8 | ||||||||
Telecommunication Services: 2.8% | |||||||||
102,280 | AT&T, Inc. | 2,474,153 | 1.9 | ||||||
44,400 | Verizon Communications, Inc. | 1,244,088 | 0.9 | ||||||
3,718,241 | 2.8 | ||||||||
Utilities: 3.3% | |||||||||
31,000 | Pacific Gas & Electric Co. | 1,274,100 | 0.9 | ||||||
Other Securities | 3,155,728 | 2.4 | |||||||
4,429,828 | 3.3 | ||||||||
Total Common Stock (Cost $ 130,381,074) | 131,251,649 | 99.1 |
See Accompanying Notes to Financial Statements
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ING LORD ABBETT GROWTHAND INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||||
REAL ESTATE INVESTMENT TRUSTS: 0.3% | |||||||||||
Financials: 0.3% | |||||||||||
Other Securities | $ | 358,435 | 0.3 | ||||||||
Total Real Estate Investment Trusts (Cost $ 342,763) | 358,435 | 0.3 | |||||||||
Total Long-Term Investments (Cost $ 130,723,837) | 131,610,084 | 99.4 | |||||||||
SHORT-TERM INVESTMENTS: 0.8% | |||||||||||
Securities Lending Collateralcc: 0.8% | |||||||||||
939,110 | BNY Mellon Overnight Government Fund(1) | 939,110 | 0.7 | ||||||||
139,950 | I | BNY Institutional Cash Reserves Fund, Series B (1)(2) | 111,960 | 0.1 | |||||||
Total Short-Term Investments (Cost $ 1,079,060) | 1,051,070 | 0.8 | |||||||||
Total Investments in Securities (Cost $ 131,802,897)* | $ | 132,661,154 | 100.2 | ||||||||
Other Assets and Liabilities - Net | (296,621 | ) | (0.2 | ) | |||||||
Net Assets | $ | 132,364,533 | 100.0 | ||||||||
“Other Securties” 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, 2010.
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 |
ADR | American Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
(1) | Collateral received from brokers for securites 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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
I | Illiquid security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
* | Cost for federal income tax purposes is $135,383,485. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 11,448,818 | ||
Gross Unrealized Depreciation | (14,171,149 | ) | ||
Net Unrealized Depreciation | $ | (2,722,331 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Common Stock* | $ | 131,251,649 | $ | — | $ | — | $ | 131,251,649 | ||||
Real Estate Investment Trusts | 358,435 | — | — | 358,435 | ||||||||
Short-Term Investments | 939,110 | — | 111,960 | 1,051,070 | ||||||||
Total Investments, at value | $ | 132,549,194 | $ | — | $ | 111,960 | $ | 132,661,154 | ||||
See Accompanying Notes to Financial Statements
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ING LORD ABBETT GROWTHAND INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | |||||||||||||||||||
Asset Table | |||||||||||||||||||||||||||
Investments, at value | |||||||||||||||||||||||||||
Short-Term Investments | $ | 111,960 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 111,960 | |||||||||
Total Investments, at value | $ | 111,960 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 111,960 | |||||||||
As of June 30, 2010, 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.
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
Transfers in or out of Level 3 represents 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. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
See Accompanying Notes to Financial Statements
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ING PIMCO HIGH YIELD PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Investment Type Allocation
as of June 30, 2010
(as a percent of net assets)
Corporate Bonds/Notes | 88.9% | |
Collateralized Mortgage Obligations | 3.3% | |
Preferred Stock | 0.7% | |
Asset-Backed Securities | 0.5% |
Common Stock | 0.4% | |
Other Assets and Liabilities – Net* | 6.2% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to commercial paper, securities lending collateral, U.S. government agency obligation and U.S. Treasury Bill. |
Portfolio holdings are subject to change daily.
Principal Amount | Value | Percent of Net Assets | ||||||||
CORPORATE BONDS/NOTES: 88.9% | ||||||||||
Consumer Discretionary: 14.2% | ||||||||||
$ | 2,550,000 | S | Albertson’s, Inc., 6.570%-8.000%, due 06/15/26-05/01/31 | $ | 2,117,875 | 0.3 | ||||
3,200,000 | #, S | Allison Transmission, Inc., 11.000%, due 11/01/15 | 3,368,000 | 0.5 | ||||||
750,000 | #, S | American Tire Distributors, Inc., 9.750%, due 06/01/17 | 755,625 | 0.1 | ||||||
3,628,000 | S | ArvinMeritor, Inc., 8.125%-8.750%, due 03/01/12-09/15/15 | 3,655,680 | 0.6 | ||||||
1,500,000 | #, S | CCO Holdings LLC / CCO Holdings Capital Corp., 7.875%, due 04/30/18 | 1,515,000 | 0.4 | ||||||
900,000 | #, S | CCO Holdings LLC / CCO Holdings Capital Corp., 8.125%, due 04/30/20 | 924,750 | |||||||
3,250,000 | #, S | Clear Channel Worldwide Holdings, Inc., 9.250%, due 12/15/17 | 3,277,500 | 0.5 | ||||||
1,500,000 | #, S | Cooper-Standard Automotive, Inc., 8.500%, due 05/01/18 | 1,518,750 | 0.3 | ||||||
3,250,000 | S | CSC Holdings, Inc., 7.625%, due 07/15/18 | 3,302,813 | 1.0 | ||||||
3,000,000 | S | CSC Holdings, Inc., 7.875%, due 02/15/18 | 3,075,000 | |||||||
500,000 | #, S | CSC Holdings, Inc., 8.500%, due 06/15/15 | 521,250 | 0.9 | ||||||
4,550,000 | #, S | CSC Holdings, Inc., 8.625%, due 02/15/19 | 4,805,938 | |||||||
7,150,000 | S | DISH DBS Corp., 7.125%, due 02/01/16 | 7,203,625 | 1.6 | ||||||
2,925,000 | S | DISH DBS Corp., 6.625%-7.875%, due 10/01/14-09/01/19 | 3,002,438 | |||||||
4,176,853 | S, L | Harrah’s Operating Co., Inc., 3.320%-11.250%, due 01/28/15-12/15/18 | 3,800,345 | 0.6 | ||||||
1,000,000 | #, S | Lamar Media Corp., 7.875%, due 04/15/18 | 1,002,500 | 0.2 | ||||||
1,000,000 | #, S | LIN Television Corp., 8.375%, due 04/15/18 | 1,000,000 | 0.2 | ||||||
1,624,039 | I | Local Insight Regatta Holdings, Inc., 7.750%, due 04/23/15 | 1,380,433 | 0.3 | ||||||
500,000 | S | Local Insight Regatta Holdings, Inc., 11.000%, due 12/01/17 | 327,500 | |||||||
775,000 | #, S | McClatchy Co, 11.500%, due 02/15/17 | 790,500 | 0.1 | ||||||
1,500,000 | #, S | McJunkin Red Man Corp., 9.500%, due 12/15/16 | 1,462,500 | 0.2 | ||||||
500,000 | #, S | MGM Resorts International, 9.000%, due 03/15/20 | 516,250 | 0.7 | ||||||
3,675,000 | S, L | MGM Resorts International, 10.375%-11.125%, due 05/15/14-11/15/17 | 4,041,563 | |||||||
1,800,000 | S | New Albertsons, Inc., 7.450%, due 08/01/29 | 1,503,000 | 0.2 | ||||||
5,975,000 | S | Quebecor Media, Inc., 7.750%, due 03/15/16 | 5,885,375 | 0.9 | ||||||
700,000 | #, S | QVC, Inc., 7.125%, due 04/15/17 | 689,500 | 0.2 | ||||||
500,000 | #, S | QVC, Inc., 7.375%, due 10/15/20 | 488,750 | |||||||
50,000 | #, S | TRW Automotive, Inc., 7.000%, due 03/15/14 | 49,750 | 0.8 | ||||||
4,780,000 | #, S | TRW Automotive, Inc., 7.250%, due 03/15/17 | 4,660,500 | |||||||
Other Securities | 22,621,058 | 3.6 | ||||||||
89,263,768 | 14.2 | |||||||||
Consumer Staples: 1.6% | ||||||||||
1,500,000 | #, S | Alliance One International, Inc., 10.000%, due 07/15/16 | 1,533,750 | 0.2 | ||||||
1,050,000 | #, S | Live Nation Entertainment, Inc., 8.125%, due 05/15/18 | 1,023,750 | 0.2 | ||||||
2,000,000 | # | Michael Foods, Inc., 9.750%, due 07/15/18 | 2,065,000 | 0.3 | ||||||
2,000,000 | #, S | Spectrum Brands Holdings, Inc., 9.500%, due 06/15/18 | 2,065,000 | 0.3 | ||||||
219 | &, S | Spectrum Brands, Inc., 12.000%, due 08/28/19 | 240 |
See Accompanying Notes to Financial Statements
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ING PIMCO HIGH YIELD PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | ||||||||
Consumer Staples: (continued) | ||||||||||
Other Securities | $ | 3,451,313 | 0.6 | |||||||
10,139,053 | 1.6 | |||||||||
Energy: 9.5% | ||||||||||
$ | 4,275,000 | S | Chesapeake Energy Corp., 9.500%, due 02/15/15 | 4,745,250 | 1.3 | |||||
3,125,000 | S | Chesapeake Energy Corp., 6.875%-7.250%, due 08/15/14-11/15/20 | 3,210,813 | |||||||
300,000 | #, S | Coffeyville Resources LLC / Coffeyville Finance, Inc., 9.000%, due 04/01/15 | 298,500 | 0.0 | ||||||
3,000,000 | #, S | Consol Energy, Inc., 8.000%, due 04/01/17 | 3,112,500 | 0.7 | ||||||
1,250,000 | #, S | Consol Energy, Inc., 8.250%, due 04/01/20 | 1,309,375 | |||||||
275,000 | #, S | Continental Resources, Inc., 7.375%, due 10/01/20 | 271,563 | 0.0 | ||||||
50,000 | S | Continental Resources, Inc., 8.250%, due 10/01/19 | 52,500 | |||||||
4,500,000 | S | Enterprise Products Operating L.P., 8.375%, due 08/01/66 | 4,499,640 | 0.8 | ||||||
600,000 | S | Enterprise Products Operating L.P., 7.034%, due 01/15/68 | 552,781 | |||||||
6,725,000 | S | Kinder Morgan Finance Co. ULC, 5.700%, due 01/05/16 | 6,456,000 | 1.0 | ||||||
2,050,000 | #, S | Linn Energy LLC/Linn Energy Finance Corp., 8.625%, due 04/15/20 | 2,108,938 | 0.3 | ||||||
4,300,000 | &, S | SandRidge Energy, Inc., 8.625%, due 04/01/15 | 4,197,875 | 0.7 | ||||||
5,260,000 | ±, S, I, X | SemGroup Corp., 8.750%, due 11/15/15 | — | 0.0 | ||||||
4,000,000 | S | Sonat, Inc., 7.000%, due 02/01/18 | 3,961,540 | 0.6 | ||||||
450,000 | #, S | Thermon Industries, Inc., 9.500%, due 05/01/17 | 459,000 | 0.1 | ||||||
Other Securities | 24,966,400 | 4.0 | ||||||||
60,202,675 | 9.5 | |||||||||
Financials: 22.4% | ||||||||||
2,500,000 | #, S | Ally Financial, Inc., 8.300%, due 02/12/15 | 2,537,500 | 0.4 | ||||||
5,725,000 | S | American International Group, Inc., 8.250%, due 08/15/18 | 5,825,188 | 2.2 | ||||||
GBP | 1,000,000 | American International Group, Inc., 8.625%, due 05/22/38 | 1,135,515 | |||||||
$ | 8,325,000 | S | American International Group, Inc., 0.414%-8.175%, due 10/18/11-05/15/58 | 7,088,256 | ||||||
450,000 | #, S | Barclays Bank PLC, 7.434%, due 09/29/49 | 405,000 | 1.0 | ||||||
GBP | 3,000,000 | Barclays Bank PLC, 14.000%, due 11/29/49 | 5,602,869 | |||||||
$ | 8,274,547 | S, L | CIT Group, Inc., 7.000%-9.500%, due 01/20/12-05/01/17 | 7,888,506 | 1.3 | |||||
2,525,000 | #, S | El Paso Performance-Linked Trust, 7.750%, due 07/15/11 | 2,615,352 | 0.4 | ||||||
1,196,000 | #, S | Fibria Overseas Finance Ltd, 7.500%, due 05/04/20 | 1,219,920 | 0.2 | ||||||
4,475,000 | S | Ford Motor Credit Co., LLC, 8.000%, due 06/01/14 | 4,622,299 | 4.0 | ||||||
9,325,000 | S | Ford Motor Credit Co., LLC, 8.000%, due 12/15/16 | 9,547,560 | |||||||
10,721,077 | S | Ford Motor Credit Co., LLC, 3.277%-12.000%, due 08/10/11-01/15/20 | 10,898,617 | |||||||
1,375,000 | #, S | Fresenius US Finance II, Inc., 9.000%, due 07/15/15 | 1,497,031 | 0.2 | ||||||
4,000,000 | S | General Motors Acceptance Corp., 8.000%, due 11/01/31 | 3,684,588 | 0.6 | ||||||
4,804,000 | S | International Lease Finance Corp., 4.875%, due 09/01/10 | 4,791,990 | 1.5 | ||||||
750,000 | #, S | International Lease Finance Corp., 8.625%, due 09/15/15 | 712,500 | |||||||
2,300,000 | #, S | International Lease Finance Corp., 8.750%, due 03/15/17 | 2,185,000 | |||||||
1,700,000 | S | International Lease Finance Corp., 5.450%-5.875%, due 03/24/11-05/01/13 | 1,620,850 | |||||||
EUR | 250,000 | LBG Capital No.1 PLC, 6.439%, due 05/23/20 | 223,171 | 0.6 | ||||||
GBP | 550,000 | LBG Capital No.1 PLC, 7.869%, due 08/25/20 | 632,751 | |||||||
$ | 3,350,000 | LBG Capital No.1 PLC, 7.875%, due 11/01/20 | 2,730,250 | |||||||
3,250,000 | #, S | LBI Escrow Corp., 8.000%, due 11/01/17 | 3,355,625 | 0.5 | ||||||
499,200 | #, ±, S, I | Lehman Brothers Holdings, Inc., 8.160%, due 05/30/09 | 22,912 | 0.0 | ||||||
2,000,000 | #, S | Metlife Capital Trust IV, 7.875%, due 12/15/37 | 1,930,000 | 0.3 | ||||||
600,000 | #, S | New Communications Holdings, Inc., 7.875%, due 04/15/15 | 607,500 | 0.2 | ||||||
300,000 | #, S | New Communications Holdings, Inc., 8.250%, due 04/15/17 | 302,625 | |||||||
300,000 | #, S | New Communications Holdings, Inc., 8.500%, due 04/15/20 | 302,250 | |||||||
2,800,000 | #, S | NSG Holdings, LLC, 7.750%, due 12/15/25 | 2,478,000 | 0.4 | ||||||
5,650,000 | #, S | Rabobank, 11.000%, due 12/29/49 | 6,997,378 | 1.1 |
See Accompanying Notes to Financial Statements
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ING PIMCO HIGH YIELD PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | ||||||||
Financials: (continued) | ||||||||||
$ | 2,000,000 | #, S | Reynolds Group DL Escrow, Inc./Reynolds Group Escrow LLC, 7.750%, due 10/15/16 | $ | 1,965,000 | 0.9 | ||||
3,700,000 | #, S | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 8.500%, due 05/15/18 | 3,649,125 | |||||||
1,750,000 | #, S | Royal Bank of Scotland Group PLC, 6.990%, due 10/29/49 | 1,146,250 | 0.5 | ||||||
3,100,000 | S | Royal Bank of Scotland Group PLC, 7.640%, due 03/31/49 | 1,790,250 | |||||||
700,000 | #, S | SMFG Preferred Capital USD 3 Ltd., 9.500%, due 12/31/49 | 750,262 | 0.1 | ||||||
375,000 | #, S | Societe Generale, 5.922%, due 12/31/49 | 284,237 | 0.0 | ||||||
400,000 | #, S | TNK-BP Finance S.A., 6.625%, due 03/20/17 | 396,000 | 0.2 | ||||||
1,000,000 | #, S, I, L | TNK-BP Finance S.A., 7.500%, due 07/18/16 | 1,041,875 | |||||||
1,150,000 | #, S | Universal City Development Partners Ltd., 8.875%, due 11/15/15 | 1,161,500 | 0.2 | ||||||
EUR | 1,500,000 | I | UPCB Finance Ltd., 7.625%, due 01/15/20 | 1,811,351 | 0.3 | |||||
$ | 1,650,000 | #, S | Virgin Media Secured Finance PLC, 6.500%, due 01/15/18 | 1,629,375 | 0.3 | |||||
925,000 | S | Wells Fargo & Company, 7.980%, due 02/28/49 | 957,375 | 0.1 | ||||||
Other Securities(a) | 30,883,749 | 4.9 | ||||||||
140,927,352 | 22.4 | |||||||||
Health Care: 9.4% | ||||||||||
450,000 | #, S | American Renal Holdings, 8.375%, due 05/15/18 | 447,750 | 0.1 | ||||||
10,085,000 | S | Biomet, Inc., 11.625%, due 10/15/17 | 10,967,438 | 2.1 | ||||||
2,000,000 | &, S | Biomet, Inc., 10.375%, due 10/15/17 | 2,160,000 | |||||||
1,000,000 | # | Capella Healthcare, Inc., 9.250%, due 07/01/17 | 1,012,500 | 0.2 | ||||||
6,310,000 | S | Community Health Systems, Inc., 8.875%, due 07/15/15 | 6,522,963 | 1.0 | ||||||
3,500,000 | S | HCA, Inc., 8.500%, due 04/15/19 | 3,727,500 | 3.7 | ||||||
14,195,000 | S | HCA, Inc., 9.250%, due 11/15/16 | 15,082,188 | |||||||
4,516,000 | &, S | HCA, Inc., 7.250%-9.625%, due 11/15/16-09/15/20 | 4,720,910 | |||||||
875,000 | #, S | Mylan, Inc./PA, 7.625%, due 07/15/17 | 896,875 | 0.4 | ||||||
1,300,000 | #, S | Mylan, Inc./PA, 7.875%, due 07/15/20 | 1,332,500 | |||||||
1,075,000 | #, S | Patheon, Inc., 8.625%, due 04/15/17 | 1,061,563 | 0.2 | ||||||
1,500,000 | &, #, S | Quintiles Transnational Corp., 9.500%, due 12/30/14 | 1,511,250 | 0.2 | ||||||
650,000 | #, S | Valeant Pharmaceuticals International, 7.625%, due 03/15/20 | 770,250 | 0.1 | ||||||
1,000,000 | #, I | Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8.000%, due 02/01/18 | 970,000 | 0.2 | ||||||
Other Securities | 7,762,750 | 1.2 | ||||||||
58,946,437 | 9.4 | |||||||||
Industrials: 3.1% | ||||||||||
2,000,000 | #, S | American Airlines, Inc., 10.500%, due 10/15/12 | 2,085,000 | 0.3 | ||||||
500,000 | #, S | Amsted Industries, Inc., 8.125%, due 03/15/18 | 501,250 | 0.1 | ||||||
1,400,000 | #, S | Bombardier, Inc., 7.500%, due 03/15/18 | 1,449,000 | 0.2 | ||||||
1,000,000 | #, S | Building Materials Corp. of America, 7.000%, due 02/15/20 | 995,000 | 0.2 | ||||||
375,000 | #, S | Building Materials Corp. of America, 7.500%, due 03/15/20 | 370,313 | |||||||
1,600,000 | #, S | C8 Capital SPV Ltd., 6.640%, due 12/31/49 | 1,055,054 | 0.2 | ||||||
1,500,000 | # | Case New Holland, Inc., 7.875%, due 12/01/17 | 1,518,750 | 0.2 | ||||||
593,530 | S, I | Continental Airlines, Inc., 6.920%, due 04/02/13 | 579,089 | 0.1 | ||||||
3,500,000 | #, S | RBS Global, Inc. / Rexnord LLC, 8.500%, due 05/01/18 | 3,412,500 | 0.6 | ||||||
Other Securities | 7,347,899 | 1.2 | ||||||||
19,313,855 | 3.1 | |||||||||
Information Technology: 4.0% | ||||||||||
250,000 | #, S | Brocade Communications Systems, Inc., 6.625%, due 01/15/18 | 249,375 | 0.2 | ||||||
1,250,000 | #, S | Brocade Communications Systems, Inc., 6.875%, due 01/15/20 | 1,246,875 |
See Accompanying Notes to Financial Statements
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ING PIMCO HIGH YIELD PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | ||||||||
Information Technology: (continued) | ||||||||||
$ | 4,839,736 | S | First Data Corp., 3.097%-9.875%, due 09/24/14-09/24/15 | $ | 3,855,211 | 0.6 | ||||
775,000 | #, S | Mantech International Corp., 7.250%, due 04/15/18 | 786,625 | 0.1 | ||||||
2,750,000 | #, S | Nordic Telephone Co. APS, 8.875%, due 05/01/16 | 2,839,375 | 0.5 | ||||||
2,000,000 | #, S | Seagate HDD Cayman, 6.875%, due 05/01/20 | 1,910,000 | 0.3 | ||||||
4,500,000 | S | SunGard Data Systems, Inc., 9.125%, due 08/15/13 | 4,595,625 | 0.8 | ||||||
500,000 | S | SunGard Data Systems, Inc., 10.625%, due 05/15/15 | 536,875 | |||||||
Other Securities | 9,252,506 | 1.5 | ||||||||
25,272,467 | 4.0 | |||||||||
Materials: 7.0% | ||||||||||
4,000,000 | S | Berry Plastics Holding Corp., 5.053%-8.875%, due 09/15/14-02/15/15 | 3,843,000 | 0.6 | ||||||
1,250,000 | #, S | Georgia-Pacific Corp., 7.125%, due 01/15/17 | 1,281,250 | 2.7 | ||||||
3,615,000 | S | Georgia-Pacific Corp., 7.375%, due 12/01/25 | 3,651,150 | |||||||
10,605,000 | S | Georgia-Pacific Corp., 8.000%, due 01/15/24 | 11,294,325 | |||||||
550,000 | #, S | Georgia-Pacific Corp., 8.250%, due 05/01/16 | 589,188 | |||||||
425,000 | #, S | Ineos Finance PLC, 9.000%, due 05/15/15 | 426,063 | 0.1 | ||||||
EUR | 500,000 | #, I | Ineos Finance PLC, 9.250%, due 05/15/15 | 609,898 | ||||||
$ | 2,375,000 | #, S | Ineos Group Holdings PLC, 8.500%, due 02/15/16 | 1,864,375 | 0.3 | |||||
1,750,000 | #, S | JohnsonDiversey, Inc., 8.250%, due 11/15/19 | 1,811,250 | 0.3 | ||||||
EUR | 450,000 | I | Kerling PLC, 10.625%, due 01/28/17 | 555,099 | 0.1 | |||||
$ | 175,000 | #, S | Steel Dynamics, Inc., 7.625%, due 03/15/20 | 175,000 | 0.0 | |||||
5,150,000 | S | Teck Resources Ltd., 10.750%, due 05/15/19 | 6,319,797 | 1.1 | ||||||
625,000 | S | Teck Resources Ltd., 10.250%, due 05/15/16 | 738,334 | |||||||
Other Securities | 11,279,877 | 1.8 | ||||||||
44,438,606 | 7.0 | |||||||||
Telecommunication Services: 11.4% | ||||||||||
1,750,000 | #, S | Axtel SAB de CV, 9.000%, due 09/22/19 | 1,566,250 | 0.2 | ||||||
3,000,000 | #, S | Digicel Ltd., 8.250%, due 09/01/17 | 2,985,000 | 0.5 | ||||||
5,885,000 | S | Frontier Communications Corp., 7.000%-9.000%, due 11/01/25-07/01/35 | 5,266,638 | 0.8 | ||||||
1,156,321 | I | Hawaiian Telcom Communications, Inc., 4.750%, due 06/01/14 | 984,800 | 0.2 | ||||||
600,000 | ±, S, I | Hawaiian Telcom Communications, Inc., 9.750%, due 05/01/13 | 13,500 | |||||||
3,650,000 | #, S | Intelsat Jackson Holdings Ltd., 8.500%, due 11/01/19 | 3,704,750 | 1.1 | ||||||
3,250,000 | S | Intelsat Jackson Holdings Ltd., 9.500%, due 06/15/16 | 3,428,750 | |||||||
EUR | 675,000 | Nordic Telephone Co. APS, 8.250%, due 05/01/16 | 866,697 | 0.1 | ||||||
$ | 1,500,000 | #, S | Qwest Communications International, Inc., 7.125%, due 04/01/18 | 1,503,750 | 1.3 | |||||
6,253,000 | S | Qwest Communications International, Inc., 7.500%, due 02/15/14 | 6,299,898 | |||||||
150,000 | #, S | Qwest Communications International, Inc., 8.000%, due 10/01/15 | 154,875 | |||||||
3,800,000 | S | Qwest Corp., 7.500%-8.875%, due 03/15/12-06/15/23 | 3,807,000 | 0.6 | ||||||
4,000,000 | S | Sprint Capital Corp., 6.900%, due 05/01/19 | 3,640,000 | 1.9 | ||||||
8,425,000 | S | Sprint Capital Corp., 8.750%, due 03/15/32 | 8,087,976 | |||||||
3,025,000 | S | Telesat Canada / Telesat LLC, 11.000%, due 11/01/15 | 3,282,125 | 0.6 | ||||||
600,000 | S | Telesat Canada / Telesat LLC, 12.500%, due 11/01/17 | 675,000 | |||||||
1,925,650 | ±, I | Tribune Co., 5.250%, due 06/04/14 | 1,157,797 | 0.2 | ||||||
500,000 | #, S | tw telecom holdings inc, 8.000%, due 03/01/18 | 512,500 | 0.1 | ||||||
4,200,000 | #, S | Wind Acquisition Finance S.A., 11.750%, due 07/15/17 | 4,326,000 | 0.9 | ||||||
1,200,000 | #, S | Wind Acquisition Finance S.A., 12.000%, due 12/01/15 | 1,248,000 | |||||||
5,565,000 | S | Windstream Corp., 8.625%, due 08/01/16 | 5,634,563 | 1.0 | ||||||
400,000 | S | Windstream Corp., 7.875%, due 11/01/17 | 392,500 | |||||||
Other Securities(a) | 12,283,675 | 1.9 | ||||||||
71,822,044 | 11.4 | |||||||||
See Accompanying Notes to Financial Statements
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ING PIMCO HIGH YIELD PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | ||||||||
Utilities: 6.3% | ||||||||||
$ | 3,825,000 | S | AES Corp., 7.750%-8.000%, due 03/01/14-06/01/20 | $ | 3,891,875 | 0.6 | ||||
250,000 | #, S | Energy Future Holdings Corp., 10.000%, due 01/15/20 | 250,000 | 0.0 | ||||||
3,125,000 | #, S | Intergen NV, 9.000%, due 06/30/17 | 3,125,000 | 0.5 | ||||||
1,935,000 | #, S | Ipalco Enterprises, Inc., 7.250%, due 04/01/16 | 1,988,213 | 0.3 | ||||||
50,000 | S | Ipalco Enterprises, Inc., 8.625%, due 11/14/11 | 52,250 | |||||||
5,075,000 | S | NRG Energy, Inc., 7.375%, due 01/15/17 | 5,036,938 | 1.6 | ||||||
4,900,000 | S | NRG Energy, Inc., 7.250%-8.500%, due 02/01/14-06/15/19 | 4,948,813 | |||||||
4,000,000 | S | NV Energy, Inc., 6.750%, due 08/15/17 | 4,049,636 | 0.6 | ||||||
2,782,955 | #, S | Tenaska Alabama Partners LP, 7.000%, due 06/30/21 | 2,796,869 | 0.5 | ||||||
4,561,599 | Texas Competitive Electric Holdings Co., LLC, 3.527%, due 10/10/14 | 3,366,614 | 1.6 | |||||||
7,080,155 | Texas Competitive Electric Holdings Co., LLC, 3.850%, due 10/10/14 | 5,251,485 | ||||||||
1,888,125 | &, S, L | Texas Competitive Electric Holdings Co., LLC, 3.850%-10.500%, due 01/10/14-11/01/16 | 1,346,704 | |||||||
Other Securities | 3,626,582 | 0.6 | ||||||||
39,730,979 | 6.3 | |||||||||
Total Corporate Bonds/Notes (Cost $530,408,268) | 560,057,236 | 88.9 | ||||||||
ASSET-BACKED SECURITIES: 0.5% | ||||||||||
Home Equity Asset-Backed Securities: 0.1% | ||||||||||
Other Securities | 573,207 | 0.1 | ||||||||
Other Asset-Backed Securities: 0.4% | ||||||||||
715,903 | #, S | Structured Asset Securities Corp., 0.497%, due 05/25/37 | 596,761 | 0.2 | ||||||
1,917,584 | S | Structured Asset Securities Corp., 0.647%, due 06/25/35 | 771,614 | |||||||
Other Securities | 1,213,281 | 0.2 | ||||||||
2,581,656 | 0.4 | |||||||||
Total Asset-Backed Securities (Cost $3,799,854) | 3,154,863 | 0.5 | ||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 3.3% | ||||||||||
4,500,000 | S | Bear Stearns Adjustable Rate Mortgage Trust, 3.735%, due 10/25/35 | 4,239,011 | 0.7 | ||||||
74,500 | S | Bear Stearns Adjustable Rate Mortgage Trust, 5.370%, due 05/25/47 | 53,954 | |||||||
Other Securities | 16,784,900 | 2.6 | ||||||||
Total Collateralized Mortgage Obligations (Cost $22,221,503) | 21,077,865 | 3.3 | ||||||||
MUNICIPAL BONDS: 0.0% | ||||||||||
Puerto Rico: 0.0% | ||||||||||
Other Securities | 89,728 | 0.0 | ||||||||
Total Municipal Bonds (Cost $220,044) | 89,728 | 0.0 | ||||||||
Shares | Value | Percent of Net Assets | ||||||||
COMMON STOCK: 0.4% | ||||||||||
Consumer Discretionary: 0.3% | ||||||||||
Other Securities | $ | 2,178,540 | 0.3 | |||||||
Consumer Staples: 0.0% | ||||||||||
Other Securities | 659 | 0.0 |
See Accompanying Notes to Financial Statements
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ING PIMCO HIGH YIELD PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | ||||||||
Energy: 0.1% | ||||||||||
Other Securities | $ | 357,263 | 0.1 | |||||||
Total Common Stock (Cost $2,912,599) | 2,536,462 | 0.4 | ||||||||
PREFERRED STOCK: 0.7% | ||||||||||
Financials: 0.7% | ||||||||||
900 | #, P, S | ABN AMRO North America Capital Funding Trust I | 601,594 | 0.1 | ||||||
3,800 | S | Wells Fargo & Co. | 3,537,800 | 0.6 | ||||||
Total Preferred Stock (Cost $3,368,035) | 4,139,394 | 0.7 | ||||||||
WARRANTS: 0.0% | ||||||||||
Energy: 0.0% | ||||||||||
Other Securities | 85,956 | 0.0 | ||||||||
Total Warrants (Cost $ 64,467) | 85,956 | 0.0 | ||||||||
Total Long-Term Investments (Cost $ 562,994,770) | 591,141,504 | 93.8 | ||||||||
Principal Amount | Value | Percent of Net Assets | ||||||||
SHORT-TERM INVESTMENTS: 6.5% | ||||||||||
Commercial Paper: 0.1% | ||||||||||
$ | 550,135 | ±, I | Tribune Co., 5.000%, due 05/30/09 | $ | 333,290 | 0.1 | ||||
Total Commercial Paper (Cost $ 546,737) | 333,290 | 0.1 | ||||||||
U.S. Government Agency Obligations: 4.7% | ||||||||||
14,700,000 | S, Z | Fannie Mae, 0.140%, due 10/01/10 | 14,694,737 | 2.7 | ||||||
2,700,000 | S, L, Z | Fannie Mae, 0.080%-0.110%, due 08/11/10-09/20/10 | 2,699,632 | |||||||
8,900,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.090%, due 08/18/10 | 8,898,964 | 1.9 | ||||||
2,900,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.090%-0.140%, due 08/09/10-10/19/10 | 2,898,976 | |||||||
Other Securities | 399,942 | 0.1 | ||||||||
Total U.S. Government Agency Obligations (Cost $ 29,586,643) | 29,592,251 | 4.7 | ||||||||
U.S. Treasury Bills: 1.0% | ||||||||||
3,400,000 | S, L | 0.040%, due 07/15/10 | 3,399,937 | 1.0 | ||||||
2,874,000 | S | 0.030%-0.140%, due 07/08/10-09/02/10 | 2,873,767 | |||||||
Total U.S. Treasury Bills (Cost $ 6,273,632) | 6,273,704 | 1.0 | ||||||||
See Accompanying Notes to Financial Statements
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ING PIMCO HIGH YIELD PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||||
Securities Lending Collateralcc: 0.7% | |||||||||||
3,481,150 | BNY Mellon Overnight Government Fund(1) | $ | 3,481,150 | 0.6 | |||||||
1,169,840 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 935,872 | 0.1 | |||||||
Total Securities Lending Collateral (Cost $ 4,650,990) | 4,417,022 | 0.7 | |||||||||
Total Short-Term Investments (Cost $ 41,058,002) | 40,616,267 | 6.5 | |||||||||
Total Investments in Securities (Cost $ 604,052,772)* | $ | 631,757,771 | 100.3 | ||||||||
Other Assets and Liabilities - Net | (1,825,717 | ) | (0.3 | ) | |||||||
Net Assets | $ | 629,932,054 | 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, 2010.
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.
& | Payment-in-kind |
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. |
P | Preferred Stock may be called prior to convertible date. |
cc | Securities purchased with cash collateral for securities loaned. |
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
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. |
I | Illiquid security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
± | Defaulted security |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. |
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
EUR | EU Euro |
GBP | British Pound |
(a) | The grouping contains securities in default. |
* | Cost for federal income tax purposes is $605,526,297. |
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 49,444,203 | ||
Gross Unrealized Depreciation | (23,212,729 | ) | ||
Net Unrealized Appreciation | $ | 26,231,474 | ||
See Accompanying Notes to Financial Statements
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Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||||
Asset Table | ||||||||||||||
Investments, at value | ||||||||||||||
Common Stock* | $ | 2,536,462 | $ | — | $ | — | $ | 2,536,462 | ||||||
Preferred Stock | 3,537,800 | 601,594 | — | 4,139,394 | ||||||||||
Warrants | — | 85,956 | — | 85,956 | ||||||||||
Corporate Bonds/Notes | — | 559,478,147 | 579,089 | 560,057,236 | ||||||||||
Asset-Backed Securities | — | 3,154,863 | — | 3,154,863 | ||||||||||
Collateralized Mortgage Obligations | — | 20,975,589 | 102,276 | 21,077,865 | ||||||||||
Municipal Bonds | — | 89,728 | — | 89,728 | ||||||||||
Short-Term Investments | 3,481,150 | 36,199,245 | 935,872 | 40,616,267 | ||||||||||
Total Investments, at value | $ | 9,555,412 | $ | 620,585,122 | $ | 1,617,237 | $ | 631,757,771 | ||||||
Other Financial Instruments+: | ||||||||||||||
Forward foreign currency contracts | — | 978,440 | — | 978,440 | ||||||||||
Swaps, at value | — | 659,885 | — | 659,885 | ||||||||||
Total Assets | $ | 9,555,412 | $ | 622,223,447 | $ | 1,617,237 | $ | 633,396,096 | ||||||
Liabilities Table | ||||||||||||||
Other Financial Instruments+: | ||||||||||||||
Forward foreign currency contracts | $ | — | $ | (177,156 | ) | $ | — | $ | (177,156 | ) | ||||
Swaps, at value | — | (2,824,985 | ) | — | (2,824,985 | ) | ||||||||
Total Liabilities | $ | — | $ | (3,002,141 | ) | $ | — | $ | (3,002,141 | ) | ||||
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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | |||||||||||||||||||||
Asset Table | |||||||||||||||||||||||||||||
Investments, at value | |||||||||||||||||||||||||||||
Corporate Bonds/Notes | $ | 747,409 | $ | — | $ | (208,339 | ) | $ | — | $ | 2,083 | $ | 37,936 | $ | — | $ | — | $ | 579,089 | ||||||||||
Collateralized Mortgage Obligations | 107,811 | — | (7,925 | ) | 290 | 3,813 | (1,713 | ) | — | — | 102,276 | ||||||||||||||||||
Short-Term Investments | 935,872 | — | — | — | — | — | — | — | 935,872 | ||||||||||||||||||||
Total Investments, at value | $ | 1,791,092 | $ | — | $ | (216,264 | ) | $ | 290 | $ | 5,896 | $ | 36,223 | $ | — | $ | — | $ | 1,617,237 | ||||||||||
As of June 30, 2010, total change in unrealized gain (loss) on Level 3 securities still held at period end and included in the change in net assets was $(136,937).
^ | 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 reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Portfolio. Swaps and written options are reported at their market value at measurement date. |
Transfers in or out of Level 3 represents 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. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
See Accompanying Notes to Financial Statements
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ING PIMCO HIGH YIELD PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
At June 30, 2010 the following forward foreign currency contracts were outstanding for the ING PIMCO High Yield Portfolio:
Currency | Buy/Sell | Settlement Date | In Exchange For | Value | Unrealized Appreciation (Depreciation) | |||||||||||
Brazilian Real | ||||||||||||||||
BRL | 2,779,595 | BUY | 8/3/10 | $ | 1,533,316 | $ | 1,528,673 | $ | (4,643 | ) | ||||||
Chinese Yuan | ||||||||||||||||
CNY | 1,141,736 | BUY | 11/17/10 | 172,000 | 168,963 | (3,037 | ) | |||||||||
Chinese Yuan | ||||||||||||||||
CNY | 4,537,314 | BUY | 11/17/10 | 684,000 | 671,466 | (12,534 | ) | |||||||||
Chinese Yuan | ||||||||||||||||
CNY | 4,457,376 | BUY | 11/17/10 | 672,000 | 659,637 | (12,363 | ) | |||||||||
Chinese Yuan | ||||||||||||||||
CNY | 2,303,064 | BUY | 11/17/10 | 348,000 | 340,825 | (7,175 | ) | |||||||||
Chinese Yuan | �� | |||||||||||||||
CNY | 2,302,368 | BUY | 11/17/10 | 348,000 | 340,722 | (7,278 | ) | |||||||||
Chinese Yuan | ||||||||||||||||
CNY | 3,699,462 | BUY | 11/17/10 | 559,000 | 547,475 | (11,525 | ) | |||||||||
Chinese Yuan | ||||||||||||||||
CNY | 2,408,733 | BUY | 11/17/10 | 363,967 | 356,463 | (7,504 | ) | |||||||||
Chinese Yuan | ||||||||||||||||
CNY | 1,644,116 | BUY | 11/23/10 | 248,000 | 243,371 | (4,629 | ) | |||||||||
Chinese Yuan | ||||||||||||||||
CNY | 1,155,186 | BUY | 11/23/10 | 174,000 | 170,997 | (3,003 | ) | |||||||||
$ | (73,691 | ) | ||||||||||||||
EU Euro | ||||||||||||||||
EUR | 8,301,000 | SELL | 7/26/10 | $ | 11,124,461 | $ | 10,152,191 | $ | 972,270 | |||||||
EU Euro | ||||||||||||||||
EUR | 622,000 | SELL | 7/26/10 | 762,472 | 760,711 | 1,761 | ||||||||||
EU Euro | ||||||||||||||||
EUR | 389,000 | SELL | 8/24/10 | 480,236 | 475,827 | 4,409 | ||||||||||
British Pound | ||||||||||||||||
GBP | 7,007,000 | SELL | 9/23/10 | 10,366,436 | 10,468,704 | (102,268 | ) | |||||||||
Japanese Yen | ||||||||||||||||
JPY | 3,155,000 | SELL | 7/14/10 | 34,495 | 35,692 | (1,197 | ) | |||||||||
$ | 874,975 | |||||||||||||||
ING PIMCO High Yield Portfolio Credit Default Swap Agreements Outstanding on June 30, 2010:
Credit Default Swaps on Credit Indices - Sell Protection (1)
Counterparty | Reference Entity/ | Buy/Sell Protection | (Pay)/ Fixed | Termination Date | Notional Amount(3) | Market Value(4) | Upfront Premium Paid/ | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Credit Suisse International | ABX.HE.AAA.07-1 | Sell | 0.090 | 08/25/37 | USD | 1,979,819 | $ | (1,142,639 | ) | $ | (1,385,874 | ) | $ | 243,235 | |||||||||||
Merrill Lynch International | CDX.NA.HY.9 Index (25-35% Tranche) | Sell | 4.530 | 12/20/10 | USD | 7,600,000 | 161,543 | — | 161,543 | ||||||||||||||||
Merrill Lynch International | I | CDX.NA.HY.9 Index (35-100% Tranche) | Sell | 1.550 | 12/20/10 | USD | 866,439 | 2,194 | — | 2,194 | |||||||||||||||
Deutsche Bank AG | CDX.NA.IG.9 Index (30-100% Tranche) | Sell | 0.760 | 12/20/12 | USD | 1,543,198 | 22,695 | — | 22,695 | ||||||||||||||||
$ | (956,207 | ) | $ | (1,385,874 | ) | $ | 429,667 | ||||||||||||||||||
See Accompanying Notes to Financial Statements
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Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection (1)
Counterparty | Reference Entity/ | Buy/Sell Protection | (Pay)/ Fixed | Termination Date | Implied Spread at 06/30/10 (%)(2) | Notional Amount(3) | Market Value(4) | Upfront Premium Paid/ | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Credit Suisse International | AES Corp. | Sell | 5.000 | 03/20/14 | 5.06 | USD | 2,000,000 | $ | (3,699 | ) | $ | (188,750 | ) | $ | 185,051 | |||||||||||
Citibank N.A., New York | Aramark Services 8.500%, 02/01/15 | Sell | 5.000 | 03/20/14 | 5.64 | USD | 100,000 | (2,066 | ) | (2,718 | ) | 652 | ||||||||||||||
Citibank N.A., New York | Community Health Systems 8.875%, 07/15/15 | Sell | 5.000 | 09/20/14 | 5.33 | USD | 100,000 | (1,187 | ) | (9,000 | ) | 7,813 | ||||||||||||||
Goldman Sachs International | Community Health Systems 8.875%, 07/15/15 | Sell | 5.000 | 03/20/14 | 5.03 | USD | 2,300,000 | (2,499 | ) | (209,875 | ) | 207,376 | ||||||||||||||
Citibank N.A., New York | Dynegy Holdings Inc. 8.375%, 05/01/16 | Sell | 5.000 | 03/20/14 | 11.67 | USD | 150,000 | (28,059 | ) | (27,000 | ) | (1,059 | ) | |||||||||||||
Citibank N.A., New York | Dynegy Holdings Inc. 8.375%, 05/01/16 | Sell | 5.000 | 09/20/14 | 12.03 | USD | 300,000 | (63,505 | ) | (42,000 | ) | (21,505 | ) | |||||||||||||
Credit Suisse International | El Paso Corp. 6.875%, 06/15/14 | Sell | 5.000 | 12/20/14 | 3.50 | USD | 2,500,000 | 149,575 | (75,000 | ) | 224,575 | |||||||||||||||
Goldman Sachs International | El Paso Corp. 6.875%, 06/15/14 | Sell | 5.000 | 09/20/14 | 3.34 | USD | 2,000,000 | 126,977 | (190,000 | ) | 316,977 | |||||||||||||||
Barclays Bank PLC | Federative Republic of Brazil 12.250%, 03/06/30 | Sell | 0.830 | 09/20/10 | 0.66 | USD | 2,100,000 | 801 | — | 801 | ||||||||||||||||
Deutsche Bank AG | GMAC LLC 6.875%, 08/28/12 | Sell | 5.000 | 03/20/12 | 4.19 | USD | 340,000 | $ | 4,423 | $ | (52,700 | ) | $ | 57,123 | ||||||||||||
Merrill Lynch International | GMAC LLC 6.875%, 08/28/12 | Sell | 5.000 | 03/20/12 | 4.19 | USD | 1,400,000 | 18,213 | (203,000 | ) | 221,213 | |||||||||||||||
Goldman Sachs International | NRG Energy Inc. 7.250%, 02/01/14 | Sell | 4.200 | 09/20/13 | 3.54 | USD | 225,000 | 4,471 | — | 4,471 | ||||||||||||||||
The Royal Bank of Scotland PLC | Republic of Indonesia 6.750%, 03/10/14 | Sell | 1.580 | 09/20/10 | 0.96 | USD | 1,000,000 | 1,402 | — | 1,402 | ||||||||||||||||
Goldman Sachs International | RRI Energy 7.625%, 06/15/14 | Sell | 5.000 | 09/20/14 | 6.54 | USD | 3,300,000 | (176,393 | ) | (610,500 | ) | 434,107 | ||||||||||||||
Morgan Stanley Capital Services Inc. | RRI Energy Inc. 6.750%, 12/14/12 | Sell | 5.000 | 12/20/14 | 5.16 | USD | 300,000 | (1,751 | ) | (30,000 | ) | 28,249 | ||||||||||||||
Barclays Bank PLC | SLM Corp. 5.125%, 08/27/12 | Sell | 5.000 | 09/20/11 | 4.52 | USD | 2,550,000 | 14,568 | (184,875 | ) | 199,443 | |||||||||||||||
Barclays Bank PLC | SLM Corp. 5.125%, 08/27/12 | Sell | 5.000 | 12/20/13 | 5.75 | USD | 1,000,000 | (22,442 | ) | (110,000 | ) | 87,558 | ||||||||||||||
Barclays Bank PLC | SLM Corp. 5.125%, 08/27/12 | Sell | 5.000 | 09/20/14 | 5.94 | USD | 2,500,000 | (81,911 | ) | (306,250 | ) | 224,339 | ||||||||||||||
Deutsche Bank AG | SLM Corp. 5.125%, 08/27/12 | Sell | 5.000 | 09/20/10 | 3.01 | USD | 100,000 | 451 | (8,000 | ) | 8,451 | |||||||||||||||
Deutsche Bank AG | SLM Corp. 5.125%, 08/27/12 | Sell | 5.000 | 06/20/13 | 5.48 | USD | 550,000 | (6,877 | ) | (70,125 | ) | 63,248 | ||||||||||||||
Goldman Sachs International | SLM Corp. 5.125%, 08/27/12 | Sell | 7.600 | 03/20/12 | 5.04 | USD | 250,000 | 10,433 | — | 10,433 | ||||||||||||||||
Citibank N.A., New York | Sungard Data Systems Inc. 9.125%, 08/15/13 | Sell | 5.000 | 03/20/14 | 5.88 | USD | 800,000 | (22,464 | ) | (52,216 | ) | 29,752 |
See Accompanying Notes to Financial Statements
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ING PIMCO HIGH YIELD PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Counterparty | Reference Entity/ | Buy/Sell Protection | (Pay)/ Fixed | Termination Date | Implied Spread at 06/30/10 (%)(2) | Notional Amount(3) | Market Value(4) | Upfront Premium Paid/ | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Barclays Bank PLC | United Mexican States 7.500%, 04/08/33 | Sell | 1.070 | 09/20/10 | 0.61 | USD | 2,100,000 | 2,180 | — | 2,180 | |||||||||||||||
Deutsche Bank AG | United Mexican States 7.500%, 04/08/33 | Sell | 1.550 | 09/20/10 | 0.61 | USD | 2,000,000 | 4,256 | — | 4,256 | |||||||||||||||
$ | (75,103 | ) | $ | (2,372,009 | ) | $ | 2,296,906 | ||||||||||||||||||
(1) | If the Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will generally either 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 cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market 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 market 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. |
(3) | 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. |
(4) | The market 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 market values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
ING PIMCO High Yield Portfolio Interest Rate Swap Agreements Outstanding on June 30, 2010:
Termination Date | Notional Amount | Market Value | Upfront Premium Paid/(Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Receive a fixed rate equal to 10.150% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Goldman Sachs Capital Markets L.P. | 01/02/12 | BRL | 4,900,000 | $ | (106,692 | ) | $ | (35,467 | ) | $ | (71,225 | ) | ||||||
Receive a fixed rate equal to 14.765% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Merrill Lynch Capital Services, Inc. | 01/02/12 | BRL | 2,800,000 | 135,703 | 10,975 | 124,728 | ||||||||||||
Receive a fixed rate equal to 10.115% and pay a floating rate based on the Brazil Interbank Deposit Rate Annualized-CETIP Counterparty: Morgan Stanley Capital Services Inc. | 01/02/12 | BRL | 51,700,000 | (1,162,801 | ) | (152,659 | ) | (1,010,142 | ) | |||||||||
(1,133,790 | ) | (177,151 | ) | (956,639 | ) | |||||||||||||
ING PIMCO High Yield Portfolio Written Options Open on June 30, 2010:
Interest Rate Swaptions
Description | Counterparty | Floating Rate Index/ | Pay/Receive | Exercise | Expiration | Notional | Premium | Value | |||||||||||||
Put OTC Swaption | Deutsche Bank AG, New York | 3-month USD-LIBOR | Pay | 5.500 | % | 08/31/10 | USD | 1,000,000 | $ | 10,774 | $ | — | |||||||||
Put OTC Swaption | The Royal Bank of Scotland PLC | 3-month USD-LIBOR | Pay | 6.000 | % | 08/31/10 | USD | 4,000,000 | 31,200 | — | |||||||||||
$ | 41,974 | $ | — | ||||||||||||||||||
See Accompanying Notes to Financial Statements
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ING PIMCO HIGH YIELD PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of June 30, 2010 was as follows:
Derivatives not accounted for as hedging | Location on Statement of Assets and Liabilities | Fair Value | |||
Asset Derivatives | |||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 978,440 | ||
Credit contracts | Swaps, at value | 524,182 | |||
Interest rate contracts | Swaps, at value | 135,703 | |||
Total Asset Derivatives | $ | 1,638,325 | |||
Liability Derivatives | |||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 177,156 | ||
Credit contracts | Swaps, at value | 1,555,492 | |||
Interest rate contracts | Swaps, at value | 1,269,493 | |||
Total Liability Derivatives | $ | 3,002,141 | |||
The effect of derivative instruments on the Portfolio’s Statement of Operations for the six months ended June 30, 2010 was as follows:
Derivatives not accounted for as hedging | Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||
Foreign currency | Swaps | Written | Total | |||||||||||
Credit contracts | $ | — | (471,085 | ) | $ | — | $ | (471,085 | ) | |||||
Foreign exchange contracts | 2,885,078 | — | — | 2,885,078 | ||||||||||
Interest rate contracts | — | (348,163 | ) | 910,133 | 561,970 | |||||||||
Total | $ | 2,885,078 | $ | (819,248 | ) | $ | 910,133 | $ | 2,975,963 | |||||
Derivatives not accounted for as hedging | Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||
Foreign currency | Swaps | Written | Total | |||||||||||
Credit contracts | $ | — | $ | 515,020 | $ | — | $ | 515,020 | ||||||
Foreign exchange contracts | 244,243 | — | — | 244,243 | ||||||||||
Interest rate contracts | — | 764,490 | 55,978 | 820,468 | ||||||||||
Total | $ | 244,243 | $ | 1,279,510 | $ | 55,978 | $ | 1,579,731 | ||||||
* | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
See Accompanying Notes to Financial Statements
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ING PIONEER EQUITY INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Industry Allocation
as of June 30, 2010
(as a percent of net assets)
Financials | 15.7% | |
Consumer Staples | 14.8% | |
Utilities | 14.5% | |
Industrials | 12.5% | |
Materials | 9.1% | |
Consumer Discretionary | 8.5% |
Health Care | 7.8% | |
Energy | 6.9% | |
Information Technology | 4.7% | |
Telecommunication Services | 3.7% | |
Other Assets and Liabilities – Net* | 1.8% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 95.9% | |||||||||
Consumer Discretionary: 8.5% | |||||||||
108,924 | @ | Cedar Fair LP | $ | 1,341,944 | 1.1 | ||||
39,302 | Genuine Parts Co. | 1,550,464 | 1.3 | ||||||
121,107 | Johnson Controls, Inc. | 3,254,145 | 2.7 | ||||||
56,547 | Lowe’s Cos., Inc. | 1,154,690 | 1.0 | ||||||
28,177 | VF Corp. | 2,005,639 | 1.7 | ||||||
Other Securities | 866,811 | 0.7 | |||||||
10,173,693 | 8.5 | ||||||||
Consumer Staples: 14.8% | |||||||||
26,971 | Clorox Co. | 1,676,517 | 1.4 | ||||||
33,249 | Colgate-Palmolive Co. | 2,618,691 | 2.2 | ||||||
46,026 | General Mills, Inc. | 1,634,844 | 1.4 | ||||||
51,597 | Hershey Co. | 2,473,044 | 2.1 | ||||||
58,929 | HJ Heinz Co. | 2,546,911 | 2.1 | ||||||
21,626 | JM Smucker Co. | 1,302,318 | 1.1 | ||||||
34,849 | Kellogg Co. | 1,752,905 | 1.5 | ||||||
21,318 | Procter & Gamble Co. | 1,278,654 | 1.1 | ||||||
40,295 | Sysco Corp. | 1,151,228 | 0.9 | ||||||
Other Securities | 1,161,870 | 1.0 | |||||||
17,596,982 | 14.8 | ||||||||
Energy: 6.9% | |||||||||
19,907 | Chevron Corp. | 1,350,889 | 1.2 | ||||||
29,677 | ConocoPhillips | 1,456,844 | 1.2 | ||||||
76,675 | Marathon Oil Corp. | 2,383,826 | 2.0 | ||||||
72,801 | Spectra Energy Corp. | 1,461,116 | 1.2 | ||||||
Other Securities | 1,557,870 | 1.3 | |||||||
8,210,545 | 6.9 | ||||||||
Financials: 13.4% | |||||||||
33,398 | Aflac, Inc. | 1,425,093 | 1.2 | ||||||
58,878 | Chubb Corp. | 2,944,489 | 2.5 | ||||||
65,775 | SunTrust Bank | 1,532,558 | 1.3 | ||||||
33,311 | T. Rowe Price Group, Inc. | 1,478,675 | 1.2 | ||||||
27,902 | Travelers Cos., Inc. | 1,374,174 | 1.2 |
See Accompanying Notes to Financial Statements
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ING PIONEER EQUITY INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Financials: (continued) | |||||||||
106,224 | US Bancorp. | $ | 2,374,106 | 2.0 | |||||
Other Securities | 4,816,033 | 4.0 | |||||||
15,945,128 | 13.4 | ||||||||
Health Care: 7.8% | |||||||||
43,402 | Abbott Laboratories | 2,030,346 | 1.7 | ||||||
45,583 | Baxter International, Inc. | 1,852,493 | 1.6 | ||||||
73,371 | Bristol-Myers Squibb Co. | 1,829,873 | 1.5 | ||||||
39,900 | Eli Lilly & Co. | 1,336,650 | 1.1 | ||||||
56,796 | Merck & Co., Inc. | 1,986,156 | 1.7 | ||||||
Other Securities | 286,626 | 0.2 | |||||||
9,322,144 | 7.8 | ||||||||
Industrials: 12.5% | |||||||||
74,098 | Emerson Electric Co. | 3,237,342 | 2.7 | ||||||
34,870 | Illinois Tool Works, Inc. | 1,439,434 | 1.2 | ||||||
75,317 | Paccar, Inc. | 3,002,889 | 2.6 | ||||||
21,668 | United Technologies Corp. | 1,406,470 | 1.2 | ||||||
Other Securities | 5,734,093 | 4.8 | |||||||
14,820,228 | 12.5 | ||||||||
Information Technology: 4.7% | |||||||||
57,416 | Analog Devices, Inc. | 1,599,610 | 1.3 | ||||||
63,011 | Intel Corp. | 1,225,564 | 1.0 | ||||||
71,390 | Microchip Technology, Inc. | 1,980,359 | 1.7 | ||||||
Other Securities | 825,240 | 0.7 | |||||||
5,630,773 | 4.7 | ||||||||
Materials: 9.1% | |||||||||
38,310 | Compass Minerals International, Inc. | 2,692,427 | 2.3 | ||||||
49,103 | EI Du Pont de Nemours & Co. | 1,698,473 | 1.4 | ||||||
123,362 | Valspar Corp. | 3,715,660 | 3.1 | ||||||
Other Securities | 2,663,325 | 2.3 | |||||||
10,769,885 | 9.1 | ||||||||
Telecommunication Services: 3.7% | |||||||||
62,748 | CenturyTel, Inc. | 2,090,136 | 1.7 | ||||||
46,813 | Verizon Communications, Inc. | 1,311,700 | 1.1 | ||||||
Other Securities | 1,049,846 | 0.9 | |||||||
4,451,682 | 3.7 | ||||||||
Utilities: 14.5% | |||||||||
55,252 | AGL Resources, Inc. | 1,979,127 | 1.7 | ||||||
71,255 | Duke Energy Corp. | 1,140,080 | 1.0 | ||||||
62,697 | EQT Corp. | 2,265,870 | 1.9 | ||||||
75,869 | NSTAR | 2,655,415 | 2.2 | ||||||
40,897 | Public Service Enterprise Group, Inc. | 1,281,303 | 1.1 | ||||||
95,439 | Questar Corp. | 4,341,520 | 3.6 | ||||||
47,907 | Southern Co. | 1,594,345 | 1.3 |
See Accompanying Notes to Financial Statements
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ING PIONEER EQUITY INCOME PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Utilities: (continued) | |||||||||
Other Securities | $ | 1,980,584 | 1.7 | ||||||
17,238,244 | 14.5 | ||||||||
Total Common Stock (Cost $ 118,423,994) | 114,159,304 | 95.9 | |||||||
REAL ESTATE INVESTMENT TRUSTS: 2.3% | |||||||||
Financials: 2.3% | |||||||||
36,672 | Nationwide Health Properties, Inc. | 1,311,757 | 1.1 | ||||||
Other Securities | 1,485,024 | 1.2 | |||||||
Total Real Estate Investment Trusts (Cost $ 2,048,197) | 2,796,781 | 2.3 | |||||||
Total Long-Term Investments (Cost $ 120,472,191) | 116,956,085 | 98.2 | |||||||
SHORT-TERM INVESTMENTS: 1.7% | |||||||||
Affiliated Mutual Fund: 1.7% | |||||||||
1,952,247 | ING Institutional Prime Money Market Fund - Class I | 1,952,247 | 1.7 | ||||||
Total Short-Term Investments (Cost $ 1,952,247) | 1,952,247 | 1.7 | |||||||
Total Investments in Securities (Cost $ 122,424,438)* | $ | 118,908,332 | 99.9 | ||||||
Other Assets and Liabilities - Net | 176,467 | 0.1 | |||||||
Net Assets | $ | 119,084,799 | 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, 2010.
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 |
* | Cost for federal income tax purposes is $122,842,020. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 7,844,640 | ||
Gross Unrealized Depreciation | (11,778,328 | ) | ||
Net Unrealized Depreciation | $ | (3,933,688 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s assets and liabilities:
Quoted Prices for Identical Investments | Significant Other (Level 2) | Significant (Level 3) | Fair Value at 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Common Stock* | $ | 114,159,304 | $ | — | $ | — | $ | 114,159,304 | ||||
Real Estate Investment Trusts | 2,796,781 | — | — | 2,796,781 | ||||||||
Short-Term Investments | 1,952,247 | — | — | 1,952,247 | ||||||||
Total Investments, at value | $ | 118,908,332 | $ | — | $ | — | $ | 118,908,332 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
See Accompanying Notes to Financial Statements
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ING PIONEER FUND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Industry Allocation
as of June 30, 2010
(as a percent of net assets)
Industrials | 15.8% | |
Information Technology | 14.3% | |
Consumer Staples | 13.5% | |
Financials | 12.3% | |
Consumer Discretionary | 12.1% | |
Health Care | 11.3% |
Energy | 10.2% | |
Materials | 6.6% | |
Telecommunication Services | 1.5% | |
Utilities | 1.4% | |
Other Assets and Liabilities – Net* | 1.0% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 99.0% | |||||||||
Consumer Discretionary: 12.1% | |||||||||
17,435 | Coach, Inc. | $ | 637,249 | 0.9 | |||||
64,970 | @ | Ford Motor Co. | 654,898 | 0.9 | |||||
23,724 | John Wiley & Sons, Inc. | 917,407 | 1.3 | ||||||
52,146 | Johnson Controls, Inc. | 1,401,163 | 1.9 | ||||||
29,234 | Lowe’s Cos., Inc. | 596,958 | 0.8 | ||||||
27,641 | McGraw-Hill Cos., Inc. | 777,818 | 1.1 | ||||||
75,450 | Reed Elsevier NV | 835,251 | 1.1 | ||||||
29,059 | Target Corp. | 1,428,831 | 1.9 | ||||||
Other Securities | 1,651,972 | 2.2 | |||||||
8,901,547 | 12.1 | ||||||||
Consumer Staples: 13.5% | |||||||||
17,524 | Colgate-Palmolive Co. | 1,380,190 | 1.9 | ||||||
23,078 | General Mills, Inc. | 819,731 | 1.1 | ||||||
24,612 | Hershey Co. | 1,179,653 | 1.6 | ||||||
19,346 | HJ Heinz Co. | 836,134 | 1.1 | ||||||
27,707 | Kraft Foods, Inc. | 775,796 | 1.1 | ||||||
12,572 | PepsiCo, Inc. | 766,263 | 1.0 | ||||||
23,389 | Sysco Corp. | 668,224 | 0.9 | ||||||
37,655 | Walgreen Co. | 1,005,389 | 1.4 | ||||||
Other Securities | 2,534,587 | 3.4 | |||||||
9,965,967 | 13.5 | ||||||||
Energy: 10.2% | |||||||||
14,457 | Apache Corp. | 1,217,135 | 1.7 | ||||||
28,651 | Chevron Corp. | 1,944,257 | 2.6 | ||||||
16,290 | ConocoPhillips | 799,676 | 1.1 | ||||||
13,046 | ExxonMobil Corp. | 744,535 | 1.0 | ||||||
11,504 | Schlumberger Ltd. | 636,631 | 0.9 | ||||||
Other Securities | 2,143,688 | 2.9 | |||||||
7,485,922 | 10.2 | ||||||||
Financials: 12.3% | |||||||||
28,530 | Bank of New York Mellon Corp. | 704,406 | 0.9 | ||||||
31,253 | Chubb Corp. | 1,562,963 | 2.1 | ||||||
9,771 | Franklin Resources, Inc. | 842,162 | 1.1 |
See Accompanying Notes to Financial Statements
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ING PIONEER FUND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Financials: (continued) | |||||||||
12,123 | Northern Trust Corp. | $ | 566,144 | 0.8 | |||||
19,877 | T. Rowe Price Group, Inc. | 882,340 | 1.2 | ||||||
25,302 | US Bancorp. | 565,500 | 0.8 | ||||||
Other Securities | 3,960,797 | 5.4 | |||||||
9,084,312 | 12.3 | ||||||||
Health Care: 11.3% | |||||||||
21,031 | Abbott Laboratories | 983,830 | 1.3 | ||||||
20,565 | Becton Dickinson & Co. | 1,390,605 | 1.9 | ||||||
12,533 | CR Bard, Inc. | 971,683 | 1.3 | ||||||
19,473 | @ | St. Jude Medical, Inc. | 702,781 | 0.9 | |||||
17,958 | Teva Pharmaceutical Industries Ltd. ADR | 933,636 | 1.3 | ||||||
Other Securities | 3,380,870 | 4.6 | |||||||
8,363,405 | 11.3 | ||||||||
Industrials: 15.8% | |||||||||
9,216 | 3M Co. | 727,972 | 1.0 | ||||||
17,768 | Canadian National Railway Co. | 1,019,528 | 1.4 | ||||||
10,450 | Caterpillar, Inc. | 627,732 | 0.9 | ||||||
17,726 | Deere & Co. | 986,984 | 1.3 | ||||||
14,132 | Emerson Electric Co. | 617,427 | 0.8 | ||||||
13,771 | General Dynamics Corp. | 806,430 | 1.1 | ||||||
38,301 | Norfolk Southern Corp. | 2,031,868 | 2.8 | ||||||
39,700 | Paccar, Inc. | 1,582,838 | 2.1 | ||||||
12,755 | United Technologies Corp. | 827,927 | 1.1 | ||||||
Other Securities | 2,410,870 | 3.3 | |||||||
11,639,576 | 15.8 | ||||||||
Information Technology: 14.3% | |||||||||
21,940 | Analog Devices, Inc. | 611,248 | 0.8 | ||||||
14,343 | Automatic Data Processing, Inc. | 577,449 | 0.8 | ||||||
24,101 | Canon, Inc. ADR | 899,208 | 1.2 | ||||||
13,488 | @ | Citrix Systems, Inc. | 569,598 | 0.8 | |||||
34,798 | Hewlett-Packard Co. | 1,506,057 | 2.0 | ||||||
36,847 | Intel Corp. | 716,674 | 1.0 | ||||||
29,856 | Texas Instruments, Inc. | 695,048 | 0.9 | ||||||
Other Securities | 5,006,865 | 6.8 | |||||||
10,582,147 | 14.3 | ||||||||
Materials: 6.6% | |||||||||
32,643 | Rio Tinto PLC | 1,433,496 | 2.0 | ||||||
Other Securities | 3,409,177 | 4.6 | |||||||
4,842,673 | 6.6 | ||||||||
Telecommunication Services: 1.5% | |||||||||
29,217 | AT&T, Inc. | 706,759 | 1.0 | ||||||
Other Securities | 399,033 | 0.5 | |||||||
1,105,792 | 1.5 | ||||||||
Utilities: 1.4% | |||||||||
Other Securities | 1,037,848 | 1.4 | |||||||
Total Common Stock (Cost $ 76,436,339) | 73,009,189 | 99.0 |
See Accompanying Notes to Financial Statements
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ING PIONEER FUND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
SHORT-TERM INVESTMENTS: 0.5% | |||||||||
Affiliated Mutual Fund: 0.5% | |||||||||
345,000 | ING Institutional Prime Money Market Fund - Class I | $ | 345,000 | 0.5 | |||||
Total Short-Term Investments (Cost $ 345,000) | 345,000 | 0.5 | |||||||
Total Investments in Securities (Cost $ 76,781,339)* | $ | 73,354,189 | 99.5 | ||||||
Other Assets and Liabilities - Net | 370,445 | 0.5 | |||||||
Net Assets | $ | 73,724,634 | 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, 2010.
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 |
ADR | American Depositary Receipt |
* | Cost for federal income tax purposes is $77,221,595. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 5,527,865 | ||
Gross Unrealized Depreciation | (9,395,271 | ) | ||
Net Unrealized Depreciation | $ | (3,867,406 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other (Level 2) | Significant (Level 3) | Fair Value at 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Common Stock | ||||||||||||
Consumer Discretionary | $ | 8,066,296 | $ | 835,251 | $ | — | $ | 8,901,547 | ||||
Consumer Staples | 9,965,967 | — | — | 9,965,967 | ||||||||
Energy | 7,485,922 | — | — | 7,485,922 | ||||||||
Financials | 9,084,312 | — | — | 9,084,312 | ||||||||
Health Care | 8,363,405 | — | — | 8,363,405 | ||||||||
Industrials | 11,639,576 | — | — | 11,639,576 | ||||||||
Information Technology | 10,582,147 | — | — | 10,582,147 | ||||||||
Materials | 3,409,177 | 1,433,496 | — | 4,842,673 | ||||||||
Telecommunication Services | 1,105,792 | — | — | 1,105,792 | ||||||||
Utilities | 1,037,848 | — | — | 1,037,848 | ||||||||
Total Common Stock | 70,740,442 | 2,268,747 | — | 73,009,189 | ||||||||
Short-Term Investments | 345,000 | — | — | 345,000 | ||||||||
Total Investments, at value | $ | 71,085,442 | $ | 2,268,747 | $ | — | $ | 73,354,189 | ||||
^ | 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. |
See Accompanying Notes to Financial Statements
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ING TEMPLETON GLOBAL GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Country Allocation
as of June 30, 2010
(as a percent of net assets)
United States | 35.6% | |
United Kingdom | 11.4% | |
France | 7.0% | |
Switzerland | 6.9% | |
Germany | 5.5% | |
Ireland | 5.1% | |
South Korea | 3.6% | |
Netherlands | 3.5% |
Bermuda | 3.1% | |
Japan | 2.9% | |
Singapore | 2.8% | |
Italy | 2.1% | |
Countries between 1.1% – 1.4%(1) | 3.8% | |
Countries less than 1.1%(2) | 4.6% | |
Other Assets and Liabilities – Net* | 2.1% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to securities lending collateral and U.S. government agency obligation. |
(1) | Includes three countries, which each represents 1.1% – 1.4% of net assets. |
(2) | Includes nine countries, which each represents less than 1.1% of net assets. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 97.9% | |||||||||
Australia: 0.2% | |||||||||
Other Securities | $ | 924,273 | 0.2 | ||||||
Austria: 0.5% | |||||||||
Other Securities | 2,623,608 | 0.5 | |||||||
Bermuda: 3.1% | |||||||||
212,830 | Tyco Electronics Ltd. | 5,401,625 | 1.1 | ||||||
211,550 | Tyco International Ltd. | 7,452,907 | 1.4 | ||||||
Other Securities | 2,972,181 | 0.6 | |||||||
15,826,713 | 3.1 | ||||||||
Brazil: 0.8% | |||||||||
Other Securities | 4,222,501 | 0.8 | |||||||
China: 0.2% | |||||||||
Other Securities | 1,198,000 | 0.2 | |||||||
France: 7.0% | |||||||||
290,480 | France Telecom S.A. | 5,038,363 | 1.0 | ||||||
159,530 | Sanofi-Aventis | 9,608,083 | 1.9 | ||||||
165,330 | Total S.A. | 7,380,151 | 1.4 | ||||||
292,500 | Vivendi | 5,944,224 | 1.1 | ||||||
Other Securities | 8,164,670 | 1.6 | |||||||
36,135,491 | 7.0 | ||||||||
Germany: 5.5% | |||||||||
92,210 | Bayerische Motoren Werke AG | 4,479,254 | 0.9 | ||||||
109,820 | L | SAP AG | 4,883,402 | 0.9 | |||||
106,400 | Siemens AG | 9,516,408 | 1.8 | ||||||
Other Securities | 9,690,277 | 1.9 | |||||||
28,569,341 | 5.5 | ||||||||
Hong Kong: 1.1% | |||||||||
Other Securities | 5,883,620 | 1.1 |
See Accompanying Notes to Financial Statements
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ING TEMPLETON GLOBAL GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
India: 0.5% | |||||||||
Other Securities | $ | 2,762,542 | 0.5 | ||||||
Ireland: 5.1% | |||||||||
397,820 | Accenture PLC | 15,375,743 | 3.0 | ||||||
196,080 | Covidien PLC | 7,878,494 | 1.5 | ||||||
Other Securities | 3,276,107 | 0.6 | |||||||
26,530,344 | 5.1 | ||||||||
Italy: 2.1% | |||||||||
259,567 | ENI S.p.A. | 4,764,640 | 0.9 | ||||||
Other Securities | 5,848,567 | 1.2 | |||||||
10,613,207 | 2.1 | ||||||||
Japan: 2.9% | |||||||||
132,900 | Toyota Motor Corp. | 4,566,265 | 0.9 | ||||||
Other Securities | 10,607,221 | 2.0 | |||||||
15,173,486 | 2.9 | ||||||||
Netherlands: 3.5% | |||||||||
186,230 | Koninklijke Philips Electronics NV | 5,561,225 | 1.1 | ||||||
289,237 | Royal Dutch Shell PLC - Class B | 6,991,055 | 1.3 | ||||||
Other Securities | 5,623,768 | 1.1 | |||||||
18,176,048 | 3.5 | ||||||||
Norway: 0.5% | |||||||||
Other Securities | 2,281,918 | 0.5 | |||||||
Russia: 0.4% | |||||||||
Other Securities | 2,136,816 | 0.4 | |||||||
Singapore: 2.8% | |||||||||
3,607,000 | Singapore Telecommunications Ltd. | 7,798,023 | 1.5 | ||||||
Other Securities | 6,425,397 | 1.3 | |||||||
14,223,420 | 2.8 | ||||||||
South Korea: 3.6% | |||||||||
62,683 | Hyundai Motor Co. | 7,334,459 | 1.4 | ||||||
12,787 | Samsung Electronics Co., Ltd. | 8,020,188 | 1.6 | ||||||
Other Securities | 3,287,248 | 0.6 | |||||||
18,641,895 | 3.6 | ||||||||
Spain: 1.4% | |||||||||
233,371 | Telefonica S.A. | 4,323,135 | 0.9 | ||||||
Other Securities | 2,750,717 | 0.5 | |||||||
7,073,852 | 1.4 | ||||||||
Sweden: 1.3% | |||||||||
Other Securities | 6,498,853 | 1.3 | |||||||
Switzerland: 6.9% | |||||||||
159,580 | Nestle S.A. | 7,694,761 | 1.5 | ||||||
164,940 | Novartis AG | 7,993,508 | 1.6 | ||||||
38,430 | Roche Holding AG - Genusschein | 5,289,571 | 1.0 |
See Accompanying Notes to Financial Statements
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ING TEMPLETON GLOBAL GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Switzerland: (continued) | |||||||||
Other Securities | $ | 14,375,511 | 2.8 | ||||||
35,353,351 | 6.9 | ||||||||
Taiwan: 1.0% | |||||||||
548,998 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 5,358,220 | 1.0 | ||||||
Turkey: 0.5% | |||||||||
Other Securities | 2,497,352 | 0.5 | |||||||
United Kingdom: 11.4% | |||||||||
1,091,710 | Aviva PLC | 5,073,378 | 1.0 | ||||||
1,013,150 | BP PLC | 4,850,112 | 0.9 | ||||||
607,500 | Compass Group PLC | 4,621,542 | 0.9 | ||||||
478,880 | GlaxoSmithKline PLC | 8,131,788 | 1.6 | ||||||
543,119 | HSBC Holdings PLC | 4,979,498 | 1.0 | ||||||
1,458,820 | Kingfisher PLC | 4,569,842 | 0.9 | ||||||
455,150 | Pearson PLC | 5,986,024 | 1.2 | ||||||
4,003,597 | Vodafone Group PLC | 8,249,372 | 1.6 | ||||||
Other Securities | 12,111,056 | 2.3 | |||||||
58,572,612 | 11.4 | ||||||||
United States: 35.6% | |||||||||
119,120 | American Express Co. | 4,729,064 | 0.9 | ||||||
257,880 | @ | Amgen, Inc. | 13,564,488 | 2.6 | |||||
313,130 | @ | Cisco Systems, Inc. | 6,672,800 | 1.3 | |||||
482,830 | Comcast Corp. - Class A | 8,386,757 | 1.7 | ||||||
35,270 | Comcast Corp. - Special Class A | 579,486 | |||||||
357,610 | General Electric Co. | 5,156,736 | 1.0 | ||||||
191,680 | Halliburton Co. | 4,705,744 | 0.9 | ||||||
190,820 | Merck & Co., Inc. | 6,672,975 | 1.3 | ||||||
503,450 | Microsoft Corp. | 11,584,385 | 2.3 | ||||||
728,150 | News Corp. - Class A | 8,708,674 | 1.7 | ||||||
646,780 | Oracle Corp. | 13,879,902 | 2.7 | ||||||
585,310 | Pfizer, Inc. | 8,346,521 | 1.6 | ||||||
308,350 | Progressive Corp. | 5,772,312 | 1.1 | ||||||
117,220 | Quest Diagnostics | 5,834,039 | 1.1 | ||||||
170,703 | Time Warner, Inc. | 4,935,024 | 1.0 | ||||||
132,580 | United Parcel Service, Inc. - Class B | 7,542,476 | 1.5 | ||||||
213,810 | Viacom - Class B | 6,707,220 | 1.3 | ||||||
153,680 | Walt Disney Co. | 4,840,920 | 0.9 | ||||||
Other Securities | 55,249,795 | 10.7 | |||||||
183,869,318 | 35.6 | ||||||||
Total Common Stock (Cost $ 605,450,114) | 505,146,781 | 97.9 | |||||||
See Accompanying Notes to Financial Statements
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ING TEMPLETON GLOBAL GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Principal Amount | Value | Percent of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS: 4.0% | ||||||||||||
U.S. Government Agency Obligations: 1.8% | ||||||||||||
$ | 9,700,000 | Z | Federal Home Loan Bank, 0.009%, due 07/01/10 | $ | 9,700,000 | 1.8 | ||||||
Total U.S. Government Agency Obligations (Cost $ 9,700,000) | 9,700,000 | 1.8 | ||||||||||
Securities Lending Collateralcc: 2.2% | ||||||||||||
10,713,911 | BNY Mellon Overnight Government Fund(1) | 10,713,911 | 2.1 | |||||||||
721,212 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 576,969 | 0.1 | ||||||||
Total Securities Lending Collateral (Cost $ 11,435,123) | 11,290,880 | 2.2 | ||||||||||
Total Short-Term Investments (Cost $ 21,135,123) | 20,990,880 | 4.0 | ||||||||||
Total Investments in Securities (Cost $ 626,585,237)* | $ | 526,137,661 | 101.9 | |||||||||
Other Assets and Liabilities - Net | (10,043,726 | ) | (1.9 | ) | ||||||||
Net Assets | $ | 516,093,935 | 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, 2010.
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 |
ADR | American Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
I | Illiquid security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
* | Cost for federal income tax purposes is $628,232,637. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 31,231,666 | ||
Gross Unrealized Depreciation | (133,326,642 | ) | ||
Net Unrealized Depreciation | $ | (102,094,976 | ) | |
Industry | Percentage of Net Assets | ||
Consumer Discretionary | 18.6 | % | |
Consumer Staples | 2.8 | ||
Energy | 8.2 | ||
Financials | 12.1 | ||
Health Care | 17.4 | ||
Industrials | 11.6 | ||
Information Technology | 18.0 | ||
Materials | 2.0 | ||
Telecommunication Services | 7.2 | ||
Short-Term Investments | 4.0 | ||
Other Assets and Liabilities - Net | (1.9 | ) | |
Net Assets | 100.0 | % | |
See Accompanying Notes to Financial Statements
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ING TEMPLETON GLOBAL GROWTH PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Common Stock | ||||||||||||
Australia | $ | — | $ | 924,273 | $ | — | $ | 924,273 | ||||
Austria | — | 2,623,608 | — | 2,623,608 | ||||||||
Bermuda | 15,826,713 | — | — | 15,826,713 | ||||||||
Brazil | 4,222,501 | — | — | 4,222,501 | ||||||||
China | 1,198,000 | — | — | 1,198,000 | ||||||||
France | — | 36,135,491 | — | 36,135,491 | ||||||||
Germany | 2,731,887 | 25,837,454 | — | 28,569,341 | ||||||||
Hong Kong | — | 5,883,620 | — | 5,883,620 | ||||||||
India | 2,762,542 | — | — | 2,762,542 | ||||||||
Ireland | 23,254,237 | 3,276,107 | — | 26,530,344 | ||||||||
Italy | — | 10,613,207 | — | 10,613,207 | ||||||||
Japan | — | 15,173,486 | — | 15,173,486 | ||||||||
Netherlands | — | 18,176,048 | — | 18,176,048 | ||||||||
Norway | — | 2,281,918 | — | 2,281,918 | ||||||||
Russia | 2,136,816 | — | — | 2,136,816 | ||||||||
Singapore | 3,378,256 | 10,845,164 | — | 14,223,420 | ||||||||
South Korea | — | 18,641,895 | — | 18,641,895 | ||||||||
Spain | — | 7,073,852 | — | 7,073,852 | ||||||||
Sweden | — | 6,498,853 | — | 6,498,853 | ||||||||
Switzerland | 3,369,366 | 31,983,985 | — | 35,353,351 | ||||||||
Taiwan | 5,358,220 | — | — | 5,358,220 | ||||||||
Turkey | 2,497,352 | — | — | 2,497,352 | ||||||||
United Kingdom | — | 58,572,612 | — | 58,572,612 | ||||||||
United States | 183,869,318 | — | — | 183,869,318 | ||||||||
Total Common Stock | 250,605,208 | 254,541,573 | — | 505,146,781 | ||||||||
Short-Term Investments | 10,713,911 | 9,700,000 | 576,969 | 20,990,880 | ||||||||
Total Investments, at value | $ | 261,319,119 | $ | 264,241,573 | $ | 576,969 | $ | 526,137,661 | ||||
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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | |||||||||||||||||||
Asset Table | |||||||||||||||||||||||||||
Investments, at value | |||||||||||||||||||||||||||
Short-Term Investments | $ | 576,969 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 576,969 | |||||||||
Total Investments, at value | $ | 576,969 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 576,969 | |||||||||
As of June 30, 2010, 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.
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. Transfers in or out of Level 3 represents 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. |
# | 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. |
See Accompanying Notes to Financial Statements
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ING U.S. STOCK INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Industry Allocation
as of June 30, 2010
(as a percent of net assets)
Information Technology | 17.9% | |
Financials | 15.6% | |
Health Care | 11.6% | |
Consumer Staples | 11.1% | |
Energy | 10.2% | |
Industrials | 9.8% |
Consumer Discretionary | 9.7% | |
Utilities | 3.5% | |
Materials | 3.3% | |
Telecommunication Services | 2.8% | |
Other Assets and Liabilities – Net* | 4.5% | |
Net Assets | 100.0% | |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and securities lending collateral. |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 94.2% | |||||||||
Consumer Discretionary: 9.7% | |||||||||
939,463 | S | Comcast Corp. - Class A | $ | 16,318,472 | 0.5 | ||||
562,900 | Home Depot, Inc. | 15,800,603 | 0.5 | ||||||
356,256 | McDonald’s Corp. | 23,466,583 | 0.7 | ||||||
642,149 | S | Walt Disney Co. | 20,227,694 | 0.6 | |||||
Other Securities | 237,313,616 | 7.4 | |||||||
313,126,968 | 9.7 | ||||||||
Consumer Staples: 11.1% | |||||||||
688,792 | Altria Group, Inc. | 13,803,392 | 0.4 | ||||||
763,147 | Coca-Cola Co. | 38,248,928 | 1.2 | ||||||
460,347 | S | CVS Caremark Corp. | 13,497,374 | 0.4 | |||||
575,000 | Kraft Foods, Inc. | 16,100,000 | 0.5 | ||||||
541,040 | PepsiCo, Inc. | 32,976,388 | 1.0 | ||||||
622,792 | Philip Morris International, Inc. | 28,548,785 | 0.9 | ||||||
961,627 | Procter & Gamble Co. | 57,678,387 | 1.8 | ||||||
688,973 | Wal-Mart Stores, Inc. | 33,118,932 | 1.0 | ||||||
Other Securities | 123,976,905 | 3.9 | |||||||
357,949,091 | 11.1 | ||||||||
Energy: 10.2% | |||||||||
664,985 | Chevron Corp. | 45,125,882 | 1.4 | ||||||
492,244 | S | ConocoPhillips | 24,164,258 | 0.7 | |||||
1,700,235 | S | ExxonMobil Corp. | 97,032,411 | 3.0 | |||||
268,839 | Occidental Petroleum Corp. | 20,740,929 | 0.6 | ||||||
396,182 | Schlumberger Ltd. | 21,924,712 | 0.7 | ||||||
Other Securities | 122,904,058 | 3.8 | |||||||
331,892,250 | 10.2 | ||||||||
Financials: 14.3% | |||||||||
396,174 | American Express Co. | 15,728,108 | 0.5 | ||||||
3,321,198 | Bank of America Corp. | 47,725,615 | 1.5 | ||||||
547,900 | @ | Berkshire Hathaway, Inc. | 43,662,151 | 1.3 | |||||
7,496,901 | @, S | Citigroup, Inc. | 28,188,348 | 0.9 | |||||
174,203 | Goldman Sachs Group, Inc. | 22,867,628 | 0.7 | ||||||
1,315,371 | JP Morgan Chase & Co. | 48,155,732 | 1.5 | ||||||
633,493 | US Bancorp. | 14,158,569 | 0.4 |
See Accompanying Notes to Financial Statements
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ING U.S. STOCK INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Financials: (continued) | |||||||||
1,715,167 | Wells Fargo & Co. | $ | 43,908,275 | 1.4 | |||||
Other Securities | 197,457,813 | 6.1 | |||||||
461,852,239 | 14.3 | ||||||||
Health Care: 11.6% | |||||||||
514,128 | Abbott Laboratories | 24,050,908 | 0.8 | ||||||
324,159 | @ | Amgen, Inc. | 17,050,763 | 0.5 | |||||
567,418 | Bristol-Myers Squibb Co. | 14,151,405 | 0.4 | ||||||
911,120 | Johnson & Johnson | 53,810,747 | 1.7 | ||||||
365,723 | Medtronic, Inc. | 13,264,773 | 0.4 | ||||||
1,031,343 | S | Merck & Co., Inc. | 36,066,065 | 1.1 | |||||
2,671,858 | Pfizer, Inc. | 38,100,695 | 1.2 | ||||||
Other Securities | 178,040,810 | 5.5 | |||||||
374,536,166 | 11.6 | ||||||||
Industrials: 9.8% | |||||||||
235,662 | 3M Co. | 18,614,941 | 0.6 | ||||||
250,482 | Boeing Co. | 15,717,746 | 0.5 | ||||||
3,532,500 | S | General Electric Co. | 50,938,650 | 1.5 | |||||
328,676 | United Parcel Service, Inc. - Class B | 18,698,378 | 0.6 | ||||||
310,086 | United Technologies Corp. | 20,127,682 | 0.6 | ||||||
Other Securities | 194,354,799 | 6.0 | |||||||
318,452,196 | 9.8 | ||||||||
Information Technology: 17.9% | |||||||||
300,169 | @ | Apple, Inc. | 75,501,509 | 2.3 | |||||
1,895,668 | @ | Cisco Systems, Inc. | 40,396,685 | 1.3 | |||||
79,995 | @ | Google, Inc. - Class A | 35,593,775 | 1.1 | |||||
779,284 | Hewlett-Packard Co. | 33,727,412 | 1.0 | ||||||
1,828,832 | Intel Corp. | 35,570,782 | 1.1 | ||||||
425,255 | S | International Business Machines Corp. | 52,510,487 | 1.6 | |||||
2,526,202 | Microsoft Corp. | 58,127,903 | 1.8 | ||||||
1,294,004 | S | Oracle Corp. | 27,769,326 | 0.9 | |||||
556,452 | Qualcomm, Inc. | 18,273,884 | 0.6 | ||||||
Other Securities | 201,515,822 | 6.2 | |||||||
578,987,585 | 17.9 | ||||||||
Materials: 3.3% | |||||||||
Other Securities | 105,846,709 | 3.3 | |||||||
Telecommunication Services: 2.8% | |||||||||
1,954,027 | AT&T, Inc. | 47,267,913 | 1.4 | ||||||
938,836 | Verizon Communications, Inc. | 26,306,185 | 0.8 | ||||||
Other Securities | 19,061,224 | 0.6 | |||||||
92,635,322 | 2.8 | ||||||||
Utilities: 3.5% | |||||||||
Other Securities | 112,292,788 | 3.5 | |||||||
Total Common Stock (Cost $ 3,128,845,255) | 3,047,571,314 | 94.2 |
See Accompanying Notes to Financial Statements
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ING U.S. STOCK INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||||
REAL ESTATE INVESTMENT TRUSTS: 1.3% | |||||||||||
Financials: 1.3% | |||||||||||
Other Securities | $ | 41,457,503 | 1.3 | ||||||||
Total Real Estate Investment Trusts (Cost $ 35,754,405) | 41,457,503 | 1.3 | |||||||||
Total Long-Term Investments (Cost $ 3,164,599,660) | 3,089,028,817 | 95.5 | |||||||||
SHORT-TERM INVESTMENTS: 4.6% | |||||||||||
Affiliated Mutual Fund: 4.0% | |||||||||||
129,819,000 | ING Institutional Prime Money Market Fund - Class I | 129,819,000 | 4.0 | ||||||||
Total Mutual Fund (Cost $ 129,819,000) | 129,819,000 | 4.0 | |||||||||
Principal Amount | Value | Percent of Net Assets | |||||||||
Securities Lending Collateralcc: 0.6% | |||||||||||
$16,373,657 | BNY Mellon Overnight Government Fund(1) | $ | 16,373,657 | 0.5 | |||||||
425,091 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 340,073 | 0.1 | |||||||
Total Securities Lending Collateral (Cost $ 16,798,748) | 16,713,730 | 0.6 | |||||||||
Total Short-Term Investments (Cost $ 146,617,748) | 146,532,730 | 4.6 | |||||||||
Total Investments in Securities (Cost $ 3,311,217,408)* | $ | 3,235,561,547 | 100.1 | ||||||||
Other Assets and Liabilities - Net | (1,743,477 | ) | (0.1 | ) | |||||||
Net Assets | $ | 3,233,818,070 | 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, 2010.
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. |
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
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. |
I | Illiquid security |
* | Cost for federal income tax purposes is $3,377,740,772. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 131,175,809 | ||
Gross Unrealized Depreciation | (273,355,034 | ) | ||
Net Unrealized Depreciation | $ | (142,179,225 | ) | |
See Accompanying Notes to Financial Statements
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ING U.S. STOCK INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s assets and liabilities:
Quoted Prices in Active Markets | Significant Other (Level 2) | Significant (Level 3) | Fair Value at 6/30/2010 | |||||||||||
Asset Table | ||||||||||||||
Investments, at value | ||||||||||||||
Common Stock* | $ | 3,047,571,314 | $ | — | $ | — | $ | 3,047,571,314 | ||||||
Real Estate Investment Trusts | 41,457,503 | — | — | 41,457,503 | ||||||||||
Short-Term Investments | 146,192,657 | — | 340,073 | 146,532,730 | ||||||||||
Total Investments, at value | $ | 3,235,221,474 | $ | — | $ | 340,073 | $ | 3,235,561,547 | ||||||
Liabilities Table | ||||||||||||||
Other Financial Instruments+: | ||||||||||||||
Futures | (5,046,050 | ) | — | — | (5,046,050 | ) | ||||||||
Total Liabilities | $ | (5,046,050 | ) | $ | — | $ | — | $ | (5,046,050 | ) | ||||
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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | |||||||||||||||||||
Asset Table | |||||||||||||||||||||||||||
Investments, at value | |||||||||||||||||||||||||||
Short-Term Investments | $ | 340,073 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 340,073 | |||||||||
Total Investments, at value | $ | 340,073 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 340,073 | |||||||||
As of June 30, 2010, 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.
^ | 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 reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Portfolio. Swaps and written options are reported at their market value at measurement date. |
Transfers in or out of Level 3 represents 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. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
ING U.S. Stock Index Portfolio Open Futures Contracts on June 30, 2010:
Contract Description | Number of Contracts | Expiration Date | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||
Long Contracts | |||||||||||
S&P 500 E-Mini | 2,735 | 09/17/10 | $ | 140,387,550 | $ | (4,727,352 | ) | ||||
S&P 500® | 27 | 09/16/10 | 6,929,550 | (318,698 | ) | ||||||
$ | 147,317,100 | $ | (5,046,050 | ) | |||||||
See Accompanying Notes to Financial Statements
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ING U.S. STOCK INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of June 30, 2010 was as follows:
Derivatives not accounted for as hedging | Location on Statement of Assets and Liabilities | Fair Value | |||
Liability Derivatives | |||||
Equity contracts | Net Assets - Unrealized depreciation* | $ | 5,046,050 | ||
Total Liability Derivatives | $ | 5,046,050 | |||
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the six months ended June 30, 2010 was as follows:
Derivatives not accounted for as hedging | Amount of Realized Gain or (Loss) on Derivatives Recognized in Income Futures | |
Equity contracts | $(1,002,838) | |
Total | $(1,002,838) | |
Derivatives not accounted for as hedging | Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income Futures | |
Equity contracts | $(5,136,267) | |
Total | $(5,136,267) | |
See Accompanying Notes to Financial Statements
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ING WELLS FARGO SMALL CAP DISCIPLINED PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Industry Allocation
as of June 30, 2010
(as a percent of net assets)
Financials | 24.1% | |
Industrials | 20.2% | |
Information Technology | 19.1% | |
Consumer Discretionary | 8.6% | |
Materials | 7.2% |
Health Care | 5.5% | |
Energy | 5.4% | |
Consumer Staples | 5.2% | |
Utilities | 4.7% | |
Net Assets | 100.0% | |
Portfolio holdings are subject to change daily.
Shares | Value | Percent of Net Assets | |||||||
COMMON STOCK: 98.9% | |||||||||
Consumer Discretionary: 8.6% | |||||||||
17,891 | Blyth, Inc. | $ | 609,546 | 1.3 | |||||
47,800 | @, L | Kenneth Cole Productions, Inc. | 526,278 | 1.2 | |||||
183,900 | @ | Office Depot, Inc. | 742,956 | 1.6 | |||||
98,200 | Wendy’s/Arby’s Group, Inc. - Class A | 392,800 | 0.9 | ||||||
Other Securities | 1,652,692 | 3.6 | |||||||
3,924,272 | 8.6 | ||||||||
Consumer Staples: 5.2% | |||||||||
9,888 | @ | American Italian Pasta Co. | 522,779 | 1.1 | |||||
18,400 | WD-40 Co. | 614,560 | 1.4 | ||||||
101,300 | @, L | Winn-Dixie Stores, Inc. | 976,532 | 2.1 | |||||
Other Securities | 256,136 | 0.6 | |||||||
2,370,007 | 5.2 | ||||||||
Energy: 5.4% | |||||||||
70,700 | @ | Cal Dive International, Inc. | 413,595 | 0.9 | |||||
49,000 | @, L | Exterran Holdings, Inc. | 1,264,690 | 2.8 | |||||
Other Securities | 806,733 | 1.7 | |||||||
2,485,018 | 5.4 | ||||||||
Financials: 23.0% | |||||||||
111,400 | @, L | Asset Acceptance Capital Corp. | 461,196 | 1.0 | |||||
38,200 | Associated Banc-Corp. | 468,332 | 1.0 | ||||||
56,245 | Brown & Brown, Inc. | 1,076,529 | 2.4 | ||||||
289,600 | CapitalSource, Inc. | 1,378,496 | 3.0 | ||||||
54,300 | @, L | Forestar Real Estate Group, Inc. | 975,228 | 2.1 | |||||
61,600 | Glacier Bancorp., Inc. | 903,672 | 2.0 | ||||||
33,000 | New York Community Bancorp., Inc. | 503,910 | 1.1 | ||||||
44,400 | NewAlliance Bancshares, Inc. | 497,724 | 1.1 | ||||||
49,512 | L | Stewart Information Services Corp. | 446,598 | 1.0 | |||||
21,200 | UMB Financial Corp. | 753,872 | 1.7 | ||||||
26,800 | Washington Federal, Inc. | 433,624 | 0.9 | ||||||
Other Securities | 2,606,458 | 5.7 | |||||||
10,505,639 | 23.0 | ||||||||
Health Care: 5.5% | |||||||||
24,200 | @, L | LHC Group, Inc. | 671,550 | 1.5 |
See Accompanying Notes to Financial Statements
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ING WELLS FARGO SMALL CAP DISCIPLINED PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||
Health Care: (continued) | |||||||||
29,200 | L | PerkinElmer, Inc. | $ | 603,564 | 1.3 | ||||
19,100 | @ | Zoll Medical Corp. | 517,610 | 1.1 | |||||
Other Securities | 730,596 | 1.6 | |||||||
2,523,320 | 5.5 | ||||||||
Industrials: 20.2% | |||||||||
28,800 | Actuant Corp. | 542,304 | 1.2 | ||||||
23,100 | Arkansas Best Corp. | 479,325 | 1.1 | ||||||
30,400 | @ | Clean Harbors, Inc. | 2,018,864 | 4.4 | |||||
65,500 | @ | CRA International, Inc. | 1,233,365 | 2.7 | |||||
51,900 | @ | GrafTech International Ltd. | 758,778 | 1.7 | |||||
56,900 | @, L | Herley Industries, Inc. | 811,394 | 1.8 | |||||
10,900 | Illinois Tool Works, Inc. | 449,952 | 1.0 | ||||||
25,900 | Kennametal, Inc. | 658,637 | 1.4 | ||||||
27,400 | Quanex Building Products Corp. | 473,746 | 1.0 | ||||||
28,571 | @ | Tutor Perini Corp. | 470,850 | 1.0 | |||||
Other Securities | 1,300,087 | 2.9 | |||||||
9,197,302 | 20.2 | ||||||||
Information Technology: 19.1% | |||||||||
113,600 | @ | ATMI, Inc. | 1,663,103 | 3.7 | |||||
78,000 | @ | Convergys Corp. | 765,180 | 1.7 | |||||
24,900 | L | Fair Isaac Corp. | 542,571 | 1.2 | |||||
129,200 | @ | Intermec, Inc. | 1,324,300 | 2.9 | |||||
33,200 | Maxim Integrated Products | 555,436 | 1.2 | ||||||
89,800 | Molex, Inc. | 1,387,410 | 3.0 | ||||||
72,500 | @ | Newport Corp. | 656,850 | 1.4 | |||||
335,900 | @ | Quantum Corp. | 631,492 | 1.4 | |||||
149,056 | Technitrol, Inc. | 471,017 | 1.0 | ||||||
Other Securities | 727,471 | 1.6 | |||||||
8,724,830 | 19.1 | ||||||||
Materials: 7.2% | |||||||||
15,800 | @, L | Clearwater Paper Corp. | 865,208 | 1.9 | |||||
89,700 | @ | Ferro Corp. | 661,089 | 1.4 | |||||
298,400 | @, L | Great Basin Gold Ltd. | 504,296 | 1.1 | |||||
49,200 | Olin Corp. | 890,028 | 2.0 | ||||||
Other Securities | 347,072 | 0.8 | |||||||
3,267,693 | 7.2 | ||||||||
Utilities: 4.7% | |||||||||
25,125 | Allete, Inc. | 860,280 | 1.9 | ||||||
60,497 | @, L | El Paso Electric Co. | 1,170,617 | 2.6 | |||||
Other Securities | 119,105 | 0.2 | |||||||
2,150,002 | 4.7 | ||||||||
Total Common Stock (Cost $ 50,154,388) | 45,148,083 | 98.9 |
See Accompanying Notes to Financial Statements
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ING WELLS FARGO SMALL CAP DISCIPLINED PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | Percent of Net Assets | |||||||||
REAL ESTATE INVESTMENT TRUSTS: 1.1% | |||||||||||
Financials: 1.1% | |||||||||||
11,100 | Rayonier, Inc. | $ | 488,622 | 1.1 | |||||||
Total Real Estate Investment Trusts (Cost $ 468,000) | 488,622 | 1.1 | |||||||||
Total Long-Term Investments (Cost $ 50,622,388) | 45,636,705 | 100.0 | |||||||||
SHORT-TERM INVESTMENTS: 6.2% | |||||||||||
Securities Lending Collateralcc: 6.2% | |||||||||||
2,504,354 | BNY Mellon Overnight Government Fund(1) | 2,504,354 | 5.5 | ||||||||
410,481 | I | BNY Institutional Cash Reserves Fund, Series B(1)(2) | 328,385 | 0.7 | |||||||
6.2 | |||||||||||
Total Short-Term Investments (Cost $ 2,914,835) | 2,832,739 | 6.2 | |||||||||
Total Investments in Securities (Cost $ 53,537,223)* | $ | 48,469,444 | 106.2 | ||||||||
Other Assets and Liabilities - Net | (2,810,405 | ) | (6.2 | ) | |||||||
Net Assets | $ | 45,659,039 | 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, 2010.
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. |
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. |
I | Illiquid security |
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
* | Cost for federal income tax purposes is $53,901,038. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 2,898,086 | ||
Gross Unrealized Depreciation | (8,329,680 | ) | ||
Net Unrealized Depreciation | $ | (5,431,594 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Common Stock* | $ | 45,148,083 | $ | — | $ | — | $ | 45,148,083 | ||||
Real Estate Investment Trusts | 488,622 | — | — | 488,622 | ||||||||
Short-Term Investments | 2,504,354 | — | 328,385 | 2,832,739 | ||||||||
Total Investments, at value | $ | 48,141,059 | $ | — | $ | 328,385 | $ | 48,469,444 | ||||
See Accompanying Notes to Financial Statements
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ING WELLS FARGO SMALL CAP DISCIPLINED PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (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, 2010:
Beginning Balance 12/31/2009 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 6/30/2010 | |||||||||||||||||||
Asset Table | |||||||||||||||||||||||||||
Investments, at value | |||||||||||||||||||||||||||
Short-Term Investments | $ | 328,385 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 328,385 | |||||||||
Total Investments, at value | $ | 328,385 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 328,385 | |||||||||
As of June 30, 2010, 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.
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
Transfers in or out of Level 3 represents 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. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
See Accompanying Notes to Financial Statements
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ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED)
BOARD CONSIDERATION AND APPROVAL OF NEW ADVISORY AND SUB-ADVISORY CONTRACT
Section 15 of the Investment Company Act of 1940 Act, as amended (the “1940 Act”), mandates that, when a series of ING Investors Trust (the “Trust”) enters into a new sub-advisory agreement, the Board of Trustees (the “Board”) of the Trust, including a majority of Board members who have no direct or indirect interest in the Advisory and Sub-Advisory contracts, and who are not “interested persons” of the series, as such term is defined under the 1940 Act (the “Independent Trustees”), must approve the new arrangements. Discussed below are certain factors that the Board considered in determining whether to approve a new sub-advisory arrangement for two of its series.
ING LargeCap Growth Portfolio (formerly, ING Wells Fargo Omega Growth Portfolio)
Approval of Sub-Advisory Contracts
ING LargeCap Growth Portfolio (formerly, ING Wells Fargo Omega Growth Portfolio) had been sub-advised by Wells Capital Management Inc. or its predecessor entities (“Wells Capital”) since May 2004. At a special telephonic meeting of the Board held on June 11, 2010, the Board, including a majority of the Independent Trustees, determined to: (1) terminate Wells Capital as sub-adviser to the Portfolio; (2) appoint ING Investment Management Co. (“ING IM”) as sub-adviser to the Portfolio; and (3) approve an interim sub-advisory agreement with ING IM that became effective on June 12, 2010 (the “Interim Agreement”), under which ING IM began serving as the sub-adviser to the Portfolio and providing day-to-day management services to the Portfolio on that date for a period of up to 150 days. At a meeting of the Board held on July 15, 2010, the Board, including a majority of the Independent Trustees, approved a new sub-advisory contract (“Sub-Advisory Contract”) with ING IM under which it would serve as Sub-Adviser to the Portfolio. The Sub-Advisory Contract is subject to shareholder approval and is expected to become effective on November 2, 2010. The Interim Agreement was put into place to bridge the period between the termination of Wells Capital and the date of a Special Meeting of Shareholders that was called for the purpose of determining whether to approve the Sub-Advisory Contract.
In determining whether to approve the Interim Agreement and the Sub-Advisory Contract with ING IM, the Board received and evaluated such information as it deemed necessary for an informed determination of whether the Interim Agreement and Sub-Advisory
Contract should be approved for the Portfolio. The materials provided to the Board to inform its consideration of whether to approve the Interim Agreement and Sub-Advisory Contract with ING IM included the following: (1) ING IM’s presentation before the Domestic Equity Funds Investment Review Committee at its June 9, 2010 meeting; (2) memoranda and related materials provided to the Board in advance of its June 11, 2010 and July 15, 2010 meetings discussing: (a) Management’s rationale for recommending that ING IM serve as Sub-Adviser to the Portfolio, (b) the performance of ING IM in managing the ING Large-Cap Growth R1000G Composite (the “ING IM Large-Cap Growth Composite”) which is composed of accounts that are managed in an investment style that mirrors its proposed management of the Portfolio (with such performance being compared against a relevant benchmark index), and (c) the capabilities of the ING IM large-cap growth research teams; (3) Fund Analysis and Comparison Tables for the Portfolio that provide information about the performance of the ING IM Large-Cap Growth Composite and the performance of the Portfolio’s proposed Selected Peer Group; (4) ING IM’s responses to inquiries from K&L Gates LLP, counsel to the Independent Trustees; (5) supporting documentation, including copies of the forms of the Interim Agreement and Sub-Advisory Contract with ING IM; (6) an analysis regarding the effect that the proposed Sub-Adviser addition would have on the profitability of Directed Services LLC, the adviser to the Portfolio (the “Adviser”); and (7) other information relevant to the Board’s evaluation.
In reaching its decision to engage ING IM as Sub-Adviser to the Portfolio, the Board, including a majority of the Independent Trustees, considered a number of factors, including, but not limited to, the following: (1) the Adviser’s view with respect to the reputation of ING IM as a manager to similar funds; (2) ING IM’s strength and reputation in the industry; (3) the nature and quality of the services to be provided by ING IM under the proposed Interim Agreement and Sub-Advisory Contract; (4) the personnel, operations, financial condition, and investment management capabilities, methodologies and resources of ING IM and its fit 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
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ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
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.
After its deliberation, the Board reached the following conclusions: (1) ING IM should be appointed to serve as Sub-Adviser to the Portfolio under the Interim Agreement and the Sub-Advisory Contract with ING IM; (2) the sub-advisory fee rate payable by the Adviser to ING IM is reasonable in the context of all factors considered by the Board; and (3) ING IM maintains an appropriate compliance program, with this conclusion based upon, among other things, a representation from the Portfolio’s Chief Compliance Officer that ING IM’s compliance policies and procedures are reasonably designed to assure compliance with the Federal securities laws. Based on these conclusions and other factors, the Board voted to approve the Interim Agreement and Sub-Advisory Contract for the Portfolio. During their deliberations, different Board members may have given different weight to different individual factors and related conclusions.
Approval of Advisory Contract
At a meeting of the Board held on July 15, 2010, the Board, including a majority of the Independent Trustees, approved a new advisory contract (“Advisory Contract”) with DSL under which it would serve as Adviser to the ING Large Cap Growth Portfolio. In determining whether to approve the Advisory Contract for the Portfolio, the Board received and evaluated such information as it deemed necessary for an informed determination of whether the agreement should be approved. The materials provided to the Board in support of the Portfolio’s advisory contract included the following: (1) memoranda presenting Management’s rationale for requesting the approval of a new Advisory Contract with respect to the Portfolio; (2) information about the Portfolio’s investment objective and strategies and anticipated portfolio characteristics; (3) FACT sheets for the Portfolio that compare the Portfolio’s proposed fee structure to its comparable selected peer group (“Selected Peer Group”) and Morningstar/Lipper category medians;
(4) supporting documentation, including copies of the Advisory Contract for the Portfolio; and (5) other information relevant to the Board’s evaluation. In addition, the Board considered the information provided periodically throughout the year in presentations to the Board by DSL in the context of DSL’s oversight of other sub-advisers managing funds in the ING Funds complex.
The Board’s consideration of whether to approve the Advisory Contract with DSL on behalf of the Portfolio took into account several factors including, but not limited to, the following: (1) the nature and quality of the services provided by DSL to the Portfolio under the current Advisory Contract and the nature and quality of services to be provided by DSL under the new Advisory Contract; (2) DSL’s experience as a manager-of-managers overseeing sub-advisers to other funds within the ING Funds complex; (3) DSL’s strength and reputation within the industry; (4) the fairness of the compensation under the proposed Advisory Contract in light of the services to be provided to the Portfolio and taking into account the sub-advisory fees payable by DSL to ING IM; (5) the fairness of DSL’s compensation under an Advisory Contract with level fees that does not include breakpoints; (6) the pricing structure (including the estimated expense ratio to be borne by shareholders) of the Portfolio, including that: (a) the proposed net management fee (0.65%, inclusive of the 0.10% net administration fee) is below the median (0.74%) and the average (0.71%) management fee of the portfolios in the Portfolio’s SPG; (b) the proposed expense ratio for the Portfolio (0.60%) is below the median (0.82%) and average (0.80%) expense ratios of the portfolios in the Portfolio’s proposed SPG; and (c) the proposed fee structure will move from a unified fee structure to a traditional advisory fee structure under the Advisory Contract; (7) the projected profitability of DSL when sub-advisory fees payable by DSL to ING IM are taken into account; (8) the personnel, operations, financial condition, and investment management capabilities and resources of DSL; (9) DSL’s compliance capabilities, as demonstrated by, among other things, its policies and procedures designed to prevent violations of the Federal securities laws, which had previously been approved by the Board in connection with its oversight of other funds in the ING Funds complex; (10) the information that had been provided by DSL at regular Board meetings with respect to its capabilities as a manager-of-managers in overseeing similar funds; and (11) “fall-out benefits” to DSL and its affiliates that were anticipated to arise from DSL’s management of the Portfolio.
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ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s proposed management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s estimated expense ratio is reasonable in the context of all factors considered by the Board; and (3) DSL maintains an appropriate compliance program, with this conclusion based upon the Board’s previous and ongoing review of its compliance programs. Based on these conclusions and other factors, the Board voted to approve the Advisory Contract for the Portfolio. During the Board’s deliberations, different Board members may have given different weight to different individual factors and related conclusions.
ING Wells Fargo Small Cap Disciplined Portfolio
ING Wells Fargo Small Cap Disciplined Portfolio had been sub-advised by Wells Capital Management Inc. (“Wells Capital”) since November 2005. At its March 25, 2010 meeting, the Board approved the merger of the Portfolio with and into ING Small Company Portfolio (the “Small Company Merger”). On March 25, 2010, the Board, including a majority of the Independent Trustees, also determined to appoint ING Investment Management Co. (“ING IM”) as sub-adviser to the Portfolio and considered the approval of a new sub-advisory contract (the “Merger Sub-Advisory Agreement”) for the Portfolio. The Board approved the Merger Sub-Advisory Agreement under which ING IM would provide sub-advisory services to transition the Portfolio’s investment portfolio during the pre-merger period, provided that the Portfolio’s shareholders approve the Small Company Merger and the sub-advisory contract with ING IM.
In determining whether to approve the Merger Sub-Advisory Agreement for the Portfolio, the Board received and evaluated such information as it deemed necessary for an informed determination of whether the Merger Sub-Advisory Agreement should be approved for the Portfolio. The materials provided to the Board in support of the Merger Sub-Advisory Agreement included the following: (1) a memorandum discussing the implementation of the transition strategy for the Portfolio in anticipation of the Small Company Merger; (2) responses to questions posed by K&L Gates, independent counsel to the Board, on behalf of the Independent Trustees; (3) supporting documentation, including a copy of the form of the
Merger Sub-Advisory Agreement; and (4) other information relevant to the Board’s evaluation. In addition, the Board considered the information provided periodically throughout the year in presentations to the Board by Management and by ING IM in connection with its management of funds in the ING Funds Complex, including the Portfolio. Such information included, among other things: (1) a detailed analysis of the Portfolio’s performance, including attribution analyses, which had been provided at regular Board meetings; and (2) performance of ING Small Company Portfolio.
The Board’s consideration of whether to approve the Merger Sub-Advisory Agreement took into account several factors including, but not limited to, the following: (1) the view of the Portfolio’s investment adviser with respect to ING IM’s management of ING Small Company Portfolio; (2) the nature and quality of the services to be provided by ING IM under the Merger Sub-Advisory Agreement; (3) the personnel, operations, and investment management capabilities of ING IM; (4) the fairness of the compensation under the Merger Sub-Advisory Agreement in light of the services to be provided by ING IM; (5) the sub-advisory fee rate payable by the Adviser to ING IM; (6) ING IM’s operations and compliance program, including its policies and procedures intended to assure compliance with the Federal securities laws, which had previously been approved by the Board as part of its oversight of other funds in the ING Funds complex; and (7) ING IM’s Code of Ethics, which has previously been approved for the Portfolio and other ING Funds, and related procedures for complying with that Code.
After its deliberation, the Board reached the following conclusions: (1) ING IM should be appointed as the Portfolio’s Sub-Adviser under the Merger Sub-Advisory Agreement and provide advisory services to the Portfolio during the pre-merger period; and (2) the sub-advisory fee rate payable by the Adviser to ING IM is reasonable in the context of all factors considered by the Board.
Based on these conclusions and other factors, the Board voted to approve the Merger Sub-Advisory Agreement. During this approval process, different Board members may have given different weight to different individual factors and related conclusions.
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Investment Adviser
Directed Services LLC
1475 Dunwoody Drive
West Chester Pennsylvania 19380
Administrator
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
(formerly, PNC Global Investment Servicing (U.S.) Inc.)
301 Bellevue Parkway
Wilmington, Delaware 19809
Custodian
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Legal Counsel
Dechert LLP
1775 I Street, N.W.
Washington, D.C. 20006
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable annuity contract and the underlying variable investment options. This and other information is contained in the prospectus for the variable annuity contract and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
VPSAR-UFIIT2AISS2 | (0610-082510) |
Table of Contents
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5 | ||
6 | ||
7 | ||
8 | ||
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24 |
1
2
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
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||||||
Beginning | Ending | Expenses Paid | Beginning | Ending | Expenses Paid | |||||||||||||||||||||||||||
Account | Account | During the | Account | Account | During the | |||||||||||||||||||||||||||
Value | Value | Annualized | Period Ended | Value | Value | Annualized | Period Ended | |||||||||||||||||||||||||
January 1, | June 30, | Expense | June 30, | January 1, | June 30, | Expense | June 30, | |||||||||||||||||||||||||
2010 | 2010 | Ratio | 2010* | 2010 | 2010 | Ratio | 2010* | |||||||||||||||||||||||||
ING BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,039.70 | 1.12 | % | $ | 5.66 | $ | 1,000.00 | $ | 1,019.24 | 1.12 | % | $ | 5.61 | ||||||||||||||||
Class I | 1,000.00 | 1,044.40 | 0.52 | 2.64 | 1,000.00 | 1,022.22 | 0.52 | 2.61 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,042.70 | 0.77 | 3.90 | 1,000.00 | 1,020.98 | 0.77 | 3.86 | ||||||||||||||||||||||||
ING Goldman Sachs Commodity Strategy Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 896.10 | 1.46 | % | $ | 6.86 | $ | 1,000.00 | $ | 1,017.55 | 1.46 | % | $ | 7.30 | ||||||||||||||||
Class I | 1,000.00 | 898.20 | 0.86 | 4.05 | 1,000.00 | 1,020.53 | 0.86 | 4.31 | ||||||||||||||||||||||||
Class S | 1,000.00 | 897.90 | 1.11 | 5.22 | 1,000.00 | 1,019.29 | 1.11 | 5.56 | ||||||||||||||||||||||||
Class S2 | 1,000.00 | 897.80 | 1.26 | 5.93 | 1,000.00 | 1,018.55 | 1.26 | 6.31 |
* | 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. |
4
ING | ING | |||||||
BlackRock Inflation | Goldman Sachs | |||||||
Protected Bond | Commodity Strategy | |||||||
Portfolio | Portfolio | |||||||
ASSETS: | ||||||||
Investments in securities at value* | $ | 604,489,900 | $ | 54,376,337 | ||||
Short-term investments in affiliates** | — | 28,707,629 | ||||||
Short-term investments at amortized cost | — | 20,999,563 | ||||||
Cash | 83,224,603 | 52,337 | ||||||
Cash collateral for futures | 979,738 | — | ||||||
Receivables: | ||||||||
Fund shares sold | 416,453 | 1,254 | ||||||
Dividends and interest | 3,834,590 | 94,928 | ||||||
Unrealized appreciation on forward foreign currency contracts | 704,746 | — | ||||||
Unrealized appreciation on swap agreements | 5,218,352 | — | ||||||
Prepaid expenses | 1,301 | 301 | ||||||
Reimbursement due from manager | 30,851 | — | ||||||
Total assets | 698,900,534 | 104,232,349 | ||||||
LIABILITIES: | ||||||||
Payable for fund shares redeemed | 302,792 | 63,990 | ||||||
Unrealized depreciation on swap agreements | 3,657,505 | — | ||||||
Payable to affiliates | 334,982 | 65,694 | ||||||
Payable for trustee fees | — | 4,388 | ||||||
Other accrued expenses and liabilities | 11,969 | 44,903 | ||||||
Payable for foreign cash collateral for futures*** | 848,573 | — | ||||||
Total liabilities | 5,155,821 | 178,975 | ||||||
NET ASSETS | $ | 693,744,713 | $ | 104,053,374 | ||||
NET ASSETS WERE COMPRISED OF: | ||||||||
Paid-in capital | $ | 665,496,833 | $ | 238,762,693 | ||||
Undistributed (Distributions in excess of) net investment income | (3,188,995 | ) | 1,779,792 | |||||
Accumulated net realized gain (loss) | 24,199,787 | (130,109,430 | ) | |||||
Net unrealized appreciation or depreciation | 7,237,088 | (6,379,681 | ) | |||||
NET ASSETS | $ | 693,744,713 | $ | 104,053,374 | ||||
* Cost of investments in securities | $ | 597,722,309 | $ | 60,698,958 | ||||
** Cost of short-term investments in affiliates | $ | — | $ | 28,707,629 | ||||
*** Cost of foreign cash collateral for futures | $ | 856,176 | $ | — | ||||
Class ADV: | ||||||||
Net assets | $ | 5,938,452 | $ | 182,134 | ||||
Shares outstanding(1) | 574,198 | 30,131 | ||||||
Net asset value and redemption price per share | $ | 10.34 | $ | 6.04 | ||||
Class I: | ||||||||
Net assets | $ | 394,855,566 | $ | 103,867,602 | ||||
Shares outstanding(1) | 37,753,515 | 17,041,789 | ||||||
Net asset value and redemption price per share | $ | 10.46 | $ | 6.09 | ||||
Class S: | ||||||||
Net assets | $ | 292,950,695 | $ | 1,821 | ||||
Shares outstanding(1) | 27,998,200 | 300 | ||||||
Net asset value and redemption price per share | $ | 10.46 | $ | 6.07 | ||||
Class S2: | ||||||||
Net assets | n/a | $ | 1,817 | |||||
Shares outstanding(1) | n/a | 300 | ||||||
Net asset value and redemption price per share | n/a | $ | 6.06 |
(1) | Unlimited shares authorized, $0.001 par value. |
5
ING | ING | |||||||
BlackRock Inflation | Goldman Sachs | |||||||
Protected Bond | Commodity Strategy | |||||||
Portfolio | Portfolio | |||||||
INVESTMENT INCOME: | ||||||||
Dividends from affiliates | $ | 851 | $ | 39,081 | ||||
Interest | 6,897,990 | 162,048 | ||||||
Total investment income | 6,898,841 | 201,129 | ||||||
EXPENSES: | ||||||||
Investment management fees | 1,233,208 | 281,616 | ||||||
Distribution and service fees: | ||||||||
Class ADV | 6,261 | 105 | ||||||
Class S | 244,238 | 2 | ||||||
Class S2 | — | 4 | ||||||
Transfer agent fees | 329 | 168 | ||||||
Administrative service fees | 295,902 | 40,230 | ||||||
Shareholder reporting expense | 14,565 | 8,575 | ||||||
Professional fees | 34,439 | 10,569 | ||||||
Custody and accounting expense | 27,290 | 12,825 | ||||||
Trustee fees | 5,083 | 2,812 | ||||||
Miscellaneous expense | 8,735 | 5,463 | ||||||
Interest expense | 5,425 | — | ||||||
Total expenses | 1,875,475 | 362,369 | ||||||
Net waived and reimbursed fees | (94,017 | ) | (15,264 | ) | ||||
Net expenses | 1,781,458 | 347,105 | ||||||
Net investment income (loss) | 5,117,383 | (145,976 | ) | |||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 7,725,565 | 10,579,516 | ||||||
Foreign currency related transactions | 3,943,063 | — | ||||||
Futures | 1,549,524 | (257,405 | ) | |||||
Swaps | 2,355,148 | — | ||||||
Written options | 734,141 | — | ||||||
Net realized gain | 16,307,441 | 10,322,111 | ||||||
Net change in unrealized appreciation or depreciation on: | ||||||||
Investments | 5,232,808 | (20,034,713 | ) | |||||
Foreign currency related transactions | 539,322 | — | ||||||
Futures | (2,322,144 | ) | (215,775 | ) | ||||
Swaps | 1,792,319 | — | ||||||
Written options | (139,233 | ) | — | |||||
Net change in unrealized appreciation or depreciation | 5,103,072 | (20,250,488 | ) | |||||
Net realized and unrealized gain (loss) | 21,410,513 | (9,928,377 | ) | |||||
Increase (decrease) in net assets resulting from operations | $ | 26,527,896 | $ | (10,074,353 | ) | |||
6
ING BlackRock Inflation | ING Goldman Sachs | |||||||||||||||
Protected | Commodity | |||||||||||||||
Bond Portfolio | Strategy Portfolio | |||||||||||||||
Six Months | Six Months | |||||||||||||||
Ended | Year Ended | Ended | Year Ended | |||||||||||||
June 30, | December 31, | June 30, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 5,117,383 | $ | 5,109,516 | $ | (145,976 | ) | $ | 1,801,371 | |||||||
Net realized gain | 16,307,441 | 12,317,755 | 10,322,111 | 23,898,073 | ||||||||||||
Net change in unrealized appreciation or depreciation | 5,103,072 | 5,970,911 | (20,250,488 | ) | 8,446,841 | |||||||||||
Increase (decrease) in net assets resulting from operations | 26,527,896 | 23,398,182 | (10,074,353 | ) | 34,146,285 | |||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | (35,962 | ) | (14 | ) | — | (31 | ) | |||||||||
Class I | (5,356,674 | ) | (4,141,893 | ) | — | (4,182,017 | ) | |||||||||
Class S | (2,744,804 | ) | (1,922,123 | ) | — | (37 | ) | |||||||||
Class S2 | — | — | — | (35 | ) | |||||||||||
Net realized gains: | ||||||||||||||||
Class ADV | — | (1 | ) | — | — | |||||||||||
Class I | — | (214,031 | ) | — | — | |||||||||||
Class S | — | (90,311 | ) | — | — | |||||||||||
Total distributions | (8,137,440 | ) | (6,368,373 | ) | — | (4,182,120 | ) | |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 188,965,873 | 503,175,260 | 49,926,640 | 93,238,466 | ||||||||||||
Reinvestment of distributions | 8,137,440 | 6,368,340 | — | 4,182,016 | ||||||||||||
197,103,313 | 509,543,600 | 49,926,640 | 97,420,482 | |||||||||||||
Cost of shares redeemed | (80,585,721 | ) | (107,095,463 | ) | (5,598,662 | ) | (301,478,287 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 116,517,592 | 402,448,137 | 44,327,978 | (204,057,805 | ) | |||||||||||
Net increase (decrease) in net assets | 134,908,048 | 419,477,946 | 34,253,625 | (174,093,640 | ) | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 558,836,665 | 139,358,719 | 69,799,749 | 243,893,389 | ||||||||||||
End of period | $ | 693,744,713 | $ | 558,836,665 | $ | 104,053,374 | $ | 69,799,749 | ||||||||
Undistributed (distributions in excess of) net investment income at end of period | $ | (3,188,995 | ) | $ | (168,938 | ) | $ | 1,779,792 | $ | 1,925,768 | ||||||
7
Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment | Supplemental | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
operations | Less distributions | Ratios to average net assets | data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Net | Net | Expenses net of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
asset | realized | Total | asset | Expenses | fee waivers | Expenses net of | Net assets, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | and | from | From net | value, | before | and/or | all | Net investment | end | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | From net | From return of | Total | end of | Total | reductions/ | recoupments, | reductions/ | income | of year or | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
of year or period | income (loss) | gain (loss) | operations | income | realized gains | capital | distributions | year or period | Return(1) | additions(2)(3) | if any(2)(3) | additions(2)(3) | (loss)(2)(3) | period | rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ING BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .07 | 0 | .11• | 0 | .29 | 0 | .40 | 0 | .13 | — | — | 0 | .13 | 10 | .34 | 3 | .97 | 1 | .30 | 1 | .12† | 1 | .12† | 2 | .14† | 5,938 | 192 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9 | .33 | 0 | .12 | 0 | .78 | 0 | .90 | 0 | .15 | 0 | .01 | — | 0 | .16 | 10 | .07 | 9 | .58 | 1 | .33 | 1 | .18 | 1 | .18 | 1 | .21 | 1 | 305 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 10 | .27 | 0 | .34 | (0 | .52) | (0 | .18) | 0 | .36 | 0 | .40 | — | 0 | .76 | 9 | .33 | (2 | .16) | 1 | .33 | 1 | .18 | 1 | .18 | 3 | .44 | 1 | 281 | |||||||||||||||||||||||||||||||||||||||||||||||||||
04-30-07(4)–12-31-07 | 10 | .00 | 0 | .29• | 0 | .32 | 0 | .61 | 0 | .34 | — | — | 0 | .34 | 10 | .27 | 6 | .27 | 1 | .37 | 1 | .22 | 1 | .22 | 4 | .29 | 1 | 217 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .15 | 0 | .09 | 0 | .36 | 0 | .45 | 0 | .14 | — | — | 0 | .14 | 10 | .46 | 4 | .44 | 0 | .55 | 0 | .52† | 0 | .52† | 1 | .77† | 394,856 | 192 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9 | .37 | 0 | .17• | 0 | .80 | 0 | .97 | 0 | .18 | 0 | .01 | — | 0 | .19 | 10 | .15 | 10 | .33 | 0 | .58 | 0 | .58 | 0 | .58 | 1 | .74 | 392,010 | 305 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 10 | .30 | 0 | .45• | (0 | .58) | (0 | .13) | 0 | .40 | 0 | .40 | — | 0 | .80 | 9 | .37 | (1 | .60) | 0 | .58 | 0 | .58 | 0 | .58 | 4 | .41 | 139,357 | 281 | |||||||||||||||||||||||||||||||||||||||||||||||||||
04-30-07(4)–12-31-07 | 10 | .00 | 0 | .32• | 0 | .34 | 0 | .66 | 0 | .36 | — | — | 0 | .36 | 10 | .30 | 6 | .82 | 0 | .62 | 0 | .62 | 0 | .62 | 4 | .74 | 212,036 | 217 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 10 | .16 | 0 | .08• | 0 | .35 | 0 | .43 | 0 | .13 | — | — | 0 | .13 | 10 | .46 | 4 | .27 | 0 | .80 | 0 | .77† | 0 | .77† | 1 | .65† | 292,951 | 192 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9 | .42 | 0 | .26• | 0 | .66 | 0 | .92 | 0 | .17 | 0 | .01 | — | 0 | .18 | 10 | .16 | 9 | .73 | 0 | .83 | 0 | .83 | 0 | .83 | 2 | .60 | 166,825 | 305 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 10 | .33 | 0 | .36 | (0 | .52) | (0 | .16) | 0 | .35 | 0 | .40 | — | 0 | .75 | 9 | .42 | (1 | .86) | 0 | .83 | 0 | .83 | 0 | .83 | 3 | .56 | 1 | 281 | |||||||||||||||||||||||||||||||||||||||||||||||||||
04-30-07(4)–12-31-07 | 10 | .00 | 0 | .31 | 0 | .34 | 0 | .65 | 0 | .32 | — | — | 0 | .32 | 10 | .33 | 6 | .66 | 0 | .87 | 0 | .87 | 0 | .87 | 4 | .63 | 1 | 217 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Goldman Sachs Commodity Strategy Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 6 | .74 | (0 | .03)• | (0 | .67) | (0 | .70) | — | — | — | — | 6 | .04 | (10 | .39) | 1 | .65 | 1 | .46 | 1 | .46 | (1 | .03) | 182 | 107 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 5 | .58 | 0 | .00* | 1 | .26 | 1 | .26 | 0 | .10 | — | — | 0 | .10 | 6 | .74 | 23 | .03 | 1 | .66 | 1 | .49 | 1 | .49 | 0 | .01 | 2 | 265 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
04-28-08(4)–12-31-08 | 10 | .00 | 0 | .08• | (4 | .50) | (4 | .42) | — | — | — | — | 5 | .58 | (44 | .20) | 1 | .64 | 1 | .49† | 1 | .49† | 1 | .43† | 2 | 243 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 6 | .78 | (0 | .01)• | (0 | .68) | (0 | .69) | — | — | — | — | 6 | .09 | (10 | .18) | 0 | .90 | 0 | .86 | 0 | .86 | (0 | .36) | 103,868 | 107 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 5 | .60 | 0 | .06• | 1 | .26 | 1 | .32 | 0 | .14 | — | — | 0 | .14 | 6 | .78 | 24 | .03 | 0 | .91 | 0 | .89 | 0 | .89 | 1 | .06 | 69,794 | 265 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
04-28-08(4)–12-31-08 | 10 | .00 | 0 | .11• | (4 | .51) | (4 | .40) | — | — | — | — | 5 | .60 | (44 | .00) | 0 | .89 | 0 | .89† | 0 | .89† | 2 | .05† | 243,888 | 243 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 6 | .76 | (0 | .02) | (0 | .67) | (0 | .69) | — | — | — | — | 6 | .07 | (10 | .21) | 1 | .15 | 1 | .11 | 1 | .11 | (0 | .56) | 2 | 107 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 5 | .59 | 0 | .02 | 1 | .27 | 1 | .29 | 0 | .12 | — | — | 0 | .12 | 6 | .76 | 23 | .60 | 1 | .16 | 1 | .14 | 1 | .14 | 0 | .36 | 2 | 265 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
04-28-08(4)–12-31-08 | 10 | .00 | 0 | .11• | (4 | .52) | (4 | .41) | — | — | — | — | 5 | .59 | (44 | .10) | 1 | .14 | 1 | .14† | 1 | .14† | 1 | .83† | 2 | 243 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 6 | .75 | (0 | .02) | (0 | .67) | (0 | .69) | — | — | — | — | 6 | .06 | (10 | .22) | 1 | .40 | 1 | .26 | 1 | .26 | (0 | .72) | 2 | 107 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 5 | .58 | 0 | .02 | 1 | .27 | 1 | .29 | 0 | .12 | — | — | 0 | .12 | 6 | .75 | 23 | .49 | 1 | .41 | 1 | .29 | 1 | .29 | 0 | .32 | 2 | 265 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
04-28-08(4)–12-31-08 | 10 | .00 | 0 | .09• | (4 | .51) | (4 | .42) | — | — | — | — | 5 | .58 | (44 | .20) | 1 | .39 | 1 | .29† | 1 | .29† | 1 | .63† | 2 | 243 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
(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 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 the 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. | |
• | Calculated using average number of shares outstanding throughout the period. | |
† | Impact of waiving the advisory fee for the ING Institutional Prime Money Market Fund holding has less than 0.005% impact on the expense ratio and net investment income or loss ratio. | |
* | Amount is less than $0.005. |
8
9
10
(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. |
11
12
13
Purchased | Sales | |||||||
BlackRock Inflation Protected Bond | $ | 63,875,846 | $ | 161,936,571 | ||||
Goldman Sachs Commodity Strategy | 7,694,935 | 17,184,498 |
14
15
16
Purchases | Sales | |||||||
BlackRock Inflation Protected Bond | $ | 85,753,649 | $ | 88,721,102 | ||||
Goldman Sachs Commodity Strategy | 41,045,180 | 28,178,949 |
Purchases | Sales | |||||||
BlackRock Inflation Protected Bond | $ | 1,081,152,168 | $ | 968,174,795 | ||||
Goldman Sachs Commodity Strategy | 21,100,986 | 19,800,302 |
Portfolio | Fee | |
BlackRock Inflation Protected Bond | 0.45% of the first $200 million; 0.40% of the next $800 million; 0.30% of the amount in excess of $1 billion | |
Goldman Sachs Commodity Strategy | 0.70% of the first $1 billion; 0.65% of the amount in excess of $1 billion |
17
Portfolio | Sub-Adviser | |
BlackRock Inflation Protected Bond | BlackRock Financial Management, Inc. | |
Goldman Sachs Commodity Strategy | Goldman Sachs Asset Management, L.P. |
Class ADV | Class I | Class S | Class S2 | |||||||||||||
BlackRock Inflation Protected Bond(1) | 1.23 | % | 0.63 | % | 0.88 | % | n/a | |||||||||
Goldman Sachs Commodity Strategy | 1.55 | % | 0.95 | % | 1.20 | % | 1.35 | % |
(1) | Effective March 15, 2010, pursuant to a side agreement, the Adviser has agreed to waive a portion of the advisory fee so that the expense limits for BlackRock Inflation Protected Bond are 1.10%, 0.50% and 0.75% for Class ADV, Class I and Class S, respectively. This waiver will continue until May 1, 2011. There is no guarantee that this waiver will continue after that date. Fees waived pursuant to this side agreement shall not be eligible for recoupment. |
18
ING Retirement Conservative Portfolio — | BlackRock Inflation Protected Bond (17.18%) | |
ING Retirement Moderate Portfolio — | BlackRock Inflation Protected Bond (44.76%) | |
ING Solution 2015 Portfolio — | BlackRock Inflation Protected Bond (6.40%) | |
Goldman Sachs Commodity Strategy (21.05%) | ||
ING Solution 2025 Portfolio — | Goldman Sachs Commodity Strategy (30.96%) | |
ING Solution 2035 Portfolio — | Goldman Sachs Commodity Strategy (25.62%) | |
ING Solution 2045 Portfolio — | Goldman Sachs Commodity Strategy (15.99%) | |
ING Solution Income Portfolio — | Goldman Sachs Commodity Strategy (6.31%) | |
ING USA Annuity and Life Insurance Co. — | BlackRock Inflation Protected Bond (28.41%) |
Accrued | ||||||||||||||||
Accrued | Shareholder | |||||||||||||||
Investment | Accrued | Service and | ||||||||||||||
Management | Administrative | Distribution | ||||||||||||||
Portfolio | Fees | Fees | Fees | Total | ||||||||||||
BlackRock Inflation Protected Bond | $ | 225,361 | $ | 54,285 | $ | 55,336 | $ | 334,982 | ||||||||
Goldman Sachs Commodity Strategy | 56,984 | 8,643 | 67 | 65,694 |
Accrued | ||||||||
Portfolio | Expenses | Amount | ||||||
Goldman Sachs Commodity Strategy | Custody | $ | 11,436 | |||||
Professional | 14,276 |
19
Approximate | ||||||||||||
Weighted | ||||||||||||
Approximate | Average | |||||||||||
Average Daily | Interest Rate | |||||||||||
Days | Balance For | For Days | ||||||||||
Portfolio | Utilized | Days Utilized | Utilized | |||||||||
BlackRock Inflation Protected Bond | 4 | $ | 34,380,000 | 1.44 | % |
Number of | ||||||||
Contracts | Cost | |||||||
Balance at 12/31/09 | 853 | $ | 365,127 | |||||
Options Purchased | 855 | 194,770 | ||||||
Options Terminated in Closing Sell Transactions | (879 | ) | (372,194 | ) | ||||
Options Expired | (670 | ) | (144,487 | ) | ||||
Balance at 06/30/10 | 159 | $ | 43,216 | |||||
USD Notional | Premium | |||||||
Balance at 12/31/09 | 14,000,000 | $ | 703,500 | |||||
Options Written | — | — | ||||||
Options Terminated in Closing Purchase Transactions | — | — | ||||||
Options Expired | (14,000,000 | ) | (703,500 | ) | ||||
Balance at 06/30/10 | — | $ | — | |||||
Number of | ||||||||
Contracts | Premium | |||||||
Balance at 12/31/09 | 853 | $ | 210,648 | |||||
Options Written | — | — | ||||||
Options Terminated in Closing Purchase Transactions | (853 | ) | (210,648 | ) | ||||
Options Expired | — | — | ||||||
Balance at 06/30/10 | — | $ | — | |||||
Net increase | ||||||||||||||||||||||||||||||||
(decrease) in | ||||||||||||||||||||||||||||||||
Reinvestment | Shares | shares | Reinvestment | Shares | Net increase | |||||||||||||||||||||||||||
Shares sold | of distributions | redeemed | outstanding | Shares sold | of distributions | redeemed | (decrease) | |||||||||||||||||||||||||
Year or period ended | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||
BlackRock Inflation Protected Bond | ||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||
06-30-10 | 578,611 | 3,520 | (8,033 | ) | 574,098 | 5,915,108 | 35,962 | (82,328 | ) | 5,868,742 | ||||||||||||||||||||||
12-31-09 | — | — | (1 | ) | (1 | ) | — | — | (10 | ) | (10 | ) | ||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
06-30-10 | 3,183,769 | 519,378 | (4,585,009 | ) | (881,862 | ) | 32,696,891 | 5,356,674 | (47,425,994 | ) | (9,372,429 | ) | ||||||||||||||||||||
12-31-09 | 32,023,891 | 430,733 | (8,693,985 | ) | 23,760,639 | 319,891,101 | 4,355,924 | (84,812,523 | ) | 239,434,502 | ||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||
06-30-10 | 14,523,608 | 265,857 | (3,217,726 | ) | 11,571,739 | 150,353,874 | 2,744,804 | (33,077,399 | ) | 120,021,279 | ||||||||||||||||||||||
12-31-09 | 18,434,920 | 198,939 | (2,207,499 | ) | 16,426,360 | 183,284,159 | 2,012,416 | (22,282,930 | ) | 163,013,645 | ||||||||||||||||||||||
Goldman Sachs Commodity Strategy | ||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||
06-30-10 | 29,872 | — | (41 | ) | 29,831 | 181,371 | — | (247 | ) | 181,124 | ||||||||||||||||||||||
12-31-09 | — | — | (1 | ) | (1 | ) | — | — | (6 | ) | (6 | ) | ||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
06-30-10 | 7,641,634 | — | (892,584 | ) | 6,749,050 | 49,745,269 | — | (5,598,415 | ) | 44,146,854 | ||||||||||||||||||||||
12-31-09 | 15,766,067 | 748,125 | (49,810,392 | ) | (33,296,200 | ) | 93,238,466 | 4,182,016 | (301,478,269 | ) | (204,057,787 | ) | ||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
12-31-09 | — | — | (1 | ) | (1 | ) | — | — | (6 | ) | (6 | ) | ||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
12-31-09 | — | — | (1 | ) | (1 | ) | — | — | (6 | ) | (6 | ) |
20
21
Six Months | ||||||||
Ended | Year Ended | |||||||
June 30, | December 31, | |||||||
2010 | 2009 | |||||||
Ordinary | Ordinary | |||||||
Income | Income | |||||||
BlackRock Inflation Protected Bond | $ | 8,137,440 | $ | 6,368,373 | ||||
Goldman Sachs Commodity Strategy | — | 4,182,120 |
Undistributed | Undistributed | Unrealized | ||||||||||||||||||
Ordinary | Long-Term | Appreciation/ | Capital Loss | Expiration | ||||||||||||||||
Income | Capital Gains | (Depreciation) | Carryforwards | Dates | ||||||||||||||||
BlackRock Inflation Protected Bond | $ | 8,560,391 | $ | 1,155,293 | $ | 141,740 | $ | — | — | |||||||||||
Goldman Sachs Commodity Strategy | 1,925,768 | — | 13,712,093 | (121,852,152 | ) | 2016 | ||||||||||||||
(18,420,675 | ) | 2017 | ||||||||||||||||||
$ | (140,272,827 | ) | ||||||||||||||||||
22
PER SHARE AMOUNTS | ||||||||||||||||||||
Net Investment | Short-Term | Long-Term | Payable | Record | ||||||||||||||||
Income | Capital Gains | Capital Gains | Date | Date | ||||||||||||||||
BlackRock Inflation Protected Bond | ||||||||||||||||||||
Class ADV | $ | 0.0424 | $ | — | $ | — | July 2, 2010 | June 30, 2010 | ||||||||||||
Class I | $ | 0.0470 | $ | — | $ | — | July 2, 2010 | June 30, 2010 | ||||||||||||
Class S | $ | 0.0448 | $ | — | $ | — | July 2, 2010 | June 30, 2010 | ||||||||||||
Class ADV | $ | — | $ | 0.1271 | $ | 0.0172 | July 15, 2010 | July 13, 2010 | ||||||||||||
Class I | $ | — | $ | 0.1271 | $ | 0.0172 | July 15, 2010 | July 13, 2010 | ||||||||||||
Class S | $ | — | $ | 0.1271 | $ | 0.0172 | July 15, 2010 | July 13, 2010 | ||||||||||||
Goldman Sachs Commodity Strategy | ||||||||||||||||||||
Class ADV | $ | 0.1126 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||||||
Class I | $ | 0.1129 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||||||
Class S | $ | 0.1010 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | ||||||||||||
Class S2 | $ | 0.0923 | $ | — | $ | — | July 15, 2010 | July 13, 2010 |
23
(as a percent of net assets)
U.S. Treasury Obligations | 56.5% | ||||
U.S. Government Agency Obligations | 22.8% | ||||
Other Bonds | 6.0% | ||||
Asset-Backed Securities | 0.6% | ||||
Collateralized Mortgage Obligations | 0.6% | ||||
Corporate Bonds/Notes | 0.6% | ||||
Positions in Purchased Options | 0.0% | ||||
Other Assets and Liabilities – Net | 12.9% | ||||
Net Assets | 100.0% |
Principal | Percent of | |||||||||||||||||
Amount | Value | Net Assets | ||||||||||||||||
CORPORATE BONDS/NOTES: 0.6% | ||||||||||||||||||
Financials: 0.5% | ||||||||||||||||||
$ | 590,000 | S | Bear Stearns Cos., Inc., 4.040%, due 03/10/14 | $ | 577,834 | 0.1 | ||||||||||||
445,000 | S | International Bank for Reconstruction & Development, 3.131%, due 12/10/13 | 445,872 | 0.1 | ||||||||||||||
800,000 | S | SLM Corp., 4.356%, due 01/31/14 | 668,408 | 0.1 | ||||||||||||||
1,650,000 | #,S | Suncorp-Metway Ltd., 0.914%, due 12/17/10 | 1,651,091 | 0.2 | ||||||||||||||
3,343,205 | 0.5 | |||||||||||||||||
Telecommunication Services: 0.1% | ||||||||||||||||||
1,105,000 | S | Cellco Partnership / Verizon Wireless Capital, LLC, 3.065%, due 05/20/11 | 1,129,913 | 0.1 | ||||||||||||||
Total Corporate Bonds/Notes (Cost $4,458,189) | 4,473,118 | 0.6 | ||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 22.8% | ||||||||||||||||||
Federal Home Loan Mortgage Corporation##: 7.6% | ||||||||||||||||||
50,800,000 | 4.500%, due 06/01/40 | 52,714,525 | 7.6 | |||||||||||||||
Federal National Mortgage Association##: 7.6% | ||||||||||||||||||
50,900,000 | 4.500%, due 06/01/40 | 52,858,057 | 7.6 | |||||||||||||||
Government National Mortgage Association: 7.6% | ||||||||||||||||||
50,516,744 | 4.500%, due 03/15/39 | 52,753,689 | 7.6 | |||||||||||||||
Total U.S. Government Agency Obligations (Cost $157,092,460) | 158,326,271 | 22.8 | ||||||||||||||||
U.S. TREASURY OBLIGATIONS: 56.5% | ||||||||||||||||||
U.S. Treasury Notes: 4.0% | ||||||||||||||||||
27,500,000 | 2.125%, due 05/31/15 | 27,977,015 | 4.0 | |||||||||||||||
24
Principal | Percent of | |||||||||||||||||
Amount | Value | Net Assets | ||||||||||||||||
Treasury Inflation Indexed Protected Securitiesip: 52.5% | ||||||||||||||||||
$ | 28,650,310 | 0.500%, due 04/15/15 | $ | 29,027,062 | 52.5 | |||||||||||||
3,723,462 | 0.625%, due 04/15/13 | 3,803,457 | ||||||||||||||||
3,383,977 | S | 1.250%, due 04/15/14 | 3,537,048 | |||||||||||||||
14,063,882 | S | 1.375%, due 07/15/18 | 14,595,679 | |||||||||||||||
438,545 | 1.375%, due 01/15/20 | 449,749 | ||||||||||||||||
13,399,152 | S | 1.625%, due 01/15/18 | 14,140,286 | |||||||||||||||
16,841,556 | S | 1.750%, due 01/15/28 | 17,125,757 | |||||||||||||||
20,954,664 | S | 1.875%, due 07/15/15 | 22,478,780 | |||||||||||||||
14,294,420 | 1.875%, due 07/15/19 | 15,346,404 | ||||||||||||||||
22,587,703 | S | 2.000%, due 01/15/16 | 24,396,481 | |||||||||||||||
16,382,785 | S | 2.000%, due 01/15/26 | 17,369,586 | |||||||||||||||
6,102,308 | 2.000%, due 04/15/12 | 6,326,379 | ||||||||||||||||
5,645,680 | 2.125%, due 01/15/19 | 6,169,666 | ||||||||||||||||
7,045,420 | 2.125%, due 02/15/40 | 7,745,009 | ||||||||||||||||
3,113,424 | S | 2.375%, due 01/15/17 | 3,441,062 | |||||||||||||||
29,486,752 | S | 2.375%, due 01/15/25 | 32,792,482 | |||||||||||||||
27,666,232 | S | 2.375%, due 01/15/27 | 30,722,493 | |||||||||||||||
768,852 | 2.375%, due 04/15/11 | 782,127 | ||||||||||||||||
15,213,534 | S | 2.500%, due 07/15/16 | 16,948,821 | |||||||||||||||
5,650,757 | 2.500%, due 01/15/29 | 6,404,336 | ||||||||||||||||
4,097,073 | 2.625%, due 07/15/17 | 4,626,812 | ||||||||||||||||
39,824,891 | S | 3.000%, due 07/15/12 | 42,397,936 | |||||||||||||||
5,281,346 | S | 3.375%, due 04/15/32 | 6,892,568 | |||||||||||||||
1,878,488 | 3.375%, due 01/15/12 | 1,981,512 | ||||||||||||||||
3,231,708 | 3.500%, due 01/15/11 | 3,287,507 | ||||||||||||||||
229,143 | S | 3.625%, due 04/15/28 | 297,259 | |||||||||||||||
23,138,491 | S | 3.875%, due 04/15/29 | 31,123,075 | |||||||||||||||
364,209,333 | 52.5 | |||||||||||||||||
Total U.S. Treasury Obligations (Cost $382,385,754) | 392,186,348 | 56.5 | ||||||||||||||||
ASSET-BACKED SECURITIES: 0.6% | ||||||||||||||||||
Automobile Asset-Backed Securities: 0.2% | ||||||||||||||||||
776,263 | S | Capital One Auto Finance Trust, 0.380%, due 05/15/13 | 771,214 | 0.1 | ||||||||||||||
403,113 | S | Ford Credit Auto Owner Trust, 2.350%, due 08/15/11 | 403,448 | 0.1 | ||||||||||||||
1,174,662 | 0.2 | |||||||||||||||||
Credit Card Asset-Backed Securities: 0.4% | ||||||||||||||||||
363,000 | S | BA Credit Card Trust, 0.360%, due 02/15/13 | 362,909 | 0.4 | ||||||||||||||
1,550,000 | S | BA Credit Card Trust, 0.370%, due 06/17/13 | 1,548,655 | |||||||||||||||
454,000 | S | BA Credit Card Trust, 1.550%, due 12/16/13 | 458,296 | |||||||||||||||
2,369,860 | 0.4 | |||||||||||||||||
Other Asset-Backed Securities: 0.0% | ||||||||||||||||||
285,835 | S | Countrywide Asset-Backed Certificates, 0.397%, due 07/25/37 | 277,847 | 0.0 | ||||||||||||||
Total Asset-Backed Securities (Cost $3,803,564) | 3,822,369 | 0.6 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.6% | ||||||||||||||||||
Collateralized Mortgage Obligations: 0.6% | ||||||||||||||||||
887,781 | S | Credit Suisse First Boston Mortgage Securities Corp., 6.505%, due 02/15/34 | 893,557 | 0.1 | ||||||||||||||
905,000 | S | GMAC Commercial Mortgage Securities, Inc., 4.547%, due 12/10/41 | 919,465 | 0.2 | ||||||||||||||
405,119 | S | GMAC Commercial Mortgage Securities, Inc., 6.957%, due 09/15/35 | 408,218 | |||||||||||||||
418,784 | S | JP Morgan Chase Commercial Mortgage Securities Corp., 6.044%, due 11/15/35 | 423,764 | 0.3 | ||||||||||||||
1,476,085 | S | JP Morgan Chase Commercial Mortgage Securities Corp., 6.429%, due 04/15/35 | 1,522,166 | |||||||||||||||
25
Principal | Percent of | |||||||||||||||||
Amount | Value | Net Assets | ||||||||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||||||||
$ | 41,703 | S | LB-UBS Commercial Mortgage Trust, 5.642%, due 12/15/25 | $ | 42,402 | 0.0 | ||||||||||||
Total Collateralized Mortgage Obligations (Cost $4,186,633) | 4,209,572 | 0.6 | ||||||||||||||||
OTHER BONDS: 6.0% | ||||||||||||||||||
Foreign Government Bonds: 6.0% | ||||||||||||||||||
EUR 14,989,698 | Deutschland Inflation Linked Bond, 1.500%, due 04/15/16 | 19,432,827 | 2.8 | |||||||||||||||
EUR 1,851,446 | Hellenic Republic Government International Bond, 2.300%, due 07/25/30 | 920,335 | 0.1 | |||||||||||||||
EUR 17,278,581 | Italy Buoni Poliennali Del Tesoro, 0.950%, due 09/15/10 | 21,117,072 | 3.1 | |||||||||||||||
Total Other Bonds (Cost $45,752,493) | 41,470,234 | 6.0 | ||||||||||||||||
No. of | Percent of | |||||||||||||||||
Contracts | Value | Net Assets | ||||||||||||||||
POSITIONS IN PURCHASED OPTIONS: 0.0% | ||||||||||||||||||
Options on Exchange-Traded Futures Contracts: 0.0% | ||||||||||||||||||
159 | Put Option CME 1-Year Eurodollar Future 07/10 Strike @ $98.500-Exp 07/16/10 | $ | 1,988 | 0.0 | ||||||||||||||
Total Positions in Purchased Options (Cost $43,216) | 1,988 | 0.0 | ||||||||||||||||
Total Investments in Securities (Cost $597,722,309)* | $ | 604,489,900 | 87.1 | |||||||||||||||
Other Assets and Liabilities - Net | 89,254,813 | 12.9 | ||||||||||||||||
Net Assets | $ | 693,744,713 | 100.0 | |||||||||||||||
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. | ||||||||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | |||||||||||||||||
ip | Treasury inflation indexed protected security whose principal value is adjusted in accordance with changes to the Consumer Price Index. | |||||||||||||||||
## | 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. | |||||||||||||||||
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. | |||||||||||||||||
EUR | EU Euro | |||||||||||||||||
* | Cost for federal income tax purposes is $598,192,253. | |||||||||||||||||
Net unrealized appreciation consists of: |
Gross Unrealized Appreciation | $ | 11,521,980 | ||
Gross Unrealized Depreciation | (5,224,333 | ) | ||
Net Unrealized Appreciation | $ | 6,297,647 | ||
26
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 4,473,118 | $ | — | $ | 4,473,118 | ||||||||
U.S. Government Agency Obligations | — | 158,326,271 | — | 158,326,271 | ||||||||||||
U.S. Treasury Obligations | — | 392,186,348 | — | 392,186,348 | ||||||||||||
Asset-Backed Securities | — | 3,822,369 | — | 3,822,369 | ||||||||||||
Collateralized Mortgage Obligations | — | 4,209,572 | — | 4,209,572 | ||||||||||||
Other Bonds | — | 41,470,234 | — | 41,470,234 | ||||||||||||
Positions In Purchased Options | 1,988 | — | — | 1,988 | ||||||||||||
Total Investments, at value | $ | 1,988 | $ | 604,487,912 | $ | — | $ | 604,489,900 | ||||||||
Other Financial Instruments+: | ||||||||||||||||
Forward foreign currency contracts | — | 704,746 | — | 704,746 | ||||||||||||
Futures | 834,429 | — | — | 834,429 | ||||||||||||
Swaps, at value | — | 5,218,352 | — | 5,218,352 | ||||||||||||
Total Assets | $ | 836,417 | $ | 610,411,010 | $ | — | $ | 611,247,427 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+: | ||||||||||||||||
Futures | $ | (2,632,407 | ) | $ | — | $ | — | $ | (2,632,407 | ) | ||||||
Swaps, at value | — | (3,657,505 | ) | — | (3,657,505 | ) | ||||||||||
Total Liabilities | $ | (2,632,407 | ) | $ | (3,657,505 | ) | $ | — | $ | (6,289,912 | ) | |||||
* | 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 reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Fund. Swaps and written options are reported at their market value at measurement date. |
Unrealized | ||||||||||||||||
Number | Appreciation/ | |||||||||||||||
Contract Description | of Contracts | Expiration Date | Market Value | (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
Euro-Bund | 8 | 09/08/10 | $ | 1,265,799 | $ | 9,660 | ||||||||||
U.S. Treasury 2-Year Note | 53 | 09/30/10 | 11,597,890 | 35,492 | ||||||||||||
U.S. Treasury 10-Year Note | 562 | 09/21/10 | 68,871,347 | 789,277 | ||||||||||||
$ | 81,735,036 | $ | 834,429 | |||||||||||||
Short Contracts | ||||||||||||||||
Euro-Bobl 5-Year | 157 | 09/08/10 | $ | 23,213,253 | $ | (55,238 | ) | |||||||||
U.S. Treasury 5-Year Note | 1,861 | 09/30/10 | 220,252,253 | (2,447,775 | ) | |||||||||||
U.S. Treasury Long Bond | 56 | 09/21/10 | 7,140,000 | (129,394 | ) | |||||||||||
$ | 250,605,506 | $ | (2,632,407 | ) | ||||||||||||
In | ||||||||||||||||||||||
Settlement | Exchange | Unrealized | ||||||||||||||||||||
Currency | Buy/Sell | Date | For | Value | Appreciation | |||||||||||||||||
EU Euro | EUR 17,834,200 | SELL | 07/14/10 | $ | 22,382,064 | $ | 21,810,093 | $ | 571,971 | |||||||||||||
EU Euro | EUR 15,944,000 | SELL | 07/14/10 | 19,631,273 | 19,498,498 | 132,775 | ||||||||||||||||
$ | 704,746 | |||||||||||||||||||||
27
Unrealized | ||||||||||||||||||||
Termination | Notional | Market | Upfront Premium | Appreciation/ | ||||||||||||||||
Date | Amount | Value | Paid/(Received) | (Depreciation) | ||||||||||||||||
Receive a fixed rate equal to 2.2567% and pay a floating rate based on 3-month USD-LIBOR-BBA Counterparty: Citibank N.A., New York | 06/21/15 | USD | 46,600,000 | $ | 456,731 | $ | — | $ | 456,731 | |||||||||||
Receive a fixed rate equal to 1.4100% and pay a floating rate based on 3-month USD-LIBOR-BBA Counterparty: Deutsche Bank AG, New York | 06/08/11 | USD | 26,500,000 | 170,726 | — | 170,726 | ||||||||||||||
Receive a fixed rate equal to 1.5950% and pay a floating rate based on 3-month USD-LIBOR-BBA Counterparty: Deutsche Bank AG, New York | 02/04/11 | USD | 7,500,000 | 42,984 | — | 42,984 | ||||||||||||||
Receive a fixed rate equal to 3.6925% and pay a floating rate based on 3-month USD-LIBOR-BBA Counterparty: Deutsche Bank AG, New York | 02/09/20 | USD | 18,100,000 | 1,114,745 | — | 1,114,745 | ||||||||||||||
Receive a fixed rate equal to 3.7530% and pay a floating rate based on 3-month USD-LIBOR-BBA Counterparty: Deutsche Bank AG, New York | 05/04/20 | USD | 21,200,000 | 1,394,226 | — | 1,394,226 | ||||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.1900% Counterparty: Barclays Bank PLC | 06/29/20 | USD | 7,000,000 | (726,571 | ) | — | (726,571 | ) | ||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.4630% Counterparty: Barclays Bank PLC | 01/08/18 | USD | 3,000,000 | (374,376 | ) | — | (374,376 | ) | ||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.6380% Counterparty: Deutsche Bank AG, New York | 03/08/20 | USD | 18,300,000 | (1,033,600 | ) | — | (1,033,600 | ) | ||||||||||||
Receive a floating rate based on 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.9400% Counterparty: Deutsche Bank AG, New York | 04/09/20 | USD | 18,500,000 | (1,522,958 | ) | — | (1,522,958 | ) | ||||||||||||
$ | (478,093 | ) | $ | — | $ | (478,093 | ) | |||||||||||||
Termination | Notional | Market | Upfront Premium | Unrealized | ||||||||||||||||
Date | Amount | Value | Paid/(Received) | Appreciation | ||||||||||||||||
Receive positive total return on Barclays Capital US Treasury Inflation Linked Notes — Series L Index. Pay a floating rate based on 1-month USD-LIBOR-BBA plus 10 bps and, if negative, the absolute value of the total return on the index. Counterparty: Barclays Bank PLC, London | 07/19/10 | USD | 180,258,843 | $ | 2,038,940 | $ | — | $ | 2,038,940 | |||||||||||
$ | 2,038,940 | $ | — | $ | 2,038,940 | |||||||||||||||
Derivatives not accounted for | ||||||
as hedging instruments | ||||||
under FASB ASC 815 | Location on Statement of Assets and Liabilities | Fair Value | ||||
Asset Derivatives | ||||||
Interest rate contracts | Investments* | $ | 1,988 | |||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 704,746 | ||||
Interest rate contracts | Swaps, at value | 5,218,352 | ||||
Interest rate contracts | Net Assets — Unrealized appreciation** | 834,429 | ||||
Total Asset Derivatives | $ | 6,759,515 | ||||
Liability Derivatives | ||||||
Interest rate contracts | Swaps, at value | $ | 3,657,505 | |||
Interest rate contracts | Net Assets — Unrealized depreciation** | 2,632,407 | ||||
Total Liability Derivatives | $ | 6,289,912 | ||||
* | Includes purchased options. |
** | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
28
Amount of Realized Gain or (Loss) | ||||||||||||||||||||||||
on Derivatives Recognized in Income | ||||||||||||||||||||||||
Foreign | ||||||||||||||||||||||||
Derivatives not accounted for | Currency | |||||||||||||||||||||||
as hedging instruments | Related | Written | ||||||||||||||||||||||
under FASB ASC 815 | Investments* | Transactions** | Futures | Swaps | Options | Total | ||||||||||||||||||
Foreign exchange contracts | $ | — | $ | 4,391,481 | $ | — | $ | — | $ | — | $ | 4,391,481 | ||||||||||||
Interest rate contracts | (184,286 | ) | — | 1,549,524 | 2,355,148 | 734,141 | 4,454,527 | |||||||||||||||||
Total | $ | (184,286 | ) | $ | 4,391,481 | $ | 1,549,524 | $ | 2,355,148 | $ | 734,141 | $ | 8,846,008 | |||||||||||
Change in Unrealized | ||||||||||||||||||||||||
Appreciation or (Depreciation) | ||||||||||||||||||||||||
on Derivatives Recognized in Income | ||||||||||||||||||||||||
Foreign | ||||||||||||||||||||||||
Derivatives not accounted for | Currency | |||||||||||||||||||||||
as hedging instruments | Related | Written | ||||||||||||||||||||||
under FASB ASC 815 | Investments* | Transactions** | Futures | Swaps | Options | Total | ||||||||||||||||||
Foreign exchange contracts | $ | — | $ | 537,549 | $ | — | $ | — | $ | — | $ | 537,549 | ||||||||||||
Interest rate contracts | (294,526 | ) | — | (2,322,144 | ) | 1,792,319 | (139,233 | ) | (963,584 | ) | ||||||||||||||
Total | $ | (294,526 | ) | $ | 537,549 | $ | (2,322,144 | ) | $ | 1,792,319 | $ | (139,233 | ) | $ | (426,035 | ) | ||||||||
* | 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. |
29
(as a percent of net assets)
Structured Products | 29.5% | ||||
U.S. Government Agency Obligations | 16.6% | ||||
Corporate Bonds/Notes | 4.4% | ||||
U.S. Treasury Obligations | 1.7% | ||||
Other Assets and Liabilities – Net* | 47.8% | ||||
Net Assets | 100.0% |
* | Includes short-term investments related to ING Institutional Prime Money Market Fund – Class I and U.S. Treasury Bill. |
Principal | Percent of | |||||||||||||||||
Amount | Value | Net Assets | ||||||||||||||||
CORPORATE BONDS/NOTES: 4.4% | ||||||||||||||||||
Financials: 4.4% | ||||||||||||||||||
$ | 4,500,000 | S | Huntington National Bank, 0.938%, due 06/01/12 | $ | 4,548,245 | 4.4 | ||||||||||||
Total Corporate Bonds/Notes (Cost $4,543,880) | 4,548,245 | 4.4 | ||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 16.6% | ||||||||||||||||||
Federal Home Loan Bank: 3.4% | ||||||||||||||||||
3,500,000 | S | 0.268%, due 10/13/11 | 3,503,073 | 3.4 | ||||||||||||||
Federal Home Loan Mortgage Corporation##: 3.9% | ||||||||||||||||||
819,717 | S | 4.500%, due 07/15/22 | 866,112 | 3.9 | ||||||||||||||
5,955 | S | 5.000%, due 11/01/16 | 6,395 | |||||||||||||||
11,050 | S | 5.000%, due 01/01/17 | 11,868 | |||||||||||||||
24,928 | S | 5.000%, due 02/01/17 | 26,776 | |||||||||||||||
14,309 | S | 5.000%, due 03/01/17 | 15,371 | |||||||||||||||
44,881 | S | 5.000%, due 04/01/17 | 48,222 | |||||||||||||||
126,311 | S | 5.000%, due 09/01/17 | 135,714 | |||||||||||||||
333,959 | S | 5.000%, due 10/01/17 | 358,730 | |||||||||||||||
290,614 | S | 5.000%, due 11/01/17 | 312,076 | |||||||||||||||
86,817 | S | 5.000%, due 12/01/17 | 93,283 | |||||||||||||||
429,617 | S | 5.000%, due 01/01/18 | 461,534 | |||||||||||||||
494,045 | S | 5.000%, due 02/01/18 | 530,892 | |||||||||||||||
347,958 | S | 5.000%, due 03/01/18 | 373,948 | |||||||||||||||
149,929 | S | 5.000%, due 04/01/18 | 161,117 | |||||||||||||||
146,876 | S | 5.000%, due 05/01/18 | 157,844 | |||||||||||||||
26,699 | S | 5.000%, due 06/01/18 | 28,696 | |||||||||||||||
38,693 | S | 5.000%, due 07/01/18 | 41,586 | |||||||||||||||
17,294 | S | 5.000%, due 09/01/18 | 18,587 | |||||||||||||||
32,370 | S | 5.000%, due 10/01/18 | 34,790 | |||||||||||||||
35,058 | S | 5.000%, due 11/01/18 | 37,679 | |||||||||||||||
26,856 | S | 5.000%, due 12/01/18 | 28,864 | |||||||||||||||
7,299 | S | 5.000%, due 01/01/19 | 7,845 | |||||||||||||||
8,158 | S | 5.000%, due 03/01/19 | 8,768 | |||||||||||||||
177,972 | S | 5.500%, due 01/01/20 | 193,391 | |||||||||||||||
77,113 | S | 5.500%, due 05/01/20 | 83,794 | |||||||||||||||
67,387 | S | 5.500%, due 07/01/20 | 73,226 | |||||||||||||||
4,117,108 | 3.9 | |||||||||||||||||
30
Principal | Percent of | |||||||||||||||||
Amount | Value | Net Assets | ||||||||||||||||
Federal National Mortgage Association##: 9.3% | ||||||||||||||||||
$ | 7,100,000 | S | 2.000%, due 09/28/12 | $ | 7,124,623 | 9.3 | ||||||||||||
283,622 | S | 5.000%, due 05/01/17 | 305,094 | |||||||||||||||
109,455 | S | 5.000%, due 01/01/18 | 117,741 | |||||||||||||||
39,273 | S | 5.000%, due 03/01/18 | 42,246 | |||||||||||||||
233,262 | S | 5.000%, due 04/01/18 | 250,921 | |||||||||||||||
141,564 | S | 5.000%, due 05/01/18 | 152,281 | |||||||||||||||
180,488 | S | 5.000%, due 10/01/18 | 194,151 | |||||||||||||||
1,355,625 | S | 5.000%, due 08/25/19 | 1,454,862 | |||||||||||||||
8,869 | S | 5.000%, due 01/01/20 | 9,526 | |||||||||||||||
9,651,445 | 9.3 | |||||||||||||||||
Total U.S. Government Agency Obligations (Cost $17,156,546) | 17,271,626 | 16.6 | ||||||||||||||||
U.S. TREASURY OBLIGATIONS: 1.7% | ||||||||||||||||||
U.S. Treasury Notes: 1.7% | ||||||||||||||||||
1,500,000 | S | 1.000%, due 03/31/12 | 1,511,604 | 1.7 | ||||||||||||||
100,000 | S | 1.375%, due 02/15/13 | 101,328 | |||||||||||||||
200,000 | S | 2.125%, due 05/31/15 | 203,469 | |||||||||||||||
Total U.S. Treasury Obligations (Cost $1,798,502) | 1,816,401 | 1.7 | ||||||||||||||||
STRUCTURED PRODUCTS: 29.5% | ||||||||||||||||||
Structured Products: 29.5% | ||||||||||||||||||
4,200,000 | S | AB Svensk Exportkredit, Dow Jones-UBS Commodity Index-Total ReturnSM, 0.046%, due 01/24/11 | 3,333,375 | 10.7 | ||||||||||||||
3,000,000 | S | AB Svensk Exportkredit, Dow Jones-UBS Commodity Index-Total ReturnSM, 0.160%, due 02/14/11 | 1,909,179 | |||||||||||||||
7,500,000 | S | AB Svensk Exportkredit, Merrill Lynch Commodity Index Extra A 01 Total Return Index, 0.090%, due 06/07/11 | 5,931,216 | |||||||||||||||
5,000,000 | S | Bank of America Corp., Merrill Lynch Commodity Index Extra A 01 Total Return Index, 0.251%, due 06/07/11 | 3,954,144 | 3.8 | ||||||||||||||
5,000,000 | S | Morgan Stanley, Dow Jones-UBS Commodity Index-Total ReturnSM, 0.000%, due 07/01/11 | 5,287,172 | 5.1 | ||||||||||||||
9,500,000 | #,S | Rabobank, Dow Jones-UBS Commodity Index-Total ReturnSM, 0.000%, due 04/29/11 | 8,411,633 | 8.1 | ||||||||||||||
3,000,000 | S | UBS AG, Dow Jones-UBS Commodity Index-Total ReturnSM, 0.200%, due 02/16/11 | 1,913,346 | 1.8 | ||||||||||||||
Total Structured Products (Cost $37,200,030) | 30,740,065 | 29.5 | ||||||||||||||||
Total Long-Term Investments (Cost $60,698,958) | 54,376,337 | 52.2 | ||||||||||||||||
Percent of | ||||||||||||||||||
Shares | Value | Net Assets | ||||||||||||||||
SHORT-TERM INVESTMENTS: 47.8% | ||||||||||||||||||
Affiliated Mutual Fund: 27.6% | ||||||||||||||||||
28,707,630 | ING Institutional Prime Money Market Fund — Class I | $ | 28,707,629 | 27.6 | ||||||||||||||
Total Mutual Fund (Cost $28,707,629) | 28,707,629 | 27.6 | ||||||||||||||||
31
Principal | Percent of | |||||||||||||||||
Amount | Value | Net Assets | ||||||||||||||||
U.S. Treasury Bills: 20.2% | ||||||||||||||||||
$ | 21,000,000 | 0.040%, due 07/15/10 | $ | 20,999,563 | 20.2 | |||||||||||||
Total U.S. Treasury Bills (Cost $20,999,563) | 20,999,563 | 20.2 | ||||||||||||||||
Total Short-Term Investments (Cost $49,707,192) | 49,707,192 | 47.8 | ||||||||||||||||
Total Investments in Securities (Cost $110,406,150)* | $ | 104,083,529 | 100.0 | |||||||||||||||
Other Assets and Liabilities - Net | (30,155 | ) | — | |||||||||||||||
Net Assets | $ | 104,053,374 | 100.0 | |||||||||||||||
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. | ||||||||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | |||||||||||||||||
## | 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. | |||||||||||||||||
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. | |||||||||||||||||
* | Cost for federal income tax purposes is the same as for financial statement purposes. | |||||||||||||||||
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 432,533 | ||
Gross Unrealized Depreciation | (6,755,154 | ) | ||
Net Unrealized Depreciation | $ | (6,322,621 | ) | |
32
Quoted Prices | Significant | |||||||||||||||
in Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Fair Value | |||||||||||||
Investments | Inputs | Inputs | at | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | 6/30/2010 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at value | ||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 4,548,245 | $ | — | $ | 4,548,245 | ||||||||
U.S. Government Agency Obligations | — | 17,271,626 | — | 17,271,626 | ||||||||||||
U.S. Treasury Obligations | — | 1,816,401 | — | 1,816,401 | ||||||||||||
Structured Products | — | — | 30,740,065 | 30,740,065 | ||||||||||||
Short-Term Investments | 28,707,629 | 20,999,563 | — | 49,707,192 | ||||||||||||
Total Investments, at value | $ | 28,707,629 | $ | 44,635,835 | $ | 30,740,065 | $ | 104,083,529 | ||||||||
Other Financial Instruments+: | ||||||||||||||||
Futures | 90,029 | — | — | 90,029 | ||||||||||||
Total Assets | $ | 28,797,658 | $ | 44,635,835 | $ | 30,740,065 | $ | 104,173,558 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+: | ||||||||||||||||
Futures | $ | (147,089 | ) | $ | — | $ | — | $ | (147,089 | ) | ||||||
Total Liabilities | $ | (147,089 | ) | $ | — | $ | — | $ | (147,089 | ) | ||||||
Total | ||||||||||||||||||||||||||||||||||||
Beginning | Accrued | Total | Unrealized | Transfers | Transfers | Ending | ||||||||||||||||||||||||||||||
Balance | Discounts/ | Realized | Appreciation/ | Into | Out of | Balance | ||||||||||||||||||||||||||||||
12/31/2009 | Purchases | Sales | (Premiums) | Gain/(Loss) | (Depreciation) | Level 3 | Level 3 | 6/30/2010 | ||||||||||||||||||||||||||||
Asset Table | ||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||
Structured Products | $ | 32,038,963 | $ | 33,000,000 | $ | (25,586,411 | ) | $ | — | $ | 11,486,411 | $ | (20,198,898 | ) | $ | — | $ | — | $ | 30,740,065 | ||||||||||||||||
Total Investments, at value | $ | 32,038,963 | $ | 33,000,000 | $ | (25,586,411 | ) | $ | — | $ | 11,486,411 | $ | (20,198,898 | ) | $ | — | $ | — | $ | 30,740,065 | ||||||||||||||||
* | 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 reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Fund. Swaps and written options are reported at their market value at measurement date. |
33
Number | Unrealized | |||||||||||||||
Contract Description | of Contracts | Expiration Date | Market Value | Appreciation/(Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
90-Day Eurodollar | 23 | 09/13/10 | $ | 5,712,338 | $ | 74,850 | ||||||||||
U.S. Treasury Long Bond | 3 | 09/21/10 | 382,293 | 8,576 | ||||||||||||
$ | 6,094,631 | $ | 83,426 | |||||||||||||
Short Contracts | ||||||||||||||||
90-Day Eurodollar | 15 | 12/13/10 | $ | 3,721,125 | $ | (8,441 | ) | |||||||||
90-Day Eurodollar | 14 | 03/14/11 | 3,470,600 | (38,568 | ) | |||||||||||
90-Day Eurodollar | 5 | 06/13/11 | 1,238,250 | (6,637 | ) | |||||||||||
90-Day Eurodollar | 5 | 09/19/11 | 1,236,437 | (9,449 | ) | |||||||||||
90-Day Eurodollar | 5 | 12/19/11 | 1,233,875 | (11,294 | ) | |||||||||||
90-Day Eurodollar | 5 | 03/19/12 | 1,231,375 | (12,700 | ) | |||||||||||
U.S. Treasury 5-Year Note | 48 | 09/30/10 | 5,674,272 | 6,603 | ||||||||||||
U.S. Treasury 10-Year Note | 33 | 09/21/10 | 2,818,752 | (60,000 | ) | |||||||||||
$ | 20,624,686 | $ | (140,486 | ) | ||||||||||||
Derivatives not accounted for | ||||||
as hedging instruments | ||||||
under FASB ASC 815 | Location on Statement of Assets and Liabilities | Fair Value | ||||
Asset Derivatives | ||||||
Interest rate contracts | Net Assets — Unrealized appreciation* | $ | 90,029 | |||
Total Asset Derivatives | $ | 90,029 | ||||
Liability Derivatives | ||||||
Interest rate contracts | Net Assets — Unrealized depreciation* | $ | 147,089 | |||
Total Liability Derivatives | $ | 147,089 | ||||
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
Derivatives not accounted for | Amount of Realized Gain or (Loss) | |||
as hedging instruments | on Derivatives Recognized in Income | |||
under FASB ASC 815 | Futures | |||
Interest rate contracts | $ | (257,405 | ) | |
Total | $ | (257,405 | ) | |
Change in Unrealized | ||||
Derivatives not accounted | Appreciation or (Depreciation) | |||
for as hedging instruments | on Derivatives Recognized in Income | |||
under FASB ASC 815 | Futures | |||
Interest rate contracts | $ | (215,775 | ) | |
Total | $ | (215,775 | ) | |
34
Table of Contents
Semi-Annual Report
June 30, 2010
Adviser (“ADV”), Institutional (“I”) and Service (“S”) Classes
ING Investors Trust
n | ING DFA Global All Equity Portfolio (formerly, ING Focus 5 Portfolio) |
n | ING DFA Global Allocation Portfolio |
n | ING Franklin Templeton Founding Strategy Portfolio |
n | ING Oppenheimer Active Allocation 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 fund’s investment objectives, risks, charges, expenses and other information. This information should be read carefully.
MUTUAL FUNDS |
Table of Contents
1 | ||
2 | ||
4 | ||
6 | ||
7 | ||
8 | ||
10 | ||
12 | ||
22 | ||
29 | ||
30 |
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.ingfunds.com; and (3) on the U.S. Securities and Exchange Commission’s (“SEC”) 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.ingfunds.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. 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; and is available upon request from the Portfolio by calling Shareholder Services toll-free at (800) 992-0180.
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Pay now and/or later
Dear Shareholder,
It’s summer, and it’s hot — 100 degrees has not been uncommon here on the East Coast — with no relief in the forecast. Do you turn up the air conditioning, knowing it will cost a fortune on your next electric bill? Or do you try to tough it out, sweltering to save money? Most of us would probably choose the immediate comfort of the A/C; the bill will come later.
The current heat wave thus presents a timely comparison to the trade-offs confronting policymakers as they consider the global economy. How do we balance the short-term need to sustain a fragile economic recovery against the long-term need to reduce deficits and debt? As with the heat, unless we make it through the short term, the
long term won’t matter much. But spending on economic stimulus in the short term could add to our long-term debt burden.
Most of the world is facing the same issues. Fiscal austerity programs are being implemented across Europe, and not just in those countries at most immediate risk of default. In the United States, there is as of yet no clear course of action. Expect to hear about this in the fall, as the gentle breezes of summer give way to the hot winds of electoral politics. We believe that for the next several months, markets will see heightened volatility as investors worldwide seek assurance that the global recovery remains on track. On the bright side, we expect corporate profits to continue to exceed expectations.
Confronted with this type of uncertainty, what do you do? Keep your options open — consider investing in funds that provide diversification geographically across markets and seek investment managers that are skilled at anticipating changes in correlations and risks among asset classes. And of course, discuss any proposed portfolio changes with your investment advisor before you take action.
Thank you for your continued confidence in ING Funds. We look forward to serving your investment needs in the future.
Sincerely,
Shaun Mathews
President and Chief Executive Officer
ING Funds
July 10, 2010
The views expressed in the President’s Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and ING Funds disclaims any responsibility to update such views. These views may not be relied on as investment advice and because investment decisions for an ING Fund are based on numerous factors, may not be relied on as an indication of investment intent on behalf of any ING Fund. Reference to specific company securities should not be construed as recommendations or investment advice.
International investing poses special risks including currency fluctuation, economic and political risks not found in investments that are solely domestic.
1
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MARKET PERSPECTIVE: SIX MONTHS ENDED JUNE 30, 2010
After a 13-month advance through mid-April, a confluence of local and world concerns sent global equities, in the form of the MSCI World IndexSM measured in local currencies, including net reinvested dividends (“MSCI” for regions discussed below), on a steeply downward path. For the first half of the new fiscal year, the index fell 7.1% to closing levels not seen since October 2, 2009. (The MSCI World IndexSM returned (9.84)% for the six months ended June 30, 2010, measured in U.S. dollars.)
By the end of 2009, the rally had become increasingly edgy. The rescue of failing institutions by governments and central banks in Europe and the U.S. together with unprecedented fiscal and monetary stimulus to counter the ensuing recession had led to enormous, unsustainable budget deficits. Not only would stimulus programs end, but debt would need to be wound down.
Beacons of hope in this rather bleak outlook were thought to be the U.S. and emerging markets, centered on China. The U.S. with its vast, dynamic, flexible economy would surely bounce back most quickly in the developed world. Emerging market economies, more fiscally robust these days, had never suffered much of a financial crisis and recession anyway and were again showing vibrant growth. The demand for capital goods from China might sustain Japan’s export led revival, while in Europe, growth may be tepid but at least the situation was stable. By early May all of these premises were disintegrating, the erosion gathering pace through June.
In the U.S., the critical housing market seemed to be improving, boosted by tax credits for home buyers. After sliding for more than three years, house prices (based on the S&P/Case-Shiller 20-City Composite Home Price Index) finally showed year-over-year increases from February. But even before the credits expired, sales of existing homes turned down. And in May, sales of new homes fell by one third from April, to the lowest rate since at least 1963. Unemployment remained stubbornly high, near 10%. The June report showed only 41,000 private sector jobs created, with annual wage growth below 2%. The final estimate of Gross Domestic Product (“GDP”) growth for the first quarter was revised down to 2.7% annualized. And excluding inventory build-up, real final demand expanded at just 0.8% per annum. Retail sales unexpectedly dipped in May. Some commentators also cited trends in the bond market (see below) and pointed to a double-dip recession.
China had grown at “only” 8.7% in 2009. In response, the government instructed the banks to expand lending and first quarter GDP growth rebounded to 11.9%. But inflation picked up and a housing bubble developed. The authorities quickly back-pedaled and repeatedly raised banks’ reserve ratio requirements. By the end of June the increasingly closely-watched Chinese manufacturing purchasing managers’ index was weakening. The unofficial version compiled by HSBC plumbed a 12-month low.
In the Eurozone, default on billions of euro of Greece’s maturing bonds loomed. Amid downgrades and ballooning yields, Eurozone countries, with no single voice, dithered on the need for a bail-out, its size, terms and the involvement of the International Monetary Fund (“IMF”). Many expected contagion and even doubted the viability of the euro itself. At last on the weekend of May 8-9, Eurozone finance ministers agreed on a Financial Stabilization mechanism funded with €500 billion, while the IMF would add up to €250 billion. The European Central Bank started buying sovereign debt and by then it was abundantly clear that the real problem was that vast quantities of the debt were held in the banking system, which might seize up as a result. In short, another “Lehman” event was feared.
In U.S. fixed income markets, the Barclays Capital U.S. Aggregate Bond Index of investment grade bonds returned 5.33%, with the Barclays Capital U.S. Treasury Index (which returned 5.86%) slightly outperforming the Barclays Capital Corporate Investment Grade Bond Index (which returned 5.79%). The Barclays Capital High Yield Bond — 2% Issuer Constrained Composite Index gained 4.45%. In the flight to safety, the two-year Treasury yield reached a record low, while the difference between the yields on two-year and ten-year Treasuries, having set new record high levels in February, fell back to October 2009 spreads by the end of June.
U.S. equities, represented by the S&P 500® Index including dividends, fell 6.65% in the first half. Through early April, the economic reports seemed to be improving. Stock prices were also supported by strong earnings reports, with first quarter operating earnings per share for S&P 500® companies coming in about 92% above those for the corresponding quarter of 2009. The index peaked on April 23, up over 9% for the year, before factors described above drove investor sentiment and the market back down amid surging volatility.
2
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MARKET PERSPECTIVE: SIX MONTHS ENDED JUNE 30, 2010
In currencies, the scenario described above in the Eurozone propelled the dollar up 17.4% on the euro. The dollar also gained 5.7% against the pound but lost 3.9% to the Japanese yen.
In international markets, the MSCI Japan® Index dropped 7.5% for the first half of the year. The last thing export dependent Japan needed was a double-dip recession in the developed economies. Impressive 5% annualized first quarter GDP growth was considered vulnerable with household demand still slow and consumer prices drifting down. The MSCI Europe ex UK® Index fell 6.2%. As in the U.S., the first few weeks of April saw the 2010 high point for the index before the peril inherent in shaky sovereign debt captured the attention of investors. The MSCI UK® Index lost 7.6%, with BP contributing over 3% of it. The newly elected coalition government introduced an aggressively austere budget that would reduce the
deficit to 3.9% by 2015, but this would have a depressing effect on growth and profits.
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.ingfunds.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.
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. |
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Table of Contents
SHAREHOLDER EXPENSE EXAMPLES (UNAUDITED)
As a shareholder of the Portfolios, 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 the Portfolios 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, 2010 to June 30, 2010. 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 the Portfolios’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolios’ 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 the Portfolios 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 | Ending | Annualized | Expenses Paid | Beginning | Ending | Annualized | Expenses Paid | |||||||||||||||||
ING DFA Global All Equity Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 980.00 | 1.01 | % | $ | 4.96 | $ | 1,000.00 | $ | 1,019.79 | 1.01 | % | $ | 5.06 | ||||||||
Class I | 1,000.00 | 983.00 | 0.26 | 1.28 | 1,000.00 | 1,023.51 | 0.26 | 1.30 | ||||||||||||||||
Class S | 1,000.00 | 981.50 | 0.51 | 2.51 | 1,000.00 | 1,022.27 | 0.51 | 2.56 | ||||||||||||||||
ING DFA Global Allocation Portfolio | ||||||||||||||||||||||||
Class ADV(1) | $ | 1,000.00 | $ | 914.00 | 1.05 | % | $ | 1.71 | $ | 1,000.00 | $ | 1,019.59 | 1.05 | % | $ | 5.26 | ||||||||
Class I(1) | 1,000.00 | 915.00 | 0.45 | 0.73 | 1,000.00 | 1,022.56 | 0.45 | 2.26 | ||||||||||||||||
Class S(1) | 1,000.00 | 915.00 | 0.70 | 1.14 | 1,000.00 | 1,021.32 | 0.70 | 3.51 | ||||||||||||||||
ING Franklin Templeton Founding Strategy Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 941.90 | 0.68 | % | $ | 3.27 | $ | 1,000.00 | $ | 1,021.42 | 0.68 | % | $ | 3.41 | ||||||||
Class I | 1,000.00 | 943.60 | 0.08 | 0.39 | 1,000.00 | 1,024.40 | 0.08 | 0.40 | ||||||||||||||||
Class S | 1,000.00 | 943.30 | 0.33 | 1.59 | 1,000.00 | 1,023.16 | 0.33 | 1.66 | ||||||||||||||||
ING Oppenheimer Active Allocation Portfolio | ||||||||||||||||||||||||
Class S | $ | 1,000.00 | $ | 956.70 | 0.70 | % | $ | 3.40 | $ | 1,000.00 | $ | 1,021.32 | 0.70 | % | $ | 3.51 |
* | Expense ratios do not include expenses of the underlying funds. |
** | Expenses are equal to the Portfolios’ 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. |
(1) | Commencement of operation was April 30, 2010. Expenses paid for the Actual Portfolio Return reflect the 62-day period ended June 30, 2010. |
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SHAREHOLDER EXPENSE EXAMPLES (UNAUDITED) (CONTINUED)
Effective April 30, 2010, the contractual obligations for the following Portfolio had changed. If these changes had been in place during the entire six-month period, actual and hypothetical ending account balances annualized expense ratios and expenses paid would have been as follows:
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||
Beginning | Ending | Annualized | Expenses Paid During | Beginning Value | Ending | Annualized | Expenses Paid | |||||||||||||||||
ING DFA Global All Equity Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 980.00 | 1.05 | % | $ | 5.15 | $ | 1,000.00 | $ | 1,019.59 | 1.05 | % | $ | 5.26 | ||||||||
Class I | 1,000.00 | 983.00 | 0.45 | 2.21 | 1,000.00 | 1,022.56 | 0.45 | 2.26 | ||||||||||||||||
Class S | 1,000.00 | 981.50 | 0.70 | 3.44 | 1,000.00 | 1,021.32 | 0.70 | 3.51 |
* | Expense ratios do not include expenses of the underlying funds. |
** | Expenses are equal to the Portfolios’ 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. |
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Table of Contents
STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED)
ING DFA Global All Equity Portfolio | ING DFA Global Allocation Portfolio | ING Franklin Templeton Founding Strategy Portfolio | ING Oppenheimer Active Allocation Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities at value* | $ | 8,663 | $ | — | $ | — | $ | — | ||||||||
Investments in affiliated underlyling funds** | — | — | 784,886,885 | — | ||||||||||||
Investments in non-affiliated underlying funds*** | 149,812,146 | 22,967,522 | — | 32,086,611 | ||||||||||||
Short-term investments**** | — | — | — | 1,105,516 | ||||||||||||
Short-term investments in affiliates***** | 957,122 | 81,318 | — | — | ||||||||||||
Foreign currencies at value****** | 47,085 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 128,867 | — | — | 24,390 | ||||||||||||
Fund shares sold | 438,880 | — | 477,242 | 65,187 | ||||||||||||
Dividends and interest | 28,797 | 33 | — | — | ||||||||||||
Prepaid expenses | 732 | 15,929 | 3,996 | 113 | ||||||||||||
Reimbursement due from manager | 32,809 | 9,466 | — | 1,942 | ||||||||||||
Total assets | 151,455,101 | 23,074,268 | 785,368,123 | 33,283,759 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 394 | — | 477,242 | 55,164 | ||||||||||||
Payable for fund shares redeemed | 162 | — | — | 1,884 | ||||||||||||
Payable to affiliates | 48,357 | 18,338 | 200,085 | 16,659 | ||||||||||||
Payable to custodian due to bank overdraft | — | — | — | 16,554 | ||||||||||||
Payable for trustee fees | 3,792 | 59 | 3,469 | 155 | ||||||||||||
Other accrued expenses and liabilities | 56,642 | 20,266 | 118,403 | 51,644 | ||||||||||||
Total liabilities | 109,347 | 38,663 | 799,199 | 142,060 | ||||||||||||
NET ASSETS | $ | 151,345,754 | $ | 23,035,605 | $ | 784,568,924 | $ | 33,141,699 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||
Paid-in capital | $ | 213,545,915 | $ | 25,180,486 | $ | 986,847,990 | $ | 30,771,722 | ||||||||
Undistributed net investment income | 4,860,610 | 33,635 | 20,212,469 | 227,865 | ||||||||||||
Accumulated net realized loss | (43,799,497 | ) | (879 | ) | (107,885,166 | ) | (180,034 | ) | ||||||||
Net unrealized appreciation or depreciation | (23,261,274 | ) | (2,177,637 | ) | (114,606,369 | ) | 2,322,146 | |||||||||
NET ASSETS | $ | 151,345,754 | $ | 23,035,605 | $ | 784,568,924 | $ | 33,141,699 | ||||||||
| ||||||||||||||||
* Cost of investments in securities | $ | 4,396 | $ | — | $ | — | $ | — | ||||||||
** Cost of investments in affiliated underlying funds | $ | — | $ | — | $ | 899,493,254 | $ | — | ||||||||
*** Cost of investments in non-affiliated underlying funds | $ | 173,076,111 | $ | 25,145,159 | $ | — | $ | 29,764,465 | ||||||||
****Cost of short-term investments | $ | — | $ | — | $ | — | $ | 1,105,516 | ||||||||
*****Cost of short-term investments in affiliates | $ | 957,122 | $ | 81,318 | $ | — | $ | — | ||||||||
******Cost of foreign currencies | $ | 46,997 | $ | — | $ | — | $ | — | ||||||||
Class ADV: | ||||||||||||||||
Net assets | $ | 97,148 | $ | 23,030,096 | $ | 1,052,878 | n/a | |||||||||
Shares authorized | unlimited | unlimited | unlimited | n/a | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | n/a | |||||||||
Shares outstanding | 14,144 | 2,518,645 | 144,460 | n/a | ||||||||||||
Net asset value and redemption price per share | $ | 6.87 | $ | 9.14 | $ | 7.29 | n/a | |||||||||
Class I: | ||||||||||||||||
Net assets | $ | 417,166 | $ | 2,755 | $ | 1,301,516 | n/a | |||||||||
Shares authorized | unlimited | unlimited | unlimited | n/a | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | n/a | |||||||||
Shares outstanding | 60,181 | 301 | 176,861 | n/a | ||||||||||||
Net asset value and redemption price per share | $ | 6.93 | $ | 9.15 | $ | 7.36 | n/a | |||||||||
Class S: | ||||||||||||||||
Net assets | $ | 150,831,440 | $ | 2,754 | $ | 782,214,530 | $ | 33,141,699 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 21,820,493 | 301 | 106,859,935 | 3,567,915 | ||||||||||||
Net asset value and redemption price per share | $ | 6.91 | $ | 9.15 | $ | 7.32 | $ | 9.29 |
See Accompanying Notes to Financial Statements
6
Table of Contents
STATEMENTS OF OPERATIONS (UNAUDITED)
ING DFA Global All Equity Portfolio | ING DFA Global Allocation Portfolio | ING Franklin Templeton Founding Strategy Portfolio | ING Oppenheimer Active Allocation Portfolio | |||||||||||||
Six Months Ended June 30, 2010 | April 30, 2010(1) to June 30, 2010 | Six Months Ended June 30, 2010 | Six Months Ended June 30, 2010 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 1,346,095 | $ | — | $ | — | $ | — | ||||||||
Dividends from affiliated underlying funds | 1,335 | 47 | — | — | ||||||||||||
Dividends from non-affiliated underlying funds | 807,295 | 73,038 | — | 333,996 | ||||||||||||
Interest | 9,559 | — | — | 48 | ||||||||||||
Total investment income | 2,164,284 | 73,132 | — | 334,044 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment management fees | 234,971 | 9,381 | — | 40,253 | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class ADV | 24 | 28,137 | 1,423 | — | ||||||||||||
Class S | 197,953 | 1 | 1,056,722 | 40,253 | ||||||||||||
Transfer agent fees | 135 | 808 | 431 | 47 | ||||||||||||
Administrative service fees | 79,357 | 3,753 | 211,969 | 16,101 | ||||||||||||
Shareholder reporting expense | 22,512 | 1,593 | 43,577 | 6,133 | ||||||||||||
Professional fees | 12,572 | 10,397 | 20,716 | 12,850 | ||||||||||||
Custody and accounting expense | 34,565 | 767 | 32,931 | 2,402 | ||||||||||||
Trustee fees | 2,406 | 59 | 13,337 | 438 | ||||||||||||
Offering expense | — | 3,071 | — | — | ||||||||||||
Miscellaneous expense | 8,257 | 464 | 16,983 | 3,374 | ||||||||||||
Total expenses | 592,752 | 58,431 | 1,398,089 | 121,851 | ||||||||||||
Net waived and reimbursed fees | (188,967 | ) | (18,981 | ) | (289 | ) | (9,030 | ) | ||||||||
Net expenses | 403,785 | 39,450 | 1,397,800 | 112,821 | ||||||||||||
Net investment income (loss) | 1,760,499 | 33,635 | (1,397,800 | ) | 221,223 | |||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 17,740,902 | (879 | ) | (20,881,721 | ) | 859,298 | ||||||||||
Non-affiliated underlying funds | (480,696 | ) | — | — | — | |||||||||||
Foreign currency related transactions | (29,344 | ) | — | — | — | |||||||||||
Futures | 196,521 | — | — | — | ||||||||||||
Net realized gain (loss) | 17,427,383 | (879 | ) | (20,881,721 | ) | 859,298 | ||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||||
Investments | 1,037,820 | — | — | — | ||||||||||||
Affiliated underlying funds | — | — | (25,413,411 | ) | — | |||||||||||
Non-affiliated underlying funds | (23,263,965 | ) | (2,177,637 | ) | — | (2,646,445 | ) | |||||||||
Foreign currency related transactions | 65,462 | — | — | — | ||||||||||||
Futures | (14,887 | ) | — | — | — | |||||||||||
Net change in unrealized appreciation or depreciation | (22,175,570 | ) | (2,177,637 | ) | (25,413,411 | ) | (2,646,445 | ) | ||||||||
�� | ||||||||||||||||
Net realized and unrealized loss | (4,748,187 | ) | (2,178,516 | ) | (46,295,132 | ) | (1,787,147 | ) | ||||||||
Decrease in net assets resulting from operations | $ | (2,987,688 | ) | $ | (2,144,881 | ) | $ | (47,692,932 | ) | $ | (1,565,924 | ) | ||||
| ||||||||||||||||
* Foreign taxes withheld | $ | 24,074 | $ | — | $ | — | $ | — | ||||||||
(1) Commencement of operations |
See Accompanying Notes to Financial Statements
7
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING DFA Global All Equity Portfolio | ING DFA Global Allocation Portfolio | |||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | April 30, 2010(1) to June 30, 2010 | ||||||||||
FROM OPERATIONS: | ||||||||||||
Net investment income | $ | 1,760,499 | $ | 3,140,642 | $ | 33,635 | ||||||
Net realized gain (loss) | 17,427,383 | 3,521,802 | (879 | ) | ||||||||
Net change in unrealized appreciation or depreciation | (22,175,570 | ) | 22,496,576 | (2,177,637 | ) | |||||||
Increase (decrease) in net assets resulting from operations | (2,987,688 | ) | 29,159,020 | (2,144,881 | ) | |||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Net investment income: | ||||||||||||
Class I | — | (8 | ) | — | ||||||||
Class S | — | (2,341 | ) | — | ||||||||
Total distributions | — | (2,349 | ) | — | ||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||
Net proceeds from sale of shares | 10,649,069 | 18,180,514 | 25,180,486 | |||||||||
Reinvestment of distributions | — | 2,349 | — | |||||||||
10,649,069 | 18,182,863 | 25,180,486 | ||||||||||
Cost of shares redeemed | (12,452,745 | ) | (23,332,177 | ) | — | |||||||
Net increase (decrease) in net assets resulting from capital share transactions | (1,803,676 | ) | (5,149,314 | ) | 25,180,486 | |||||||
Net increase (decrease) in net assets | (4,791,364 | ) | 24,007,357 | 23,035,605 | ||||||||
NET ASSETS: | ||||||||||||
Beginning of period | 156,137,118 | 132,129,761 | — | |||||||||
End of period | $ | 151,345,754 | $ | 156,137,118 | $ | 23,035,605 | ||||||
Undistributed net investment income at end of period | $ | 4,860,610 | $ | 3,100,111 | $ | 33,635 | ||||||
(1) | Commencement of operations |
See Accompanying Notes to Financial Statements
8
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Franklin Templeton Founding Strategy Portfolio | ING Oppenheimer Active Allocation Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (1,397,800 | ) | $ | 21,631,785 | $ | 221,223 | $ | 172,416 | |||||||
Net realized gain (loss) | (20,881,721 | ) | (61,237,375 | ) | 859,298 | (769,181 | )�� | |||||||||
Net change in unrealized appreciation or depreciation | (25,413,411 | ) | 244,923,963 | (2,646,445 | ) | 5,908,513 | ||||||||||
Increase (decrease) in net assets resulting from operations | (47,692,932 | ) | 205,318,373 | (1,565,924 | ) | 5,311,748 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (15 | ) | — | — | |||||||||||
Class I | — | (29,495 | ) | — | — | |||||||||||
Class S | — | (22,315,860 | ) | — | (174,002 | ) | ||||||||||
Net realized gains: | ||||||||||||||||
Class ADV | — | (10 | ) | — | — | |||||||||||
Class I | — | (13,082 | ) | — | — | |||||||||||
Class S | — | (10,673,759 | ) | — | (42,608 | ) | ||||||||||
Total distributions | — | (33,032,221 | ) | — | (216,610 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 8,164,158 | 31,642,637 | 12,680,806 | 17,135,896 | ||||||||||||
Reinvestment of distributions | — | 33,032,221 | — | 187,721 | ||||||||||||
8,164,158 | 64,674,858 | 12,680,806 | 17,323,617 | |||||||||||||
Cost of shares redeemed | (44,492,249 | ) | (63,267,488 | ) | (4,242,871 | ) | (3,440,298 | ) | ||||||||
Net increase (decrease) in net assets resulting from | ||||||||||||||||
capital share transactions | (36,328,091 | ) | 1,407,370 | 8,437,935 | 13,883,319 | |||||||||||
Net increase (decrease) in net assets | (84,021,023 | ) | 173,693,522 | 6,872,011 | 18,978,457 | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 868,589,947 | 694,896,425 | 26,269,688 | 7,291,231 | ||||||||||||
End of period | $ | 784,568,924 | $ | 868,589,947 | $ | 33,141,699 | $ | 26,269,688 | ||||||||
Undistributed net investment income at end of period | $ | 20,212,469 | $ | 21,610,269 | $ | 227,865 | $ | 6,642 | ||||||||
See Accompanying Notes to Financial Statements
9
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 | Payment by affiliate | Total distributions | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3)(4) | Expenses net of fee waivers and/or recoupments, if any(2)(3)(4) | Expenses net of all reductions/additions(2)(3)(4) | Net investment income (loss)(2)(3)(4) | Net assets, end of year or period | Portfolio turnover rate | ||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | |||||||||||||||||||||||||
ING DFA Global All Equity Portfolio | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.01 | 0.08 | • | (0.22 | ) | (0.14 | ) | — | — | — | — | — | 6.87 | (2.00 | ) | 1.25 | 1.01 | † | 1.01 | † | 2.25 | † | 97 | 141 | ||||||||||||||||||
12-31-09 | 5.78 | 0.11 | 1.09 | 1.20 | 0.00 | * | — | — | 0.03 | — | 7.01 | 21.28 | †† | 1.27 | 0.99 | 0.99 | 1.88 | 1 | 128 | |||||||||||||||||||||||
12-31-08 | 10.41 | 0.14 | • | (4.65 | ) | (4.51 | ) | 0.12 | — | — | — | 0.12 | 5.78 | (43.34 | ) | 1.40 | 0.99 | 0.99 | 1.69 | 1 | 88 | |||||||||||||||||||||
08-20-07(5) - 12-31-07 | 10.00 | 0.05 | 0.38 | 0.43 | 0.01 | 0.01 | — | — | 0.02 | 10.41 | 4.36 | 1.28 | 0.99 | 0.99 | 1.22 | 1 | 180 | |||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.05 | 0.09 | • | (0.21 | ) | (0.12 | ) | — | — | — | — | — | 6.93 | (1.70 | ) | 0.50 | 0.26 | † | 0.26 | † | 2.60 | † | 417 | 141 | ||||||||||||||||||
12-31-09 | 5.78 | 0.15 | • | 1.09 | 1.24 | 0.00 | * | — | — | 0.03 | — | 7.05 | 21.98 | †† | 0.52 | 0.39 | 0.39 | 2.39 | 333 | 128 | ||||||||||||||||||||||
12-31-08 | 10.41 | 0.17 | • | (4.64 | ) | (4.47 | ) | 0.16 | — | — | — | 0.16 | 5.78 | (42.88 | ) | 0.65 | 0.39 | 0.39 | 2.30 | 93 | 88 | |||||||||||||||||||||
08-20-07(5) - 12-31-07 | 10.00 | 0.07 | • | 0.39 | 0.46 | 0.04 | 0.01 | — | — | 0.05 | 10.41 | 4.62 | 0.53 | 0.39 | 0.39 | 1.82 | 1 | 180 | ||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.04 | 0.08 | (0.21 | ) | (0.13 | ) | — | — | — | — | — | 6.91 | (1.85 | ) | 0.75 | 0.51 | † | 0.51 | † | 2.22 | † | 150,831 | 141 | |||||||||||||||||||
12-31-09 | 5.78 | 0.14 | 1.09 | 1.23 | 0.00 | * | — | — | 0.03 | — | 7.04 | 21.80 | †† | 0.77 | 0.64 | 0.64 | 2.29 | 155,803 | 128 | |||||||||||||||||||||||
12-31-08 | 10.41 | 0.17 | • | (4.66 | ) | (4.49 | ) | 0.14 | — | — | — | 0.14 | 5.78 | (43.05 | ) | 0.90 | 0.64 | 0.64 | 2.09 | 132,036 | 88 | |||||||||||||||||||||
08-20-07(5) - 12-31-07 | 10.00 | 0.06 | • | 0.39 | 0.45 | 0.03 | 0.01 | — | — | 0.04 | 10.41 | 4.58 | 0.78 | 0.64 | 0.64 | 1.55 | 110,405 | 180 | ||||||||||||||||||||||||
ING DFA Global Allocation Portfolio | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
04-30-10(5) - 06-30-10 | 10.00 | 0.01 | (0.87 | ) | (0.86 | ) | — | — | — | — | — | 9.14 | (8.60 | ) | 1.54 | 1.05 | † | 1.05 | † | 0.87 | † | 23,030 | 3 | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
04-30-10(5) - 06-30-10 | 10.00 | 0.02 | (0.87 | ) | (0.85 | ) | — | — | — | — | — | 9.15 | (8.50 | ) | 0.79 | 0.45 | † | 0.45 | † | 1.52 | † | 3 | 3 | |||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
04-30-10(5) - 06-30-10 | 10.00 | 0.02 | (0.87 | ) | (0.85 | ) | — | — | — | — | — | 9.15 | (8.50 | ) | 1.04 | 0.70 | † | 0.70 | † | 1.05 | † | 3 | 3 |
See Accompanying Notes to Financial Statements
10
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED)(CONTINUED)
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 Franklin Templeton Founding Strategy Portfolio | |||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.74 | (0.03 | )• | (0.42 | ) | (0.45 | ) | — | — | — | — | 7.29 | (5.81 | ) | 0.83 | 0.68 | 0.68 | (0.68 | ) | 1,053 | 4 | ||||||||||||||||||
12-31-09 | 6.19 | 0.17 | • | 1.63 | 1.80 | 0.15 | 0.10 | — | 0.25 | 7.74 | 29.82 | 0.84 | 0.69 | 0.69 | 2.61 | 1 | 14 | ||||||||||||||||||||||
12-31-08 | 9.68 | 0.16 | (3.65 | ) | (3.49 | ) | — | 0.00 | * | — | 0.00 | * | 6.19 | (36.04 | ) | 0.84 | 0.69 | 0.69 | 2.01 | 1 | 12 | ||||||||||||||||||
04-30-07(5) -12-31-07 | 10.00 | 0.03 | (0.35 | ) | (0.32 | ) | — | — | — | — | 9.68 | (3.20 | ) | 0.84 | 0.69 | 0.69 | 0.51 | 1 | 4 | ||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.80 | (0.00 | )*• | (0.44 | ) | (0.44 | ) | — | — | — | — | 7.36 | (5.64 | ) | 0.08 | 0.08 | 0.08 | (0.08 | ) | 1,302 | 4 | ||||||||||||||||||
12-31-09 | 6.26 | 0.20 | • | 1.66 | 1.86 | 0.22 | 0.10 | — | 0.32 | 7.80 | 30.63 | 0.09 | 0.09 | 0.09 | 3.02 | 4,335 | 14 | ||||||||||||||||||||||
12-31-08 | 9.73 | 0.49 | • | (3.95 | ) | (3.46 | ) | 0.01 | 0.00 | * | — | 0.01 | 6.26 | (35.55 | ) | 0.09 | 0.09 | 0.09 | 6.49 | 644 | 12 | ||||||||||||||||||
04-30-07(5) -12-31-07 | 10.00 | 0.07 | (0.34 | ) | (0.27 | ) | — | — | — | — | 9.73 | (2.70 | ) | 0.09 | 0.09 | 0.09 | 1.11 | 1 | 4 | ||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 7.76 | (0.00 | )* | (0.44 | ) | (0.44 | ) | — | — | — | — | 7.32 | (5.67 | ) | 0.33 | 0.33 | 0.33 | (0.33 | ) | 782,215 | 4 | ||||||||||||||||||
12-31-09 | 6.23 | 0.19 | • | 1.64 | 1.83 | 0.20 | 0.10 | — | 0.30 | 7.76 | 30.30 | 0.34 | 0.34 | 0.34 | 2.88 | 864,254 | 14 | ||||||||||||||||||||||
12-31-08 | 9.70 | 0.23 | • | (3.69 | ) | (3.46 | ) | 0.01 | 0.00 | * | — | 0.01 | 6.23 | (35.69 | ) | 0.34 | 0.34 | 0.34 | 2.86 | 694,251 | 12 | ||||||||||||||||||
04-30-07(5) -12-31-07 | 10.00 | 0.00 | * | (0.30 | ) | (0.30 | ) | — | — | — | — | 9.70 | (3.00 | ) | 0.34 | 0.34 | 0.34 | 0.17 | 526,804 | 4 | |||||||||||||||||||
ING Oppenheimer Active Allocation Portfolio | |||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.71 | 0.06 | (0.48 | ) | (0.42 | ) | — | — | — | — | 9.29 | (4.33 | ) | 0.76 | 0.70 | 0.70 | 1.37 | 33,142 | 94 | ||||||||||||||||||||
12-31-09 | 7.65 | 0.06 | 2.08 | 2.14 | 0.06 | 0.02 | — | 0.08 | 9.71 | 27.94 | 1.99 | 0.70 | 0.70 | 0.96 | 26,270 | 115 | |||||||||||||||||||||||
10-02-08(5) -12-31-08 | 10.00 | 0.13 | (2.42 | ) | (2.29 | ) | 0.06 | — | — | 0.06 | 7.65 | (22.84 | ) | 5.48 | 0.70 | 0.70 | 4.74 | 7,291 | 23 |
(1) | Total return is calculated assuming reinvestment of dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized. |
(2) | Annualized for periods less than one year. |
(3) | Expense ratios do not include expenses of underlying funds and do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. |
(4) | Expense ratios reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed by the Investment Advisers 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 the Investment Advisers and/or Distributor but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions. |
(5) | Commencement of operations. |
• | Calculated using average number of shares outstanding throughout the period. |
* | Amount is less 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 (Note 4). |
†† | Excluding a payment by affiliate in 2009, ING DFA Global All Equity Portfolio total return would have been 20.80%, 21.50% and 21.31% for Class ADV, Class I and Class S, respectively. |
See Accompanying Notes to Financial Statements
11
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010
NOTE 1 — ORGANIZATION
Organization. ING Investors Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”) as an open-end management investment company. The Trust was organized as a Massachusetts business trust on August 3, 1988. The Trust currently consists of fifty active separate investment series. The four Portfolios included in this report are: ING DFA Global All Equity Portfolio (“DFA Global All Equity”), ING DFA Global Allocation Portfolio (“DFA Global Allocation”), ING Franklin Templeton Founding Strategy Portfolio (“Franklin Templeton Founding Strategy”) and ING Oppenheimer Active Allocation Portfolio (“Oppenheimer Active Allocation”) (each, a “Portfolio” and collectively, the “Portfolios”). Each Portfolio is a diversified series of the Trust.
On April 30, 2010, the ING Focus 5 Portfolio was renamed the ING DFA Global All Equity Portfolio and was converted from a stand alone mutual fund, which invested directly in securities, to a fund-of-funds, which invests in other mutual funds.
Each Portfolio, except Oppenheimer Active Allocation, offers the three following classes of shares: Class ADV, Class I and Class S. Oppenheimer Active Allocation only offers Class S. The separate classes of shares differ principally in distribution fees, shareholder servicing fees and transfer agency 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. 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 shares outstanding of each class on the date of distribution. Common expenses of the Portfolio (including custodial asset-based fees, legal and audit fees, printing and mailing expenses, transfer agency out-of-pocket expenses, and fees and expenses of the independent trustees) are allocated to the Portfolio in proportion to its average net assets. Expenses directly attributable to a particular portfolio (including advisory, administration, custodial transaction-based, registration, other professional, distribution and/or service fees, certain taxes, and offering costs) are charged directly to that Portfolio. Differences in per share dividend rates generally result from the differences in separate class expenses, including distribution and shareholder service fees, if applicable.
Each Portfolio’s shares may be offered to variable annuity and variable life insurance separate accounts, qualified pension and retirement plans outside the separate account context, custodial accounts, certain investment advisers and their affiliates in connection with the creation or management of the Portfolios and certain other investment management companies.
Directed Services LLC (“DSL”) serves as the investment adviser to DFA Global All Equity, DFA Global Allocation and Franklin Templeton Founding Strategy. ING Investments, LLC (“ING Investments” or “Investment Adviser”) serves as the investment adviser (collectively with DSL, the “Investment Advisers”) to Oppenheimer Active Allocation. ING Funds Services, LLC serves as the administrator (“IFS” or the “Administrator”) for the Portfolios. ING Investments Distributor, LLC (formerly, ING Funds Distributor, LLC) (“IID” or the “Distributor”) serves as the principal underwriter to the Portfolios.
DSL, ING Investments, 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 Advisers and their affiliates, would be divested by ING Groep by the end of 2013. While there can be no assurance that it will be carried out, the restructuring plan presents certain risks, including uncertainty about the effect on the businesses of the ING entities that service the Portfolios and potential termination of the Portfolios’ existing advisory agreements, which may trigger the need for shareholder approval of new agreements.
DFA Global All Equity and DFA Global Allocation seek to achieve their investment objectives by investing in underlying funds sub-advised by Dimensional Fund Advisors LP that, in turn, invest directly in a wide range of portfolio securities (i.e., stocks and bonds). Prior to April 30, 2010, DFA Global All Equity had a different investment objective and was sub-advised by ING Investment Management Co.
Franklin Templeton Founding Strategy seeks to achieve its investment objective by investing in other ING mutual funds (“Underlying Funds”) sub-advised by Franklin Advisers, Inc., Franklin Mutual Advisers, LLC or its affiliate Templeton Global Advisors Limited that, in
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NOTE 1 — ORGANIZATION (continued)
turn, invest directly in a wide range of portfolio securities (i.e., stocks and bonds).
Oppenheimer Active Allocation seeks to achieve its investment objective by investing in Underlying Funds sub-advised by OppenheimerFunds, Inc. that, in turn, invest directly in a wide range of portfolio securities (i.e., stocks and bonds).
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are consistently followed by the Portfolios in the preparation of its financial statements. Such policies are in conformity with U.S. generally accepted accounting principles for investment companies.
A. | Security Valuation. Prior to April 30, 2010 for DFA Global All Equity and for the entire six month period ended June 30, 2010 for exchange traded funds (“ETFs”) held by Oppenheimer Active Allocation, investments in equity securities traded on a national securities exchange are valued at the last reported sale price. Securities reported by NASDAQ will be 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. 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 that 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 in the 1940 Act, and as determined in good faith by or under the supervision of the Portfolio’s 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 the Portfolio calculates its net asset value (“NAV”) may also be valued at their fair values, as defined by the 1940 Act, and as determined in good faith by or under the supervision of the Board, in accordance with methods that are specifically authorized by the Board. All such fair valuations are made in accordance with valuation procedures of the Portfolio (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 Portfolio related to registration of the security, as well as factors relevant to the issuer itself. Consideration may also be given to the price and extent of any public trading in similar securities of the issuer or comparable companies’ securities. The value of a foreign security traded on an exchange outside the United States is generally based on its price on the principal foreign exchange where it trades as of the time the Portfolio determines its NAV or if the foreign exchange closes prior to the time the Portfolio determines its NAV, the most recent closing price of the foreign security on its principal exchange. Trading in certain non-U.S. securities may not take place on all days on which the New York Stock Exchange (“NYSE”) is open. Further, trading takes place in various foreign markets on days on which the NYSE is not open. Consequently, the calculation of the Portfolio’s NAV may not take place contemporaneously with the determination of the prices of securities held by the Portfolio in foreign securities markets. Further, the value of the Portfolio’s assets may be significantly affected by foreign trading on days when a shareholder cannot purchase or redeem shares of the Portfolio. In calculating the Portfolio’s NAV, foreign securities denominated in foreign currency are converted to
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NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
U.S. dollar equivalents. If an event occurs after the time at which the market for foreign securities held by the Portfolio closes but before the time that the Portfolio’s NAV is calculated, such event may cause the closing price on the foreign exchange to not represent a readily available reliable market value quotation for such securities at the time the Portfolio determines its NAV. In such a case, the Portfolio will use the fair value of such securities as determined under the Portfolio’s valuation procedures. Events after the close of trading on a foreign market that could require the Portfolio to fair value some or all of its foreign securities include, among others, securities trading in the U.S. and other markets, corporate announcements, natural and other disasters, and political and other events. Among other elements of analysis in the determination of a security’s fair value, the Board has authorized the use of one or more independent research services to assist with such determinations. An independent research service may use statistical analyses and quantitative models to help determine fair value as of the time the Portfolio calculates its NAV. There can be no assurance that such models accurately reflect the behavior of the applicable markets or the effect of the behavior of such markets on the fair value of securities, or such markets will continue to behave in a fashion that is consistent with such models. Unlike the closing price of a security on an exchange, fair value determinations employ elements of judgment. Consequently, the fair value assigned to a security may not represent the actual value that a Portfolio could obtain if it were to sell the security at the time of the close of the NYSE. Pursuant to procedures adopted by the Board, the Portfolio is not obligated to use the fair valuations suggested by any research service, and valuation recommendations provided by such research services may be overridden if other events have occurred or if other fair valuations are determined in good faith to be more accurate. Unless an event is such that it causes the Portfolio to determine that the closing prices for one or more securities do not represent readily available reliable market value quotations at the time the Portfolio determines its NAV, events that occur between the time of the close of the foreign market on which they are traded and the close of regular trading on the NYSE will not be reflected in the Portfolio’s NAV.
The above methodology also applied to fair value certain securities that DFA Global All Equity holds after April 30, 2010 and its conversion to a fund-of-funds structure.
For the period beginning April 30, 2010 for DFA Global All Equity and for the entire reporting period for DFA Global Allocation, Franklin Templeton Founding Strategy and Oppenheimer Active Allocation, the valuations of the Portfolios’ investments in Underlying Funds are based on the NAVs of the Underlying Funds each business day.
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 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 each Portfolio of Investments.
For the six months ended June 30, 2010, there have been no significant changes to the fair valuation methodologies.
Each Portfolio classifies each of its investments in the Underlying Funds as Level 1, without consideration as to the classification level of the specific investments held by the Underlying Funds.
B. | Security Transactions and Revenue Recognition. Security transactions are accounted for on trade date. Dividend income received from the affiliated funds is recognized on the ex-dividend date and is recorded as income distributions in the Statements of Operations. Capital gain distributions received from the underlying funds are recognized on |
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NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
ex-dividend date and are recorded on the Statements of Operations as such. Costs used in determining realized gains and losses on the sales of investment securities are on the basis of specific identification. |
C. | Foreign Currency Translation. Prior to April 30, 2010 for DFA Global All Equity, the Portfolio was 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 Portfolio does 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 Portfolio’s books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at fiscal year end, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and 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. |
D. | Distributions to Shareholders. Each Portfolio records distributions to its shareholders on the ex-dividend date. Each Portfolio distributes dividends and capital gains, if any, annually. Each Portfolio 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 subchapter M of the Internal Revenue Code and related excise tax provisions applicable to regulated investment companies and to distribute substantially all of its net investment income and any net realized capital gains to its shareholders. Therefore, no federal income tax provision is required. Management has considered the sustainability of the Portfolio’s 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 any 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. | Futures Contracts. Prior to April 30, 2010 for DFA Global All Equity, the Portfolio entered 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. The Portfolio may buy and sell futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at |
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NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
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 assets are valued. |
Upon entering into a futures contract, the 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 the Portfolio of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are footnoted in the Portfolio of Investments. Cash collateral held by the broker to cover initial margin requirements on open futures contracts are noted in the Portfolio’s Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Portfolio’s Statement of Operations. Realized gains (losses) are reported in the Portfolio’s Statement of Operations at the closing or expiration of futures contracts.
Futures contracts are exposed to the market risk factor of the underlying financial instrument. Prior April 30, 2010, DFA Global All Equity purchased equity futures contracts to increase exposure to equity risk. Additional associated risks of entering into futures contracts include the possibility that there may be an illiquid market where the 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 the Portfolio’s securities. With futures, there is minimal counterparty credit risk to the Portfolio since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
For the period ended June 30, 2010, DFA Global All Equity had a realized gain (loss) and a change in unrealized gain (loss) of $196,521 and $(14,887), respectively, on equity futures contracts. The
Portfolio had an average market value on purchased futures contracts of $1,058,708. There were no open futures contracts at June 30, 2010.
H. | 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, cannot be estimated; however, based on experience, management believes the risk of loss from such claims is considered remote. |
NOTE 3 — INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES
DFA Global All Equity, DFA Global Allocation and Franklin Templeton Founding Strategy have entered into an investment management agreement (“Investment Management Agreement”) with DSL. The Investment Management Agreement compensates DSL with a fee, computed daily and payable monthly, based on the average daily net assets of each Portfolio. DFA Global All Equity and DFA Global Allocation pay DSL a fee of 0.25% of their respective average daily net assets. Additionally, DSL has agreed to waive 0.22% of the advisory fee for DFA Global All Equity through May 1, 2011. Prior to April 30, 2010, DFA Global All Equity paid an advisory fee of 0.32% of its average daily net assets. Franklin Templeton Founding Strategy does not pay DSL an advisory fee.
Oppenheimer Active Allocation entered into an Investment Management Agreement with ING Investments. The Investment Management Agreement compensates IIL with a fee, computed daily and payable monthly, based on the average daily net assets of Oppenheimer Active Allocation. Oppenheimer Active Allocation pays ING Investments a fee of 0.25% of its average daily net assets.
IFS acts as administrator and provides certain administrative and shareholder services necessary for the Portfolios’ operations and is responsible for the supervision of other service providers. The Administrator receives compensation in the amount equal to 0.10%, 0.10%, 0.05% and 0.10% of the average daily net assets of DFA Global All Equity, DFA Global Allocation, Franklin Templeton Founding Strategy and Oppenheimer Active Allocation, respectively.
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (CONTINUED)
NOTE 4 — INVESTMENTS IN UNDERLYING FUNDS
For the six months ended June 30, 2010, the cost of purchases and the proceeds from the sales of the Underlying Funds were as follows:
Purchases | Sales | |||||
DFA Global All Equity | $ | 185,430,359 | $ | 184,985,289 | ||
DFA Global Allocation | 25,839,038 | 693,000 | ||||
Franklin Templeton Founding Strategy | 29,615,922 | 67,349,502 | ||||
Oppenheimer Active Allocation | 38,518,491 | 29,843,704 |
NOTE 5 — DISTRIBUTION AND SERVICE FEES
The Trust has entered into a Shareholder Service Plan (the “Agreement”) for the Class S shares of the Portfolios. The Agreement compensates IID for the provision of shareholder services and/or account maintenance services to direct or indirect beneficial owners of Class S. Under the Agreement, the Portfolios make payments to the Distributor at an annual rate of 0.25% of the Portfolio’s average daily net assets attributable to Class S.
Class ADV has a Rule 12b-1 Service and Distribution Plan. Class ADV shares pay a service fee of 0.25% and a distribution fee of 0.50% of each Portfolio’s (except Oppenheimer Active Allocation) average daily net assets attributable to Class ADV shares. For DFA Global Allocation and Franklin Templeton Founding Strategy, IID has contractually agreed to waive a portion of this fee equal to 0.15% of each Portfolio’s average daily net assets attributable to the distribution fee paid by Class ADV shares, so that the actual fee paid by Class ADV shares is an annual rate of 0.35%. The expense waiver will continue through at least May 1, 2011. Prior to its conversion on April 30, 2010, this waiver also applied to Class ADV shares of DFA Global All Equity.
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
At June 30, 2010, the Portfolios had the following amounts recorded in payable to affiliates on the accompanying Statements of Assets and Liabilities:
Portfolio | Accrued Investment Management Fees | Accrued Administrative Fees | Accrued Shareholder Service and Distribution Fees | Total | ||||||||
DFA Global All Equity | $ | 3,650 | $ | 12,795 | $ | 31,912 | $ | 48,357 | ||||
DFA Global Allocation | 4,817 | 1,932 | 11,589 | 18,338 | ||||||||
Franklin Templeton Founding Strategy | — | 33,349 | 166,736 | 200,085 | ||||||||
Oppenheimer Active Allocation | 6,941 | 2,777 | 6,941 | 16,659 |
At June 30, 2010, the following indirect, wholly-owned subsidiaries of ING Groep owned more than 5% of a Portfolio:
Percentage (%) | Entities | |||
DFA Global All Equity | 98.72 | ING USA Annuity and Life Insurance Company | ||
DFA Global Allocation | 99.26 | ING USA Life & Annuity Co. | ||
Franklin Templeton Founding Strategy | 98.02 | ING USA Annuity and Life Insurance Company | ||
Oppenheimer Active Allocation | 98.27 | ING USA Annuity and Life Insurance Company |
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. Investment activities of these shareholders could have a material impact on the Portfolios.
The Trust has adopted a Retirement Policy (“Policy”) covering independent trustees of the Portfolios who were trustees on or before May 9, 2007, and who will have served as an independent trustee for at least five years as of the date of their retirement (as that term is defined in the Policy). Benefits under the Policy are based on an annual rate as defined in the Policy.
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 and ING Investments until distribution in accordance with the Plan.
NOTE 7 — OTHER ACCRUED EXPENSES & LIABILITIES
At June 30, 2010, the Portfolios had the below payables included in Other Accrued Expenses and Liabilities on the Statement of Assets and Liabilities that exceeded 5% of total liabilities:
Portfolio | Accrued Expenses | Amount | |||
DFA Global All Equity | Custody | $ | 13,695 | ||
Professional | 12,092 | ||||
Postage | 25,815 | ||||
DFA Global Allocation | Professional | 2,930 | |||
Accrued Offering | 17,841 | ||||
Franklin Templeton Founding Strategy | Postage | 61,449 | |||
Oppenheimer Active Allocation | Professional | 12,948 | |||
Postage | 7,819 |
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (CONTINUED)
NOTE 8 — EXPENSE LIMITATION AGREEMENTS
DSL and ING Investments have agreed to limit expenses, excluding interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses to the levels listed below:
Class ADV(1) | Class I(1) | Class S(1) | |||||||
DFA Global All Equity(2) | 1.05 | % | 0.45 | % | 0.70 | % | |||
DFA Global Allocation | 1.05 | % | 0.45 | % | 0.70 | % | |||
Franklin Templeton Founding Strategy | 0.74 | % | 0.14 | % | 0.39 | % | |||
Oppenheimer Active Allocation | N/A | N/A | 0.70 | % |
(1) | The operating expense limits apply only at each Portfolio level and do not include fees payable by the underlying investment companies in which each Portfolio invests. For DFA Global All Equity, pursuant to a side letter effective April 30, 2010, the total expense limits including the underlying investment companies are 1.21%, 0.61% and 0.86% for Class ADV, Class I, and Class S shares respectively. This side letter is effective through and including May 1, 2012 and is not eligible for recoupment. For Franklin Templeton Founding Strategy, the total expense limits including the underlying investment companies are 1.50%, 0.90% and 1.15% for Class ADV, Class I and Class S shares, respectively. |
(2) | Prior to April 30, 2010, the expense limits were 0.99%, 0.39% and 0.64% for Class ADV, Class I and Class S, respectively. |
The Investment Advisers may at a later date recoup from each Portfolio management fees waived and other expenses assumed by the Investment Advisers during the
previous 36 months, but only if, after such recoupment, that Portfolio’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by the Investment Advisers of such waived and reimbursed fees are reflected on the accompanying Statements of Operations for the Portfolio. Outstanding reimbursement balances due to the Portfolios, if any, under its respective expense limitation agreements are reflected in Reimbursement Due from Investment Advisers on the accompanying Statement of Assets and Liabilities.
The expense limitation agreements are contractual and shall renew automatically for one-year terms unless DSL or ING Investments provide written termination of the expense limitation agreements within 90 days of the end of the then current term.
As of June 30, 2010, the amounts of waived and reimbursed fees that are subject to possible recoupment by the Investment Advisers and the related expiration dates are as follows:
June 30, | ||||||||||||
2010 | 2011 | 2012 | Total | |||||||||
DFA Global All Equity | $ | — | $ | — | $ | 65,174 | $ | 65,174 | ||||
DFA Global Allocation | — | — | 13,341 | 13,341 | ||||||||
Oppenheimer Active Allocation | — | 201,386 | 74,710 | 276,096 |
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 | # | # | # | # | ($) | ($) | ($) | ($) | |||||||||||||||
DFA Global All Equity |
| ||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||
06-30-10 | 16,209 | — | (2,165 | ) | 14,044 | 116,963 | — | (15,777 | ) | 101,186 | |||||||||||||
12-31-09 | — | — | (1 | ) | (1 | ) | (3 | ) | — | (6 | ) | (9 | ) | ||||||||||
Class I | |||||||||||||||||||||||
06-30-10 | 20,512 | — | (7,624 | ) | 12,888 | 150,426 | — | (54,865 | ) | 95,561 | |||||||||||||
12-31-09 | 38,058 | 1 | (6,827 | ) | 31,232 | 213,960 | 8 | (43,348 | ) | 170,620 | |||||||||||||
Class S | |||||||||||||||||||||||
06-30-10 | 1,383,222 | — | (1,695,400 | ) | (312,178 | ) | 10,381,680 | — | (12,382,103 | ) | (2,000,423 | ) | |||||||||||
12-31-09 | 3,271,923 | 408 | (3,984,151 | ) | (711,820 | ) | 17,966,557 | 2,341 | (23,288,823 | ) | (5,319,925 | ) |
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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 | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||
DFA Global Allocation |
| |||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
04-30-10(1)-06-30-10 | 2,518,645 | — | — | 2,518,645 | 25,174,466 | — | — | 25,174,466 | ||||||||||||||
Class I | ||||||||||||||||||||||
04-30-10(1)-06-30-10 | 301 | — | — | 301 | 3,010 | — | — | 3,010 | ||||||||||||||
Class S | ||||||||||||||||||||||
04-30-10(1)-06-30-10 | 301 | — | — | 301 | 3,010 | — | — | 3,010 | ||||||||||||||
Franklin Templeton Founding Strategy |
| |||||||||||||||||||||
Class ADV | ||||||||||||||||||||||
06-30-10 | 144,941 | — | (581 | ) | 144,360 | 1,124,357 | — | (4,417 | ) | 1,119,940 | ||||||||||||
12-31-09 | — | — | — | — | — | — | — | — | ||||||||||||||
Class I | ||||||||||||||||||||||
06-30-10 | 61,170 | — | (439,921 | ) | (378,751 | ) | 470,908 | — | (3,324,808 | ) | (2,853,900 | ) | ||||||||||
12-31-09 | 519,748 | 6,530 | (73,602 | ) | 452,676 | 3,897,564 | 42,577 | (475,047 | ) | 3,465,094 | ||||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 845,366 | — | (5,342,965 | ) | (4,497,599 | ) | 6,568,893 | — | (41,163,024 | ) | (34,594,131 | ) | ||||||||||
12-31-09 | 4,339,422 | 5,075,326 | (9,514,500 | ) | (99,752 | ) | 27,745,073 | 32,989,644 | (62,792,441 | ) | (2,057,724 | ) | ||||||||||
Oppenheimer Active Allocation |
| |||||||||||||||||||||
Class S | ||||||||||||||||||||||
06-30-10 | 1,300,934 | — | (438,788 | ) | 862,146 | 12,680,806 | — | (4,242,871 | ) | 8,437,935 | ||||||||||||
12-31-09 | 2,098,486 | 19,299 | (365,718 | ) | 1,752,067 | 17,135,896 | 187,721 | (3,440,298 | ) | 13,883,319 |
(1) | Commencement of operations. |
NOTE 10 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, 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.
No dividends or distributions were made during the six months ended June 30, 2010. The tax composition of dividends and distributions to shareholders during the year ended December 31, 2009 was as follows:
Ordinary | Long-Term | Dividends Paid | |||||||
DFA Global All Equity | $ | 2,349 | $ | — | $ | — | |||
Franklin Templeton Founding Strategy | 22,352,008 | 10,680,213 | — | ||||||
Oppenheimer Active Allocation | 179,886 | 36,724 | 3,809 |
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (CONTINUED)
NOTE 10 — FEDERAL INCOME TAXES (continued)
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, 2009 were:
Undistributed | Unrealized | Post-October | Capital Loss | Expiration | |||||||||||||
DFA Global All Equity | $ | 3,100,111 | $ | (1,598,993 | ) | $ | — | $ | (60,713,591 | ) | 2016 | ||||||
Franklin Templeton Founding Strategy | 21,610,269 | (155,402,846 | ) | (2,532,789 | ) | (18,260,768 | ) | 2017 | |||||||||
Oppenheimer Active Allocation | 216,748 | 3,720,705 | (1,552 | ) | — | — |
The Portfolios’ major tax jurisdictions are federal, Arizona, and Massachusetts. The earliest tax year that remains subject to examination by these jurisdictions is 2005.
As of June 30, 2010, no provisions for income tax would be required in the Portfolios’ financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue.
NOTE 11 — 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. A Portfolio’s risk profile is largely a factor of the principal securities in which it invests and investment techniques that it uses. For more information regarding the types of securities and investment techniques that may be used by the Portfolios and their corresponding risks, see the Portfolios’ most recent Prospectus and/or the Statement of Additional Information.
The Portfolios are also affected by other kinds of risks, depending on the types of securities held or strategies used by an Underlying Fund.
Asset Allocation. Assets will be allocated among Underlying Funds and markets based on judgments by the Adviser or Sub-Adviser. There is a risk that the Portfolios may allocate assets to an Underlying Fund or market that underperforms other funds or asset classes.
Foreign Securities. Investments in foreign securities may entail risks not present in domestic investments. Since securities in which an Underlying Fund 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 Underlying Funds. Foreign investments may also subject the Underlying Funds 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 Underlying Funds’ investments.
Emerging Markets Investments. Because of less developed markets and economies and, in some countries, less mature governments and governmental institutions, the risks of investing in foreign securities can be intensified in the case of investments in issuers domiciled or doing substantial business in emerging market countries.
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (CONTINUED)
NOTE 12 — SUBSEQUENT EVENTS
Dividends: Subsequent to June 30, 2010, the following Portfolios declared dividends and distributions of:
Per Share Amounts | |||||||||||||
Net Investment Income | Short-Term Capital Gains | Long-Term Capital Gains | Payable Date | Record Date | |||||||||
DFA Global All Equity | |||||||||||||
Class ADV | $ | 0.1578 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Class I | $ | 0.1580 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Class S | $ | 0.1422 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Franklin Templeton Founding Strategy | |||||||||||||
Class ADV | $ | 0.2203 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Class I | $ | 0.2203 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Class S | $ | 0.2027 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Oppenheimer Active Allocation | |||||||||||||
Class S | $ | 0.0019 | $ | 0.0594 | $ | — | July 15, 2010 | July 13, 2010 |
On June 11, 2010, the Board approved changing the name of DFA Global All Equity. Effective on or about August 23, 2010, the Portfolio will be renamed “ING DFA World Equity Portfolio.”
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.
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ING DFA GLOBAL ALL EQUITY PORTFOLIO | AS OF JUNE 30, 2010 (UNAUDITED) |
Asset Allocation
as of June 30, 2010
(as a percent of net assets)
DFA U.S. Core Equity 1 Portfolio | 21.7% | |
DFA Large Cap International Portfolio | 21.7% | |
VA International Value Portfolio | 10.7% | |
DFA Emerging Markets Core Equity Portfolio | 9.2% | |
VA U.S. Large Value Portfolio | 7.8% | |
DFA U.S. Small Cap Portfolio | 6.9% | |
VA U.S. Targeted Value Portfolio | 6.9% |
DFA International Vector Equity Portfolio | 6.0% | |
VA International Small Portfolio | 5.0% | |
DFA International Real Estate Securities Portfolio | 3.1% | |
ING Institutional Prime Money Market Fund – Class I | 0.6% | |
Rolls-Royce Group PLC | 0.0% | |
Other Assets and Liabilities – Net | 0.4% | |
Net Assets | 100.0% | |
Shares | Value | |||||||||
COMMON STOCK: 0.0% | ||||||||||
Industrials: 0.0% | ||||||||||
5,798,250 | @, I | Rolls-Royce Group PLC | $ | 8,663 | ||||||
Total Common Stock (Cost $ 4,396) | 8,663 | |||||||||
MUTUAL FUNDS: 99.0% | ||||||||||
Open-End Funds: 99.0% | ||||||||||
808,691 | DFA Emerging Markets Core Equity Portfolio | 13,966,093 | ||||||||
1,067,083 | DFA International Real Estate Securities Portfolio | 4,652,482 | ||||||||
1,067,904 | DFA International Vector Equity Portfolio | 9,002,429 | ||||||||
2,042,483 | DFA Large Cap International Portfolio | 32,843,122 | ||||||||
3,731,773 | DFA U.S. Core Equity 1 Portfolio | 32,876,916 | ||||||||
639,388 | DFA U.S. Small Cap Portfolio | 10,479,570 | ||||||||
865,022 | VA International Small Portfolio | 7,508,395 | ||||||||
1,651,876 | VA International Value Portfolio | 16,254,462 | ||||||||
965,919 | VA U.S. Large Value Portfolio | 11,793,869 | ||||||||
1,150,475 | VA U.S. Targeted Value Portfolio | 10,434,808 | ||||||||
Total Mutual Funds (Cost $ 173,076,111) | 149,812,146 | |||||||||
Total Long-Term Investments (Cost $ 173,080,507) | 149,820,809 | |||||||||
SHORT-TERM INVESTMENTS: 0.6% | ||||||||||
Affiliated Mutual Fund: 0.6% | ||||||||||
957,122 | ING Institutional Prime Money Market Fund - Class I | 957,122 | ||||||||
Total Short-Term Investments (Cost $ 957,122) | 957,122 | |||||||||
Total Investments in Securities (Cost $ 174,037,629)* | 99.6 | % | $ | 150,777,931 | ||||||
Other Assets and Liabilities - Net | 0.4 | 567,823 | ||||||||
Net Assets | 100.0 | % | $ | 151,345,754 | ||||||
@ | Non-income producing security |
* | Cost for federal income tax purposes is $174,225,769. |
I | Illiquid Security |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 4,267 | ||
Gross Unrealized Depreciation | (23,452,105 | ) | ||
Net Unrealized Depreciation | $ | (23,447,838 | ) | |
See Accompanying Notes to Financial Statements
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ING DFA GLOBAL ALL EQUITY PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Common Stock* | $ | — | $ | 8,663 | $ | — | $ | 8,663 | ||||
Mutual Funds | 149,812,146 | — | — | 149,812,146 | ||||||||
Short-Term Investments | 957,122 | — | — | 957,122 | ||||||||
Total Investments, at value | $ | 150,769,268 | $ | 8,663 | $ | — | $ | 150,777,931 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments. |
See Accompanying Notes to Financial Statements
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ING DFA GLOBAL ALLOCATION PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Asset Allocation
as of June 30, 2010
(as a percent of net assets)
VA Global Bond Portfolio | 15.4% | |
DFA Selectively Hedged Global Fixed Income Portfolio | 15.2% | |
DFA Large Cap International Portfolio | 13.2% | |
DFA U.S. Core Equity 1 Portfolio | 12.7% | |
VA Short-Term Fixed Portfolio | 10.2% | |
VA International Value Portfolio | 6.5% | |
DFA Emerging Markets Core Equity Portfolio | 6.3% | |
VA U.S. Large Value Portfolio | 4.7% |
VA U.S. Targeted Value Portfolio | 4.2% | ||
DFA U.S. Small Cap Portfolio | 3.8% | ||
VA International Small Portfolio | 2.9% | ||
DFA International Vector Equity Portfolio | 2.9% | ||
DFA International Real Estate Securities Portfolio | 1.7% | ||
ING Institutional Prime Money Market Fund – Class I | 0.4% | ||
Other Assets and Liabilities – Net | (0.1)% | ||
Net Assets | 100.0% |
Shares | Value | ||||||||||
MUTUAL FUNDS: 99.7% | |||||||||||
Open-End Funds: 99.7% | |||||||||||
84,538 | DFA Emerging Markets Core Equity Portfolio | $ | 1,459,976 | ||||||||
91,283 | DFA International Real Estate Securities Portfolio | 397,994 | |||||||||
77,749 | DFA International Vector Equity Portfolio | 655,424 | |||||||||
188,941 | DFA Large Cap International Portfolio | 3,038,176 | |||||||||
352,842 | DFA Selectively Hedged Global Fixed Income Portfolio | 3,510,780 | |||||||||
332,201 | DFA U.S. Core Equity 1 Portfolio | 2,926,689 | |||||||||
53,029 | DFA U.S. Small Cap Portfolio | 869,139 | |||||||||
310,123 | VA Global Bond Portfolio | 3,538,498 | |||||||||
76,626 | VA International Small Portfolio | 665,109 | |||||||||
152,728 | VA International Value Portfolio | 1,502,838 | |||||||||
229,630 | VA Short-Term Fixed Portfolio | 2,356,003 | |||||||||
89,455 | VA U.S. Large Value Portfolio | 1,092,248 | |||||||||
105,253 | VA U.S. Targeted Value Portfolio | 954,648 | |||||||||
Total Mutual Funds (Cost $ 25,145,159) | 22,967,522 | ||||||||||
SHORT-TERM INVESTMENTS: 0.4% | |||||||||||
Affiliated Mutual Fund: 0.4% | |||||||||||
81,318 | ING Institutional Prime Money Market Fund - Class I | 81,318 | |||||||||
Total Short-Term Investments (Cost $ 81,318) | 81,318 | ||||||||||
Total Investments in Securities (Cost $ 25,226,477)* | 100.1 | % | $ | 23,048,840 | |||||||
Other Assets and Liabilities - Net | (0.1 | ) | (13,235 | ) | |||||||
Net Assets | 100.0 | % | $ | 23,035,605 | |||||||
* | Cost for federal income tax purposes is $25,226,690. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 65,045 | ||
Gross Unrealized Depreciation | (2,242,895 | ) | ||
Net Unrealized Depreciation | $ | (2,177,850 | ) | |
See Accompanying Notes to Financial Statements
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ING DFA GLOBAL ALLOCATION PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Mutual Funds | $ | 22,967,522 | $ | — | $ | — | $ | 22,967,522 | ||||
Short-Term Investments | 81,318 | — | — | 81,318 | ||||||||
Total Investments, at value | $ | 23,048,840 | $ | — | $ | — | $ | 23,048,840 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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ING FRANKLIN TEMPLETON FOUNDING STRATEGY PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Asset Allocation
as of June 30, 2010
(as a percent of net assets)
ING Franklin Income Portfolio – Class I | 34.3% | |
ING Franklin Mutual Shares Portfolio – Class I | 32.9% | |
ING Templeton Global Growth Portfolio – Class I | 32.8% |
Other Assets and Liabilities – Net | 0.0% | |
Net Assets | 100.0% | |
Shares | Value | ||||||||||
AFFILIATED INVESTMENT COMPANIES: 100.0% | |||||||||||
28,546,368 | ING Franklin Income Portfolio - Class I | $ | 269,192,248 | ||||||||
37,334,411 | ING Franklin Mutual Shares Portfolio - Class I | 258,354,126 | |||||||||
27,552,517 | ING Templeton Global Growth Portfolio - Class I | 257,340,511 | |||||||||
Total Investments in Affiliated Investment Companies (Cost $ 899,493,254)* | 100.0 | % | $ | 784,886,885 | |||||||
Other Assets and Liabilities - Net | (0.0 | ) | (317,961 | ) | |||||||
Net Assets | 100.0 | % | $ | 784,568,924 | |||||||
* | Cost for federal income tax purposes is $973,839,333. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | — | ||
Gross Unrealized Depreciation | (188,952,448 | ) | ||
Net Unrealized Depreciation | $ | (188,952,448 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Affiliated Investment Companies | $ | 784,886,885 | $ | — | $ | — | $ | 784,886,885 | ||||
Total Investments, at value | $ | 784,886,885 | $ | — | $ | — | $ | 784,886,885 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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ING OPPENHEIMER ACTIVE ALLOCATION PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Asset Allocation
as of June 30, 2010
(as a percent of net assets)
Oppenheimer Value Fund | 18.9% | |
Oppenheimer International Growth Fund | 14.1% | |
Oppenheimer Capital Appreciation Fund/VA | 13.1% | |
Oppenheimer Core Bond Fund/VA | 9.0% | |
Oppenheimer Main Street Small Cap Fund®/VA | 7.9% | |
Oppenheimer Limited-Term Government Fund | 6.1% | |
Oppenheimer Quest International Value Fund | 6.0% | |
Oppenheimer International Bond Fund | 4.6% | |
Oppenheimer Developing Markets Fund | 4.5% | |
Oppenheimer Institutional Money Market Fund | 3.3% | |
Oppenheimer Commodity Strategy Total Return Fund | 2.6% |
Oppenheimer High Income Fund/VA | 2.1% | |
iShares Barclays TIPS Bond Fund | 1.5% | |
Oppenheimer International Small Company Fund | 1.3% | |
Oppenheimer Discovery Fund | 1.2% | |
Oppenheimer Real Estate Fund | 1.1% | |
Oppenheimer U.S. Government Trust | 1.0% | |
Eaton Vance Floating-Rate Income Trust | 1.0% | |
Market Vectors – Gold Miners ETF | 0.9% | |
Oppenheimer Global Securities Fund | 0.0% | |
Other Assets and Liabilities – Net | (0.2)% | |
Net Assets | 100.0% | |
Shares | Value | ||||||
EXCHANGE-TRADED FUNDS: 2.3% | |||||||
4,510 | iShares Barclays TIPS Bond Fund | $ | 482,164 | ||||
5,713 | Market Vectors - Gold Miners ETF | 296,847 | |||||
Total Exchange-Traded Funds (Cost $ 772,841) | 779,011 | ||||||
MUTUAL FUNDS: 94.5% | |||||||
Closed-End Funds: 0.0% | |||||||
22,980 | Eaton Vance Floating-Rate Income Trust | 332,750 | |||||
Open-End Funds: 93.5% | |||||||
133,115 | Oppenheimer Capital Appreciation Fund/VA | 4,334,227 | |||||
277,757 | Oppenheimer Commodity Strategy Total Return Fund | 847,159 | |||||
402,373 | Oppenheimer Core Bond Fund/VA | 2,989,634 | |||||
53,713 | Oppenheimer Developing Markets Fund | 1,474,971 | |||||
8,672 | Oppenheimer Discovery Fund | 387,979 | |||||
208 | Oppenheimer Global Securities Fund | 5,024 | |||||
368,814 | Oppenheimer High Income Fund/VA | 704,436 | |||||
242,706 | Oppenheimer International Bond Fund | 1,507,206 | |||||
207,388 | Oppenheimer International Growth Fund | 4,680,756 | |||||
24,330 | Oppenheimer International Small Company Fund | 434,054 | |||||
215,164 | Oppenheimer Limited-Term Government Fund | 2,020,394 | |||||
184,206 | Oppenheimer Main Street Small Cap Fund®/VA | 2,600,988 | |||||
144,286 | Oppenheimer Quest International Value Fund | 1,995,469 | |||||
23,747 | Oppenheimer Real Estate Fund | 371,636 | |||||
36,633 | Oppenheimer U.S. Government Trust | 346,548 | |||||
349,547 | Oppenheimer Value Fund | 6,274,369 | |||||
30,974,850 | |||||||
Total Mutual Funds (Cost $ 28,991,624) | 31,307,600 | ||||||
Total Long-Term Investments (Cost $ 29,764,465) | 32,086,611 |
See Accompanying Notes to Financial Statements
27
Table of Contents
ING OPPENHEIMER ACTIVE ALLOCATION PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2010 (UNAUDITED) (CONTINUED) |
Shares | Value | ||||||||||
SHORT-TERM INVESTMENTS: 3.4% | |||||||||||
Money Market: 3.4% | |||||||||||
1,105,516 | Oppenheimer Institutional Money Market Fund | $ | 1,105,516 | ||||||||
Total Short-Term Investments (Cost $ 1,105,516) | 1,105,516 | ||||||||||
Total Investments in Securities (Cost $ 30,869,981)* | 100.2 | % | $ | 33,192,127 | |||||||
Other Assets and Liabilities - Net | (0.2 | ) | (50,428 | ) | |||||||
Net Assets | 100.0 | % | $ | 33,141,699 | |||||||
* | Cost for federal income tax purposes is $32,011,450. |
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 2,383,680 | ||
Gross Unrealized Depreciation | (1,203,003 | ) | ||
Net Unrealized Appreciation | $ | 1,180,677 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Exchange-Traded Funds | $ | 779,011 | $ | — | $ | — | $ | 779,011 | ||||
Mutual Funds | 31,307,600 | — | — | 31,307,600 | ||||||||
Short-Term Investments | 1,105,516 | — | — | 1,105,516 | ||||||||
Total Investments, at value | $ | 33,192,127 | $ | — | $ | — | $ | 33,192,127 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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SHAREHOLDER MEETING INFORMATION (UNAUDITED)
A special meeting of shareholders of the ING Investors Trust was held April 20, 2010, at the offices of ING Funds, 7337 East Doubletree Ranch Road, Scottsdale, AZ 85258.
A brief description of each matter voted upon as well as the results are outlined below:
Matters:
1 | To convert the ING Focus 5 Portfolio to a fund-of-funds structure. |
2 | Subject to shareholder approval of proposal 1, to amend the investment management agreement between Directed Services LLC (“DSL”), the Portfolio’s investment adviser, and the Trust, on behalf of the Portfolio, to reduce the advisory fee payable by the Portfolio to DSL. |
Results:
Proposal | Shares voted for | Shares voted against or withheld | Shares abstained | Broker non-vote | Total Shares Voted | |||||
1* | 19,275,501.592 | 1,098,250.489 | 1,537,599.438 | 21,911,351.519 | ||||||
2* | 19,721,292.004 | 850,961.641 | 1,339,097.874 | 21,911,351.519 |
* | Proposals Passed |
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ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED)
BOARD CONSIDERATION AND APPROVAL OF NEW ADVISORY OR SUB-ADVISORY CONTRACTS
Section 15 of the Investment Company Act of 1940 Act, as amended (the “1940 Act”), mandates that, when a series of ING Investors (the “Trust”) enters into a new advisory or sub-advisory agreement, the Board of Trustees (the “Board”) of the Trust, including a majority of Board members who have no direct or indirect interest in the advisory contract or sub-advisory contract, and who are not “interested persons” of the Fund, as such term is defined under the 1940 Act (the “Independent Trustees”), must approve the new arrangements. Thus, at a meeting held on January 7, 2010, the Board, including a majority of the Independent Trustees, considered whether to approve the investment advisory contract (the “Advisory Contract”) with Directed Services LLC (the “Adviser”) and the sub-advisory contract (“Sub-Advisory Contract”) between the Adviser and Dimensional Fund Advisors LP (“DFA” or the “Sub-Adviser”) for ING DFA Global Allocation Portfolio (the “Portfolio”), a series of the Trust.
The type and format of the information provided to the Board or to legal counsel for the Independent Trustees in connection with the contract approval process has been codified in the ING Funds 15(c) Methodology Guide. This Guide was developed under the direction of the Independent Trustees and sets out a blueprint pursuant to which the Independent Trustees request certain information that they deem important to facilitate an informed review in connection with initial approvals of advisory contracts. Management provides certain of the information requested by the 15(c) Methodology Guide in Fund Analysis and Comparison Tables (“FACT sheets”) prior to the Independent Trustees’ review of advisory arrangements (including the Fund’s Advisory and Sub-Advisory Contracts).
In determining whether to initially approve the Advisory and Sub-Advisory Contracts for the Portfolio, the Board received and evaluated such information as it deemed necessary for an informed determination of whether each agreement, and the proposed policies and procedures for the Portfolio, should be approved. The materials provided to the Board in support of the Portfolio’s advisory and sub-advisory arrangements included the following: (1) a memorandum presenting Management’s rationale for requesting the launch of the Portfolio that discusses, among other things: (a) the Adviser’s experience and expertise in the management of other funds within the ING Funds complex; (b) the
experience of the Adviser overseeing sub-advisers to other funds within the ING Fund complex, including other funds-of-funds; and (c) the experience of DFA in managing asset allocation funds-of-funds; (2) information about the Portfolio’s investment objective and strategies and anticipated portfolio characteristics; (3) FACT sheets for the Portfolio that compare the Portfolio’s fee structure to its comparable selected peer group (“Selected Peer Group”) and Morningstar category medians; (4) responses to questions posed by K&L Gates LLP, independent legal counsel, on behalf of the Independent Trustees; (5) supporting documentation, including copies of the Advisory and Sub-Advisory Contracts for the Portfolio; and (6) other information relevant to the Board’s evaluation. In addition, the Board considered the information provided periodically throughout the year in presentations to the Board by the Adviser in the context of its oversight of other sub-advisers managing funds in the ING Funds complex, and by DFA at the January 6, 2010 Joint Investment Review Committee regarding the Portfolio.
The Board’s consideration of whether to approve the Advisory Contract with the Adviser on behalf of the Portfolio took into account several factors including, but not limited to, the following: (1) the nature and quality of the services to be provided by the Adviser to the Portfolio under the Advisory Contract; (2) the Adviser’s experience as a manager-of-managers overseeing sub-advisers to other funds within the ING Funds complex; (3) the Adviser’s strength and reputation within the industry; (4) the fairness of the compensation under the proposed Advisory Contract in light of the services to be provided to the Portfolio and taking into account the sub-advisory fees payable by the Adviser to DFA; (5) the fairness of the Adviser’s compensation under an Advisory Contract with level fees that does not include breakpoints; (6) the pricing structure (including the estimated expense ratio to be borne by shareholders) of the Portfolio, including that: (a) the proposed management fee (inclusive of the advisory fee and a 0.10% administration fee) for the Portfolio is below the average and median management fees of the funds in the Portfolio’s Selected Peer Group, and (b) the estimated expense ratio for the Fund is below the average and above the median and expense ratios of the funds in the Portfolio’s Selected Peer Group; (7) the projected profitability of the Adviser when sub-advisory fees payable by the Adviser to DFA are taken into account; (8) the personnel, operations, financial condition, and investment management capabilities and resources of
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ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
the Adviser; (9) the Adviser’s compliance capabilities, as demonstrated by, among other things, its policies and procedures designed to prevent violations of the Federal securities laws, which had previously been approved by the Board in connection with its oversight of other funds in the ING Funds complex; (10) the information that had been provided by the Adviser at regular Board meetings with respect to its capabilities as a manager of-managers in overseeing similar Funds; and (11) “fall-out benefits” to the Adviser and its affiliates that were anticipated to arise from the Adviser’s management of the Portfolio.
In reviewing the proposed Sub-Advisory Contract with DFA, the Board considered a number of factors, including, but not limited to, the following: (1) the Adviser’s view of the reputation of DFA and its sub-advisory services; (2) DFA’s strength and reputation in the industry; (3) the information that had been provided by DFA in advance of the January 6, 2010 Joint Investment Review Committees meeting at which DFA presented and the January 7, 2010 meeting of the Board with respect to DFA’s sub-advisory services; (4) the nature and quality of the services to be provided by DFA under the proposed Sub-Advisory Contract; (5) the personnel, operations, financial condition, and investment management capabilities, methodologies and resources of DFA; (6) the fairness of the compensation under the Sub-Advisory Contract in light of the services to be provided by DFA as the Portfolio’s Sub-Adviser; (7) the costs for the services to be provided by DFA; (8) DFA’s operations and compliance program, including its policies and procedures intended to assure
compliance with the Federal securities laws, which had been reviewed and evaluated by the Trust’s Chief Compliance Officer; (9) DFA’s financial condition; (10) the appropriateness of the selection of DFA in light of the Portfolio’s investment objective and prospective investor base; and (11) DFA’s Code of Ethics, which were approved by the Board at its January 7, 2010 meeting.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s proposed management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s estimated expense ratio is reasonable in the context of all factors considered by the Board; (3) the sub-advisory fee rate payable by the Adviser to DFA is reasonable in the context of all factors considered by the Board; (4) the Adviser maintains an appropriate compliance program, with this conclusion based upon the Board’s previous and ongoing review of its compliance programs; and (5) DFA maintains an appropriate compliance program, with this conclusion based upon, among other things, a representation from the Trust’s Chief Compliance Officer that DFA’s compliance policies and procedures are reasonably designed to assure compliance with the Federal securities laws. Based on these conclusions and other factors, the Board voted to approve the Advisory and Sub-Advisory Contracts for the Portfolio. During the Board’s deliberations, different Board members may have given different weight to different individual factors and related conclusions.
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Investment Advisers
Directed Services LLC
1475 Dunwoody Drive
West Chester, Pennsylvania 19380
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Distributor
ING Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Administrator
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc. (formerly, PNC Global Investment Servicing (U.S.) Inc.)
301 Bellevue Parkway
Wilmington, Delaware 19809
Custodian
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Legal Counsel
Dechert LLP
1775 I Street, N.W.
Washington, D.C. 20006
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable universal life insurance policy or variable annuity contract and the underlying variable investment options. This and other information is contained in the prospectus for the variable universal life policy or variable annuity contract and the underlying variable investment options. Obtain these prospectuses from your agent/ registered representative and read them carefully before investing.
VPSAR-UIITF0F1AIS | (0610-081910) |
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Semi-Annual Report
June 30, 2010
ING Investors Trust
n | ING American Funds Asset Allocation Portfolio |
n | ING American Funds Bond Portfolio |
n | ING American Funds Growth Portfolio |
n | ING American Funds Growth-Income Portfolio |
n | ING American Funds International Portfolio |
n | ING American Funds World Allocation 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 | ||
5 | ||
7 | ||
9 | ||
12 | ||
14 | ||
20 |
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.ingfunds.com; and (3) on the U.S. Securities and Exchange Commission’s (“SEC”) 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.ingfunds.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. 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; and is available upon request from the Portfolios by calling Shareholder Services toll-free at (800) 992-0180.
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Pay now and/or later
Dear Shareholder,
It’s summer, and it’s hot — 100 degrees has not been uncommon here on the East Coast — with no relief in the forecast. Do you turn up the air conditioning, knowing it will cost a fortune on your next electric bill? Or do you try to tough it out, sweltering to save money? Most of us would probably choose the immediate comfort of the A/C; the bill will come later.
The current heat wave thus presents a timely comparison to the trade-offs confronting policymakers as they consider the global economy. How do we balance the short-term need to sustain a fragile economic recovery against the long-term need to reduce deficits and debt? As with the heat, unless we make it through the short term, the
long term won’t matter much. But spending on economic stimulus in the short term could add to our long-term debt burden.
Most of the world is facing the same issues. Fiscal austerity programs are being implemented across Europe, and not just in those countries at most immediate risk of default. In the United States, there is as of yet no clear course of action. Expect to hear about this in the fall, as the gentle breezes of summer give way to the hot winds of electoral politics. We believe that for the next several months, markets will see heightened volatility as investors worldwide seek assurance that the global recovery remains on track. On the bright side, we expect corporate profits to continue to exceed expectations.
Confronted with this type of uncertainty, what do you do? Keep your options open — consider investing in funds that provide diversification geographically across markets and seek investment managers that are skilled at anticipating changes in correlations and risks among asset classes. And of course, discuss any proposed portfolio changes with your investment advisor before you take action.
Thank you for your continued confidence in ING Funds. We look forward to serving your investment needs in the future.
Sincerely,
Shaun Mathews
President & Chief Executive Officer
ING Funds
July 10, 2010
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.
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MARKET PERSPECTIVE: SIX MONTHS ENDED JUNE 30, 2010
After a 13-month advance through mid-April, a confluence of local and world concerns sent global equities, in the form of the MSCI World IndexSM measured in local currencies, including net reinvested dividends (“MSCI” for regions discussed below), on a steeply downward path. For the first half of the new fiscal year, the index fell 7.1% to closing levels not seen since October 2, 2009. (The MSCI World IndexSM returned (9.84)% for the six months ended June 30, 2010, measured in U.S. dollars.)
By the end of 2009, the rally had become increasingly edgy. The rescue of failing institutions by governments and central banks in Europe and the U.S. together with unprecedented fiscal and monetary stimulus to counter the ensuing recession had led to enormous, unsustainable budget deficits. Not only would stimulus programs end, but debt would need to be wound down.
Beacons of hope in this rather bleak outlook were thought to be the U.S. and emerging markets, centered on China. The U.S. with its vast, dynamic, flexible economy would surely bounce back most quickly in the developed world. Emerging market economies, more fiscally robust these days, had never suffered much of a financial crisis and recession anyway and were again showing vibrant growth. The demand for capital goods from China might sustain Japan’s export led revival, while in Europe, growth may be tepid but at least the situation was stable. By early May all of these premises were disintegrating, the erosion gathering pace through June.
In the U.S., the critical housing market seemed to be improving, boosted by tax credits for home buyers. After sliding for more than three years, house prices (based on the S&P/Case-Shiller 20-City Composite Home Price Index) finally showed year-over-year increases from February. But even before the credits expired, sales of existing homes turned down. And in May, sales of new homes fell by one third from April, to the lowest rate since at least 1963. Unemployment remained stubbornly high, near 10%. The June report showed only 41,000 private sector jobs created, with annual wage growth below 2%. The final estimate of Gross Domestic Product (“GDP”) growth for the first quarter was revised down to 2.7% annualized. And excluding inventory build-up, real final demand expanded at just 0.8% per annum. Retail sales unexpectedly dipped in May. Some commentators also cited trends in the bond market (see below) and pointed to a double-dip recession.
China had grown at “only” 8.7% in 2009. In response, the government instructed the banks to expand lending and first quarter GDP growth rebounded to 11.9%. But inflation picked up and a housing bubble developed. The authorities quickly back-pedaled and repeatedly raised banks’ reserve ratio requirements. By the end of June the increasingly closely-watched Chinese manufacturing purchasing managers’ index was weakening. The unofficial version compiled by HSBC plumbed a 12-month low.
In the Eurozone, default on billions of euro of Greece’s maturing bonds loomed. Amid downgrades and ballooning yields, Eurozone countries, with no single voice, dithered on the need for a bail-out, its size, terms and the involvement of the International Monetary Fund (“IMF”). Many expected contagion and even doubted the viability of the euro itself. At last on the weekend of May 8-9, Eurozone finance ministers agreed on a Financial Stabilization mechanism funded with €500 billion, while the IMF would add up to €250 billion. The European Central Bank started buying sovereign debt and by then it was abundantly clear that the real problem was that vast quantities of the debt were held in the banking system, which might seize up as a result. In short, another “Lehman” event was feared.
In U.S. fixed income markets, the Barclays Capital U.S. Aggregate Bond Index of investment grade bonds returned 5.33%, with the Barclays Capital U.S. Treasury Index (which returned 5.86%) slightly outperforming the Barclays Capital Corporate Investment Grade Bond Index (which returned 5.79%). The Barclays Capital High Yield Bond — 2% Issuer Constrained Composite Index gained 4.45%. In the flight to safety, the two-year Treasury yield reached a record low, while the difference between the yields on two-year and ten-year Treasuries, having set new record high levels in February, fell back to October 2009 spreads by the end of June.
U.S. equities, represented by the S&P 500® Index including dividends, fell 6.65% in the first half. Through early April, the economic reports seemed to be improving. Stock prices were also supported by strong earnings reports, with first quarter operating earnings per share for S&P 500® companies coming in about 92% above those for the corresponding quarter of 2009. The index peaked on April 23, up over 9% for the year, before factors described above drove investor sentiment and the market back down amid surging volatility.
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MARKET PERSPECTIVE: SIX MONTHS ENDED JUNE 30, 2010
In currencies, the scenario described above in the Eurozone propelled the dollar up 17.4% on the euro. The dollar also gained 5.7% against the pound but lost 3.9% to the Japanese yen.
In international markets, the MSCI Japan® Index dropped 7.5% for the first half of the year. The last thing export dependent Japan needed was a double-dip recession in the developed economies. Impressive 5% annualized first quarter GDP growth was considered vulnerable with household demand still slow and consumer prices drifting down. The MSCI Europe ex UK® Index fell 6.2%. As in the U.S., the first few weeks of April saw the 2010 high point for the index before the peril inherent in shaky sovereign debt captured the attention of investors. The MSCI UK® Index lost 7.6%, with BP contributing over 3% of it. The newly elected coalition government introduced an aggressively austere budget that would reduce the deficit to 3.9% by 2015, but this would have a depressing effect on growth and profits.
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.ingfunds.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.
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. |
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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, 2010 to June 30, 2010. 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 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 | Ending | Annualized | Expenses Paid | Beginning | Ending | Annualized | Expenses Paid | |||||||||||||||||
ING American Funds Asset Allocation Portfolio |
| |||||||||||||||||||||||
$ | 1,000.00 | $ | 946.50 | 1.05 | % | $ | 5.07 | $ | 1,000.00 | $ | 1,019.59 | 1.05 | % | $ | 5.26 | |||||||||
ING American Funds Bond Portfolio |
| |||||||||||||||||||||||
$ | 1,000.00 | $ | 1,045.00 | 1.02 | % | $ | 5.17 | $ | 1,000.00 | $ | 1,019.74 | 1.02 | % | $ | 5.11 | |||||||||
ING American Funds Growth Portfolio |
| |||||||||||||||||||||||
$ | 1,000.00 | $ | 942.90 | 1.13 | % | $ | 5.44 | $ | 1,000.00 | $ | 1,019.19 | 1.13 | % | $ | 5.66 | |||||||||
ING American Funds Growth-Income Portfolio |
| |||||||||||||||||||||||
$ | 1,000.00 | $ | 907.30 | 1.07 | % | $ | 5.06 | $ | 1,000.00 | $ | 1,019.49 | 1.07 | % | $ | 5.36 | |||||||||
ING American Funds International Portfolio |
| |||||||||||||||||||||||
$ | 1,000.00 | $ | 865.20 | 1.32 | % | $ | 6.10 | $ | 1,000.00 | $ | 1,018.25 | 1.32 | % | $ | 6.61 | |||||||||
ING American Funds World Allocation Portfolio* |
| |||||||||||||||||||||||
$ | 1,000.00 | $ | 959.10 | 0.79 | % | $ | 3.84 | $ | 1,000.00 | $ | 1,020.88 | 0.79 | % | $ | 3.96 |
* | Expense ratio does not include expense of underlying funds. |
** | Expenses are equal to each Portfolio’s respective annualized expense ratios, including the expenses of the Master fund, multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half-year. |
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STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED)
ING American Funds Asset Allocation Portfolio | ING American Funds Bond Portfolio | ING American Funds Growth Portfolio | ||||||||||
ASSETS: | ||||||||||||
Investments in master fund at value*(1) | $ | 308,615,323 | $ | 522,829,639 | $ | 1,947,945,859 | ||||||
Cash | 513 | 85,132 | 17,516 | |||||||||
Receivables: | ||||||||||||
Investments in master fund sold | — | 6,583,075 | — | |||||||||
Fund shares sold | 920,451 | — | 2,808,114 | |||||||||
Prepaid expenses | 1,372 | 2,365 | 9,964 | |||||||||
Total assets | 309,537,659 | 529,500,211 | 1,950,781,453 | |||||||||
LIABILITIES: | ||||||||||||
Payable for investments in master fund purchased | 920,451 | — | 2,797,473 | |||||||||
Payable for fund shares redeemed | — | 6,583,075 | 10,641 | |||||||||
Accrued distribution fees | 183,675 | 258,437 | 842,184 | |||||||||
Payable for trustee fees | 680 | 2,817 | 18,539 | |||||||||
Other accrued expenses and liabilities | 32,309 | 53,770 | 231,882 | |||||||||
Total liabilities | 1,137,115 | 6,898,099 | 3,900,719 | |||||||||
NET ASSETS | $ | 308,400,544 | $ | 522,602,112 | $ | 1,946,880,734 | ||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||
Paid-in capital | $ | 297,347,219 | $ | 483,930,755 | $ | 2,460,213,195 | ||||||
Undistributed net investment income | 5,426,307 | 14,139,662 | 602,345 | |||||||||
Accumulated net realized loss | (6,938,579 | ) | (8,475,568 | ) | (41,466,213 | ) | ||||||
Net unrealized appreciation or depreciation | 12,565,597 | 33,007,263 | (472,468,593 | ) | ||||||||
NET ASSETS | $ | 308,400,544 | $ | 522,602,112 | $ | 1,946,880,734 | ||||||
| ||||||||||||
* Cost of investments in master fund | $ | 296,049,726 | $ | 489,822,376 | $ | 2,420,414,452 | ||||||
Net assets | $ | 308,400,544 | $ | 522,602,112 | $ | 1,946,880,734 | ||||||
Shares authorized | unlimited | unlimited | unlimited | |||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||
Shares outstanding | 37,119,403 | 51,159,613 | 48,135,435 | |||||||||
Net asset value and redemption price per share | $ | 8.31 | $ | 10.22 | $ | 40.45 |
(1) | The master funds for the ING American Funds Asset Allocation, ING American Funds Bond, ING American Funds Growth, ING American Funds Growth-Income Portfolio, and ING American Funds International are the Class 1 shares of the American Asset Allocation and American Bond and Class 2 shares for the American Growth, American Growth-Income and American International Funds, respectively. These financial statements should be read in conjunction with the master American Funds’ financial statements. |
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STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED)
ING American Funds Growth-Income Portfolio | ING American Funds International Portfolio | ING American Funds World Allocation Portfolio | |||||||||
ASSETS: | |||||||||||
Investments in master fund at value*(1) | $ | 1,228,907,036 | $ | 1,194,026,334 | $ | — | |||||
Investments in underlying funds at value** | — | — | 117,317,253 | ||||||||
Cash | 53,835 | 38,122 | — | ||||||||
Receivable for fund shares sold | 6,370,129 | 8,157,899 | 194,326 | ||||||||
Prepaid expenses | 6,431 | 6,463 | 354 | ||||||||
Reimbursement due from manager | — | — | 4,662 | ||||||||
Total assets | 1,235,337,431 | 1,202,228,818 | 117,516,595 | ||||||||
LIABILITIES: | |||||||||||
Payable for investments in master fund purchased | 6,368,597 | 8,156,255 | 194,327 | ||||||||
Payable for fund shares redeemed | 1,532 | 1,644 | — | ||||||||
Accrued investment management fees | — | — | 9,833 | ||||||||
Accrued administrative fees | — | — | 9,833 | ||||||||
Accrued distribution fees | 532,358 | 502,118 | 59,000 | ||||||||
Payable for trustee fees | 17,199 | 12,434 | 378 | ||||||||
Other accrued expenses and liabilities | 181,239 | 146,604 | 19,216 | ||||||||
Total liabilities | 7,100,925 | 8,819,055 | 292,587 | ||||||||
NET ASSETS | $ | 1,228,236,506 | $ | 1,193,409,763 | $ | 117,224,008 | |||||
NET ASSETS WERE COMPRISED OF: | |||||||||||
Paid-in capital | $ | 1,608,662,427 | $ | 1,557,808,276 | $ | 105,070,140 | |||||
Undistributed net investment income | 13,233,330 | 18,353,278 | 1,397,772 | ||||||||
Accumulated net realized gain (loss) | (34,315,338 | ) | (6,419,915 | ) | 5,597,692 | ||||||
Net unrealized appreciation or depreciation | (359,343,913 | ) | (376,331,876 | ) | 5,158,404 | ||||||
NET ASSETS | $ | 1,228,236,506 | $ | 1,193,409,763 | $ | 117,224,008 | |||||
* Cost of investments in master fund | $ | 1,588,250,949 | $ | 1,570,358,210 | $ | — | |||||
** Cost of investments in underlying funds | $ | — | $ | — | $ | 112,158,849 | |||||
Net assets | $ | 1,228,236,506 | $ | 1,193,409,763 | $ | 117,224,008 | |||||
Shares authorized | unlimited | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||||
Shares outstanding | 44,193,745 | 86,928,789 | 11,373,184 | ||||||||
Net asset value and redemption price per share | $ | 27.79 | $ | 13.73 | $ | 10.31 |
(1) | The master funds for the ING American Funds Asset Allocation, ING American Funds Bond, ING American Funds Growth, ING American Funds Growth-Income Portfolio, and ING American Funds International are the Class 1 shares of the American Asset Allocation and American Bond and Class 2 shares for the American Growth, American Growth-Income and American International Funds, respectively. These financial statements should be read in conjunction with the master American Funds’ financial statements. |
See Accompanying Notes to Financial Statements
6
Table of Contents
STATEMENTS OF OPERATIONSFORTHE SIX MONTHS ENDED JUNE 30, 2010 (UNAUDITED)
|
ING American Funds Asset Allocation Portfolio | ING American Funds Bond Portfolio | ING American Funds Growth Portfolio | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividends from master fund(1) | $ | 1,326,251 | $ | 3,035,888 | $ | 3,807,229 | ||||||
Total investment income | 1,326,251 | 3,035,888 | 3,807,229 | |||||||||
EXPENSES: | ||||||||||||
Distribution and service fees | 1,123,598 | 1,536,948 | 5,350,505 | |||||||||
Transfer agent fees | 152 | 273 | 1,192 | |||||||||
Shareholder reporting expense | 13,916 | 27,109 | 107,025 | |||||||||
Professional fees | 10,555 | 17,852 | 55,865 | |||||||||
Custody and accounting expense | 12,075 | 19,890 | 73,374 | |||||||||
Trustee fees | 4,337 | 7,353 | 28,094 | |||||||||
Miscellaneous expense | 6,885 | 6,228 | 26,430 | |||||||||
Total expenses | 1,171,518 | 1,615,653 | 5,642,485 | |||||||||
Net investment income (loss) | 154,733 | 1,420,235 | (1,835,256 | ) | ||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized loss | (2,630,927 | ) | (2,028,245 | ) | (166,009 | ) | ||||||
Net change in unrealized appreciation or depreciation | (15,655,514 | ) | 23,084,948 | (115,606,908 | ) | |||||||
Net realized and unrealized gain (loss) | (18,286,441 | ) | 21,056,703 | (115,772,917 | ) | |||||||
Increase (decrease) in net assets resulting from operations | $ | (18,131,708 | ) | $ | 22,476,938 | $ | (117,608,173 | ) | ||||
(1) | The master funds for the ING American Funds Asset Allocation, ING American Funds Bond, ING American Funds Growth, ING American Funds Growth-Income Portfolio, and ING American Funds International are the Class 1 shares of the American Asset Allocation and American Bond and Class 2 shares for the American Growth, American Growth-Income and American International Funds, respectively. These financial statements should be read in conjunction with the master American Funds’ financial statements. |
See Accompanying Notes to Financial Statements
7
Table of Contents
STATEMENTS OF OPERATIONSFORTHE SIX MONTHS ENDED JUNE 30, 2010 (UNAUDITED)
ING American Funds Growth-Income Portfolio | ING American Funds International Portfolio | ING American Funds World Allocation Portfolio | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividends from master fund(1) | $ | 3,635,385 | $ | 9,378,120 | $ | — | ||||||
Dividends from underlying funds | — | — | 694,056 | |||||||||
Total investment income | 3,635,385 | 9,378,120 | 694,056 | |||||||||
EXPENSES: | ||||||||||||
Investment management fees | — | — | 59,770 | |||||||||
Distribution and service fees | 3,464,826 | 3,330,280 | 358,624 | |||||||||
Transfer agent fees | 718 | 895 | 68 | |||||||||
Administrative service fees | — | — | 59,770 | |||||||||
Shareholder reporting expense | 76,209 | 65,611 | 2,020 | |||||||||
Professional fees | 29,002 | 34,607 | 4,848 | |||||||||
Custody and accounting expense | 47,016 | 47,868 | 4,314 | |||||||||
Trustee fees | 20,851 | 17,796 | 295 | |||||||||
Miscellaneous expense | 19,935 | 21,485 | 1,507 | |||||||||
Total expenses | 3,658,557 | 3,518,542 | 491,216 | |||||||||
Net waived and reimbursed fees | — | — | (18,528 | ) | ||||||||
Net expenses | 3,658,557 | 3,518,542 | 472,688 | |||||||||
Net investment income (loss) | (23,172 | ) | 5,859,578 | 221,368 | ||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized gain (loss) | (7,987,215 | ) | 459,147 | 2,137,809 | ||||||||
Net change in unrealized appreciation or depreciation | (117,154,659 | ) | (198,372,253 | ) | (7,633,687 | ) | ||||||
Net realized and unrealized loss | (125,141,874 | ) | (197,913,106 | ) | (5,495,878 | ) | ||||||
Decrease in net assets resulting from operations | $ | (125,165,046 | ) | $ | (192,053,528 | ) | $ | (5,274,510 | ) | |||
(1) | The master funds for the ING American Funds Asset Allocation, ING American Funds Bond, ING American Funds Growth, ING American Funds Growth-Income Portfolio, and ING American Funds International are the Class 1 shares of the American Asset Allocation and American Bond and Class 2 shares for the American Growth, American Growth-Income and American International Funds, respectively. These financial statements should be read in conjunction with the master American Funds’ financial statements. |
See Accompanying Notes to Financial Statements
8
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING American Funds Asset Allocation Portfolio | ING American Funds Bond Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 154,733 | $ | 5,281,680 | $ | 1,420,235 | $ | 12,724,276 | ||||||||
Net realized loss | (2,630,927 | ) | (2,817,961 | ) | (2,028,245 | ) | (3,947,394 | ) | ||||||||
Net change in unrealized appreciation or depreciation | (15,655,514 | ) | 56,151,111 | 23,084,948 | 39,590,065 | |||||||||||
Increase (decrease) in net assets resulting from operations | (18,131,708 | ) | 58,614,830 | 22,476,938 | 48,366,947 | |||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income | — | (3,955,292 | ) | — | (14,047,481 | ) | ||||||||||
Net realized gains | — | (1,077,817 | ) | — | (88,852 | ) | ||||||||||
Total distributions | — | (5,033,109 | ) | — | (14,136,333 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 24,746,145 | 113,983,862 | 36,276,654 | 241,418,179 | ||||||||||||
Reinvestment of distributions | — | 5,033,109 | — | 14,136,333 | ||||||||||||
24,746,145 | 119,016,971 | 36,276,654 | 255,554,512 | |||||||||||||
Cost of shares redeemed | (12,301,222 | ) | (8,834,472 | ) | (38,131,713 | ) | (50,936,315 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 12,444,923 | 110,182,499 | (1,855,059 | ) | 204,618,197 | |||||||||||
Net increase (decrease) in net assets | (5,686,785 | ) | 163,764,220 | 20,621,879 | 238,848,811 | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 314,087,329 | 150,323,109 | 501,980,233 | 263,131,422 | ||||||||||||
End of period | $ | 308,400,544 | $ | 314,087,329 | $ | 522,602,112 | $ | 501,980,233 | ||||||||
Undistributed net investment income at end of period | $ | 5,426,307 | $ | 5,271,574 | $ | 14,139,662 | $ | 12,719,427 | ||||||||
See Accompanying Notes to Financial Statements
9
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING American Funds Growth Portfolio | ING American Funds Growth-Income Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (1,835,256 | ) | $ | 2,455,063 | $ | (23,172 | ) | $ | 13,276,867 | ||||||
Net realized loss | (166,009 | ) | (32,186,673 | ) | (7,987,215 | ) | (21,225,366 | ) | ||||||||
Net change in unrealized appreciation or depreciation | (115,606,908 | ) | 641,030,781 | (117,154,659 | ) | 343,904,064 | ||||||||||
Increase (decrease) in net assets resulting from operations | (117,608,173 | ) | 611,299,171 | (125,165,046 | ) | 335,955,565 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income | — | (35,054,045 | ) | — | (28,804,403 | ) | ||||||||||
Net realized gains | — | (239,737,684 | ) | — | (90,524,474 | ) | ||||||||||
Total distributions | — | (274,791,729 | ) | — | (119,328,877 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 18,764,422 | 104,227,020 | 14,996,537 | 47,565,189 | ||||||||||||
Reinvestment of distributions | — | 274,791,729 | — | 119,328,877 | ||||||||||||
18,764,422 | 379,018,749 | 14,996,537 | 166,894,066 | |||||||||||||
Cost of shares redeemed | (125,547,589 | ) | (138,156,993 | ) | (82,215,394 | ) | (72,681,182 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (106,783,167 | ) | 240,861,756 | (67,218,857 | ) | 94,212,884 | ||||||||||
Net increase (decrease) in net assets | (224,391,340 | ) | 577,369,198 | (192,383,903 | ) | 310,839,572 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 2,171,272,074 | 1,593,902,876 | 1,420,620,409 | 1,109,780,837 | ||||||||||||
End of period | $ | 1,946,880,734 | $ | 2,171,272,074 | $ | 1,228,236,506 | $ | 1,420,620,409 | ||||||||
Undistributed net investment income at end of period | $ | 602,345 | $ | 2,437,601 | $ | 13,233,330 | $ | 13,256,502 | ||||||||
See Accompanying Notes to Financial Statements
10
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING American Funds International Portfolio | ING American Funds World Allocation Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 5,859,578 | $ | 12,505,897 | $ | 221,368 | $ | 1,181,574 | ||||||||
Net realized gain (loss) | 459,147 | (4,093,849 | ) | 2,137,809 | 3,516,738 | |||||||||||
Net change in unrealized appreciation or depreciation | (198,372,253 | ) | 399,353,838 | (7,633,687 | ) | 12,622,167 | ||||||||||
Increase (decrease) in net assets resulting from operations | (192,053,528 | ) | 407,765,886 | (5,274,510 | ) | 17,320,479 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income | — | (40,904,055 | ) | — | (285,130 | ) | ||||||||||
Net realized gains | — | (188,005,316 | ) | — | — | |||||||||||
Total distributions | — | (228,909,371 | ) | — | (285,130 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 37,366,974 | 131,288,136 | 27,807,710 | 84,251,092 | ||||||||||||
Reinvestment of distributions | — | 228,909,371 | — | 285,130 | ||||||||||||
37,366,974 | 360,197,507 | 27,807,710 | 84,536,222 | |||||||||||||
Cost of shares redeemed | (90,416,774 | ) | (91,232,990 | ) | (8,520,930 | ) | (11,484,159 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (53,049,800 | ) | 268,964,517 | 19,286,780 | 73,052,063 | |||||||||||
Net increase (decrease) in net assets | (245,103,328 | ) | 447,821,032 | 14,012,270 | 90,087,412 | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,438,513,091 | 990,692,059 | 103,211,738 | 13,124,326 | ||||||||||||
End of period | $ | 1,193,409,763 | $ | 1,438,513,091 | $ | 117,224,008 | $ | 103,211,738 | ||||||||
Undistributed net investment income at end of period | $ | 18,353,278 | $ | 12,493,700 | $ | 1,397,772 | $ | 1,176,404 | ||||||||
See Accompanying Notes to Financial Statements
11
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 | Ratios and supplemental data including the master fund | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) on master fund | Total from investment operations | From net investment income | From net realized gains from master fund | From return of capital from master fund | Total distributions | Net asset value, end of year or period | Total Return(1) | Expenses excluding expenses of the master fund(2)(3) | Net investment income (loss) excluding expenses of the master fund(2)(3) | Net assets, end of year or period | Portfolio turnover rate(4) | Expenses including gross expenses of the master fund(2) | Expenses including expenses net of voluntary waivers, if any, of the master fund(2) | Expenses including expenses net of all reductions of the master fund(2) | Portfolio turnover rate of the master fund | ||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | ($000’s) | (%) | (%) | (%) | (%) | (%) | |||||||||||||||||||||||||||
ING American Funds Asset Allocation Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 8.78 | 0.00 | · * | (0.47 | ) | (0.47 | ) | — | — | — | — | 8.31 | (5.35 | ) | 0.73 | 0.10 | 308,401 | 4 | 1.05 | 1.05 | 1.05 | 23 | |||||||||||||||||||||||
12-31-09 | 7.26 | 0.17 | · | 1.50 | 1.67 | 0.12 | 0.03 | — | 0.15 | 8.78 | 23.37 | 0.74 | 2.18 | 314,087 | 4 | 1.06 | 1.06 | 1.06 | 41 | ||||||||||||||||||||||||||
04-28-08(5) - 12-31-08 | 10.00 | 0.44 | · | (3.18 | ) | (2.74 | ) | — | — | — | — | 7.26 | (27.40 | ) | 0.78 | 8.32 | 150,323 | 9 | 1.10 | 1.07 | 1.07 | 36 | |||||||||||||||||||||||
ING American Funds Bond Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.78 | 0.03 | 0.41 | 0.44 | — | — | — | — | 10.22 | 4.50 | 0.63 | 0.55 | 522,602 | 7 | 1.02 | 1.02 | 1.02 | 75 | |||||||||||||||||||||||||||
12-31-09 | 9.02 | 0.29 | · | 0.79 | 1.08 | 0.32 | 0.00 | * | — | 0.32 | 9.78 | 12.15 | 0.63 | 3.11 | 501,980 | 12 | 1.02 | 1.02 | 1.02 | 125 | |||||||||||||||||||||||||
12-31-08 | 9.99 | 1.06 | · | (2.03 | ) | (0.97 | ) | 0.00 | * | — | — | 0.00 | * | 9.02 | (9.71 | ) | 0.68 | 11.45 | 263,131 | 19 | 1.08 | 1.04 | 1.04 | 63 | |||||||||||||||||||||
11-12-07(5) - 12-31-07 | 10.00 | 0.41 | · | (0.42 | ) | (0.01 | ) | — | — | — | — | 9.99 | (0.10 | ) | 0.52 | 30.48 | 1 | 0 | * | 0.93 | 0.89 | 0.89 | 57 | ||||||||||||||||||||||
ING American Funds Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 42.90 | (0.04 | ) | (2.41 | ) | (2.45 | ) | — | — | — | — | 40.45 | (5.71 | ) | 0.53 | (0.17 | ) | 1,946,881 | 1 | 1.13 | 1.13 | 1.13 | 15 | ||||||||||||||||||||||
12-31-09 | 36.46 | 0.05 | 12.68 | 12.73 | 0.80 | 5.49 | — | 6.29 | 42.90 | 38.70 | 0.53 | 0.13 | 2,171,272 | 6 | 1.13 | 1.13 | 1.13 | 37 | |||||||||||||||||||||||||||
12-31-08 | 71.12 | 0.18 | · | (29.93 | ) | (29.75 | ) | 0.47 | 4.44 | — | 4.91 | 36.46 | (44.29 | ) | 0.53 | 0.33 | 1,593,903 | 16 | 1.11 | 1.08 | 1.08 | 26 | |||||||||||||||||||||||
12-31-07 | 64.29 | 0.19 | 7.37 | 7.56 | 0.18 | 0.55 | — | 0.73 | 71.12 | 11.76 | 0.52 | 0.31 | 2,532,008 | 3 | 1.10 | 1.07 | 1.07 | 40 | |||||||||||||||||||||||||||
12-31-06 | 58.81 | 0.20 | · | 5.46 | 5.66 | 0.11 | 0.07 | — | 0.18 | 64.29 | 9.65 | 0.53 | 0.33 | 2,041,273 | 1 | 1.12 | 1.09 | 1.09 | 35 | ||||||||||||||||||||||||||
12-31-05 | 50.88 | 0.12 | 7.82 | 7.94 | — | 0.01 | — | 0.01 | 58.81 | 15.61 | 0.52 | 0.27 | 1,550,350 | 1 | 1.12 | 1.09 | 1.09 | 29 | |||||||||||||||||||||||||||
ING American Funds Growth-Income Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 30.63 | (0.00 | )· * | (2.84 | ) | (2.84 | ) | — | — | — | — | 27.79 | (9.27 | ) | 0.53 | (0.00 | )* | 1,228,237 | 1 | 1.07 | 1.07 | 1.07 | 12 | ||||||||||||||||||||||
12-31-09 | 26.02 | 0.29 | 7.12 | 7.41 | 0.68 | 2.12 | — | 2.80 | 30.63 | 30.57 | 0.53 | 1.09 | 1,420,620 | 5 | 1.07 | 1.07 | 1.07 | 24 | |||||||||||||||||||||||||||
12-31-08 | 44.55 | 0.46 | · | (16.94 | ) | (16.48 | ) | 0.55 | 1.50 | — | 2.05 | 26.02 | (38.19 | ) | 0.54 | 1.27 | 1,109,781 | 11 | 1.07 | 1.04 | 1.04 | 31 | |||||||||||||||||||||||
12-31-07 | 43.90 | 0.49 | · | 1.54 | 2.03 | 0.46 | 0.92 | — | 1.38 | 44.55 | 4.49 | 0.52 | 1.07 | 1,649,579 | 3 | 1.04 | 1.02 | 1.02 | 24 | ||||||||||||||||||||||||||
12-31-06 | 38.72 | 0.47 | · | 5.15 | 5.62 | 0.29 | 0.15 | — | 0.44 | 43.90 | 14.61 | 0.53 | 1.14 | 1,427,375 | 1 | 1.06 | 1.03 | 1.03 | 25 | ||||||||||||||||||||||||||
12-31-05 | 36.93 | 0.38 | · | 1.57 | 1.95 | 0.13 | 0.03 | — | 0.16 | 38.72 | 5.29 | 0.52 | 1.00 | 1,063,647 | 1 | 1.06 | 1.04 | 1.04 | 20 | ||||||||||||||||||||||||||
ING American Funds International Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
06-30-10 | 15.87 | 0.07 | (2.21 | ) | (2.14 | ) | — | — | — | — | 13.73 | (13.48 | ) | 0.53 | 0.88 | 1,193,410 | 3 | 1.32 | 1.32 | 1.32 | 12 | ||||||||||||||||||||||||
12-31-09 | 13.99 | 0.15 | 5.04 | 5.19 | 0.59 | 2.72 | — | 3.31 | 15.87 | 42.36 | 0.53 | 1.08 | 1,438,513 | 8 | 1.32 | 1.32 | 1.32 | 46 | |||||||||||||||||||||||||||
12-31-08 | 26.26 | 0.29 | · | (10.94 | ) | (10.65 | ) | 0.38 | 1.24 | — | 1.62 | 13.99 | (42.46 | ) | 0.54 | 1.44 | 990,692 | 23 | 1.31 | 1.26 | 1.26 | 52 | |||||||||||||||||||||||
12-31-07 | 22.56 | 0.28 | · | 4.07 | 4.35 | 0.23 | 0.42 | — | 0.65 | 26.26 | 19.41 | 0.52 | 1.15 | 1,608,774 | 6 | 1.29 | 1.24 | 1.24 | 41 | ||||||||||||||||||||||||||
12-31-06 | 19.24 | 0.27 | · | 3.24 | 3.51 | 0.15 | 0.04 | — | 0.19 | 22.56 | 18.35 | 0.53 | 1.30 | 1,126,589 | 4 | 1.32 | 1.27 | 1.27 | 29 | ||||||||||||||||||||||||||
12-31-05 | 16.03 | 0.23 | · | 3.10 | 3.33 | 0.09 | 0.03 | — | 0.12 | 19.24 | 20.92 | 0.52 | 1.33 | 718,768 | 2 | 1.34 | 1.29 | 1.29 | 40 |
(1) | Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and does not reflect the effect of insurance contract charges. Total returns for periods less than one year are not annualized. |
(2) | Annualized for periods less than one year. |
(3) | Expense ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. |
(4) | Portfolio turnover rate is calculated based on the Portfolio’s purchases or sales of the master fund. |
(5) | Commencement of operations. |
· | Calculated using average number of shares outstanding throughout the period. |
* | Amount is less than $0.005 or 0.500% or more than $(0.005) or (0.005)%. |
See Accompanying Notes to Financial Statements
12
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED)
Selected data for a share of beneficial interest outstanding throughout each year or period.
Income (loss) from investment operations | Less distributions | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | From return of capital | Total distributions | Net asset value, end of year or period | Total return(1) | Expenses before reductions/additions(2)(3)(4) | Expenses net of fee waivers and/or recoupments, if any(2)(3)(4) | Expenses net of all reductions/additions(2)(3)(4) | Net investment income (loss)(2)(3)(4) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | ||||||||||||||||||||
ING American Funds World Allocation Portfolio | ||||||||||||||||||||||||||||||||||||
06-30-10 | 10.75 | 0.02 | · | (0.46 | ) | (0.44 | ) | — | — | — | — | 10.31 | (4.09 | ) | 0.82 | 0.79 | 0.79 | 0.37 | 117,224 | 7 | ||||||||||||||||
12-31-09 | 8.02 | 0.20 | · | 2.58 | 2.78 | 0.05 | — | — | 0.05 | 10.75 | 34.73 | 0.91 | 0.79 | 0.79 | 2.13 | 103,212 | 28 | |||||||||||||||||||
09-29-08(5) - 12-31-08 | 10.00 | 0.43 | · | (2.41 | ) | (1.98 | ) | — | — | — | — | 8.02 | (19.80 | ) | 4.56 | 0.79 | 0.79 | 22.00 | 13,124 | 7 |
(1) | Total return is calculated assuming reinvestment of dividends and capital gain distributions at net asset value and does not reflect the effect of insurance contract charges. Total return for less than one year is not annualized. |
(2) | Annualized for periods less than one year. |
(3) | Expense ratios do not include expenses of Underlying Funds and do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. |
(4) | Expense ratios reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed by the Investment Adviser 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 the Investment Adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions. |
(5) | Commencement of operations. |
· | Calculated using average number of shares outstanding throughout the period. |
See Accompanying Notes to Financial Statements
13
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED)
NOTE 1 — ORGANIZATION
Organization. ING Investors Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was organized as a Massachusetts business trust on August 3, 1988. The Trust currently consists of fifty active separate investment series. The six portfolios included in this report are: ING American Funds Asset Allocation Portfolio (“Asset Allocation”), ING American Funds Bond Portfolio (“Bond”), ING American Funds Growth Portfolio (“Growth”), ING American Funds Growth-Income Portfolio (“Growth-Income”), ING American Funds International Portfolio (“International”), and ING American Funds World Allocation Portfolio (“World Allocation”) (each, a “Portfolio” and collectively, the “Portfolios”). Each Portfolio is a diversified series of the Trust.
Each Portfolio (except World Allocation) operates as a “feeder fund” and seeks to achieve its investment objective by investing all its investable assets in a separate mutual fund (“Master Fund”). Each Master Fund is a series of American Funds Insurance Series® (“American Funds”), a registered open-end management investment company that has the same investment objective and substantially similar policies as each corresponding Portfolio. As of June 30, 2010 Asset Allocation, Bond, Growth, Growth-Income, and International held 3.3%, 5.6%, 8.5% 5.7% and 14.3% of the American Asset Allocation Fund, American Bond Fund, American Growth Fund, American Growth-Income Fund, and American International Fund, respectively. Each Master Fund directly acquires securities and a Portfolio investing in the Master Fund acquires an indirect interest in those securities.
Shares of the Trust are currently being offered only to participating insurance companies for allocation to certain of their separate accounts established for the purpose of funding variable annuity contracts and variable life insurance policies (“Variable Contracts”) issued by the participating insurance companies as well as qualified pension and retirement plans (“Qualified Plans”).
ING Investments, LLC (“ING Investments”) serves as the investment adviser to Asset Allocation, Bond, Growth, Growth-Income and International. Directed Services LLC (“DSL”) serves as the investment adviser to World Allocation. ING Funds Services, LLC serves as the administrator (“IFS” or the “Administrator”) for the Portfolios. ING Investments Distributor, LLC (formerly,
ING Funds Distributor, LLC) (“IID” or the “Distributor”) serves as the principal underwriter to the Portfolios.
ING Investments, DSL, 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 divested by ING Groep by the end of 2013. While there can be no assurance that it will be carried out, the restructuring plan presents certain risks, including uncertainty about the effect on the businesses of the ING entities that service the Portfolios and potential termination of the Portfolios’ existing advisory agreement, which may trigger the need for shareholder approval of new agreements.
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 for investment companies.
A. Security Valuation. The valuation of each Portfolio’s (except World Allocation) investment in its corresponding Master Fund is based on the net asset value of that Master Fund each business day. Valuation of the investments by the Master Funds is discussed in the Master Funds’ notes to financial statements, which accompany this report. The valuation of the World Allocation’s investments in its Underlying Funds is based on the net asset value of the Underlying Funds each business day.
Fair value is defined as the price that the Portfolio 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 Portfolio 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 sub-adviser’s judgment about the assumptions that a market
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
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. Securities valued at amortized cost are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing the Portfolio’s investments under these levels of classification is included following the Portfolio of Investments.
For the six months ended June 30, 2010, there have been no significant changes to the fair valuation methodologies.
B. Security Transactions and Revenue Recognition. Security transactions are accounted for on trade date. Dividend income received from the master fund or underlying funds is recognized on the ex-dividend date and is recorded as dividends in the Statement of Operations. Capital gain distributions received from the master fund or underlying funds are recognized on ex-dividend date and are recorded on the Statement of Operations as such. Costs used in determining realized gains and losses on the sales of investment securities are on the basis of specific identification.
C. Distributions to Shareholders. The Portfolios record distributions to their shareholders on the ex-dividend date. Each Portfolio distributes dividends and capital gains, if any, annually. The Portfolios may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code. The characteristics of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies.
D. 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 related excise tax provisions and to distribute substantially all of their net investment income and any net realized capital gains to their shareholders. Therefore, no federal income tax provision is 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 any capital loss carryforwards have been fully utilized or expired.
E. 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.
F. 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, cannot be estimated; however, based on experience, management believes the risk of loss from such claims is considered remote.
NOTE 3 — INVESTMENT MANAGEMENT, ADMINISTRATIVE FEES AND MASTER FUNDS EXPENSES
ING Investments provides Asset Allocation, Bond, Growth, International and Growth-Income with advisory services, respectively, under a management agreement. Under the terms of the management agreement, during periods when Asset Allocation, Bond, Growth, International and Growth-Income invests all or substantially all of its assets in another investment company, each respective Portfolio pays no management fee. During periods when Asset Allocation, Bond, Growth, International and Growth-Income invest directly in investment securities, each respective Portfolio pays ING Investments a monthly management fee based on the following annual rates of the average daily net assets:
Portfolio | Fee | |
Asset Allocation | 0.5000% of the first $600 million; 0.4200% on the next $600 million; 0.3600% on the next $800 million; 0.3200% on the next $1 billion; 0.2800% on the next $2 billion; 0.2600% on the next $3 billion; and 0.2500% of the amount in excess of $8 billion | |
Bond | 0.48% of the first $600 million; 0.44% of the next $400 million; 0.40% of the next $1 billion; 0.38% of the next $1 billion; and 0.36% of the amount in excess of $3 billion |
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 3 — INVESTMENT MANAGEMENT, ADMINISTRATIVE FEES AND MASTER FUNDS EXPENSES (continued)
Portfolio | Fee | |
Growth | 0.50% of the first $600 million; 0.45% of the next $400 million; 0.42% of the next $1 billion; 0.37% of the next $1 billion; 0.35% on the next $2 billion; 0.33% of the next $3 billion; 0.315% of the next $5 billion; and 0.30% of the amount in excess of $13 billion | |
Growth-Income | 0.50% of the first $600 million; 0.45% on the next $900 million; 0.40% on the next $1 billion; 0.32% on the next $1.5 billion; 0.285% on the next $2.5 billion; 0.256% on the next $4 billion; and 0.242% of the amount in excess of $10.5 billion | |
International | 0.69% of the first $500 million; 0.59% on the next $500 million; 0.53% on the next $500 million; 0.50% on the next $1 billion; 0.48% on the next $1.5 billion; 0.47% on the next $2.5 billion; 0.46% on the next $4 billion; and 0.45% of the amount in excess of $10.5 billion |
Because each of Asset Allocation, Bond, Growth, Growth-Income, and International invests all of its assets in a Master Fund, each respective Portfolio and its shareholders will bear the fees and expenses of each respective Portfolio and the Master Fund in which it invests, with the result that the respective Portfolio’s expenses may be higher than those of other mutual funds which invest directly in securities.
World Allocation has entered into an investment management agreement (“Investment Management Agreement”) with DSL. The Investment Management Agreement compensates DSL in the amount equal to 0.10% of the Portfolio’s average daily net assets.
IFS acts as administrator and provides certain administrative and shareholder services necessary for the Portfolios’ operations and is responsible for the supervision of other service providers.
During periods when Asset Allocation, Bond, Growth, Growth-Income, and International invest all or substantially all of their assets in another investment company, each respective Portfolio pays no administration fee. During periods when Asset Allocation, Bond, Growth, Growth-Income, and International invest directly in investment securities, each respective Portfolio pays the Administrator a monthly administration fee of 0.10% of its average daily net assets.
Investors in Asset Allocation, Bond, Growth, Growth-Income and International should recognize that an investment in each respective Portfolio bears not only a proportionate share of the expenses of such Portfolio (including operating costs and management fees) but also indirectly similar expenses of the Master Funds in which the respective Portfolio invests. These investors also bear the proportionate share of any sales charges incurred by each Portfolio related to the purchase of shares of the mutual fund investments.
For the six months ended June 30, 2010, Asset Allocation, Bond, Growth, Growth-Income, and International invested substantially all of their assets in their respective master Funds.
For World Allocation, the Administrator receives compensation in the amount equal to 0.10% of the Portfolio’s average daily net assets.
NOTE 4 — INVESTMENTS IN MASTER FUNDS AND UNDERLYING FUNDS
For the six months ended June 30, 2010, the cost of purchases and the proceeds from the sales of the Master Funds or Underlying Funds, were as follows:
Purchases | Sales | |||||
Asset Allocation | $ | 25,051,666 | $ | 12,449,232 | ||
Bond | 38,080,504 | 38,586,199 | ||||
Growth | 21,094,647 | 129,801,253 | ||||
Growth-Income | 17,157,703 | 84,513,434 | ||||
International | 44,435,823 | 91,774,529 | ||||
World Allocation | 27,978,967 | 8,468,152 |
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 5 — DISTRIBUTION AND SERVICE FEES
Each of the Portfolios has entered into a Rule 12b-1 distribution plan (the “Distribution Plan”) with IID. The Distribution Plan provides that each Portfolio shall pay a 12b-1 distribution fee, for distribution services including payments to IID, at an annual rate not to exceed 0.35% of the average daily net assets of Bond and World Allocation, 0.45% of the average daily net assets of Asset Allocation and 0.50% of Growth, Growth-Income, and International. In addition, each Master Fund pays 0.25% of average assets annually to ING North America Insurance Company pursuant to a plan of distribution which fees are indirectly borne by Asset Allocation, Bond, Growth, Growth-Income, and International.
The Trust has entered into a Shareholder Service Plan (the ”Plan”) on behalf of Asset Allocation, Bond and World Allocation. The Agreement compensates IID for the provision of shareholder services and/or account maintenance services to direct or indirect beneficial owners. Under the Plan, Asset Allocation, Bond and World Allocation make payments to the Distributor at an annual rate of 0.25% of each respective Portfolio’s average daily net assets.
NOTE 6 — EXPENSE LIMITATIONS AGREEMENT
For World Allocation, DSL has agreed to limit expenses, excluding interest, taxes, brokerage commissions, extraordinary expenses and acquired fund fees and expense to the level listed below:
World Allocation(1) | 0.79 | % |
(1) | The operating expense limit applies only at the Portfolio level and does not limit fees payable by the underlying investment companies in which World Allocation invests. |
DSL may at a later date recoup from World Allocation’s management fees waived and other expenses assumed by DSL during the previous 36 months, but only if, after such recoupment, that World Allocation’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by DSL of such waived and reimbursed fees are reflected on the accompanying Statement of Operations for the Portfolio. Outstanding reimbursement balances due to World Allocation, if any, under its respective expense limitation agreements are reflected in Reimbursement Due from DSL on the accompanying Statement of Assets and Liabilities.
The expense limitation agreement is contractual and shall renew automatically for one-year terms unless DSL provides written termination of the expense limitation agreement within 90 days of the end of the then current term.
As of June 30, 2010, the cumulative amounts of reimbursed fees that are subject to possible recoupment by DSL, and the related expiration dates are as follows:
June 30, | Total | |||||||||||
2011 | 2012 | 2013 | ||||||||||
World Allocation | $ | — | $ | 92,182 | $ | 37,544 | $ | 129,726 |
NOTE 7 — OTHER TRANSACTIONS WITH AFFILIATED AND RELATED PARTIES
The Trust has adopted a Retirement Policy (the “Policy”) covering independent trustees of the Trust who were trustees on or before May 9, 2007, and who will have served as an independent trustee for at least five years as of the date of their retirement (as that term is defined in the Policy. Benefits under the Policy are based on an annual rate as defined in the Policy.
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 and ING Investments until distribution in accordance with the Plan.
At June 30, 2010, the following indirect, wholly-owned subsidiary of ING Groep owned more than 5% of the following Portfolios:
ING USA Annuity and Life Insurance Company — Asset Allocation (97.45%); Bond (96.52%); Growth (97.07%); Growth-Income (97.09%); International (96.69%); World Allocation (98.94%).
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.
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 8 — 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 | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||
American Funds Asset Allocation | ||||||||||||||||||||||
06-30-10 | 2,778,292 | — | (1,427,350 | ) | 1,350,942 | 24,746,145 | — | (12,301,222 | ) | 12,444,923 | ||||||||||||
12-31-09 | 15,485,972 | 663,124 | (1,082,286 | ) | 15,066,810 | 113,983,862 | 5,033,109 | (8,834,472 | ) | 110,182,499 | ||||||||||||
American Funds Bond | ||||||||||||||||||||||
06-30-10 | 3,639,739 | — | (3,803,551 | ) | (163,812 | ) | 36,276,654 | — | (38,131,713 | ) | (1,855,059 | ) | ||||||||||
12-31-09 | 25,951,181 | 1,524,955 | (5,316,314 | ) | 22,159,822 | 241,418,179 | 14,136,333 | (50,936,315 | ) | 204,618,197 | ||||||||||||
American Funds Growth | ||||||||||||||||||||||
06-30-10 | 432,230 | — | (2,910,262 | ) | (2,478,032 | ) | 18,764,422 | — | (125,547,589 | ) | (106,783,167 | ) | ||||||||||
12-31-09 | 2,712,161 | 7,811,021 | (3,623,934 | ) | 6,899,248 | 104,227,020 | 274,791,729 | (138,156,993 | ) | 240,861,756 | ||||||||||||
American Funds Growth-Income | ||||||||||||||||||||||
06-30-10 | 505,192 | — | (2,693,402 | ) | (2,188,210 | ) | 14,996,537 | — | (82,215,394 | ) | (67,218,857 | ) | ||||||||||
12-31-09 | 1,755,974 | 4,650,385 | (2,673,892 | ) | 3,732,467 | 47,565,189 | 119,328,877 | (72,681,182 | ) | 94,212,884 | ||||||||||||
American Funds International | ||||||||||||||||||||||
06-30-10 | 2,455,666 | — | (6,163,600 | ) | (3,707,934 | ) | 37,366,974 | — | (90,416,774 | ) | (53,049,800 | ) | ||||||||||
12-31-09 | 8,782,490 | 17,608,413 | (6,551,296 | ) | 19,839,607 | 131,288,136 | 228,909,371 | (91,232,990 | ) | 268,964,517 | ||||||||||||
American Funds World Allocation | ||||||||||||||||||||||
06-30-10 | 2,558,340 | — | (789,338 | ) | 1,769,002 | 27,807,710 | — | (8,520,930 | ) | 19,286,780 | ||||||||||||
12-31-09 | 9,068,641 | 31,230 | (1,132,906 | ) | 7,966,965 | 84,251,092 | 285,130 | (11,484,159 | ) | 73,052,063 |
NOTE 9 — 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. A Portfolio’s risk profile is largely a factor of the principal securities in which it invests and investment techniques that it uses. For more information regarding the types of securities and investment techniques that may be used by each Portfolio and their corresponding risks, see the Portfolios’ most recent Prospectus and/or the Statement of Additional Information.
The value of your investment in Asset Allocation, Bond, Growth, Growth-Income, and International changes with the values of the corresponding Master Fund and its investments. World Allocation is also affected by other kinds of risks, depending on the types of securities held or strategies used by an Underlying Fund.
Asset Allocation. Although asset allocation seeks to optimize returns given various levels of risk tolerance, you still may lose money and experience volatility. Market and asset class performance may differ in the future from the historical performance and the assumptions used to form the asset allocations for the
Funds. Furthermore, the Investment Adviser’s allocation of the Funds’ assets may not anticipate market trends successfully. Assets will be allocated among Underlying Funds and markets based on judgments made by the Investment Adviser. There is a risk that a Fund may allocate assets to an asset class or market that underperforms other Underlying Funds. For example, a Fund may be underweighted in assets or a market that is experiencing significant returns or overweighted in assets or a market with significant declines.
Foreign Securities (All Portfolios). Investments in foreign securities may entail risks not present in domestic investments. Since securities in which a Master Fund and/or certain Underlying Funds 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 a Master Fund and/or certain Underlying Funds. Foreign investments may also subject a Master Fund and/or certain Underlying Funds 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
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 9 — CONCENTRATION OF INVESTMENT RISKS
(continued)
security value and interest rate, all of which could affect the market and/or credit risk of a Master Fund and/or certain Underlying Funds investments.
NOTE 10 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified.
Key differences include the treatment of short-term capital gains, foreign currency transactions, 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.
No dividends or distributions were made during the six months ended June 30, 2010. The tax composition of dividends and distributions to shareholders during the year ended December 31, 2009 was as follows:
Ordinary | Long-Term | |||||
Asset Allocation | $ | 3,960,064 | $ | 1,073,045 | ||
Bond | 14,048,229 | 88,104 | ||||
Growth | 35,063,186 | 239,728,543 | ||||
Growth-Income | 28,816,378 | 90,512,499 | ||||
International | 40,904,055 | 188,005,316 | ||||
World Allocation | 285,130 | — |
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, 2009 were:
Undistributed | Undistributed | Unrealized | Post-October | Capital Loss | Expiration | |||||||||||||||
Asset Allocation | $ | 5,271,574 | $ | — | $ | 23,913,459 | $ | — | $ | — | — | |||||||||
Bond | 12,719,427 | — | 4,006,149 | — | (531,157 | ) | 2017 | |||||||||||||
Growth | 2,437,601 | — | (388,263,413 | ) | (1,670,651 | ) | (8,227,825 | ) | 2017 | |||||||||||
Growth-Income | 13,256,502 | — | (264,438,845 | ) | (1,140,461 | ) | (2,938,071 | ) | 2017 | |||||||||||
International | 13,364,998 | 936,840 | (186,646,823 | ) | — | — | — | |||||||||||||
World Allocation | 4,363,713 | 316,348 | 12,748,317 | — | — | — |
The Portfolios’ major tax jurisdictions are federal, Arizona, and Massachusetts. The earliest tax year that remains subject to examination by these jurisdictions is 2005.
As of June 30, 2010, no provisions for income tax would be required in the Portfolios’ financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue.
NOTE 11 — SUBSEQUENT EVENTS
Dividends: Subsequent to June 30, 2010, the Portfolios declared dividends and distributions of:
Per Share Amounts | |||||||||||||
Net Investment | Short-Term | Long-Term | Payable Date | Record Date | |||||||||
Asset Allocation | $ | 0.1416 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Bond | $ | 0.2488 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Growth | $ | 0.0510 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Growth-Income | $ | 0.3016 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
International | $ | 0.1447 | $ | 0.0101 | $ | 0.0109 | July 15, 2010 | July 13, 2010 | |||||
World Allocation | $ | 0.1034 | $ | 0.2801 | $ | 0.0278 | July 15, 2010 | July 13, 2010 |
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.
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ING AMERICAN FUNDS ASSET ALLOCATION PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Shares | Value | ||||||||||
MASTER FUND: 100.1% | |||||||||||
22,122,962 | American Funds Asset Allocation Fund - Class 1 Shares | $ | 308,615,323 | ||||||||
Total Investments in Master Fund (Cost $ 296,049,726)* | 100.1 | % | $ | 308,615,323 | |||||||
Other Assets and Liabilities - Net | (0.1 | ) | (214,779 | ) | |||||||
Net Assets | 100.0 | % | $ | 308,400,544 | |||||||
* | Cost for federal income tax purposes is $302,988,305. |
Net unrealized appreciation consists of: | |||
Gross Unrealized Appreciation | $ | 5,627,018 | |
Gross Unrealized Depreciation | — | ||
Net Unrealized Appreciation | $ | 5,627,018 | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table Investments, at value | ||||||||||||
Master Fund | $ | 308,615,323 | $ | — | $ | — | $ | 308,615,323 | ||||
Total Investments, at value | $ | 308,615,323 | $ | — | $ | — | $ | 308,615,323 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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ING AMERICAN FUNDS BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Shares | Value | ||||||||||
MASTER FUND: 100.0% | |||||||||||
48,590,115 | American Funds Bond Fund - Class 1 Shares | $ | 522,829,639 | ||||||||
Total Investments in Master Fund (Cost $ 489,822,376)* | 100.0 | % | $ | 522,829,639 | |||||||
Other Assets and Liabilities - Net | (0.0 | ) | (227,527 | ) | |||||||
Net Assets | 100.0 | % | $ | 522,602,112 | |||||||
* | Cost for federal income tax purposes is $497,677,415. |
Net unrealized appreciation consists of: | |||
Gross Unrealized Appreciation | $ | 25,152,224 | |
Gross Unrealized Depreciation | — | ||
Net Unrealized Appreciation | $ | 25,152,224 | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Master Fund | $ | 522,829,639 | $ | — | $ | — | $ | 522,829,639 | ||||
Total Investments, at value | $ | 522,829,639 | $ | — | $ | — | $ | 522,829,639 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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ING AMERICAN FUNDS GROWTH PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Shares | Value | ||||||||||
MASTER FUND: 100.1% | |||||||||||
44,780,365 | American Funds Growth Fund - Class 2 Shares | $ | 1,947,945,859 | ||||||||
Total Investments in Master Fund (Cost $ 2,420,414,452)* | 100.1 | % | $ | 1,947,945,859 | |||||||
Other Assets and Liabilities - Net | (0.1 | ) | (1,065,125 | ) | |||||||
Net Assets | 100.0 | % | $ | 1,946,880,734 | |||||||
* | Cost for federal income tax purposes is $2,452,441,254. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | — | ||
Gross Unrealized Depreciation | (504,495,395 | ) | ||
Net Unrealized Depreciation | $ | (504,495,395 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s assets and liabilities:
Quoted Prices in Active Markets for Identical Investments | Significant Other (Level 2) | Significant (Level 3) | Fair Value at 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Master Fund | $ | 1,947,945,859 | $ | — | $ | — | $ | 1,947,945,859 | ||||
Total Investments, at value | $ | 1,947,945,859 | $ | — | $ | — | $ | 1,947,945,859 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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ING AMERICAN FUNDS GROWTH-INCOME PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Shares | Value | ||||||||||
MASTER FUND: 100.1% | |||||||||||
43,439,627 | American Funds Growth-Income Fund - Class 2 Shares | $ | 1,228,907,036 | ||||||||
Total Investments in Master Fund (Cost $ 1,588,250,949)* | 100.1 | % | $ | 1,228,907,036 | |||||||
Other Assets and Liabilities - Net | (0.1 | ) | (670,530 | ) | |||||||
Net Assets | 100.0 | % | $ | 1,228,236,506 | |||||||
* | Cost for federal income tax purposes is $1,612,880,733. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | — | ||
Gross Unrealized Depreciation | (383,973,697 | ) | ||
Net Unrealized Depreciation | $ | (383,973,697 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s 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 6/30/2010 | |||||||||
Asset Table Investments, at value | ||||||||||||
Master Fund | $ | 1,228,907,036 | $ | — | $ | — | $ | 1,228,907,036 | ||||
Total Investments, at value | $ | 1,228,907,036 | $ | — | $ | — | $ | 1,228,907,036 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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ING AMERICAN FUNDS INTERNATIONAL PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Shares | Value | ||||||||||
MASTER FUND: 100.1% | |||||||||||
81,060,851 | American Funds International Fund - Class 2 Shares | $ | 1,194,026,334 | ||||||||
Total Investments in Master Fund (Cost $ 1,570,358,210)* | 100.1 | % | $ | 1,194,026,334 | |||||||
Other Assets and Liabilities - Net | (0.1 | ) | (616,571 | ) | |||||||
Net Assets | 100.0 | % | $ | 1,193,409,763 | |||||||
* | Cost for federal income tax purposes is $1,580,795,769. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | — | ||
Gross Unrealized Depreciation | (386,769,435 | ) | ||
Net Unrealized Depreciation | $ | (386,769,435 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s assets and liabilities:
Quoted Prices in Active Markets for Identical Investments | Significant Other (Level 2) | Significant (Level 3) | Fair Value at 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Master Fund | $ | 1,194,026,334 | $ | — | $ | — | $ | 1,194,026,334 | ||||
Total Investments, at value | $ | 1,194,026,334 | $ | — | $ | — | $ | 1,194,026,334 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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ING AMERICAN FUNDS WORLD ALLOCATION PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Asset Allocation
as of June 30, 2010
(as a percent of net assets)
American Funds Growth Fund - Class 1 Shares | 31.3% | |
American Funds Bond Fund - Class 1 Shares | 29.4% | |
American Funds International Fund - Class 1 Shares | 17.1% | |
American Funds New World Fund - Class 1 Shares | 11.9% |
American Funds Global Small Capitalization Fund - Class 1 Shares | 7.0% | |
American Funds High-Income Bond Fund - Class 1 Shares | 3.4% | |
Other Assets and Liabilities - Net | (0.1)% | |
Net Assets | 100.0% | |
Shares | Value | ||||||||||
UNDERLYING FUNDS: 100.1% | |||||||||||
3,207,919 | American Funds Bond Fund - Class 1 Shares | $ | 34,517,209 | ||||||||
482,909 | American Funds Global Small Capitalization Fund - Class 1 Shares | 8,204,626 | |||||||||
837,535 | American Funds Growth Fund - Class 1 Shares | 36,742,658 | |||||||||
367,230 | American Funds High-Income Bond Fund - Class 1 Shares | 3,951,398 | |||||||||
1,352,384 | American Funds International Fund - Class 1 Shares | 20,001,757 | |||||||||
735,040 | American Funds New World Fund - Class 1 Shares | 13,899,605 | |||||||||
Total Investments in Underlying Funds (Cost $ 112,158,849)* | 100.1 | % | $ | 117,317,253 | |||||||
Other Assets and Liabilities - Net | (0.1 | ) | (93,245 | ) | |||||||
Net Assets | 100.0 | % | $ | 117,224,008 | |||||||
* | Cost for federal income tax purposes is $112,159,132. |
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 5,736,710 | ||
Gross Unrealized Depreciation | (578,589 | ) | ||
Net Unrealized Appreciation | $ | 5,158,121 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other (Level 2) | Significant (Level 3) | Fair Value at 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Underlying Funds | $ | 117,317,253 | $ | — | $ | — | $ | 117,317,253 | ||||
Total Investments, at value | $ | 117,317,253 | $ | — | $ | — | $ | 117,317,253 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
25
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Investment Advisers
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Directed Services LLC
1475 Dunwoody Drive
West Chester, Pennsylvania 19380
Administrator
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Distributor
ING Investments Distributors, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
(formerly, PNC Global Investment Servicing (U.S.) Inc.)
301 Bellevue Parkway
Wilmington, Delaware 19809
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Legal Counsel
Dechert LLP
1775 I Street, N.W.
Washington, D.C. 20006
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable annuity contract and the underlying variable investment options. This and other information is contained in the prospectus for the variable annuity contract and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
VPSAR-UAMER | (0610-081910) |
Table of Contents
Semi-Annual Report
June 30, 2010
Adviser (“ADV”) and Institutional (“I”) Classes
ING Investors Trust
n | ING Retirement Conservative Portfolio |
n | ING Retirement Growth Portfolio |
n | ING Retirement Moderate Portfolio |
n | ING Retirement Moderate Growth 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 | ||
5 | ||
6 | ||
7 | ||
9 | ||
11 | ||
19 |
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.ingfunds.com; and (3) on the U.S. Securities and Exchange Commission’s (“SEC”) 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.ingfunds.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. 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; and is available upon request from the Portfolios by calling Shareholder Services toll-free at (800) 992-0180.
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Pay now and/or later
Dear Shareholder,
It’s summer, and it’s hot — 100 degrees has not been uncommon here on the East Coast — with no relief in the forecast. Do you turn up the air conditioning, knowing it will cost a fortune on your next electric bill? Or do you try to tough it out, sweltering to save money? Most of us would probably choose the immediate comfort of the A/C; the bill will come later.
The current heat wave thus presents a timely comparison to the trade-offs confronting policymakers as they consider the global economy. How do we balance the short-term need to sustain a fragile economic recovery against the long-term need to reduce deficits and debt? As with the heat, unless we make it through the short term, the
long term won’t matter much. But spending on economic stimulus in the short term could add to our long-term debt burden.
Most of the world is facing the same issues. Fiscal austerity programs are being implemented across Europe, and not just in those countries at most immediate risk of default. In the United States, there is as of yet no clear course of action. Expect to hear about this in the fall, as the gentle breezes of summer give way to the hot winds of electoral politics. We believe that for the next several months, markets will see heightened volatility as investors worldwide seek assurance that the global recovery remains on track. On the bright side, we expect corporate profits to continue to exceed expectations.
Confronted with this type of uncertainty, what do you do? Keep your options open — consider investing in funds that provide diversification geographically across markets and seek investment managers that are skilled at anticipating changes in correlations and risks among asset classes. And of course, discuss any proposed portfolio changes with your investment advisor before you take action.
Thank you for your continued confidence in ING Funds. We look forward to serving your investment needs in the future.
Sincerely,
Shaun Mathews
President and Chief Executive Officer
ING Funds
July 10, 2010
The views expressed in the President’s Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and ING Funds disclaims any responsibility to update such views. These views may not be relied on as investment advice and because investment decisions for an ING Fund are based on numerous factors, may not be relied on as an indication of investment intent on behalf of any ING Fund. Reference to specific company securities should not be construed as recommendations or investment advice.
International investing poses special risks including currency fluctuation, economic and political risks not found in investments that are solely domestic.
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MARKET PERSPECTIVE: SIX MONTHS ENDED JUNE 30, 2010
After a 13-month advance through mid-April, a confluence of local and world concerns sent global equities, in the form of the MSCI World IndexSM measured in local currencies, including net reinvested dividends (“MSCI” for regions discussed below), on a steeply downward path. For the first half of the new fiscal year, the index fell 7.1% to closing levels not seen since October 2, 2009. (The MSCI World IndexSM returned (9.84)% for the six months ended June 30, 2010, measured in U.S. dollars.)
By the end of 2009, the rally had become increasingly edgy. The rescue of failing institutions by governments and central banks in Europe and the U.S. together with unprecedented fiscal and monetary stimulus to counter the ensuing recession had led to enormous, unsustainable budget deficits. Not only would stimulus programs end, but debt would need to be wound down.
Beacons of hope in this rather bleak outlook were thought to be the U.S. and emerging markets, centered on China. The U.S. with its vast, dynamic, flexible economy would surely bounce back most quickly in the developed world. Emerging market economies, more fiscally robust these days, had never suffered much of a financial crisis and recession anyway and were again showing vibrant growth. The demand for capital goods from China might sustain Japan’s export led revival, while in Europe, growth may be tepid but at least the situation was stable. By early May all of these premises were disintegrating, the erosion gathering pace through June.
In the U.S., the critical housing market seemed to be improving, boosted by tax credits for home buyers. After sliding for more than three years, house prices (based on the S&P/Case-Shiller 20-City Composite Home Price Index) finally showed year-over-year increases from February. But even before the credits expired, sales of existing homes turned down. And in May, sales of new homes fell by one third from April, to the lowest rate since at least 1963. Unemployment remained stubbornly high, near 10%. The June report showed only 41,000 private sector jobs created, with annual wage growth below 2%. The final estimate of Gross Domestic Product (“GDP”) growth for the first quarter was revised down to 2.7% annualized. And excluding inventory build-up, real final demand expanded at just 0.8% per annum. Retail sales unexpectedly dipped in May. Some commentators also cited trends in the bond market (see below) and pointed to a double-dip recession.
China had grown at “only” 8.7% in 2009. In response, the government instructed the banks to expand lending and first quarter GDP growth rebounded to 11.9%. But inflation picked up and a housing bubble developed. The authorities quickly back-pedaled and repeatedly raised banks’ reserve ratio requirements. By the end of June the increasingly closely-watched Chinese manufacturing purchasing managers’ index was weakening. The unofficial version compiled by HSBC plumbed a 12-month low.
In the Eurozone, default on billions of euro of Greece’s maturing bonds loomed. Amid downgrades and ballooning yields, Eurozone countries, with no single voice, dithered on the need for a bail-out, its size, terms and the involvement of the International Monetary Fund (“IMF”). Many expected contagion and even doubted the viability of the euro itself. At last on the weekend of May 8-9, Eurozone finance ministers agreed on a Financial Stabilization mechanism funded with €500 billion, while the IMF would add up to €250 billion. The European Central Bank started buying sovereign debt and by then it was abundantly clear that the real problem was that vast quantities of the debt were held in the banking system, which might seize up as a result. In short, another “Lehman” event was feared.
In U.S. fixed income markets, the Barclays Capital U.S. Aggregate Bond Index of investment grade bonds returned 5.33%, with the Barclays Capital U.S. Treasury Index (which returned 5.86%) slightly outperforming the Barclays Capital Corporate Investment Grade Bond Index (which returned 5.79%). The Barclays Capital High Yield Bond — 2% Issuer Constrained Composite Index gained 4.45%. In the flight to safety, the two-year Treasury yield reached a record low, while the difference between the yields on two-year and ten-year Treasuries, having set new record high levels in February, fell back to October 2009 spreads by the end of June.
U.S. equities, represented by the S&P 500® Index including dividends, fell 6.65% in the first half. Through early April, the economic reports seemed to be improving. Stock prices were also supported by strong earnings reports, with first quarter operating earnings per share for S&P 500® companies coming in about 92% above those for the corresponding quarter of 2009. The index peaked on April 23, up over 9% for the year, before factors described above drove investor sentiment and the market back down amid surging volatility.
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MARKET PERSPECTIVE: SIX MONTHS ENDED JUNE 30, 2010
In currencies, the scenario described above in the Eurozone propelled the dollar up 17.4% on the euro. The dollar also gained 5.7% against the pound but lost 3.9% to the Japanese yen.
In international markets, the MSCI Japan® Index dropped 7.5% for the first half of the year. The last thing export dependent Japan needed was a double-dip recession in the developed economies. Impressive 5% annualized first quarter GDP growth was considered vulnerable with household demand still slow and consumer prices drifting down. The MSCI Europe ex UK® Index fell 6.2%. As in the U.S., the first few weeks of April saw the 2010 high point for the index before the peril inherent in shaky sovereign debt captured the attention of investors. The MSCI UK® Index lost 7.6%, with BP contributing over 3% of it. The newly elected coalition government introduced an aggressively austere budget that would reduce the
deficit to 3.9% by 2015, but this would have a depressing effect on growth and profits.
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.ingfunds.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.
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. |
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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, 2010 to June 30, 2010. 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 | Ending Account Value | Annualized | Expenses Paid During the Period Ended June 30, 2010** | Beginning | Ending Account Value | Annualized | Expenses Paid During the Period Ended June 30, 2010** | |||||||||||||||||
ING Retirement Conservative Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,004.80 | 0.42 | % | $ | 2.09 | $ | 1,000.00 | $ | 1,022.71 | 0.42 | % | $ | 2.11 | ||||||||
Class I | 1,000.00 | 1,005.90 | 0.17 | 0.85 | 1,000.00 | 1,023.95 | 0.17 | 0.85 | ||||||||||||||||
ING Retirement Growth Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 946.80 | 0.59 | % | $ | 2.85 | $ | 1,000.00 | $ | 1,021.87 | 0.59 | % | $ | 2.96 | ||||||||
Class I | 1,000.00 | 949.00 | 0.17 | 0.82 | 1,000.00 | 1,023.95 | 0.17 | 0.85 | ||||||||||||||||
ING Retirement Moderate Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 977.80 | 0.51 | % | $ | 2.50 | $ | 1,000.00 | $ | 1,022.27 | 0.51 | % | $ | 2.56 | ||||||||
Class I | 1,000.00 | 978.90 | 0.17 | 0.83 | 1,000.00 | 1,023.95 | 0.17 | 0.85 | ||||||||||||||||
ING Retirement Moderate Growth Portfolio | ||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 960.70 | 0.55 | % | $ | 2.67 | $ | 1,000.00 | $ | 1,022.07 | 0.55 | % | $ | 2.76 | ||||||||
Class I | 1,000.00 | 961.50 | 0.16 | 0.78 | 1,000.00 | 1,024.00 | 0.16 | 0.80 |
* | Expense ratios do not include expense of underlying Portfolios. |
** | 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. |
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STATEMENTS OF ASSETS AND LIABILITIESASOF JUNE 30, 2010 (UNAUDITED)
ING Retirement Conservative Portfolio | ING Retirement Growth Portfolio | ING Retirement Moderate Portfolio | ING Retirement Moderate Growth Portfolio | ||||||||||||
ASSETS: | |||||||||||||||
Investments in affiliated underlying funds* | 457,247,017 | 4,265,252,266 | 1,819,764,345 | 3,032,954,562 | |||||||||||
Receivables: | |||||||||||||||
Investments in affiliated underlying funds sold | 174,209 | 950,412 | 1,200,692 | 772,721 | |||||||||||
Fund shares sold | 57,893 | 87,623 | 271,958 | 102,933 | |||||||||||
Dividends and interest | 689 | 68,710 | 17,513 | 36,409 | |||||||||||
Prepaid expenses | 1,708 | 22,187 | 8,975 | 15,009 | |||||||||||
Total assets | 457,481,516 | 4,266,381,198 | 1,821,263,483 | 3,033,881,634 | |||||||||||
LIABILITIES: | |||||||||||||||
Payable for fund shares redeemed | 232,102 | 846,822 | 1,446,599 | 832,410 | |||||||||||
Payable to affiliates | 148,100 | 2,039,187 | 729,138 | 1,354,553 | |||||||||||
Payable for trustee fees | 1,577 | 14,965 | 7,956 | 23,558 | |||||||||||
Other accrued expenses and liabilities | 34,835 | 269,387 | 156,257 | 198,568 | |||||||||||
Total liabilities | 416,614 | 3,170,361 | 2,339,950 | 2,409,089 | |||||||||||
NET ASSETS | $ | 457,064,902 | $ | 4,263,210,837 | $ | 1,818,923,533 | $ | 3,031,472,545 | |||||||
NET ASSETS WERE COMPRISED OF: | |||||||||||||||
Paid-in capital | $ | 443,579,387 | $ | 5,766,223,661 | $ | 2,084,587,017 | $ | 3,745,890,116 | |||||||
Undistributed net investment income | 3,184,406 | 22,020,494 | 16,602,850 | 19,985,152 | |||||||||||
Accumulated net realized gain (loss) | 725,798 | (1,482,618,781 | ) | (282,472,951 | ) | (712,458,683 | ) | ||||||||
Net unrealized appreciation or depreciation | 9,575,311 | (42,414,537 | ) | 206,617 | (21,944,040 | ) | |||||||||
NET ASSETS | $ | 457,064,902 | $ | 4,263,210,837 | $ | 1,818,923,533 | $ | 3,031,472,545 | |||||||
| |||||||||||||||
* Cost of investments in affiliated underlying funds | $ | 447,671,706 | $ | 4,307,666,803 | $ | 1,819,557,728 | $ | 3,054,898,602 | |||||||
Class ADV: | |||||||||||||||
Net assets | $ | 457,064,047 | $ | 4,220,980,211 | $ | 1,803,191,686 | $ | 3,012,029,513 | |||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||||||
Shares outstanding | 54,549,076 | 474,485,551 | 186,446,664 | 324,600,071 | |||||||||||
Net asset value and redemption price per share | $ | 8.38 | $ | 8.90 | $ | 9.67 | $ | 9.28 | |||||||
Class I: | |||||||||||||||
Net assets | $ | 855 | $ | 42,230,626 | $ | 15,731,847 | $ | 19,443,032 | |||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||||||
Shares outstanding | 101 | 4,724,254 | 1,612,024 | 2,103,177 | |||||||||||
Net asset value and redemption price per share | $ | 8.47 | $ | 8.94 | $ | 9.76 | $ | 9.24 |
See Accompanying Notes to Financial Statements
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STATEMENTS OF OPERATIONSFORTHE SIX MONTHS ENDED JUNE 30, 2010 (UNAUDITED)
ING Retirement Conservative Portfolio | ING | ING Retirement Moderate Portfolio | ING Retirement Moderate Growth Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends from affiliated underlying funds | $ | 2,962,440 | $ | 17,878,485 | $ | 10,518,160 | $ | 13,480,957 | ||||||||
Total investment income | 2,962,440 | 17,878,485 | 10,518,160 | 13,480,957 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment management fees | 304,247 | 3,232,725 | 1,322,922 | 2,256,165 | ||||||||||||
Distribution and service fees | 1,086,596 | 11,432,718 | 4,684,026 | 8,007,506 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
Class ADV | 326 | 2,598 | 1,169 | 1,573 | ||||||||||||
Class I | — | 25 | 9 | 10 | ||||||||||||
Administrative service fees | 217,318 | 2,309,077 | 944,939 | 1,611,538 | ||||||||||||
Shareholder reporting expense | 6,866 | 100,920 | 48,284 | 65,025 | ||||||||||||
Registration fees | 46 | — | 8 | — | ||||||||||||
Professional fees | 21,471 | 160,113 | 58,706 | 98,658 | ||||||||||||
Custody and accounting expense | 17,810 | 177,133 | 75,275 | 121,710 | ||||||||||||
Trustee fees | 6,416 | 57,802 | 24,666 | 42,670 | ||||||||||||
Miscellaneous expense | 9,011 | 74,156 | 32,189 | 50,100 | ||||||||||||
Total expenses | 1,670,107 | 17,547,267 | 7,192,193 | 12,254,955 | ||||||||||||
Net waived and reimbursed fees | (756,269 | ) | (4,026,246 | ) | (2,431,637 | ) | (3,382,781 | ) | ||||||||
Net expenses | 913,838 | 13,521,021 | 4,760,556 | 8,872,174 | ||||||||||||
Net investment income | 2,048,602 | 4,357,464 | 5,757,604 | 4,608,783 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
Net realized gain on: | ||||||||||||||||
Sale of affiliated underlying funds | 29,931 | 56,113,328 | 24,472,678 | 43,353,972 | ||||||||||||
Capital gain distributions from affiliated underlying funds | 103,842 | 3,250,627 | 915,287 | 1,873,478 | ||||||||||||
Net realized gain | 133,773 | 59,363,955 | 25,387,965 | 45,227,450 | ||||||||||||
Net change in unrealized appreciation or depreciation | (326,281 | ) | (302,728,362 | ) | (72,229,780 | ) | (174,145,946 | ) | ||||||||
Net realized and unrealized loss | (192,508 | ) | (243,364,407 | ) | (46,841,815 | ) | (128,918,496 | ) | ||||||||
Increase (decrease) in net assets resulting from operations | $ | 1,856,094 | $ | (239,006,943 | ) | $ | (41,084,211 | ) | $ | (124,309,713 | ) | |||||
See Accompanying Notes to Financial Statements
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STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Retirement Conservative Portfolio | ING Retirement Growth Portfolio | |||||||||||||||
Six Months Ended 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 2,048,602 | $ | 7,980,519 | $ | 4,357,464 | $ | 52,623,871 | ||||||||
Net realized gain (loss) | 133,773 | 36,720,099 | 59,363,955 | (789,654,434 | ) | |||||||||||
Net change in unrealized appreciation or depreciation | (326,281 | ) | 10,458,391 | (302,728,362 | ) | 1,556,921,129 | ||||||||||
Increase (decrease) in net assets resulting from operations | 1,856,094 | 55,159,009 | (239,006,943 | ) | 819,890,566 | |||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (3,018 | ) | — | (506 | ) | ||||||||||
Class I | — | (24 | ) | — | (1,296,670 | ) | ||||||||||
Class S* | — | (9,178,719 | ) | — | (146,399,051 | ) | ||||||||||
Class S2* | — | (29,296 | ) | — | (467,264 | ) | ||||||||||
Net realized gains: | ||||||||||||||||
Class ADV | — | (11,283 | ) | — | (254 | ) | ||||||||||
Class I | — | (82 | ) | — | (542,197 | ) | ||||||||||
Class S* | — | (34,178,505 | ) | — | (65,539,430 | ) | ||||||||||
Class S2* | — | (115,770 | ) | — | (216,113 | ) | ||||||||||
Total distributions | — | (43,516,697 | ) | — | (214,461,485 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 75,641,468 | 287,899,602 | 13,390,863 | 147,529,950 | ||||||||||||
Proceeds from shares issued in merger (Note 9) | — | — | — | 953,440,375 | ||||||||||||
Reinvestment of distributions | — | 43,516,485 | — | 214,461,485 | ||||||||||||
75,641,468 | 331,416,087 | 13,390,863 | 1,315,431,810 | |||||||||||||
Cost of shares redeemed | (38,082,934 | ) | (58,097,844 | ) | (240,351,153 | ) | (227,384,679 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 37,558,534 | 273,318,243 | (226,960,290 | ) | 1,088,047,131 | |||||||||||
Net increase (decrease) in net assets | 39,414,628 | 284,960,555 | (465,967,233 | ) | 1,693,476,212 | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 417,650,274 | 132,689,719 | 4,729,178,070 | 3,035,701,858 | ||||||||||||
End of period | $ | 457,064,902 | $ | 417,650,274 | $ | 4,263,210,837 | $ | 4,729,178,070 | ||||||||
Undistributed net investment income at end of period | $ | 3,184,406 | $ | 1,135,804 | $ | 22,020,494 | $ | 17,663,030 | ||||||||
* | Effective June 25, 2009, the LifeStyle Portfolios reorganized into the Retirement Portfolios. Subsequently, on October 24, 2009, Class S and S2 shareholders of ING LifeStyle Conservative Portfolio, ING LifeStyle Growth Portfolio, ING LifeStyle Moderate Portfolio and ING LifeStyle Moderate Growth Portfolio were each converted to Class ADV shares of each respective Portfolio. |
See Accompanying Notes to Financial Statements
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STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
ING Retirement Moderate Portfolio | ING Retirement Moderate Growth Portfolio | |||||||||||||||
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 5,757,604 | $ | 36,303,808 | $ | 4,608,783 | $ | 49,588,011 | ||||||||
Net realized gain (loss) | 25,387,965 | (206,988,320 | ) | 45,227,450 | (522,694,212 | ) | ||||||||||
Net change in unrealized appreciation | (72,229,780 | ) | 507,136,308 | (174,145,946 | ) | 1,112,686,785 | ||||||||||
Increase (decrease) in net assets resulting | (41,084,211 | ) | 336,451,796 | (124,309,713 | ) | 639,580,584 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class ADV | — | (3,635 | ) | — | (30 | ) | ||||||||||
Class I | — | (851,647 | ) | — | (927,629 | ) | ||||||||||
Class S* | — | (96,102,271 | ) | — | (144,698,619 | ) | ||||||||||
Class S2* | — | (1,092,399 | ) | — | (634,543 | ) | ||||||||||
Net realized gains: | ||||||||||||||||
Class ADV | — | (782 | ) | — | (14 | ) | ||||||||||
Class I | — | (174,278 | ) | — | (322,177 | ) | ||||||||||
Class S* | — | (21,607,274 | ) | — | (55,526,642 | ) | ||||||||||
Class S2* | — | (247,504 | ) | — | (255,430 | ) | ||||||||||
Total distributions | — | (120,079,790 | ) | — | (202,365,084 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 27,097,529 | 205,409,522 | 48,953,002 | 163,344,048 | ||||||||||||
Reinvestment of distributions | — | 120,079,734 | — | 202,365,040 | ||||||||||||
27,097,529 | 325,489,256 | 48,953,002 | 365,709,088 | |||||||||||||
Cost of shares redeemed | (98,576,605 | ) | (89,675,759 | ) | (134,551,312 | ) | (105,679,939 | ) | ||||||||
Net increase (decrease) in net assets resulting | (71,479,076 | ) | 235,813,497 | (85,598,310 | ) | 260,029,149 | ||||||||||
Net increase (decrease) in net assets | (112,563,287 | ) | 452,185,503 | (209,908,023 | ) | 697,244,649 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,931,486,820 | 1,479,301,317 | 3,241,380,568 | 2,544,135,919 | ||||||||||||
End of period | $ | 1,818,923,533 | $ | 1,931,486,820 | $ | 3,031,472,545 | $ | 3,241,380,568 | ||||||||
Undistributed net investment income at | $ | 16,602,850 | $ | 10,845,246 | $ | 19,985,152 | $ | 15,376,369 | ||||||||
* | Effective June 25, 2009, the LifeStyle Portfolios reorganized into the Retirement Portfolios. Subsequently, on October 24, 2009, Class S and S2 shareholders of ING LifeStyle Conservative Portfolio, ING LifeStyle Growth Portfolio, ING LifeStyle Moderate Portfolio and ING LifeStyle Moderate Growth Portfolio were each converted to Class ADV shares of each respective Portfolio. |
See Accompanying Notes to Financial Statements
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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)(4) | Expenses net of fee waivers and/or recoupments, if any(2)(3)(4) | Expenses net of all reductions/ additions(2)(3)(4) | Net investment income (loss)(2)(3)(4) | Net assets, end of year or period | Portfolio turnover rate | ||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | |||||||||||||||||||||||
ING Retirement Conservative Portfolio(a) | |||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 8.34 | 0.04 | 0.00 | * | 0.04 | — | — | — | — | 8.38 | 0.48 | 0.77 | 0.42 | 0.42 | 0.94 | 457,064 | 19 | ||||||||||||||||||||||
12-31-09 | 7.97 | 0.21 | · | 1.20 | 1.41 | 0.22 | 0.82 | — | 1.04 | 8.34 | 17.89 | 0.78 | 0.43 | 0.43 | 2.60 | 417,649 | 143 | ||||||||||||||||||||||
12-31-08 | 9.92 | 0.29 | · | (2.24 | ) | (1.95 | ) | — | 0.00 | * | — | 0.00 | * | 7.97 | (19.66 | ) | 1.23 | 0.76 | 0.76 | 3.11 | 1 | 68 | |||||||||||||||||
10-31-07(5) - 12-31-07 | 10.00 | 0.06 | (0.14 | ) | (0.08 | ) | — | — | — | — | 9.92 | (0.80 | ) | 36.24 | 0.74 | 0.74 | 3.83 | 1 | 3 | ||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 8.42 | 0.05 | (0.00 | )* | 0.05 | — | — | — | — | 8.47 | 0.59 | 0.27 | 0.17 | 0.17 | 1.23 | 1 | 19 | ||||||||||||||||||||||
12-31-09 | 8.01 | 0.24 | 1.23 | 1.47 | 0.24 | 0.82 | — | 1.06 | 8.42 | 18.52 | 0.20 | 0.17 | 0.17 | 2.91 | 1 | 143 | |||||||||||||||||||||||
12-31-08 | 9.93 | 0.39 | · | (2.31 | ) | (1.92 | ) | 0.00 | * | 0.00 | * | — | 0.00 | * | 8.01 | (19.33 | ) | 0.48 | 0.16 | 0.16 | 4.25 | 1 | 68 | ||||||||||||||||
10-31-07(5) - 12-31-07 | 10.00 | 0.08 | (0.15 | ) | (0.07 | ) | — | — | — | — | 9.93 | (0.70 | ) | 35.49 | 0.14 | 0.14 | 5.01 | 1 | 3 | ||||||||||||||||||||
ING Retirement Growth Portfolio(a) | |||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.40 | 0.01 | (0.51 | ) | (0.50 | ) | — | — | — | — | 8.90 | (5.32 | ) | 0.77 | 0.59 | 0.59 | 0.18 | 4,220,980 | 13 | ||||||||||||||||||||
12-31-09 | 7.95 | 0.11 | · | 1.87 | 1.98 | 0.36 | 0.17 | — | 0.53 | 9.40 | 25.90 | 0.74 | 0.56 | 0.56 | 1.23 | 4,683,690 | 120 | ||||||||||||||||||||||
12-31-08 | 13.47 | 0.44 | · | (5.20 | ) | (4.76 | ) | 0.10 | 0.66 | — | 0.76 | 7.95 | (36.89 | ) | 0.92 | 0.76 | 0.76 | 5.20 | 13 | 83 | |||||||||||||||||||
12-31-07 | 13.43 | 0.07 | 0.39 | 0.46 | 0.08 | 0.34 | — | 0.42 | 13.47 | 3.33 | 0.91 | 0.74 | 0.74 | 0.55 | 1 | 37 | |||||||||||||||||||||||
04-28-06(5) - 12-31-06 | 12.92 | 0.06 | 0.75 | 0.81 | 0.06 | 0.24 | — | 0.30 | 13.43 | 6.54 | 0.90 | 0.74 | 0.74 | 0.75 | 1 | 21 | |||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.42 | 0.03 | (0.51 | ) | (0.48 | ) | — | — | — | — | 8.94 | (5.10 | ) | 0.27 | 0.17 | 0.17 | 0.61 | 42,231 | 13 | ||||||||||||||||||||
12-31-09 | 7.97 | 0.16 | 1.88 | 2.04 | 0.42 | 0.17 | — | 0.59 | 9.42 | 26.61 | 0.19 | 0.16 | 0.16 | 1.82 | 45,488 | 120 | |||||||||||||||||||||||
12-31-08 | 13.57 | 0.22 | · | (4.94 | ) | (4.72 | ) | 0.22 | 0.66 | — | 0.88 | 7.97 | (36.55 | ) | 0.17 | 0.16 | 0.16 | 2.02 | 24,913 | 83 | |||||||||||||||||||
12-31-07 | 13.48 | 0.16 | · | 0.42 | 0.58 | 0.15 | 0.34 | — | 0.49 | 13.57 | 4.15 | 0.16 | 0.14 | 0.14 | 1.16 | 38,624 | 37 | ||||||||||||||||||||||
04-28-06(5) - 12-31-06 | 12.92 | 0.11 | · | 0.75 | 0.86 | 0.06 | 0.24 | — | 0.30 | 13.48 | 6.94 | 0.16 | 0.14 | 0.14 | 1.31 | 16,877 | 21 | ||||||||||||||||||||||
ING Retirement Moderate Portfolio(a) | |||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.89 | 0.03 | (0.25 | ) | (0.22 | ) | — | — | — | — | 9.67 | (2.22 | ) | 0.77 | 0.51 | 0.51 | 0.61 | 1,803,192 | 14 | ||||||||||||||||||||
12-31-09 | 8.81 | 0.19 | · | 1.56 | 1.75 | 0.55 | 0.12 | — | 0.67 | 9.89 | 20.60 | 0.77 | 0.51 | 0.51 | 1.93 | 1,915,457 | 126 | ||||||||||||||||||||||
12-31-08 | 12.53 | 0.31 | · | (3.50 | ) | (3.19 | ) | 0.14 | 0.39 | — | 0.53 | 8.81 | (26.31 | ) | 0.92 | 0.76 | 0.76 | 2.80 | 1 | 70 | |||||||||||||||||||
12-31-07 | 12.33 | 0.22 | 0.36 | 0.58 | 0.15 | 0.23 | — | 0.38 | 12.53 | 4.65 | 0.91 | 0.74 | 0.74 | 1.69 | 1 | 47 | |||||||||||||||||||||||
04-28-06(5) - 12-31-06 | 11.93 | 0.17 | · | 0.53 | 0.70 | 0.12 | 0.18 | — | 0.30 | 12.33 | 5.93 | 0.91 | 0.74 | 0.74 | 2.07 | 1 | 19 | ||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||
06-30-10 | 9.97 | 0.05 | (0.26 | ) | (0.21 | ) | — | — | — | — | 9.76 | (2.11 | ) | 0.27 | 0.17 | 0.17 | 0.96 | 15,732 | 14 | ||||||||||||||||||||
12-31-09 | 8.84 | 0.22 | · | 1.60 | 1.82 | 0.57 | 0.12 | — | 0.69 | 9.97 | 21.35 | 0.19 | 0.17 | 0.17 | 2.43 | 16,030 | 126 | ||||||||||||||||||||||
12-31-08 | 12.60 | 0.39 | · | (3.52 | ) | (3.13 | ) | 0.24 | 0.39 | — | 0.63 | 8.84 | (25.83 | ) | 0.17 | 0.16 | 0.16 | 3.65 | 10,898 | 70 | |||||||||||||||||||
12-31-07 | 12.38 | 0.31 | · | 0.34 | 0.65 | 0.20 | 0.23 | — | 0.43 | 12.60 | 5.26 | 0.16 | 0.14 | 0.14 | 2.47 | 4,926 | 47 | ||||||||||||||||||||||
04-28-06(5) - 12-31-06 | 11.93 | 0.23 | · | 0.52 | 0.75 | 0.12 | 0.18 | — | 0.30 | 12.38 | 6.36 | 0.16 | 0.14 | 0.14 | 2.77 | 1,460 | 19 |
See Accompanying Notes to Financial Statements
9
Table of Contents
FINANCIAL HIGHLIGHTS (UNAUDITED) (CONTINUED)
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)(4) | Expenses net of fee waivers and/or recoupments, if any (2)(3)(4) | Expenses net of all reductions/ additions (2)(3)(4) | Net investment income (loss)(2)(3)(4) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | ||||||||||||||||||||
ING Retirement Moderate Growth Portfolio(a) | ||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||
06-30-10 | 9.66 | 0.02 | (0.40 | ) | (0.38 | ) | — | — | — | — | 9.28 | (3.93 | ) | 0.76 | 0.55 | 0.55 | 0.28 | 3,012,030 | 14 | |||||||||||||||||
12-31-09 | 8.27 | 0.14 | · | 1.80 | 1.94 | 0.37 | 0.18 | — | 0.55 | 9.66 | 24.24 | 0.75 | 0.54 | 0.54 | 1.53 | 3,221,966 | 128 | |||||||||||||||||||
12-31-08 | 12.89 | 0.22 | · | (4.18 | ) | (3.96 | ) | 0.13 | 0.53 | — | 0.66 | 8.27 | (31.89 | ) | 0.92 | 0.76 | 0.76 | 1.99 | 1 | 74 | ||||||||||||||||
12-31-07 | 12.78 | 0.14 | 0.39 | 0.53 | 0.12 | 0.30 | — | 0.42 | 12.89 | 4.10 | 0.91 | 0.74 | 0.74 | 1.11 | 1 | 37 | ||||||||||||||||||||
04-28-06(5) - 12-31-06 | 12.30 | 0.12 | 0.67 | 0.79 | 0.11 | 0.20 | — | 0.31 | 12.78 | 6.62 | 0.91 | 0.74 | 0.74 | 1.49 | 1 | 20 | ||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||
06-30-10 | 9.61 | 0.03 | (0.40 | ) | (0.37 | ) | — | — | — | — | 9.24 | (3.85 | ) | 0.26 | 0.16 | 0.16 | 0.68 | 19,443 | 14 | |||||||||||||||||
12-31-09 | 8.30 | 0.18 | · | 1.80 | 1.98 | 0.49 | 0.18 | — | 0.67 | 9.61 | 24.88 | 0.18 | 0.16 | 0.16 | 2.03 | 19,415 | 128 | |||||||||||||||||||
12-31-08 | 12.98 | 0.29 | · | (4.20 | ) | (3.91 | ) | 0.24 | 0.53 | — | 0.77 | 8.30 | (31.47 | ) | 0.17 | 0.16 | 0.16 | 2.65 | 16,019 | 74 | ||||||||||||||||
12-31-07 | 12.83 | 0.24 | · | 0.39 | 0.63 | 0.18 | 0.30 | — | 0.48 | 12.98 | 4.86 | 0.16 | 0.14 | 0.14 | 1.86 | 17,903 | 37 | |||||||||||||||||||
04-28-06(5) - 12-31-06 | 12.30 | 0.21 | · | 0.63 | 0.84 | 0.11 | 0.20 | — | 0.31 | 12.83 | 7.03 | 0.16 | 0.14 | 0.14 | 2.68 | 6,164 | 20 |
(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 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 the 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) | Expense ratios do not include expenses of underlying funds and do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. |
(5) | Commencement of operations. |
(a) | References to each Portfolio’s financial highlights prior to October 24, 2009, include ING LifeStyle Conservative Portfolio, ING LifeStyle Growth Portfolio, ING LifeStyle Moderate Portfolio and ING LifeStyle Moderate Growth Portfolio, respectively. |
· | Calculated using average number of shares outstanding throughout the period. |
* | Amount is less than $0.005 or more than $(0.005). |
See Accompanying Notes to Financial Statements
10
Table of Contents
NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED)
NOTE 1 — ORGANIZATION
ING Investors Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”) as an open-end management investment company. The Trust was organized as a Massachusetts business trust on August 3, 1988. The Trust currently consists of fifty active separate investment series. The four Portfolios included in this report are: ING Retirement Conservative Portfolio (“Conservative”), ING Retirement Growth Portfolio (“Growth”), ING Retirement Moderate Portfolio (“Moderate”) and ING Retirement Moderate Growth Portfolio (“Moderate Growth”), (each, a “Portfolio” and collectively, the “Portfolios”). Each Portfolio is a diversified series of the Trust. The Portfolios serve as an investment option in underlying variable insurance products offered by Directed Services LLC.
Each Portfolio is authorized to offer Class ADV and Class I shares. Each class has equal rights as to class and voting privileges. The classes differ principally in the applicable distribution and shareholder service fees. Shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders bear the common expenses of the Portfolios and earn income and realized gains/losses from the Portfolios pro rata based on the average daily net assets of each class, without distinction between share classes. 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. Common expenses of the Portfolios (including custodial asset-based fees, legal and audit fees, printing and mailing fees, and fees and expenses of the independent trustees) are allocated to each Portfolio in proportion to its average net assets. Expenses directly attributable to a particular Portfolio (including advisory, administration, custodial transaction-based, registration, other professional, distribution and/or service fees, certain taxes, transfer agency out-of-pocket expenses, and offering costs) are charged directly to that Portfolio. Differences in per share dividend rates generally result from differences in separate class expenses, including distribution and shareholder service fees, if applicable.
Each Portfolio’s shares may be offered to variable annuity and variable life insurance separate accounts, qualified pension and retirement plans outside the separate account context, custodial accounts, certain investment advisers and their affiliates in connection with the creation or management of the Portfolios and certain other investment management companies.
Directed Services LLC serves as the investment adviser (“DSL” or the “Investment Adviser”) to the Portfolios. ING Investment Management Co. serves as the consultant (“IIM” or the “Consultant”) to the Investment Adviser. ING Funds Services, LLC serves as the administrator (“IFS” or the “Administrator”) for the Portfolios. ING Investments Distributor, LLC (formerly, ING Funds Distributor, LLC) (“IID” or the “Distributor”) serves as the principal underwriter to the Portfolios.
The Investment Adviser, the Consultant, 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 divested by ING Groep by the end of 2013. While there can be no assurance that it will be carried out, the restructuring plan presents certain risks, including uncertainty about the effect on the businesses of the ING entities that service the Portfolios and potential termination of the Portfolios’ existing advisory agreement, which may trigger the need for shareholder approval of new agreements.
Each Portfolio seeks to achieve its investment objective by investing in other ING Funds (“Underlying Funds”) and uses asset allocation strategies to determine how much to invest in the Underlying Funds.
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 for investment companies.
A. Security Valuation. The valuations of the Funds’ investments in Underlying Funds are based on the NAVs of the Underlying Funds each business day.
Fair value is defined as the price that the Portfolio 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 Portfolio 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
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
“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 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 each Portfolio’s investments under these levels of classification is included following the Portfolio of Investments.
For the six months ended June 30, 2010, there have been no significant changes to the fair valuation methodologies.
The Portfolios classify each of their investments in the Underlying Funds as Level 1, without consideration as to the classification level of the specific investments held by the Underlying Funds.
B. Security Transactions and Revenue Recognition. Security transactions are accounted for on trade date. Dividend income received from the affiliated funds is recognized on the ex-dividend date and is recorded as income distributions in the Statement of Operations. Capital gain distributions received from the affiliated funds are recognized on ex-dividend date and are recorded on the Statement of Operations as such. Costs used in determining realized gains and losses on the sales of investment securities are on the basis of specific identification.
C. Distributions to Shareholders. The Portfolios record distributions to their shareholders on the ex-dividend date. Each Portfolio distributes dividends and capital gains, if any, annually. The Portfolios may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code. The characteristics of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies.
D. Federal Income Taxes. It is the policy of each Portfolio 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 its net investment income and any net realized capital gains to its 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 expire.
E. 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.
F. 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, cannot be estimated; however, based on experience, management believes the risk of loss from such claims is considered remote.
NOTE 3 — INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES
The Portfolios entered into an investment management agreement (“Investment Management Agreement”) with DSL. The Investment Management Agreement compensates the Investment Adviser with a fee, computed daily and payable monthly, based on the average daily net assets of each Portfolio.
If the Portfolios invest in Underlying Funds within the ING Funds Complex, the Investment Management Agreement compensates the Investment Adviser at an annual rate of 0.14% of each Portfolio’s average daily net assets. If the Portfolios invest outside of the ING Funds Complex and/or in direct investments, the Investment Management Agreement compensates the Investment Adviser at an annual rate of 0.24% of each Portfolio’s average daily net assets.
The Investment Adviser has engaged ING IM to act as a consultant. ING IM will perform tactical asset allocation analysis for the Investment Adviser. ING Investments pays ING IM a fee, computed daily and payable
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 3 — INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES (continued)
monthly, based on the average daily net assets of each Portfolio, at the following annual rates: 0.03% on the first $500 million in assets; and 0.025% on the next $500 million — $1 billion in assets; and 0.02% on the next $1 — 2 billion in assets; and 0.01% on assets over $2 billion.
The Investment Adviser retains sole authority over the allocation of each Portfolio’s assets and the selection of the particular Underlying Funds in which a Portfolio will invest. The Investment Adviser has accordingly established an Asset Allocation Committee to review ING IM’s analysis and determine the asset allocation for each Portfolio.
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 the Portfolios’ operations and is responsible for the supervision of other service providers. The Administrator is entitled to receive from the Portfolios a fee at an annual rate of 0.10% of each Portfolio’s average daily net assets. The Administrator agreed to waive the fee through May 1, 2012.
NOTE 4 — INVESTMENTS IN AFFILIATED UNDERLYING FUNDS
For the six months ended June 30, 2010, the cost of purchases and the proceeds from the sales of the Underlying Funds were as follows:
Purchases | Sales | |||||
Conservative | $ | 120,804,218 | $ | 81,175,916 | ||
Growth | 598,692,027 | 821,334,882 | ||||
Moderate | 260,139,051 | 325,865,584 | ||||
Moderate Growth | 445,797,704 | 526,806,271 |
NOTE 5 — DISTRIBUTION AND SERVICE FEES
The Trust has entered into a Shareholder Service and Distribution Plan (the “Agreement”) for the ADV Class shares of each Portfolio. The Agreement compensates IID for the provision of shareholder services and/or account maintenance services and the distribution of shares to direct or indirect beneficial owners of ADV Class shares. Under the Agreement, each Portfolio makes payments to the Distributor a service fee of 0.25% and a distribution (12b-1) fee of 0.25% of each Portfolio’s average daily net assets attributable to ADV Class. IID has contractually agreed to waive 0.2480%,
0.1587%, 0.1106% and 0.0751% of the distribution (12b-1) fee for the ADV Class shares of Conservative, Moderate, Moderate Growth and Growth, respectively. The actual distribution fee to be paid by Conservative, Moderate, Moderate Growth and Growth is at an annual rate of 0.002%, 0.0913%, 0.1394% and 0.1749%, respectively. The waiver will continue through at least May 1, 2012.
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
At June 30, 2010, the Portfolios had the following amounts recorded in payable to affiliates on the accompanying Statements of Assets and Liabilities:
Fund | Accrued | Accrued Fees | Total | ||||||
Conservative | $ | 52,893 | $ | 95,207 | $ | 148,100 | |||
Growth | 509,155 | 1,530,032 | 2,039,187 | ||||||
Moderate | 213,401 | 515,737 | 729,138 | ||||||
Moderate Growth | 359,908 | 994,645 | 1,354,553 |
At June 30, 2010, the following indirect, wholly-owned subsidiaries of ING Groep owned more than 5% of the following Portfolios:
ING USA Annuity and Life Insurance Company — Conservative (94.17%); Growth (95.90%); Moderate (94.62%); Moderate Growth (95.72%).
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.
The Trust has adopted a Retirement Policy (“Policy”) covering independent trustees of the Trust who were trustees on or before May 9, 2007, and who will have served as an independent trustee for at least five years as of the date of their retirement (as that term is defined in the Policy). Benefits under the Policy are based on an annual rate as defined in the Policy. The Trust 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.
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 7 — EXPENSE LIMITATION AGREEMENTS
The Investment Adviser has agreed to limit expenses, excluding interest, taxes, brokerage commissions and extraordinary expenses to the levels listed below:
Portfolio(1) | Class ADV | Class I | ||||
Conservative | 1.02 | % | 0.77 | % | ||
Growth | 1.13 | % | 0.88 | % | ||
Moderate | 1.04 | % | 0.79 | % | ||
Moderate Growth | 1.09 | % | 0.84 | % |
(1) | The operating limits set out above apply at the Fund level and include expenses of the Underlying Funds in which the Portfolios invest. The amount of the fees and expenses of an Underlying Fund borne by each Portfolio will vary based on each Portfolio’s allocation of assets to, and the net expenses of, a particular Underlying Fund. |
The Investment Adviser may at a later date recoup from a Portfolio for management fees waived and other expenses assumed by the Investment Adviser during the previous 36 months but only if, after such recoupment, that Portfolio’s expense ratio does not exceed the percentage described above. Waived and reimbursed
fees net of any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statements of Operations for each Portfolio. Outstanding reimbursement balances due to the Portfolios, if any, under their respective expense limitation agreements are reflected in Reimbursement Due from Investment Adviser on the accompanying Statements of Assets and Liabilities.
As of June 30, 2010, the Portfolios did not have any amount of waived or reimbursed fees that would be subject to possible recoupment by the Investment Adviser.
The expense limitation agreement is contractual and shall renew automatically for one-year terms unless ING Investments provides written termination of the expense limitation agreement within 90 days of the end of the then current term.
NOTE 8 — CAPITAL SHARES
Transactions in capital shares and dollars were as follows:
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Shares converted | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Shares converted | Net increase (decrease) | |||||||||||||||||||||
Year or | # | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||
Retirement Conservative | ||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||
06-30-10 | 8,981,905 | — | — | (4,489,014 | ) | — | 4,492,891 | 75,641,468 | — | — | (38,082,934 | ) | — | 37,558,534 | ||||||||||||||||||
12-31-09 | 4,635,116 | — | 1,727 | (1,669,318 | ) | 47,088,558 | 50,056,083 | 38,353,165 | — | 14,302 | (13,923,502 | ) | 388,409,148 | 412,853,113 | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
12-31-09 | 1 | — | — | (1 | ) | — | — | 10 | — | — | (11 | ) | — | (1 | ) | |||||||||||||||||
Class S(1) | ||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
12-31-09 | 30,323,463 | — | 5,211,746 | (5,428,808 | ) | (46,713,093 | ) | (16,606,692 | ) | 248,287,632 | — | 43,357,223 | (44,149,493 | ) | (387,110,604 | ) | (139,615,242 | ) | ||||||||||||||
Class S2(1) | ||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
12-31-09 | 143,390 | — | 17,601 | (2,831 | ) | (158,261 | ) | (101 | ) | 1,258,795 | — | 144,960 | (24,838 | ) | (1,298,544 | ) | 80,373 | |||||||||||||||
Retirement Growth | ||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||
06-30-10 | 1,217,855 | — | — | (25,218,486 | ) | — | (24,000,631 | ) | 11,542,766 | — | — | (237,518,689 | ) | — | (225,975,923 | ) | ||||||||||||||||
12-31-09 | 602,025 | 101,709,072 | 93 | (8,606,269 | ) | 404,779,597 | 498,484,518 | 5,612,849 | 937,542,309 | 760 | (79,303,922 | ) | 3,731,177,782 | 4,595,029,778 | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
06-30-10 | 194,529 | — | — | (298,334 | ) | — | (103,805 | ) | 1,848,097 | — | — | (2,832,464 | ) | — | (984,367 | ) | ||||||||||||||||
12-31-09 | 742,938 | 1,721,386 | 220,754 | (980,952 | ) | — | 1,704,126 | 6,123,411 | 15,898,066 | 1,838,867 | (8,252,212 | ) | — | 15,608,132 | ||||||||||||||||||
Class S(1) | ||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
12-31-09 | 17,186,377 | — | 25,489,392 | (17,217,001 | ) | (403,233,679 | ) | (377,774,911 | ) | 133,608,537 | — | 211,938,481 | (138,805,971 | ) | (3,718,097,118 | ) | (3,511,356,071 | ) | ||||||||||||||
Class S2(1) | ||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
12-31-09 | 259,878 | — | 82,328 | (129,341 | ) | (1,421,741 | ) | (1,208,876 | ) | 2,185,153 | — | 683,377 | (1,022,574 | ) | (13,080,664 | ) | (11,234,708 | ) |
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 8 — CAPITAL SHARES (continued)
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Shares converted | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Shares converted | Net increase (decrease) | |||||||||||||||||||||
Year or | # | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||
Retirement Moderate | ||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||
06-30-10 | 2,433,952 | — | — | (9,599,770 | ) | — | (7,165,818 | ) | 24,245,176 | — | — | (95,763,173 | ) | — | (71,517,997 | ) | ||||||||||||||||
12-31-09 | 1,764,765 | — | 476 | (2,188,295 | ) | 194,035,429 | 193,612,375 | 17,409,248 | — | 4,360 | (21,359,136 | ) | 1,892,266,969 | 1,888,321,441 | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
06-30-10 | 282,629 | — | — | (279,058 | ) | — | 3,571 | 2,852,353 | — | — | (2,813,432 | ) | — | 38,921 | ||||||||||||||||||
12-31-09 | 751,726 | — | 110,948 | (487,379 | ) | — | 375,295 | 6,735,722 | — | 1,025,925 | (4,348,017 | ) | — | 3,413,630 | ||||||||||||||||||
Class S(1) | ||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
12-31-09 | 19,529,336 | — | 12,798,057 | (6,969,872 | ) | (190,868,287 | ) | (165,510,766 | ) | 171,830,616 | — | 117,709,546 | (62,263,743 | ) | (1,869,759,704 | ) | (1,642,483,285 | ) | ||||||||||||||
Class S2(1) | ||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
12-31-09 | 1,056,514 | — | 146,053 | (187,301 | ) | (2,305,496 | ) | (1,290,230 | ) | 9,433,936 | — | 1,339,903 | (1,704,863 | ) | (22,507,265 | ) | (13,438,289 | ) | ||||||||||||||
Retirement Moderate Growth | ||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||
06-30-10 | 4,746,872 | — | — | (13,663,294 | ) | — | (8,916,422 | ) | 46,420,608 | — | — | (132,809,666 | ) | — | (86,389,058 | ) | ||||||||||||||||
12-31-09 | 1,673,574 | — | — | (2,824,752 | ) | 334,667,589 | 333,516,411 | 15,978,076 | — | — | (26,663,736 | ) | 3,178,495,090 | 3,167,809,430 | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
06-30-10 | 260,227 | — | — | (178,166 | ) | — | 82,061 | 2,532,394 | — | — | (1,741,646 | ) | — | 790,748 | ||||||||||||||||||
12-31-09 | 508,705 | — | 144,293 | (560,894 | ) | — | 92,104 | 4,326,137 | — | 1,249,806 | (4,583,330 | ) | — | 992,613 | ||||||||||||||||||
Class S(1) | ||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
12-31-09 | 16,962,932 | — | 23,217,730 | (8,645,224 | ) | (335,751,669 | ) | (304,216,231 | ) | 139,665,917 | — | 200,225,261 | (72,144,454 | ) | (3,163,609,553 | ) | (2,895,862,829 | ) | ||||||||||||||
Class S2(1) | ||||||||||||||||||||||||||||||||
06-30-10 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
12-31-09 | 399,188 | — | 103,430 | (271,643 | ) | (1,583,086 | ) | (1,352,111 | ) | 3,373,918 | — | 889,973 | (2,288,419 | ) | (14,885,537 | ) | (12,910,065 | ) |
(1) | Effective June 25, 2009, the LifeStyle Portfolios reorganized into the Retirement Portfolios. Subsequently, on October 24, 2009, Class S and S2 shareholders of ING LifeStyle Conservative Portfolio, ING LifeStyle Growth Portfolio, ING LifeStyle Moderate Portfolio and ING LifeStyle Moderate Growth Portfolio were each converted to Class ADV shares of each respective Portfolio. |
NOTE 9 — REORGANIZATIONS
On October 24, 2009, ING LifeStyle Growth Portfolio, (“LifeStyle Growth” or “Acquiring Portfolio”) acquired all of the net assets of ING LifeStyle Aggressive Growth Portfolio (“Acquired Portfolio”), an open-end investment company in a tax-free reorganization (“Merger”) in exchange for shares of the Acquiring Portfolio, pursuant to a plan of reorganization approved by the Acquired Portfolio’s shareholders on September 24, 2009. In conjunction with the Merger, ING LifeStyle Growth Portfolio was reorganized with and into Retirement Growth (“Reorganization”). As a result of the Reorganization, each owner of Class ADV, Class S and Class S2 shares of LifeStyle Growth became a shareholder of Class ADV shares of Retirement Growth, and each owner of Class I shares of LifeStyle Growth became a shareholder of Class I shares of Retirement Growth. The primary purposes of the Merger and Reorganization were to improve the performance and
lower the volatility of the Acquired and Acquiring Portfolios. 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, 2009, the beginning of the annual reporting period of the Acquiring Portfolio, the Acquiring Portfolio’s pro forma results of operations for the year ended December 31, 2009, are as follows:
Net investment income | $ | 58,692,813 | |
Net realized and unrealized gain on investments | $ | 963,170,367 | |
Net increase in net assets resulting from operations | $ | 1,021,863,180 |
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (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 December 31, 2009. Net assets and unrealized appreciation as of the reorganization date were as follows:
Acquiring | Acquired | Total Net Assets of | Total Net Assets of | Acquired | Acquired Portfolio | Conversion | ||||||||||
LifeStyle Growth | ING LifeStyle Aggressive Growth Portfolio | $ | 953,440 | $ | 3,758,967 | $ | 391,257 | $ | 39,993 | 0.9345 |
The net assets of LifeStyle Growth after the acquisition were $4,712,406,973.
NOTE 10 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, 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.
No dividends or distributions were made during the six months ended June 30, 2010. The tax composition of dividends and distributions to shareholders during the year ended December 31, 2009 was as follows*:
Ordinary | Long-Term | |||||
Conservative | $ | 42,557,106 | $ | 959,591 | ||
Moderate | 98,055,916 | 22,023,874 | ||||
Moderate Growth | 146,273,403 | 56,091,681 |
* | Effective with the Reorganization, Growth was a new tax reporting entity and had no distribution since the Reorganization. |
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, 2009 were:
Undistributed | Undistributed | Unrealized | Post-October | Capital Loss | Expiration | ||||||||||||||
Conservative | $ | 1,137,252 | $ | 717,858 | $ | 9,774,311 | $ | — | $ | — | — | ||||||||
Growth | 17,663,030 | — | 233,182,195 | (5,729,486 | ) | (1,509,121,620 | ) | 2016 | |||||||||||
Moderate | 10,845,246 | — | 66,391,009 | (715,492 | ) | (301,100,036 | ) | 2017 | |||||||||||
Moderate Growth | 15,376,369 | — | 143,543,095 | (1,369,394 | ) | (747,657,928 | ) | 2017 |
The Portfolios’ major tax jurisdictions are federal, Arizona, and Massachusetts. The earliest tax year that remains subject to examination by these jurisdictions is 2005.
As of June 30, 2010, 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.
16
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NOTES TO FINANCIAL STATEMENTSASOF JUNE 30, 2010 (UNAUDITED) (CONTINUED)
NOTE 11 — 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. A Portfolio’s risk profile is largely a factor of the principal securities in which it invests and investment techniques that it uses. For more information regarding the types of securities and investment techniques that may be used by the Portfolios and their corresponding risks, see the Portfolios’ most recent Prospectus and/or the Statement of Additional Information.
The Portfolios are also affected by other kinds of risks, depending on the types of securities held or strategies used by an Underlying Fund.
Asset Allocation. Assets will be allocated among Underlying Funds and markets based on judgements by the Adviser or Consultant. There is a risk that the Portfolios may allocate assets to an Underlying Fund or market that underperforms other funds or asset classes.
Foreign Securities. Investments in foreign securities may entail risks not present in domestic investments. Since securities in which an Underlying Fund 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 Underlying Funds. Foreign investments may also subject the Underlying Funds 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 Underlying Funds’ investments.
NOTE 12 — SUBSEQUENT EVENTS
Dividends: Subsequent to June 30, 2010, the Portfolios declared dividends and distributions of:
PER SHARE AMOUNTS | |||||||||||||
Net Investment | Short-Term | Long-Term | Payable Date | Record Date | |||||||||
Conservative | |||||||||||||
Class ADV | $ | 0.0205 | $ | 0.0001 | $ | 0.0130 | July 15, 2010 | July 13, 2010 | |||||
Class I | $ | 0.0180 | $ | 0.0001 | $ | 0.0130 | July 15, 2010 | July 13, 2010 | |||||
Growth | |||||||||||||
Class ADV | $ | 0.0370 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Class I | $ | 0.0448 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Moderate | |||||||||||||
Class ADV | $ | 0.0579 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Class I | $ | 0.0645 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Moderate Growth | |||||||||||||
Class ADV | $ | 0.0473 | $ | — | $ | — | July 15, 2010 | July 13, 2010 | |||||
Class I | $ | 0.0545 | $ | — | $ | — | July 15, 2010 | July 13, 2010 |
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.
17
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ING RETIREMENT PORTFOLIOS | PORTFOLIO ASSET ALLOCATION ASOF JUNE 30, 2010 (UNAUDITED) |
The following table illustrates the net asset allocation of the underlying portfolios as of June 30, 2010 ( as a percent of net assets).
Affiliated Underlying Funds | ING Retirement Conservative Portfolio | ING Retirement Growth Portfolio | ING Retirement Moderate Growth Portfolio | ING Retirement Moderate Portfolio | ||||||||||
ING BlackRock Inflation Protected Bond Portfolio - Class I | % | 23.3 | — | — | 13.3 | |||||||||
ING Euro STOXX 50 Index Portfolio - Class I | % | 3.1 | 9.1 | 7.4 | 6.2 | |||||||||
ING FTSE 100 Index Portfolio - Class I | % | 2.3 | 6.8 | 5.6 | 4.7 | |||||||||
ING Hang Seng Index Portfolio - Class I | % | 0.4 | 1.1 | 0.9 | 0.8 | |||||||||
ING Japan TOPIX Index Portfolio - Class I | % | 2.0 | 5.8 | 4.8 | 4.0 | |||||||||
ING Russell Mid Cap Index Portfolio - Class I | % | 1.9 | 13.8 | 11.8 | 7.8 | |||||||||
ING Russell Small Cap Index Portfolio - Class I | % | — | 5.9 | 3.9 | 1.9 | |||||||||
ING U.S. Bond Index Portfolio - Class I | % | 47.6 | 25.8 | 36.0 | 37.8 | |||||||||
ING U.S. Stock Index Portfolio - Class I | % | 19.4 | 31.7 | 29.6 | 23.5 | |||||||||
Other assets and liabilities - Net | % | (0.0 | )* | (0.0 | )* | (0.0 | )* | (0.0 | )* | |||||
% | 100.0 | 100.0 | 100.0 | 100.0 | ||||||||||
(*) | Amount is more than (0.05)% |
Portfolio holdings are subject to change daily.
18
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ING RETIREMENT CONSERVATIVE PORTFOLIO | AS OF JUNE 30, 2010 (UNAUDITED) |
Shares | Value | ||||||||||
AFFILIATED INVESTMENT COMPANIES: 100.0% | |||||||||||
10,178,050 | ING BlackRock Inflation Protected Bond Portfolio - Class I | $ | 106,462,408 | ||||||||
1,616,463 | ING Euro STOXX 50 Index Portfolio - Class I | 14,127,891 | |||||||||
1,086,302 | ING FTSE 100 Index Portfolio - Class I | 10,613,169 | |||||||||
147,425 | ING Hang Seng Index Portfolio - Class I | 1,780,888 | |||||||||
952,909 | ING Japan TOPIX Index Portfolio - Class I | 9,052,632 | |||||||||
976,529 | ING Russell Mid Cap Index Portfolio - Class I | 8,827,826 | |||||||||
20,087,411 | ING U.S. Bond Index Portfolio - Class I | 217,546,663 | |||||||||
9,870,616 | ING U.S. Stock Index Portfolio - Class I | 88,835,540 | |||||||||
Total Investments in Affiliated Investment Companies (Cost $ 447,671,706)* | 100.0% |
| $ | 457,247,017 | |||||||
Other Assets and Liabilities - Net | (0.0 | ) | (182,115 | ) | |||||||
Net Assets | 100.0 | % | $ | 457,064,902 | |||||||
* | Cost for federal income tax purposes is $448,870,690. |
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 13,443,607 | ||
Gross Unrealized Depreciation | (5,067,280 | ) | ||
Net Unrealized Appreciation | $ | 8,376,327 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s assets and liabilities:
Quoted Prices in Active Markets | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Affiliated Investment Companies | $ | 457,247,017 | $ | — | $ | — | $ | 457,247,017 | ||||
Total Investments, at value | $ | 457,247,017 | $ | — | $ | — | $ | 457,247,017 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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ING RETIREMENT GROWTH PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Shares | Value | ||||||||||
AFFILIATED INVESTMENT COMPANIES: 100.0% | |||||||||||
44,196,168 | ING Euro STOXX 50 Index Portfolio - Class I | $ | 386,274,508 | ||||||||
29,707,635 | ING FTSE 100 Index Portfolio - Class I | 290,243,597 | |||||||||
4,031,280 | ING Hang Seng Index Portfolio - Class I | 48,697,863 | |||||||||
26,066,423 | ING Japan TOPIX Index Portfolio - Class I | 247,631,020 | |||||||||
65,021,078 | ING Russell Mid Cap Index Portfolio - Class I | 587,790,545 | |||||||||
26,312,423 | ING Russell Small Cap Index Portfolio - Class I | 251,283,638 | |||||||||
101,686,541 | ING U.S. Bond Index Portfolio - Class I | 1,101,265,244 | |||||||||
150,229,539 | ING U.S. Stock Index Portfolio - Class I | 1,352,065,851 | |||||||||
Total Investments in Affiliated Investment Companies (Cost $ 4,307,666,803)* | 100.0% | $ | 4,265,252,266 | ||||||||
Other Assets and Liabilities - Net | (0.0 | ) | (2,041,429 | ) | |||||||
Net Assets | 100.0 | % | $ | 4,263,210,837 | |||||||
* | Cost for federal income tax purposes is $4,325,957,681. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 98,580,579 | ||
Gross Unrealized Depreciation | (159,285,994 | ) | ||
Net Unrealized Depreciation | $ | (60,705,415 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s assets and liabilities:
Quoted Prices in Active Markets | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Affiliated Investment Companies | $ | 4,265,252,266 | $ | — | $ | — | $ | 4,265,252,266 | ||||
Total Investments, at value | $ | 4,265,252,266 | $ | — | $ | — | $ | 4,265,252,266 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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ING RETIREMENT MODERATE PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Shares | Value | ||||||||||
AFFILIATED INVESTMENT COMPANIES: 100.0% | |||||||||||
23,096,366 | ING BlackRock Inflation Protected Bond Portfolio - Class I | $ | 241,587,986 | ||||||||
12,976,503 | ING Euro STOXX 50 Index Portfolio - Class I | 113,414,638 | |||||||||
8,721,052 | ING FTSE 100 Index Portfolio - Class I | 85,204,683 | |||||||||
1,183,501 | ING Hang Seng Index Portfolio - Class I | 14,296,687 | |||||||||
7,650,827 | ING Japan TOPIX Index Portfolio - Class I | 72,682,859 | |||||||||
15,679,674 | ING Russell Mid Cap Index Portfolio - Class I | 141,744,252 | |||||||||
3,701,366 | ING Russell Small Cap Index Portfolio - Class I | 35,348,046 | |||||||||
63,487,878 | ING U.S. Bond Index Portfolio - Class I | 687,573,714 | |||||||||
47,545,720 | ING U.S. Stock Index Portfolio - Class I | 427,911,480 | |||||||||
Total Investments in Affiliated Investment Companies (Cost $ 1,819,557,728)* | 100.0 | % | $ | 1,819,764,345 | |||||||
Other Assets and Liabilities - Net | (0.0 | ) | (840,812 | ) | |||||||
Net Assets | 100.0 | % | $ | 1,818,923,533 | |||||||
* | Cost for federal income tax purposes is $1,823,895,451. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 44,386,221 | ||
Gross Unrealized Depreciation | (48,517,327 | ) | ||
Net Unrealized Depreciation | $ | (4,131,106 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s assets and liabilities:
Quoted Prices in Active Markets | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Affiliated Investment Companies | $ | 1,819,764,345 | $ | — | $ | — | $ | 1,819,764,345 | ||||
Total Investments, at value | $ | 1,819,764,345 | $ | — | $ | — | $ | 1,819,764,345 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
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ING RETIREMENT MODERATE GROWTH PORTFOLIO | PORTFOLIO OF INVESTMENTS ASOF JUNE 30, 2010 (UNAUDITED) |
Shares | Value | ||||||||||
AFFILIATED INVESTMENT COMPANIES: 100.0% | |||||||||||
25,848,438 | ING Euro STOXX 50 Index Portfolio - Class I | $ | 225,915,347 | ||||||||
17,373,779 | ING FTSE 100 Index Portfolio - Class I | 169,741,825 | |||||||||
2,357,632 | ING Hang Seng Index Portfolio - Class I | 28,480,190 | |||||||||
15,243,522 | ING Japan TOPIX Index Portfolio - Class I | 144,813,463 | |||||||||
39,455,819 | ING Russell Mid Cap Index Portfolio - Class I | 356,680,605 | |||||||||
12,418,628 | ING Russell Small Cap Index Portfolio - Class I | 118,597,899 | |||||||||
100,773,898 | ING U.S. Bond Index Portfolio - Class I | 1,091,381,317 | |||||||||
99,704,880 | ING U.S. Stock Index Portfolio - Class I | 897,343,916 | |||||||||
Total Investments in Affiliated Investment Companies (Cost $ 3,054,898,602)* | 100.0 | % | $ | 3,032,954,562 | |||||||
Other Assets and Liabilities - Net | (0.0 | ) | (1,482,017 | ) | |||||||
Net Assets | 100.0 | % | $ | 3,031,472,545 | |||||||
* | Cost for federal income tax purposes is $3,062,056,737. |
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 62,481,224 | ||
Gross Unrealized Depreciation | (91,583,399 | ) | ||
Net Unrealized Depreciation | $ | (29,102,175 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Portfolio’s assets and liabilities:
Quoted Prices in Active Markets | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 6/30/2010 | |||||||||
Asset Table | ||||||||||||
Investments, at value | ||||||||||||
Affiliated Investment Companies | $ | 3,032,954,562 | $ | — | $ | — | $ | 3,032,954,562 | ||||
Total Investments, at value | $ | 3,032,954,562 | $ | — | $ | — | $ | 3,032,954,562 | ||||
^ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
See Accompanying Notes to Financial Statements
22
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Investment Adviser
Directed Services LLC
1475 Dunwoody Drive
West Chester, Pennsylvania 19380
Distributor
ING Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Administrator
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
(formerly, PNC Global Investment Servicing (U.S.) Inc.)
301 Bellevue Parkway
Wilmington, Delaware 19809
Custodian
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Legal Counsel
Dechert LLP
1775 I Street, N.W.
Washington, D.C. 20006
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable universal life insurance policy or variable annuity contract and the underlying variable investment options. This and other information is contained in the prospectus for the variable universal life policy or variable annuity contract and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
VPSAR-URETADVI | (0610-081310) |
Table of Contents
Item 2. Code of Ethics.
Not required for semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not required for semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not required for semi-annual filing.
Item 5. Audit Committee Of Listed Registrants.
Not required for semi-annual filing.
Table of Contents
Item 6. Schedule of Investments.
For the Portfolios that have a complete Schedule of investments, the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
ING Artio Foreign Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited) |
Shares | Value | ||||||||||||||
COMMON STOCK: | 91.2 | % | |||||||||||||
Australia: | 1.2 | % | |||||||||||||
116,613 | Aquarius Platinum Ltd. | $ | 566,193 | ||||||||||||
884,923 | @ | Asciano Group | 1,188,358 | ||||||||||||
2,339,786 | Macquarie Airports Management Ltd. | 5,243,876 | |||||||||||||
116,548 | Newcrest Mining Ltd. | 3,400,470 | |||||||||||||
10,398,897 | |||||||||||||||
Austria: | 1.4 | % | |||||||||||||
302,017 | S | Erste Bank der Oesterreichischen Sparkassen AG | 9,582,489 | ||||||||||||
87,601 | S | OMV AG | 2,630,712 | ||||||||||||
25,480 | @, L | Wienerberger AG | 309,702 | ||||||||||||
12,522,903 | |||||||||||||||
Belgium: | 0.3 | % | |||||||||||||
69,839 | @, S | KBC Groep NV | 2,676,952 | ||||||||||||
2,676,952 | |||||||||||||||
Brazil: | 1.1 | % | |||||||||||||
25,006 | All America Latina Logistica S.A. | 195,476 | |||||||||||||
62,269 | Amil Participacoes S.A. | 505,397 | |||||||||||||
66,085 | Centrais Eletricas Brasileiras S.A. | 882,354 | |||||||||||||
444,331 | @ | Hypermarcas SA | 5,698,760 | ||||||||||||
83,467 | Perdigao S.A. | 1,096,863 | |||||||||||||
64,132 | Vale S.A. ADR | 1,561,614 | |||||||||||||
9,940,464 | |||||||||||||||
Canada: | 5.8 | % | |||||||||||||
21,247 | Agnico-Eagle Mines Ltd. | 1,288,931 | |||||||||||||
37,107 | L | Bank of Montreal | 2,012,642 | ||||||||||||
63,315 | Bank of Nova Scotia | 2,917,290 | |||||||||||||
323,567 | Barrick Gold Corp. | 14,686,729 | |||||||||||||
25,274 | Canadian Imperial Bank of Commerce | 1,570,262 | |||||||||||||
13,981 | Canadian Pacific Railway Ltd. | 749,383 | |||||||||||||
26,797 | EnCana Corp. | 811,550 | |||||||||||||
116,776 | GoldCorp, Inc. | 5,112,892 | |||||||||||||
37,596 | Iamgold Corp. | 662,888 | |||||||||||||
8,737 | L | IGM Financial, Inc. | 304,652 | ||||||||||||
122,050 | @ | Ivanhoe Mines Ltd. | 1,581,015 | ||||||||||||
69,385 | Kinross Gold Corp. | 1,186,236 | |||||||||||||
7,929 | Potash Corp. of Saskatchewan | 682,927 | |||||||||||||
95,622 | Royal Bank of Canada | 4,554,070 | |||||||||||||
210,830 | @ | Silver Wheaton Corp. | 4,224,324 | ||||||||||||
102,105 | Suncor Energy, Inc. | 3,004,978 | |||||||||||||
134,134 | Talisman Energy, Inc. | 2,028,611 | |||||||||||||
60,076 | Toronto Dominion Bank | 3,892,765 | |||||||||||||
51,272,145 | |||||||||||||||
China: | 2.0 | % | |||||||||||||
7,277,228 | L | Beijing Capital International Airport Co., Ltd. | 4,264,883 | ||||||||||||
875,000 | China Yurun Food Group Ltd. | 2,751,608 | |||||||||||||
212,000 | Hengan International Group Co., Ltd. | 1,716,657 | |||||||||||||
60,949 | L | Mindray Medical International Ltd. ADR | 1,915,018 | ||||||||||||
394,000 | Shandong Weigao Group Medical Polymer Co., Ltd. | 1,716,321 | |||||||||||||
977,200 | Sinopharm Group Co. | 3,560,545 | |||||||||||||
96,000 | Tsingtao Brewery Co., Ltd. | 448,462 | |||||||||||||
718,000 | Wumart Stores, Inc. | 1,280,550 | |||||||||||||
17,654,044 | |||||||||||||||
Czech Republic: | 1.7 | % | |||||||||||||
92,092 | S | Komercni Banka A/S | 14,745,095 | ||||||||||||
14,745,095 | |||||||||||||||
Denmark: | 0.8 | % | |||||||||||||
236 | AP Moller - Maersk A/S - Class B | 1,858,693 | |||||||||||||
68,745 | Novo-Nordisk A/S | 5,554,097 | |||||||||||||
7,412,790 | |||||||||||||||
Finland: | 1.1 | % | |||||||||||||
80,875 | S | Fortum OYJ | 1,775,267 | ||||||||||||
53,274 | Kesko OYJ | 1,723,220 | |||||||||||||
374,892 | Stora Enso OYJ (Euro Denominated Security) | 2,708,876 | |||||||||||||
258,486 | S | UPM-Kymmene OYJ | 3,422,181 | ||||||||||||
9,629,544 | |||||||||||||||
France: | 4.9 | % | |||||||||||||
27,739 | ADP | 1,779,559 | |||||||||||||
35,509 | Carrefour S.A. | 1,408,557 | |||||||||||||
21,510 | CFAO S.A. | 578,475 | |||||||||||||
15,710 | Cie Generale D’Optique Essilor International S.A. | 933,567 | |||||||||||||
72,992 | Eutelsat Communications | 2,443,604 | |||||||||||||
180,989 | Groupe Danone | 9,702,877 | |||||||||||||
25,294 | L | Iliad S.A. | 1,964,181 | ||||||||||||
49,412 | S | LVMH Moet Hennessy Louis Vuitton S.A. | 5,378,157 | ||||||||||||
19,119 | S | PPR | 2,375,026 | ||||||||||||
27,874 | S, L | Publicis Groupe | 1,111,890 | ||||||||||||
17,819 | Safran S.A. | 497,067 | |||||||||||||
104,394 | Sanofi-Aventis | 6,287,383 | |||||||||||||
20,865 | Schneider Electric S.A. | 2,107,369 | |||||||||||||
31,990 | Sodexho Alliance S.A. | 1,775,349 | |||||||||||||
18,909 | Technip S.A. | 1,084,545 | |||||||||||||
3,982 | Vallourec | 686,547 | |||||||||||||
87,046 | Veolia Environnement | 2,044,973 | |||||||||||||
37,882 | L | Vinci S.A. | 1,572,927 | ||||||||||||
43,732,053 | |||||||||||||||
Germany: | 6.3 | % | |||||||||||||
38,772 | S | Allianz AG | 3,837,404 | ||||||||||||
38,228 | Bayer AG | 2,136,240 | |||||||||||||
15,453 | S | Bilfinger Berger AG | 856,381 | ||||||||||||
126,284 | @ | DaimlerChrysler AG | 6,388,154 | ||||||||||||
46,442 | Deutsche Boerse AG | 2,821,521 | |||||||||||||
140,315 | E.ON AG | 3,772,828 | |||||||||||||
277,164 | S, L | Fraport AG Frankfurt Airport Services Worldwide | 11,787,470 | ||||||||||||
95,730 | Fresenius AG | 6,346,131 | |||||||||||||
68,196 | HeidelbergCement AG | 3,222,996 | |||||||||||||
5,910 | S | Henkel KGaA | 241,884 | ||||||||||||
75,106 | S | MAN AG | 6,191,904 | ||||||||||||
19,613 | S | Metro AG | 1,000,687 | ||||||||||||
35,854 | S | RWE AG | 2,346,144 | ||||||||||||
54,706 | S, L | SAP AG | 2,432,630 | ||||||||||||
22,437 | Siemens AG | 2,006,764 | |||||||||||||
55,389,138 | |||||||||||||||
Greece: | 0.3 | % | |||||||||||||
139,352 | Coca-Cola Hellenic Bottling Co. S.A. | 2,986,475 | |||||||||||||
2,986,475 | |||||||||||||||
Hong Kong: | 2.5 | % | |||||||||||||
1,433,000 | China Mengniu Dairy Co., Ltd. | 4,644,637 | |||||||||||||
1,147,815 | China Merchants Holdings International Co., Ltd. | 3,789,226 | |||||||||||||
2,562,000 | China Resources Enterprise | 9,431,857 | |||||||||||||
6,231,994 | @ | GOME Electrical Appliances Holdings Ltd. | 1,880,646 | ||||||||||||
3,677,000 | L | Lenovo Group Ltd. | 1,972,890 | ||||||||||||
21,719,256 | |||||||||||||||
Hungary: | 0.8 | % | |||||||||||||
342,695 | @, L | OTP Bank Nyrt | 6,909,537 | ||||||||||||
6,909,537 | |||||||||||||||
India: | 2.8 | % | |||||||||||||
83,911 | ACC Ltd. | 1,577,263 | |||||||||||||
130,783 | Axis Bank Ltd. | 3,467,059 | |||||||||||||
127,967 | Bharti Airtel Ltd. | 720,457 | |||||||||||||
14,624 | Dr Reddys Laboratories Ltd. | 456,951 | |||||||||||||
297,897 | Gujarat Ambuja Cements Ltd. | 730,739 | |||||||||||||
325,845 | ICICI Bank Ltd. | 5,959,485 | |||||||||||||
161,609 | Larsen & Toubro Ltd. | 6,250,649 | |||||||||||||
381,359 | Tata Steel Ltd. | 3,948,084 | |||||||||||||
75,417 | Ultratech Cement Ltd. | 1,421,055 | |||||||||||||
24,531,742 | |||||||||||||||
Indonesia: | 0.2 | % | |||||||||||||
1,760,985 | Telekomunikasi Indonesia Tbk PT | 1,492,635 | |||||||||||||
1,492,635 | |||||||||||||||
Ireland: | 0.4 | % | |||||||||||||
543,032 | @, S | Dragon Oil PLC | 3,294,358 | ||||||||||||
3,294,358 | |||||||||||||||
Israel: | 0.5 | % | |||||||||||||
87,167 | Teva Pharmaceutical Industries Ltd. ADR | 4,531,812 | |||||||||||||
4,531,812 | |||||||||||||||
Italy: | 0.8 | % | |||||||||||||
143,374 | Buzzi Unicem S.p.A. | 1,437,804 | |||||||||||||
122,664 | S | ENI S.p.A. | 2,251,634 | ||||||||||||
45,053 | S | Saipem S.p.A. | 1,372,237 | ||||||||||||
1,194,386 | Telecom Italia S.p.A. | 1,319,026 | |||||||||||||
1,063,786 | Telecom Italia S.p.A. RNC | 971,729 | |||||||||||||
7,352,430 | |||||||||||||||
Japan: | 9.7 | % | |||||||||||||
25,516 | Aisin Seiki Co., Ltd. | 686,956 | |||||||||||||
55,000 | Asahi Breweries Ltd. | 931,757 | |||||||||||||
225,500 | Asahi Glass Co., Ltd. | 2,117,407 | |||||||||||||
280,000 | Bank of Yokohama Ltd. | 1,280,851 | |||||||||||||
74,141 | S | Canon, Inc. | 2,763,194 | ||||||||||||
345 | Central Japan Railway Co. | 2,848,612 | |||||||||||||
222,200 | Chiba Bank Ltd. | 1,341,445 | |||||||||||||
30,500 | Daikin Industries Ltd. | 929,955 | |||||||||||||
44,822 | Denso Corp. | 1,238,831 | |||||||||||||
24,860 | Diamond Lease Co., Ltd. | 838,586 | |||||||||||||
38,800 | East Japan Railway Co. | 2,583,520 | |||||||||||||
25,700 | L | Eisai Co., Ltd. | 852,749 | ||||||||||||
30,400 | Fanuc Ltd. | 3,432,846 | |||||||||||||
178,000 | Fukuoka Financial Group, Inc. | 740,949 | |||||||||||||
246,620 | Honda Motor Co., Ltd. | 7,243,931 | |||||||||||||
222,100 | Itochu Corp. | 1,736,259 | |||||||||||||
64,300 | Kirin Brewery Co., Ltd. | 809,510 | |||||||||||||
65,228 | Komatsu Ltd. | 1,174,504 | |||||||||||||
90,829 | Kubota Corp. | 696,686 | |||||||||||||
9,800 | Kyocera Corp. | 793,372 | |||||||||||||
163,024 | Matsushita Electric Industrial Co., Ltd. | 2,035,657 | |||||||||||||
296,700 | Mazda Motor Corp. | 693,342 | |||||||||||||
158,500 | Mitsubishi Corp. | 3,279,118 | |||||||||||||
259,286 | Mitsubishi Electric Corp. | 2,023,706 | |||||||||||||
703,200 | Mitsubishi UFJ Financial Group, Inc. | 3,193,025 | |||||||||||||
33,600 | NGK Insulators Ltd. | 523,321 | |||||||||||||
49,200 | Nidec Corp. | 4,118,885 | |||||||||||||
17,000 | Nintendo Co., Ltd. | 4,991,357 | |||||||||||||
23,800 | Nippon Telegraph & Telephone Corp. | 969,514 | |||||||||||||
315,600 | @ | Nissan Motor Co., Ltd. | 2,199,252 | ||||||||||||
57,000 | NSK Ltd. | 395,873 | |||||||||||||
724 | NTT DoCoMo, Inc. | 1,096,346 | |||||||||||||
107,800 | Resona Holdings, Inc. | 1,315,590 | |||||||||||||
64,207 | Ricoh Co., Ltd. | 818,737 | |||||||||||||
12,000 | Shin-Etsu Chemical Co., Ltd. | 557,942 | |||||||||||||
24,100 | SMC Corp. | 3,223,900 | |||||||||||||
70,866 | Sony Corp. | 1,890,210 | |||||||||||||
20,100 | Stanley Electric Co., Ltd. | 332,862 | |||||||||||||
120,500 | Sumitomo Mitsui Financial Group, Inc. | 3,410,435 | |||||||||||||
363,100 | Sumitomo Trust & Banking Co., Ltd. | 1,848,602 | |||||||||||||
179,928 | Suzuki Motor Corp. | 3,531,162 | |||||||||||||
28,500 | Takeda Pharmaceutical Co., Ltd. | 1,224,151 | |||||||||||||
97,533 | S | Toyota Motor Corp. | 3,351,103 | ||||||||||||
36,600 | Uni-Charm Corp. | 4,127,247 | |||||||||||||
86,193,257 | |||||||||||||||
Kenya: | 0.1 | % | |||||||||||||
16,462,048 | Safaricom Ltd. | 1,167,950 | |||||||||||||
1,167,950 | |||||||||||||||
Lebanon: | 0.3 | % | |||||||||||||
102,506 | # | Solidere GDR | 2,262,307 | ||||||||||||
2,262,307 | |||||||||||||||
Luxembourg: | 0.6 | % | |||||||||||||
126,731 | @, S, L | Evraz Group SA GDR - Reg S | 2,955,755 | ||||||||||||
148,457 | @ | L’OCCITANE International | 323,723 | ||||||||||||
105,714 | SES S.A. | 2,198,488 | |||||||||||||
5,477,966 | |||||||||||||||
Macau: | 0.1 | % | |||||||||||||
897,200 | @ | Sands China Ltd. | 1,326,043 | ||||||||||||
1,326,043 | |||||||||||||||
Mexico: | 1.5 | % | |||||||||||||
323,850 | @ | Cemex SA de CV ADR | 3,131,630 | ||||||||||||
614,459 | @ | Cemex SAB de C.V. | 595,785 | ||||||||||||
155,978 | @ | Fomento Economico Mexicano SA de CV ADR | 674,177 | ||||||||||||
140,648 | Fomento Economico Mexicano SA de CV ADR | 6,068,961 | |||||||||||||
113,265 | @ | Grupo Comercial Chedraui | 296,013 | ||||||||||||
631,468 | @ | Grupo Financiero Banorte SA de CV | 2,392,470 | ||||||||||||
13,159,036 | |||||||||||||||
Netherlands: | 6.2 | % | |||||||||||||
15,559 | ASML Holding NV | 428,183 | |||||||||||||
75,835 | @ | European Aeronautic Defence and Space Co. NV | 1,547,630 | ||||||||||||
18,789 | Heineken Holding NV | 686,405 | |||||||||||||
98,596 | Heineken NV | 4,179,225 | |||||||||||||
107,894 | Koninklijke Philips Electronics NV | 3,221,945 | |||||||||||||
43,571 | @ | Randstad Holdings NV | 1,712,135 | ||||||||||||
366,740 | Royal Dutch Shell PLC | 9,219,006 | |||||||||||||
269,181 | Royal Dutch Shell PLC - Class A | 6,793,061 | |||||||||||||
365,964 | Royal KPN NV | 4,664,776 | |||||||||||||
213,193 | TNT NV | 5,369,726 | |||||||||||||
468,448 | S | Unilever NV | 12,792,974 | ||||||||||||
135,093 | @ | X5 Retail Group N.V. GDR | 4,533,601 | ||||||||||||
55,148,667 | |||||||||||||||
Nigeria: | 0.2 | % | |||||||||||||
3,730,855 | Nigerian Breweries PLC | 1,569,051 | |||||||||||||
1,569,051 | |||||||||||||||
Norway: | 1.1 | % | |||||||||||||
148,591 | DnB NOR ASA | 1,429,178 | |||||||||||||
2,587,841 | Marine Harvest | 1,708,876 | |||||||||||||
284,553 | Statoil ASA | 5,481,864 | |||||||||||||
117,589 | Telenor ASA | 1,481,305 | |||||||||||||
10,101,223 | |||||||||||||||
Papua New Guinea: | 0.2 | % | |||||||||||||
536,671 | Lihir Gold Ltd. | 1,930,729 | |||||||||||||
1,930,729 | |||||||||||||||
Poland: | 1.5 | % | |||||||||||||
136,145 | Bank Pekao S.A. | 6,208,796 | |||||||||||||
16,701 | Bank Zachodni WBK S.A. | 945,394 | |||||||||||||
589,463 | Powszechna Kasa Oszczednosci Bank Polski S.A. | 6,287,457 | |||||||||||||
13,441,647 | |||||||||||||||
Portugal: | 0.2 | % | |||||||||||||
120,295 | Galp Energia SGPS S.A. | 1,796,859 | |||||||||||||
1,796,859 | |||||||||||||||
Romania: | 0.2 | % | |||||||||||||
75,000 | Romanian Bank for Development SA | 224,001 | |||||||||||||
15,266,000 | @ | SNP Petrom SA | 1,288,948 | ||||||||||||
1,512,949 | |||||||||||||||
Russia: | 5.7 | % | |||||||||||||
12,675 | L | CTC Media, Inc. | 183,027 | ||||||||||||
17,519,995 | @ | IDGC Holding JSC | 1,839,599 | ||||||||||||
18,797 | L | Magnit OAO | 1,529,338 | ||||||||||||
169,500 | S | Magnit OAO GDR | 2,905,669 | ||||||||||||
64,351 | S | Mechel OAO ADR | 1,167,327 | ||||||||||||
279,582 | S | MMC Norilsk Nickel ADR | 4,039,960 | ||||||||||||
20,177 | S | Novatek OAO GDR | 1,438,175 | ||||||||||||
110,084 | Novorossiysk Commercial Sea Port GDR | 1,192,241 | |||||||||||||
53,600 | S, L | OAO Gazprom ADR | 1,005,000 | ||||||||||||
605,350 | @, S | OAO Rosneft Oil Co. GDR | 3,691,557 | ||||||||||||
21,618,500 | @, S | OGK-3 OJSC | 1,134,971 | ||||||||||||
5,455,275 | @ | OGK-4 OJSC | 423,065 | ||||||||||||
76,599 | @, S | Pharmstandard | 5,591,727 | ||||||||||||
177,500 | @, S | Pharmstandard - Reg S GDR | 3,863,658 | ||||||||||||
6,141,676 | Sberbank of Russian Federation | 14,985,682 | |||||||||||||
436,654 | TNK-BP Holding | 905,098 | |||||||||||||
56,883 | Uralkali GDR | 1,012,408 | |||||||||||||
713,863 | L | VTB Bank OJSC GDR | 3,429,294 | ||||||||||||
50,337,796 | |||||||||||||||
South Africa: | 2.2 | % | |||||||||||||
39,851 | Anglogold Ashanti Ltd. ADR | 1,719,929 | |||||||||||||
446,528 | @ | Aspen Pharmacare Holdings Ltd. | 4,409,412 | ||||||||||||
73,449 | Impala Platinum Holdings Ltd. | 1,709,457 | |||||||||||||
92,611 | Massmart Holdings Ltd. | 1,419,405 | |||||||||||||
416,984 | Shoprite Holdings Ltd. | 4,482,969 | |||||||||||||
314,933 | Standard Bank Group Ltd. | 4,176,354 | |||||||||||||
59,232 | Tiger Brands Ltd. | 1,309,792 | |||||||||||||
19,227,318 | |||||||||||||||
South Korea: | 1.7 | % | |||||||||||||
40,070 | Hankook Tire Co., Ltd. | 909,093 | |||||||||||||
55,508 | Hyundai Motor Co. | 6,494,922 | |||||||||||||
9,272 | Posco | 3,513,261 | |||||||||||||
6,734 | Samsung Electronics Co., Ltd. | 4,223,661 | |||||||||||||
15,140,937 | |||||||||||||||
Spain: | 0.2 | % | |||||||||||||
47,477 | @ | Amadeus IT Holding SA | 754,746 | ||||||||||||
44,629 | Repsol YPF S.A. | 900,619 | |||||||||||||
1,655,365 | |||||||||||||||
Sweden: | 1.1 | % | |||||||||||||
105,326 | Atlas Copco AB - Class A | 1,539,937 | |||||||||||||
111,743 | Hennes & Mauritz AB | 3,070,962 | |||||||||||||
114,902 | Sandvik AB | 1,401,568 | |||||||||||||
22,159 | Swedish Match AB | 484,226 | |||||||||||||
267,128 | @ | Volvo AB - B Shares | 2,954,116 | ||||||||||||
9,450,809 | |||||||||||||||
Switzerland: | 7.2 | % | |||||||||||||
123,774 | @ | ABB Ltd. | 2,154,980 | ||||||||||||
92,064 | Credit Suisse Group | 3,461,352 | |||||||||||||
4,557 | Flughafen Zuerich AG | 1,352,916 | |||||||||||||
9,870 S | Holcim Ltd. | 660,716 | |||||||||||||
229,925 | Nestle S.A. | 11,086,715 | |||||||||||||
113,415 | Nobel Biocare Holding AG | 1,952,365 | |||||||||||||
328,189 | Novartis AG | 15,905,065 | |||||||||||||
60,078 | Roche Holding AG - Genusschein | 8,269,239 | |||||||||||||
6,686 | Swatch Group AG - BR | 1,885,620 | |||||||||||||
52,359 | Swiss Reinsurance | 2,151,339 | |||||||||||||
4,159 | Swisscom AG | 1,409,982 | |||||||||||||
23,301 | Syngenta AG | 5,382,905 | |||||||||||||
221,251 | @ | UBS AG - Reg | 2,931,093 | ||||||||||||
249,966 | Xstrata PLC | 3,273,216 | |||||||||||||
9,384 | Zurich Financial Services AG | 2,068,361 | |||||||||||||
63,945,864 | |||||||||||||||
Taiwan: | 3.2 | % | |||||||||||||
2,060,000 | Acer, Inc. | 4,780,774 | |||||||||||||
254,550 | Asustek Computer, Inc. | 1,875,043 | |||||||||||||
549,000 | High Tech Computer Corp. | 7,290,779 | |||||||||||||
2,226,000 | @ | HON HAI Precision Industry Co., Ltd. | 7,802,514 | ||||||||||||
685,125 | @ | Pegatron Corp. | 640,742 | ||||||||||||
2,925,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 5,466,953 | |||||||||||||
27,856,805 | |||||||||||||||
Thailand: | 0.2 | % | |||||||||||||
9,827,000 | Thai Beverage PCL | 1,966,081 | |||||||||||||
1,966,081 | |||||||||||||||
Ukraine: | 0.7 | % | |||||||||||||
17,389,206 | @, S | JSCB Ukrsotsbank | 1,069,619 | ||||||||||||
13,488,271 | @ | Raiffeisen Bank Aval | 667,448 | ||||||||||||
38,065 | @ | Ukrnafta Oil Co. ADR | 1,149,268 | ||||||||||||
46,033,498 | @ | UkrTelecom | 3,493,560 | ||||||||||||
6,379,895 | |||||||||||||||
United Kingdom: | 12.2 | % | |||||||||||||
116,106 | @ | Anglo American PLC | 4,045,730 | ||||||||||||
378,534 | ARM Holdings PLC | 1,566,707 | |||||||||||||
1,138,632 | Barclays PLC | 4,544,850 | |||||||||||||
171,771 | BG Group PLC | 2,554,720 | |||||||||||||
353,124 | BHP Billiton PLC | 9,155,980 | |||||||||||||
301,075 | BP PLC | 1,441,295 | |||||||||||||
178,437 | @ | Cairn Energy PLC | 1,096,211 | ||||||||||||
448,802 | Compass Group PLC | 3,414,251 | |||||||||||||
202,144 | S | Diageo PLC | 3,175,257 | ||||||||||||
760,021 | GlaxoSmithKline PLC | 12,905,800 | |||||||||||||
293,741 | Imperial Tobacco Group PLC | 8,207,316 | |||||||||||||
6,805,203 | @, S | Lloyds TSB Group PLC | 5,372,481 | ||||||||||||
35,209 | @ | Lonmin PLC | 735,180 | ||||||||||||
106,434 | Peter Hambro Mining PLC | 1,877,959 | |||||||||||||
241,160 | Reckitt Benckiser PLC | 11,217,388 | |||||||||||||
257,395 | Rio Tinto PLC | 11,303,331 | |||||||||||||
15,487,920 | @, I | Rolls-Royce Group PLC - C Shares | 23,140 | ||||||||||||
219,641 | Rolls-Royce Group PLC | 1,833,295 | |||||||||||||
1,401,110 | @ | Royal Bank of Scotland Group PLC | 853,304 | ||||||||||||
59,320 | SABMiller PLC | 1,663,361 | |||||||||||||
58,501 | Shire PLC | 1,200,102 | |||||||||||||
68,025 | Smith & Nephew PLC | 642,669 | |||||||||||||
718,960 | Tesco PLC | 4,055,946 | |||||||||||||
3,860,097 | S | Vodafone Group PLC | 7,953,692 | ||||||||||||
46,892 | Whitbread PLC | 979,245 | |||||||||||||
517,334 | WM Morrison Supermarkets PLC | 2,044,264 | |||||||||||||
388,859 | WPP PLC | 3,663,237 | |||||||||||||
107,526,711 | |||||||||||||||
Total Common Stock (Cost $ 884,489,311) | 806,767,535 | ||||||||||||||
EXCHANGE-TRADED FUNDS: | 6.1% | ||||||||||||||
United States: | 6.1 | % | |||||||||||||
430,894 | L | Market Vectors - Gold Miners ETF | 22,389,252 | ||||||||||||
259,158 | SPDR Gold Trust | 31,534,345 | |||||||||||||
Total Exchange-Traded Funds (Cost $ 51,584,797) | 53,923,597 | ||||||||||||||
PREFERRED STOCK: | 1.1% | ||||||||||||||
Brazil: | 0.5 | % | |||||||||||||
41,263 | Centrais Eletricas Brasileiras S.A. | 657,236 | |||||||||||||
101,753 | Cia Brasileira de Distribuicao Grupo Pao de Acucar | 3,554,308 | |||||||||||||
4,211,544 | |||||||||||||||
Germany: | 0.5 | % | |||||||||||||
40,614 | Henkel KGaA - Vorzug | 1,983,217 | |||||||||||||
25,018 | Volkswagen AG | 2,195,350 | |||||||||||||
4,178,567 | |||||||||||||||
Russia: | 0.1 | % | |||||||||||||
478,441 | TNK-BP Holding | 813,350 | |||||||||||||
813,350 | |||||||||||||||
Total Preferred Stock (Cost $ 9,356,010) | 9,203,461 | ||||||||||||||
WARRANTS: | 0.0% | ||||||||||||||
Luxembourg: | 0.0 | % | |||||||||||||
93,676 | MAp Group | 212,111 | |||||||||||||
Total Warrants (Cost $ 224,647) | 212,111 | ||||||||||||||
Total Long-Term Investments (Cost $ 945,654,765) | 870,106,704 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 4.9% | ||||||||||||||
Securities Lending Collateralcc: | 4.9 | % | |||||||||||||
41,388,571 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 41,388,571 | |||||||||||||
2,461,775 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 1,969,420 | ||||||||||||
Total Short-Term Investments (Cost $ 43,850,346) | 43,357,991 | ||||||||||||||
Total Investments in Securities (Cost $ 989,505,111) * | 103.3 | % | $ | 913,464,695 | |||||||||||
Other Assets and Liabilities - Net | (3.3) | (29,240,441 | ) | ||||||||||||
Net Assets | 100.0 | % | $ | 884,224,254 | |||||||||||
@ | Non-income producing security |
| |||||||||||||
ADR | American Depositary Receipt | ||||||||||||||
GDR | Global Depositary Receipt | ||||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(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 Fund’s position in Series B is | ||||||||||||||
being fair valued daily. Please see the accompanying Notes to Financial Statements | |||||||||||||||
for additional details on securities lending. | |||||||||||||||
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. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | ||||||||||||||
Industry | Percentage of Net Assets | | |||||||||||||
Consumer Discretionary | 8.2% | ||||||||||||||
Consumer Staples | 16.2 | ||||||||||||||
Energy | 6.4 | ||||||||||||||
Financials | 16.4 | ||||||||||||||
Health Care | 10.2 | ||||||||||||||
Industrials | 11.8 | ||||||||||||||
Information Technology | 5.5 | ||||||||||||||
Materials | 12.7 | ||||||||||||||
Telecommunication Services | 3.2 | ||||||||||||||
Utilities | 1.7 | ||||||||||||||
Other Long-Term Investments | 6.1 | ||||||||||||||
Short-Term Investments | 4.9 | ||||||||||||||
Other Assets and Liabilities - Net | (3.3) | ||||||||||||||
Net Assets | 100.0% | ||||||||||||||
See Accompanying Notes to Financial Statements
Table of Contents
ING Clarion Global Real Estate Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited) |
Shares | Value | ||||||||||||||
COMMON STOCK: | 30.8% | ||||||||||||||
Australia: | 0.5 | % | |||||||||||||
294,164 | Lend Lease Corp. Ltd. | $ | 1,791,366 | ||||||||||||
1,791,366 | |||||||||||||||
Canada: | 1.1 | % | |||||||||||||
283,000 | Brookfield Properties Co. | 3,973,320 | |||||||||||||
3,973,320 | |||||||||||||||
Hong Kong: | 14.0 | % | |||||||||||||
952,470 | Cheung Kong Holdings Ltd. | 10,992,247 | |||||||||||||
374,100 | Great Eagle Holding Co. | 951,000 | |||||||||||||
496,000 | Hang Lung Group Ltd. | 2,673,026 | |||||||||||||
910,700 | Hang Lung Properties Ltd. | 3,483,379 | |||||||||||||
1,092,500 | L | Hongkong Land Holdings Ltd. | 5,400,249 | ||||||||||||
229,800 | Hysan Development Co., Ltd. | 649,614 | |||||||||||||
1,601,400 | Sun Hung Kai Properties Ltd. | 21,900,708 | |||||||||||||
422,175 | Wharf Holdings Ltd. | 2,045,254 | |||||||||||||
48,095,477 | |||||||||||||||
Japan: | 9.3 | % | |||||||||||||
27,017 | Daito Trust Construction Co., Ltd. | 1,529,936 | |||||||||||||
326,700 | Daiwa House Industry Co., Ltd. | 2,939,045 | |||||||||||||
970,057 | Mitsubishi Estate Co., Ltd. | 13,504,816 | |||||||||||||
470,382 | Mitsui Fudosan Co., Ltd. | 6,546,998 | |||||||||||||
439,968 | Sumitomo Realty & Development Co., Ltd. | 7,475,907 | |||||||||||||
31,996,702 | |||||||||||||||
Norway: | 0.7 | % | |||||||||||||
1,750,880 | @ | Norwegian Property ASA | 2,286,863 | ||||||||||||
2,286,863 | |||||||||||||||
Singapore: | 1.0 | % | |||||||||||||
950,350 | CapitaLand Ltd. | 2,423,339 | |||||||||||||
154,400 | City Developments Ltd. | 1,215,355 | |||||||||||||
3,638,694 | |||||||||||||||
Sweden: | 0.9 | % | |||||||||||||
192,600 | Castellum AB | 1,745,236 | |||||||||||||
193,330 | Hufvudstaden AB | 1,473,405 | |||||||||||||
3,218,641 | |||||||||||||||
Switzerland: | 0.5 | % | |||||||||||||
29,670 | @ | Swiss Prime Site AG | 1,800,267 | ||||||||||||
1,800,267 | |||||||||||||||
United Kingdom: | 0.8 | % | |||||||||||||
108,030 | Atrium European Real Estate Ltd. | 464,750 | |||||||||||||
449,320 | Grainger PLC | 784,344 | |||||||||||||
176,949 | Helical Bar PLC | 726,584 | |||||||||||||
415,800 | Safestore Holdings Ltd. | 710,196 | |||||||||||||
2,685,874 | |||||||||||||||
United States: | 2.0 | % | |||||||||||||
69,000 | @ | Hyatt Hotels Corp. | 2,559,210 | ||||||||||||
101,400 | Starwood Hotels & Resorts Worldwide, Inc. | 4,201,002 | |||||||||||||
6,760,212 | |||||||||||||||
Total Common Stock (Cost $ 102,307,304) | 106,247,416 | ||||||||||||||
REAL ESTATE INVESTMENT TRUSTS: | 66.1% | ||||||||||||||
Australia: | 10.7 | % | |||||||||||||
1,316,800 | CFS Retail Property Trust | 2,081,390 | |||||||||||||
6,206,871 | Dexus Property Group | 3,982,826 | |||||||||||||
1,585,440 | GPT Group | 3,701,765 | |||||||||||||
10,481,700 | Macquarie Goodman Group | 5,543,893 | |||||||||||||
1,889,710 | Mirvac Group | 2,063,754 | |||||||||||||
1,399,820 | Stockland | 4,344,509 | |||||||||||||
1,496,320 | Westfield Group | 15,205,266 | |||||||||||||
36,923,403 | |||||||||||||||
Canada: | 1.7 | % | |||||||||||||
63,200 | Calloway Real Estate Investment Trust | 1,241,975 | |||||||||||||
27,600 | Canadian Real Estate Investment Trust | 720,237 | |||||||||||||
65,400 | Primaris Retail Real Estate | 1,072,645 | |||||||||||||
162,000 | L | RioCan Real Estate Investment Trust | 2,897,450 | ||||||||||||
5,932,307 | |||||||||||||||
France: | 1.6 | % | |||||||||||||
58,307 | Mercialys | 1,654,097 | |||||||||||||
10,330 | Societe Immobiliere de Location pour l’Industrie et le Commerce | 1,019,802 | |||||||||||||
16,259 | Unibail | 2,649,932 | |||||||||||||
5,323,831 | |||||||||||||||
Hong Kong: | 0.7 | % | |||||||||||||
950,600 | Link Real Estate Investment Trust | 2,358,789 | |||||||||||||
2,358,789 | |||||||||||||||
Japan: | 3.4 | % | |||||||||||||
251 | L | Frontier Real Estate Investment Corp. | 1,723,168 | ||||||||||||
184 | Japan Logistics Fund, Inc. | 1,431,371 | |||||||||||||
479 | Japan Real Estate Investment Corp. | 3,901,742 | |||||||||||||
964 | Japan Retail Fund Investment Corp. | 1,174,082 | |||||||||||||
420 | Kenedix Realty Investment Corp. | 1,169,587 | |||||||||||||
137 | Nippon Accommodations Fund, Inc. | 719,094 | |||||||||||||
254 | L | United Urban Investment Corp. | 1,516,109 | ||||||||||||
11,635,153 | |||||||||||||||
Singapore: | 2.1 | % | |||||||||||||
1,482,380 | Ascendas Real Estate Investment Trust | 1,914,384 | |||||||||||||
2,207,600 | CapitaCommercial Trust | 1,912,230 | |||||||||||||
2,298,879 | CapitaMall Trust | 2,997,094 | |||||||||||||
568,500 | Frasers Centrepoint Trust | 525,218 | |||||||||||||
7,348,926 | |||||||||||||||
United Kingdom: | 5.3 | % | |||||||||||||
661,845 | British Land Co. PLC | 4,275,143 | |||||||||||||
164,220 | Derwent Valley Holdings PLC | 3,053,431 | |||||||||||||
405,000 | Great Portland Estates PLC | 1,749,264 | |||||||||||||
301,819 | Hammerson PLC | 1,538,586 | |||||||||||||
793,773 | Land Securities Group PLC | 6,569,069 | |||||||||||||
258,322 | Segro PLC | 973,984 | |||||||||||||
18,159,477 | |||||||||||||||
United States: | 40.6 | % | |||||||||||||
72,751 | Acadia Realty Trust | 1,223,672 | |||||||||||||
60,600 | Alexandria Real Estate Equities, Inc. | 3,840,222 | |||||||||||||
147,600 | AMB Property Corp. | 3,499,596 | |||||||||||||
188,200 | Apartment Investment & Management Co. | 3,645,435 | |||||||||||||
66,225 | AvalonBay Communities, Inc. | 6,183,428 | |||||||||||||
83,100 | Boston Properties, Inc. | 5,928,354 | |||||||||||||
91,700 | BRE Properties, Inc. | 3,386,481 | |||||||||||||
67,800 | Camden Property Trust | 2,769,630 | |||||||||||||
317,300 | Developers Diversified Realty Corp. | 3,141,270 | |||||||||||||
47,400 | L | Digital Realty Trust, Inc. | 2,734,032 | ||||||||||||
214,500 | Duke Realty Corp. | 2,434,575 | |||||||||||||
235,900 | Equity Residential | 9,822,876 | |||||||||||||
104,200 | Extra Space Storage, Inc. | 1,448,380 | |||||||||||||
56,400 | Federal Realty Investment Trust | 3,963,228 | |||||||||||||
92,500 | Highwoods Properties, Inc. | 2,567,800 | |||||||||||||
605,121 | Host Hotels & Resorts, Inc. | 8,157,031 | |||||||||||||
179,100 | Liberty Property Trust | 5,167,035 | |||||||||||||
257,965 | Macerich Co. | 9,627,250 | |||||||||||||
140,000 | Nationwide Health Properties, Inc. | 5,007,800 | |||||||||||||
23,900 | @ | Pebblebrook Hotel Trust | 450,515 | ||||||||||||
272,500 | Prologis | 2,760,425 | |||||||||||||
24,594 | Public Storage, Inc. | 2,162,059 | |||||||||||||
124,100 | Regency Centers Corp. | 4,269,040 | |||||||||||||
166,761 | Simon Property Group, Inc. | 13,465,951 | |||||||||||||
79,400 | SL Green Realty Corp. | 4,370,176 | |||||||||||||
71,500 | Tanger Factory Outlet Centers, Inc. | 2,958,670 | |||||||||||||
76,600 | Taubman Centers, Inc. | 2,882,458 | |||||||||||||
246,375 | UDR, Inc. | 4,713,154 | |||||||||||||
134,700 | Ventas, Inc. | 6,324,165 | |||||||||||||
149,131 | Vornado Realty Trust | 10,879,106 | |||||||||||||
139,783,814 | |||||||||||||||
Total Real Estate Investment Trusts (Cost $ 183,080,945) | 227,465,700 | ||||||||||||||
MUTUAL FUNDS: | 1.0% | ||||||||||||||
Australia: | 1.0 | % | |||||||||||||
6,993,500 | ** | ING Office Fund | 3,376,189 | ||||||||||||
Total Mutual Funds (Cost $ 3,719,785) | 3,376,189 | ||||||||||||||
WARRANTS: | 0.0% | ||||||||||||||
Hong Kong: | 0.0 | % | |||||||||||||
108,740 | Henderson Land Development Co. Ltd. | 18,433 | |||||||||||||
Total Warrants (Cost $ -) | 18,433 | ||||||||||||||
Total Long-Term Investments (Cost $ 289,108,034) | 337,107,738 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 4.5% | ||||||||||||||
Affiliated Mutual Fund: | 1.8 | % | |||||||||||||
5,984,287 | ING Institutional Prime Money Market Fund - Class I | 5,984,287 | |||||||||||||
Total Mutual Fund (Cost $ 5,984,287) | 5,984,287 | ||||||||||||||
Principal Amount | Value | ||||||||||||||
Securities Lending Collateralcc: | 2.7 | % | |||||||||||||
$ | 9,044,175 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | $ | 9,044,175 | |||||||||||
372,743 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 298,194 | ||||||||||||
Total Securities Lending Collateral (Cost $ 9,416,918) | 9,342,369 | ||||||||||||||
Total Short-Term Investments (Cost $ 15,401,205) | 15,326,656 | ||||||||||||||
Total Investments in Securities (Cost $ 304,509,239) * | 102.4 | % | $ | 352,434,394 | |||||||||||
Other Assets and Liabilities - Net | (2.4) | (8,121,478 | ) | ||||||||||||
Net Assets | 100.0 | % | $ | 344,312,916 | |||||||||||
@ | Non-income producing security | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(1) | Collateral received from brokers for securites 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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | ||||||||||||||
** | Investment in affiliate | ||||||||||||||
Industry | Percentage of Net Assets | ||||||||||||||
Affiliated Investment Companies | 1.0% | ||||||||||||||
Consumer Discretionary | 1.9 | ||||||||||||||
Financials | 95.0 | ||||||||||||||
Short-Term Investments | 4.5 | ||||||||||||||
Other Assets and Liabilities - Net | (2.4) | ||||||||||||||
Net Assets | 100.0% | ||||||||||||||
See Accompanying Notes to Financial Statements
Table of Contents
ING FMRSM Diversified Mid Cap Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited) |
Shares | Value | |||||||||||||
COMMON STOCK: | 100.0% | |||||||||||||
Consumer Discretionary: | 24.3 | % | ||||||||||||
1,071,951 | Advance Auto Parts, Inc. | $ | 53,790,501 | |||||||||||
62,227 | @ | Amerigon, Inc. | 459,235 | |||||||||||
487,940 | @, L | Bridgepoint Education, Inc. | 7,714,331 | |||||||||||
31,450 | Clicks Group Ltd. | 138,354 | ||||||||||||
759 | Columbia Sportswear Co. | 35,423 | ||||||||||||
573,154 | @ | DEN Networks Ltd. | 2,497,249 | |||||||||||
587,807 | @, L | Drugstore.Com | 1,810,446 | |||||||||||
13,691 | @ | Entertainment Network India Ltd. | 73,417 | |||||||||||
229,559 | @, L | Fuel Systems Solutions, Inc. | 5,957,056 | |||||||||||
3,700,000 | L | Geely Automobile Holdings Ltd. | 1,121,239 | |||||||||||
43,000 | Golden Eagle Retail Group Ltd. | 89,775 | ||||||||||||
966,239 | Hasbro, Inc. | 39,712,423 | ||||||||||||
461,422 | L | HOT Topic, Inc. | 2,344,024 | |||||||||||
91 | Inditex S.A. | 5,189 | ||||||||||||
1,994 | @, L | Interpublic Group of Cos., Inc. | 14,217 | |||||||||||
16,336 | @, L | Interval Leisure Group, Inc. | 203,383 | |||||||||||
100 | Jollibee Foods Corp. | 150 | ||||||||||||
94,000 | L | Kappa Create Co., Ltd. | 1,908,483 | |||||||||||
1,004,000 | Little Sheep Group Ltd. | 601,148 | ||||||||||||
1,012 | MegaStudy Co., Ltd. | 133,715 | ||||||||||||
22,000 | Minth Group Ltd. | 25,994 | ||||||||||||
768,693 | @, L | NetFlix, Inc. | 83,518,494 | |||||||||||
902,112 | @ | New Focus Auto Tech Holdings Ltd. | 194,628 | |||||||||||
1,492 | @, L | Pre-Paid Legal Services, Inc. | 67,871 | |||||||||||
2,618,000 | Prime Success International Group | 2,651,274 | ||||||||||||
6,200 | Proto Corp. | 236,158 | ||||||||||||
240,964 | Ross Stores, Inc. | 12,840,972 | ||||||||||||
1,419,136 | @, L | Sally Beauty Holdings, Inc. | 11,636,915 | |||||||||||
80,400 | Sazaby League Ltd. | 1,244,307 | ||||||||||||
745,000 | Shenzhou International Group Holdings Ltd. | 850,517 | ||||||||||||
131,584 | @ | Sonic Corp. | 1,019,776 | |||||||||||
102,172 | Starbucks Corp. | 2,482,780 | ||||||||||||
60,081 | Starwood Hotels & Resorts Worldwide, Inc. | 2,489,156 | ||||||||||||
45,009 | TAJ GVK Hotels & Resorts Ltd. | 158,619 | ||||||||||||
144,909 | TJX Cos., Inc. | 6,078,933 | ||||||||||||
13,500 | Tsutsumi Jewelry Co., Ltd. | 287,186 | ||||||||||||
36,692 | Tupperware Corp. | 1,462,176 | ||||||||||||
28,648 | L | Value Line, Inc. | 519,675 | |||||||||||
518,633 | Walt Disney Co. | 16,336,940 | ||||||||||||
262,712,129 | ||||||||||||||
Consumer Staples: | 4.7 | % | ||||||||||||
143,513 | @ | BJ’s Wholesale Club, Inc. | 5,311,416 | |||||||||||
5,842 | @ | Britannia Industries Ltd. | 232,556 | |||||||||||
71,200 | Campbell Soup Co. | 2,551,096 | ||||||||||||
12,500 | @, L | China-Biotics, Inc. | 162,625 | |||||||||||
13,000 | Daikokutenbussan Co., Ltd. | 395,676 | ||||||||||||
14,976,780 | @ | Heng Tai Consumables Group Ltd. | 1,331,954 | |||||||||||
18,044 | Hengan International Group Co., Ltd. | 146,110 | ||||||||||||
19,400 | Kalina ADR | 343,709 | ||||||||||||
477,900 | Kroger Co. | 9,409,851 | ||||||||||||
200,310 | Molson Coors Brewing Co. | 8,485,132 | ||||||||||||
3,000 | Toyo Suisan Kaisha Ltd. | 71,603 | ||||||||||||
53,742 | @, L | USANA Health Sciences, Inc. | 1,963,195 | |||||||||||
239,404 | Wal-Mart Stores, Inc. | 11,508,150 | ||||||||||||
10,519,000 | L | Want Want China Holdings Ltd. | 8,829,888 | |||||||||||
50,742,961 | ||||||||||||||
Energy: | 6.2 | % | ||||||||||||
209,918 | @ | Dresser-Rand Group, Inc. | 6,622,913 | |||||||||||
340,284 | Ensco International PLC ADR | 13,366,356 | ||||||||||||
205,970 | @ | Helix Energy Solutions Group, Inc. | 2,218,297 | |||||||||||
37,520 | Marathon Oil Corp. | 1,166,497 | ||||||||||||
868,825 | @ | Nabors Industries Ltd. | 15,308,697 | |||||||||||
773,417 | @ | Newpark Resources | 4,679,173 | |||||||||||
28,300 | @ | Noble Corp. | 874,753 | |||||||||||
1,135,211 | @ | Parker Drilling Co. | 4,484,083 | |||||||||||
1,421,535 | Patterson-UTI Energy, Inc. | 18,295,155 | ||||||||||||
781 | @ | Plains Exploration & Production Co. | 16,096 | |||||||||||
7,200 | @ | Weatherford International Ltd. | 94,608 | |||||||||||
67,126,628 | ||||||||||||||
Financials: | 11.3 | % | ||||||||||||
40,421 | Admiral Group PLC | 846,508 | ||||||||||||
247,000 | Aozora Bank Ltd. | 319,875 | ||||||||||||
99,287 | Bank of Baroda | 1,484,455 | ||||||||||||
257,518 | Chubb Corp. | 12,878,475 | ||||||||||||
23,887 | L | CNinsure, Inc. ADR | 619,629 | |||||||||||
14,261 | CRISIL Ltd. | 1,782,110 | ||||||||||||
91,060 | Goldcrest Co., Ltd. | 1,573,806 | ||||||||||||
179,000 | Hang Lung Properties Ltd. | 684,665 | ||||||||||||
1,113 | ICRA Ltd. | 28,181 | ||||||||||||
240,900 | Iguatemi Empresa de Shopping Centers S.A. | 4,210,745 | ||||||||||||
40 | Jammu & Kashmir Bank Ltd. | 708 | ||||||||||||
575,368 | Janus Capital Group, Inc. | 5,109,268 | ||||||||||||
5,709 | @, L | Kenedix, Inc. | 940,211 | |||||||||||
72,567 | Lincoln National Corp. | 1,762,652 | ||||||||||||
499,000 | Marusan Securities Co., Ltd. | 2,854,314 | ||||||||||||
97,881 | Northern Trust Corp. | 4,571,043 | ||||||||||||
1,726,742 | Old Republic International Corp. | 20,945,380 | ||||||||||||
160,332 | L | Presidential Life Corp. | 1,459,021 | |||||||||||
353,736 | Progressive Corp. | 6,621,938 | ||||||||||||
355,316 | Protective Life Corp. | 7,600,209 | ||||||||||||
593,941 | Reinsurance Group of America, Inc. | 27,149,043 | ||||||||||||
158,413 | SEI Investments Co. | 3,225,289 | ||||||||||||
894 | @ | Songbird Estates PLC | 2,046 | |||||||||||
184,500 | SPG Land Holdings Ltd. | 75,928 | ||||||||||||
140,400 | Sumitomo Mitsui Financial Group, Inc. | 3,973,652 | ||||||||||||
1,244,989 | Union Bank of India | 8,263,311 | ||||||||||||
546,000 | Wharf Holdings Ltd. | 2,645,132 | ||||||||||||
325,000 | L | Yanlord Land Group Ltd. | 397,937 | |||||||||||
122,025,531 | ||||||||||||||
Health Care: | 19.3 | % | ||||||||||||
85,500 | @ | 3SBio, Inc. ADR | 994,365 | |||||||||||
72,800 | L | Abcam PLC | 1,332,437 | |||||||||||
1,296,693 | @, L | Allscripts Healthcare Solutions, Inc. | 20,876,757 | |||||||||||
217,562 | @, L | AMAG Pharmaceuticals, Inc. | 7,473,255 | |||||||||||
22,479 | @, L | Ardea Biosciences, Inc. | 462,168 | |||||||||||
354,000 | @ | Aspen Pharmacare Holdings Ltd. | 3,495,708 | |||||||||||
437,639 | @, L | Athenahealth, Inc. | 11,435,507 | |||||||||||
199 | @ | Bio-Rad Laboratories, Inc. | 17,212 | |||||||||||
47,712 | Cadila Healthcare Ltd. | 673,594 | ||||||||||||
2,100 | @ | CareFusion Corp. | 47,670 | |||||||||||
527,337 | @ | Cerner Corp. | 40,019,605 | |||||||||||
5,300 | @ | China Pharma Holdings, Inc. | 14,575 | |||||||||||
10,445 | Cipla Ltd. | 75,705 | ||||||||||||
70,328 | Computer Programs & Systems, Inc. | 2,877,822 | ||||||||||||
437,155 | @, L | Eclipsys Corp. | 7,798,845 | |||||||||||
222,152 | @ | Edwards Lifesciences Corp. | 12,444,955 | |||||||||||
34,200 | @, L | GenMark Diagnostics, Inc. | 151,164 | |||||||||||
48,412 | @ | Harvard Bioscience, Inc. | 172,347 | |||||||||||
72,400 | @, L | Immunogen, Inc. | 671,148 | |||||||||||
39,197 | @ | IPC The Hospitalist Co., Inc. | 983,845 | |||||||||||
289,580 | @ | Kinetic Concepts, Inc. | 10,572,566 | |||||||||||
92,896 | @ | Laboratory Corp. of America Holdings | 6,999,714 | |||||||||||
88,036 | @ | Masimo Corp. | 2,096,137 | |||||||||||
89,695 | @, L | MELA Sciences, Inc. | 667,331 | |||||||||||
244 | L | Message Co., Ltd. | 530,122 | |||||||||||
7,430,000 | Mingyuan Medicare Development Co., Ltd. | 829,623 | ||||||||||||
280,265 | @ | Myriad Genetics, Inc. | 4,189,962 | |||||||||||
100,275 | @ | Nanosphere, Inc. | 437,199 | |||||||||||
106,420 | Nobel Biocare Holding AG | 1,831,951 | ||||||||||||
416,403 | Piramal Healthcare Ltd. | 4,279,126 | ||||||||||||
276,869 | @, L | Qiagen NV | 5,321,422 | |||||||||||
5,598 | L | Quality Systems, Inc. | 324,628 | |||||||||||
59,696 | Quest Diagnostics | 2,971,070 | ||||||||||||
146,364 | @, L | Quidel Corp. | 1,857,359 | |||||||||||
302,270 | @ | Res-Care, Inc. | 2,919,928 | |||||||||||
31,161 | @, L | Sangamo Biosciences, Inc. | 115,607 | |||||||||||
788,000 | Shandong Weigao Group Medical Polymer Co., Ltd. | 3,432,642 | ||||||||||||
107,194 | Steris Corp. | 3,331,590 | ||||||||||||
273,576 | @ | Thermo Fisher Scientific, Inc. | 13,418,903 | |||||||||||
54,549 | @ | ThermoGenesis Corp. | 26,729 | |||||||||||
1,184 | @, L | US Physical Therapy, Inc. | 19,986 | |||||||||||
12,309 | @ | Vascular Solutions, Inc. | 153,863 | |||||||||||
905,631 | @ | Vertex Pharmaceuticals, Inc. | 29,795,260 | |||||||||||
17,700 | @ | Zeltia SA | 68,603 | |||||||||||
208,210,005 | ||||||||||||||
Industrials: | 4.1 | % | ||||||||||||
359,732 | @ | AGCO Corp. | 9,701,972 | |||||||||||
84,000 | Asahi Glass Co., Ltd. | 788,746 | ||||||||||||
1,951 | @ | Bell Equipment Ltd. | 2,344 | |||||||||||
411,000 | @ | Blue Label Telecoms Ltd. | 259,720 | |||||||||||
166,681 | Blue Star Ltd. | 1,459,229 | ||||||||||||
115,572 | L | Cintas Corp. | 2,770,261 | |||||||||||
68,189 | Corporate Executive Board Co. | 1,791,325 | ||||||||||||
56,788 | Equifax, Inc. | 1,593,471 | ||||||||||||
1,694,000 | EVA Precision Industrial Holdings Ltd. | 791,215 | ||||||||||||
66,765 | Fluor Corp. | 2,837,513 | ||||||||||||
94,820 | @ | Jacobs Engineering Group, Inc. | 3,455,241 | |||||||||||
244,400 | JobStreet Corp. Bhd | 153,623 | ||||||||||||
634,713 | @, L | Mastec, Inc. | 5,966,302 | |||||||||||
661,963 | @ | MAX India Ltd. | 2,171,692 | |||||||||||
842,608 | Michael Page International PLC | 4,664,788 | ||||||||||||
207,000 | Nippon Thompson Co., Ltd. | 1,402,596 | ||||||||||||
297,799 | Praj Industries Ltd. | 520,878 | ||||||||||||
2,059 | R Stahl AG | 50,735 | ||||||||||||
78,773 | @ | Randstad Holdings NV | 3,095,408 | |||||||||||
900 | RR Donnelley & Sons Co. | 14,733 | ||||||||||||
50,600 | @, I, X | Uzel Makina Sanayii AS | 12,463 | |||||||||||
19,600 | @ | Vestas Wind Systems A/S | 815,676 | |||||||||||
44,319,931 | ||||||||||||||
Information Technology: | 20.4 | % | ||||||||||||
427,771 | Altera Corp. | 10,612,999 | ||||||||||||
19,940 | @, L | Computer Task Group, Inc. | 128,812 | |||||||||||
127,177 | @, L | Constant Contact, Inc. | 2,712,685 | |||||||||||
88 | @ | Cree, Inc. | 5,283 | |||||||||||
3,268,700 | Digital China Holdings Ltd. | 4,993,803 | ||||||||||||
3,175,713 | @ | eBay, Inc. | 62,275,726 | |||||||||||
243,000 | @ | Electronic Arts, Inc. | 3,499,200 | |||||||||||
3,220 | @ | Epicor Software Corp. | 25,728 | |||||||||||
448,077 | L | Gemalto NV | 16,862,876 | |||||||||||
22,400 | @, L | Hollysys Automation Technologies Ltd. | 201,824 | |||||||||||
5,342 | Info Edge India Ltd. | 102,087 | ||||||||||||
255,566 | L | Ingenico | 5,469,236 | |||||||||||
200 | @, L | Internet Brands, Inc. | 2,066 | |||||||||||
555,319 | @ | Juniper Networks, Inc. | 12,672,380 | |||||||||||
9,322,000 | Kingdee International Software Group Co., Ltd. | 3,512,104 | ||||||||||||
508,500 | Kontron AG | 4,553,161 | ||||||||||||
1,500 | Lenovo Group Ltd. ADR | 16,125 | ||||||||||||
702,100 | @ | Longtop Financial Technologies Ltd. ADR | 22,748,040 | |||||||||||
116 | @ | LoopNet, Inc. | 1,430 | |||||||||||
300,666 | MIC Electronics Ltd. | 253,828 | ||||||||||||
2,326 | @ | Move, Inc. | 4,768 | |||||||||||
3 | @ | NetSuite, Inc. | 38 | |||||||||||
9,075 | @ | NHN Corp. | 1,349,717 | |||||||||||
16,439 | NIIT Technologies Ltd. | 59,973 | ||||||||||||
2,225,202 | @ | PMC - Sierra, Inc. | 16,733,519 | |||||||||||
215,114 | Richtek Technology Corp. | 1,801,417 | ||||||||||||
121,957 | @, L | Rovi Corp. | 4,623,390 | |||||||||||
260,256 | @, L | Shanda Interactive Entertainment Ltd. ADR | 10,324,356 | |||||||||||
839,700 | L | Siliconware Precision Industries Co. ADR | 4,492,395 | |||||||||||
106,909 | L | Solera Holdings, Inc. | 3,870,106 | |||||||||||
53,921 | @, L | support.com, Inc. | 224,311 | |||||||||||
100 | @ | Trimble Navigation Ltd. | 2,800 | |||||||||||
918,156 | @, L | UbiSoft Entertainment | 6,870,806 | |||||||||||
2,115 | @, L | Valueclick, Inc. | 22,609 | |||||||||||
60,500 | @ | VanceInfo Technologies, Inc. ADR | 1,408,440 | |||||||||||
17,121 | @, L | Veeco Instruments, Inc. | 586,908 | |||||||||||
131,700 | @ | VeriSign, Inc. | 3,496,635 | |||||||||||
180,000 | Wasion Group Holdings Ltd. | 112,757 | ||||||||||||
121,666 | @ | WebMD Health Corp. | 5,648,952 | |||||||||||
951,693 | Xerox Corp. | 7,651,612 | ||||||||||||
55,530 | ZTE Corp. | 168,609 | ||||||||||||
220,103,511 | ||||||||||||||
Materials: | 9.5 | % | ||||||||||||
500 | @ | Africa Cellular Towers Ltd. | 16 | |||||||||||
5,500 | Agnico-Eagle Mines Ltd. | �� | 333,653 | |||||||||||
42,800 | Agnico-Eagle Mines Ltd. | 2,601,384 | ||||||||||||
75 | Asian Paints Ltd. | 3,697 | ||||||||||||
121,800 | Barrick Gold Corp. | 5,529,354 | ||||||||||||
85,300 | @ | Centerra Gold, Inc. | 939,097 | |||||||||||
26,000 | Eldorado Gold Corp. | 466,960 | ||||||||||||
1,152,500 | Eldorado Gold Corp. (Canadian Denominated Security) | 20,656,334 | ||||||||||||
6,100 | Franco-Nevada Corp. | 185,656 | ||||||||||||
828,000 | Iamgold Corp. | 14,599,183 | ||||||||||||
655,200 | Kinross Gold Corp. | 11,200,734 | ||||||||||||
532,289 | Lihir Gold Ltd. | 1,914,964 | ||||||||||||
239,500 | @ | Minefinders Corp. | 2,135,038 | |||||||||||
669,592 | Newcrest Mining Ltd. | 19,536,390 | ||||||||||||
192,800 | Newmont Mining Corp. | 11,903,472 | ||||||||||||
23,483 | @ | Prakash Industries Ltd. | 81,444 | |||||||||||
212,511 | Sensient Technologies Corp. | 5,510,410 | ||||||||||||
87,434 | Yamana Gold, Inc. | 900,570 | ||||||||||||
183,900 | Yamana Gold, Inc. (Canadian Denominated Security) | 1,886,420 | ||||||||||||
272,243 | @, L | Zoltek Cos., Inc. | 2,305,898 | |||||||||||
102,690,674 | ||||||||||||||
Telecommunication Services: | 0.0 | % | ||||||||||||
23,368 | Verizon Communications, Inc. | 654,771 | ||||||||||||
654,771 | ||||||||||||||
Utilities: | 0.2 | % | ||||||||||||
164,750 | @, L | Calpine Corp. | 2,095,620 | |||||||||||
600 | Sempra Energy | 28,074 | ||||||||||||
2,123,694 | ||||||||||||||
Total Common Stock (Cost $ 925,120,673) | 1,080,709,835 | |||||||||||||
WARRANTS: | 0.0 | % | ||||||||||||
Consumer Discretionary: | 0.0 | % | ||||||||||||
29,280 | Minor International PCL | 2,170 | ||||||||||||
Total Warrants (Cost $ -) | 2,170 | |||||||||||||
Principal Amount | Value | |||||||||||||
CORPORATE BONDS/NOTES: | 0.0 | % | ||||||||||||
Consumer Staples: | 0.0 | % | ||||||||||||
$ | 993,140 | Britannia Industries Ltd., 8.250%, due 03/22/13 | $ | 21,760 | ||||||||||
Total Corporate Bonds/Notes (Cost $ 16,991) | 21,760 | |||||||||||||
Total Long-Term Investments (Cost $ 925,137,664) | 1,080,733,765 | |||||||||||||
Shares | Value | |||||||||||||
SHORT-TERM INVESTMENTS: | 10.0 | % | ||||||||||||
Securities Lending Collateralcc: | 10.0 | % | ||||||||||||
106,076,347 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 106,076,347 | ||||||||||||
1,748,799 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 1,399,039 | |||||||||||
Total Short-Term Investments (Cost $ 107,825,146) | 107,475,386 | |||||||||||||
Total Investments in Securities (Cost $ 1,032,962,810) * | 110.0 | % | $ | 1,188,209,151 | ||||||||||
Other Assets and Liabilities - Net | (10.0) | (107,751,288) | ||||||||||||
Net Assets | 100.0 | % | $ | 1,080,457,863 | ||||||||||
@ | Non-income producing security | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(1) | Collateral received from brokers for securities lending was invested 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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. |
See Accompanying Notes to Financial Statements
Table of Contents
ING Global Resources Portfolio
| PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited)
| |||||||||||||
Shares | Value | |||||||||||||
COMMON STOCK: | 97.8 | % | ||||||||||||
Australia: | 0.4 | % | ||||||||||||
2,257,454 | @ | Australian Worldwide Exploration Ltd. | $ | 3,322,729 | ||||||||||
3,322,729 | ||||||||||||||
Bahamas: | 0.9 | % | ||||||||||||
272,000 | Teekay Shipping Corp. | 7,118,240 | ||||||||||||
7,118,240 | ||||||||||||||
Canada: | 27.0 | % | ||||||||||||
686,005 | Barrick Gold Corp. | 31,151,487 | ||||||||||||
955,856 | Canadian Natural Resources Ltd. | 31,763,095 | ||||||||||||
739,300 | @ | Centerra Gold, Inc. | 8,139,210 | |||||||||||
160,800 | Domtar Corp. | 7,903,320 | ||||||||||||
764,479 | EnCana Corp. | 23,194,293 | ||||||||||||
384,794 | GoldCorp, Inc. | 16,873,217 | ||||||||||||
942,692 | Kinross Gold Corp. | 16,110,606 | ||||||||||||
1,434,500 | @ | Lundin Mining Corp. | 4,056,028 | |||||||||||
938,229 | Nexen, Inc. | 18,454,964 | ||||||||||||
1,337,639 | Suncor Energy, Inc. | 39,380,091 | ||||||||||||
418,796 | Teck Cominco Ltd. - Class B | 12,387,986 | ||||||||||||
209,414,297 | ||||||||||||||
China: | 1.2 | % | ||||||||||||
11,108,784 | China Petroleum & Chemical Corp. | 8,960,677 | ||||||||||||
8,960,677 | ||||||||||||||
France: | 0.7 | % | ||||||||||||
128,200 | Total SA ADR | 5,722,848 | ||||||||||||
5,722,848 | ||||||||||||||
Japan: | 0.9 | % | ||||||||||||
1,244 | Inpex Holdings, Inc. | 6,899,862 | ||||||||||||
6,899,862 | ||||||||||||||
Netherlands: | 1.8 | % | ||||||||||||
268,942 | Royal Dutch Shell PLC ADR - Class A | 13,506,267 | ||||||||||||
13,506,267 | ||||||||||||||
Russia: | 2.4 | % | ||||||||||||
186,692 | Lukoil-Spon ADR | 9,614,638 | ||||||||||||
491,034 | OAO Gazprom ADR | 9,236,350 | ||||||||||||
18,850,988 | ||||||||||||||
Thailand: | 0.8 | % | ||||||||||||
4,647,600 | Thai Oil PCL | 6,273,715 | ||||||||||||
6,273,715 | ||||||||||||||
United Kingdom: | 1.9 | % | ||||||||||||
450,968 | @ | Anglo American PLC ADR | 7,770,179 | |||||||||||
164,788 | Rio Tinto PLC ADR | 7,184,757 | ||||||||||||
14,954,936 | ||||||||||||||
United States: | 59.8 | % | ||||||||||||
304,549 | @ | Alpha Natural Resources, Inc. | 10,315,075 | |||||||||||
124,200 | Anadarko Petroleum Corp. | 4,482,378 | ||||||||||||
316,967 | Apache Corp. | 26,685,452 | ||||||||||||
682,047 | Arch Coal, Inc. | 13,511,351 | ||||||||||||
205,700 | @ | Bill Barrett Corp. | 6,329,389 | |||||||||||
645,838 | @ | Cal Dive International, Inc. | 3,778,152 | |||||||||||
145,984 | @ | Cameron International Corp. | 4,747,400 | |||||||||||
524,879 | Chevron Corp. | 35,618,289 | ||||||||||||
394,200 | @, L | Coeur d’Alene Mines Corp. | 6,220,476 | |||||||||||
287,000 | @ | Complete Production Services, Inc. | 4,104,100 | |||||||||||
1,070,239 | ConocoPhillips | 52,538,033 | ||||||||||||
20,002 | @ | Contango Oil & Gas Co. | 895,090 | |||||||||||
701,600 | @ | Denbury Resources, Inc. | 10,271,424 | |||||||||||
351,780 | Devon Energy Corp. | 21,430,438 | ||||||||||||
289,454 | Ensco International PLC ADR | 11,369,753 | ||||||||||||
1,367,358 | ExxonMobil Corp. | 78,035,121 | ||||||||||||
416,028 | Halliburton Co. | 10,213,487 | ||||||||||||
382,300 | Hess Corp. | 19,244,982 | ||||||||||||
637,339 | International Paper Co. | 14,422,982 | ||||||||||||
107,000 | L | Kaiser Aluminum Corp. | 3,709,690 | |||||||||||
190,900 | @, L | McMoRan Exploration Co. | 2,120,899 | |||||||||||
283,800 | Murphy Oil Corp. | 14,062,290 | ||||||||||||
597,912 | National Oilwell Varco, Inc. | 19,772,950 | ||||||||||||
136,400 | Newmont Mining Corp. | 8,421,336 | ||||||||||||
249,086 | Peabody Energy Corp. | 9,746,735 | ||||||||||||
272,700 | Penn Virginia Corp. | 5,483,997 | ||||||||||||
743,122 | Schlumberger Ltd. | 41,124,371 | ||||||||||||
446,553 | Smith International, Inc. | 16,812,720 | ||||||||||||
59,934 | @ | Transocean Ltd. | 2,776,742 | |||||||||||
170,936 | United States Steel Corp. | 6,589,583 | ||||||||||||
464,834,685 | ||||||||||||||
Total Common Stock (Cost $ 821,929,439) | 759,859,244 | |||||||||||||
SHORT-TERM INVESTMENTS: | 1.8 | % | ||||||||||||
Affiliated Mutual Fund: | 1.5 | % | ||||||||||||
11,898,000 | ING Institutional Prime Money Market Fund - Class I | 11,898,000 | ||||||||||||
Total Mutual Fund (Cost $ 11,898,000) | 11,898,000 | |||||||||||||
Principal Amount | Value | |||||||||||||
Securities Lending Collateralcc: | 0.3 | % | ||||||||||||
$ | 1,658,169 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | $ | 1,658,169 | ||||||||||
784,324 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 627,459 | |||||||||||
Total Securities Lending Collateral (Cost $ 2,442,493) | 2,285,628 | |||||||||||||
Total Short-Term Investments (Cost $ 14,340,493) | 14,183,628 | |||||||||||||
Total Investments in Securities (Cost $ 836,269,932) * | 99.6 | % | $ | 774,042,872 | ||||||||||
Other Assets and Liabilities - Net | 0.4 | 2,918,804 | ||||||||||||
Net Assets | 100.0 | % | $ | 776,961,676 | ||||||||||
@ | Non-income producing security | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(1) | Collateral received from brokers for securities lending was invested 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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
Industry | Percentage of Net Assets |
| ||||||||||||
Energy | 78.4% | |||||||||||||
Materials | 19.4 | |||||||||||||
Short-Term Investments | 1.8 | |||||||||||||
Other Assets and Liabilities - Net | 0.4 | |||||||||||||
Net Assets | 100.0% | |||||||||||||
See Accompanying Notes to Financial Statements |
Table of Contents
ING Janus Contrarian Portfolio
| PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited)
|
Shares | Value | ||||||||||||||
COMMON STOCK: | 92.2% | ||||||||||||||
Consumer Discretionary: | 4.4 | % | |||||||||||||
1,153,509 | Bharat Forge Ltd. | $ | 7,123,156 | ||||||||||||
48,435 | Pantaloon Retail India Ltd. | 295,746 | |||||||||||||
863,602 | Pantaloon Retail India Ltd. | 7,662,166 | |||||||||||||
186,685 | @ | Vail Resorts, Inc. | 6,517,173 | ||||||||||||
21,598,241 | |||||||||||||||
Consumer Staples: | 6.7 | % | |||||||||||||
101,397 | Nestle India Ltd. | 6,262,943 | |||||||||||||
247,283 | Nestle S.A. | 11,923,698 | |||||||||||||
104,420 | S | Reckitt Benckiser PLC | 4,857,023 | �� | |||||||||||
211,910 | Sysco Corp. | 6,054,269 | |||||||||||||
762,118 | Tesco PLC | 4,299,418 | |||||||||||||
33,397,351 | |||||||||||||||
Energy: | 12.2 | % | |||||||||||||
139,544 | BG Group PLC | 2,075,413 | |||||||||||||
652,245 | @ | Denbury Resources, Inc. | 9,548,867 | ||||||||||||
336,505 | Halliburton Co. | 8,261,198 | |||||||||||||
460,807 | @ | Kinder Morgan Management, LLC | 26,077,068 | ||||||||||||
160,430 | Peabody Energy Corp. | 6,277,626 | |||||||||||||
138,425 | @ | Plains All American Pipeline L.P. | 8,125,548 | ||||||||||||
60,365,720 | |||||||||||||||
Financials: | 20.6 | % | |||||||||||||
815,485 | Assured Guaranty Ltd. | 10,821,486 | |||||||||||||
834,282 | S | CapitaLand Ltd. | 2,127,372 | ||||||||||||
957,705 | @ | CB Richard Ellis Group, Inc. | 13,034,365 | ||||||||||||
777,109 | @ | DB Realty Ltd. | 6,312,913 | ||||||||||||
3,344,000 | Hang Lung Properties Ltd. | 12,790,622 | |||||||||||||
893,980 | ICICI Bank Ltd. | 16,350,290 | |||||||||||||
126,440 | ICICI Bank Ltd. ADR | 4,569,542 | |||||||||||||
1,123,995 | Radian Group, Inc. | 8,137,724 | |||||||||||||
870,420 | @, L | St Joe Co/The | 20,158,922 | ||||||||||||
274,800 | Sumitomo Mitsui Financial Group, Inc. | 7,777,490 | |||||||||||||
102,080,726 | |||||||||||||||
Health Care: | 16.3 | % | |||||||||||||
526,550 | Bristol-Myers Squibb Co. | 13,132,157 | |||||||||||||
106,385 | @ | Express Scripts, Inc. | 5,002,223 | ||||||||||||
759,095 | @ | Forest Laboratories, Inc. | 20,821,976 | ||||||||||||
1,021,200 | @, L | Mylan Laboratories | 17,401,248 | ||||||||||||
18,270 | Novo-Nordisk A/S ADR | 1,480,235 | |||||||||||||
311,610 | Perrigo Co. | 18,406,803 | |||||||||||||
85,115 | Teva Pharmaceutical Industries Ltd. ADR | 4,425,129 | |||||||||||||
80,669,771 | |||||||||||||||
Industrials: | 6.5 | % | |||||||||||||
507,350 | @ | Continental Airlines, Inc. | 11,161,700 | ||||||||||||
144,750 | CSX Corp. | 7,183,943 | |||||||||||||
663,570 | @, L | UAL Corp. | 13,642,999 | ||||||||||||
31,988,642 | |||||||||||||||
Information Technology: | 8.8 | % | |||||||||||||
20,520 | International Business Machines Corp. | 2,533,810 | |||||||||||||
117,645 | @ | Lam Research Corp. | 4,477,569 | ||||||||||||
470,015 | Microsoft Corp. | 10,815,045 | |||||||||||||
2,394,890 | @ | Motorola, Inc. | 15,614,683 | ||||||||||||
1,045,335 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 10,202,470 | |||||||||||||
43,643,577 | |||||||||||||||
Materials: | 9.2 | % | |||||||||||||
902,430 | Jindal Steel & Power Ltd. | 12,050,302 | |||||||||||||
836,397 | Jsw Steel Ltd. | 18,886,494 | |||||||||||||
233,475 | Newmont Mining Corp. | 14,414,747 | |||||||||||||
45,351,543 | |||||||||||||||
Telecommunication Services: | 2.8% | ||||||||||||||
3,254,145 | @, S | Sprint Nextel Corp. | 13,797,575 | ||||||||||||
13,797,575 | |||||||||||||||
Utilities: | 4.7 | % | |||||||||||||
160,995 | American Water Works Co., Inc. | 3,316,497 | |||||||||||||
162,646 | E.ON AG | 4,373,270 | |||||||||||||
132,300 | Light S.A. | 1,542,889 | |||||||||||||
2,020,761 | NTPC Ltd. | 8,647,345 | |||||||||||||
2,429,515 | Power Grid Corp. of India Ltd. | 5,405,675 | |||||||||||||
23,285,676 | |||||||||||||||
Total Common Stock (Cost $ 454,676,911) | 456,178,822 | ||||||||||||||
REAL ESTATE INVESTMENT TRUSTS: | 5.5 | % | |||||||||||||
Financials: | 5.5 | % | |||||||||||||
193,770 | @ | Gramercy Capital Corp. | 244,149 | ||||||||||||
277,172 | Plum Creek Timber Co., Inc. | 9,570,749 | |||||||||||||
224,835 | Potlatch Corp. | 8,033,355 | |||||||||||||
902,490 | Prologis | 9,142,224 | |||||||||||||
Total Real Estate Investment Trusts (Cost $ 26,701,645) | 26,990,477 | ||||||||||||||
# of Contracts |
| Value | |||||||||||||
POSITIONS IN PURCHASED OPTIONS: | 0.0% | ||||||||||||||
Exchange-Traded Call Options: | 0.0 | % | |||||||||||||
19,166 | Ford Motor Co., Strike @ 14.00 - Exp 09/18/10 | $ | 229,992 | ||||||||||||
Total Purchased Options (Cost $ 1,878,268) | 229,992 | ||||||||||||||
Total Long-Term Investments (Cost $ 483,256,824) | 483,399,291 | ||||||||||||||
Shares | Value | ||||||||||||||
SHORT-TERM INVESTMENTS: | 8.6% | ||||||||||||||
Securities Lending Collateralcc: | 8.6 | % | |||||||||||||
40,935,303 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | $ | 40,935,303 | ||||||||||||
1,618,796 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 1,295,037 | ||||||||||||
Total Short-Term Investments (Cost $ 42,554,099) | 42,230,340 | ||||||||||||||
Total Investments in Securities (Cost $ 525,810,923) * | 106.3 | % | $ | 525,629,631 | �� | ||||||||||
Other Assets and Liabilities - Net | (6.3) | (30,919,483 | ) | ||||||||||||
Net Assets | 100.0 | % | $ | 494,710,148 | |||||||||||
@ | Non-income producing security | ||||||||||||||
ADR | American Depositary Receipt | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(1) | Collateral received from brokers for securities lending was invested 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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
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. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
See Accompanying Notes to Financial Statements
Table of Contents
ING JPMorgan Emerging Markets Equity Portfolio
| PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited)
| ||||||||||||||
Shares | Value | ||||||||||||||
COMMON STOCK: | 97.2% | ||||||||||||||
Belgium: | 0.7 | % | |||||||||||||
122,644 | Oriflame Cosmetics SA | $ | 6,369,480 | ||||||||||||
6,369,480 | |||||||||||||||
Brazil: | 14.3 | % | |||||||||||||
1,155,033 | All America Latina Logistica S.A. | 9,029,095 | |||||||||||||
150,847 | Cia de Bebidas das Americas ADR | 15,237,055 | |||||||||||||
1,419,900 | Companhia Brasileira de Meios de Pagamento | 12,067,183 | |||||||||||||
1,795,800 | @ | OGX Petroleo e Gas Participacoes S.A. | 16,684,524 | ||||||||||||
1,246,687 | Petroleo Brasileiro SA ADR | 37,151,273 | |||||||||||||
1,778,681 | Vale S.A. ADR | 37,387,875 | |||||||||||||
127,557,005 | |||||||||||||||
Chile: | 1.3 | % | |||||||||||||
172,701 | L | Banco Santander Chile S.A. ADR | 11,586,510 | ||||||||||||
11,586,510 | |||||||||||||||
China: | 12.1 | % | |||||||||||||
4,388,000 | L | Anhui Conch Cement Co., Ltd. | 12,757,046 | ||||||||||||
13,279,537 | China Merchants Bank Co., Ltd. | 31,768,644 | |||||||||||||
3,878,000 | China National Building Material Co., Ltd. | 6,156,372 | |||||||||||||
139,611 | @, L | New Oriental Education & Technology Group ADR | 13,010,349 | ||||||||||||
2,380,000 | I, X | Ping An Insurance Group Co. of China Ltd. | 19,668,032 | ||||||||||||
534,500 | L | Tencent Holdings Ltd. | 8,855,195 | ||||||||||||
2,406,000 | L | Tsingtao Brewery Co., Ltd. | 11,239,579 | ||||||||||||
2,389,000 | Wumart Stores, Inc. | 4,260,772 | |||||||||||||
107,715,989 | |||||||||||||||
Egypt: | 1.6 | % | |||||||||||||
227,538 | Orascom Construction Industries | 8,957,793 | |||||||||||||
6,446,621 | Orascom Telecom Holding SAE | 5,545,195 | |||||||||||||
14,502,988 | |||||||||||||||
Hong Kong: | 10.2 | % | |||||||||||||
1,763,500 | China Mobile Ltd. | 17,525,397 | |||||||||||||
3,506,000 | L | China Resources Enterprise | 12,907,139 | ||||||||||||
11,430,000 | CNOOC Ltd. | 19,427,322 | |||||||||||||
1,971,429 | Esprit Holdings Ltd. | 10,589,259 | |||||||||||||
2,530,000 | Hang Lung Properties Ltd. | 9,677,116 | |||||||||||||
4,648,000 | Li & Fung Ltd. | 20,795,044 | |||||||||||||
90,921,277 | |||||||||||||||
Hungary: | 0.3 | % | |||||||||||||
143,535 | @, L | OTP Bank Nyrt | 2,894,003 | ||||||||||||
2,894,003 | |||||||||||||||
India: | 14.6 | % | |||||||||||||
503,406 | ACC Ltd. | 9,462,452 | |||||||||||||
2,691,022 | Bharti Airtel Ltd. | 15,150,522 | |||||||||||||
1,488,884 | Gujarat Ambuja Cements Ltd. | 3,652,220 | |||||||||||||
276,098 | HDFC Bank Ltd. ADR | 39,473,731 | |||||||||||||
97,500 | Housing Development Finance Corp. | 6,144,434 | |||||||||||||
455,084 | Infosys Technologies Ltd. ADR | 27,264,082 | |||||||||||||
673,500 | Jindal Steel & Power Ltd. | 8,993,360 | |||||||||||||
570,335 | @ | Reliance Capital Ltd. | 9,267,594 | ||||||||||||
1 | Tata Motors Ltd. ADR | 17 | |||||||||||||
381,300 | United Spirits Ltd. | 10,668,562 | |||||||||||||
130,076,974 | |||||||||||||||
Indonesia: | 3.4 | % | |||||||||||||
11,534,500 | Bank Rakyat Indonesia | 11,710,500 | |||||||||||||
2,660,500 | PT Astra International Tbk | 14,056,719 | |||||||||||||
2,157,000 | Unilever Indonesia Tbk PT | 4,022,136 | |||||||||||||
29,789,355 | |||||||||||||||
Italy: | 1.4 | % | |||||||||||||
346,207 | L | Tenaris SA ADR | 11,982,224 | ||||||||||||
11,982,224 | |||||||||||||||
Malaysia: | 0.6 | % | |||||||||||||
396,100 | British American Tobacco Malaysia Bhd | 5,355,965 | |||||||||||||
5,355,965 | |||||||||||||||
Mexico: | 5.2 | % | |||||||||||||
215,128 | America Movil SA de CV - Series L ADR | 10,218,580 | |||||||||||||
513,320 | @ | Cemex SA de CV ADR | 4,963,804 | ||||||||||||
1 | Grupo Aeroportuario del Sureste SA de CV ADR | 46 | |||||||||||||
3,727,464 | @ | Grupo Financiero Banorte SA de CV | 14,122,402 | ||||||||||||
7,704,340 | @ | Wal-Mart de Mexico SA de CV | 17,067,076 | ||||||||||||
46,371,908 | |||||||||||||||
Russia: | 3.8 | % | |||||||||||||
480,500 | Magnit OAO GDR | 8,237,014 | |||||||||||||
290,900 | # | Magnit OJSC GDR | 4,733,568 | ||||||||||||
8,408,806 | Sberbank of Russian Federation | 20,517,487 | |||||||||||||
33,488,069 | |||||||||||||||
South Africa: | 7.5 | % | |||||||||||||
2,838,779 | African Bank Investments Ltd. | 11,141,280 | |||||||||||||
2,461,270 | FirstRand Ltd. | 5,761,036 | |||||||||||||
754,928 | Impala Platinum Holdings Ltd. | 17,570,247 | |||||||||||||
873,657 | Massmart Holdings Ltd. | 13,390,130 | |||||||||||||
1,063,499 | MTN Group Ltd. | 13,937,317 | |||||||||||||
1,263,761 | RMB Holdings Ltd. | 5,113,817 | |||||||||||||
66,913,827 | |||||||||||||||
South Korea: | 10.7 | % | |||||||||||||
118,392 | Hyundai Mobis | 19,857,240 | |||||||||||||
127,797 | Hyundai Motor Co. | 14,953,367 | |||||||||||||
237,243 | KT&G Corp. | 11,663,073 | |||||||||||||
2 | # | KT&G Corp. GDR | 49 | ||||||||||||
32,440 | Posco | 12,291,868 | |||||||||||||
38,411 | Samsung Electronics Co., Ltd. | 24,091,926 | |||||||||||||
27,867 | Shinsegae Co., Ltd. | 12,040,607 | |||||||||||||
94,898,130 | |||||||||||||||
Taiwan: | 5.4 | % | |||||||||||||
1 | Chinatrust Financial Holding Co., Ltd. | 1 | |||||||||||||
5,564,608 | @ | HON HAI Precision Industry Co., Ltd. | 19,504,911 | ||||||||||||
2,483,223 | Taiwan Semiconductor Manufacturing Co., Ltd. | 4,641,253 | |||||||||||||
2,442,162 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 23,835,501 | |||||||||||||
47,981,666 | |||||||||||||||
Turkey: | 2.9 | % | |||||||||||||
0 | Anadolu Efes Biracilik Ve Malt Sanayii A/S | 5 | |||||||||||||
1 | Migros Ticaret A.S | 15 | |||||||||||||
6,118,927 | Turkiye Garanti Bankasi A/S | 25,464,730 | |||||||||||||
25,464,750 | |||||||||||||||
United States: | 1.2 | % | |||||||||||||
340,561 | @ | NII Holdings, Inc. | 11,075,044 | ||||||||||||
11,075,044 | |||||||||||||||
Total Common Stock (Cost $ 753,304,937) | 864,945,164 | ||||||||||||||
PREFERRED STOCK: | 2.1% | ||||||||||||||
Brazil: | 2.1 | % | |||||||||||||
1,042,023 | Itau Unibanco Holding SA | 18,785,279 | |||||||||||||
Total Preferred Stock (Cost $ 14,594,475) | 18,785,279 | ||||||||||||||
Total Long-Term Investments (Cost $ 767,899,412) | 883,730,443 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 3.0% | ||||||||||||||
Securities Lending Collateralcc: | 3.0 | % | |||||||||||||
24,060,254 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 24,060,254 | |||||||||||||
3,197,563 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 2,558,050 | ||||||||||||
Total Short-Term Investments (Cost $ 27,257,817) | 26,618,304 | ||||||||||||||
Total Investments in Securities (Cost $ 795,157,229) * | 102.3 | % | $ | 910,348,747 | |||||||||||
Other Assets and Liabilities - Net | (2.3) | (20,623,302 | ) | ||||||||||||
Net Assets | 100.0 | % | $ | 889,725,445 | |||||||||||
@ | Non-income producing security | ||||||||||||||
ADR | American Depositary Receipt | ||||||||||||||
GDR | Global Depositary Receipt | ||||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(1) | Collateral received from brokers for securites 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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | ||||||||||||||
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. | ||||||||||||||
Industry | Percentage of Net Assets |
| |||||||||||||
Consumer Discretionary | 10.5% | ||||||||||||||
Consumer Staples | 15.4 | ||||||||||||||
Energy | 9.6 | ||||||||||||||
Financials | 27.3 | ||||||||||||||
Industrials | 2.0 | ||||||||||||||
Information Technology | 13.5 | ||||||||||||||
Materials | 12.7 | ||||||||||||||
Telecommunication Services | 8.3 | ||||||||||||||
Short-Term Investments | 3.0 | ||||||||||||||
Other Assets and Liabilities - Net | (2.3) | ||||||||||||||
Net Assets | 100.0% | ||||||||||||||
See Accompanying Notes to Financial Statements
Table of Contents
| ING Liquid Assets Portfolio(1)
| PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited)
|
| ||||||||
Principal Amount | Value | ||||||||||
| CERTIFICATES OF DEPOSIT: | 10.6% | |||||||||
$ | 17,500,000 | Barclays PLC, 0.500%, due 10/01/10 | $ | 17,500,000 | |||||||
8,750,000 | BNP Paribas, 0.250%, due 07/06/10 | 8,750,000 | |||||||||
21,000,000 | BNP Paribas, 0.270%, due 08/02/10 | 21,000,000 | |||||||||
8,750,000 | Dexia Del, LLC, 0.550%, due 07/22/10 | 8,750,102 | |||||||||
10,500,000 | Natixis, 0.270%, due 07/07/10 | 10,500,017 | |||||||||
16,250,000 | Natixis, 0.340%, due 07/07/10 | 16,250,000 | |||||||||
2,500,000 | Rabobank USA Financial Corp., 0.340%, due 11/15/10 | 2,498,951 | |||||||||
15,250,000 | Rabobank USA Financial Corp., 0.530%, due 11/30/10 | 15,250,642 | |||||||||
4,250,000 | Royal Bank of Canada, 0.400%, due 10/28/10 | 4,248,594 | |||||||||
19,750,000 | Societe Generale, 0.300%, due 07/09/10 | 19,750,131 | |||||||||
14,500,000 | Societe Generale, 0.300%, due 07/23/10 | 14,499,999 | |||||||||
14,500,000 | Svenska Handelsbanken AB, 0.290%, due 09/01/10 | 14,500,000 | |||||||||
2,000,000 | Svenska Handelsbanken AB, 0.520%, due 08/30/10 | 2,000,033 | |||||||||
1,750,000 | Toronoto Dominion Bank, 0.450%, due 11/04/10 | 1,750,000 | |||||||||
8,750,000 | Toronoto Dominion Bank, 0.510%, due 11/17/10 | 8,750,337 | |||||||||
11,750,000 | Toronoto Dominion Bank, 0.540%, due 11/19/10 | 11,751,827 | |||||||||
3,000,000 | UBS AG, 1.340%, due 09/27/10 | 3,005,373 | |||||||||
Total Certificates of Deposit (Cost $ 180,756,006) | 180,756,006 | ||||||||||
| COMMERCIAL PAPER: | 42.0% | |||||||||
6,000,000 | American Honda, 0.280%, due 08/31/10 | 5,997,153 | |||||||||
6,750,000 | ANZ National Bank Ltd., 0.501%, due 08/23/10 | 6,745,031 | |||||||||
14,000,000 | ANZ National Bank Ltd., 0.603%, due 04/20/11 | 13,931,633 | |||||||||
10,000,000 | ANZ National Bank Ltd., 0.704%, due 09/17/10 | 9,984,833 | |||||||||
35,750,000 | ASB Finance Ltd., 0.391%, due 09/24/10 | 35,717,257 | |||||||||
27,000,000 | Barton Capital, LLC, 0.420%, due 07/26/10 | 26,992,125 | |||||||||
6,500,000 | Barton Capital, LLC, 0.491%, due 09/16/10 | 6,493,188 | |||||||||
10,000,000 | Barton Capital, LLC, 0.491%, due 09/07/10 | 9,990,744 | |||||||||
5,750,000 | BNP Paribas, 0.591%, due 09/27/10 | 5,741,707 | |||||||||
4,435,000 | Cafco, LLC, 0.285%, due 07/08/10 | 4,434,754 | |||||||||
5,000,000 | Cafco, LLC, 0.350%, due 08/10/10 | 4,998,056 | |||||||||
16,000,000 | Cafco, LLC, 0.501%, due 09/16/10 | 15,982,889 | |||||||||
21,750,000 | Cafco, LLC, 0.561%, due 09/01/10 | 21,729,023 | |||||||||
7,250,000 | Ciesco, LLC, 0.440%, due 08/11/10 | 7,246,367 | |||||||||
15,000,000 | Ciesco, LLC, 0.501%, due 09/16/10 | 14,983,958 | |||||||||
18,250,000 | Ciesco, LLC, 0.531%, due 09/02/10 | 18,233,073 | |||||||||
20,500,000 | Commonwealth Bank of Australia, 0.361%, due 09/17/10 | 20,484,010 | |||||||||
2,000,000 | Concord Minutemen Capital Co., LLC, 0.400%, due 07/06/10 | 1,999,889 | |||||||||
11,000,000 | Concord Minutemen Capital Co., LLC, 0.551%, due 07/12/10 | 10,998,151 | |||||||||
4,000,000 | Concord Minutemen Capital Co., LLC, 0.592%, due 09/02/10 | 3,995,870 | |||||||||
7,500,000 | Concord Minutemen Capital Co., LLC, 0.602%, due 11/19/10 | 7,482,375 | |||||||||
17,000,000 | Concord Minutemen Capital Co., LLC, 0.955%, due 01/11/11 | 16,912,969 | |||||||||
8,750,000 | Credit Suisse USA, Inc., 0.250%, due 07/30/10 | 8,748,238 | |||||||||
11,000,000 | Crown Point Capital Co., 0.551%, due 07/12/10 | 10,998,151 | |||||||||
4,500,000 | Crown Point Capital Co., 0.592%, due 09/02/10 | 4,495,354 | |||||||||
10,000,000 | Crown Point Capital Co., 0.602%, due 11/19/10 | 9,973,680 | |||||||||
16,750,000 | Crown Point Capital Co., 0.955%, due 01/11/11 | 16,664,249 | |||||||||
15,500,000 | Danske Corp., 0.290%, due 07/23/10 | 15,497,253 | |||||||||
1,600,000 | Danske Corp., 0.300%, due 07/20/10 | 1,599,747 | |||||||||
30,750,000 | Deutsche Bank AG/London, 0.270%, due 07/26/10 | 30,744,234 | |||||||||
8,755,000 | Edison Asset Securities, LLC, 0.400%, due 08/09/10 | 8,751,206 | |||||||||
8,250,000 | Edison Asset Securities, LLC, 0.411%, due 10/18/10 | 8,239,759 | |||||||||
8,290,000 | Edison Asset Securities, LLC, 0.461%, due 08/30/10 | 8,283,644 | |||||||||
23,000,000 | Edison Asset Securities, LLC, 0.491%, due 09/07/10 | 22,978,712 | |||||||||
33,000,000 | Jupiter, 0.340%, due 08/06/10 | 32,987,745 | |||||||||
9,750,000 | Jupiter, 0.400%, due 08/12/10 | 9,745,450 | |||||||||
8,250,000 | Natixis, 0.400%, due 07/22/10 | 8,248,075 | |||||||||
10,250,000 | Natixis, 0.601%, due 08/06/10 | 10,244,630 | |||||||||
1,750,000 | Old Line Funding, LLC, 0.360%, due 08/13/10 | 1,749,248 | |||||||||
15,000,000 | Old Line Funding, LLC, 0.400%, due 08/18/10 | 14,992,000 | |||||||||
25,750,000 | Old Line Funding, LLC, 0.622%, due 12/13/10 | 25,676,827 | |||||||||
17,500,000 | Royal Bank of Canada, 0.571%, due 09/27/10 | 17,475,617 | |||||||||
3,750,000 | Societe Generale, 0.350%, due 08/03/10 | 3,748,797 | |||||||||
5,000,000 | Societe Generale, 0.500%, due 08/13/10 | 4,997,014 | |||||||||
6,750,000 | Societe Generale, 0.621%, due 09/15/10 | 6,741,165 | |||||||||
750,000 | Thunder Bay Funding, LLC, 0.270%, due 07/14/10 | 749,927 | |||||||||
1,000,000 | Thunder Bay Funding, LLC, 0.280%, due 07/13/10 | 999,907 | |||||||||
42,250,000 | Thunder Bay Funding, LLC, 0.420%, due 08/13/10 | 42,228,807 | |||||||||
53,000,000 | Variable Funding Capital Corp., 0.270%, due 07/14/10 | 52,994,833 | |||||||||
9,750,000 | Windmill Funding Corp., 0.340%, due 07/22/10 | 9,748,066 | |||||||||
12,750,000 | Windmill Funding Corp., 0.380%, due 07/26/10 | 12,746,635 | |||||||||
2,250,000 | Windmill Funding Corp., 0.491%, due 09/13/10 | 2,247,734 | |||||||||
17,500,000 | Windmill Funding Corp., 0.521%, due 09/20/10 | 17,479,525 | |||||||||
13,607,000 | Yorkstown Capital, LLC, 0.240%, due 07/09/10 | 13,606,274 | |||||||||
6,000,000 | Yorkstown Capital, LLC, 0.330%, due 07/23/10 | 5,998,790 | |||||||||
4,746,000 | Yorkstown Capital, LLC, 0.360%, due 07/26/10 | 4,744,814 | |||||||||
Total Commercial Paper (Cost $ 718,201,162) | 718,201,162 | ||||||||||
CORPORATE BONDS/NOTES: | 12.8% | ||||||||||
2,650,000 | C | Abbott Laboratories, 3.750%, due 03/15/11 | 2,706,781 | ||||||||
3,000,000 | Australia & New Zealand Banking Group Ltd., 4.875%, due 11/08/10 | 3,046,788 | |||||||||
14,000,000 | # | Commonwealth Bank of Australia, 0.568%, due 06/20/11 | 14,000,000 | ||||||||
16,450,000 | Credit Suisse USA, Inc., 0.636%, due 08/16/10 | 16,451,963 | |||||||||
7,750,000 | Credit Suisse USA, Inc., 0.726%, due 03/02/11 | 7,752,514 | |||||||||
2,750,000 | Credit Suisse USA, Inc., 4.875%, due 08/15/10 | 2,762,811 | |||||||||
8,000,000 | Deutsche Bank AG/London, 5.000%, due 10/12/10 | 8,103,557 | |||||||||
26,750,000 | Dexia Del, LLC, 0.447%, due 06/29/11 | 26,750,000 | |||||||||
16,500,000 | Kreditanstalt fuer Wiederaufbau, 3.250%, due 02/15/11 | 16,785,344 | |||||||||
12,500,000 | Kreditanstalt fuer Wiederaufbau, 4.625%, due 01/20/11 | 12,774,165 | |||||||||
7,000,000 | # | Rabobank, 0.436%, due 06/16/11 | 7,000,000 | ||||||||
10,900,000 | Rabobank USA Financial Corp., 5.000%, due 02/15/11 | 11,178,303 | |||||||||
24,000,000 | #, C | Royal Bank of Canada, 0.342%, due 08/01/11 | 24,000,000 | ||||||||
9,500,000 | C | Royal Bank of Canada, 0.611%, due 07/01/11 | 9,531,412 | ||||||||
21,000,000 | #, C | Svenska Handelsbanken AB, 0.404%, due 08/09/11 | 21,000,000 | ||||||||
26,500,000 | C | Westpac Banking Corp., 0.324%, due 06/28/11 | 26,500,000 | ||||||||
8,250,000 | # | Westpac Banking Corp., 0.423%, due 08/13/10 | 8,249,886 | ||||||||
Total Corporate Bonds/Notes (Cost $ 218,593,524) |
| 218,593,524 |
| ||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS: | 2.7% | |||||||||
12,500,000 | Federal Home Loan Mortgage Corporation, 1.550%, due 12/15/10 | 12,567,996 | |||||||||
25,000,000 | Federal National Mortgage Association, 0.462%, due 03/01/11 | 24,922,375 | |||||||||
1,250,000 | L | Federal National Mortgage Association, 1.500%, due 09/16/10 | 1,252,866 | ||||||||
2,000,000 | Federal National Mortgage Association, 4.250%, due 08/15/10 | 2,009,388 | |||||||||
4,800,000 | Federal National Mortgage Association, 4.750%, due 12/15/10 | 4,896,269 | |||||||||
Total U.S. Government Agency Obligations (Cost $ 45,648,894) |
| 45,648,894 | |||||||||
REPURCHASE AGREEMENTS: | 32.0% | ||||||||||
304,076,000 | Goldman Sachs Repurchase Agreement dated 06/30/10, 0.020%, due 07/01/10, $304,076,169 to be received upon repurchase (Collateralized by $254,093,000 various U.S. Government Agency Obligations, 5.050%-6.750%, Market Value plus accrued interest $310,158,735
|
| 304,076,000 | ||||||||
243,000,000 | Morgan Stanley Repurchase Agreement dated 06/30/10, 0.020%, due 07/01/10, $243,000,135 to be received upon repurchase (Collateralized by $245,575,000 Federal Home Loan Bank, 0.280%-4.250%, Market Value plus accrued interest $247,863,704, due 09/30/10-06/2
|
| 243,000,000 | ||||||||
Total Repurchase Agreement (Cost $ 547,076,000) |
| 547,076,000 | |||||||||
SECURITIES LENDING COLLATERALcc: | 0.0% | ||||||||||
102,750 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 102,750 | |||||||||
Total Securities Lending Collateral (Cost $ 102,750) |
| 102,750 | |||||||||
Total Investments in Securities (Cost $ 1,710,378,336) * | 100.1 | % | $ | 1,710,378,336 | |||||||
Other Assets and Liabilities - Net | (0.1) | (1,823,243 | ) | ||||||||
Net Assets | 100.0 | % | $ | 1,708,555,093 | |||||||
(1) | All securities with a maturity date of greater than 13 months have either a variable rate, a demand feature, prerefunded, optional or mandatory put resulting in a maturity of one year or less. Rate shown reflects current rate. | ||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | ||||||||||
C | Bond may be called prior to maturity date. | ||||||||||
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, 2010. | ||||||||||
* | Cost for federal income tax purposes is the same as for financial statement purposes. |
See Accompanying Notes to Financial Statements
Table of Contents
ING Marsico Growth Portfolio
| PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited)
|
| |||||||||||||
Shares | Value | ||||||||||||||
COMMON STOCK: | 92.9 | % | |||||||||||||
Consumer Discretionary: | 22.9 | % | |||||||||||||
176,820 | @, L | Amazon.com, Inc. | $ | 19,319,353 | |||||||||||
379,392 | @ | DIRECTV | 12,868,977 | ||||||||||||
496,707 | Home Depot, Inc. | 13,942,565 | |||||||||||||
410,995 | McDonald’s Corp. | 27,072,241 | |||||||||||||
323,437 | Nike, Inc. | 21,848,169 | |||||||||||||
245,844 | Nordstrom, Inc. | 7,913,718 | |||||||||||||
62,753 | @ | Priceline.com, Inc. | 11,078,415 | ||||||||||||
153,433 | Tiffany & Co. | 5,816,645 | |||||||||||||
143,032 | TJX Cos., Inc. | 6,000,192 | |||||||||||||
573,904 | Walt Disney Co. | 18,077,976 | |||||||||||||
111,941 | L | Wynn Resorts Ltd. | 8,537,740 | ||||||||||||
152,475,991 | |||||||||||||||
Energy: | 3.2 | % | |||||||||||||
219,003 | EOG Resources, Inc. | 21,543,325 | |||||||||||||
21,543,325 | |||||||||||||||
Financials: | 14.0 | % | |||||||||||||
129,028 | American Express Co. | 5,122,412 | |||||||||||||
62,978 | Goldman Sachs Group, Inc. | 8,267,122 | |||||||||||||
398,803 | JP Morgan Chase & Co. | 14,600,178 | |||||||||||||
321,025 | PNC Financial Services Group, Inc. | 18,137,913 | |||||||||||||
952,012 | US Bancorp. | 21,277,468 | |||||||||||||
1,024,577 | Wells Fargo & Co. | 26,229,169 | |||||||||||||
93,634,262 | |||||||||||||||
Health Care: | 3.2 | % | |||||||||||||
181,440 | L | Johnson & Johnson | 10,715,846 | ||||||||||||
298,477 | Merck & Co., Inc. | 10,437,741 | |||||||||||||
21,153,587 | |||||||||||||||
Industrials: | 13.5 | % | |||||||||||||
344,548 | Danaher Corp. | 12,789,622 | |||||||||||||
185,982 | L | FedEx Corp. | 13,039,198 | ||||||||||||
324,764 | General Dynamics Corp. | 19,018,180 | |||||||||||||
309,015 | Norfolk Southern Corp. | 16,393,246 | |||||||||||||
416,325 | Union Pacific Corp. | 28,938,751 | |||||||||||||
90,178,997 | |||||||||||||||
Information Technology: | 19.8 | % | |||||||||||||
209,950 | @ | Apple, Inc. | 52,808,724 | ||||||||||||
341,009 | @ | Baidu.com ADR | 23,215,893 | ||||||||||||
946,793 | @ | Cisco Systems, Inc. | 20,176,159 | ||||||||||||
868,106 | @ | EMC Corp. | 15,886,340 | ||||||||||||
44,325 | @ | Google, Inc. - Class A | 19,722,409 | ||||||||||||
131,809,525 | |||||||||||||||
Materials: | 13.7 | % | |||||||||||||
403,545 | BHP Billiton PLC ADR | 20,758,355 | |||||||||||||
1,006,743 | Dow Chemical Co. | 23,879,944 | |||||||||||||
220,223 | Monsanto Co. | 10,178,707 | |||||||||||||
95,190 | Potash Corp. of Saskatchewan | 8,209,186 | |||||||||||||
205,993 | PPG Industries, Inc. | 12,444,037 | |||||||||||||
211,425 | Praxair, Inc. | 16,066,186 | |||||||||||||
91,536,415 | |||||||||||||||
Telecommunication Services: | 2.6 | % | |||||||||||||
282,118 | @ | American Tower Corp. | 12,554,251 | ||||||||||||
120,190 | @, L | Crown Castle International Corp. | 4,478,279 | ||||||||||||
17,032,530 | |||||||||||||||
Total Common Stock (Cost $ 570,824,802) | 619,364,632 | ||||||||||||||
PREFERRED STOCK: | 0.5 | % | |||||||||||||
Financials: | 0.5 | % | |||||||||||||
131,480 | P, L | Wells Fargo & Co. | 3,404,017 | ||||||||||||
Total Preferred Stock (Cost $ 2,516,649) | 3,404,017 | ||||||||||||||
Total Long-Term Investments (Cost $ 573,341,451) | 622,768,649 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 7.6 | % | |||||||||||||
Affiliated Mutual Fund: | 6.9 | % | |||||||||||||
45,896,445 | ING Institutional Prime Money Market Fund - Class I | 45,896,445 | |||||||||||||
Total Mutual Fund (Cost $ 45,896,445) | 45,896,445 | ||||||||||||||
Securities Lending Collateralcc: | 0.7 | % | |||||||||||||
2,780,340 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 2,780,340 | |||||||||||||
2,402,610 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 1,922,088 | ||||||||||||
Total Securities Lending Collateral (Cost $ 5,182,950) | 4,702,428 | ||||||||||||||
Total Short-Term Investments (Cost $ 51,079,395) | 50,598,873 | ||||||||||||||
Total Investments in Securities (Cost $ 624,420,846) * | 101.0 % | $ | 673,367,522 | ||||||||||||
Other Assets and Liabilities - Net | (1.0) | (6,754,050 | ) | ||||||||||||
Net Assets | 100.0 % | $ | 666,613,472 | ||||||||||||
@ | 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. | ||||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
See Accompanying Notes to Financial Statements
Table of Contents
ING Marsico International Opportunities Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited) |
Shares | Value | ||||||||||||||
COMMON STOCK: | 96.6 | % | |||||||||||||
Argentina: | 0.5 | % | |||||||||||||
29,900 | @ | Mercadolibre, Inc. | $ | 1,571,245 | |||||||||||
1,571,245 | |||||||||||||||
Belgium: | 2.5 | % | |||||||||||||
175,677 | Anheuser-Busch InBev NV | 8,446,793 | |||||||||||||
8,446,793 | |||||||||||||||
Brazil: | 7.0 | % | |||||||||||||
186,900 | Cyrela Brazil Realty S.A. | 2,033,638 | |||||||||||||
281,672 | Gafisa S.A. | 1,690,032 | |||||||||||||
924,600 | @ | OGX Petroleo e Gas Participacoes S.A. | 8,590,328 | ||||||||||||
728,100 | PDG Realty SA Empreendimentos e Participacoes | 6,099,098 | |||||||||||||
199,900 | Vale S.A. ADR | 4,867,565 | |||||||||||||
23,280,661 | |||||||||||||||
Canada: | 3.8 | % | |||||||||||||
120,910 | Canadian National Railway Co. | 6,937,816 | |||||||||||||
71,067 | @ | Research In Motion Ltd. | 3,500,760 | ||||||||||||
80,847 | Teck Cominco Ltd. - Class B | 2,390,741 | |||||||||||||
12,829,317 | |||||||||||||||
China: | 4.4 | % | |||||||||||||
725,000 | @ | Alibaba.com Ltd. | 1,430,505 | ||||||||||||
51,980 | @ | Baidu.com ADR | 3,538,798 | ||||||||||||
91,000 | @ | Ctrip.com International Ltd. ADR | 3,417,960 | ||||||||||||
423,500 | I, X | Ping An Insurance Group Co. of China Ltd. | 3,499,753 | ||||||||||||
168,800 | Tencent Holdings Ltd. | 2,796,552 | |||||||||||||
14,683,568 | |||||||||||||||
Denmark: | 2.4 | % | |||||||||||||
64,549 | Novo-Nordisk A/S | 5,215,091 | |||||||||||||
26,242 | Novozymes A/S | 2,800,154 | |||||||||||||
8,015,245 | |||||||||||||||
France: | 8.2 | % | |||||||||||||
121,316 | @, L | Accor S.A. | 5,616,376 | ||||||||||||
321,172 | L | AXA S.A. | 4,906,586 | ||||||||||||
30,778 | BNP Paribas | 1,655,884 | |||||||||||||
45,680 | L | Pernod-Ricard S.A. | 3,543,185 | ||||||||||||
124,167 | L | Publicis Groupe | 4,953,004 | ||||||||||||
66,069 | Schneider Electric S.A. | 6,672,982 | |||||||||||||
27,348,017 | |||||||||||||||
Germany: | 12.7 | % | |||||||||||||
99,666 | Adidas AG | 4,825,330 | |||||||||||||
191,804 | BASF AG | 10,480,263 | |||||||||||||
129,040 | @ | DaimlerChrysler AG | 6,527,568 | ||||||||||||
641,198 | @ | Infineon Technologies AG | 3,717,294 | ||||||||||||
129,393 | Metro AG | 6,601,841 | |||||||||||||
79,780 | Siemens AG | 7,135,517 | |||||||||||||
134,834 | ThyssenKrupp AG | 3,322,743 | |||||||||||||
42,610,556 | |||||||||||||||
Hong Kong: | 5.0 | % | |||||||||||||
2,479,400 | CNOOC Ltd. | 4,214,182 | |||||||||||||
811,000 | Hang Lung Properties Ltd. | 3,102,032 | |||||||||||||
1,730,000 | Li & Fung Ltd. | 7,739,974 | |||||||||||||
1,502,181 | L | Noble Group Ltd. | 1,815,664 | ||||||||||||
16,871,852 | |||||||||||||||
India: | 2.8 | % | |||||||||||||
161,206 | ICICI Bank Ltd. ADR | 5,825,985 | |||||||||||||
79,250 | L | Reliance Industries - Spons GDR | 3,666,876 | ||||||||||||
9,492,861 | |||||||||||||||
Ireland: | 1.0 | % | |||||||||||||
86,200 | Covidien PLC | 3,463,516 | |||||||||||||
3,463,516 | |||||||||||||||
Israel: | 3.2 | % | |||||||||||||
204,065 | Teva Pharmaceutical Industries Ltd. ADR | 10,609,339 | |||||||||||||
10,609,339 | |||||||||||||||
Japan: | 12.3 | % | |||||||||||||
133,800 | Canon, Inc. | 4,986,653 | |||||||||||||
53,786 | Daikin Industries Ltd. | 1,639,952 | |||||||||||||
134,400 | L | FamilyMart Co., Ltd. | 4,438,284 | ||||||||||||
119,800 | Honda Motor Co., Ltd. | 3,518,867 | |||||||||||||
1,329,000 | Marubeni Corp. | 6,812,989 | |||||||||||||
263,600 | Matsushita Electric Industrial Co., Ltd. | 3,291,535 | |||||||||||||
2,559,800 | L | Mizuho Financial Group, Inc. | 4,200,148 | ||||||||||||
17,200 | Nintendo Co., Ltd. | 5,050,078 | |||||||||||||
125,100 | Sumco Corp. | 2,073,418 | |||||||||||||
147,600 | Tokyo Electric Power Co., Inc. | 4,015,229 | |||||||||||||
2,552 | Yahoo! Japan Corp. | 1,017,163 | |||||||||||||
41,044,316 | |||||||||||||||
Luxembourg: | 1.6 | % | |||||||||||||
65,000 | Millicom International Cellular S.A. | 5,269,550 | |||||||||||||
5,269,550 | |||||||||||||||
Singapore: | 1.5 | % | |||||||||||||
1,969,500 | CapitaLand Ltd. | 5,022,114 | |||||||||||||
5,022,114 | |||||||||||||||
Spain: | 4.8 | % | |||||||||||||
525,349 | Banco Bilbao Vizcaya Argentaria S.A. | 5,412,646 | |||||||||||||
183,996 | Inditex S.A. | 10,491,728 | |||||||||||||
15,904,374 | |||||||||||||||
Sweden: | 0.5 | % | |||||||||||||
79,985 | Assa Abloy AB | 1,598,735 | |||||||||||||
1,598,735 | |||||||||||||||
Switzerland: | 7.4 | % | |||||||||||||
89,053 | Credit Suisse Group | 3,348,147 | |||||||||||||
34,292 | L | Lonza Group AG | 2,283,141 | ||||||||||||
147,005 | Nestle S.A. | 7,088,410 | |||||||||||||
23,474 | Swatch Group AG - BR | 6,620,257 | |||||||||||||
23,977 | Syngenta AG | 5,539,072 | |||||||||||||
24,879,027 | |||||||||||||||
Taiwan: | 3.1 | % | |||||||||||||
288,000 | High Tech Computer Corp. | 3,824,671 | |||||||||||||
1,901,237 | @ | HON HAI Precision Industry Co., Ltd. | 6,664,164 | ||||||||||||
10,488,835 | |||||||||||||||
United Kingdom: | 11.9 | % | |||||||||||||
182,081 | @ | Autonomy Corp. PLC | 4,963,227 | ||||||||||||
814,936 | Barclays PLC | 3,252,817 | |||||||||||||
672,950 | Compass Group PLC | 5,119,451 | |||||||||||||
726,310 | HSBC Holdings PLC | 6,635,346 | |||||||||||||
79,282 | Reckitt Benckiser PLC | 3,687,747 | |||||||||||||
19,307,790 | @, I | Rolls-Royce Group PLC | 28,848 | ||||||||||||
609,624 | Rolls-Royce Group PLC | 5,088,398 | |||||||||||||
276,411 | Standard Chartered PLC | 6,730,716 | |||||||||||||
737,848 | Tesco PLC | 4,162,501 | |||||||||||||
39,669,051 | |||||||||||||||
Total Common Stock | |||||||||||||||
( Cost $ 334,083,157 ) | 323,098,972 | ||||||||||||||
PREFERRED STOCK: | 0.2 | % | |||||||||||||
Brazil: | 0.2 | % | |||||||||||||
78,100 | @ | NET Servicos de Comunicacao SA | 734,270 | ||||||||||||
Total Preferred Stock (Cost $ 1,020,177) | 734,270 | ||||||||||||||
Total Long-Term Investments (Cost $ 335,103,334) | 323,833,242 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 11.5 | % | |||||||||||||
Affiliated Mutual Fund: | 3.4 | % | |||||||||||||
11,334,294 | ING Institutional Prime Money Market Fund - Class I | 11,334,294 | |||||||||||||
Total Mutual Fund (Cost $ 11,334,294) | 11,334,294 | ||||||||||||||
Securities Lending Collateralcc: | 8.1 | % | |||||||||||||
26,228,664 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 26,228,664 | |||||||||||||
901,350 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 721,081 | ||||||||||||
Total Securities Lending Collateral (Cost $ 27,130,015) | 26,949,745 | ||||||||||||||
Total Short-Term Investments (Cost $ 38,464,309) | 38,284,039 | ||||||||||||||
Total Investments in Securities (Cost $ 373,567,643) * | 108.3 | % | $ | 362,117,281 | |||||||||||
Other Assets and Liabilities - Net | (8.3 | ) | (27,729,352 | ) | |||||||||||
Net Assets | 100.0 | % | $ | 334,387,929 | |||||||||||
@ | Non-income producing security | ||||||||||||||
ADR | American Depositary Receipt | ||||||||||||||
GDR | Global Depositary Receipt | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | ||||||||||||||
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board | ||||||||||||||
of Directors/Trustees. |
Industry | Percentage of Net Assets | ||||||||
Consumer Discretionary | 21.7% | ||||||||
Consumer Staples | 11.4 | ||||||||
Energy | 4.9 | ||||||||
Financials | 16.0 | ||||||||
Health Care | 6.4 | ||||||||
Industrials | 11.3 | ||||||||
Information Technology | 13.5 | ||||||||
Materials | 8.8 | ||||||||
Telecommunication Services | 1.6 | ||||||||
Utilities | 1.2 | ||||||||
Short-Term Investments | 11.5 | ||||||||
Other Assets and Liabilities - Net | (8.3 | ) | |||||||
Net Assets | 100.0% | ||||||||
See Accompanying Notes to Financial Statements
Table of Contents
ING MFS Total Return Portfolio
| PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited)
|
| |||||||||||||
Shares | Value | ||||||||||||||
COMMON STOCK: | 55.8% | ||||||||||||||
Consumer Discretionary: | 4.8 | % | |||||||||||||
67,290 | Advance Auto Parts, Inc. | $ | 3,376,613 | ||||||||||||
27,710 | @ | Apollo Group, Inc. - Class A | 1,176,844 | ||||||||||||
110,220 | Comcast Corp. – Special Class A | 1,810,915 | |||||||||||||
68,850 | Hasbro, Inc. | 2,829,735 | |||||||||||||
55,870 | Home Depot, Inc. | 1,568,271 | |||||||||||||
74,360 | Johnson Controls, Inc. | 1,998,053 | |||||||||||||
26,370 | @ | Kohl’s Corp. | 1,252,575 | ||||||||||||
41,330 | McDonald’s Corp. | 2,722,407 | |||||||||||||
111,060 | Nike, Inc. | 7,502,103 | |||||||||||||
143,720 | Omnicom Group | 4,929,596 | |||||||||||||
104,860 | @ | Pulte Homes, Inc. | 868,241 | ||||||||||||
33,728 | Stanley Black & Decker, Inc. | 1,703,939 | |||||||||||||
142,680 | Staples, Inc. | 2,718,054 | |||||||||||||
11,940 | Starwood Hotels & Resorts Worldwide, Inc. | 494,674 | |||||||||||||
71,870 | Target Corp. | 3,533,848 | |||||||||||||
50,960 | Time Warner, Inc. | 1,473,254 | |||||||||||||
234,290 | Walt Disney Co. | 7,380,135 | |||||||||||||
47,339,257 | |||||||||||||||
Consumer Staples: | 7.4 | % | |||||||||||||
76,497 | Altria Group, Inc. | 1,533,001 | |||||||||||||
32,520 | Clorox Co. | 2,021,443 | |||||||||||||
125,998 | CVS Caremark Corp. | 3,694,261 | |||||||||||||
375,977 | Diageo PLC | 5,905,807 | |||||||||||||
135,990 | General Mills, Inc. | 4,830,365 | |||||||||||||
26,348 | Groupe Danone | 1,412,525 | |||||||||||||
31,540 | Heineken NV | 1,336,898 | |||||||||||||
21,598 | JM Smucker Co. | 1,300,632 | |||||||||||||
56,533 | Kellogg Co. | 2,843,610 | |||||||||||||
69,590 | Kroger Co. | 1,370,227 | |||||||||||||
206,308 | Nestle S.A. | 9,947,931 | |||||||||||||
131,120 | PepsiCo, Inc. | 7,991,764 | |||||||||||||
304,120 | Philip Morris International, Inc. | 13,940,861 | |||||||||||||
139,084 | Procter & Gamble Co. | 8,342,258 | |||||||||||||
122,710 | Walgreen Co. | 3,276,357 | |||||||||||||
66,960 | Wal-Mart Stores, Inc. | 3,218,767 | |||||||||||||
72,966,707 | |||||||||||||||
Energy: | 7.0 | % | |||||||||||||
46,750 | Anadarko Petroleum Corp. | 1,687,208 | |||||||||||||
121,090 | Apache Corp. | 10,194,567 | |||||||||||||
133,397 | Chevron Corp. | 9,052,320 | |||||||||||||
34,488 | Devon Energy Corp. | 2,101,009 | |||||||||||||
44,840 | EOG Resources, Inc. | 4,410,911 | |||||||||||||
237,144 | ExxonMobil Corp. | 13,533,808 | |||||||||||||
38,990 | Halliburton Co. | 957,205 | |||||||||||||
87,130 | Hess Corp. | 4,386,124 | |||||||||||||
92,110 | Marathon Oil Corp. | 2,863,700 | |||||||||||||
58,950 | National Oilwell Varco, Inc. | 1,949,477 | |||||||||||||
35,810 | @ | Noble Corp. | 1,106,887 | ||||||||||||
44,320 | Noble Energy, Inc. | 2,673,826 | |||||||||||||
25,300 | Occidental Petroleum Corp. | 1,951,895 | |||||||||||||
19,250 | Schlumberger Ltd. | 1,065,295 | |||||||||||||
163,250 | Total SA ADR | 7,287,480 | |||||||||||||
29,320 | @ | Transocean Ltd. | 1,358,396 | ||||||||||||
118,392 | Williams Cos., Inc. | 2,164,206 | |||||||||||||
68,744,314 | |||||||||||||||
Financials: | 12.2 | % | |||||||||||||
77,230 | ACE Ltd. | 3,975,800 | |||||||||||||
28,250 | Aflac, Inc. | 1,205,429 | |||||||||||||
78,510 | Allstate Corp. | 2,255,593 | |||||||||||||
61,240 | AON Corp. | 2,273,229 | |||||||||||||
715,260 | Bank of America Corp. | 10,278,286 | |||||||||||||
512,436 | Bank of New York Mellon Corp. | 12,652,045 | |||||||||||||
134,660 | Charles Schwab Corp. | 1,909,479 | |||||||||||||
38,430 | Chubb Corp. | 1,921,884 | |||||||||||||
17,970 | Deutsche Boerse AG | 1,091,743 | |||||||||||||
17,755 | Franklin Resources, Inc. | 1,530,303 | |||||||||||||
101,180 | Goldman Sachs Group, Inc. | 13,281,899 | |||||||||||||
494,380 | JP Morgan Chase & Co. | 18,099,252 | |||||||||||||
176,040 | Marshall & Ilsley Corp. | 1,263,967 | |||||||||||||
313,200 | Metlife, Inc. | 11,826,432 | |||||||||||||
78,120 | PNC Financial Services Group, Inc. | 4,413,780 | |||||||||||||
145,620 | Prudential Financial, Inc. | 7,813,969 | |||||||||||||
59,830 | Regions Financial Corp. | 393,681 | |||||||||||||
172,330 | State Street Corp. | 5,828,201 | |||||||||||||
138,410 | Travelers Cos., Inc. | 6,816,693 | |||||||||||||
366,370 | Wells Fargo & Co. | 9,379,072 | |||||||||||||
50,050 | Zions Bancorp. | 1,079,579 | |||||||||||||
119,290,316 | |||||||||||||||
Health Care: | 5.9 | % | |||||||||||||
193,680 | Abbott Laboratories | 9,060,351 | |||||||||||||
39,054 | Bayer AG | 2,182,398 | |||||||||||||
65,800 | Becton Dickinson & Co. | 4,449,396 | |||||||||||||
25,140 | @ | DaVita, Inc. | 1,569,742 | ||||||||||||
68,920 | GlaxoSmithKline PLC | 1,170,320 | |||||||||||||
244,160 | Johnson & Johnson | 14,420,090 | |||||||||||||
150,730 | Medtronic, Inc. | 5,466,977 | |||||||||||||
41,180 | Merck & Co., Inc. | 1,440,065 | |||||||||||||
600,268 | Pfizer, Inc. | 8,559,822 | |||||||||||||
6,690 | Roche Holding AG - Genusschein | 920,823 | |||||||||||||
84,640 | @ | St. Jude Medical, Inc. | 3,054,658 | ||||||||||||
21,720 | @ | Thermo Fisher Scientific, Inc. | 1,065,366 | ||||||||||||
51,350 | @ | Waters Corp. | 3,322,345 | ||||||||||||
18,820 | @ | WellPoint, Inc. | 920,863 | ||||||||||||
57,603,216 | |||||||||||||||
Industrials: | 6.6 | % | |||||||||||||
93,080 | 3M Co. | 7,352,390 | |||||||||||||
24,960 | Canadian National Railway Co. | 1,432,205 | |||||||||||||
139,320 | Danaher Corp. | 5,171,558 | |||||||||||||
24,880 | Dun & Bradstreet Corp. | 1,669,946 | |||||||||||||
50,390 | Eaton Corp. | 3,297,522 | |||||||||||||
37,700 | Fluor Corp. | 1,602,250 | |||||||||||||
94,550 | General Electric Co. | 1,363,411 | |||||||||||||
17,280 | Goodrich Corp. | 1,144,800 | |||||||||||||
74,210 | Honeywell International, Inc. | 2,896,416 | |||||||||||||
234,040 | Lockheed Martin Corp. | 17,435,980 | |||||||||||||
103,970 | Northrop Grumman Corp. | 5,660,127 | |||||||||||||
12,770 | Precision Castparts Corp. | 1,314,288 | |||||||||||||
12,650 | Union Pacific Corp. | 879,302 | |||||||||||||
32,910 | United Parcel Service, Inc. - Class B | 1,872,250 | |||||||||||||
185,770 | United Technologies Corp. | 12,058,331 | |||||||||||||
65,150,776 | |||||||||||||||
Information Technology: | 4.5 | % | |||||||||||||
147,770 | Accenture PLC | 5,711,312 | |||||||||||||
105,170 | @ | Cisco Systems, Inc. | 2,241,173 | ||||||||||||
136,570 | @ | Dell, Inc. | 1,647,034 | ||||||||||||
31,500 | @ | eBay, Inc. | 617,715 | ||||||||||||
4,250 | @ | Google, Inc. - Class A | 1,891,038 | ||||||||||||
121,719 | Hewlett-Packard Co. | 5,267,998 | |||||||||||||
315,110 | Intel Corp. | 6,128,890 | |||||||||||||
54,170 | International Business Machines Corp. | 6,688,912 | |||||||||||||
14,110 | Mastercard, Inc. | 2,815,368 | |||||||||||||
342,788 | Oracle Corp. | 7,356,230 | |||||||||||||
50,450 | Tyco Electronics Ltd. | 1,280,421 | |||||||||||||
17,780 | Visa, Inc. | 1,257,935 | |||||||||||||
105,750 | Western Union Co. | 1,576,733 | |||||||||||||
44,480,759 | |||||||||||||||
Materials: | 1.8 | % | |||||||||||||
79,290 | Air Products & Chemicals, Inc. | 5,138,786 | |||||||||||||
41,940 | EI Du Pont de Nemours & Co. | 1,450,705 | |||||||||||||
19,180 | Monsanto Co. | 886,500 | |||||||||||||
99,810 | PPG Industries, Inc. | 6,029,522 | |||||||||||||
42,780 | Sherwin-Williams Co. | 2,959,948 | |||||||||||||
25,140 | United States Steel Corp. | 969,147 | |||||||||||||
17,434,608 | |||||||||||||||
Telecommunication Services: | 2.6 | % | |||||||||||||
654,396 | AT&T, Inc. | 15,829,832 | |||||||||||||
57,328 | CenturyTel, Inc. | 1,909,596 | |||||||||||||
3,809,920 | Vodafone Group PLC | 7,850,302 | |||||||||||||
25,589,730 | |||||||||||||||
Utilities: | 3.0 | % | |||||||||||||
79,640 | American Electric Power Co., Inc. | 2,572,372 | |||||||||||||
46,840 | CenterPoint Energy, Inc. | 616,414 | |||||||||||||
35,240 | CMS Energy Corp. | 516,266 | |||||||||||||
93,170 | Dominion Resources, Inc. | 3,609,406 | |||||||||||||
50,510 | Entergy Corp. | 3,617,526 | |||||||||||||
59,412 | NextEra Energy, Inc. | 2,896,929 | |||||||||||||
21,770 | Northeast Utilities | 554,700 | |||||||||||||
75,300 | @ | NRG Energy, Inc. | 1,597,113 | ||||||||||||
86,010 | Pacific Gas & Electric Co. | 3,535,011 | |||||||||||||
149,760 | PPL Corp. | 3,736,512 | |||||||||||||
146,160 | Public Service Enterprise Group, Inc. | 4,579,193 | |||||||||||||
24,250 | Sempra Energy | 1,134,658 | |||||||||||||
28,966,100 | |||||||||||||||
Total Common Stock (Cost $ 536,724,208) | 547,565,783 | ||||||||||||||
PREFERRED STOCK: | 0.0% | ||||||||||||||
Utilities: | 0.0 | % | |||||||||||||
9,570 | @ | PPL Corp. | 498,980 | ||||||||||||
Total Preferred Stock (Cost $ 478,500) | 498,980 | ||||||||||||||
Principal Amount | Value | ||||||||||||||
CORPORATE BONDS/NOTES: | 10.7% | ||||||||||||||
Consumer Discretionary: | 1.0 | % | |||||||||||||
$1,028,000 | COX Communications, Inc., 4.625%, due 06/01/13 | $ | 1,096,849 | ||||||||||||
1,385,000 | Fortune Brands, Inc., 5.125%, due 01/15/11 | 1,411,793 | |||||||||||||
1,329,000 | Hearst-Argyle Television, Inc., 7.500%, due 11/15/27 | 1,061,705 | |||||||||||||
418,000 | Home Depot, Inc., 5.875%, due 12/16/36 | 429,941 | |||||||||||||
339,000 | Limited Brands, 5.250%, due 11/01/14 | 338,153 | |||||||||||||
819,000 | News America Holdings, 8.500%, due 02/23/25 | 1,015,810 | |||||||||||||
1,029,000 | Time Warner Entertainment Co. LP, 8.375%, due 07/15/33 | 1,280,921 | |||||||||||||
1,779,000 | Wal-Mart Stores, Inc., 5.250%, due 09/01/35 | 1,880,310 | |||||||||||||
942,000 | Wyndham Worldwide Corp., 6.000%, due 12/01/16 | 915,094 | |||||||||||||
9,430,576 | |||||||||||||||
Consumer Staples: | 0.6 | % | |||||||||||||
1,090,000 | # | Anheuser-Busch InBev Worldwide, Inc., 8.000%, due 11/15/39 | 1,428,992 | ||||||||||||
952,000 | CVS Caremark Corp., 6.125%, due 08/15/16 | 1,090,396 | |||||||||||||
437,000 | Dr Pepper Snapple Group, Inc., 6.820%, due 05/01/18 | 522,005 | |||||||||||||
965,000 | # | Erac USA Finance Co., 7.000%, due 10/15/37 | 1,054,905 | ||||||||||||
689,000 | Philip Morris International, Inc., 4.875%, due 05/16/13 | 745,674 | |||||||||||||
1,119,000 | # | SABMiller PLC, 5.500%, due 08/15/13 | 1,225,061 | ||||||||||||
6,067,033 | |||||||||||||||
Energy: | 1.3 | % | |||||||||||||
1,140,000 | Anadarko Petroleum Corp., 6.450%, due 09/15/36 | 909,353 | |||||||||||||
1,024,000 | CenterPoint Energy Resources Corp., 7.875%, due 04/01/13 | 1,174,109 | |||||||||||||
768,000 | Enterprise Products Operating L.P., 6.500%, due 01/31/19 | 862,519 | |||||||||||||
250,000 | Hess Corp., 8.125%, due 02/15/19 | 312,144 | |||||||||||||
659,000 | Husky Energy, Inc., 5.900%, due 06/15/14 | 734,204 | |||||||||||||
676,000 | Husky Energy, Inc., 7.250%, due 12/15/19 | 818,391 | |||||||||||||
1,459,000 | Kinder Morgan Energy Partners LP, 6.750%, due 03/15/11 | 1,510,554 | |||||||||||||
15,000 | Kinder Morgan Energy Partners LP, 7.400%, due 03/15/31 | 16,641 | |||||||||||||
420,000 | Kinder Morgan Energy Partners LP, 7.750%, due 03/15/32 | 477,076 | |||||||||||||
1,403,000 | Petro-Canada, 6.050%, due 05/15/18 | 1,582,319 | |||||||||||||
646,000 | Petroleos Mexicanos, 8.000%, due 05/03/19 | 771,970 | |||||||||||||
925,000 | # | Ras Laffan Liquefied Natural Gas Co., Ltd. II, 5.832%, due 09/30/16 | 996,142 | ||||||||||||
778,000 | Spectra Energy Capital, LLC, 8.000%, due 10/01/19 | 937,333 | |||||||||||||
1,136,000 | Valero Energy Corp., 6.875%, due 04/15/12 | 1,223,562 | |||||||||||||
12,326,317 | |||||||||||||||
Financials: | 4.4 | % | |||||||||||||
750,000 | # | Achmea Hypotheekbank NV, 3.200%, due 11/03/14 | 775,649 | ||||||||||||
132,000 | Allstate Corp., 5.550%, due 05/09/35 | 130,201 | |||||||||||||
1,077,000 | Allstate Corp., 6.125%, due 12/15/32 | 1,129,709 | |||||||||||||
892,000 | American Express Co., 5.500%, due 09/12/16 | 957,206 | |||||||||||||
800,000 | Asian Development Bank, 2.750%, due 05/21/14 | 830,356 | |||||||||||||
521,000 | # | Banco Bradesco SA/Cayman Islands, 6.750%, due 09/29/19 | 554,865 | ||||||||||||
617,000 | Bank of America Corp., 5.490%, due 03/15/19 | 597,667 | |||||||||||||
420,000 | Bank of America Corp., 7.375%, due 05/15/14 | 471,119 | |||||||||||||
590,000 | Bank of America Corp., 7.625%, due 06/01/19 | 676,968 | |||||||||||||
558,000 | # | BNP Paribas, 7.195%, due 12/31/49 | 491,040 | ||||||||||||
365,000 | Boston Properties, Inc., 5.000%, due 06/01/15 | 378,901 | |||||||||||||
1,125,000 | # | BPCE S.A., 12.500%, due 08/29/49 | 1,094,344 | ||||||||||||
1,268,000 | Capital One Financial Corp., 6.150%, due 09/01/16 | 1,343,436 | |||||||||||||
1,854,000 | Chubb Corp., 6.375%, due 03/29/67 | 1,798,380 | |||||||||||||
610,000 | # | Commonwealth Bank of Australia, 5.000%, due 10/15/19 | 634,380 | ||||||||||||
1,637,000 | CommonWealth REIT, 6.250%, due 08/15/16 | 1,668,979 | |||||||||||||
1,230,000 | Credit Suisse New York, 5.500%, due 05/01/14 | 1,345,974 | |||||||||||||
605,000 | # | Crown Castle Towers LLC, 6.113%, due 01/15/20 | 665,239 | ||||||||||||
837,000 | # | DBS Capital Funding Corp., 7.657%, due 03/31/49 | 855,833 | ||||||||||||
421,000 | General Electric Capital Corp., 5.450%, due 01/15/13 | 452,692 | |||||||||||||
1,113,000 | Goldman Sachs Group, Inc., 5.625%, due 01/15/17 | 1,126,889 | |||||||||||||
1,400,000 | # | Irish Life & Permanent Group Holdings PLC, 3.600%, due 01/14/13 | 1,387,905 | ||||||||||||
1,020,000 | JP Morgan Chase & Co., 6.300%, due 04/23/19 | 1,154,065 | |||||||||||||
620,000 | JP Morgan Chase Bank NA, 7.000%, due 11/01/39 | 632,479 | |||||||||||||
64,000 | Kimco Realty Corp., 6.000%, due 11/30/12 | 69,136 | |||||||||||||
1,400,000 | Kreditanstalt fuer Wiederaufbau, 4.875%, due 06/17/19 | 1,561,790 | |||||||||||||
990,000 | Merrill Lynch & Co., Inc., 6.150%, due 04/25/13 | 1,059,132 | |||||||||||||
480,000 | # | Metropolitan Life Global Funding I, 5.125%, due 04/10/13 | 519,491 | ||||||||||||
470,000 | # | Metropolitan Life Global Funding I, 5.125%, due 06/10/14 | 511,028 | ||||||||||||
927,000 | Morgan Stanley, 5.750%, due 10/18/16 | 935,098 | |||||||||||||
1,320,000 | Morgan Stanley, 6.625%, due 04/01/18 | 1,385,629 | |||||||||||||
497,000 | #, L | Nordea Bank AB, 5.424%, due 12/29/49 | 444,917 | ||||||||||||
932,000 | PNC Funding Corp., 5.625%, due 02/01/17 | 992,893 | |||||||||||||
220,000 | Prudential Financial, Inc., 5.375%, due 06/21/20 | 223,238 | |||||||||||||
370,000 | Prudential Financial, Inc., 6.625%, due 06/21/40 | 377,781 | |||||||||||||
1,960,000 | # | Royal Bank of Scotland PLC, 2.625%, due 05/11/12 | 2,010,921 | ||||||||||||
1,228,000 | Simon Property Group LP, 5.875%, due 03/01/17 | 1,329,508 | |||||||||||||
1,500,000 | # | Svenska Handelsbanken AB, 4.875%, due 06/10/14 | 1,585,196 | ||||||||||||
540,000 | Toyota Motor Credit Corp., 3.200%, due 06/17/15 | 551,786 | |||||||||||||
1,782,000 | UBS Preferred Funding Trust V, 6.243%, due 05/29/49 | 1,545,885 | |||||||||||||
1,280,000 | # | Unicredit Luxembourg Finance S.A., 6.000%, due 10/31/17 | 1,279,343 | ||||||||||||
1,619,000 | #, L | Unicredito Italiano Capital Trust II, 9.200%, due 10/29/49 | 1,546,145 | ||||||||||||
432,000 | Vornado Realty LP, 4.750%, due 12/01/10 | 436,206 | |||||||||||||
687,000 | Wachovia Corp., 5.250%, due 08/01/14 | 728,190 | |||||||||||||
314,000 | # | WEA Finance, LLC / WT Finance Aust Pty Ltd., 6.750%, due 09/02/19 | 349,602 | ||||||||||||
2,157,000 | # | Woori Bank, 6.125%, due 05/03/16 | 2,174,262 | ||||||||||||
150,000 | # | ZFS Finance USA Trust IV, 5.875%, due 05/09/32 | 133,128 | ||||||||||||
430,000 | # | ZFS Finance USA Trust V, 6.500%, due 05/09/37 | 389,150 | ||||||||||||
43,293,731 | |||||||||||||||
Health Care: | 0.7 | % | |||||||||||||
1,433,000 | Allergan, Inc., 5.750%, due 04/01/16 | 1,678,563 | |||||||||||||
712,000 | Cardinal Health, Inc., 5.800%, due 10/15/16 | 798,388 | |||||||||||||
980,000 | CareFusion Corp., 6.375%, due 08/01/19 | 1,121,451 | |||||||||||||
442,000 | Hospira, Inc., 5.550%, due 03/30/12 | 470,815 | |||||||||||||
832,000 | Hospira, Inc., 6.050%, due 03/30/17 | 938,044 | |||||||||||||
460,000 | Pfizer, Inc., 7.200%, due 03/15/39 | 606,832 | |||||||||||||
1,510,000 | # | Roche Holdings, Inc., 6.000%, due 03/01/19 | 1,762,027 | ||||||||||||
7,376,120 | |||||||||||||||
Industrials: | 0.6 | % | |||||||||||||
873,000 | # | Atlas Copco AB, 5.600%, due 05/22/17 | 946,501 | ||||||||||||
1,754,000 | # | BAE Systems Holdings, Inc., 5.200%, due 08/15/15 | 1,883,177 | ||||||||||||
22,000 | CRH America, Inc., 6.950%, due 03/15/12 | 23,835 | |||||||||||||
99,000 | CSX Corp., 6.750%, due 03/15/11 | 102,568 | |||||||||||||
1,283,000 | I | Kennametal, Inc., 7.200%, due 06/15/12 | 1,364,514 | ||||||||||||
1,182,000 | Tyco Electronics Group S.A., 6.550%, due 10/01/17 | 1,359,415 | |||||||||||||
5,680,010 | |||||||||||||||
Information Technology: | 0.3 | % | |||||||||||||
278,000 | Adobe Systems, Inc., 3.250%, due 02/01/15 | 285,795 | |||||||||||||
659,000 | Adobe Systems, Inc., 4.750%, due 02/01/20 | 680,738 | |||||||||||||
1,504,000 | Western Union Co., 5.400%, due 11/17/11 | 1,585,869 | |||||||||||||
2,552,402 | |||||||||||||||
Materials: | 0.2 | % | |||||||||||||
1,462,000 | ArcelorMittal, 6.125%, due 06/01/18 | 1,531,470 | |||||||||||||
467,000 | Vale Overseas Ltd., 6.875%, due 11/10/39 | 490,209 | |||||||||||||
2,021,679 | |||||||||||||||
Telecommunication Services: | 0.6 | % | |||||||||||||
1,070,000 | AT&T, Inc., 6.550%, due 02/15/39 | 1,202,604 | |||||||||||||
319,000 | # | Qtel International Finance Ltd., 7.875%, due 06/10/19 | 370,081 | ||||||||||||
1,230,000 | Rogers Communications, Inc., 6.800%, due 08/15/18 | 1,456,318 | |||||||||||||
653,000 | Telecom Italia Capital S.A., 5.250%, due 11/15/13 | 674,998 | |||||||||||||
468,000 | Telefonica Europe BV, 7.750%, due 09/15/10 | 473,877 | |||||||||||||
1,854,000 | Verizon New York, Inc., 6.875%, due 04/01/12 | 2,004,204 | |||||||||||||
6,182,082 | |||||||||||||||
Utilities: | 1.0 | % | |||||||||||||
1,933,761 | I | Bruce Mansfield Unit, 6.850%, due 06/01/34 | 2,013,056 | ||||||||||||
902,000 | # | EDP Finance BV, 6.000%, due 02/02/18 | 889,681 | ||||||||||||
940,000 | # | Enel Finance International S.A., 5.125%, due 10/07/19 | 945,914 | ||||||||||||
858,000 | # | Enel Finance International S.A., 6.250%, due 09/15/17 | 931,317 | ||||||||||||
1,200,000 | Exelon Generation Co. LLC, 6.250%, due 10/01/39 | 1,286,282 | |||||||||||||
377,000 | Midamerican Funding, LLC, 6.927%, due 03/01/29 | 445,991 | |||||||||||||
1,319,000 | Oncor Electric Delivery Co., 7.000%, due 09/01/22 | 1,593,516 | |||||||||||||
765,000 | # | PSEG Power, LLC, 5.320%, due 09/15/16 | 825,509 | ||||||||||||
991,000 | PSEG Power, LLC, 6.950%, due 06/01/12 | 1,083,167 | |||||||||||||
10,014,433 | |||||||||||||||
Total Corporate Bonds/Notes (Cost $ 99,074,949) | 104,944,383 | ||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: | 14.9% | ||||||||||||||
Federal Home Loan Mortgage Corporation##: | 5.0 | % | |||||||||||||
9,730,642 | 4.500%, due 08/01/18-06/01/39 | 10,227,399 | |||||||||||||
18,543,351 | 5.000%, due 03/01/18-09/01/39 | 19,685,998 | |||||||||||||
7,602,666 | 5.500%, due 01/01/19-02/01/37 | 8,212,008 | |||||||||||||
7,727,618 | 6.000%, due 04/01/16-05/01/37 | 8,458,890 | |||||||||||||
2,395,759 | 6.500%, due 05/01/34-02/01/38 | 2,644,333 | |||||||||||||
49,228,628 | |||||||||||||||
Federal National Mortgage Association##: | 8.2 | % | |||||||||||||
146,164 | 4.010%, due 08/01/13 | 153,972 | |||||||||||||
443,347 | 4.021%, due 08/01/13 | 467,380 | |||||||||||||
3,731,314 | 4.500%, due 04/01/18-09/01/35 | 3,947,032 | |||||||||||||
701,809 | 4.589%, due 05/01/14 | 753,823 | |||||||||||||
364,510 | 4.630%, due 04/01/14 | 391,777 | |||||||||||||
88,646 | 4.767%, due 04/01/13 | 94,129 | |||||||||||||
720,181 | 4.791%, due 12/01/12 | 761,847 | |||||||||||||
391,887 | 4.841%, due 08/01/14 | 423,370 | |||||||||||||
29,256 | 4.845%, due 06/01/13 | 31,346 | |||||||||||||
19,025 | 4.872%, due 02/01/14 | 20,380 | |||||||||||||
385,404 | 4.880%, due 03/01/20 | 421,804 | |||||||||||||
663,142 | 4.922%, due 04/01/15 | 724,570 | |||||||||||||
248,000 | 4.940%, due 08/01/15 | 263,975 | |||||||||||||
17,030,811 | 5.000%, due 11/01/17-11/01/39 | 18,114,871 | |||||||||||||
8,382 | 5.190%, due 11/01/15 | 9,260 | |||||||||||||
330,000 | 5.370%, due 05/01/18 | 367,463 | |||||||||||||
16,030 | 5.371%, due 02/01/13 | 17,253 | |||||||||||||
16,319 | 5.450%, due 04/01/17 | 18,170 | |||||||||||||
286,855 | 5.466%, due 11/01/15 | 317,265 | |||||||||||||
26,944,658 | 5.500%, due 11/01/17-08/01/38 | 29,064,027 | |||||||||||||
317,077 | 5.660%, due 02/01/16 | 352,805 | |||||||||||||
196,853 | 5.725%, due 07/01/16 | 218,132 | |||||||||||||
15,003,998 | 6.000%, due 02/01/17-07/01/37 | 16,423,291 | |||||||||||||
6,925 | 6.253%, due 09/01/11 | 7,167 | |||||||||||||
212,038 | 6.330%, due 03/01/11 | 216,641 | |||||||||||||
4,863,459 | 6.500%, due 06/01/31-07/01/37 | 5,396,069 | |||||||||||||
1,046,000 | 6.625%, due 11/15/10 | 1,071,372 | |||||||||||||
254,250 | 7.500%, due 02/01/30-02/01/32 | 290,070 | |||||||||||||
80,339,261 | |||||||||||||||
Government National Mortgage Association: | 1.6 | % | |||||||||||||
1,481,238 | 4.500%, due 07/20/33-03/15/40 | 1,553,635 | |||||||||||||
6,860,579 | 5.000%, due 07/20/33-09/15/39 | 7,333,056 | |||||||||||||
3,398,681 | 5.500%, due 11/15/32-12/15/33 | 3,700,260 | |||||||||||||
2,727,563 | 6.000%, due 09/15/32-04/20/35 | 3,006,141 | |||||||||||||
15,593,092 | |||||||||||||||
Other U.S. Agency Obligations: | 0.1 | % | |||||||||||||
425,000 | Financing Corp., 9.650%, due 11/02/18 | 622,194 | |||||||||||||
622,194 | |||||||||||||||
Total U.S. Government Agency Obligations (Cost $ 136,534,709) | 145,783,175 | ||||||||||||||
U.S. TREASURY OBLIGATIONS: | 13.4% | ||||||||||||||
U.S. Treasury Notes: | 13.4 | % | |||||||||||||
6,848,000 | 1.375%, due 01/15/13 | 6,941,092 | |||||||||||||
4,247,000 | 1.500%, due 12/31/13 | 4,283,499 | |||||||||||||
19,882,000 | 1.875%, due 04/30/14 | 20,243,912 | |||||||||||||
1,682,000 | 2.000%, due 11/30/13 | 1,726,941 | |||||||||||||
1,665,000 | 2.375%, due 08/31/10 | 1,671,309 | |||||||||||||
663,000 | 2.625%, due 02/29/16 | 682,217 | |||||||||||||
13,666,000 | 2.750%, due 10/31/13 | 14,384,531 | |||||||||||||
4,105,000 | 3.125%, due 09/30/13 | 4,371,185 | |||||||||||||
3,800,000 | L | 3.500%, due 05/31/13 | 4,084,111 | ||||||||||||
14,194,000 | 3.750%, due 11/15/18 | 15,296,249 | |||||||||||||
4,501,000 | 3.875%, due 02/15/13 | 4,862,840 | |||||||||||||
1,164,000 | 4.500%, due 02/15/36 | 1,286,038 | |||||||||||||
485,000 | L | 4.750%, due 08/15/17 | 560,819 | ||||||||||||
5,949,000 | 5.000%, due 05/15/37 | 7,091,392 | |||||||||||||
23,103,000 | 5.125%, due 06/30/11-05/15/16 | 24,311,331 | |||||||||||||
6,312,000 | 5.250%, due 02/15/29 | 7,597,085 | |||||||||||||
2,154,000 | 5.375%, due 02/15/31 | 2,650,430 | |||||||||||||
1,500,000 | 6.000%, due 02/15/26 | 1,933,125 | |||||||||||||
390,000 | 6.750%, due 08/15/26 | 541,491 | |||||||||||||
390,000 | 8.000%, due 11/15/21 | 567,267 | |||||||||||||
4,440,000 | 8.500%, due 02/15/20 | 6,513,618 | |||||||||||||
57,000 | 9.875%, due 11/15/15 | 80,138 | |||||||||||||
Total U.S. Treasury Obligations (Cost $ 126,902,878) | 131,680,620 | ||||||||||||||
ASSET-BACKED SECURITIES: | 1.1% | ||||||||||||||
Credit Card Asset-Backed Securities: | 0.2 | % | |||||||||||||
1,874,000 | Household Credit Card Master Note Trust I, 0.900%, due 07/15/13 | 1,873,459 | |||||||||||||
1,873,459 | |||||||||||||||
Home Equity Asset-Backed Securities: | 0.1 | % | |||||||||||||
1,144,987 | # | Bayview Financial Revolving Mortgage Loan Trust, 1.947%, due 12/28/40 | 471,506 | ||||||||||||
910,030 | GMAC Mortgage Corp. Loan Trust, 5.805%, due 10/25/36 | 476,070 | |||||||||||||
1,204,000 | Residential Funding Mortgage Securities II, Inc., 5.320%, due 12/25/35 | 439,695 | |||||||||||||
1,387,271 | |||||||||||||||
Other Asset-Backed Securities: | 0.8 | % | |||||||||||||
1,134,757 | # | Anthracite CDO I Ltd., 0.797%, due 05/24/17 | 1,062,473 | ||||||||||||
20,206 | Countrywide Asset-Backed Certificates, 4.823%, due 08/25/35 | 20,025 | |||||||||||||
919,000 | Countrywide Asset-Backed Certificates, 5.689%, due 10/25/46 | 597,543 | |||||||||||||
519,322 | Small Business Administration, 4.770%, due 04/01/24 | 552,752 | |||||||||||||
766,663 | Small Business Administration, 4.990%, due 09/01/24 | 818,543 | |||||||||||||
2,738,580 | Small Business Administration, 5.110%, due 08/01/25 | 2,955,608 | |||||||||||||
834,271 | Small Business Administration, 5.180%, due 05/01/24 | 894,023 | |||||||||||||
492,567 | Structured Asset Securities Corp., 4.670%, due 03/25/35 | 481,352 | |||||||||||||
7,382,319 | |||||||||||||||
Total Asset-Backed Securities (Cost $ 12,470,092) | 10,643,049 | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: | 2.5% | ||||||||||||||
2,000,000 | Banc of America Commercial Mortgage, Inc., 5.935%, due 02/10/51 | 2,091,728 | |||||||||||||
30,362 | # | BlackRock Capital Finance LP, 7.750%, due 09/25/26 | 20,942 | ||||||||||||
3,050,000 | Citigroup Commercial Mortgage Trust, 5.888%, due 12/10/49 | 3,114,637 | |||||||||||||
990,000 | Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, due 12/11/49 | 963,628 | |||||||||||||
1,442,297 | Credit Suisse Mortgage Capital Certificates, 5.695%, due 09/15/40 | 1,372,891 | |||||||||||||
1,468,856 | Crest G-Star, 1.008%, due 11/28/16 | 1,366,954 | |||||||||||||
1,064,000 | FHLMC Multifamily Structured Pass-Through Certificates, 5.085%, due 03/25/19 | 1,166,724 | |||||||||||||
122,000 | Greenwich Capital Commercial Funding Corp., 5.475%, due 03/10/39 | 97,228 | |||||||||||||
1,180,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 4.780%, due 07/15/42 | 1,103,641 | |||||||||||||
1,452,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 4.948%, due 09/12/37 | 1,323,337 | |||||||||||||
1,660,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.407%, due 05/15/41 | 1,763,316 | |||||||||||||
1,020,933 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.475%, due 04/15/43 | 1,085,567 | |||||||||||||
1,000,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.983%, due 06/15/49 | 980,655 | |||||||||||||
1,037,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 6.064%, due 04/15/45 | 1,106,828 | |||||||||||||
789,000 | Merrill Lynch Mortgage Trust, 6.020%, due 06/12/50 | 213,898 | |||||||||||||
1,442,297 | Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.810%, due 06/12/50 | 1,413,718 | |||||||||||||
5,713,051 | #, ^ | Morgan Stanley Capital I, 1.134%, due 11/15/30 | 231,000 | ||||||||||||
772,000 | RAAC Series, 4.971%, due 09/25/34 | 772,262 | |||||||||||||
1,185,451 | # | Spirit Master Funding, LLC, 5.050%, due 07/20/23 | 1,031,627 | ||||||||||||
359,641 | # | System Energy Resources, Inc., 5.129%, due 01/15/14 | 367,429 | ||||||||||||
588,728 | W3A Funding Corp., 8.090%, due 01/02/17 | 613,388 | |||||||||||||
2,400,000 | Wachovia Bank Commercial Mortgage Trust, 6.099%, due 02/15/51 | 2,362,993 | |||||||||||||
Total Collateralized Mortgage Obligations (Cost $ 25,093,321) | 24,564,391 | ||||||||||||||
MUNICIPAL BONDS: | �� | 0.5% | |||||||||||||
Massachusetts: | 0.3 | % | |||||||||||||
1,900,000 | Massachusetts Health & Educational Facilities Authority, 5.500%, due 07/01/32 |
| 2,330,046 | ||||||||||||
2,330,046 | |||||||||||||||
New Jersey: | 0.1 | % | |||||||||||||
900,000 | New Jersey State Turnpike Authority, 7.414%, due 01/01/40 | 1,134,378 | |||||||||||||
1,134,378 | |||||||||||||||
New York: | 0.1 | % | |||||||||||||
920,000 | Metropolitan Transportation Authority, 7.336%, due 11/15/39 | 1,137,957 | |||||||||||||
1,137,957 | |||||||||||||||
Total Municipal Bonds (Cost $ 4,182,667) | 4,602,381 | ||||||||||||||
OTHER BONDS: | 0.3% | ||||||||||||||
Foreign Government Bonds: | 0.3 | % | |||||||||||||
102,000 | Peru Government International Bond, 7.350%, due 07/21/25 | 122,655 | |||||||||||||
1,800,000 | # | Russian Foreign Bond - Eurobond, 3.625%, due 04/29/15 | 1,750,500 | ||||||||||||
611,000 | # | Societe Financement de l’Economie Francaise, 3.375%, due 05/05/14 | 638,843 | ||||||||||||
Total Other Bonds (Cost $ 2,504,953) | 2,511,998 | ||||||||||||||
Total Long-Term Investments (Cost $ 943,966,277) | 972,794,760 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 1.2% | ||||||||||||||
Commercial Paper: | 0.8 | % | |||||||||||||
7,668,000 | BNP Paribas, 0.040%, due 07/01/10 | 7,667,991 | |||||||||||||
Total Commercial Paper (Cost $ 7,667,991) | 7,667,991 | ||||||||||||||
Securities Lending Collateralcc: | 0.4 | % | |||||||||||||
2,719,464 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | $ | 2,719,464 | ||||||||||||
2,385,323 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 1,908,260 | ||||||||||||
Total Securities Lending Collateral (Cost $ 5,104,788) |
| 4,627,724 | |||||||||||||
Total Short-Term Investments (Cost $ 12,772,779) |
| 12,295,715 | |||||||||||||
Total Investments in Securities (Cost $ 956,739,056) * | 100.4 | % | $ | 985,090,475 | |||||||||||
Other Assets and Liabilities - Net | (0.4 | ) | (4,175,903 | ) | |||||||||||
Net Assets | 100.0 | % | $ | 980,914,572 | |||||||||||
@ | Non-income producing security | ||||||||||||||
ADR | American Depositary Receipt | ||||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
## | 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. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | ||||||||||||||
^ | 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. |
See Accompanying Notes to Financial Statements
Table of Contents
ING MFS Utilities Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited) |
Shares | Value | |||||||||||||
COMMON STOCK: |
| 93.0% | ||||||||||||
Consumer Discretionary: | 8.7 | % | ||||||||||||
68,100 | Cablevision Systems Corp. | $ | 1,635,081 | |||||||||||
650,000 | Comcast Corp. – Special Class A | 10,679,500 | ||||||||||||
175,626 | Time Warner Cable, Inc. | 9,146,602 | ||||||||||||
1,004,000 | Virgin Media, Inc. | 16,756,760 | ||||||||||||
38,217,943 | ||||||||||||||
Energy: | 8.9 | % | ||||||||||||
20,800 | Apache Corp. | 1,751,152 | ||||||||||||
111,840 | Consol Energy, Inc. | 3,775,718 | ||||||||||||
1,103,310 | El Paso Corp. | 12,257,774 | ||||||||||||
9,400 | Halliburton Co. | 230,770 | ||||||||||||
53,600 | @ | Niska Gas Storage Partners LLC | 994,816 | |||||||||||
75,100 | Southern Union Co. | 1,641,686 | ||||||||||||
25,900 | @ | Southwestern Energy Co. | 1,000,776 | |||||||||||
128,630 | Spectra Energy Corp. | 2,581,604 | ||||||||||||
819,541 | Williams Cos., Inc. | 14,981,209 | ||||||||||||
39,215,505 | ||||||||||||||
Telecommunication Services: | 19.3 | % | ||||||||||||
47,020 | America Movil SA de CV - Series L ADR | 2,233,450 | ||||||||||||
129,700 | @ | American Tower Corp. | 5,771,650 | |||||||||||
438,660 | Cellcom Israel Ltd. | 10,966,500 | ||||||||||||
222,500 | CenturyTel, Inc. | 7,411,475 | ||||||||||||
65,700 | @ | Crown Castle International Corp. | 2,447,982 | |||||||||||
74,400 | France Telecom S.A. | 1,290,465 | ||||||||||||
151,625 | Mobile Telesystems Finance SA ADR | 2,905,135 | ||||||||||||
202,440 | MTN Group Ltd. | 2,653,007 | ||||||||||||
140,900 | @ | NII Holdings, Inc. | 4,582,068 | |||||||||||
323,200 | Partner Communications ADR | 4,932,032 | ||||||||||||
464,800 | Portugal Telecom SGPS S.A. | 4,645,662 | ||||||||||||
926,000 | Qwest Communications International, Inc. | 4,861,500 | ||||||||||||
222,480 | Telefonica S.A. | 4,121,382 | ||||||||||||
125,138 | @ | Telenet Group Holding NV | 3,283,118 | |||||||||||
89,300 | Tim Participacoes SA ADR | 2,423,602 | ||||||||||||
280,000 | Vivo Participacoes S.A. ADR | 7,257,600 | ||||||||||||
3,414,810 | Vodafone Group PLC | 7,036,182 | ||||||||||||
415,714 | Windstream Corp. | 4,389,940 | ||||||||||||
4,563,500 | @ | XL Axiata Tbk PT | 2,040,790 | |||||||||||
85,253,540 | ||||||||||||||
Utilities: | 56.1 | % | ||||||||||||
979,380 | @ | AES Corp. | 9,049,471 | |||||||||||
43,200 | Allegheny Energy, Inc. | 893,376 | ||||||||||||
95,600 | Alliant Energy Corp. | 3,034,344 | ||||||||||||
393,510 | American Electric Power Co., Inc. | 12,710,373 | ||||||||||||
143,250 | American Water Works Co., Inc. | 2,950,950 | ||||||||||||
387,090 | @ | Calpine Corp. | 4,923,785 | |||||||||||
350,000 | CenterPoint Energy, Inc. | 4,606,000 | ||||||||||||
140,740 | CEZ A/S | 5,728,406 | ||||||||||||
136,780 | @ | China Hydroelectric Corp. ADR | 1,027,218 | |||||||||||
1,395,000 | @ | China Longyuan Power Group Corp. | 1,280,708 | |||||||||||
185,500 | Cia de Saneamento de Minas Gerais-COPASA | 2,569,252 | ||||||||||||
84,900 | Cia Paranaense de Energia ADR | 1,753,185 | ||||||||||||
1,086,370 | CMS Energy Corp. | 15,915,319 | ||||||||||||
178,090 | Constellation Energy Group, Inc. | 5,743,403 | ||||||||||||
111,900 | CPFL Energia S.A. | 2,454,981 | ||||||||||||
11,000 | CPFL Energia S.A. ADR | 736,450 | ||||||||||||
282,300 | DPL, Inc. | 6,746,970 | ||||||||||||
209,845 | E.ON AG | 5,642,369 | ||||||||||||
93,350 | EDP - Energias do Brasil S.A. | 1,833,384 | ||||||||||||
74,561 | @ | EDP Renovaveis S.A. | 439,120 | |||||||||||
179,350 | Enagas | 2,701,598 | ||||||||||||
2,538,400 | Energias de Portugal S.A. | 7,554,400 | ||||||||||||
160,700 | Entergy Corp. | 11,509,334 | ||||||||||||
383,630 | EQT Corp. | 13,864,388 | ||||||||||||
123,100 | FirstEnergy Corp. | 4,336,813 | ||||||||||||
218,400 | Fortum OYJ | 4,794,043 | ||||||||||||
1,064,680 | National Grid PLC | 7,773,185 | ||||||||||||
76,400 | NextEra Energy, Inc. | 3,725,264 | ||||||||||||
240,800 | NiSource, Inc. | 3,491,600 | ||||||||||||
233,000 | Northeast Utilities | 5,936,840 | ||||||||||||
366,614 | @ | NRG Energy, Inc. | 7,775,883 | |||||||||||
95,800 | NV Energy, Inc. | 1,131,398 | ||||||||||||
2,800 | Oesterreichische Elektrizitaetswirtschafts AG | 85,675 | ||||||||||||
165,900 | OGE Energy Corp. | 6,065,304 | ||||||||||||
247,600 | Pacific Gas & Electric Co. | 10,176,360 | ||||||||||||
349,400 | PPL Corp. | 8,717,530 | ||||||||||||
375,920 | Public Service Enterprise Group, Inc. | 11,777,574 | ||||||||||||
354,590 | Questar Corp. | 16,130,299 | ||||||||||||
192,239 | Red Electrica de Espana | 6,883,124 | ||||||||||||
26,900 | RWE AG | 1,760,230 | ||||||||||||
28,800 | Scottish & Southern Energy PLC | 479,634 | ||||||||||||
155,720 | Sempra Energy | 7,286,139 | ||||||||||||
576,700 | Tractebel Energia S.A. | 6,741,479 | ||||||||||||
134,200 | Wisconsin Energy Corp. | 6,809,308 | ||||||||||||
247,546,466 | ||||||||||||||
Total Common Stock (Cost $ 411,292,591) | 410,233,454 | |||||||||||||
PREFERRED STOCK: |
| 5.0% | ||||||||||||
Energy: | 0.9 | % | ||||||||||||
4,430 | El Paso Corp. | 4,264,983 | ||||||||||||
4,264,983 | ||||||||||||||
Utilities: | 4.1 | % | ||||||||||||
273,387 | AES Tiete S.A. | 3,126,154 | ||||||||||||
51,300 | Cia Paranaense de Energia | 1,052,432 | ||||||||||||
242,120 | Eletropaulo Metropolitana de Sao Paulo S.A. | 4,863,862 | ||||||||||||
37,810 | Great Plains Energy, Inc. | 2,259,148 | ||||||||||||
96,000 | NextEra Energy, Inc. | 4,737,600 | ||||||||||||
36,530 | @ | PPL Corp. | 1,904,674 | |||||||||||
17,943,870 | ||||||||||||||
Total Preferred Stock (Cost $ 20,742,023) | 22,208,853 | |||||||||||||
Principal Amount |
| Value | ||||||||||||
CORPORATE BONDS/NOTES | 0.9% | |||||||||||||
Telecommunication Services: | 0.9 | % | ||||||||||||
$ | 3,184,000 | Virgin Media, Inc., 6.500%, due 11/15/16 | $ | 3,745,180 | ||||||||||
Total Corporate Bonds/Notes (Cost $ 2,847,403) | 3,745,180 | |||||||||||||
Total Long-Term Investments (Cost $ 434,882,017) | 436,187,487 | |||||||||||||
SHORT-TERM INVESTMENTS: | 0.9% | |||||||||||||
Commercial Paper: | 0.9 | % | ||||||||||||
4,198,000 | AT&T, Inc., 0.050%, due 07/01/10 | 4,197,994 | ||||||||||||
Total Short-Term Investments (Cost $ 4,197,994) | 4,197,994 | |||||||||||||
Total Investments in Securities (Cost $ 439,080,011) * | 99.8 | % | $ | 440,385,481 | ||||||||||
Other Assets and Liabilities - Net | 0.2 | 706,380 | ||||||||||||
Net Assets | 100.0 | % | $ | 441,091,861 | ||||||||||
@ | Non-income producing security | |||||||||||||
ADR | American Depositary Receipt |
See Accompanying Notes to Financial Statements
Table of Contents
ING Morgan Stanley Global Franchise Portfolio
| PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited)
| |||||||||||||
Shares | Value | |||||||||||||
COMMON STOCK: | 97.7% | |||||||||||||
Finland: | 2.9 | % | ||||||||||||
230,912 | Kone OYJ | $ | 9,193,855 | |||||||||||
9,193,855 | ||||||||||||||
France: | 3.0 | % | ||||||||||||
181,955 | Groupe Danone | 9,754,665 | ||||||||||||
9,754,665 | ||||||||||||||
Ireland: | 2.5 | % | ||||||||||||
208,198 | Accenture PLC | 8,046,853 | ||||||||||||
8,046,853 | ||||||||||||||
Japan: | 2.8 | % | ||||||||||||
388,200 | Kao Corp. | 9,133,900 | ||||||||||||
9,133,900 | ||||||||||||||
Netherlands: | 4.4 | % | ||||||||||||
959,840 | Reed Elsevier NV | 10,625,675 | ||||||||||||
174,189 | L | Wolters Kluwer NV | 3,340,428 | |||||||||||
13,966,103 | ||||||||||||||
Sweden: | 4.8 | % | ||||||||||||
708,329 | Swedish Match AB | 15,478,634 | ||||||||||||
15,478,634 | ||||||||||||||
Switzerland: | 8.7 | % | ||||||||||||
437,784 | Nestle S.A. | 21,109,434 | ||||||||||||
141,511 | Novartis AG | 6,858,066 | ||||||||||||
27,967,500 | ||||||||||||||
United Kingdom: | 31.0 | % | ||||||||||||
233,238 | Admiral Group PLC | 4,884,536 | ||||||||||||
910,065 | British American Tobacco PLC | 28,881,618 | ||||||||||||
445,540 | Diageo PLC | 6,998,495 | ||||||||||||
352,655 | Experian Group Ltd. | 3,066,794 | ||||||||||||
746,939 | Imperial Tobacco Group PLC | 20,869,966 | ||||||||||||
421,215 | Reckitt Benckiser PLC | 19,592,520 | ||||||||||||
562,237 | Unilever PLC | 15,029,716 | ||||||||||||
99,323,645 | ||||||||||||||
United States: | 37.6 | % | ||||||||||||
156,760 | Brown-Forman Corp. | 8,971,375 | ||||||||||||
513,902 | Dr Pepper Snapple Group, Inc. | 19,214,796 | ||||||||||||
319,867 | Kellogg Co. | 16,089,310 | ||||||||||||
115,552 | Mead Johnson Nutrition Co. | 5,791,466 | ||||||||||||
367,417 | Microsoft Corp. | 8,454,265 | ||||||||||||
606,361 | L | Moody’s Corp. | 12,078,711 | |||||||||||
312,556 | Philip Morris International, Inc. | 14,327,567 | ||||||||||||
246,277 | Procter & Gamble Co. | 14,771,694 | ||||||||||||
179,162 | Scotts Miracle-Gro Co. | 7,956,584 | ||||||||||||
136,292 | Visa, Inc. | 9,642,659 | ||||||||||||
121,048 | Weight Watchers International, Inc. | 3,109,723 | ||||||||||||
120,408,150 | ||||||||||||||
Total Common Stock (Cost $ 308,875,264) | 313,273,305 | |||||||||||||
SHORT-TERM INVESTMENTS: | 0.7% | |||||||||||||
Securities Lending Collateralcc: | 0.7 | % | ||||||||||||
1,743,143 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 1,743,143 | ||||||||||||
727,587 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 582,069 | |||||||||||
Total Short-Term Investments (Cost $ 2,470,730) | 2,325,212 | |||||||||||||
Total Investments in Securities (Cost $ 311,345,994) * | 98.4 | % | $ | 315,598,517 | ||||||||||
Other Assets and Liabilities - Net | 1.6 | 5,037,916 | ||||||||||||
Net Assets | 100.0 | % | $ | 320,636,433 | ||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||
Industry | Percentage of Net Assets | | ||||||||||||
Consumer Discretionary | 5.3% | |||||||||||||
Consumer Staples | 70.5 | |||||||||||||
Financials | 5.3 | |||||||||||||
Health Care | 2.1 | |||||||||||||
Industrials | 3.8 | |||||||||||||
Information Technology | 8.2 | |||||||||||||
Materials | 2.5 | |||||||||||||
Short-Term Investments | 0.7 | |||||||||||||
Other Assets and Liabilities - Net | 1.6 | |||||||||||||
Net Assets | 100.0% | |||||||||||||
See Accompanying Notes to Financial Statements
Table of Contents
ING Morgan Stanley Global Tactical Asset Allocation Portfolio
| PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited)
| ||||||||||||||
Shares | Value | ||||||||||||||
COMMON STOCK: | 46.6% | ||||||||||||||
Austria: | 0.0 | % | |||||||||||||
225 | Erste Bank der Oesterreichischen Sparkassen AG | $ | 7,139 | ||||||||||||
114 | OMV AG | 3,423 | |||||||||||||
10,562 | |||||||||||||||
Belgium: | 0.2 | % | |||||||||||||
1,209 | Anheuser-Busch InBev NV | 58,130 | |||||||||||||
540 | Delhaize Group | 39,185 | |||||||||||||
4,210 | Fortis | 9,369 | |||||||||||||
336 | Groupe Bruxelles Lambert S.A. | 23,299 | |||||||||||||
205 | @ | KBC Groep NV | 7,858 | ||||||||||||
194 | Umicore | 5,597 | |||||||||||||
143,438 | |||||||||||||||
Bermuda: | 0.1 | % | |||||||||||||
1,000 | @, S | Marvell Technology Group Ltd. | 15,760 | ||||||||||||
100 | PartnerRe Ltd. | 7,014 | |||||||||||||
472 | SeaDrill Ltd. ADR | 8,514 | |||||||||||||
1,500 | S | Tyco Electronics Ltd. | 38,070 | ||||||||||||
200 | Tyco International Ltd. | 7,046 | |||||||||||||
76,404 | |||||||||||||||
Denmark: | 0.3 | % | |||||||||||||
1 | AP Moller - Maersk A/S - Class A | 7,605 | |||||||||||||
6 | AP Moller - Maersk A/S - Class B | 47,255 | |||||||||||||
392 | Carlsberg A/S | 29,874 | |||||||||||||
27 | Coloplast A/S | 2,680 | |||||||||||||
1,166 | @ | Danske Bank A/S | 22,437 | ||||||||||||
962 | Novo-Nordisk A/S | 77,723 | |||||||||||||
795 | @ | Vestas Wind Systems A/S | 33,085 | ||||||||||||
220,659 | |||||||||||||||
Finland: | 0.2 | % | |||||||||||||
983 | Fortum OYJ | 21,578 | |||||||||||||
545 | Kone OYJ | 21,699 | |||||||||||||
4,746 | Nokia OYJ | 38,684 | |||||||||||||
575 | Sampo OYJ | 12,123 | |||||||||||||
664 | UPM-Kymmene OYJ | 8,791 | |||||||||||||
102,875 | |||||||||||||||
France: | 2.0 | % | |||||||||||||
107 | @ | Accor S.A. | 4,954 | ||||||||||||
650 | Air Liquide | 65,641 | |||||||||||||
4,685 | @ | Alcatel S.A. | 11,931 | ||||||||||||
1,025 | Alstom | 46,409 | |||||||||||||
115 | @ | Atos Origin | 4,618 | ||||||||||||
2,280 | AXA S.A. | 34,832 | |||||||||||||
979 | BNP Paribas | 52,671 | |||||||||||||
196 | Bouygues S.A. | 7,566 | |||||||||||||
486 | Capgemini S.A. | 21,360 | |||||||||||||
1,006 | Carrefour S.A. | 39,906 | |||||||||||||
182 | Christian Dior S.A. | 17,469 | |||||||||||||
365 | Cie de Saint-Gobain | 13,602 | |||||||||||||
340 | Cie Generale D’Optique Essilor International S.A. | 20,205 | |||||||||||||
234 | Compagnie Generale des Etablissements Michelin | 16,303 | |||||||||||||
681 | Credit Agricole S.A. | 7,066 | |||||||||||||
109 | Dassault Systemes S.A. | 6,603 | |||||||||||||
390 | Electricite de France | 14,838 | |||||||||||||
2,560 | France Telecom S.A. | 44,403 | |||||||||||||
2,073 | Gaz de France | 58,978 | |||||||||||||
1,005 | Groupe Danone | 53,878 | |||||||||||||
109 | Hermes International | 14,450 | |||||||||||||
461 | Lafarge S.A. | 25,137 | |||||||||||||
488 | L’Oreal S.A. | 47,780 | |||||||||||||
706 | LVMH Moet Hennessy Louis Vuitton S.A. | 76,843 | |||||||||||||
419 | Pernod-Ricard S.A. | 32,500 | |||||||||||||
237 | PPR | 29,441 | |||||||||||||
455 | @ | Renault S.A. | 16,866 | ||||||||||||
2,687 | Sanofi-Aventis | 161,831 | |||||||||||||
239 | Schneider Electric S.A. | 24,139 | |||||||||||||
1,020 | Societe Generale | 41,972 | |||||||||||||
194 | Sodexho Alliance S.A. | 10,766 | |||||||||||||
429 | Suez Environnement S.A. | 7,080 | |||||||||||||
266 | Technip S.A. | 15,257 | |||||||||||||
3,370 | Total S.A. | 150,433 | |||||||||||||
82 | Vallourec | 14,138 | |||||||||||||
847 | Veolia Environnement | 19,899 | |||||||||||||
998 | Vinci S.A. | 41,439 | |||||||||||||
2,541 | Vivendi | 51,639 | |||||||||||||
1,324,843 | |||||||||||||||
Germany: | 1.6 | % | |||||||||||||
604 | Adidas AG | 29,243 | |||||||||||||
643 | Allianz AG | 63,640 | |||||||||||||
1,324 | BASF AG | 72,344 | |||||||||||||
1,486 | Bayer AG | 83,040 | |||||||||||||
663 | Bayerische Motoren Werke AG | 32,206 | |||||||||||||
155 | Beiersdorf AG | 8,561 | |||||||||||||
92 | Celesio AG | 2,006 | |||||||||||||
1,919 | @ | Commerzbank AG | 13,396 | ||||||||||||
1,737 | @ | DaimlerChrysler AG | 87,867 | ||||||||||||
1,048 | Deutsche Bank AG | 58,865 | |||||||||||||
466 | Deutsche Boerse AG | 28,311 | |||||||||||||
3,229 | Deutsche Post AG | 47,079 | |||||||||||||
5,010 | Deutsche Telekom AG | 59,146 | |||||||||||||
2,529 | E.ON AG | 68,000 | |||||||||||||
38 | Fresenius AG | 2,519 | |||||||||||||
403 | Fresenius Medical Care AG & Co. KGaA | 21,744 | |||||||||||||
562 | HeidelbergCement AG | 26,561 | |||||||||||||
232 | Henkel KGaA | 9,495 | |||||||||||||
1,979 | @ | Infineon Technologies AG | 11,473 | ||||||||||||
426 | K+S AG | 19,577 | |||||||||||||
511 | Linde AG | 53,732 | |||||||||||||
139 | MAN AG | 11,459 | |||||||||||||
100 | Merck KGaA | 7,336 | |||||||||||||
246 | Muenchener Rueckversicherungs AG | 30,889 | |||||||||||||
533 | RWE AG | 34,877 | |||||||||||||
61 | Salzgitter AG | 3,635 | |||||||||||||
2,202 | SAP AG | 97,917 | |||||||||||||
726 | Siemens AG | 64,933 | |||||||||||||
818 | ThyssenKrupp AG | 20,158 | |||||||||||||
38 | Volkswagen AG | 3,224 | |||||||||||||
1,073,233 | |||||||||||||||
Ireland: | 0.1 | % | |||||||||||||
1,100 | S | Accenture PLC | 42,515 | ||||||||||||
200 | Covidien PLC | 8,036 | |||||||||||||
1,462 | CRH PLC | 30,327 | |||||||||||||
200 | Ingersoll-Rand PLC | 6,898 | |||||||||||||
87,776 | |||||||||||||||
Italy: | 0.5 | % | |||||||||||||
191 | Altantia S.p.A. | 3,385 | |||||||||||||
2,496 | Assicurazioni Generali S.p.A. | 43,523 | |||||||||||||
1,267 | Banche Popolari Unite Scpa | 10,909 | |||||||||||||
1,271 | Banco Popolare Scarl | 6,968 | |||||||||||||
10,782 | Enel S.p.A. | 45,653 | |||||||||||||
3,872 | ENI S.p.A. | 71,075 | |||||||||||||
1,458 | Fiat S.p.A | 14,976 | |||||||||||||
300 | Finmeccanica S.p.A. | 3,110 | |||||||||||||
12,024 | Intesa Sanpaolo S.p.A. | 31,668 | |||||||||||||
595 | Saipem S.p.A. | 18,123 | |||||||||||||
5,641 | Snam Rete Gas S.p.A. | 22,512 | |||||||||||||
20,397 | Telecom Italia S.p.A. | 22,526 | |||||||||||||
24,622 | UniCredito Italiano S.p.A. | 54,465 | |||||||||||||
348,893 | |||||||||||||||
Japan: | 6.9 | % | |||||||||||||
6,000 | Amada Co., Ltd. | 39,440 | |||||||||||||
1,300 | Axell Corp. | 43,237 | |||||||||||||
2,000 | Canon, Inc. | 74,539 | |||||||||||||
7,900 | Casio Computer Co., Ltd. | 47,449 | |||||||||||||
6,500 | Daibiru Corp. | 48,969 | |||||||||||||
23,500 | Daifuku Co., Ltd. | 144,235 | |||||||||||||
31,000 | @ | Dainippon Screen Manufacturing Co., Ltd. | 140,982 | ||||||||||||
33,000 | Daiwa Securities Group, Inc. | 139,324 | |||||||||||||
1,600 | East Japan Railway Co. | 106,537 | |||||||||||||
3,800 | Fuji Machine Manufacturing Co., Ltd. | 68,915 | |||||||||||||
9,000 | Fujitsu Ltd. | 56,257 | |||||||||||||
6,000 | Hitachi Capital Corp. | 79,789 | |||||||||||||
4,500 | Hitachi High-Technologies Corp. | 82,669 | |||||||||||||
14,800 | Japan Securities Finance Co., Ltd. | 83,155 | |||||||||||||
3,100 | JSR Corp. | 52,073 | |||||||||||||
18,000 | Kaneka Corp. | 104,423 | |||||||||||||
6,400 | Matsushita Electric Industrial Co., Ltd. | 79,916 | |||||||||||||
5,000 | Minebea Co., Ltd. | 27,698 | |||||||||||||
31,500 | Mitsubishi Chemical Holdings Corp. | 143,780 | |||||||||||||
2,500 | Mitsubishi Corp. | 51,721 | |||||||||||||
11,000 | Mitsubishi Estate Co., Ltd. | 153,138 | |||||||||||||
7,000 | Mitsui Fudosan Co., Ltd. | 97,429 | |||||||||||||
27,000 | Mitsui Mining & Smelting Co., Ltd. | 71,254 | |||||||||||||
17,000 | Mitsui OSK Lines Ltd. | 112,398 | |||||||||||||
45,000 | Mitsui Trust Holdings, Inc. | 158,691 | |||||||||||||
2,200 | Mitsumi Electric Co., Ltd. | 37,322 | |||||||||||||
29,000 | NEC Corp. | 75,280 | |||||||||||||
40,000 | Nippon Sheet Glass Co., Ltd. | 97,857 | |||||||||||||
23,000 | Nippon Steel Corp. | 76,025 | |||||||||||||
3,800 | Nippon Telegraph & Telephone Corp. | 154,796 | |||||||||||||
16,300 | @ | Nissan Motor Co., Ltd. | 113,586 | ||||||||||||
10,000 | Obayashi Corp. | 39,645 | |||||||||||||
1,000 | Ono Pharmaceutical Co., Ltd. | 40,538 | |||||||||||||
10,000 | Ricoh Co., Ltd. | 127,515 | |||||||||||||
2,500 | Rohm Co., Ltd. | 150,123 | |||||||||||||
22,000 | Sanwa Shutter Corp. | 66,336 | |||||||||||||
17,000 | Sekisui Chemical Co., Ltd. | 106,043 | |||||||||||||
12,000 | Sekisui House Ltd. | 102,630 | |||||||||||||
6,700 | Shin-Etsu Polymer Co., Ltd. | 39,614 | |||||||||||||
4,600 | Sony Corp. | 122,696 | |||||||||||||
5,400 | Sumitomo Mitsui Financial Group, Inc. | 152,833 | |||||||||||||
91,000 | Sumitomo Osaka Cement Co., Ltd. | 172,939 | |||||||||||||
24,000 | Sumitomo Trust & Banking Co., Ltd. | 122,188 | |||||||||||||
3,400 | Suzuki Motor Corp. | 66,726 | |||||||||||||
110,000 | Taiheiyo Cement Corp. | 138,897 | |||||||||||||
19,000 | Teijin Ltd. | 56,410 | |||||||||||||
2,400 | Toyota Motor Corp. | 82,461 | |||||||||||||
17,000 | Tsubakimoto Chain Co. | 68,394 | |||||||||||||
2,700 | Union Tool Co. | 68,443 | |||||||||||||
8,500 | Yamaha Motor Co., Ltd. | 112,372 | |||||||||||||
4,599,687 | |||||||||||||||
Luxembourg: | 0.1 | % | |||||||||||||
1,276 | ArcelorMittal | 34,225 | |||||||||||||
1,079 | SES S.A. | 22,439 | |||||||||||||
1,389 | Tenaris S.A. | 23,957 | |||||||||||||
80,621 | |||||||||||||||
Netherlands: | 1.0 | % | |||||||||||||
1,679 | @ | Aegon NV | 8,919 | ||||||||||||
527 | Akzo Nobel NV | 27,391 | |||||||||||||
717 | ASML Holding NV | 19,732 | |||||||||||||
570 | @ | European Aeronautic Defence and Space Co. NV | 11,632 | ||||||||||||
848 | Heineken NV | 35,944 | |||||||||||||
3,663 | Koninklijke Ahold NV | 45,311 | |||||||||||||
500 | Koninklijke DSM NV | 19,876 | |||||||||||||
1,042 | Koninklijke Philips Electronics NV | 31,116 | |||||||||||||
184 | @ | Randstad Holdings NV | 7,230 | ||||||||||||
474 | Reed Elsevier NV | 5,247 | |||||||||||||
5,208 | Royal Dutch Shell PLC - Class A | 131,429 | |||||||||||||
5,068 | Royal Dutch Shell PLC - Class B | 122,497 | |||||||||||||
1,872 | Royal KPN NV | 23,862 | |||||||||||||
1,275 | TNT NV | 32,114 | |||||||||||||
4,053 | Unilever NV | 110,684 | |||||||||||||
291 | Wolters Kluwer NV | 5,581 | |||||||||||||
638,565 | |||||||||||||||
Norway: | 0.2 | % | |||||||||||||
1,285 | DnB NOR ASA | 12,359 | |||||||||||||
867 | Norsk Hydro ASA | 3,915 | |||||||||||||
1,458 | Orkla ASA | 9,324 | |||||||||||||
1,993 | Statoil ASA | 38,395 | |||||||||||||
2,987 | Telenor ASA | 37,628 | |||||||||||||
185 | Yara International ASA | 5,200 | |||||||||||||
106,821 | |||||||||||||||
Portugal: | 0.0 | % | |||||||||||||
1,794 | Energias de Portugal S.A. | 5,339 | |||||||||||||
2,123 | Portugal Telecom SGPS S.A. | 21,219 | |||||||||||||
26,558 | |||||||||||||||
Spain: | 0.7 | % | |||||||||||||
1,556 | Abertis Infraestructuras S.A. | 22,366 | |||||||||||||
249 | Acerinox S.A. | 3,869 | |||||||||||||
667 | ACS Actividades de Construccion y Servicios S.A. | 24,512 | |||||||||||||
5,243 | Banco Bilbao Vizcaya Argentaria S.A. | 54,018 | |||||||||||||
1,658 | Banco De Sabadell S.A. | 7,508 | |||||||||||||
903 | Banco Popular Espanol S.A. | 4,577 | |||||||||||||
11,672 | Banco Santander Central Hispano S.A. | 122,395 | |||||||||||||
1,080 | Cintra Concesiones DE Infrae | 6,985 | |||||||||||||
5,090 | Iberdrola S.A. | 28,609 | |||||||||||||
440 | Inditex S.A. | 25,089 | |||||||||||||
271 | Indra Sistemas S.A. | 4,333 | |||||||||||||
147 | Red Electrica de Espana | 5,263 | |||||||||||||
1,600 | Repsol YPF S.A. | 32,288 | |||||||||||||
6,042 | Telefonica S.A. | 111,926 | |||||||||||||
453,738 | |||||||||||||||
Sweden: | 0.8 | % | |||||||||||||
3,078 | Atlas Copco AB - Class A | 45,002 | |||||||||||||
1,177 | Atlas Copco AB - Class B | 15,538 | |||||||||||||
500 | Electrolux AB | 11,430 | |||||||||||||
200 | Getinge AB | 3,871 | |||||||||||||
2,136 | Hennes & Mauritz AB | 58,702 | |||||||||||||
2,099 | Investor AB | 33,954 | |||||||||||||
248 | Millicom International Cellular S.A. | 20,123 | |||||||||||||
3,258 | Nordea Bank AB | 26,866 | |||||||||||||
5,130 | Sandvik AB | 62,575 | |||||||||||||
1,825 | Skandinaviska Enskilda Banken AB | 9,670 | |||||||||||||
475 | Skanska AB | 6,872 | |||||||||||||
1,345 | SKF AB - B Shares | 24,139 | |||||||||||||
1,100 | Svenska Cellulosa AB - B Shares | 12,937 | |||||||||||||
883 | Svenska Handelsbanken AB | 21,602 | |||||||||||||
483 | Swedish Match AB | 10,555 | |||||||||||||
9,165 | Telefonaktiebolaget LM Ericsson | 101,660 | |||||||||||||
4,050 | TeliaSonera AB | 26,024 | |||||||||||||
5,376 | @ | Volvo AB - B Shares | 59,452 | ||||||||||||
550,972 | |||||||||||||||
Switzerland: | 2.3 | % | |||||||||||||
6,220 | @ | ABB Ltd. | 108,294 | ||||||||||||
100 | ACE Ltd. | 5,148 | |||||||||||||
137 | @ | Actelion Ltd. - Reg | 5,130 | ||||||||||||
242 | Adecco S.A. | 11,545 | |||||||||||||
1,311 | Compagnie Financiere Richemont S.A. | 45,770 | |||||||||||||
1,984 | Credit Suisse Group | 74,593 | |||||||||||||
20 | Givaudan | 16,987 | |||||||||||||
514 | Holcim Ltd. | 34,408 | |||||||||||||
693 | Julius Baer Group Ltd. | 19,759 | |||||||||||||
273 | Kuehne & Nagel International AG | 28,102 | |||||||||||||
8,137 | Nestle S.A. | 392,357 | |||||||||||||
130 | Nobel Biocare Holding AG | 2,238 | |||||||||||||
3,949 | Novartis AG | 191,381 | |||||||||||||
1,320 | Roche Holding AG - Genusschein | 181,687 | |||||||||||||
17 | SGS S.A. | 22,944 | |||||||||||||
171 | Sonova Holding AG - Reg | 20,985 | |||||||||||||
1,320 | STMicroelectronics NV | 10,484 | |||||||||||||
9 | Straumann Holding AG | 1,946 | |||||||||||||
127 | Swatch Group AG - BR | 35,817 | |||||||||||||
331 | Swiss Reinsurance | 13,600 | |||||||||||||
81 | Swisscom AG | 27,461 | |||||||||||||
223 | Syngenta AG | 51,517 | |||||||||||||
169 | Synthes, Inc. | 19,432 | |||||||||||||
8,720 | @ | UBS AG - Reg | 115,521 | ||||||||||||
5,002 | Xstrata PLC | 65,499 | |||||||||||||
278 | Zurich Financial Services AG | 61,275 | |||||||||||||
1,563,880 | |||||||||||||||
United Kingdom: | 4.7 | % | |||||||||||||
544 | Amec PLC | 6,665 | |||||||||||||
2,850 | @ | Anglo American PLC | 99,309 | ||||||||||||
574 | Antofagasta PLC | 6,678 | |||||||||||||
2,922 | AstraZeneca PLC | 137,760 | |||||||||||||
704 | @ | Autonomy Corp. PLC | 19,190 | ||||||||||||
5,051 | Aviva PLC | 23,473 | |||||||||||||
10,904 | BAE Systems PLC | 50,750 | |||||||||||||
36,799 | Barclays PLC | 146,883 | |||||||||||||
6,956 | BG Group PLC | 103,455 | |||||||||||||
4,843 | BHP Billiton PLC | 125,572 | |||||||||||||
27,541 | BP PLC | 131,843 | |||||||||||||
3,749 | British American Tobacco PLC | 118,977 | |||||||||||||
3,108 | British Sky Broadcasting PLC | 32,453 | |||||||||||||
11,163 | BT Group PLC | 21,548 | |||||||||||||
664 | Burberry Group PLC | 7,499 | |||||||||||||
2,358 | @ | Cairn Energy PLC | 14,486 | ||||||||||||
2,063 | Capita Group PLC | 22,729 | |||||||||||||
856 | Carnival PLC | 27,727 | |||||||||||||
10,090 | Centrica PLC | 44,527 | |||||||||||||
4,770 | Compass Group PLC | 36,288 | |||||||||||||
6,719 | Diageo PLC | 105,541 | |||||||||||||
2,400 | Experian Group Ltd. | 20,871 | |||||||||||||
1,060 | Firstgroup PLC | 5,754 | |||||||||||||
9,025 | GlaxoSmithKline PLC | 153,252 | |||||||||||||
3,872 | Group 4 Securicor PLC | 15,351 | |||||||||||||
25,873 | HSBC Holdings PLC | 236,368 | |||||||||||||
1,902 | Imperial Tobacco Group PLC | 53,143 | |||||||||||||
642 | Inmarsat PLC | 6,807 | |||||||||||||
1,064 | International Power PLC | 4,753 | |||||||||||||
1,965 | J Sainsbury PLC | 9,376 | |||||||||||||
622 | Johnson Matthey PLC | 13,819 | |||||||||||||
5,474 | Kingfisher PLC | 17,148 | |||||||||||||
9,803 | Legal & General Group PLC | 11,426 | |||||||||||||
87,063 | @ | Lloyds TSB Group PLC | 68,733 | ||||||||||||
1,046 | Marks & Spencer Group PLC | 5,153 | |||||||||||||
6,227 | National Grid PLC | 45,463 | |||||||||||||
355 | Next PLC | 10,584 | |||||||||||||
13,948 | Old Mutual PLC | 21,355 | |||||||||||||
2,922 | Pearson PLC | 38,429 | |||||||||||||
3,083 | Prudential PLC | 23,254 | |||||||||||||
120 | Randgold Resources Ltd. | 11,408 | |||||||||||||
1,367 | Reckitt Benckiser PLC | 63,585 | |||||||||||||
3,500 | Reed Elsevier PLC | 25,952 | |||||||||||||
3,108 | Rio Tinto PLC | 136,486 | |||||||||||||
638,910 | @ | Rolls-Royce Group PLC | 955 | ||||||||||||
8,094 | Rolls-Royce Group PLC | 67,559 | |||||||||||||
12,199 | Royal & Sun Alliance Insurance Group | 21,641 | |||||||||||||
15,761 | @ | Royal Bank of Scotland Group PLC | 9,599 | ||||||||||||
1,925 | SABMiller PLC | 53,978 | |||||||||||||
2,054 | Sage Group PLC | 7,067 | |||||||||||||
2,488 | Scottish & Southern Energy PLC | 41,435 | |||||||||||||
900 | Shire PLC | 18,463 | |||||||||||||
1,989 | Smith & Nephew PLC | 18,791 | |||||||||||||
1,575 | Smiths Group PLC | 25,075 | |||||||||||||
3,700 | Standard Chartered PLC | 90,096 | |||||||||||||
4,288 | Standard Life PLC | 11,081 | |||||||||||||
22,295 | Tesco PLC | 125,775 | |||||||||||||
2,047 | Tullow Oil PLC | 30,450 | |||||||||||||
3,525 | Unilever PLC | 94,230 | |||||||||||||
139 | Vedanta Resources PLC | 4,367 | |||||||||||||
79,659 | Vodafone Group PLC | 164,137 | |||||||||||||
5,555 | WM Morrison Supermarkets PLC | 21,951 | |||||||||||||
777 | @ | Wolseley PLC | 15,423 | ||||||||||||
4,475 | WPP PLC | 42,157 | |||||||||||||
3,146,053 | |||||||||||||||
United States: | 24.9 | % | |||||||||||||
200 | 3M Co. | 15,798 | |||||||||||||
8,100 | S | Abbott Laboratories | 378,918 | ||||||||||||
1,100 | @, S | Adobe Systems, Inc. | 29,073 | ||||||||||||
2,500 | @, S | AES Corp. | 23,100 | ||||||||||||
200 | Aetna, Inc. | 5,276 | |||||||||||||
200 | Aflac, Inc. | 8,534 | |||||||||||||
600 | @, S | Agilent Technologies, Inc. | 17,058 | ||||||||||||
30 | Air Products & Chemicals, Inc. | 1,944 | |||||||||||||
1,300 | AK Steel Holding Corp. | 15,496 | |||||||||||||
10,000 | S | Alcoa, Inc. | 100,600 | ||||||||||||
600 | S | Allergan, Inc. | 34,956 | ||||||||||||
100 | @ | Alliant Techsystems, Inc. | 6,206 | ||||||||||||
300 | Allstate Corp. | 8,619 | |||||||||||||
1,200 | S | Altera Corp. | 29,772 | ||||||||||||
600 | Altria Group, Inc. | 12,024 | |||||||||||||
200 | American Electric Power Co., Inc. | 6,460 | |||||||||||||
1,500 | S | American Express Co. | 59,550 | ||||||||||||
1,000 | @, S | American Tower Corp. | 44,500 | ||||||||||||
300 | Ameriprise Financial, Inc. | 10,839 | |||||||||||||
1,400 | S | AmerisourceBergen Corp. | 44,450 | ||||||||||||
1,700 | @, S | Amgen, Inc. | 89,420 | ||||||||||||
600 | S | Amphenol Corp. | 23,568 | ||||||||||||
900 | S | Anadarko Petroleum Corp. | 32,481 | ||||||||||||
105 | Analog Devices, Inc. | 2,925 | |||||||||||||
100 | AON Corp. | 3,712 | |||||||||||||
100 | Apache Corp. | 8,419 | |||||||||||||
200 | @, S | Apollo Group, Inc. - Class A | 8,494 | ||||||||||||
1,500 | @, S | Apple, Inc. | 377,295 | ||||||||||||
3,000 | S | Applied Materials, Inc. | 36,060 | ||||||||||||
8,300 | Archer-Daniels-Midland Co. | 214,306 | |||||||||||||
500 | @ | Arrow Electronics, Inc. | 11,175 | ||||||||||||
200 | Assurant, Inc. | 6,940 | |||||||||||||
2,400 | AT&T, Inc. | 58,056 | |||||||||||||
6,800 | Automatic Data Processing, Inc. | 273,768 | |||||||||||||
1,300 | Avon Products, Inc. | 34,450 | |||||||||||||
700 | S | Baker Hughes, Inc. | 29,099 | ||||||||||||
4,561 | Bank of America Corp. | 65,542 | |||||||||||||
500 | Bank of New York Mellon Corp. | 12,345 | |||||||||||||
1,400 | Baxter International, Inc. | 56,896 | |||||||||||||
500 | BB&T Corp. | 13,155 | |||||||||||||
500 | S | Becton Dickinson & Co. | 33,810 | ||||||||||||
196 | @ | Berkshire Hathaway, Inc. | 15,619 | ||||||||||||
500 | @, S | Biogen Idec, Inc. | 23,725 | ||||||||||||
400 | @ | BJ’s Wholesale Club, Inc. | 14,804 | ||||||||||||
500 | @, S | BMC Software, Inc. | 17,315 | ||||||||||||
200 | Boeing Co. | 12,550 | |||||||||||||
700 | @ | Boston Scientific Corp. | 4,060 | ||||||||||||
12,100 | Bristol-Myers Squibb Co. | 301,774 | |||||||||||||
700 | S | Broadcom Corp. | 23,079 | ||||||||||||
100 | @ | Bunge Ltd. | 4,919 | ||||||||||||
1,100 | S | CA, Inc. | 20,240 | ||||||||||||
500 | @, S | Cameron International Corp. | 16,260 | ||||||||||||
7,800 | Campbell Soup Co. | 279,474 | |||||||||||||
700 | S | Capital One Financial Corp. | 28,210 | ||||||||||||
100 | Cardinal Health, Inc. | 3,361 | |||||||||||||
200 | @, S | CareFusion Corp. | 4,540 | ||||||||||||
4,500 | S | Caterpillar, Inc. | 270,315 | ||||||||||||
500 | CBS Corp. - Class B | 6,465 | |||||||||||||
700 | @, S | Celgene Corp. | 35,574 | ||||||||||||
17,500 | CenterPoint Energy, Inc. | 230,300 | |||||||||||||
100 | CenturyTel, Inc. | 3,331 | |||||||||||||
300 | S | CH Robinson Worldwide, Inc. | 16,698 | ||||||||||||
1,700 | S | Charles Schwab Corp. | 24,106 | ||||||||||||
1,200 | Chesapeake Energy Corp. | 25,140 | |||||||||||||
4,000 | Chevron Corp. | 271,440 | |||||||||||||
5,400 | Chubb Corp. | 270,054 | |||||||||||||
600 | Cigna Corp. | 18,636 | |||||||||||||
10,600 | @, S | Cisco Systems, Inc. | 225,886 | ||||||||||||
17,100 | @, S | Citigroup, Inc. | 64,296 | ||||||||||||
400 | @, S | Citrix Systems, Inc. | 16,892 | ||||||||||||
300 | S | Cliffs Natural Resources, Inc. | 14,148 | ||||||||||||
100 | S | Clorox Co. | 6,216 | ||||||||||||
100 | S | CME Group, Inc. | 28,155 | ||||||||||||
900 | S | Coach, Inc. | 32,895 | ||||||||||||
4,000 | S | Coca-Cola Co. | 200,480 | ||||||||||||
600 | S | Coca-Cola Enterprises, Inc. | 15,516 | ||||||||||||
800 | @, S | Cognizant Technology Solutions Corp. | 40,048 | ||||||||||||
1,000 | Colgate-Palmolive Co. | 78,760 | |||||||||||||
1,000 | Comcast Corp. – Class A | 17,370 | |||||||||||||
500 | Comcast Corp. – Special Class A | 8,215 | |||||||||||||
400 | Commercial Metals Co. | 5,288 | |||||||||||||
400 | Computer Sciences Corp. | 18,100 | |||||||||||||
200 | ConAgra Foods, Inc. | 4,664 | |||||||||||||
5,600 | ConocoPhillips | 274,904 | |||||||||||||
500 | S | Consol Energy, Inc. | 16,880 | ||||||||||||
200 | Consolidated Edison, Inc. | 8,620 | |||||||||||||
200 | Constellation Energy Group, Inc. | 6,450 | |||||||||||||
1,700 | S | Corning, Inc. | 27,455 | ||||||||||||
700 | Costco Wholesale Corp. | 38,381 | |||||||||||||
600 | @ | Coventry Health Care, Inc. | 10,608 | ||||||||||||
100 | S | CR Bard, Inc. | 7,753 | ||||||||||||
200 | @, S | Cree, Inc. | 12,006 | ||||||||||||
800 | @, S | Crown Castle International Corp. | 29,808 | ||||||||||||
1,800 | S | CVS Caremark Corp. | 52,776 | ||||||||||||
500 | D.R. Horton, Inc. | 4,915 | |||||||||||||
3,000 | S | Danaher Corp. | 111,360 | ||||||||||||
700 | S | Deere & Co. | 38,976 | ||||||||||||
3,800 | @, S | Dell, Inc. | 45,828 | ||||||||||||
200 | Devon Energy Corp. | 12,184 | |||||||||||||
1,900 | @, S | DIRECTV | 64,448 | ||||||||||||
1,000 | S | Discover Financial Services | 13,980 | ||||||||||||
200 | Dominion Resources, Inc. | 7,748 | |||||||||||||
255 | S | Dow Chemical Co. | 6,049 | ||||||||||||
400 | S | Dr Pepper Snapple Group, Inc. | 14,956 | ||||||||||||
500 | Duke Energy Corp. | 8,000 | |||||||||||||
100 | Eaton Corp. | 6,544 | |||||||||||||
2,300 | @, S | eBay, Inc. | 45,103 | ||||||||||||
1,000 | S | Ecolab, Inc. | 44,910 | ||||||||||||
200 | Edison International | 6,344 | |||||||||||||
8,100 | EI Du Pont de Nemours & Co. | 280,179 | |||||||||||||
2,600 | El Paso Corp. | 28,886 | |||||||||||||
300 | Eli Lilly & Co. | 10,050 | |||||||||||||
4,400 | @, S | EMC Corp. | 80,520 | ||||||||||||
200 | Emerson Electric Co. | 8,738 | |||||||||||||
300 | @ | Endo Pharmaceuticals Holdings, Inc. | 6,546 | ||||||||||||
400 | S | EOG Resources, Inc. | 39,348 | ||||||||||||
400 | Estee Lauder Cos., Inc. | 22,292 | |||||||||||||
300 | Exelon Corp. | 11,391 | |||||||||||||
700 | S | Expeditors International Washington, Inc. | 24,157 | ||||||||||||
1,000 | @, S | Express Scripts, Inc. | 47,020 | ||||||||||||
4,138 | ExxonMobil Corp. | 236,156 | |||||||||||||
600 | S | FedEx Corp. | 42,066 | ||||||||||||
500 | Fidelity National Title Group, Inc. | 6,495 | |||||||||||||
100 | FirstEnergy Corp. | 3,523 | |||||||||||||
300 | @, S | Fiserv, Inc. | 13,698 | ||||||||||||
800 | S | Fluor Corp. | 34,000 | ||||||||||||
10,000 | @, S | Ford Motor Co. | 100,800 | ||||||||||||
200 | @ | Forest Laboratories, Inc. | 5,486 | ||||||||||||
100 | Fortune Brands, Inc. | 3,918 | |||||||||||||
800 | @ | Foster Wheeler AG | 16,848 | ||||||||||||
300 | S | Franklin Resources, Inc. | 25,857 | ||||||||||||
800 | S | Freeport-McMoRan Copper & Gold, Inc. | 47,304 | ||||||||||||
1,000 | @ | GameStop Corp. | 18,790 | ||||||||||||
100 | General Dynamics Corp. | 5,856 | |||||||||||||
17,600 | General Electric Co. | 253,792 | |||||||||||||
800 | General Mills, Inc. | 28,416 | |||||||||||||
5,100 | Genuine Parts Co. | 201,195 | |||||||||||||
1,100 | @ | Genworth Financial, Inc. | 14,377 | ||||||||||||
500 | @, S | Genzyme Corp. | 25,385 | ||||||||||||
1,800 | @, S | Gilead Sciences, Inc. | 61,704 | ||||||||||||
200 | Goldman Sachs Group, Inc. | 26,254 | |||||||||||||
400 | @, S | Google, Inc. - Class A | 177,980 | ||||||||||||
4,500 | S | Halliburton Co. | 110,475 | ||||||||||||
200 | Hartford Financial Services Group, Inc. | 4,426 | |||||||||||||
500 | S | Hess Corp. | 25,170 | ||||||||||||
4,600 | S | Hewlett-Packard Co. | 199,088 | ||||||||||||
400 | S | HJ Heinz Co. | 17,288 | ||||||||||||
2,700 | S | Honeywell International, Inc. | 105,381 | ||||||||||||
500 | @, S | Hospira, Inc. | 28,725 | ||||||||||||
400 | @ | Humana, Inc. | 18,268 | ||||||||||||
200 | Illinois Tool Works, Inc. | 8,256 | |||||||||||||
5,100 | Integrys Energy Group, Inc. | 223,074 | |||||||||||||
18,400 | S | Intel Corp. | 357,880 | ||||||||||||
100 | @, S | IntercontinentalExchange, Inc. | 11,303 | ||||||||||||
4,300 | S | International Business Machines Corp. | 530,964 | ||||||||||||
100 | S | International Paper Co. | 2,263 | ||||||||||||
700 | @, S | Intuit, Inc. | 24,339 | ||||||||||||
100 | @, S | Intuitive Surgical, Inc. | 31,562 | ||||||||||||
382 | @ | Invesco Ltd. | 6,429 | ||||||||||||
800 | S | ITT Corp. | 35,936 | ||||||||||||
400 | JM Smucker Co. | 24,088 | |||||||||||||
7,700 | S | Johnson & Johnson | 454,762 | ||||||||||||
2,500 | S | Johnson Controls, Inc. | 67,175 | ||||||||||||
8,900 | JP Morgan Chase & Co. | 325,829 | |||||||||||||
1,400 | @, S | Juniper Networks, Inc. | 31,948 | ||||||||||||
500 | @ | Kansas City Southern | 18,175 | ||||||||||||
800 | Kellogg Co. | 40,240 | |||||||||||||
800 | @ | King Pharmaceuticals, Inc. | 6,072 | ||||||||||||
600 | Kraft Foods, Inc. | 16,800 | |||||||||||||
200 | Kroger Co. | 3,938 | |||||||||||||
100 | @, S | Laboratory Corp. of America Holdings | 7,535 | ||||||||||||
800 | @, S | Las Vegas Sands Corp. | 17,712 | ||||||||||||
300 | Leggett & Platt, Inc. | 6,018 | |||||||||||||
160 | @ | Liberty Media Corp. - Starz | 8,294 | ||||||||||||
500 | @, S | Life Technologies Corp. | 23,625 | ||||||||||||
200 | @ | LifePoint Hospitals, Inc. | 6,280 | ||||||||||||
600 | Lincoln National Corp. | 14,574 | |||||||||||||
800 | S | Lockheed Martin Corp. | 59,600 | ||||||||||||
200 | Loews Corp. | 6,662 | |||||||||||||
100 | Lorillard, Inc. | 7,198 | |||||||||||||
8,700 | Marathon Oil Corp. | 270,483 | |||||||||||||
1,100 | S | Marriott International, Inc. | 32,934 | ||||||||||||
200 | Marsh & McLennan Cos., Inc. | 4,510 | |||||||||||||
200 | S | Mastercard, Inc. | 39,906 | ||||||||||||
200 | Mattel, Inc. | 4,232 | |||||||||||||
600 | @ | McAfee, Inc. | 18,432 | ||||||||||||
5,000 | S | McDonald’s Corp. | 329,350 | ||||||||||||
600 | S | McGraw-Hill Cos., Inc. | 16,884 | ||||||||||||
700 | S | McKesson Corp. | 47,012 | ||||||||||||
100 | Mead Johnson Nutrition Co. | 5,012 | |||||||||||||
700 | @, S | Medco Health Solutions, Inc. | 38,556 | ||||||||||||
2,400 | S | Medtronic, Inc. | 87,048 | ||||||||||||
684 | Merck & Co., Inc. | 23,919 | |||||||||||||
300 | Metlife, Inc. | 11,328 | |||||||||||||
2,300 | @, S | Micron Technology, Inc. | 19,527 | ||||||||||||
22,700 | S | Microsoft Corp. | 522,332 | ||||||||||||
100 | @ | Mohawk Industries, Inc. | 4,576 | ||||||||||||
1,000 | S | Monsanto Co. | 46,220 | ||||||||||||
4,900 | @, S | Motorola, Inc. | 31,948 | ||||||||||||
70 | Murphy Oil Corp. | 3,469 | |||||||||||||
1,200 | @, S | Mylan Laboratories | 20,448 | ||||||||||||
300 | Nalco Holding Co. | 6,138 | |||||||||||||
400 | @ | Nasdaq Stock Market, Inc. | 7,112 | ||||||||||||
1,100 | S | National Oilwell Varco, Inc. | 36,377 | ||||||||||||
600 | @, S | NetApp, Inc. | 22,386 | ||||||||||||
500 | Newell Rubbermaid, Inc. | 7,320 | |||||||||||||
700 | News Corp. - Class A | 8,372 | |||||||||||||
200 | NextEra Energy, Inc. | 9,752 | |||||||||||||
1,000 | S | Nike, Inc. | 67,550 | ||||||||||||
500 | NiSource, Inc. | 7,250 | |||||||||||||
400 | Norfolk Southern Corp. | 21,220 | |||||||||||||
400 | S | Northern Trust Corp. | 18,680 | ||||||||||||
3,400 | Northrop Grumman Corp. | 185,096 | |||||||||||||
400 | @ | NRG Energy, Inc. | 8,484 | ||||||||||||
100 | Nucor Corp. | 3,828 | |||||||||||||
1,100 | @, S | Nvidia Corp. | 11,231 | ||||||||||||
215 | S | Occidental Petroleum Corp. | 16,587 | ||||||||||||
500 | Omnicare, Inc. | 11,850 | |||||||||||||
2,000 | S | Omnicom Group | 68,600 | ||||||||||||
6,700 | S | Oracle Corp. | 143,782 | ||||||||||||
1,100 | S | Paccar, Inc. | 43,857 | ||||||||||||
100 | Pacific Gas & Electric Co. | 4,110 | |||||||||||||
500 | S | Paychex, Inc. | 12,985 | ||||||||||||
600 | S | Peabody Energy Corp. | 23,478 | ||||||||||||
2,700 | PepsiCo, Inc. | 164,565 | |||||||||||||
2,182 | Pfizer, Inc. | 31,115 | |||||||||||||
5,100 | Philip Morris International, Inc. | 233,784 | |||||||||||||
200 | Pioneer Natural Resources Co. | 11,890 | |||||||||||||
400 | PNC Financial Services Group, Inc. | 22,600 | |||||||||||||
100 | PPG Industries, Inc. | 6,041 | |||||||||||||
200 | PPL Corp. | 4,990 | |||||||||||||
900 | S | Praxair, Inc. | 68,391 | ||||||||||||
500 | S | Precision Castparts Corp. | 51,460 | ||||||||||||
600 | Principal Financial Group, Inc. | 14,064 | |||||||||||||
1,900 | Procter & Gamble Co. | 113,962 | |||||||||||||
200 | Progress Energy, Inc. | 7,844 | |||||||||||||
600 | Progressive Corp. | 11,232 | |||||||||||||
200 | Prudential Financial, Inc. | 10,732 | |||||||||||||
300 | Public Service Enterprise Group, Inc. | 9,399 | |||||||||||||
400 | @ | Pulte Homes, Inc. | 3,312 | ||||||||||||
3,000 | S | Qualcomm, Inc. | 98,520 | ||||||||||||
300 | S | Quest Diagnostics | 14,931 | ||||||||||||
200 | @ | Ralcorp Holdings, Inc. | 10,960 | ||||||||||||
200 | S | Range Resources Corp. | 8,030 | ||||||||||||
4,000 | Raytheon Co. | 193,560 | |||||||||||||
1,300 | Regions Financial Corp. | 8,554 | |||||||||||||
100 | Reynolds American, Inc. | 5,212 | |||||||||||||
500 | S | Rockwell Collins, Inc. | 26,565 | ||||||||||||
200 | Safeway, Inc. | 3,932 | |||||||||||||
500 | @, S | Salesforce.com, Inc. | 42,910 | ||||||||||||
500 | @, S | Sandisk Corp. | 21,035 | ||||||||||||
200 | Sara Lee Corp. | 2,820 | |||||||||||||
2,200 | S | Schlumberger Ltd. | 121,748 | ||||||||||||
100 | Sempra Energy | 4,679 | |||||||||||||
600 | S | Smith International, Inc. | 22,590 | ||||||||||||
400 | @ | Smithfield Foods, Inc. | 5,960 | ||||||||||||
500 | Southern Co. | 16,640 | |||||||||||||
200 | Southwest Airlines Co. | 2,222 | |||||||||||||
600 | @, S | Southwestern Energy Co. | 23,184 | ||||||||||||
400 | Spectra Energy Corp. | 8,028 | |||||||||||||
5,200 | @ | Sprint Nextel Corp. | 22,048 | ||||||||||||
1,000 | @, S | St. Jude Medical, Inc. | 36,090 | ||||||||||||
100 | Stanley Black & Decker, Inc. | 5,052 | |||||||||||||
1,200 | S | Starbucks Corp. | 29,160 | ||||||||||||
800 | S | State Street Corp. | 27,056 | ||||||||||||
500 | Steel Dynamics, Inc. | 6,595 | |||||||||||||
800 | S | Stryker Corp. | 40,048 | ||||||||||||
800 | SunTrust Bank | 18,640 | |||||||||||||
1,000 | Supervalu, Inc. | 10,840 | |||||||||||||
1,500 | @, S | Symantec Corp. | 20,820 | ||||||||||||
300 | Sysco Corp. | 8,571 | |||||||||||||
600 | S | T. Rowe Price Group, Inc. | 26,634 | ||||||||||||
1,300 | S | Texas Instruments, Inc. | 30,264 | ||||||||||||
800 | @, S | Thermo Fisher Scientific, Inc. | 39,240 | ||||||||||||
900 | @ | TIBCO Software, Inc. | 10,854 | ||||||||||||
168 | Time Warner Cable, Inc. | 8,749 | |||||||||||||
666 | Time Warner, Inc. | 19,254 | |||||||||||||
1,300 | @ | Toll Brothers, Inc. | 21,268 | ||||||||||||
100 | Torchmark Corp. | 4,951 | |||||||||||||
400 | @ | Transocean Ltd. | 18,532 | ||||||||||||
200 | Travelers Cos., Inc. | 9,850 | |||||||||||||
400 | @ | Ultra Petroleum Corp. | 17,700 | ||||||||||||
1,100 | S | Union Pacific Corp. | 76,461 | ||||||||||||
1,450 | S | United Parcel Service, Inc. - Class B | 82,491 | ||||||||||||
200 | United Technologies Corp. | 12,982 | |||||||||||||
400 | UnitedHealth Group, Inc. | 11,360 | |||||||||||||
300 | Universal Health Services, Inc. | 11,445 | |||||||||||||
300 | UnumProvident Corp. | 6,510 | |||||||||||||
400 | @ | URS Corp. | 15,740 | ||||||||||||
3,600 | S | US Bancorp. | 80,460 | ||||||||||||
300 | Valero Energy Corp. | 5,394 | |||||||||||||
9,900 | Verizon Communications, Inc. | 277,398 | |||||||||||||
100 | VF Corp. | 7,118 | |||||||||||||
255 | Viacom - Class B | 7,999 | |||||||||||||
800 | S | Visa, Inc. | 56,600 | ||||||||||||
1,300 | Walgreen Co. | 34,710 | |||||||||||||
5,600 | Wal-Mart Stores, Inc. | 269,192 | |||||||||||||
800 | Walt Disney Co. | 25,200 | |||||||||||||
8,645 | S | Waste Management, Inc. | 270,502 | ||||||||||||
1,900 | @, S | Weatherford International Ltd. | 24,966 | ||||||||||||
200 | @ | WellPoint, Inc. | 9,786 | ||||||||||||
3,500 | Wells Fargo & Co. | 89,600 | |||||||||||||
400 | @, S | Western Digital Corp. | 12,064 | ||||||||||||
2,000 | S | Western Union Co. | 29,820 | ||||||||||||
300 | Williams Cos., Inc. | 5,484 | |||||||||||||
200 | WR Berkley Corp. | 5,292 | |||||||||||||
200 | Xcel Energy, Inc. | 4,122 | |||||||||||||
2,300 | Xerox Corp. | 18,492 | |||||||||||||
1,400 | S | Xilinx, Inc. | 35,364 | ||||||||||||
2,000 | @, S | Yahoo!, Inc. | 27,660 | ||||||||||||
6,800 | S | Yum! Brands, Inc. | 265,472 | ||||||||||||
900 | @, S | Zimmer Holdings, Inc. | 48,645 | ||||||||||||
16,669,549 | |||||||||||||||
Total Common Stock ( Cost $ 34,061,631 ) | 31,225,127 | ||||||||||||||
REAL ESTATE INVESTMENT TRUSTS: | 0.8% | ||||||||||||||
France: | 0.1 | % | |||||||||||||
231 | Unibail | 37,649 | |||||||||||||
37,649 | |||||||||||||||
United Kingdom: | 0.0 | % | |||||||||||||
1,799 | British Land Co. PLC | 11,621 | |||||||||||||
2,358 | Land Securities Group PLC | 19,514 | |||||||||||||
31,135 | |||||||||||||||
United States: | 0.7 | % | |||||||||||||
4,900 | Health Care Real Estate Investment Trust, Inc. | 206,388 | |||||||||||||
5,800 | Plum Creek Timber Co., Inc. | 200,274 | |||||||||||||
300 | Prologis | 3,039 | |||||||||||||
483 | S | Simon Property Group, Inc. | 39,002 | ||||||||||||
448,703 | |||||||||||||||
Total Real Estate Investment Trusts (Cost $ 542,022 ) | 517,487 | ||||||||||||||
EXCHANGE-TRADED FUNDS: | 0.5% | ||||||||||||||
United States: | 0.5 | % | |||||||||||||
8,500 | S | SPDR Barclays Capital High Yield Bond ETF | 321,555 | ||||||||||||
Total Exchange-Traded Funds (Cost $ 317,709 ) | 321,555 | ||||||||||||||
MUTUAL FUNDS: | 8.5% | ||||||||||||||
United States: | 8.5 | % | |||||||||||||
266,290 | Morgan Stanley Institutional Fund Trust - Core Plus Fixed Income Portfolio | 2,593,661 | |||||||||||||
52,657 | Morgan Stanley Institutional Fund, Inc. - Capital Growth Portfolio | 972,043 | |||||||||||||
92,951 | Morgan Stanley Institutional Fund, Inc. - Emerging Markets Debt Portfolio | 1,154,454 | |||||||||||||
73,806 | Morgan Stanley Institutional Fund, Inc. - Global Franchise Portfolio | 987,519 | |||||||||||||
Total Mutual Funds (Cost $ 5,569,849 ) | 5,707,677 | ||||||||||||||
PREFERRED STOCK: | 0.1% | ||||||||||||||
Germany: | 0.1 | % | |||||||||||||
300 | Fresenius AG | 19,816 | |||||||||||||
282 | Henkel KGaA - Vorzug | 13,770 | |||||||||||||
69 | Porsche AG | 2,950 | |||||||||||||
261 | Volkswagen AG | 22,903 | |||||||||||||
Total Preferred Stock (Cost $ 63,125 ) | 59,439 | ||||||||||||||
RIGHTS: | 0.0% | ||||||||||||||
Norway: | 0.0 | % | |||||||||||||
263 | Norsk Hydro ASA | 136 | |||||||||||||
136 | |||||||||||||||
Spain: | 0.0 | % | |||||||||||||
5,090 | S | Iberdrola SA | 1,189 | ||||||||||||
1,189 | |||||||||||||||
Total Rights (Cost $ - ) | 1,325 | ||||||||||||||
WARRANTS: | 0.0% | ||||||||||||||
Italy: | 0.0 | % | |||||||||||||
405 | Unione di Banche Italiane SCPA | 8 | |||||||||||||
Total Warrants (Cost $ - ) | 8 | ||||||||||||||
Principal Amount | Value | ||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: | 4.3% | ||||||||||||||
Federal Home Loan Mortgage Corporation##: | 2.0 | % | |||||||||||||
$ | 1,240,000 | S | 5.500%, due 08/20/12 | $ | 1,363,695 | ||||||||||
1,363,695 | |||||||||||||||
Federal National Mortgage Association##: | 2.3 | % | |||||||||||||
1,415,000 | S | 4.875%, due 05/18/12 | 1,525,015 | ||||||||||||
1,525,015 | |||||||||||||||
Total U.S. Government Agency Obligations (Cost $ 2,768,695 ) | 2,888,710 | ||||||||||||||
U.S. TREASURY OBLIGATIONS: | 3.5% | ||||||||||||||
U.S. Treasury Notes: | 3.5 | % | |||||||||||||
2,125,000 | S | 4.000%, due 08/15/18 | 2,337,666 | ||||||||||||
Total U.S. Treasury Obligations (Cost $ 2,151,644 ) | 2,337,666 | ||||||||||||||
Total Investments in Securities (Cost $ 45,474,675 ) * | 64.3 | % | $ | 43,058,994 | |||||||||||
Other Assets and Liabilities - Net | 35.7 | 23,938,367 | |||||||||||||
Net Assets | 100.0 | % | $ | 66,997,361 | |||||||||||
@ |
Non-income producing security | ||||||||||||||
ADR | American Depositary Receipt | ||||||||||||||
## | 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. | ||||||||||||||
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. | ||||||||||||||
Industry | Percentage of Net Assets | | |||||||||||||
Consumer Discretionary | 4.9% | ||||||||||||||
Consumer Staples | 5.3 | ||||||||||||||
Energy | 4.0 | ||||||||||||||
Federal Home Loan Mortgage Corporation## | 2.0 | ||||||||||||||
Federal National Mortgage Association## | 2.3 | ||||||||||||||
Financials | 7.2 | ||||||||||||||
Health Care | 5.1 | ||||||||||||||
Industrials | 6.1 | ||||||||||||||
Information Technology | 7.7 | ||||||||||||||
Materials | 3.8 | ||||||||||||||
Open-End Funds | 8.5 | ||||||||||||||
Telecommunication Services | 1.8 | ||||||||||||||
U.S. Treasury Notes | 3.5 | ||||||||||||||
Utilities | 1.6 | ||||||||||||||
Other Long-Term Investments | 0.5 | ||||||||||||||
Other Assets and Liabilities - Net | 35.7 | ||||||||||||||
Net Assets | 100.0% | ||||||||||||||
See Accompanying Notes to Financial Statements
Table of Contents
ING PIMCO Total Return Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited) |
Principal Amount | Value | ||||||||||||||
CONVERTIBLE BONDS: |
| 26.0% | |||||||||||||
Consumer Discretionary: | 0.3 | % | |||||||||||||
$ | 1,400,000 | S | Daimler Finance NA, LLC, 7.750%, due 01/18/11 | $ | 1,446,605 | ||||||||||
1,863,586 | Ford Motor Co., 3.350%, due 11/29/13 | 1,764,776 | |||||||||||||
5,000,000 | S | Lennar Corp., 5.950%, due 10/17/11 | 5,175,000 | ||||||||||||
4,500,000 | S | Target Corp., 5.125%, due 01/15/13 | 4,912,686 | ||||||||||||
13,299,067 | |||||||||||||||
Consumer Staples: | 1.6 | % | |||||||||||||
12,900,000 | S | Duke University, 4.200%, due 04/01/14 | 13,905,104 | ||||||||||||
5,100,000 | S | Duke University, 5.150%, due 04/01/19 | 5,673,786 | ||||||||||||
2,500,000 | S | Kraft Foods, Inc., 6.125%, due 02/01/18 | 2,841,608 | ||||||||||||
1,100,000 | S | Kraft Foods, Inc., 6.875%, due 02/01/38 | 1,282,809 | ||||||||||||
2,400,000 | S | Philip Morris International, Inc., 6.375%, due 05/16/38 | 2,826,252 | ||||||||||||
5,500,000 | #, S | President and Fellows of Harvard College, 6.000%, due 01/15/19 | 6,517,308 | ||||||||||||
21,500,000 | #, S | President and Fellows of Harvard College, 6.500%, due 01/15/39 | 27,047,774 | ||||||||||||
1,200,000 | S | Reynolds American, Inc., 7.625%, due 06/01/16 | 1,362,595 | ||||||||||||
61,457,236 | |||||||||||||||
Energy: | 2.0 | % | |||||||||||||
500,000 | S | Conoco Funding Co., 6.350%, due 10/15/11 | 533,520 | ||||||||||||
625,000 | S | El Paso Corp., 7.800%, due 08/01/31 | 620,820 | ||||||||||||
13,500,000 | Gaz Capital for Gazprom, 8.625%, due 04/28/34 | 15,541,875 | |||||||||||||
11,300,000 | S | Kinder Morgan Energy Partners LP, 5.950%, due 02/15/18 | 12,223,210 | ||||||||||||
21,100,000 | S | Petrobras International Finance Co., 7.875%, due 03/15/19 | 24,247,234 | ||||||||||||
14,900,000 | S | Petroleos Mexicanos, 8.000%, due 05/03/19 | 17,805,500 | ||||||||||||
1,900,000 | S | Shell International Finance BV, 5.500%, due 03/25/40 | 2,030,996 | ||||||||||||
1,800,000 | S | Trans-Canada Pipelines, 7.625%, due 01/15/39 | 2,307,211 | ||||||||||||
1,300,000 | #, S | Williams Cos., Inc., 6.375%, due 10/01/10 | 1,311,333 | ||||||||||||
76,621,699 | |||||||||||||||
Financials: | 19.1 | % | |||||||||||||
8,700,000 | S | Allstate Corp., 6.125%, due 05/15/37 | 7,710,375 | ||||||||||||
2,900,000 | S | American Express Co., 6.150%, due 08/28/17 | 3,182,124 | ||||||||||||
4,300,000 | S | American Express Co., 7.000%, due 03/19/18 | 4,967,127 | ||||||||||||
12,579,000 | S | American Express Credit Corp., 0.498%, due 10/04/10 | 12,578,220 | ||||||||||||
300,000 | S | American Express Credit Corp., 0.510%, due 06/16/11 | 298,535 | ||||||||||||
2,400,000 | S | American Express Credit Corp., 0.528%, due 12/02/10 | 2,400,048 | ||||||||||||
2,700,000 | S | American Express Credit Corp., 5.875%, due 05/02/13 | 2,956,090 | ||||||||||||
1,000,000 | S | American General Finance Corp., 4.875%, due 07/15/12 | 910,000 | ||||||||||||
4,000,000 | S | American General Finance Corp., 6.900%, due 12/15/17 | 3,205,000 | ||||||||||||
10,000,000 | American International Group, Inc., 0.466%, due 07/26/10 | 10,042,467 | |||||||||||||
EUR | 1,700,000 | American International Group, Inc., 4.875%, due 03/15/67 | 1,112,185 | ||||||||||||
$ | 12,000,000 | S | American International Group, Inc., 5.850%, due 01/16/18 | 10,785,000 | |||||||||||
4,800,000 | #, S | ANZ National International Ltd., 6.200%, due 07/19/13 | 5,321,592 | ||||||||||||
13,000,000 | S | Bank of America Corp., 2.100%, due 04/30/12 | 13,318,721 | ||||||||||||
23,500,000 | S | Bank of America Corp., 6.500%, due 08/01/16 | 25,464,248 | ||||||||||||
13,600,000 | S | Bank of America NA, 0.817%, due 06/15/16 | 11,919,339 | ||||||||||||
1,200,000 | #, L | Bank of China Hong Kong Ltd., 5.550%, due 02/11/20 | 1,214,195 | ||||||||||||
2,900,000 | #, S | Barclays Bank PLC, 6.050%, due 12/04/17 | 2,931,140 | ||||||||||||
200,000 | S | Bear Stearns Co. Inc., 0.646%, due 08/15/11 | 200,191 | ||||||||||||
EUR | 4,100,000 | Bear Stearns Cos., Inc., 0.992%, due 09/26/13 | 4,849,553 | ||||||||||||
$ | 1,300,000 | S | Bear Stearns Cos., Inc., 6.950%, due 08/10/12 | 1,426,630 | |||||||||||
8,000,000 | S | Bear Stearns Cos., Inc., 7.250%, due 02/01/18 | 9,355,528 | ||||||||||||
11,990,000 | #, S | BNP Paribas, 5.186%, due 06/29/49 | 9,921,725 | ||||||||||||
3,643,701 | S, L | CIT Group, Inc., 7.000%, due 05/01/13 | 3,507,062 | ||||||||||||
2,665,553 | S | CIT Group, Inc., 7.000%, due 05/01/14 | 2,525,611 | ||||||||||||
1,565,552 | S | CIT Group, Inc., 7.000%, due 05/01/15 | 1,452,049 | ||||||||||||
2,609,255 | S | CIT Group, Inc., 7.000%, due 05/01/16 | 2,393,991 | ||||||||||||
3,652,960 | S | CIT Group, Inc., 7.000%, due 05/01/17 | 3,305,929 | ||||||||||||
1,252,350 | CIT Group, Inc., 9.500%, due 01/20/12 | 1,282,563 | |||||||||||||
1,600,000 | S | Citibank NA, 1.875%, due 05/07/12 | 1,633,819 | ||||||||||||
800,000 | S | Citibank NA, 1.875%, due 06/04/12 | 816,499 | ||||||||||||
31,800,000 | S | Citigroup Capital XXI, 8.300%, due 12/21/57 | 31,130,228 | ||||||||||||
4,400,000 | S | Citigroup Funding, Inc., 1.875%, due 10/22/12 | 4,495,018 | ||||||||||||
3,200,000 | S | Citigroup Funding, Inc., 2.250%, due 12/10/12 | 3,296,038 | ||||||||||||
5,000,000 | S | Citigroup, Inc., 0.535%, due 05/18/11 | 4,959,950 | ||||||||||||
1,600,000 | S | Citigroup, Inc., 2.125%, due 04/30/12 | 1,639,947 | ||||||||||||
18,300,000 | S | Citigroup, Inc., 5.500%, due 04/11/13 | 19,035,074 | ||||||||||||
900,000 | S | Citigroup, Inc., 5.625%, due 08/27/12 | 927,932 | ||||||||||||
9,800,000 | S | Citigroup, Inc., 6.000%, due 08/15/17 | 10,194,234 | ||||||||||||
4,300,000 | S | Citigroup, Inc., 8.500%, due 05/22/19 | 5,134,419 | ||||||||||||
4,700,000 | #, S | Commonwealth Bank of Australia, 6.024%, due 03/29/49 | 4,234,019 | ||||||||||||
4,200,000 | #, S | Corp Nacional del Cobre de Chile - CODELCO, 7.500%, due 01/15/19 | 5,163,194 | ||||||||||||
8,300,000 | S | Deutsche Bank AG/London, 6.000%, due 09/01/17 | 9,167,682 | ||||||||||||
25,900,000 | #, S | Dexia Credit Local/New York NY, 0.938%, due 03/05/13 | 25,927,843 | ||||||||||||
19,200,000 | S | Export-Import Bank of Korea, 5.875%, due 01/14/15 | 20,845,037 | ||||||||||||
500,000 | S | Ford Motor Credit Co., LLC, 7.000%, due 10/01/13 | 510,197 | ||||||||||||
900,000 | S | Ford Motor Credit Co., LLC, 7.250%, due 10/25/11 | 924,829 | ||||||||||||
6,753,000 | S | Ford Motor Credit Co., LLC, 7.375%, due 02/01/11 | 6,880,395 | ||||||||||||
200,000 | Ford Motor Credit Co., LLC, 7.500%, due 08/01/12 | 204,612 | |||||||||||||
1,700,000 | S | Ford Motor Credit Co., LLC, 8.000%, due 12/15/16 | 1,740,574 | ||||||||||||
6,400,000 | S | General Electric Capital Corp., 2.000%, due 09/28/12 | 6,556,378 | ||||||||||||
2,200,000 | S | General Electric Capital Corp., 2.125%, due 12/21/12 | 2,263,149 | ||||||||||||
20,600,000 | S | General Electric Capital Corp., 2.625%, due 12/28/12 | 21,420,065 | ||||||||||||
2,000,000 | S | General Electric Capital Corp., 3.000%, due 12/09/11 | 2,066,730 | ||||||||||||
EUR | 9,700,000 | General Electric Capital Corp., 5.500%, due 09/15/67 | 9,963,804 | ||||||||||||
$ | 2,900,000 | S | General Electric Capital Corp., 5.875%, due 01/14/38 | 2,853,322 | |||||||||||
4,600,000 | S | General Electric Capital Corp., 6.875%, due 01/10/39 | 5,095,737 | ||||||||||||
12,200,000 | S | General Motors Acceptance Corp., 6.875%, due 09/15/11 | 12,357,148 | ||||||||||||
2,200,000 | S | Goldman Sachs Group, Inc., 5.950%, due 01/18/18 | 2,288,627 | ||||||||||||
1,100,000 | S | Goldman Sachs Group, Inc., 6.150%, due 04/01/18 | 1,154,041 | ||||||||||||
10,500,000 | S | Goldman Sachs Group, Inc., 6.250%, due 09/01/17 | 11,129,517 | ||||||||||||
12,000,000 | S | Goldman Sachs Group, Inc., 6.750%, due 10/01/37 | 11,800,224 | ||||||||||||
900,000 | S | Goldman Sachs Group, Inc., 6.875%, due 01/15/11 | 922,873 | ||||||||||||
1,600,000 | S | International Lease Finance Corp., 5.300%, due 05/01/12 | 1,512,000 | ||||||||||||
1,600,000 | S | International Lease Finance Corp., 5.350%, due 03/01/12 | 1,520,000 | ||||||||||||
5,900,000 | S | International Lease Finance Corp., 5.400%, due 02/15/12 | 5,619,750 | ||||||||||||
2,600,000 | S | International Lease Finance Corp., 5.450%, due 03/24/11 | 2,575,300 | ||||||||||||
5,000,000 | S | iStar Financial, Inc., 5.800%, due 03/15/11 | 4,700,000 | ||||||||||||
13,800,000 | S | JP Morgan Chase & Co., 0.664%, due 12/21/11 | 13,742,771 | ||||||||||||
12,200,000 | S | JP Morgan Chase & Co., 6.000%, due 01/15/18 | 13,492,261 | ||||||||||||
14,000,000 | S | JP Morgan Chase & Co., 7.900%, due 04/29/49 | 14,477,386 | ||||||||||||
EUR | 200,000 | KeyBank NA, 0.815%, due 11/21/11 | 234,663 | ||||||||||||
$ | 1,400,000 | ±, S | Lehman Brothers Holdings, Inc., due 10/22/08 | 280,000 | |||||||||||
JPY | 800,000,000 | ± | Lehman Brothers Holdings, Inc., 0.940%, due 12/19/08 | 1,673,924 | |||||||||||
$ | 10,600,000 | ±, S | Lehman Brothers Holdings, Inc., 5.625%, due 01/24/13 | 2,199,500 | |||||||||||
5,503,000 | ±, S | Lehman Brothers Holdings, Inc., 6.875%, due 05/02/18 | 1,148,751 | ||||||||||||
2,800,000 | ±, S | Lehman Brothers Holdings, Inc., 12.600%, due 11/24/08 | 560,000 | ||||||||||||
6,800,000 | S | Merrill Lynch & Co., Inc., 0.544%, due 11/01/11 | 6,686,005 | ||||||||||||
6,800,000 | S | Merrill Lynch & Co., Inc., 6.050%, due 08/15/12 | 7,233,663 | ||||||||||||
8,800,000 | S | Merrill Lynch & Co., Inc., 6.875%, due 04/25/18 | 9,401,894 | ||||||||||||
EUR | 3,500,000 | L | Mizuho Capital Investment EUR 1 Ltd., 5.020%, due 06/29/49 | 4,065,985 | |||||||||||
$ | 600,000 | S | Morgan Stanley, 0.550%, due 04/19/12 | 582,273 | |||||||||||
10,392,000 | S | Morgan Stanley, 0.780%, due 01/09/12 | 10,108,569 | ||||||||||||
EUR | 14,000,000 | Morgan Stanley, 0.944%, due 07/20/12 | 16,297,342 | ||||||||||||
$ | 2,000,000 | S | Morgan Stanley, 5.950%, due 12/28/17 | 2,028,352 | |||||||||||
1,600,000 | S | Morgan Stanley, 6.250%, due 08/28/17 | 1,628,942 | ||||||||||||
GBP | 1,500,000 | MUFG Capital Finance 5 Ltd., 6.299%, due 01/29/49 | 1,907,889 | ||||||||||||
$ | 4,000,000 | #, S | National Australia Bank Ltd., 5.350%, due 06/12/13 | 4,336,616 | |||||||||||
DKK | 12,516,415 | Nykredit Realkredit A/S, 2.292%, due 04/01/38 | 2,016,705 | ||||||||||||
DKK | 38,305,512 | Nykredit Realkredit A/S, 2.292%, due 10/01/38 | 6,105,942 | ||||||||||||
$ | 1,200,000 | #, S | Pacific LifeCorp, 6.000%, due 02/10/20 | 1,275,781 | |||||||||||
4,900,000 | #, S | Pricoa Global Funding I, 0.438%, due 01/30/12 | 4,807,209 | ||||||||||||
2,000,000 | #, S | Pricoa Global Funding I, 0.737%, due 09/27/13 | 1,913,286 | ||||||||||||
3,300,000 | S | Principal Life Income Funding Trusts, 5.300%, due 04/24/13 | 3,570,742 | ||||||||||||
700,000 | S | Principal Life Income Funding Trusts, 5.550%, due 04/27/15 | 758,645 | ||||||||||||
2,137,000 | #, S | Rabobank, 11.000%, due 12/29/49 | 2,646,619 | ||||||||||||
DKK | 38,408,258 | Realkredit Danmark A/S, 2.450%, due 01/01/38 | 6,141,236 | ||||||||||||
DKK | 12,442,164 | Realkredit Danmark A/S, 2.450%, due 01/01/38 | 2,000,759 | ||||||||||||
$ | 1,500,000 | #, S | Resona Bank Ltd., 5.850%, due 09/29/49 | 1,419,297 | |||||||||||
3,900,000 | #, S | Royal Bank of Scotland Group PLC, 6.990%, due 10/29/49 | 2,554,500 | ||||||||||||
11,300,000 | #, S | Royal Bank of Scotland PLC, 3.000%, due 12/09/11 | 11,604,953 | ||||||||||||
900,000 | #, S | Royal Bank of Scotland PLC, 4.875%, due 08/25/14 | 903,458 | ||||||||||||
22,800,000 | #, S | Santander US Debt SA Unipersonal, 1.333%, due 03/30/12 | 22,383,794 | ||||||||||||
700,000 | S | SLM Corp., 0.476%, due 07/26/10 | 698,454 | ||||||||||||
GBP | 3,200,000 | SLM Corp., 4.875%, due 12/17/12 | 4,429,832 | ||||||||||||
$ | 6,900,000 | SLM Corp., 8.000%, due 03/25/20 | 6,069,199 | ||||||||||||
6,500,000 | #, S | Societe Generale, 5.922%, due 12/31/49 | 4,926,773 | ||||||||||||
3,300,000 | S | State Street Capital Trust III, 8.250%, due 03/15/42 | 3,306,600 | ||||||||||||
2,700,000 | #, S | Temasek Financial I Ltd., 4.300%, due 10/25/19 | 2,814,944 | ||||||||||||
1,700,000 | #, S | TransCapitalInvest Ltd for OJSC AK Transneft, 8.700%, due 08/07/18 | 1,986,149 | ||||||||||||
1,300,000 | S | UBS AG, 5.750%, due 04/25/18 | 1,343,254 | ||||||||||||
4,800,000 | S | UBS AG, 5.875%, due 12/20/17 | 5,088,365 | ||||||||||||
4,600,000 | S | UBS AG/Stamford CT, 1.584%, due 02/23/12 | 4,618,170 | ||||||||||||
4,525,000 | S | UBS Preferred Funding Trust V, 6.243%, due 05/29/49 | 3,925,438 | ||||||||||||
6,000,000 | S | USB Capital IX, 6.189%, due 03/29/49 | 4,387,800 | ||||||||||||
17,900,000 | S | Wachovia Corp., 0.433%, due 10/15/11 | 17,776,383 | ||||||||||||
5,715,000 | S | Wachovia Corp., 0.678%, due 10/28/15 | 5,122,943 | ||||||||||||
7,400,000 | S | Wachovia Corp., 5.750%, due 02/01/18 | 8,119,598 | ||||||||||||
27,092,000 | S | Wells Fargo & Company, 7.980%, due 02/28/49 | 28,040,220 | ||||||||||||
3,000,000 | #, S | Westpac Banking Corp., 0.784%, due 07/16/14 | 3,018,966 | ||||||||||||
350,000 | #, S | ZFS Finance USA Trust IV, 5.875%, due 05/09/32 | 310,632 | ||||||||||||
713,370,875 | |||||||||||||||
Health Care: | 0.8 | % | |||||||||||||
12,700,000 | S | Amgen, Inc., 6.150%, due 06/01/18 | 15,046,300 | ||||||||||||
10,600,000 | S | Novartis Capital Corp., 4.125%, due 02/10/14 | 11,446,251 | ||||||||||||
2,800,000 | S | UnitedHealth Group, Inc., 4.875%, due 02/15/13 | 3,010,554 | ||||||||||||
29,503,105 | |||||||||||||||
Industrials: | 0.3 | % | |||||||||||||
3,400,000 | #, S | C8 Capital SPV Ltd., 6.640%, due 12/31/49 | 2,241,991 | ||||||||||||
1,500,000 | S | Goodrich Corp., 6.290%, due 07/01/16 | 1,759,035 | ||||||||||||
5,800,000 | S | Union Pacific Corp., 5.700%, due 08/15/18 | 6,507,780 | ||||||||||||
125,953 | ±, S, I | United Air Lines, Inc., 9.350%, due 04/07/16 | 29,599 | ||||||||||||
10,538,405 | |||||||||||||||
Information Technology: | 0.6 | % | |||||||||||||
7,000,000 | S | Dell, Inc., 5.650%, due 04/15/18 | 7,800,821 | ||||||||||||
12,400,000 | S | Oracle Corp., 5.750%, due 04/15/18 | 14,378,098 | ||||||||||||
22,178,919 | |||||||||||||||
Materials: | 0.1 | % | |||||||||||||
2,200,000 | #, S | Sealed Air Corp., 5.625%, due 07/15/13 | 2,303,008 | ||||||||||||
2,303,008 | |||||||||||||||
Telecommunication Services: | 0.9 | % | |||||||||||||
450,000 | S | AT&T Corp., 7.300%, due 11/15/11 | 486,571 | ||||||||||||
3,300,000 | S | AT&T, Inc., 4.950%, due 01/15/13 | 3,584,219 | ||||||||||||
1,800,000 | S | AT&T, Inc., 5.500%, due 02/01/18 | 1,993,612 | ||||||||||||
2,300,000 | S | AT&T, Inc., 6.300%, due 01/15/38 | 2,504,401 | ||||||||||||
20,700,000 | S | Cellco Partnership / Verizon Wireless Capital, LLC, 5.250%, due 02/01/12 | 21,950,632 | ||||||||||||
200,000 | S | Qwest Capital Funding, Inc., 7.250%, due 02/15/11 | 205,000 | ||||||||||||
950,000 | S | Qwest Corp., 8.875%, due 03/15/12 | 1,023,625 | ||||||||||||
2,500,000 | S | Verizon Communications, Inc., 5.250%, due 04/15/13 | 2,742,143 | ||||||||||||
34,490,203 | |||||||||||||||
Utilities: | 0.3 | % | |||||||||||||
3,700,000 | #, S | EDF SA, 5.500%, due 01/26/14 | 4,092,611 | ||||||||||||
1,300,000 | #, S | EDF SA, 6.500%, due 01/26/19 | 1,515,235 | ||||||||||||
3,700,000 | #, S | Electricite de France, 6.950%, due 01/26/39 | 4,474,854 | ||||||||||||
10,082,700 | |||||||||||||||
Total Convertible Bonds (Cost $ 934,891,886) | 973,845,217 | ||||||||||||||
CORPORATE BONDS/NOTES: |
| 1.9 | % | ||||||||||||
Consumer Staples: | 0.1 | % | |||||||||||||
3,300,000 | S | Altria Group, Inc., 4.125%, due 09/11/15 | 3,366,175 | ||||||||||||
3,366,175 | |||||||||||||||
Energy: | 0.1 | % | |||||||||||||
400,000 | Morgan Stanley Bank AG for OAO Gazprom, 9.625%, due 03/01/13 | 449,000 | |||||||||||||
255,368 | OAO Gazprom ADR, 7.201%, due 02/01/20 | 265,927 | |||||||||||||
1,400,000 | S | Total Capital SA, 4.450%, due 06/24/20 | 1,431,912 | ||||||||||||
2,146,839 | |||||||||||||||
Financials: | 1.7 | % | |||||||||||||
700,000 | S | American General Finance Corp., 0.787%, due 12/15/11 | 627,789 | ||||||||||||
1,500,000 | S | American General Finance Corp., 4.000%, due 03/15/11 | 1,458,750 | ||||||||||||
8,800,000 | S | American General Finance Corp., 5.200%, due 12/15/11 | 8,316,000 | ||||||||||||
3,100,000 | American General Finance Corp., 7.250%, due 04/08/15 | 3,022,500 | |||||||||||||
GBP | 7,300,000 | American International Group, Inc., 5.950%, due 10/04/10 | 10,946,499 | ||||||||||||
$ | 2,300,000 | #, S | Bank of Montreal, 2.850%, due 06/09/15 | 2,340,271 | |||||||||||
1,783,650 | CIT Group, Inc., 9.500%, due 01/20/12 | 1,826,681 | |||||||||||||
1,900,000 | Export-Import Bank of Korea, 5.125%, due 06/29/20 | 1,915,044 | |||||||||||||
400,000 | S | Federal Home Loan Mortgage Corp., 4.125%, due 12/21/12 | 432,020 | ||||||||||||
1,684,367 | Ford Motor Credit Co., LLC, 3.310%, due 12/15/13 | 1,595,060 | |||||||||||||
EUR | 9,500,000 | International Lease Finance Corp., 1.058%, due 08/15/11 | 10,702,974 | ||||||||||||
CAD | 7,200,000 | Province of Ontario Canada, 6.500%, due 03/08/29 | 8,459,755 | ||||||||||||
$ | 11,800,000 | # | Royal Bank of Scotland PLC, 1.450%, due 10/20/11 | 11,826,102 | |||||||||||
200,000 | White Nights Finance BV for Gazprom, 10.500%, due 03/25/14 | 232,344 | |||||||||||||
63,701,789 | |||||||||||||||
Total Corporate Bonds/Notes (Cost $ 67,503,356) | 69,214,803 | ||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: | 24.0 | % | |||||||||||||
Federal Home Loan Mortgage Corporation##: | 4.3 | % | |||||||||||||
58,960 | S | 0.700%, due 12/15/29 | 59,103 | ||||||||||||
21,100,000 | S | 1.125%, due 06/01/11 | 21,236,749 | ||||||||||||
23,800,000 | L | 1.125%, due 07/27/12 | 23,980,523 | ||||||||||||
1,130,045 | S | 1.621%, due 10/25/44 | 1,147,083 | ||||||||||||
2,218,688 | S | 1.821%, due 07/25/44 | 2,255,138 | ||||||||||||
5,333,634 | S | 2.635%, due 06/01/35 | 5,549,653 | ||||||||||||
52,585 | S | 2.658%, due 11/01/31 | 54,608 | ||||||||||||
41,084 | S | 2.774%, due 06/01/24 | 42,854 | ||||||||||||
1,204,189 | S | 3.196%, due 01/01/29 | 1,251,322 | ||||||||||||
129,574 | S | 3.500%, due 07/15/32 | 134,232 | ||||||||||||
1,221,602 | S | 4.500%, due 06/15/17 | 1,254,333 | ||||||||||||
1,383,141 | S | 4.500%, due 10/15/19 | 1,408,026 | ||||||||||||
2,026,375 | S | 4.500%, due 02/15/20 | 2,063,053 | ||||||||||||
866,208 | S | 4.500%, due 12/15/27 | 869,415 | ||||||||||||
352,875 | S | 4.946%, due 09/01/35 | 365,970 | ||||||||||||
434,845 | S | 5.000%, due 03/15/26 | 437,941 | ||||||||||||
1,645,535 | S | 5.000%, due 05/15/26 | 1,657,994 | ||||||||||||
702,579 | S | 5.174%, due 03/01/35 | 751,602 | ||||||||||||
45,000,000 | W | 5.500%, due 08/14/36 | 48,150,000 | ||||||||||||
259,229 | S | 5.500%, due 03/15/17 | 268,047 | ||||||||||||
1,277,023 | S | 5.500%, due 09/01/19 | 1,387,665 | ||||||||||||
729,816 | S | 5.500%, due 03/01/23 | 791,483 | ||||||||||||
30,000,000 | W | 6.000%, due 08/15/34 | 32,470,320 | ||||||||||||
733,720 | S | 6.000%, due 01/01/22 | 808,549 | ||||||||||||
930,070 | S | 6.000%, due 03/01/22 | 1,026,600 | ||||||||||||
2,218,013 | S | 6.000%, due 10/01/22 | 2,448,217 | ||||||||||||
8,240,741 | S | 6.000%, due 09/01/27 | 9,000,400 | ||||||||||||
120,315 | S | 6.000%, due 05/01/35 | 132,336 | ||||||||||||
58,606 | S | 6.000%, due 08/01/38 | 63,729 | ||||||||||||
32,900 | S | 6.500%, due 07/01/19 | 36,295 | ||||||||||||
736,489 | S | 6.500%, due 02/25/43 | 816,686 | ||||||||||||
53,583 | S | 8.250%, due 08/15/21 | 59,716 | ||||||||||||
161,979,642 | |||||||||||||||
Federal National Mortgage Association##: | 19.6 | % | |||||||||||||
15,200,000 | S | 0.547%, due 10/27/37 | 15,176,176 | ||||||||||||
151,194 | S | 0.847%, due 03/25/17 | 150,668 | ||||||||||||
7,900,000 | L | 1.125%, due 07/30/12 | 7,956,406 | ||||||||||||
258,818 | S | 1.247%, due 04/25/32 | 263,558 | ||||||||||||
393,227 | S | 1.613%, due 08/01/42 | 393,492 | ||||||||||||
200,149 | S | 1.613%, due 10/01/44 | 201,872 | ||||||||||||
20,700,000 | L | 1.750%, due 05/07/13 | 21,092,783 | ||||||||||||
1,685,063 | S | 2.222%, due 08/01/35 | 1,734,766 | ||||||||||||
1,643,991 | S | 2.675%, due 10/01/35 | 1,707,851 | ||||||||||||
4,325,707 | S | 2.808%, due 11/01/34 | 4,521,053 | ||||||||||||
1,596,653 | S | 3.063%, due 10/01/35 | 1,663,407 | ||||||||||||
2,208,370 | S | 3.285%, due 10/01/35 | 2,308,846 | ||||||||||||
67,231 | S | 3.676%, due 05/01/36 | 67,420 | ||||||||||||
17,000,000 | W | 4.000%, due 02/25/39 | 17,216,485 | ||||||||||||
22,000,000 | W | 4.500%, due 07/15/35 | 22,807,818 | ||||||||||||
30,000,000 | W | 4.500%, due 08/01/39 | 30,989,070 | ||||||||||||
51,000,000 | W | 4.500%, due 09/01/39 | 52,506,081 | ||||||||||||
1,162,813 | S | 4.500%, due 04/25/16 | 1,171,548 | ||||||||||||
120,324 | S | 4.500%, due 04/25/17 | 123,178 | ||||||||||||
533,858 | S | 4.670%, due 12/01/36 | 557,875 | ||||||||||||
1,071,014 | S | 4.816%, due 02/01/34 | 1,115,491 | ||||||||||||
245,669 | S | 5.000%, due 01/25/17 | 250,069 | ||||||||||||
1,704,404 | S | 5.017%, due 09/01/34 | 1,779,035 | ||||||||||||
6,000,000 | W | 5.500%, due 08/01/22 | 6,465,000 | ||||||||||||
10,000,000 | W | 5.500%, due 07/15/34 | 10,735,940 | ||||||||||||
1,000,000 | W | 5.500%, due 08/01/37 | 1,070,156 | ||||||||||||
958,783 | S | 5.500%, due 06/01/23 | 1,038,355 | ||||||||||||
1,426,980 | S | 5.500%, due 02/01/24 | 1,545,408 | ||||||||||||
78,546 | S | 5.500%, due 01/01/32 | 84,773 | ||||||||||||
259,417 | S | 5.500%, due 10/01/32 | 279,984 | ||||||||||||
653,556 | S | 5.500%, due 10/01/33 | 704,962 | ||||||||||||
575,700 | S | 5.500%, due 11/01/33 | 620,982 | ||||||||||||
5,854,069 | S | 5.500%, due 12/01/33 | 6,314,527 | ||||||||||||
775,599 | S | 5.500%, due 01/01/34 | 835,845 | ||||||||||||
1,335,702 | S | 5.500%, due 11/01/34 | 1,438,677 | ||||||||||||
350,581 | S | 5.500%, due 01/01/35 | 377,392 | ||||||||||||
17,127,177 | S | 5.500%, due 02/01/35 | 18,447,384 | ||||||||||||
467,277 | S | 5.500%, due 03/01/35 | 503,301 | ||||||||||||
20,951 | S | 5.500%, due 02/01/36 | 22,527 | ||||||||||||
475,652 | S | 5.500%, due 05/01/36 | 511,430 | ||||||||||||
17,387,830 | S | 5.500%, due 07/01/36 | 18,728,323 | ||||||||||||
880,356 | S | 5.500%, due 09/01/36 | 949,602 | ||||||||||||
369,778 | S | 5.500%, due 11/01/36 | 397,592 | ||||||||||||
354,720 | S | 5.500%, due 12/01/36 | 381,401 | ||||||||||||
1,429,341 | S | 5.500%, due 01/01/37 | 1,536,854 | ||||||||||||
9,117,183 | S | 5.500%, due 04/01/37 | 9,840,005 | ||||||||||||
6,000,000 | 5.500%, due 03/01/38 | 6,450,037 | |||||||||||||
8,000,000 | W | 6.000%, due 07/14/37 | 8,677,504 | ||||||||||||
12,000,000 | W | 6.000%, due 08/12/40 | 12,982,500 | ||||||||||||
251,359 | S | 6.000%, due 09/01/21 | 270,578 | ||||||||||||
2,396,159 | S | 6.000%, due 06/01/22 | 2,644,320 | ||||||||||||
261,884 | S | 6.000%, due 09/01/22 | 289,007 | ||||||||||||
277,803 | S | 6.000%, due 10/01/22 | 306,574 | ||||||||||||
573,020 | S | 6.000%, due 01/01/23 | 632,365 | ||||||||||||
12,945 | S | 6.000%, due 03/01/24 | 14,134 | ||||||||||||
7,447,079 | S | 6.000%, due 12/01/26 | 8,146,058 | ||||||||||||
7,097,623 | S | 6.000%, due 08/01/27 | 7,747,414 | ||||||||||||
8,026,375 | S | 6.000%, due 09/01/27 | 8,761,194 | ||||||||||||
7,969,500 | S | 6.000%, due 10/01/27 | 8,699,112 | ||||||||||||
15,882,284 | S | 6.000%, due 11/01/27 | 17,336,316 | ||||||||||||
930,720 | S | 6.000%, due 11/01/28 | 1,018,208 | ||||||||||||
4,901 | S | 6.000%, due 04/01/31 | 5,412 | ||||||||||||
6,203 | S | 6.000%, due 01/01/32 | 6,849 | ||||||||||||
14,773 | S | 6.000%, due 11/01/32 | 16,297 | ||||||||||||
1,555,170 | S | 6.000%, due 01/01/33 | 1,699,974 | ||||||||||||
48,706 | S | 6.000%, due 09/01/33 | 53,731 | ||||||||||||
9,621 | S | 6.000%, due 02/01/34 | 10,599 | ||||||||||||
225,785 | S | 6.000%, due 05/01/35 | 246,190 | ||||||||||||
212,781 | S | 6.000%, due 07/01/35 | 232,010 | ||||||||||||
7,173 | S | 6.000%, due 10/01/35 | 7,821 | ||||||||||||
5,660,992 | S | 6.000%, due 12/01/35 | 6,172,604 | ||||||||||||
1,168,013 | S | 6.000%, due 02/01/36 | 1,271,382 | ||||||||||||
1,114,854 | S | 6.000%, due 03/01/36 | 1,213,518 | ||||||||||||
463,433 | S | 6.000%, due 04/01/36 | 504,447 | ||||||||||||
761,028 | S | 6.000%, due 05/01/36 | 828,378 | ||||||||||||
585,585 | S | 6.000%, due 06/01/36 | 637,409 | ||||||||||||
2,758,172 | S | 6.000%, due 07/01/36 | 3,006,054 | ||||||||||||
13,429,631 | S | 6.000%, due 08/01/36 | 14,618,153 | ||||||||||||
2,530,644 | S | 6.000%, due 09/01/36 | 2,760,312 | ||||||||||||
6,385,476 | S | 6.000%, due 10/01/36 | 6,950,593 | ||||||||||||
971,727 | S | 6.000%, due 11/01/36 | 1,057,724 | ||||||||||||
2,938,631 | S | 6.000%, due 12/01/36 | 3,198,699 | ||||||||||||
2,794,677 | S | 6.000%, due 01/01/37 | 3,042,006 | ||||||||||||
4,315,027 | S | 6.000%, due 02/01/37 | 4,694,983 | ||||||||||||
1,672,754 | S | 6.000%, due 03/01/37 | 1,819,456 | ||||||||||||
11,337,683 | S | 6.000%, due 04/01/37 | 12,322,582 | ||||||||||||
6,677,862 | S | 6.000%, due 05/01/37 | 7,257,276 | ||||||||||||
10,492,808 | S | 6.000%, due 06/01/37 | 11,402,726 | ||||||||||||
13,304,354 | S | 6.000%, due 07/01/37 | 14,456,843 | ||||||||||||
23,010,304 | S | 6.000%, due 08/01/37 | 25,005,210 | ||||||||||||
21,967,323 | S | 6.000%, due 09/01/37 | 23,871,221 | ||||||||||||
32,927,578 | S | 6.000%, due 10/01/37 | 35,779,927 | ||||||||||||
32,612,839 | S | 6.000%, due 11/01/37 | 35,437,925 | ||||||||||||
22,589,183 | S | 6.000%, due 12/01/37 | 24,545,970 | ||||||||||||
27,325,640 | S | 6.000%, due 01/01/38 | 29,692,664 | ||||||||||||
13,140,614 | S | 6.000%, due 02/01/38 | 14,274,576 | ||||||||||||
13,302,649 | S | 6.000%, due 03/01/38 | 14,454,805 | ||||||||||||
42,793 | S | 6.000%, due 04/01/38 | 46,500 | ||||||||||||
29,426,445 | S | 6.000%, due 05/01/38 | 31,975,509 | ||||||||||||
970,001 | S | 6.000%, due 06/01/38 | 1,057,299 | ||||||||||||
625,895 | S | 6.000%, due 09/01/38 | 680,113 | ||||||||||||
3,082,883 | S | 6.000%, due 10/01/38 | 3,349,937 | ||||||||||||
226,271 | S | 6.000%, due 11/01/38 | 245,871 | ||||||||||||
216,566 | S | 6.000%, due 03/01/39 | 235,326 | ||||||||||||
1,090,009 | S | 6.000%, due 07/01/39 | 1,184,431 | ||||||||||||
470,458 | S | 6.000%, due 08/01/39 | 511,212 | ||||||||||||
772,071 | S | 6.000%, due 09/01/39 | 838,952 | ||||||||||||
1,455,443 | S | 6.000%, due 11/01/39 | 1,580,611 | ||||||||||||
12,448 | 6.000%, due 01/01/34 | 13,714 | |||||||||||||
29,000,000 | W | 6.500%, due 07/15/33 | 31,764,077 | ||||||||||||
2,561 | S | 6.500%, due 11/01/15 | 2,785 | ||||||||||||
41,298 | S | 6.500%, due 09/01/16 | 44,960 | ||||||||||||
34,817 | S | 6.500%, due 02/01/17 | 37,940 | ||||||||||||
5,824 | S | 6.500%, due 03/01/17 | 6,357 | ||||||||||||
87,990 | S | 6.500%, due 04/01/17 | 96,039 | ||||||||||||
924 | S | 6.500%, due 06/01/29 | 1,031 | ||||||||||||
86,731 | S | 6.500%, due 04/01/32 | 96,846 | ||||||||||||
241,668 | S | 6.500%, due 07/01/36 | 265,472 | ||||||||||||
332,517 | S | 6.500%, due 09/01/36 | 365,269 | ||||||||||||
10,557 | S | 6.500%, due 10/01/36 | 11,597 | ||||||||||||
37,501 | S | 6.500%, due 03/01/38 | 41,694 | ||||||||||||
3,742,763 | S | 6.500%, due 06/17/38 | 4,073,377 | ||||||||||||
733,643,934 | |||||||||||||||
Government National Mortgage Association: | 0.1 | % | |||||||||||||
262,675 | S | 3.125%, due 10/20/29 | 269,198 | ||||||||||||
256,983 | S | 3.375%, due 01/20/27 | 263,429 | ||||||||||||
309,106 | S | 3.625%, due 08/20/27 | 317,916 | ||||||||||||
3,000,000 | W | 6.000%, due 07/15/33 | 3,269,532 | ||||||||||||
4,120,075 | |||||||||||||||
Total U.S. Government Agency Obligations (Cost $ 871,833,747) | 899,743,651 | ||||||||||||||
U.S. TREASURY OBLIGATIONS: | 27.1% | ||||||||||||||
U.S. Treasury Notes: | 26.8 | % | |||||||||||||
70,700,000 | L | 0.625%, due 06/30/12 | 70,716,675 | ||||||||||||
53,100,000 | S | 0.750%, due 05/31/12 | 53,261,796 | ||||||||||||
64,500,000 | S | 1.125%, due 06/15/13 | 64,766,772 | ||||||||||||
11,800,000 | S | 1.375%, due 03/15/13 | 11,954,887 | ||||||||||||
41,200,000 | S | 1.375%, due 05/15/13 | 41,708,655 | ||||||||||||
37,200,000 | L | 1.875%, due 06/30/15 | 37,348,242 | ||||||||||||
88,200,000 | S, L | 2.125%, due 05/31/15 | 89,729,917 | ||||||||||||
300,000 | S | 2.250%, due 01/31/15 | 307,523 | ||||||||||||
2,700,000 | 2.375%, due 02/28/15 | 2,783,125 | |||||||||||||
11,700,000 | L | 2.500%, due 04/30/15 | 12,117,725 | ||||||||||||
140,900,000 | L | 2.500%, due 06/30/17 | 141,538,418 | ||||||||||||
51,300,000 | S | 2.750%, due 05/31/17 | 52,386,118 | ||||||||||||
14,800,000 | S | 2.750%, due 02/15/19 | 14,746,809 | ||||||||||||
68,500,000 | S | 3.125%, due 04/30/17 | 71,614,627 | ||||||||||||
25,600,000 | S | 3.375%, due 11/15/19 | 26,518,016 | ||||||||||||
500,000 | S | 3.500%, due 02/15/39 | 464,532 | ||||||||||||
148,200,000 | L | 3.500%, due 05/15/20 | 155,123,459 | ||||||||||||
40,100,000 | S, L | 3.625%, due 02/15/20 | 42,374,432 | ||||||||||||
37,200,000 | S | 3.625%, due 08/15/19 | 39,341,902 | ||||||||||||
6,900,000 | S, L | 4.375%, due 11/15/39 | 7,449,847 | ||||||||||||
1,900,000 | S | 4.375%, due 02/15/38 | 2,054,671 | ||||||||||||
18,100,000 | S | 4.375%, due 05/15/40 | 19,579,078 | ||||||||||||
29,200,000 | S | 4.625%, due 02/15/40 | 32,827,195 | ||||||||||||
1,200,000 | S | 5.375%, due 02/15/31 | 1,476,563 | ||||||||||||
8,700,000 | S | 8.750%, due 05/15/20 | 13,003,786 | ||||||||||||
1,005,194,770 | |||||||||||||||
Treasury Inflation Indexed Protected Securitiesip: | 0.3 | % | |||||||||||||
549,205 | S | 2.000%, due 01/15/26 | 582,286 | ||||||||||||
9,021,246 | S | 2.375%, due 01/15/25 | 10,032,609 | ||||||||||||
10,614,895 | |||||||||||||||
Total U.S. Treasury Obligations (Cost $ 993,370,621) | 1,015,809,665 | ||||||||||||||
ASSET-BACKED SECURITIES: | 2.3% | ||||||||||||||
Automobile Asset-Backed Securities: | 0.3 | % | |||||||||||||
4,215,838 | #, S | Ally Auto Receivables Trust, 1.320%, due 03/15/12 | 4,225,481 | ||||||||||||
5,708,019 | S | Ford Credit Auto Owner Trust, 1.770%, due 06/15/12 | 5,740,724 | ||||||||||||
9,966,205 | |||||||||||||||
Credit Card Asset-Backed Securities: | 0.1 | % | |||||||||||||
3,300,000 | S | BA Credit Card Trust, 0.930%, due 04/15/13 | 3,305,444 | ||||||||||||
3,305,444 | |||||||||||||||
Home Equity Asset-Backed Securities: | 0.0 | % | |||||||||||||
301,535 | S | MASTR Asset-Backed Securities Trust, 0.397%, due 11/25/36 | 215,730 | ||||||||||||
279,774 | S | New Century Home Equity Loan Trust, 0.607%, due 06/25/35 | 264,317 | ||||||||||||
204,425 | S | Renaissance Home Equity Loan Trust, 0.787%, due 08/25/33 | 173,891 | ||||||||||||
104,520 | S | Securitized Asset-Backed Receivables, LLC Trust, 0.427%, due 11/25/36 | 35,832 | ||||||||||||
689,770 | |||||||||||||||
Other Asset-Backed Securities: | 1.9 | % | |||||||||||||
252,098 | S | Bear Stearns Asset-Backed Securities, Inc., 0.427%, due 10/25/36 | 231,772 | ||||||||||||
4,491,106 | S | Bear Stearns Asset-Backed Securities, Inc., 3.836%, due 10/25/36 | 3,219,054 | ||||||||||||
512,701 | S | Countrywide Asset-Backed Certificates, 0.397%, due 05/25/47 | 499,155 | ||||||||||||
69,631 | S | Credit-Based Asset Servicing and Securitization, LLC, 0.407%, due 11/25/36 | 62,463 | ||||||||||||
59,583 | S | First Franklin Mortgage Loan Asset-Backed Certificates, 0.397%, due 11/25/36 | 58,186 | ||||||||||||
412,243 | S | GSAMP Trust, 0.417%, due 12/25/36 | 270,806 | ||||||||||||
32,237 | S | Morgan Stanley Capital, Inc., 0.387%, due 10/25/36 | 31,859 | ||||||||||||
377,318 | S | Securitized Asset-Backed Receivables, LLC Trust, 0.407%, due 12/25/36 | 130,676 | ||||||||||||
18,082,254 | S | Small Business Administration, 5.160%, due 02/01/28 | 19,472,002 | ||||||||||||
1,718,747 | S | Small Business Administration, 5.290%, due 12/01/27 | �� | 1,883,515 | |||||||||||
15,457,814 | S | Small Business Administration, 5.471%, due 03/10/18 | 16,601,228 | ||||||||||||
11,609,966 | S | Small Business Administration, 5.490%, due 03/01/28 | 12,679,312 | ||||||||||||
12,333,047 | S | Small Business Administration, 5.902%, due 02/10/18 | 13,714,816 | ||||||||||||
741,932 | S | Specialty Underwriting & Residential Finance, 0.407%, due 01/25/38 | 639,821 | ||||||||||||
554,537 | S | Structured Asset Securities Corp., 0.397%, due 10/25/36 | 546,933 | ||||||||||||
70,041,598 | |||||||||||||||
Total Asset-Backed Securities ( Cost $ 80,781,965 ) | 84,003,017 | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: | 4.5 | % | |||||||||||||
524,315 | S | Adjustable Rate Mortgage Trust, 3.113%, due 05/25/35 | 513,820 | ||||||||||||
1,573,767 | S | American Home Mortgage Investment Trust, 2.527%, due 02/25/45 | 1,420,059 | ||||||||||||
907,463 | S | American Home Mortgage Investment Trust, 2.679%, due 02/25/44 | 895,199 | ||||||||||||
3,500,000 | S | Banc of America Commercial Mortgage, Inc., 5.928%, due 05/10/45 | 3,712,774 | ||||||||||||
2,427,139 | S | Banc of America Funding Corp., 2.926%, due 05/25/35 | 2,389,721 | ||||||||||||
249,004 | S | Banc of America Mortgage Securities, Inc., 3.368%, due 07/25/33 | 241,196 | ||||||||||||
677,859 | S | Banc of America Mortgage Securities, Inc., 5.000%, due 05/25/34 | 683,792 | ||||||||||||
169,270 | S | Bear Stearns Adjustable Rate Mortgage Trust, 3.529%, due 01/25/34 | 160,773 | ||||||||||||
5,732,635 | S | Bear Stearns Adjustable Rate Mortgage Trust, 4.625%, due 10/25/35 | 5,059,501 | ||||||||||||
1,443,126 | S | Bear Stearns Alternative-A Trust, 2.759%, due 05/25/35 | 1,116,179 | ||||||||||||
1,216,294 | S | Bear Stearns Alternative-A Trust, 4.539%, due 09/25/35 | 920,911 | ||||||||||||
3,793,383 | S | Bear Stearns Alternative-A Trust, 5.496%, due 11/25/36 | 2,359,566 | ||||||||||||
2,156,362 | S | Bear Stearns Alternative-A Trust, 5.507%, due 11/25/36 | 1,380,458 | ||||||||||||
1,200,000 | S | Bear Stearns Commercial Mortgage Securities, 5.471%, due 01/12/45 | 1,243,803 | ||||||||||||
851,504 | S | Citigroup Mortgage Loan Trust, Inc., 2.810%, due 10/25/35 | 706,941 | ||||||||||||
3,700,000 | S | Commercial Mortgage Pass-through Certificates, 5.306%, due 12/10/46 | 3,616,951 | ||||||||||||
4,547,306 | S, I, ^ | Countrywide Alternative Loan Trust, 4.653%, due 05/25/35 | 462,069 | ||||||||||||
769,475 | S | Countrywide Home Loan Mortgage Pass-through Trust, 0.667%, due 03/25/35 | 453,924 | ||||||||||||
3,619,236 | #, S | Countrywide Home Loan Mortgage Pass-through Trust, 0.687%, due 06/25/35 | 2,970,066 | ||||||||||||
45,329 | S | Countrywide Home Loan Mortgage Pass-through Trust, 5.750%, due 05/25/33 | 45,201 | ||||||||||||
10,700,000 | S | Credit Suisse Mortgage Capital Certificates, 5.695%, due 09/15/40 | 10,185,098 | ||||||||||||
400,000 | S | Credit Suisse Mortgage Capital Certificates, 5.846%, due 03/15/39 | 416,759 | ||||||||||||
688,715 | S | Downey Savings & Loan Association Mortgage Loan Trust, 2.483%, due 07/19/44 | 516,582 | ||||||||||||
502,910 | Federal Housing Administration, 8.175%, due 03/01/27 | 507,580 | |||||||||||||
732,229 | S | First Horizon Alternative Mortgage Securities, 2.389%, due 03/25/35 | 511,567 | ||||||||||||
47,666,128 | S, I, ^ | First Horizon Alternative Mortgage Securities, 4.353%, due 01/25/36 | 4,408,378 | ||||||||||||
5,656,929 | S | First Horizon Asset Securities, Inc., 5.722%, due 02/25/36 | 5,259,592 | ||||||||||||
858,330 | S | GMAC Mortgage Corp. Loan Trust, 5.254%, due 11/19/35 | 733,473 | ||||||||||||
420,989 | S | GMAC Mortgage Corp. Loan Trust, 5.500%, due 09/25/34 | 424,952 | ||||||||||||
120,584 | S | Greenpoint Mortgage Funding Trust, 0.427%, due 01/25/47 | 112,676 | ||||||||||||
200,000 | S | Greenwich Capital Commercial Funding Corp., 4.799%, due 08/10/42 | 207,957 | ||||||||||||
1,900,000 | S | Greenwich Capital Commercial Funding Corp., 5.444%, due 03/10/39 | 1,907,232 | ||||||||||||
2,385,151 | S | GSR Mortgage Loan Trust, 2.943%, due 09/25/35 | 2,241,973 | ||||||||||||
17,040 | S | GSR Mortgage Loan Trust, 6.000%, due 03/25/32 | 17,038 | ||||||||||||
4,473,763 | S | Harborview Mortgage Loan Trust, 0.538%, due 01/19/38 | 2,377,518 | ||||||||||||
4,272,476 | S | Harborview Mortgage Loan Trust, 0.588%, due 03/19/36 | 2,302,121 | ||||||||||||
600,000 | S | JP Morgan Chase Commercial Mortgage Securities Corp., 5.420%, due 01/15/49 | 587,628 | ||||||||||||
1,300,000 | S | JP Morgan Chase Commercial Mortgage Securities Corp., 5.882%, due 02/15/51 | 1,306,581 | ||||||||||||
212,767 | S | JP Morgan Mortgage Trust, 5.750%, due 01/25/36 | 186,423 | ||||||||||||
1,458,899 | S | Merrill Lynch Mortgage Investors Trust, 0.557%, due 02/25/36 | 1,109,680 | ||||||||||||
8,870,000 | S | Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.378%, due 08/12/48 | 8,195,855 | ||||||||||||
2,700,000 | S | Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.485%, due 03/12/51 | 2,589,376 | ||||||||||||
12,900,000 | S | Merrill Lynch/Countrywide Commercial Mortgage Trust, 6.155%, due 08/12/49 | 13,160,129 | ||||||||||||
366,273 | S | MLCC Mortgage Investors, Inc., 0.597%, due 11/25/35 | 299,637 | ||||||||||||
16,500,000 | S | Morgan Stanley Capital I, 5.809%, due 12/12/49 | 17,118,818 | ||||||||||||
3,900,000 | S | Morgan Stanley Capital I, 6.075%, due 06/11/49 | 3,969,173 | ||||||||||||
1,400,000 | #, S | Morgan Stanley Reremic Trust, 5.999%, due 08/12/45 | 1,470,327 | ||||||||||||
63,673 | #, S | Nomura Asset Acceptance Corp., 7.000%, due 02/19/30 | 63,712 | ||||||||||||
475,518 | S | Residential Accredit Loans, Inc., 0.747%, due 03/25/33 | 425,210 | ||||||||||||
1,153,781 | S | Residential Accredit Loans, Inc., 1.773%, due 09/25/45 | 652,693 | ||||||||||||
258,511 | S | Residential Asset Securitization Trust, 0.747%, due 05/25/33 | 226,066 | ||||||||||||
97,120 | S | Sequoia Mortgage Trust, 0.698%, due 07/20/33 | 81,387 | ||||||||||||
316,125 | S | SLM Student Loan Trust, 0.566%, due 07/25/13 | 316,339 | ||||||||||||
738,610 | S | SLM Student Loan Trust, 0.616%, due 01/25/15 | 739,091 | ||||||||||||
2,600,000 | S | SLM Student Loan Trust, 0.816%, due 10/25/17 | 2,621,124 | ||||||||||||
3,572,485 | S | SLM Student Loan Trust, 0.996%, due 07/25/13 | 3,579,399 | ||||||||||||
26,772,947 | S | SLM Student Loan Trust, 1.816%, due 04/25/23 | 27,709,350 | ||||||||||||
1,000,000 | SLM Student Loan Trust, 2.846%, due 12/16/19 | 1,000,000 | |||||||||||||
101,176 | S | Structured Asset Mortgage Investments, Inc., 0.447%, due 09/25/47 | 100,314 | ||||||||||||
3,769,186 | S | Structured Asset Mortgage Investments, Inc., 0.567%, due 05/25/36 | 2,008,194 | ||||||||||||
1,576,931 | S | Structured Asset Mortgage Investments, Inc., 0.598%, due 07/19/35 | 1,324,496 | ||||||||||||
4,363,711 | S | Thornburg Mortgage Securities Trust, 0.447%, due 03/25/37 | 4,215,795 | ||||||||||||
3,131,537 | S | Thornburg Mortgage Securities Trust, 0.457%, due 11/25/46 | 3,015,246 | ||||||||||||
3,613,020 | #, S | Wachovia Bank Commercial Mortgage Trust, 0.440%, due 09/15/21 | 3,283,604 | ||||||||||||
1,658,756 | S | Washington Mutual Mortgage Pass-through Certificates, 0.887%, due 12/25/27 | 1,494,245 | ||||||||||||
71,095 | S | Washington Mutual Mortgage Pass-through Certificates, 1.821%, due 06/25/42 | 56,715 | ||||||||||||
82,209 | S | Washington Mutual Mortgage Pass-through Certificates, 1.821%, due 08/25/42 | 72,254 | ||||||||||||
254,815 | S | Washington Mutual Mortgage Pass-through Certificates, 3.325%, due 10/25/46 | 165,982 | ||||||||||||
3,761,239 | S | Washington Mutual Mortgage Pass-through Certificates, 3.359%, due 08/25/46 | 2,501,214 | ||||||||||||
1,124,010 | S | Wells Fargo Mortgage-Backed Securities Trust, 2.921%, due 07/25/35 | 1,127,287 | ||||||||||||
242,025 | S | Wells Fargo Mortgage-Backed Securities Trust, 3.123%, due 05/25/35 | 229,838 | ||||||||||||
Total Collateralized Mortgage Obligations (Cost $ 171,910,261) | 169,486,582 | ||||||||||||||
MUNICIPAL BONDS: | 2.8% | ||||||||||||||
Alaska: | 0.2 | % | |||||||||||||
9,400,000 | S | Northern TOB Securitization Corp., 5.000%, due 06/01/46 | 6,009,514 | ||||||||||||
6,009,514 | |||||||||||||||
California: | 1.4 | % | |||||||||||||
4,500,000 | Bay Area Toll Authority, 7.043%, due 04/01/50 | 4,576,635 | |||||||||||||
1,200,000 | S | California Infrastructure & Economic Development Bank, 6.486%, due 05/15/49 | 1,339,800 | ||||||||||||
4,200,000 | S | California State Public Works Board, 7.804%, due 03/01/35 | 4,369,848 | ||||||||||||
2,000,000 | S | California State University, 6.484%, due 11/01/41 | 2,119,140 | ||||||||||||
6,700,000 | S | Los Angeles Unified School District, 4.500%, due 07/01/22 | 6,800,500 | ||||||||||||
21,000,000 | S | Southern California Public Power Authority, 5.943%, due 07/01/40 | 21,061,320 | ||||||||||||
700,000 | S | State of California, 7.500%, due 04/01/34 | 746,900 | ||||||||||||
1,200,000 | S | State of California, 5.650%, due 04/01/39 | 1,282,380 | ||||||||||||
1,300,000 | S | State of California, 7.550%, due 04/01/39 | 1,416,961 | ||||||||||||
1,800,000 | S | Tobacco Securitization Authority of Southern California, 5.125%, due 06/01/46 | 1,155,420 | ||||||||||||
9,300,000 | S | University of California, 6.270%, due 05/15/31 | 9,559,749 | ||||||||||||
54,428,653 | |||||||||||||||
Connecticut: | 0.3 | % | |||||||||||||
8,700,000 | S | State of Connecticut, 5.850%, due 03/15/32 | 10,051,545 | ||||||||||||
10,051,545 | |||||||||||||||
Illinois: | 0.4 | % | |||||||||||||
6,800,000 | S | Chicago Transit Authority, 6.899%, due 12/01/40 | 7,654,896 | ||||||||||||
700,000 | S | Chicago Transit Authority, 6.300%, due 12/01/21 | 772,597 | ||||||||||||
570,000 | S | City of Chicago, 5.000%, due 01/01/35 | 576,561 | ||||||||||||
1,200,000 | S | State of Illinois, 6.725%, due 04/01/35 | 1,141,692 | ||||||||||||
1,000,000 | S | State of Illinois, 6.900%, due 03/01/35 | 977,490 | ||||||||||||
3,400,000 | S | State of Illinois, 4.071%, due 01/01/14 | 3,360,934 | ||||||||||||
14,484,170 | |||||||||||||||
Nebraska: | 0.0 | % | |||||||||||||
1,500,000 | S | Public Power Generation Agency, 7.242%, due 01/01/41 | 1,569,045 | ||||||||||||
1,569,045 | |||||||||||||||
Nevada: | 0.1 | % | |||||||||||||
2,300,000 | S | County of Clark NV, 6.820%, due 07/01/45 | 2,618,573 | ||||||||||||
2,618,573 | |||||||||||||||
New Jersey: | 0.2 | % | |||||||||||||
8,100,000 | S | New Jersey Economic Development Authority, 1.480%, due 06/15/13 | 8,095,950 | ||||||||||||
8,095,950 | |||||||||||||||
New York: | 0.0 | % | |||||||||||||
870,000 | S | Tobacco Settlement Financing Corp., 5.875%, due 05/15/39 | 849,268 | ||||||||||||
849,268 | |||||||||||||||
Pennsylvania: | 0.2 | % | |||||||||||||
2,700,000 | S | Pennsylvania Economic Development Financing Authority, 6.532%, due 06/15/39 | 2,810,322 | ||||||||||||
4,000,000 | S | University of Pittsburgh, 5.000%, due 09/15/28 | 4,340,480 | ||||||||||||
7,150,802 | |||||||||||||||
Washington: | 0.0 | % | |||||||||||||
1,560,000 | S, Z | State of Washington, 3.945%, due 12/01/20 | 1,055,371 | ||||||||||||
1,055,371 | |||||||||||||||
Total Municipal Bonds (Cost $ 103,353,361) | 106,312,891 | ||||||||||||||
OTHER BONDS: |
| 1.2% | |||||||||||||
Foreign Government Bonds: | 1.2 | % | |||||||||||||
BRL | 56,500,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, due 01/01/17 | 28,331,542 | ||||||||||||
CAD | 4,600,000 | Canadian Government International Bond, 2.000%, due 12/01/14 | 4,276,913 | ||||||||||||
CAD | 200,000 | Canadian Government International Bond, 4.500%, due 06/01/15 | 206,919 | ||||||||||||
$ | 2,400,000 | #, S | Export-Import Bank of China, 4.875%, due 07/21/15 | 2,597,971 | |||||||||||
2,000,000 | Federative Republic of Brazil, 12.500%, due 01/05/22 | 1,254,848 | |||||||||||||
750,000 | Panama Government International Bond, 8.875%, due 09/30/27 | 1,003,125 | |||||||||||||
4,000,000 | #, S | Societe Financement de l’Economie Francaise, 0.504%, due 07/16/12 | 4,021,120 | ||||||||||||
975,000 | L | South Africa Government International Bond, 5.875%, due 05/30/22 | 1,040,910 | ||||||||||||
180,000 | South Africa Government International Bond, 6.500%, due 06/02/14 | 200,700 | |||||||||||||
Total Other Bonds (Cost $ 42,013,179) | 42,934,048 | ||||||||||||||
Shares | Value | ||||||||||||||
PREFERRED STOCK: | 1.0% | ||||||||||||||
Consumer Discretionary: | 0.0 | % | |||||||||||||
192,000 | @, P, S | Motors Liquidation Co. | $ | 1,306,080 | |||||||||||
1,306,080 | |||||||||||||||
Financials: | 1.0 | % | |||||||||||||
94,400 | S | American International Group, Inc. | 906,240 | ||||||||||||
39,000 | S | Wells Fargo & Co. | 36,309,000 | ||||||||||||
37,215,240 | |||||||||||||||
Total Preferred Stock (Cost $ 32,325,465) | 38,521,320 | ||||||||||||||
Total Long-Term Investments (Cost $ 3,297,983,841) | 3,399,871,194 | ||||||||||||||
Principal Amount | Value | ||||||||||||||
SHORT-TERM INVESTMENTS: | 25.3% | ||||||||||||||
U.S. Government Agency Obligations: | 16.4 | % | |||||||||||||
15,600,000 | S, Z | Fannie Mae, 0.090%, due 07/28/10 | 15,598,869 | ||||||||||||
6,200,000 | S, Z | Fannie Mae, 0.090%, due 08/03/10 | 6,199,486 | ||||||||||||
31,000,000 | S, Z | Fannie Mae, 0.090%, due 08/18/10 | 30,996,390 | ||||||||||||
5,600,000 | S, Z | Fannie Mae, 0.090%, due 08/19/10 | 5,599,325 | ||||||||||||
157,100,000 | S, Z | Fannie Mae, 0.090%, due 09/08/10 | 157,072,979 | ||||||||||||
8,400,000 | S, Z | Fannie Mae, 0.090%, due 09/20/10 | 8,398,303 | ||||||||||||
82,825,000 | S, Z | Fannie Mae, 0.110%, due 07/21/10 | 82,819,495 | ||||||||||||
50,800,000 | S, L, Z | Fannie Mae, 0.110%, due 08/11/10 | 50,793,247 | ||||||||||||
4,500,000 | S, Z | Federal Home Loan Bank, 0.090%, due 08/18/10 | 4,499,476 | ||||||||||||
1,700,000 | S, Z | Federal Home Loan Bank, 0.090%, due 08/20/10 | 1,699,787 | ||||||||||||
19,800,000 | S, Z | Federal Home Loan Bank, 0.090%, due 09/03/10 | 19,796,832 | ||||||||||||
14,400,000 | S, Z | Federal Home Loan Bank, 0.120%, due 08/13/10 | 14,397,923 | ||||||||||||
3,000,000 | S, Z | Federal Home Loan Bank, 0.150%, due 07/16/10 | 2,999,803 | ||||||||||||
4,800,000 | S, Z | Federal Home Loan Bank, 0.150%, due 08/04/10 | 4,799,290 | ||||||||||||
71,293,000 | S, Z | Federal Home Loan Bank, 0.160%, due 08/06/10 | 71,281,459 | ||||||||||||
13,900,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.090%, due 08/17/10 | 13,898,360 | ||||||||||||
27,000,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.090%, due 08/18/10 | 26,996,856 | ||||||||||||
17,600,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.090%, due 08/23/10 | 17,597,663 | ||||||||||||
1,900,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.110%, due 08/11/10 | 1,899,747 | ||||||||||||
16,407,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.120%, due 08/04/10 | 16,405,124 | ||||||||||||
19,000,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.120%, due 08/09/10 | 18,997,509 | ||||||||||||
1,500,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.120%, due 08/12/10 | 1,499,792 | ||||||||||||
500,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.140%, due 08/03/10 | 499,935 | ||||||||||||
33,600,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.140%, due 10/06/10 | 33,587,333 | ||||||||||||
4,000,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.140%, due 10/12/10 | 3,998,396 | ||||||||||||
Total U.S. Government Agency Obligations (Cost $ 612,274,103) | 612,333,379 | ||||||||||||||
U.S. Treasury Bills: | 0.0 | % | |||||||||||||
539,000 | S | 0.030%, due 07/08/10 | 538,997 | ||||||||||||
41,000 | S | 0.100%, due 08/26/10 | 40,994 | ||||||||||||
Total U.S. Treasury Bills (Cost $ 579,991) | 579,991 | ||||||||||||||
Shares | Value | ||||||||||||||
Securities Lending Collateralcc: | 8.9 | % | |||||||||||||
329,917,283 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 329,917,283 | |||||||||||||
2,280,616 I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 1,824,493 | |||||||||||||
Total Securities Lending Collateral (Cost $ 332,197,899) | 331,741,776 | ||||||||||||||
Total Short-Term Investments (Cost $ 945,051,993) | 944,655,146 | ||||||||||||||
Total Investments in Securities (Cost $ 4,243,035,834) * | 116.1 | % | $ | 4,344,526,340 | |||||||||||
Other Assets and Liabilities - Net | (16.1 | ) | (601,547,185 | ) | |||||||||||
Net Assets | 100.0 | % | $ | 3,742,979,155 | |||||||||||
@ | Non-income producing security | ||||||||||||||
ADR | American Depositary Receipt | ||||||||||||||
MASTR | Mortgage Asset Securitization Transaction, Inc. | ||||||||||||||
# | 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. Unless otherwise | |||||||||||||||
noted, these securities have been determined to be liquid under the guidelines established | |||||||||||||||
by the Funds’ Board of Directors/Trustees. | |||||||||||||||
P | Preferred Stock may be called prior to convertible date. | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
ip | Treasury inflation indexed protected security whose principal value is adjusted in accordance with changes to the Consumer Price Index. | ||||||||||||||
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. | ||||||||||||||
W | Settlement is on a when-issued or delayed-delivery basis. | ||||||||||||||
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. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | ||||||||||||||
± | Defaulted security | ||||||||||||||
^ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. | ||||||||||||||
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. | ||||||||||||||
BRL | Brazilian Real | ||||||||||||||
CAD | Canadian Dollar | ||||||||||||||
DKK | Danish Krone | ||||||||||||||
EUR | EU Euro | ||||||||||||||
GBP | British Pound | ||||||||||||||
JPY | Japanese Yen |
See Accompanying Notes to Financial Statements
Table of Contents
ING Pioneer Mid Cap Value Portfolio
| PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited)
| |||||||||||||
Shares | Value | |||||||||||||
COMMON STOCK: | 89.0% | |||||||||||||
Consumer Discretionary: | 10.9 | % | ||||||||||||
203,300 | @ | Bally Technologies, Inc. | $ | 6,584,887 | ||||||||||
256,600 | Best Buy Co., Inc. | 8,688,476 | ||||||||||||
146,624 | @ | BorgWarner, Inc. | 5,474,940 | |||||||||||
565,000 | CBS Corp. - Class B | 7,305,450 | ||||||||||||
219,955 | Fortune Brands, Inc. | 8,617,837 | ||||||||||||
311,703 | Gap, Inc. | 6,065,740 | ||||||||||||
152,600 | Harley-Davidson, Inc. | 3,392,298 | ||||||||||||
1,289,700 | @ | Interpublic Group of Cos., Inc. | 9,195,561 | |||||||||||
376,200 | @ | Jack in the Box, Inc. | 7,317,090 | |||||||||||
133,300 | Staples, Inc. | 2,539,365 | ||||||||||||
428,700 | @ | Toll Brothers, Inc. | 7,013,532 | |||||||||||
162,568 | Viacom - Class B | 5,099,758 | ||||||||||||
258,600 | Wyndham Worldwide Corp. | 5,208,204 | ||||||||||||
82,503,138 | ||||||||||||||
Consumer Staples: | 6.8 | % | ||||||||||||
25,550 | @ | BJ’s Wholesale Club, Inc. | 945,606 | |||||||||||
180,800 | Campbell Soup Co. | 6,478,064 | ||||||||||||
295,900 | ConAgra Foods, Inc. | 6,900,388 | ||||||||||||
487,600 | @ | Constellation Brands, Inc. | 7,616,312 | |||||||||||
128,900 | Hershey Co. | 6,178,177 | ||||||||||||
115,100 | JM Smucker Co. | 6,931,322 | ||||||||||||
204,561 | Kroger Co. | 4,027,806 | ||||||||||||
154,263 | Molson Coors Brewing Co. | 6,534,581 | ||||||||||||
382,000 | Sara Lee Corp. | 5,386,200 | ||||||||||||
50,998,456 | ||||||||||||||
Energy: | 8.5 | % | ||||||||||||
155,200 | Consol Energy, Inc. | 5,239,552 | ||||||||||||
178,550 | Devon Energy Corp. | 10,877,266 | ||||||||||||
1,134,280 | El Paso Corp. | 12,601,851 | ||||||||||||
231,100 | Halliburton Co. | 5,673,505 | ||||||||||||
424,100 | @ | Nabors Industries Ltd. | 7,472,642 | |||||||||||
184,700 | Noble Energy, Inc. | 11,142,951 | ||||||||||||
102,900 | Range Resources Corp. | 4,131,435 | ||||||||||||
387,700 | Valero Energy Corp. | 6,970,846 | ||||||||||||
64,110,048 | ||||||||||||||
Financials: | 21.2 | % | ||||||||||||
469,600 | Associated Banc-Corp. | 5,757,296 | ||||||||||||
167,900 | Assurant, Inc. | 5,826,130 | ||||||||||||
263,100 | Axis Capital Holdings Ltd. | 7,819,332 | ||||||||||||
202,109 | Comerica, Inc. | 7,443,674 | ||||||||||||
319,900 | Hartford Financial Services Group, Inc. | 7,079,387 | ||||||||||||
816,166 | Keycorp | 6,276,317 | ||||||||||||
347,026 | Lazard Ltd. | 9,269,064 | ||||||||||||
601,300 | Marsh & McLennan Cos., Inc. | 13,559,315 | ||||||||||||
659,500 | L | Moody’s Corp. | 13,137,240 | |||||||||||
319,600 | Northern Trust Corp. | 14,925,320 | ||||||||||||
534,745 | People’s United Financial, Inc. | 7,219,058 | ||||||||||||
164,800 | PNC Financial Services Group, Inc. | 9,311,200 | ||||||||||||
1,096,500 | @ | Popular, Inc. | 2,938,620 | |||||||||||
205,893 | RenaissanceRe Holdings Ltd. | 11,585,599 | ||||||||||||
175,500 | SunTrust Bank | 4,089,150 | ||||||||||||
247,400 | L | TCF Financial Corp. | 4,109,314 | |||||||||||
450,900 | @ | TD Ameritrade Holding Corp. | 6,898,770 | |||||||||||
877,207 | UnumProvident Corp. | 19,035,390 | ||||||||||||
170,500 | Zions Bancorp. | 3,677,685 | ||||||||||||
159,957,861 | ||||||||||||||
Health Care: | 5.6 | % | ||||||||||||
256,072 | Aetna, Inc. | 6,755,179 | ||||||||||||
132,900 | Baxter International, Inc. | 5,401,056 | ||||||||||||
362,050 | @ | Forest Laboratories, Inc. | 9,931,032 | |||||||||||
99,400 | @ | Humana, Inc. | 4,539,598 | |||||||||||
132,500 | @ | Mylan Laboratories | 2,257,800 | |||||||||||
195,262 | @ | Thermo Fisher Scientific, Inc. | 9,577,601 | |||||||||||
72,900 | @ | WellPoint, Inc. | 3,566,997 | |||||||||||
42,029,263 | ||||||||||||||
Industrials: | 9.0 | % | ||||||||||||
141,622 | Crane Co. | 4,278,401 | ||||||||||||
77,300 | Eaton Corp. | 5,058,512 | ||||||||||||
191,615 | Equifax, Inc. | 5,376,717 | ||||||||||||
183,500 | Ingersoll-Rand PLC | 6,328,915 | ||||||||||||
197,397 | Kennametal, Inc. | 5,019,806 | ||||||||||||
127,600 | L-3 Communications Holdings, Inc. | 9,039,184 | ||||||||||||
161,762 | Snap-On, Inc. | 6,617,683 | ||||||||||||
155,600 | SPX Corp. | 8,217,236 | ||||||||||||
544,000 | Textron, Inc. | 9,231,680 | ||||||||||||
90,070 | WW Grainger, Inc. | 8,957,462 | ||||||||||||
68,125,596 | ||||||||||||||
Information Technology: | 8.8 | % | ||||||||||||
228,150 | Analog Devices, Inc. | 6,356,259 | ||||||||||||
1,246,100 | @ | Brocade Communications Systems, Inc. | 6,429,876 | |||||||||||
155,583 | Computer Sciences Corp. | 7,040,131 | ||||||||||||
1,294,956 | @ | Compuware Corp. | 10,333,749 | |||||||||||
615,100 | @ | Dell, Inc. | 7,418,106 | |||||||||||
1,070,700 | @ | ON Semiconductor Corp. | 6,831,066 | |||||||||||
621,400 | Western Union Co. | 9,265,074 | ||||||||||||
754,700 | Xerox Corp. | 6,067,788 | ||||||||||||
488,200 | @ | Yahoo!, Inc. | 6,751,806 | |||||||||||
66,493,855 | ||||||||||||||
Materials: | 6.7 | % | ||||||||||||
165,600 | Air Products & Chemicals, Inc. | 10,732,536 | ||||||||||||
231,059 | Ball Corp. | 12,206,847 | ||||||||||||
312,400 | International Paper Co. | 7,069,612 | ||||||||||||
123,798 | Newmont Mining Corp. | 7,643,289 | ||||||||||||
87,800 | PPG Industries, Inc. | 5,303,998 | ||||||||||||
363,800 | Temple-Inland, Inc. | 7,519,746 | ||||||||||||
50,476,028 | ||||||||||||||
Telecommunication Services: | 1.6 | % | ||||||||||||
364,300 | CenturyTel, Inc. | 12,134,833 | ||||||||||||
12,134,833 | ||||||||||||||
Utilities: | 9.9 | % | ||||||||||||
491,200 | CMS Energy Corp. | 7,196,080 | ||||||||||||
245,000 | DPL, Inc. | 5,855,500 | ||||||||||||
219,927 | Edison International | 6,976,084 | ||||||||||||
155,100 | EQT Corp. | 5,605,314 | ||||||||||||
246,900 | FirstEnergy Corp. | 8,698,287 | ||||||||||||
237,800 | PPL Corp. | 5,933,110 | ||||||||||||
355,126 | Public Service Enterprise Group, Inc. | 11,126,098 | ||||||||||||
180,529 | Questar Corp. | 8,212,264 | ||||||||||||
322,145 | Sempra Energy | 15,073,165 | ||||||||||||
74,675,902 | ||||||||||||||
Total Common Stock (Cost $ 688,861,950) | 671,504,980 | |||||||||||||
REAL ESTATE INVESTMENT TRUSTS: | 6.5% | |||||||||||||
Financials: | 6.5 | % | ||||||||||||
98,691 | Alexandria Real Estate Equities, Inc. | 6,254,049 | ||||||||||||
450,716 | Annaly Capital Management, Inc. | 7,729,779 | ||||||||||||
45,429 | Boston Properties, Inc. | 3,240,905 | ||||||||||||
92,900 | Equity Residential | 3,868,356 | ||||||||||||
272,360 | L | First Potomac Realty Trust | 3,913,813 | |||||||||||
531,204 | Host Hotels & Resorts, Inc. | 7,160,630 | ||||||||||||
190,941 | Kilroy Realty Corp. | 5,676,676 | ||||||||||||
163,000 | Mack-Cali Realty Corp. | 4,845,990 | ||||||||||||
140,600 | Ventas, Inc. | 6,601,170 | ||||||||||||
Total Real Estate Investment Trusts (Cost $ 45,986,695) | 49,291,368 | |||||||||||||
Total Long-Term Investments (Cost $ 734,848,645) | 720,796,348 | |||||||||||||
SHORT-TERM INVESTMENTS: | 4.2% | |||||||||||||
Affiliated Mutual Fund: | 2.6 | % | ||||||||||||
19,867,661 | ING Institutional Prime Money Market Fund - Class I | 19,867,661 | ||||||||||||
Total Mutual Fund (Cost $ 19,867,661) | 19,867,661 | |||||||||||||
Securities Lending Collateralcc: | 1.6 | % | ||||||||||||
11,824,522 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 11,824,522 | ||||||||||||
214,360 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 171,488 | |||||||||||
Total Securities Lending Collateral (Cost $ 12,038,882) | 11,996,010 | |||||||||||||
Total Short-Term Investments (Cost $ 31,906,543) | 31,863,671 | |||||||||||||
Total Investments in Securities (Cost $ 766,755,188) * | 99.7 | % | $ | 752,660,019 | ||||||||||
Other Assets and Liabilities - Net | 0.3 | 2,220,339 | ||||||||||||
Net Assets | 100.0 | % | $ | 754,880,358 | ||||||||||
@ | Non-income producing security | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(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 Fund’s position in Series B is | ||||||||||||||
being fair valued daily. Please see the accompanying Notes to Financial Statements | ||||||||||||||
for additional details on securities lending. | ||||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS
ING T. Rowe Price Capital Appreciation Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | ||||||||||||||
COMMON STOCK: | 68.9 | % | |||||||||||||
Consumer Discretionary: | 10.1 | % | |||||||||||||
244,600 | @, L | Autozone, Inc. | $ | 47,261,612 | |||||||||||
1,169,219 | Cablevision Systems Corp. | 28,072,948 | |||||||||||||
140,300 | @ | Discovery Communications, Inc. - Class C | 4,339,479 | ||||||||||||
1,274,645 | @ | Dollar General Corp. | 35,116,470 | ||||||||||||
209,600 | Hasbro, Inc. | 8,614,560 | |||||||||||||
395,900 | @ | Kohl’s Corp. | 18,805,250 | ||||||||||||
3,307,200 | Lowe’s Cos., Inc. | 67,533,024 | |||||||||||||
542,375 | @ | Madison Square Garden, Inc. | 10,668,516 | ||||||||||||
473,500 | McDonald’s Corp. | 31,189,445 | |||||||||||||
3,561,033 | Time Warner, Inc. | 102,949,464 | |||||||||||||
354,550,768 | |||||||||||||||
Consumer Staples: | 9.8 | % | |||||||||||||
804,000 | Campbell Soup Co. | 28,807,320 | |||||||||||||
257,600 | Clorox Co. | 16,012,416 | |||||||||||||
1,592,284 | General Mills, Inc. | 56,557,928 | |||||||||||||
1,195,400 | Kellogg Co. | 60,128,620 | |||||||||||||
312,673 | Kimberly-Clark Corp. | 18,957,364 | |||||||||||||
961,200 | PepsiCo, Inc. | 58,585,140 | |||||||||||||
1,056,200 | Philip Morris International, Inc. | 48,416,208 | |||||||||||||
918,673 | Procter & Gamble Co. | 55,102,007 | |||||||||||||
342,567,003 | |||||||||||||||
Energy: | 6.8 | % | |||||||||||||
1,342,100 | ExxonMobil Corp. | 76,593,647 | |||||||||||||
150,300 | Hess Corp. | 7,566,102 | |||||||||||||
138,100 | Japan Petroleum Exploration Co. | 5,634,280 | |||||||||||||
253,500 | Murphy Oil Corp. | 12,560,925 | |||||||||||||
2,838,200 | Nexen, Inc. | 55,827,394 | |||||||||||||
1,428,600 | Spectra Energy Corp. | 28,672,002 | |||||||||||||
2,846,100 | Williams Cos., Inc. | 52,026,708 | |||||||||||||
238,881,058 | |||||||||||||||
Financials: | 13.5 | % | |||||||||||||
550,768 | Ameriprise Financial, Inc. | 19,899,248 | |||||||||||||
1,657,300 | AON Corp. | 61,518,976 | |||||||||||||
4,987,402 | Bank of America Corp. | 71,668,967 | |||||||||||||
1,520,500 | JP Morgan Chase & Co. | 55,665,505 | |||||||||||||
688,800 | Metlife, Inc. | 26,009,088 | |||||||||||||
380,195 | @, L | St Joe Co/The | 8,805,316 | ||||||||||||
1,265,800 | State Street Corp. | 42,809,356 | |||||||||||||
3,874,100 | US Bancorp. | 86,586,120 | |||||||||||||
3,410,800 | Wells Fargo & Co. | 87,316,480 | |||||||||||||
33,501 | @ | White Mountains Insurance Group Ltd. | 10,861,024 | ||||||||||||
471,140,080 | |||||||||||||||
Health Care: | 8.4 | % | |||||||||||||
556,000 | Baxter International, Inc. | 22,595,840 | |||||||||||||
515,200 | Beckman Coulter, Inc. | 31,061,408 | |||||||||||||
127,000 | Becton Dickinson & Co. | 8,587,740 | |||||||||||||
444,751 | @ | CareFusion Corp. | 10,095,848 | ||||||||||||
186,700 | CR Bard, Inc. | 14,474,851 | |||||||||||||
741,502 | @, L | Henry Schein, Inc. | 40,708,460 | ||||||||||||
597,500 | Merck & Co., Inc. | 20,894,575 | |||||||||||||
5,888,537 | Pfizer, Inc. | 83,970,538 | |||||||||||||
1,263,300 | @ | Thermo Fisher Scientific, Inc. | 61,964,865 | ||||||||||||
294,354,125 | |||||||||||||||
Industrials: | 8.8 | % | |||||||||||||
197,001 | @ | Cooper Industries PLC | 8,668,044 | ||||||||||||
1,949,062 | Danaher Corp. | 72,349,181 | |||||||||||||
372,300 | Illinois Tool Works, Inc. | 15,368,544 | |||||||||||||
399,200 | Lockheed Martin Corp. | 29,740,400 | |||||||||||||
847,500 | Mitsubishi Corp. | 17,533,454 | |||||||||||||
389,400 | Northrop Grumman Corp. | 21,198,936 | |||||||||||||
538,482 | Republic Services, Inc. | 16,009,070 | |||||||||||||
2,259,600 | Tyco International Ltd. | 79,605,708 | |||||||||||||
717,701 | United Technologies Corp. | 46,585,972 | |||||||||||||
307,059,309 | |||||||||||||||
Information Technology: | 7.7 | % | |||||||||||||
929,200 | Accenture PLC | 35,913,580 | |||||||||||||
1,247,600 | CA, Inc. | 22,955,840 | |||||||||||||
294,000 | @ | Fiserv, Inc. | 13,424,040 | ||||||||||||
858,500 | International Business Machines Corp. | 106,007,580 | |||||||||||||
314,500 | Microsoft Corp. | 7,236,645 | |||||||||||||
1,611,908 | Tyco Electronics Ltd. | 40,910,225 | |||||||||||||
2,821,800 | Western Union Co. | 42,073,038 | |||||||||||||
268,520,948 | |||||||||||||||
Materials: | 0.8 | % | |||||||||||||
52,200 | Air Products & Chemicals, Inc. | 3,383,082 | |||||||||||||
277,600 | Monsanto Co. | 12,830,672 | |||||||||||||
181,300 | Sherwin-Williams Co. | 12,544,147 | |||||||||||||
28,757,901 | |||||||||||||||
Telecommunication Services: | 0.2 | % | |||||||||||||
366,600 | AT&T, Inc. | 8,868,054 | |||||||||||||
8,868,054 | |||||||||||||||
Utilities: | 2.8 | % | |||||||||||||
596,000 | @ | AES Corp. | 5,507,040 | ||||||||||||
247,183 | American Electric Power Co., Inc. | 7,984,011 | |||||||||||||
497,200 | CenterPoint Energy, Inc. | 6,543,152 | |||||||||||||
77,200 | Entergy Corp. | 5,529,064 | |||||||||||||
2,842,400 | NV Energy, Inc. | 33,568,744 | |||||||||||||
951,000 | OGE Energy Corp. | 34,768,560 | |||||||||||||
95,200 | Pacific Gas & Electric Co. | 3,912,720 | |||||||||||||
97,813,291 | |||||||||||||||
Total Common Stock ( Cost $ 2,331,546,670 ) | 2,412,512,537 | ||||||||||||||
PREFERRED STOCK: | 1.9% | ||||||||||||||
Consumer Discretionary: | 0.3 | % | |||||||||||||
333,900 | P | Newell Financial Trust I | 11,769,975 | ||||||||||||
11,769,975 | |||||||||||||||
Consumer Staples: | 0.1 | % | |||||||||||||
42 | #, I | HJ Heinz Finance Co. | 4,499,250 | ||||||||||||
4,499,250 | |||||||||||||||
Energy: | 0.0 | % | |||||||||||||
15,400 | Goodrich Petroleum Corp. | 453,530 | |||||||||||||
453,530 | |||||||||||||||
Financials: | 1.0 | % | |||||||||||||
385,100 | Affiliated Managers Group, Inc. | 15,283,656 | |||||||||||||
308,200 | Aspen Insurance Holdings Ltd. | 15,659,642 | |||||||||||||
116,700 | @ | Synovus Financial Corp. | 2,885,991 | ||||||||||||
33,829,289 | |||||||||||||||
Sovereign: | 0.0 | % | |||||||||||||
164 | @, P | Federal National Mortgage Association - Convertible Series 2004-1 | 369,000 | ||||||||||||
369,000 | |||||||||||||||
Telecommunication Services: | 0.3 | % | |||||||||||||
171,700 | Crown Castle International Corp. | 9,658,125 | |||||||||||||
9,658,125 | |||||||||||||||
Utilities: | 0.2 | % | |||||||||||||
99,600 | @ | PPL Corp. | 5,193,144 | ||||||||||||
5,193,144 | |||||||||||||||
Total Preferred Stock ( Cost $ 85,044,275 ) | 65,772,313 | ||||||||||||||
Principal Amount | Value | ||||||||||||||
CORPORATE BONDS/NOTES: | 19.0 | % | |||||||||||||
Consumer Discretionary: | 4.8 | % | |||||||||||||
$ | 4,237,020 | CSC Holdings, Inc., 3.250%, due 02/24/12 | $ | 4,148,161 | |||||||||||
17,388,815 | CSC Holdings, Inc., 4.000%, due 03/30/16 | 16,891,599 | |||||||||||||
9,300,000 | CSC Holdings, Inc., 7.625%, due 04/01/11 | 9,579,000 | |||||||||||||
870,000 | DirecTV Holdings LLC / DirecTV Financing Co., Inc., 5.875%, due 10/01/19 | 952,087 | |||||||||||||
4,875,000 | DISH DBS Corp., 6.625%, due 10/01/14 | 4,887,188 | |||||||||||||
4,072,482 | Dollar General Corp., 3.100%, due 07/07/14 | 3,914,665 | |||||||||||||
9,750,000 | Dollar General Corp., 10.625%, due 07/15/15 | 10,712,813 | |||||||||||||
1,325,000 | & | Dollar General Corp., 11.875%, due 07/15/17 | 1,512,156 | ||||||||||||
11,202,298 | Federal Mogul Corp., 2.288%, due 06/27/15 | 9,788,008 | |||||||||||||
17,340,793 | Federal Mogul Corp., 2.288%, due 12/27/15 | 15,151,518 | |||||||||||||
2,275,000 | Fortune Brands, Inc., 5.125%, due 01/15/11 | 2,319,010 | |||||||||||||
17,839,000 | + | Group 1 Automotive, Inc., 2.250%, due 06/15/36 | 13,200,860 | ||||||||||||
2,448,000 | #, I | Group 1 Automotive, Inc., 3.000%, due 03/15/20 | 1,978,447 | ||||||||||||
615,000 | Home Depot, Inc., 4.625%, due 08/15/10 | 617,664 | |||||||||||||
6,110,000 | Home Depot, Inc., 5.400%, due 03/01/16 | 6,808,868 | |||||||||||||
3,061,000 | #, I | Hyatt Hotels Corp., 6.875%, due 08/15/19 | 3,296,657 | ||||||||||||
9,695,000 | Lamar Media Corp., 9.750%, due 04/01/14 | 10,616,025 | |||||||||||||
5,571,134 | Lear Corp., 3.033%, due 01/03/14 | 5,172,202 | |||||||||||||
11,628,000 | Liberty Media Corp., 3.125%, due 03/30/23 | 12,223,935 | |||||||||||||
6,836,393 | I | MGM Resorts International, 6.000%, due 10/03/11 | 6,605,664 | ||||||||||||
1,650,000 | # | MGM Resorts International, 9.000%, due 03/15/20 | 1,703,625 | ||||||||||||
2,130,000 | L | MGM Resorts International, 10.375%, due 05/15/14 | 2,327,025 | ||||||||||||
2,130,000 | MGM Resorts International, 13.000%, due 11/15/13 | 2,465,475 | |||||||||||||
3,175,000 | Penske Auto Group, Inc., 7.750%, due 12/15/16 | 3,000,375 | |||||||||||||
2,375,000 | # | Sirius XM Radio, Inc., 9.750%, due 09/01/15 | 2,535,313 | ||||||||||||
3,650,000 | Starwood Hotels & Resorts Worldwide, Inc., 7.875%, due 10/15/14 | 3,942,000 | |||||||||||||
6,888,000 | Time Warner, Inc., 6.875%, due 05/01/12 | 7,507,335 | |||||||||||||
3,250,000 | # | XM Satellite Radio, Inc., 11.250%, due 06/15/13 | 3,485,625 | ||||||||||||
167,343,300 | |||||||||||||||
Consumer Staples: | 0.3 | % | |||||||||||||
5,962,500 | Reynolds Consumer Products, 6.250%, due 11/05/15 | 5,935,669 | |||||||||||||
3,500,000 | Reynolds Group, 5.750%, due 05/16/16 | 3,482,500 | |||||||||||||
1,775,000 | Wm. Wrigley Jr. Co., 0.530%, due 12/11/12 | 1,774,189 | |||||||||||||
1,225,000 | Wm. Wrigley Jr. Co., 3.527%, due 12/11/14 | 1,224,487 | |||||||||||||
12,416,845 | |||||||||||||||
Energy: | 2.3 | % | |||||||||||||
2,815,000 | Buckeye Partners L.P., 5.500%, due 08/15/19 | 2,922,029 | |||||||||||||
11,950,000 | # | Consol Energy, Inc., 8.000%, due 04/01/17 | 12,398,125 | ||||||||||||
1,575,000 | Devon Energy Corp., 6.300%, due 01/15/19 | 1,827,690 | |||||||||||||
3,600,000 | Forest Oil Corp., 8.500%, due 02/15/14 | 3,771,000 | |||||||||||||
622,000 | Goodrich Petroleum Corp., 3.250%, due 12/01/26 | 591,678 | |||||||||||||
1,415,000 | #, I | Gulfstream Natural Gas System LLC, 6.950%, due 06/01/16 | 1,576,835 | ||||||||||||
550,000 | Magellan Midstream Partners L.P., 6.550%, due 07/15/19 | 618,748 | |||||||||||||
8,471,000 | Oil States International, Inc., 2.375%, due 07/01/25 | 11,541,738 | |||||||||||||
29,255,000 | Peabody Energy Corp., 4.750%, due 12/15/41 | 28,669,900 | |||||||||||||
1,200,000 | Peabody Energy Corp., 6.875%, due 03/15/13 | 1,215,000 | |||||||||||||
1,125,000 | PetroHawk Energy Corp., 10.500%, due 08/01/14 | 1,215,000 | |||||||||||||
1,715,000 | Pride International, Inc., 8.500%, due 06/15/19 | 1,787,888 | |||||||||||||
1,220,000 | Questar Market Resources, Inc., 6.800%, due 03/01/20 | 1,270,196 | |||||||||||||
3,400,000 | Quicksilver Resources, Inc., 11.750%, due 01/01/16 | 3,765,500 | |||||||||||||
2,125,000 | Range Resources Corp., 8.000%, due 05/15/19 | 2,228,594 | |||||||||||||
1,208,000 | #, I | Southeast Supply Header LLC, 4.850%, due 08/15/14 | 1,265,290 | ||||||||||||
1,270,000 | Spectra Energy Capital, LLC, 5.650%, due 03/01/20 | 1,336,959 | |||||||||||||
1,550,000 | Tennessee Gas Pipeline Co., 8.000%, due 02/01/16 | 1,809,625 | |||||||||||||
1,220,000 | #, I | Williams Partners L.P., 3.800%, due 02/15/15 | 1,229,209 | ||||||||||||
81,041,004 | |||||||||||||||
Financials: | 1.1 | % | |||||||||||||
15,463,000 | #, I | Host Hotels & Resorts L.P., 2.625%, due 04/15/27 | 14,728,508 | ||||||||||||
5,125,000 | Janus Capital Group, Inc., 6.950%, due 06/15/17 | 5,151,824 | |||||||||||||
10,199,560 | Nuveen Investments, 3.533%, due 11/09/14 | 8,594,721 | |||||||||||||
6,376,680 | Pinnacle Foods Finance LLC, 2.848%, due 04/02/14 | 5,990,662 | |||||||||||||
2,500,000 | Pinnacle Foods Finance LLC, 7.500%, due 04/02/14 | 2,498,048 | |||||||||||||
1,780,000 | Teco Finance, Inc., 7.000%, due 05/01/12 | 1,926,629 | |||||||||||||
38,890,392 | |||||||||||||||
Health Care: | 1.8 | % | |||||||||||||
1,230,000 | Beckman Coulter, Inc., 7.000%, due 06/01/19 | 1,465,904 | |||||||||||||
2,435,000 | CareFusion Corp., 6.375%, due 08/01/19 | 2,786,463 | |||||||||||||
20,562,595 | HCA, Inc., 1.783%, due 11/18/12 | 19,477,713 | |||||||||||||
2,355,000 | Life Technologies Corp., 3.375%, due 03/01/13 | 2,408,739 | |||||||||||||
10,265,000 | LifePoint Hospitals, Inc., 3.250%, due 08/15/25 | 9,661,931 | |||||||||||||
20,874,000 | L | Millipore Corp., 3.750%, due 06/01/26 | 26,170,778 | ||||||||||||
61,971,528 | |||||||||||||||
Industrials: | 0.8 | % | |||||||||||||
630,000 | Actuant Corp., 2.000%, due 11/15/23 | 666,225 | |||||||||||||
1,211,597 | American Airlines Pass-Through Trust, 10.375%, due 07/02/19 | 1,344,873 | |||||||||||||
2,733,603 | L | Continental Airlines, Inc., 9.000%, due 07/08/16 | 2,938,624 | ||||||||||||
2,404,926 | Delta Airlines, Inc., 7.750%, due 12/17/19 | 2,597,320 | |||||||||||||
2,410,000 | Pall Corp., 5.000%, due 06/15/20 | 2,504,706 | |||||||||||||
5,000,000 | Rexnord, LLC, 2.875%, due 07/19/13 | 4,773,440 | |||||||||||||
3,810,000 | Roper Industries, Inc., 6.250%, due 09/01/19 | 4,231,436 | |||||||||||||
2,129,000 | Sunpower Corp. - Class A, 4.750%, due 04/15/14 | 1,697,878 | |||||||||||||
4,915,000 | Tyco Electronics Group S.A., 6.000%, due 10/01/12 | 5,310,520 | |||||||||||||
2,570,000 | Tyco Electronics Group S.A., 6.550%, due 10/01/17 | 2,955,749 | |||||||||||||
29,020,771 | |||||||||||||||
Information Technology: | 3.7 | % | |||||||||||||
8,804,000 | Alcatel-Lucent USA, Inc., 2.875%, due 06/15/25 | 7,461,390 | |||||||||||||
2,425,000 | #, I | Brocade Communications Systems, Inc., 6.625%, due 01/15/18 | 2,418,938 | ||||||||||||
575,000 | # | Brocade Communications Systems, Inc., 6.875%, due 01/15/20 | 573,563 | ||||||||||||
9,825,000 | # | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, due 05/01/17 | 10,439,063 | ||||||||||||
35,689,954 | First Data Corp., 3.097%, due 09/24/14 | 30,149,089 | |||||||||||||
735,000 | Harris Corp., 6.375%, due 06/15/19 | 825,438 | |||||||||||||
10,883,000 | JDS Uniphase Corp., 1.000%, due 05/15/26 | 9,658,663 | |||||||||||||
26,774,000 | L | Linear Technology Corp., 3.000%, due 05/01/27 | 26,338,923 | ||||||||||||
3,610,000 | Maxim Integrated Products, Inc., 3.450%, due 06/14/13 | 3,642,071 | |||||||||||||
3,250,000 | MSCI, Inc. - Class A, 4.750%, due 03/01/16 | 3,252,707 | |||||||||||||
9,135,000 | Newport Corp., 2.500%, due 02/15/12 | 8,643,994 | |||||||||||||
2,656,000 | SBA Communications Corp., 1.875%, due 05/01/13 | 2,682,560 | |||||||||||||
3,452,000 | VeriSign, Inc., 3.250%, due 08/15/37 | 3,137,005 | |||||||||||||
22,280,000 | Xilinx, Inc., 3.125%, due 03/15/37 | 20,414,050 | |||||||||||||
129,637,454 | |||||||||||||||
Materials: | 2.2 | % | |||||||||||||
11,020,000 | Airgas, Inc., 2.850%, due 10/01/13 | 11,120,976 | |||||||||||||
1,325,000 | Ball Corp., 7.375%, due 09/01/19 | 1,384,625 | |||||||||||||
584,840 | Georgia-Pacific Corp., 2.533%, due 08/22/14 | 581,368 | |||||||||||||
24,456,661 | Georgia-Pacific Corp., 2.537%, due 12/20/12 | 23,696,989 | |||||||||||||
11,202,738 | Georgia-Pacific Corp., 3.787%, due 12/23/14 | 11,085,457 | |||||||||||||
2,300,000 | # | Georgia-Pacific Corp., 8.250%, due 05/01/16 | 2,463,875 | ||||||||||||
1,496,250 | Nalco Co., 2.508%, due 05/01/16 | 1,425,646 | |||||||||||||
3,055,000 | L | Newmont Mining Corp., 1.250%, due 07/15/14 | 4,368,650 | ||||||||||||
7,641,000 | Newmont Mining Corp., 1.625%, due 07/15/17 | 11,050,796 | |||||||||||||
1,125,000 | Silgan Holdings, Inc., 7.250%, due 08/15/16 | 1,158,750 | |||||||||||||
2,400,000 | Teck Resources Ltd., 10.750%, due 05/15/19 | 2,945,148 | |||||||||||||
3,406,000 | United States Steel Corp., 4.000%, due 05/15/14 | 4,781,173 | |||||||||||||
76,063,453 | |||||||||||||||
Telecommunication Services: | 1.1 | % | |||||||||||||
750,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 3.038%, due 09/06/14 | 754,102 | |||||||||||||
1,795,955 | Charter Communications, 2.350%, due 03/06/14 | 1,668,986 | |||||||||||||
14,579,586 | Charter Communications, 3.790%, due 09/06/16 | 13,611,079 | |||||||||||||
3,702,651 | Charter Communications, 7.250%, due 03/06/14 | 3,722,901 | |||||||||||||
8,150,000 | Crown Castle International Corp., 9.000%, due 01/15/15 | 8,659,375 | |||||||||||||
825,000 | # | SBA Telecommunications, Inc., 8.000%, due 08/15/16 | 858,000 | ||||||||||||
625,000 | # | SBA Telecommunications, Inc., 8.250%, due 08/15/19 | 660,938 | ||||||||||||
775,000 | Sprint Capital Corp., 6.900%, due 05/01/19 | 705,250 | |||||||||||||
7,025,000 | Sprint Capital Corp., 8.375%, due 03/15/12 | 7,402,594 | |||||||||||||
38,043,225 | |||||||||||||||
Utilities: | 0.9 | % | |||||||||||||
1,240,000 | Atmos Energy Corp., 8.500%, due 03/15/19 | 1,560,972 | |||||||||||||
985,000 | Black Hills Corp., 9.000%, due 05/15/14 | 1,152,856 | |||||||||||||
7,875,000 | # | Calpine Construction Finance Co. L.P., 8.000%, due 06/01/16 | 8,091,563 | ||||||||||||
14,900,000 | Calpine Corp., 7.000%, due 04/21/17 | 14,772,292 | |||||||||||||
485,000 | CMS Energy Corp., 6.250%, due 02/01/20 | 463,853 | |||||||||||||
1,405,000 | Dominion Resources, Inc., 5.200%, due 08/15/19 | 1,526,103 | |||||||||||||
1,380,000 | #, I | Kansas Gas & Electric, 6.700%, due 06/15/19 | 1,620,533 | ||||||||||||
2,440,000 | Otter Tail Corp., 9.000%, due 12/15/16 | 2,549,800 | |||||||||||||
31,737,972 | |||||||||||||||
Total Corporate Bonds/Notes (Cost $ 625,393,347 ) | 666,165,944 | ||||||||||||||
Total Long-Term Investments (Cost $ 3,041,984,292 ) | 3,144,450,794 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 12.5% | ||||||||||||||
Money Market: | 12.1 | % | |||||||||||||
422,686,382 | T. Rowe Price Reserve Investment Fund | 422,686,382 | |||||||||||||
Total Money Market ( Cost $ 422,686,382 ) | 422,686,382 | ||||||||||||||
Securities Lending Collateralcc: | 0.4 | % | |||||||||||||
10,937,507 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 10,937,507 | |||||||||||||
2,552,122 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 2,041,698 | ||||||||||||
Total Securities Lending Collateral (Cost $ 13,489,629) | 12,979,205 | ||||||||||||||
Total Short-Term Investments (Cost $ 436,176,011) | 435,665,587 | ||||||||||||||
Total Investments in Securities (Cost $ 3,478,160,303) * | 102.3 | % | $ | 3,580,116,381 | |||||||||||
Other Assets and Liabilities - Net | (2.3) | (80,364,643 | ) | ||||||||||||
Net Assets | 100.0 | % | $ | 3,499,751,738 | |||||||||||
@ | Non-income producing security | ||||||||||||||
& | Payment-in-kind | ||||||||||||||
+ | Step-up basis bonds. Interest rates shown reflect current and next coupon rates. | ||||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | ||||||||||||||
P | Preferred Stock may be called prior to convertible date. | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
See Accompanying Notes to Financial Statements
Table of Contents
ING T. Rowe Price Equity Income Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited) |
Shares | Value | |||||||||||||
COMMON STOCK: | 95.8 | % | ||||||||||||
Consumer Discretionary: | 14.7 | % | ||||||||||||
310,300 | @ | Bed Bath & Beyond, Inc. | $ | 11,505,924 | ||||||||||
365,600 | Cablevision Systems Corp. | 8,778,056 | ||||||||||||
283,700 | Comcast Corp. – Class A | 4,927,869 | ||||||||||||
223,400 | D.R. Horton, Inc. | 2,196,022 | ||||||||||||
381,800 | Fortune Brands, Inc. | 14,958,924 | ||||||||||||
155,200 | Genuine Parts Co. | 6,122,640 | ||||||||||||
233,800 | H&R Block, Inc. | 3,668,322 | ||||||||||||
240,900 | Harley-Davidson, Inc. | 5,355,207 | ||||||||||||
720,100 | Home Depot, Inc. | 20,213,207 | ||||||||||||
270,300 | Macy’s, Inc. | 4,838,370 | ||||||||||||
90,675 | @ | Madison Square Garden, Inc. | 1,783,577 | |||||||||||
301,425 | Marriott International, Inc. | 9,024,665 | ||||||||||||
492,300 | Mattel, Inc. | 10,417,068 | ||||||||||||
438,500 | McGraw-Hill Cos., Inc. | 12,339,390 | ||||||||||||
335,400 | @, L | MGM Resorts International | 3,233,256 | |||||||||||
558,900 | @ | New York Times Co. | 4,834,485 | |||||||||||
143,300 | Tiffany & Co. | 5,432,503 | ||||||||||||
634,366 | Time Warner, Inc. | 18,339,521 | ||||||||||||
480,100 | Walt Disney Co. | 15,123,150 | ||||||||||||
144,500 | Whirlpool Corp. | 12,689,990 | ||||||||||||
386,300 | WPP PLC | 3,639,130 | ||||||||||||
179,421,276 | ||||||||||||||
Consumer Staples: | 4.7 | % | ||||||||||||
113,700 | Archer-Daniels-Midland Co. | 2,935,734 | ||||||||||||
56,600 | Campbell Soup Co. | 2,027,978 | ||||||||||||
436,500 | Hershey Co. | 20,921,445 | ||||||||||||
220,000 | Kimberly-Clark Corp. | 13,338,600 | ||||||||||||
287,200 | Kraft Foods, Inc. | 8,041,600 | ||||||||||||
148,900 | McCormick & Co., Inc. | 5,652,244 | ||||||||||||
91,600 | Wal-Mart Stores, Inc. | 4,403,212 | ||||||||||||
57,320,813 | ||||||||||||||
Energy: | 12.0 | % | ||||||||||||
234,400 | Anadarko Petroleum Corp. | 8,459,496 | ||||||||||||
75,800 | Baker Hughes, Inc. | 3,151,006 | ||||||||||||
289,624 | BP PLC ADR | 8,364,341 | ||||||||||||
443,090 | Chevron Corp. | 30,068,087 | ||||||||||||
136,000 | ConocoPhillips | 6,676,240 | ||||||||||||
445,424 | ExxonMobil Corp. | 25,420,348 | ||||||||||||
314,400 | Murphy Oil Corp. | 15,578,520 | ||||||||||||
430,500 | Royal Dutch Shell PLC ADR - Class A | 21,619,710 | ||||||||||||
253,900 | Schlumberger Ltd. | 14,050,826 | ||||||||||||
270,550 | Spectra Energy Corp. | 5,429,939 | ||||||||||||
236,400 | Sunoco, Inc. | 8,219,628 | ||||||||||||
147,038,141 | ||||||||||||||
Financials: | 20.5 | % | ||||||||||||
699,900 | American Express Co. | 27,786,030 | ||||||||||||
1,875,619 | Bank of America Corp. | 26,952,645 | ||||||||||||
460,800 | Bank of New York Mellon Corp. | 11,377,152 | ||||||||||||
229,900 | Capital One Financial Corp. | 9,264,970 | ||||||||||||
111,000 | Chubb Corp. | �� | 5,551,110 | |||||||||||
1,029,644 | JP Morgan Chase & Co. | 37,695,267 | ||||||||||||
760,600 | Keycorp | 5,849,014 | ||||||||||||
384,200 | Legg Mason, Inc. | 10,769,126 | ||||||||||||
378,277 | Lincoln National Corp. | 9,188,348 | ||||||||||||
583,400 | Marsh & McLennan Cos., Inc. | 13,155,670 | ||||||||||||
433,400 | Marshall & Ilsley Corp. | 3,111,812 | ||||||||||||
271,400 | NYSE Euronext | 7,498,782 | ||||||||||||
300,600 | Progressive Corp. | 5,627,232 | ||||||||||||
686,700 | Regions Financial Corp. | 4,518,486 | ||||||||||||
732,600 | @ | SLM Corp. | 7,611,714 | |||||||||||
302,100 | L | Sun Life Financial, Inc. | 7,948,251 | |||||||||||
421,100 | SunTrust Bank | 9,811,630 | ||||||||||||
73,592 | Travelers Cos., Inc. | 3,624,406 | ||||||||||||
849,400 | US Bancorp. | 18,984,090 | ||||||||||||
938,400 | Wells Fargo & Co. | 24,023,040 | ||||||||||||
250,348,775 | ||||||||||||||
Health Care: | 5.3 | % | ||||||||||||
133,500 | @ | Amgen, Inc. | 7,022,100 | |||||||||||
435,700 | Bristol-Myers Squibb Co. | 10,866,358 | ||||||||||||
327,800 | Eli Lilly & Co. | 10,981,300 | ||||||||||||
199,700 | Johnson & Johnson | 11,794,282 | ||||||||||||
418,000 | Merck & Co., Inc. | 14,617,460 | ||||||||||||
699,376 | Pfizer, Inc. | 9,973,102 | ||||||||||||
65,254,602 | ||||||||||||||
Industrials: | 13.7 | % | ||||||||||||
278,400 | 3M Co. | 21,990,816 | ||||||||||||
244,600 | L | Avery Dennison Corp. | 7,858,998 | |||||||||||
188,300 | Boeing Co. | 11,815,825 | ||||||||||||
193,100 | @ | Cooper Industries PLC | 8,496,400 | |||||||||||
208,700 | Deere & Co. | 11,620,416 | ||||||||||||
66,900 | Eaton Corp. | 4,377,936 | ||||||||||||
112,300 | Emerson Electric Co. | 4,906,387 | ||||||||||||
2,069,700 | General Electric Co. | 29,845,072 | ||||||||||||
336,500 | Honeywell International, Inc. | 13,133,595 | ||||||||||||
345,100 | Illinois Tool Works, Inc. | 14,245,728 | ||||||||||||
141,900 | ITT Corp. | 6,374,148 | ||||||||||||
106,000 | Lockheed Martin Corp. | 7,897,000 | ||||||||||||
639,400 | Masco Corp. | 6,879,944 | ||||||||||||
44,400 | Pall Corp. | 1,526,028 | ||||||||||||
233,400 | United Parcel Service, Inc. - Class B | 13,278,126 | ||||||||||||
223,800 | @, L | USG Corp. | 2,703,504 | |||||||||||
166,949,923 | ||||||||||||||
Information Technology: | 5.6 | % | ||||||||||||
381,900 | Analog Devices, Inc. | 10,639,735 | ||||||||||||
376,800 | L | Applied Materials, Inc. | 4,529,136 | |||||||||||
229,400 | @ | Cisco Systems, Inc. | 4,888,514 | |||||||||||
220,800 | Computer Sciences Corp. | 9,991,200 | ||||||||||||
481,900 | @ | Dell, Inc. | 5,811,714 | |||||||||||
338,300 | @ | eBay, Inc. | 6,634,063 | |||||||||||
286,700 | @ | Electronic Arts, Inc. | 4,128,480 | |||||||||||
369,200 | Intel Corp. | 7,180,940 | ||||||||||||
649,400 | Microsoft Corp. | 14,942,694 | ||||||||||||
68,746,476 | ||||||||||||||
Materials: | 6.8 | % | ||||||||||||
364,700 | Alcoa, Inc. | 3,668,882 | ||||||||||||
330,500 | EI Du Pont de Nemours & Co. | 11,431,995 | ||||||||||||
238,100 | International Flavors & Fragrances, Inc. | 10,100,202 | ||||||||||||
659,893 | International Paper Co. | 14,933,379 | ||||||||||||
292,200 | MeadWestvaco Corp. | 6,486,840 | ||||||||||||
242,800 | Monsanto Co. | 11,222,216 | ||||||||||||
307,100 | Nucor Corp. | 11,755,788 | ||||||||||||
216,500 | L | Vulcan Materials Co. | 9,489,195 | |||||||||||
111,300 | Weyerhaeuser Co. | 3,917,760 | ||||||||||||
83,006,257 | ||||||||||||||
Telecommunication Services: | 4.3 | % | ||||||||||||
992,303 | AT&T, Inc. | 24,003,810 | ||||||||||||
1,784,200 | Qwest Communications International, Inc. | 9,367,050 | ||||||||||||
764,300 | @ | Sprint Nextel Corp. | 3,240,632 | |||||||||||
390,950 | Verizon Communications, Inc. | 10,954,419 | ||||||||||||
2,262,100 | Vodafone Group PLC | 4,661,035 | ||||||||||||
52,226,946 | ||||||||||||||
Utilities: | 8.2 | % | ||||||||||||
240,900 | CenterPoint Energy, Inc. | 3,170,244 | ||||||||||||
185,400 | Constellation Energy Group, Inc. | 5,979,150 | ||||||||||||
524,600 | Duke Energy Corp. | 8,393,600 | ||||||||||||
123,100 | Entergy Corp. | 8,816,422 | ||||||||||||
330,500 | Exelon Corp. | 12,549,085 | ||||||||||||
111,700 | FirstEnergy Corp. | 3,935,191 | ||||||||||||
711,400 | NiSource, Inc. | 10,315,300 | ||||||||||||
151,200 | @ | NRG Energy, Inc. | 3,206,952 | |||||||||||
189,800 | Pacific Gas & Electric Co. | 7,800,780 | ||||||||||||
185,400 | Pinnacle West Capital Corp. | 6,741,144 | ||||||||||||
282,900 | PPL Corp. | 7,058,355 | ||||||||||||
246,100 | Progress Energy, Inc. | 9,652,042 | ||||||||||||
191,500 | L | TECO Energy, Inc. | 2,885,905 | |||||||||||
455,700 | Xcel Energy, Inc. | 9,391,977 | ||||||||||||
99,896,147 | ||||||||||||||
Total Common Stock | ||||||||||||||
(Cost $ 1,294,157,601) | 1,170,209,356 | |||||||||||||
SHORT-TERM INVESTMENTS: | 3.6 | % | ||||||||||||
Money Market: | 3.1 | % | ||||||||||||
37,108,977 | T. Rowe Price Reserve Investment Fund | 37,108,978 | ||||||||||||
Total Money Market | ||||||||||||||
(Cost $ 37,108,978) | 37,108,978 | |||||||||||||
Securities Lending Collateralcc: | 0.5 | % | ||||||||||||
4,473,765 | Bank of New York Mellon Corp. Overnight Government Fund, Series A(1) | 4,473,765 | ||||||||||||
2,183,316 I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B(1)(2) | 1,746,652 | ||||||||||||
Total Securities Lending Collateral | ||||||||||||||
(Cost $ 6,657,081) | 6,220,417 | |||||||||||||
Total Short-Term Investments | ||||||||||||||
(Cost $ 43,766,059) | 43,329,395 | |||||||||||||
Total Investments in Securities | ||||||||||||||
( Cost $ 1,337,923,660 ) * | 99.4 | % | $ | 1,213,538,751 | ||||||||||
Other Assets and Liabilities - Net | 0.6 | 7,551,694 | ||||||||||||
Net Assets | 100.0 | % | $ | 1,221,090,445 | ||||||||||
@ | Non-income producing security | |||||||||||||
ADR | American Depositary Receipt | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(1) | Collateral received from brokers for securities lending was invested 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 Fund’s position in Series B is | ||||||||||||||
being fair valued daily. Please see the accompanying Notes to Financial Statements | ||||||||||||||
for additional details on securities lending. | ||||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
See Accompanying Notes to Financial Statements
Table of Contents
ING Van Kampen Growth and Income Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited) |
Shares | Value | ||||||||||||||
COMMON STOCK: |
| 98.2 | % | ||||||||||||
Consumer Discretionary: | 12.5 | % | |||||||||||||
535,63 | 8 | Comcast Corp. – Class A | $ | 9,304,032 | |||||||||||
323,86 | 4 @ | Ford Motor Co. | 3,264,549 | ||||||||||||
263,59 | 3 | Gap, Inc. | 5,129,520 | ||||||||||||
126,43 | 7 L | Harley-Davidson, Inc. | 2,810,695 | ||||||||||||
326,17 | 2 | Home Depot, Inc. | 9,155,648 | ||||||||||||
213,30 | 0 | Sony Corp. ADR | 5,690,844 | ||||||||||||
135,09 | 9 | Time Warner Cable, Inc. | 7,035,956 | ||||||||||||
363,73 | 8 | Time Warner, Inc. | 10,515,666 | ||||||||||||
515,21 | 6 | Viacom - Class B | 16,162,326 | ||||||||||||
69,069,236 | |||||||||||||||
Consumer Staples: | 8.6 | % | |||||||||||||
209,81 | 4 | Avon Products, Inc. | 5,560,071 | ||||||||||||
87,50 | 2 | Coca-Cola Co. | 4,385,600 | ||||||||||||
440,68 | 9 | Kraft Foods, Inc. | 12,339,292 | ||||||||||||
225,92 | 1 | Sysco Corp. | 6,454,563 | ||||||||||||
147,31 | 5 | Unilever NV ADR | 4,024,646 | ||||||||||||
168,82 | 9 | Walgreen Co. | 4,507,734 | ||||||||||||
206,98 | 4 | Wal-Mart Stores, Inc. | 9,949,721 | ||||||||||||
47,221,627 | |||||||||||||||
Energy: | 11.1 | % | |||||||||||||
167,05 | 0 | Anadarko Petroleum Corp. | 6,028,835 | ||||||||||||
123,52 | 9 | ConocoPhillips | 6,064,039 | ||||||||||||
89,71 | 3 | Devon Energy Corp. | 5,465,316 | ||||||||||||
95,89 | 7 | ExxonMobil Corp. | 5,472,842 | ||||||||||||
113,11 | 5 | Hess Corp. | 5,694,209 | ||||||||||||
43,65 | 0 | Noble Energy, Inc. | 2,633,405 | ||||||||||||
173,92 | 7 | Occidental Petroleum Corp. | 13,418,468 | ||||||||||||
198,14 | 3 | Royal Dutch Shell PLC ADR - Class A | 9,950,741 | ||||||||||||
121,96 | 2 | Schlumberger Ltd. | 6,749,377 | ||||||||||||
61,477,232 | |||||||||||||||
Financials: | 21.8 | % | |||||||||||||
942,83 | 6 | Bank of America Corp. | 13,548,553 | ||||||||||||
186,39 | 3 | BB&T Corp. | 4,904,000 | ||||||||||||
533,45 | 3 | Charles Schwab Corp. | 7,564,364 | ||||||||||||
129,00 | 3 | Chubb Corp. | 6,451,440 | ||||||||||||
1,491,30 | 7 @ | Citigroup, Inc. | 5,607,314 | ||||||||||||
335,40 | 9 | Fifth Third Bancorp. | 4,122,177 | ||||||||||||
285,20 | 5 | Janus Capital Group, Inc. | 2,532,620 | ||||||||||||
728,14 | 6 | JP Morgan Chase & Co. | 26,657,425 | ||||||||||||
799,79 | 1 | Marsh & McLennan Cos., Inc. | 18,035,287 | ||||||||||||
213,47 | 0 | PNC Financial Services Group, Inc. | 12,061,055 | ||||||||||||
160,70 | 0 | Principal Financial Group, Inc. | 3,766,808 | ||||||||||||
150,38 | 5 | State Street Corp. | 5,086,021 | ||||||||||||
159,68 | 1 | US Bancorp. | 3,568,870 | ||||||||||||
241,96 | 9 | Wells Fargo & Co. | 6,194,406 | ||||||||||||
120,100,340 | |||||||||||||||
Health Care: | 12.5 | % | |||||||||||||
91,38 | 7 | Abbott Laboratories | 4,275,084 | ||||||||||||
101,99 | 3 | Bayer AG ADR | 5,691,209 | ||||||||||||
426,72 | 7 | Bristol-Myers Squibb Co. | 10,642,571 | ||||||||||||
116,14 | 1 | Cardinal Health, Inc. | 3,903,499 | ||||||||||||
180,05 | 9 | Covidien PLC | 7,234,771 | ||||||||||||
135,24 | 9 @ | Genzyme Corp. | 6,866,592 | ||||||||||||
262,96 | 0 | Merck & Co., Inc. | 9,195,711 | ||||||||||||
541,56 | 6 | Pfizer, Inc. | 7,722,731 | ||||||||||||
169,23 | 1 | Roche Holding AG ADR | 5,804,623 | ||||||||||||
279,55 | 9 | UnitedHealth Group, Inc. | 7,939,476 | ||||||||||||
69,276,267 | |||||||||||||||
Industrials: | 11.3 | % | |||||||||||||
102,54 | 1 | Avery Dennison Corp. | 3,294,642 | ||||||||||||
127,68 | 7 | Cintas Corp. | 3,060,657 | ||||||||||||
142,70 | 2 | Dover Corp. | 5,963,517 | ||||||||||||
55,38 | 0 | FedEx Corp. | 3,882,692 | ||||||||||||
44,71 | 4 | General Dynamics Corp. | 2,618,452 | ||||||||||||
1,251,14 | 8 | General Electric Co. | 18,041,553 | ||||||||||||
153,07 | 3 L | Ingersoll-Rand PLC | 5,279,488 | ||||||||||||
71,77 | 2 | Manpower, Inc. | 3,099,115 | ||||||||||||
111,15 | 0 L | Robert Half International, Inc. | 2,617,583 | ||||||||||||
66,37 | 7 L | Siemens AG ADR | 5,942,733 | ||||||||||||
237,99 | 3 | Tyco International Ltd. | 8,384,493 | ||||||||||||
62,184,925 | |||||||||||||||
Information Technology: | 11.2 | % | |||||||||||||
194,81 | 1 @ | Amdocs Ltd. | 5,230,675 | ||||||||||||
367,36 | 5 @ | Cisco Systems, Inc. | 7,828,548 | ||||||||||||
489,15 | 5 @ | Dell, Inc. | 5,899,209 | ||||||||||||
642,73 | 7 @ | eBay, Inc. | 12,604,073 | ||||||||||||
237,66 | 6 | Hewlett-Packard Co. | 10,286,184 | ||||||||||||
336,52 | 1 | Intel Corp. | 6,545,333 | ||||||||||||
73,38 | 2 @ | Lam Research Corp. | 2,792,919 | ||||||||||||
329,47 | 1 | Western Union Co. | 4,912,413 | ||||||||||||
413,02 | 3 @, L | Yahoo!, Inc. | 5,712,108 | ||||||||||||
61,811,462 | |||||||||||||||
Materials: | 2.4 | % | |||||||||||||
244,12 | 1 | Dow Chemical Co. | 5,790,550 | ||||||||||||
57,14 | 1 | Freeport-McMoRan Copper & Gold, Inc. | 3,378,747 | ||||||||||||
64,48 | 0 | PPG Industries, Inc. | 3,895,237 | ||||||||||||
13,064,534 | |||||||||||||||
Telecommunication Services: | 2.5 | % | |||||||||||||
194,67 | 7 | Verizon Communications, Inc. | 5,454,850 | ||||||||||||
403,21 | 4 L | Vodafone Group PLC ADR | 8,334,433 | ||||||||||||
13,789,283 | |||||||||||||||
Utilities: | 4.3 | % | |||||||||||||
370,76 | 3 | American Electric Power Co., Inc. | 11,975,645 | ||||||||||||
79,64 | 6 | Edison International | 2,526,371 | ||||||||||||
61,74 | 3 | Entergy Corp. | 4,422,034 | ||||||||||||
132,50 | 0 | FirstEnergy Corp. | 4,667,975 | ||||||||||||
23,592,025 | |||||||||||||||
Total Common Stock (Cost $ 550,818,878) | 541,586,931 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 4.6 | % | |||||||||||||
Affiliated Mutual Fund: | 1.5 | % | |||||||||||||
8,101,64 | 5 | ING Institutional Prime Money Market Fund - Class I | 8,101,645 | ||||||||||||
Total Mutual Fund (Cost $ 8,101,645) | 8,101,645 | ||||||||||||||
Securities Lending Collateralcc: | 3.1 | % | |||||||||||||
16,094,61 | 6 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 16,094,616 | ||||||||||||
1,680,46 | 8 I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 1,344,375 | ||||||||||||
Total Securities Lending Collateral (Cost $ 17,775,084) | 17,438,991 | ||||||||||||||
Total Short-Term Investments (Cost $ 25,876,729) | 25,540,636 | ||||||||||||||
Total Investments in Securities ( Cost $ 576,695,607 ) * | 102.8 | % | $ | 567,127,567 | |||||||||||
Other Assets and Liabilities - Net | (2.8) | (15,272,631 | ) | ||||||||||||
Net Assets | 100.0 | % | $ | 551,854,936 | |||||||||||
@ | Non-income producing security | ||||||||||||||
ADR | American Depositary Receipt | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(1) | Collateral received from brokers for securities lending was invested 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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
See Accompanying Notes to Financial Statements
Table of Contents
ING Wells Fargo Health Care Portfolio
| PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited)
| ||||||||||||
Shares | Value | ||||||||||||
COMMON STOCK: |
| 97.1% | |||||||||||
Consumer Staples: | 1.2 | % | |||||||||||
77,016 | CVS Caremark Corp. | $ | 2,258,109 | ||||||||||
2,258,109 | |||||||||||||
Health Care: | 93.3 | % | |||||||||||
58,641 | Abbott Laboratories | 2,743,226 | |||||||||||
69,487 | Aetna, Inc. | 1,833,067 | |||||||||||
88,265 | @ | AGA Medical Holdings, Inc. | 1,120,083 | ||||||||||
88,062 | @ | Alexion Pharmaceuticals, Inc. | 4,507,894 | ||||||||||
50,396 | Allergan, Inc. | 2,936,071 | |||||||||||
29,949 | @ | AMAG Pharmaceuticals, Inc. | 1,028,748 | ||||||||||
108,963 | @ | Amgen, Inc. | 5,731,454 | ||||||||||
127,760 | @ | Amylin Pharmaceuticals, Inc. | 2,401,888 | ||||||||||
1,768,041 | @ | Antisoma PLC | 153,214 | ||||||||||
108,295 | @ | Arthrocare Corp. | 3,319,242 | ||||||||||
83,251 | Baxter International, Inc. | 3,383,321 | |||||||||||
30,702 | Becton Dickinson & Co. | 2,076,069 | |||||||||||
65,320 | @ | Biodel, Inc. | 246,910 | ||||||||||
12,186 | @ | BioMarin Pharmaceuticals, Inc. | 231,047 | ||||||||||
192,924 | Biovail Corp. | 3,711,858 | |||||||||||
338,129 | @ | Boston Scientific Corp. | 1,961,148 | ||||||||||
174,463 | Bristol-Myers Squibb Co. | 4,351,107 | |||||||||||
124,972 | Cardinal Health, Inc. | 4,200,309 | |||||||||||
32,851 | @ | Celera Corp. | 215,174 | ||||||||||
46,220 | @ | Celgene Corp. | 2,348,900 | ||||||||||
44,774 | @ | Cephalon, Inc. | 2,540,925 | ||||||||||
53,802 | @ | Cepheid, Inc. | 861,908 | ||||||||||
79,152 | Cigna Corp. | 2,458,461 | |||||||||||
63,122 | Covidien PLC | 2,536,242 | |||||||||||
51,734 | @ | Dendreon Corp. | 1,672,560 | ||||||||||
245,696 | @ | Dyax Corp. | 557,730 | ||||||||||
43,212 | @ | Edwards Lifesciences Corp. | 2,420,736 | ||||||||||
120,279 | Eli Lilly & Co. | 4,029,347 | |||||||||||
161,752 | @ | Eurand NV | 1,567,377 | ||||||||||
95,942 | @ | Express Scripts, Inc. | 4,511,193 | ||||||||||
113,080 | @ | Forest Laboratories, Inc. | 3,101,784 | ||||||||||
44,175 | Fresenius AG | 2,928,448 | |||||||||||
46,723 | Fresenius Medical Care AG & Co. KGaA | 2,520,924 | |||||||||||
97,953 | @ | Gilead Sciences, Inc. | 3,357,829 | ||||||||||
30,819 | @ | HeartWare International, Inc. | 2,159,487 | ||||||||||
88,934 | @ | Human Genome Sciences, Inc. | 2,015,244 | ||||||||||
154,034 | @ | Incyte Corp. | 1,705,156 | ||||||||||
91,421 | @ | Inspire Pharmaceuticals, Inc. | 456,191 | ||||||||||
158,723 | @ | Inverness Medical Innovations, Inc. | 4,231,555 | ||||||||||
34,548 | Johnson & Johnson | 2,040,405 | |||||||||||
44,257 | @ | Life Technologies Corp. | 2,091,143 | ||||||||||
56,914 | Lonza Group AG | 3,789,300 | |||||||||||
231,726 | @ | MAP Pharmaceuticals, Inc. | 3,040,245 | ||||||||||
67,771 | @ | Medco Health Solutions, Inc. | 3,732,827 | ||||||||||
1,823,990 | @, I | Medipattern Corp. | 145,638 | ||||||||||
140,633 | @ | MELA Sciences, Inc. | 1,046,310 | ||||||||||
122,997 | Merck & Co., Inc. | 4,301,205 | |||||||||||
24,982 | Merck KGaA | 1,832,653 | |||||||||||
95,899 | @ | Mylan Laboratories | 1,634,119 | ||||||||||
114,043 | @ | Myriad Genetics, Inc. | 1,704,943 | ||||||||||
103,180 | @ | Nanosphere, Inc. | 449,865 | ||||||||||
217,818 | @ | Nektar Therapeutics | 2,635,598 | ||||||||||
352,773 | @ | Novavax, Inc. | 765,517 | ||||||||||
68,825 | @ | Par Pharmaceutical Cos., Inc. | 1,786,697 | ||||||||||
356,721 | Pfizer, Inc. | 5,086,841 | |||||||||||
117,143 | @ | Qiagen NV | 2,251,488 | ||||||||||
39,978 | @ | Resmed, Inc. | 2,431,062 | ||||||||||
447,718 | @ | RTI Biologics, Inc. | 1,311,814 | ||||||||||
82,198 | @ | Salix Pharmaceuticals Ltd. | 3,208,188 | ||||||||||
53,770 | Shire PLC ADR | 3,300,403 | |||||||||||
81,549 | @ | St. Jude Medical, Inc. | 2,943,103 | ||||||||||
57,246 | Stryker Corp. | 2,865,735 | |||||||||||
292,834 | @ | Tenet Healthcare Corp. | 1,270,900 | ||||||||||
67,036 | Teva Pharmaceutical Industries Ltd. ADR | 3,485,202 | |||||||||||
798,437 | @ | Theratechnologies, Inc. | 3,840,118 | ||||||||||
78,727 | @ | Thoratec Corp. | 3,364,005 | ||||||||||
67,086 | UnitedHealth Group, Inc. | 1,905,242 | |||||||||||
89,775 | @ | Vertex Pharmaceuticals, Inc. | 2,953,598 | ||||||||||
164,590 | @ | Warner Chilcott PLC | 3,760,882 | ||||||||||
70,338 | @ | Zimmer Holdings, Inc. | 3,801,769 | ||||||||||
93,553 | @ | Zoll Medical Corp. | 2,535,286 | ||||||||||
183,081 | @ | Zymogenetics, Inc. | 772,602 | ||||||||||
176,218,530 | |||||||||||||
Industrials: | 2.6 | % | |||||||||||
2,419,383 | @ | CareView Communications, Inc. | 5,056,509 | ||||||||||
5,056,509 | |||||||||||||
Total Common Stock (Cost $ 175,834,815) | 183,533,148 | ||||||||||||
WARRANTS: |
| 0.1% | |||||||||||
Health Care: | 0.1 | % | |||||||||||
133,228 | I | Novavax, Inc. | 136,265 | ||||||||||
Total Warrants (Cost $ -) | 136,265 | ||||||||||||
Total Long-Term Investments (Cost $ 175,834,815) | 183,669,413 | ||||||||||||
SHORT-TERM INVESTMENTS: | 2.5% | ||||||||||||
Affiliated Mutual Fund: | 2.5 | % | |||||||||||
4,700,285 | ING Institutional Prime Money Market Fund - Class I | 4,700,285 | |||||||||||
Total Short-Term Investments (Cost $ 4,700,285) | 4,700,285 | ||||||||||||
Total Investments in Securities (Cost $ 180,535,100) * | 99.7 % | $ | 188,369,698 | ||||||||||
Other Assets and Liabilities - Net | 0.3 | 526,582 | |||||||||||
Net Assets | 100.0 % | $ | 188,896,280 | ||||||||||
@ | Non-income producing security | ||||||||||||
ADR | American Depositary Receipt | ||||||||||||
I | Illiquid security |
See Accompanying Notes to Financial Statements
Table of Contents
ING BlackRock Large Cap Growth Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2010 (Unaudited) |
Shares | Value | |||||||||||||
COMMON STOCK: |
| 99.7% | ||||||||||||
Consumer Discretionary: | 17.5 | % | ||||||||||||
66,000 | Advance Auto Parts, Inc. | $ | 3,311,880 | |||||||||||
90,000 | @ | Big Lots, Inc. | 2,888,100 | |||||||||||
113,000 | @ | Dick’s Sporting Goods, Inc. | 2,812,570 | |||||||||||
71,000 | @ | DIRECTV | 2,408,320 | |||||||||||
57,000 | @ | Dollar Tree, Inc. | 2,372,910 | |||||||||||
148,000 | Expedia, Inc. | 2,779,440 | ||||||||||||
104,000 | Gap, Inc. | 2,023,840 | ||||||||||||
13,000 | John Wiley & Sons, Inc. | 502,710 | ||||||||||||
141,000 | Limited Brands, Inc. | 3,111,870 | ||||||||||||
263,000 | News Corp. - Class A | 3,145,480 | ||||||||||||
57,000 | Nordstrom, Inc. | 1,834,830 | ||||||||||||
104,000 | Petsmart, Inc. | 3,137,680 | ||||||||||||
62,000 | Ross Stores, Inc. | 3,303,980 | ||||||||||||
103,000 | Target Corp. | 5,064,510 | ||||||||||||
93,000 | TJX Cos., Inc. | 3,901,350 | ||||||||||||
100,000 | @ | TRW Automotive Holdings Corp. | 2,757,000 | |||||||||||
113,000 | Williams-Sonoma, Inc. | 2,804,660 | ||||||||||||
84,000 | Wyndham Worldwide Corp. | 1,691,760 | ||||||||||||
49,852,890 | ||||||||||||||
Consumer Staples: | 6.5 | % | ||||||||||||
5,000 | Costco Wholesale Corp. | 274,150 | ||||||||||||
86,000 | Dr Pepper Snapple Group, Inc. | 3,215,540 | ||||||||||||
70,000 | Hershey Co. | 3,355,100 | ||||||||||||
66,000 | Kroger Co. | 1,299,540 | ||||||||||||
42,000 | Lorillard, Inc. | 3,023,160 | ||||||||||||
212,000 | Sara Lee Corp. | 2,989,200 | ||||||||||||
165,000 | Walgreen Co. | 4,405,500 | ||||||||||||
18,562,190 | ||||||||||||||
Energy: | 7.2 | % | ||||||||||||
127,000 | @ | Exterran Holdings, Inc. | 3,277,870 | |||||||||||
152,000 | ExxonMobil Corp. | 8,674,640 | ||||||||||||
128,000 | @ | Mariner Energy, Inc. | 2,749,440 | |||||||||||
73,000 | SM Energy Co. | 2,931,680 | ||||||||||||
114,000 | Teekay Shipping Corp. | 2,983,380 | ||||||||||||
20,617,010 | ||||||||||||||
Financials: | 2.5 | % | ||||||||||||
144,000 | @ | AmeriCredit Corp. | 2,623,680 | |||||||||||
69,000 | Capital One Financial Corp. | 2,780,700 | ||||||||||||
33,000 | Prudential Financial, Inc. | 1,770,780 | ||||||||||||
7,175,160 | ||||||||||||||
Health Care: | 18.5 | % | ||||||||||||
109,000 | Aetna, Inc. | 2,875,420 | ||||||||||||
111,000 | AmerisourceBergen Corp. | 3,524,250 | ||||||||||||
117,000 | Bristol-Myers Squibb Co. | 2,917,980 | ||||||||||||
33,000 | Cardinal Health, Inc. | 1,109,130 | ||||||||||||
81,000 | @ | Community Health Systems, Inc. | 2,738,610 | |||||||||||
146,000 | @ | Coventry Health Care, Inc. | 2,581,280 | |||||||||||
101,000 | Eli Lilly & Co. | 3,383,500 | ||||||||||||
74,000 | @ | Endo Pharmaceuticals Holdings, Inc. | 1,614,680 | |||||||||||
372,000 | @ | Health Management Associates, Inc. | 2,890,440 | |||||||||||
66,000 | @ | Humana, Inc. | 3,014,220 | |||||||||||
24,000 | Johnson & Johnson | 1,417,440 | ||||||||||||
39,000 | @, L | Lincare Holdings, Inc. | 1,267,890 | |||||||||||
53,000 | McKesson Corp. | 3,559,480 | ||||||||||||
78,000 | @ | Medco Health Solutions, Inc. | 4,296,240 | |||||||||||
86,000 | Omnicare, Inc. | 2,038,200 | ||||||||||||
55,000 | L | Perrigo Co. | 3,248,850 | |||||||||||
67,000 | Pharmaceutical Product Development, Inc. | 1,702,470 | ||||||||||||
29,000 | Quest Diagnostics | 1,443,330 | ||||||||||||
6,000 | Teleflex, Inc. | 325,680 | ||||||||||||
100,000 | UnitedHealth Group, Inc. | 2,840,000 | ||||||||||||
19,000 | @ | Varian Medical Systems, Inc. | 993,320 | |||||||||||
59,000 | @ | WellPoint, Inc. | 2,886,870 | |||||||||||
52,669,280 | ||||||||||||||
Industrials: | 13.8 | % | ||||||||||||
92,000 | @, L | Armstrong World Industries, Inc. | 2,776,560 | |||||||||||
62,000 | Carlisle Cos., Inc. | 2,240,060 | ||||||||||||
98,000 | Crane Co. | 2,960,580 | ||||||||||||
41,000 | Cummins, Inc. | 2,670,330 | ||||||||||||
77,000 | Harsco Corp. | 1,809,500 | ||||||||||||
58,000 | Hubbell, Inc. | 2,302,020 | ||||||||||||
59,000 | Joy Global, Inc. | 2,955,310 | ||||||||||||
146,000 | Manitowoc Co., Inc. | 1,334,440 | ||||||||||||
102,000 | @ | Owens Corning, Inc. | 3,050,820 | |||||||||||
59,000 | Raytheon Co. | 2,855,010 | ||||||||||||
155,000 | RR Donnelley & Sons Co. | 2,537,350 | ||||||||||||
78,000 | @ | Thomas & Betts Corp. | 2,706,600 | |||||||||||
61,000 | Toro Co. | 2,996,320 | ||||||||||||
64,000 | @ | URS Corp. | 2,518,400 | |||||||||||
40,000 | Valmont Industries, Inc. | 2,906,400 | ||||||||||||
25,000 | @ | Wesco International, Inc. | 841,750 | |||||||||||
39,461,450 | ||||||||||||||
Information Technology: | 21.1 | % | ||||||||||||
22,000 | @ | Agilent Technologies, Inc. | 625,460 | |||||||||||
103,000 | @ | Amdocs Ltd. | 2,765,550 | |||||||||||
27,000 | @ | Apple, Inc. | 6,791,310 | |||||||||||
75,000 | @ | Arrow Electronics, Inc. | 1,676,250 | |||||||||||
172,000 | CA, Inc. | 3,164,800 | ||||||||||||
40,000 | @ | Cisco Systems, Inc. | 852,400 | |||||||||||
315,000 | @ | Dell, Inc. | 3,798,900 | |||||||||||
341,000 | Intel Corp. | 6,632,450 | ||||||||||||
24,000 | International Business Machines Corp. | 2,963,520 | ||||||||||||
325,000 | @ | Micron Technology, Inc. | 2,759,250 | |||||||||||
399,000 | Microsoft Corp. | 9,180,990 | ||||||||||||
72,000 | @ | Sandisk Corp. | 3,029,040 | |||||||||||
233,000 | @ | Seagate Technology, Inc. | 3,038,320 | |||||||||||
147,000 | @ | Symantec Corp. | 2,040,360 | |||||||||||
73,000 | @ | Tech Data Corp. | 2,600,260 | |||||||||||
78,000 | @ | Teradata Corp. | 2,377,440 | |||||||||||
22,000 | Texas Instruments, Inc. | 512,160 | ||||||||||||
75,000 | Total System Services, Inc. | 1,020,000 | ||||||||||||
51,000 | @ | VeriSign, Inc. | 1,354,050 | |||||||||||
95,000 | @ | Western Digital Corp. | 2,865,200 | |||||||||||
60,047,710 | ||||||||||||||
Materials: | 7.5 | % | ||||||||||||
60,000 | Ashland, Inc. | 2,785,200 | ||||||||||||
131,000 | @ | Crown Holdings, Inc. | 3,280,240 | |||||||||||
97,000 | Eagle Materials, Inc. | 2,515,210 | ||||||||||||
62,000 | Freeport-McMoRan Copper & Gold, Inc. | 3,666,060 | ||||||||||||
38,000 | Lubrizol Corp. | 3,051,780 | ||||||||||||
147,000 | Nalco Holding Co. | 3,007,620 | ||||||||||||
164,000 | RPM International, Inc. | 2,925,760 | ||||||||||||
21,231,870 | ||||||||||||||
Telecommunication Services: | 2.3 | % | ||||||||||||
369,000 | @ | MetroPCS Communications, Inc. | 3,022,110 | |||||||||||
81,000 | @ | NII Holdings, Inc. | 2,634,120 | |||||||||||
57,000 | @ | TW Telecom, Inc. | 950,760 | |||||||||||
6,606,990 | ||||||||||||||
Utilities: | 2.8 | % | ||||||||||||
100,000 | Constellation Energy Group, Inc. | 3,225,000 | ||||||||||||
75,000 | Integrys Energy Group, Inc. | 3,280,500 | ||||||||||||
115,000 | NV Energy, Inc. | 1,358,150 | ||||||||||||
7,863,650 | ||||||||||||||
Total Common Stock (Cost $ 293,261,195) | 284,088,200 | |||||||||||||
SHORT-TERM INVESTMENTS: | 1.3% | |||||||||||||
Affiliated Mutual Fund: | 0.1 | % | ||||||||||||
355,573 | ING Institutional Prime Money Market Fund - Class I | 355,573 | ||||||||||||
Total Mutual Fund (Cost $ 355,573) | 355,573 | |||||||||||||
Principal Amount |
| Value | ||||||||||||
Securities Lending Collateralcc: | 1.2 | % | ||||||||||||
$ | 2,976,350 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | $ | 2,976,350 | ||||||||||
468,580 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 374,864 | |||||||||||
Total Securities Lending Collateral (Cost $ 3,444,930) | 3,351,214 | |||||||||||||
Total Short-Term Investments (Cost $ 3,800,503) | 3,706,787 | |||||||||||||
Total Investments in Securities (Cost $ 297,061,698) * | 101.0 | % | $ | 287,794,987 | ||||||||||
Other Assets and Liabilities - Net | (1.0) | (2,908,314) | ||||||||||||
Net Assets | 100.0 | % | $ | 284,886,673 | ||||||||||
@ | Non-income producing security | |||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||
(1) | Collateral received from brokers for securites 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 Fund’s position in Series B is | ||||||||||||||
being fair valued daily. Please see the accompanying Notes to Financial Statements | ||||||||||||||
for additional details on securities lending. | ||||||||||||||
I | Illiquid security | |||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS
ING BlackRock Large Cap Growth Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | ||||||||||||||
COMMON STOCK: |
| 96.1 | % | ||||||||||||
Consumer Discretionary: | 8.8 | % | |||||||||||||
35,000 | @, L | Autoliv, Inc. | $ | 1,674,750 | |||||||||||
6,000 | @ | Big Lots, Inc. | 192,540 | ||||||||||||
78,000 | CBS Corp. - Class B | 1,008,540 | |||||||||||||
21,000 | Foot Locker, Inc. | 265,020 | |||||||||||||
112,000 | Gannett Co., Inc. | 1,507,520 | |||||||||||||
29,000 | Harley-Davidson, Inc. | 644,670 | |||||||||||||
155,000 | @ | Liberty Media Corp. - Interactive - Class A | 1,627,500 | ||||||||||||
73,000 | Limited Brands, Inc. | 1,611,110 | |||||||||||||
90,000 | Macy’s, Inc. | 1,611,000 | |||||||||||||
116,000 | News Corp. - Class A | 1,387,360 | |||||||||||||
7,000 | @, L | Sears Holding Corp. | 452,550 | ||||||||||||
29,000 | @ | Signet Jewelers Ltd. | 797,500 | ||||||||||||
9,000 | @ | TRW Automotive Holdings Corp. | 248,130 | ||||||||||||
3,000 | Whirlpool Corp. | 263,460 | |||||||||||||
48,000 | Williams-Sonoma, Inc. | 1,191,360 | |||||||||||||
14,483,010 | |||||||||||||||
Consumer Staples: | 3.8 | % | |||||||||||||
84,000 | ConAgra Foods, Inc. | 1,958,880 | |||||||||||||
15,000 | Lorillard, Inc. | 1,079,700 | |||||||||||||
25,000 | Procter & Gamble Co. | 1,499,500 | |||||||||||||
120,000 | Sara Lee Corp. | 1,692,000 | |||||||||||||
6,230,080 | |||||||||||||||
Energy: | 13.1 | % | |||||||||||||
81,000 | Chevron Corp. | 5,496,660 | |||||||||||||
23,000 | Cimarex Energy Co. | 1,646,340 | |||||||||||||
39,000 | ConocoPhillips | 1,914,510 | |||||||||||||
45,000 | @ | Exterran Holdings, Inc. | 1,161,450 | ||||||||||||
66,000 | Marathon Oil Corp. | 2,051,940 | |||||||||||||
41,000 | @ | Oil States International, Inc. | 1,622,780 | ||||||||||||
14,000 | @ | SEACOR Holdings, Inc. | 989,240 | ||||||||||||
21,000 | SM Energy Co. | 843,360 | |||||||||||||
78,000 | Southern Union Co. | 1,705,080 | |||||||||||||
18,000 | Teekay Shipping Corp. | 471,060 | |||||||||||||
3,000 | @ | Unit Corp. | 121,770 | ||||||||||||
21,000 | @ | Whiting Petroleum Corp. | 1,646,820 | ||||||||||||
95,000 | Williams Cos., Inc. | 1,736,600 | |||||||||||||
21,407,610 | |||||||||||||||
Financials: | 18.1 | % | |||||||||||||
21,000 | ACE Ltd. | 1,081,080 | |||||||||||||
64,000 | American Financial Group, Inc. | 1,748,480 | |||||||||||||
87,000 | @ | AmeriCredit Corp. | 1,585,140 | ||||||||||||
5,000 | Aspen Insurance Holdings Ltd. | 123,700 | |||||||||||||
54,000 | Assurant, Inc. | 1,873,800 | |||||||||||||
10,000 | Axis Capital Holdings Ltd. | 297,200 | |||||||||||||
400,000 | Bank of America Corp. | 5,748,000 | |||||||||||||
11,000 | @ | Berkshire Hathaway, Inc. | 876,590 | ||||||||||||
51,000 | Capital One Financial Corp. | 2,055,300 | |||||||||||||
970,000 | @ | Citigroup, Inc. | 3,647,200 | ||||||||||||
7,000 | CME Group, Inc. | 1,970,850 | |||||||||||||
20,000 | Endurance Specialty Holdings Ltd. | 750,600 | |||||||||||||
12,000 | Fulton Financial Corp. | 115,800 | |||||||||||||
12,000 | @ | Investment Technology Group, Inc. | 192,720 | ||||||||||||
39,000 | JP Morgan Chase & Co. | 1,427,790 | |||||||||||||
20,000 | Lincoln National Corp. | 485,800 | |||||||||||||
15,000 | Old Republic International Corp. | 181,950 | |||||||||||||
16,000 | Protective Life Corp. | 342,240 | |||||||||||||
37,000 | Prudential Financial, Inc. | 1,985,420 | |||||||||||||
18,000 | RenaissanceRe Holdings Ltd. | 1,012,860 | |||||||||||||
12,000 | Unitrin, Inc. | 307,200 | |||||||||||||
61,000 | UnumProvident Corp. | 1,323,700 | |||||||||||||
21,000 | Wells Fargo & Co. | 537,600 | |||||||||||||
29,671,020 | |||||||||||||||
Health Care: | 13.6 | % | |||||||||||||
72,000 | Aetna, Inc. | 1,899,360 | |||||||||||||
55,000 | AmerisourceBergen Corp. | 1,746,250 | |||||||||||||
56,000 | Cardinal Health, Inc. | 1,882,160 | |||||||||||||
10,000 | @ | CareFusion Corp. | 227,000 | ||||||||||||
45,000 | @ | Community Health Systems, Inc. | 1,521,450 | ||||||||||||
89,000 | @ | Coventry Health Care, Inc. | 1,573,520 | ||||||||||||
64,000 | Eli Lilly & Co. | 2,144,000 | |||||||||||||
23,000 | @ | Endo Pharmaceuticals Holdings, Inc. | 501,860 | ||||||||||||
67,000 | @ | Health Net, Inc. | 1,632,790 | ||||||||||||
38,000 | @ | Humana, Inc. | 1,735,460 | ||||||||||||
13,000 | Johnson & Johnson | 767,780 | |||||||||||||
29,000 | McKesson Corp. | 1,947,640 | |||||||||||||
12,000 | Pfizer, Inc. | 171,120 | |||||||||||||
95,000 | UnitedHealth Group, Inc. | 2,698,000 | |||||||||||||
38,000 | @ | WellPoint, Inc. | 1,859,340 | ||||||||||||
22,307,730 | |||||||||||||||
Industrials: | 12.8 | % | |||||||||||||
21,000 | Carlisle Cos., Inc. | 758,730 | |||||||||||||
7,000 | Crane Co. | 211,470 | |||||||||||||
17,000 | Eaton Corp. | 1,112,480 | |||||||||||||
116,000 | General Electric Co. | 1,672,720 | |||||||||||||
24,000 | L-3 Communications Holdings, Inc. | 1,700,160 | |||||||||||||
170,000 | Manitowoc Co., Inc. | 1,553,800 | |||||||||||||
36,000 | Northrop Grumman Corp. | 1,959,840 | |||||||||||||
26,000 | @ | Oshkosh Truck Corp. | 810,160 | ||||||||||||
49,000 | @ | Owens Corning, Inc. | 1,465,590 | ||||||||||||
32,000 | Parker Hannifin Corp. | 1,774,720 | |||||||||||||
66,000 | RR Donnelley & Sons Co. | 1,080,420 | |||||||||||||
40,000 | L | Ryder System, Inc. | 1,609,200 | ||||||||||||
18,000 | SPX Corp. | 950,580 | |||||||||||||
34,000 | @ | Thomas & Betts Corp. | 1,179,800 | ||||||||||||
60,000 | Timken Co. | 1,559,400 | |||||||||||||
84,000 | Trinity Industries, Inc. | 1,488,480 | |||||||||||||
20,887,550 | |||||||||||||||
Information Technology: | 4.8 | % | |||||||||||||
136,000 | Intel Corp. | 2,645,200 | |||||||||||||
50,000 | @ | Lexmark International, Inc. | 1,651,500 | ||||||||||||
114,000 | @ | Seagate Technology, Inc. | 1,486,560 | ||||||||||||
15,000 | @ | Tech Data Corp. | 534,300 | ||||||||||||
49,000 | @ | Western Digital Corp. | 1,477,840 | ||||||||||||
7,795,400 | |||||||||||||||
Materials: | 11.3 | % | |||||||||||||
34,000 | Ashland, Inc. | 1,578,280 | |||||||||||||
43,000 | Cabot Corp. | 1,036,730 | |||||||||||||
38,000 | Cytec Industries, Inc. | 1,519,620 | |||||||||||||
24,000 | Eastman Chemical Co. | 1,280,640 | |||||||||||||
25,000 | Freeport-McMoRan Copper & Gold, Inc. | 1,478,250 | |||||||||||||
179,000 | Huntsman Corp. | 1,551,930 | |||||||||||||
71,000 | International Paper Co. | 1,606,730 | |||||||||||||
20,000 | Lubrizol Corp. | 1,606,200 | |||||||||||||
77,000 | MeadWestvaco Corp. | 1,709,400 | |||||||||||||
31,000 | PPG Industries, Inc. | 1,872,710 | |||||||||||||
45,000 | RPM International, Inc. | 802,800 | |||||||||||||
92,000 | Sealed Air Corp. | 1,814,240 | |||||||||||||
40,000 | @, L | Titanium Metals Corp. | 703,600 | ||||||||||||
18,561,130 | |||||||||||||||
Telecommunication Services: | 2.1 | % | |||||||||||||
48,000 | AT&T, Inc. | 1,161,120 | |||||||||||||
27,000 | @ | MetroPCS Communications, Inc. | 221,130 | ||||||||||||
7,000 | @ | NII Holdings, Inc. | 227,640 | ||||||||||||
244,000 | Qwest Communications International, Inc. | 1,281,000 | |||||||||||||
20,000 | Telephone & Data Systems, Inc. | 607,800 | |||||||||||||
3,498,690 | |||||||||||||||
Utilities: | 7.7 | % | |||||||||||||
23,000 | CMS Energy Corp. | 336,950 | |||||||||||||
52,000 | Constellation Energy Group, Inc. | 1,677,000 | |||||||||||||
41,000 | DTE Energy Co. | 1,870,010 | |||||||||||||
61,000 | Edison International | 1,934,920 | |||||||||||||
40,000 | Integrys Energy Group, Inc. | 1,749,600 | |||||||||||||
149,000 | @, L | Mirant Corp. | 1,573,440 | ||||||||||||
101,000 | NiSource, Inc. | 1,464,500 | |||||||||||||
84,000 | @ | NRG Energy, Inc. | 1,781,640 | ||||||||||||
5,000 | Oneok, Inc. | 216,250 | |||||||||||||
12,604,310 | |||||||||||||||
Total Common Stock (Cost $166,117,684) | 157,446,530 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 4.4 | % | |||||||||||||
Affiliated Mutual Fund: | 3.8 | % | |||||||||||||
6,224,383 | ING Institutional Prime Money Market Fund - Class I | 6,224,383 | |||||||||||||
Total Mutual Fund (Cost $6,224,383) | 6,224,383 | ||||||||||||||
Prin | cipal Amount | Value | |||||||||||||
Securities Lending Collateralcc: | 0.6 | % | |||||||||||||
$871,579 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | $ | 871,579 | ||||||||||||
266,221 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 212,977 | ||||||||||||
Total Securities Lending Collateral (Cost $1,137,800) | 1,084,556 | ||||||||||||||
Total Short-Term Investments (Cost $7,362,183) | 7,308,939 | ||||||||||||||
Total Investments in Securities (Cost $173,479,867) * | 100.5% | $ | 164,755,469 | ||||||||||||
Other Assets and Liabilities - Net | (0.5) | (866,717 | ) | ||||||||||||
Net Assets | 100.0% | $ | 163,888,752 | ||||||||||||
@ | Non-income producing security | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | ||||||||||||||
See Accompanying Notes to Financial Statements |
Table of Contents
PORTFOLIO OF INVESTMENTS | ||
ING Clarion Real Estate Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | ||||||||||||||
COMMON STOCK: | 3.3 | % | |||||||||||||
Consumer Discretionary: | 2.2 | % | |||||||||||||
139,700 | @ | Hyatt Hotels Corp. | $ | 5,181,473 | |||||||||||
115,800 | Starwood Hotels & Resorts Worldwide, Inc. | 4,797,594 | |||||||||||||
9,979,067 | |||||||||||||||
Financials: | 1.1 | % | |||||||||||||
364,700 | Brookfield Properties Co. | 5,120,388 | |||||||||||||
5,120,388 | |||||||||||||||
Total Common Stock (Cost $ 13,979,095) | 15,099,455 | ||||||||||||||
REAL ESTATE INVESTMENT TRUSTS: | 95.1 | % | |||||||||||||
Financials: | 95.1 | % | |||||||||||||
243,360 | Acadia Realty Trust | 4,093,315 | |||||||||||||
157,571 | Alexandria Real Estate Equities, Inc. | 9,985,274 | |||||||||||||
481,478 | AMB Property Corp. | 11,415,843 | |||||||||||||
306,478 | Apartment Investment & Management Co. | 5,936,479 | |||||||||||||
231,300 | Associated Estates Realty Corp. | 2,995,335 | |||||||||||||
186,792 | AvalonBay Communities, Inc. | 17,440,769 | |||||||||||||
255,496 | Boston Properties, Inc. | 18,227,084 | |||||||||||||
711,100 | Brandywine Realty Trust | 7,644,325 | |||||||||||||
221,820 | BRE Properties, Inc. | 8,191,813 | |||||||||||||
146,200 | Camden Property Trust | 5,972,270 | |||||||||||||
422,900 | CBL & Associates Properties, Inc. | 5,260,876 | |||||||||||||
297,700 | Colonial Properties Trust | 4,325,581 | |||||||||||||
856,800 | Developers Diversified Realty Corp. | 8,482,320 | |||||||||||||
167,957 | L | Digital Realty Trust, Inc. | 9,687,760 | ||||||||||||
124,766 | Equity Lifestyle Properties, Inc. | 6,017,464 | |||||||||||||
575,771 | Equity Residential | 23,975,104 | |||||||||||||
264,496 | Extra Space Storage, Inc. | 3,676,494 | |||||||||||||
191,988 | Federal Realty Investment Trust | 13,490,997 | |||||||||||||
352,252 | HCP, Inc. | 11,360,127 | |||||||||||||
305,747 | Highwoods Properties, Inc. | 8,487,537 | |||||||||||||
422,621 | Hospitality Properties Trust | 8,917,303 | |||||||||||||
1,475,668 | Host Hotels & Resorts, Inc. | 19,892,007 | |||||||||||||
127,900 | @ | Hudson Pacific Properties, Inc. | 2,206,275 | ||||||||||||
171,300 | Kilroy Realty Corp. | 5,092,749 | |||||||||||||
461,478 | Kimco Realty Corp. | 6,202,264 | |||||||||||||
415,745 | Liberty Property Trust | 11,994,243 | |||||||||||||
453,923 | Macerich Co. | 16,940,406 | |||||||||||||
367,419 | Nationwide Health Properties, Inc. | 13,142,578 | |||||||||||||
37,900 | @ | Pebblebrook Hotel Trust | 714,415 | ||||||||||||
177,900 | L | Pennsylvania Real Estate Investment Trust | 2,173,938 | ||||||||||||
435,663 | Prologis | 4,413,266 | |||||||||||||
196,764 | Public Storage, Inc. | 17,297,523 | |||||||||||||
327,003 | Regency Centers Corp. | 11,248,903 | |||||||||||||
555,511 | Simon Property Group, Inc. | 44,857,513 | |||||||||||||
199,954 | SL Green Realty Corp. | 11,005,468 | |||||||||||||
209,849 | Tanger Factory Outlet Centers, Inc. | 8,683,552 | |||||||||||||
223,074 | Taubman Centers, Inc. | 8,394,275 | |||||||||||||
560,203 | UDR, Inc. | 10,716,683 | |||||||||||||
493,400 | U-Store-It Trust | 3,680,764 | |||||||||||||
340,140 | Ventas, Inc. | 15,969,573 | |||||||||||||
406,033 | Vornado Realty Trust | 29,620,107 | |||||||||||||
Total Real Estate Investment Trusts (Cost $ 332,638,750) | 439,830,572 | ||||||||||||||
Total Long-Term Investments (Cost $ 346,617,845) | 454,930,027 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 3.4 | % | |||||||||||||
Affiliated Mutual Fund: | 2.0 | % | |||||||||||||
9,068,811 | ING Institutional Prime Money Market Fund - Class I | 9,068,811 | |||||||||||||
Total Mutual Fund | |||||||||||||||
(Cost $ 9,068,811) | 9,068,811 | ||||||||||||||
Prin | cipal Amount | Value | |||||||||||||
Securities Lending Collateralcc: | 1.4 | % | |||||||||||||
$3,526,566 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | $ | 3,526,566 | ||||||||||||
3,758,883 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 3,007,107 | ||||||||||||
Total Securities Lending Collateral | |||||||||||||||
(Cost $ 7,285,449) | 6,533,673 | ||||||||||||||
Total Short-Term Investments | |||||||||||||||
(Cost $ 16,354,260) | 15,602,484 | ||||||||||||||
Total Investments in Securities | |||||||||||||||
(Cost $ 362,972,105) * | 101.8% | $ | 470,532,511 | ||||||||||||
Other Assets and Liabilities - Net | (1.8) | (8,246,948 | ) | ||||||||||||
Net Assets | 100.0% | $ | 462,285,563 | ||||||||||||
@ | Non-income producing security | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(1) | Collateral received from brokers for securites 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 Fund’s position in Series B is | |||||||||||||||
being fair valued daily. Please see the accompanying Notes to Financial Statements | |||||||||||||||
for additional details on securities lending. | |||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS
ING Franklin Income Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | |||||||||||||||
COMMON STOCK: |
| 31.4 | % | |||||||||||||
Consumer Discretionary: | 1.1 | % | ||||||||||||||
103,951 | @, L | Charter Communications, Inc. | $ | 3,669,470 | ||||||||||||
110,000 | Comcast Corp. – Class A | 1,910,700 | ||||||||||||||
122,564 | @ | Dex One Corp. | 2,328,716 | |||||||||||||
7,908,886 | ||||||||||||||||
Consumer Staples: | 0.6 | % | ||||||||||||||
150,000 | Diageo PLC | 2,356,184 | ||||||||||||||
35,000 | PepsiCo, Inc. | 2,133,250 | ||||||||||||||
4,489,434 | ||||||||||||||||
Energy: | 5.4 | % | ||||||||||||||
50,000 | Baker Hughes, Inc. | 2,078,500 | ||||||||||||||
50,000 | BP PLC ADR | 1,444,000 | ||||||||||||||
108,753 | @ | Callon Petroleum Co. | 685,144 | |||||||||||||
350,000 | L | Canadian Oil Sands Trust | 8,873,703 | |||||||||||||
200,000 | ConocoPhillips | 9,818,000 | ||||||||||||||
200,000 | ExxonMobil Corp. | 11,414,000 | ||||||||||||||
35,000 | Schlumberger Ltd. | 1,936,900 | ||||||||||||||
174,600 | Spectra Energy Corp. | 3,504,222 | ||||||||||||||
39,754,469 | ||||||||||||||||
Financials: | 3.8 | % | ||||||||||||||
550,000 | Bank of America Corp. | 7,903,500 | ||||||||||||||
200,000 | Barclays PLC | 798,300 | ||||||||||||||
465,075 | @ | Citigroup, Inc. | 1,748,682 | |||||||||||||
300,000 | HSBC Holdings PLC | 2,740,708 | ||||||||||||||
200,000 | JP Morgan Chase & Co. | 7,322,000 | ||||||||||||||
299,600 | Wells Fargo & Co. | 7,669,760 | ||||||||||||||
28,182,950 | ||||||||||||||||
Health Care: | 2.5 | % | ||||||||||||||
70,000 | Johnson & Johnson | 4,134,200 | ||||||||||||||
350,000 | Merck & Co., Inc. | 12,239,500 | ||||||||||||||
125,000 | Pfizer, Inc. | 1,782,500 | ||||||||||||||
18,156,200 | ||||||||||||||||
Industrials: | 0.1 | % | ||||||||||||||
50,000 | General Electric Co. | 721,000 | ||||||||||||||
721,000 | ||||||||||||||||
Information Technology: | 1.4 | % | ||||||||||||||
300,000 | Intel Corp. | 5,835,000 | ||||||||||||||
180,000 | Maxim Integrated Products | 3,011,400 | ||||||||||||||
200,000 | Xerox Corp. | 1,608,000 | ||||||||||||||
10,454,400 | ||||||||||||||||
Materials: | 1.8 | % | ||||||||||||||
110,000 | Barrick Gold Corp. | 4,995,100 | ||||||||||||||
120,000 | Newmont Mining Corp. | 7,408,800 | ||||||||||||||
20,000 | Nucor Corp. | 765,600 | ||||||||||||||
13,169,500 | ||||||||||||||||
Telecommunication Services: | 2.7 | % | ||||||||||||||
275,000 | AT&T, Inc. | 6,652,250 | ||||||||||||||
50,000 | CenturyTel, Inc. | 1,665,500 | ||||||||||||||
800,000 | Telstra Corp. Ltd. | 2,180,601 | ||||||||||||||
130,000 | Verizon Communications, Inc. | 3,642,600 | ||||||||||||||
2,750,000 | Vodafone Group PLC | 5,666,348 | ||||||||||||||
19,807,299 | ||||||||||||||||
Utilities: | 12.0 | % | ||||||||||||||
75,000 | AGL Resources, Inc. | 2,686,500 | ||||||||||||||
75,000 | Ameren Corp. | 1,782,750 | ||||||||||||||
150,000 | American Electric Power Co., Inc. | 4,845,000 | ||||||||||||||
58,400 | CenterPoint Energy, Inc. | 768,544 | ||||||||||||||
100,000 | Consolidated Edison, Inc. | 4,310,000 | ||||||||||||||
160,000 | Dominion Resources, Inc. | 6,198,400 | ||||||||||||||
550,000 | Duke Energy Corp. | 8,800,000 | ||||||||||||||
60,000 | FirstEnergy Corp. | 2,113,800 | ||||||||||||||
150,000 | NextEra Energy, Inc. | 7,314,000 | ||||||||||||||
190,000 | Pacific Gas & Electric Co. | 7,809,000 | ||||||||||||||
100,000 | Pinnacle West Capital Corp. | 3,636,000 | ||||||||||||||
68,400 | PPL Corp. | 1,706,580 | ||||||||||||||
120,000 | Progress Energy, Inc. | 4,706,400 | ||||||||||||||
175,000 | Public Service Enterprise Group, Inc. | 5,482,750 | ||||||||||||||
120,000 | Sempra Energy | 5,614,800 | ||||||||||||||
325,000 | Southern Co. | 10,816,000 | ||||||||||||||
250,000 | TECO Energy, Inc. | 3,767,500 | ||||||||||||||
300,000 | Xcel Energy, Inc. | 6,183,000 | ||||||||||||||
88,541,024 | ||||||||||||||||
Total Common Stock (Cost $272,950,644) | 231,185,162 | |||||||||||||||
PREFERRED STOCK:
|
| 5.7 | % | |||||||||||||
Consumer Discretionary: | 0.1 | % | ||||||||||||||
120,000 | @, P | Motors Liquidation Co. | 823,500 | |||||||||||||
823,500 | ||||||||||||||||
Energy: | 0.5 | % | ||||||||||||||
3,500 | @, # | Chesapeake Energy Corp. | 3,422,564 | |||||||||||||
3,422,564 | ||||||||||||||||
Financials: | 4.6 | % | ||||||||||||||
9,300 | Bank of America Corp. | 8,444,400 | ||||||||||||||
250,000 | @, # | Barclays Bank PLC | 3,026,325 | |||||||||||||
40,000 | Citigroup, Inc. | 4,520,000 | ||||||||||||||
150,000 | @ | Credit Suisse Securities USA LLC | 2,057,760 | |||||||||||||
100,000 | @, # | Deutsche Bank AG/London | 2,227,070 | |||||||||||||
90,000 | @ | Felcor Lodging Trust, Inc. | 1,794,375 | |||||||||||||
1,839 | #, P, L | General Motors Acceptance Corp. | 1,429,535 | |||||||||||||
75,000 | @, # | Goldman Sachs Group, Inc. | 3,171,728 | |||||||||||||
8,000 | Wells Fargo & Co. | 7,448,000 | ||||||||||||||
34,119,193 | ||||||||||||||||
Health Care: | 0.3 | % | ||||||||||||||
2,500 | Tenet Healthcare Corp. | 2,090,625 | ||||||||||||||
2,090,625 | ||||||||||||||||
Sovereign: | 0.1 | % | ||||||||||||||
191,500 | @, P, ## | Federal Home Loan Mortgage Corporation | 65,110 | |||||||||||||
50 | @, P | Federal National Mortgage Association - Convertible Series 2004-1 | 112,500 | |||||||||||||
113,600 | @ | Federal National Mortgage Association - Series 08-1 | 59,072 | |||||||||||||
100,000 | @, P | Federal National Mortgage Association - Series Q | 32,000 | |||||||||||||
194,460 | @, P | Federal National Mortgage Association - Series R | 70,006 | |||||||||||||
96,100 | @, P | Federal National Mortgage Association - Series S | 32,674 | |||||||||||||
371,362 | ||||||||||||||||
Utilities: | 0.1 | % | ||||||||||||||
20,000 | NextEra Energy, Inc. | 987,000 | ||||||||||||||
987,000 | ||||||||||||||||
Total Preferred Stock (Cost $66,802,602) | 41,814,244 | |||||||||||||||
WARRANTS: | 0.0 | % | ||||||||||||||
Consumer Discretionary: | 0.0 | % | ||||||||||||||
25,281 | Charter Communications, Inc. | 132,725 | ||||||||||||||
Total Warrants (Cost $9,030,960) | 132,725 | |||||||||||||||
Principal Amount | Value | |||||||||||||||
CORPORATE BONDS/NOTES: | 60.6 | % | ||||||||||||||
Consumer Discretionary: | 7.0 | % | ||||||||||||||
$ | 433,091 | Allison Transmission, Inc., 3.050%, due 08/07/14 | $ | 395,602 | ||||||||||||
1,956,379 | Allison Transmission, Inc., 3.110%, due 08/07/14 | 1,787,031 | ||||||||||||||
3,000,000 | Cablevision Systems Corp., 7.750%, due 04/15/18 | 3,015,000 | ||||||||||||||
3,000,000 | L | Cablevision Systems Corp., 8.000%, due 04/15/20 | 3,052,500 | |||||||||||||
1,000,000 | # | Cablevision Systems Corp., 8.625%, due 09/15/17 | 1,025,000 | |||||||||||||
5,867,024 | CCH II, LLC / CCH II Capital Corp., 13.500%, due 11/30/16 | 6,864,418 | ||||||||||||||
3,700,000 | # | CCO Holdings LLC / CCO Holdings Capital Corp., 8.125%, due 04/30/20 | 3,801,750 | |||||||||||||
2,000,000 | # | Cequel Communications Holdings I, LLC and Cequel Capital Corp., 8.625%, due 11/15/17 | 2,002,500 | |||||||||||||
8,469,075 | Clear Channel Communications, Inc., 3.997%, due 11/13/15 | 6,591,058 | ||||||||||||||
400,000 | #, L | Clear Channel Worldwide Holdings, Inc., 9.250%, due 12/15/17 | 400,000 | |||||||||||||
1,600,000 | # | Clear Channel Worldwide Holdings, Inc., 9.250%, due 12/15/17 | 1,616,000 | |||||||||||||
3,500,000 | DISH DBS Corp., 7.750%, due 05/31/15 | 3,622,500 | ||||||||||||||
3,592,000 | Dollar General Corp., 10.625%, due 07/15/15 | 3,946,710 | ||||||||||||||
750,000 | Harrah’s Operating Co., Inc., 11.250%, due 06/01/17 | 793,125 | ||||||||||||||
2,500,000 | L | KB Home, 5.750%, due 02/01/14 | 2,300,000 | |||||||||||||
500,000 | KB Home, 6.250%, due 06/15/15 | 447,500 | ||||||||||||||
2,000,000 | L | MGM Resorts International, 6.750%, due 04/01/13 | 1,795,000 | |||||||||||||
1,500,000 | Navistar International Corp., 8.250%, due 11/01/21 | 1,530,000 | ||||||||||||||
771,501 | SuperMedia, Inc., 11.000%, due 12/31/15 | 663,904 | ||||||||||||||
2,894,853 | U.S. Investigations Services, Inc., 3.539%, due 04/01/15 | 2,561,944 | ||||||||||||||
4,154,084 | &, #, L | Univision Communications, Inc., 9.750%, due 03/15/15 | 3,479,045 | |||||||||||||
51,690,587 | ||||||||||||||||
Consumer Staples: | 2.6 | % | ||||||||||||||
3,000,000 | Ceridian Corp., 11.250%, due 11/15/15 | 2,722,500 | ||||||||||||||
8,000,000 | Hertz Corp., 8.875%, due 01/01/14 | 8,140,000 | ||||||||||||||
1,500,000 | L | Hertz Corp., 10.500%, due 01/01/16 | 1,563,750 | |||||||||||||
1,000,000 | JBS USA LLC/JBS USA Finance, Inc., 11.625%, due 05/01/14 | 1,126,250 | ||||||||||||||
3,300,000 | # | Johnsondiversey Holdings, Inc., 10.500%, due 05/15/20 | 3,679,500 | |||||||||||||
2,000,000 | Supervalu, Inc., 8.000%, due 05/01/16 | 1,990,000 | ||||||||||||||
19,222,000 | ||||||||||||||||
Energy: | 11.8 | % | ||||||||||||||
2,750,000 | Anadarko Petroleum Corp., 5.950%, due 09/15/16 | 2,369,857 | ||||||||||||||
1,400,000 | # | Antero Resources Finance Corp., 9.375%, due 12/01/17 | 1,407,000 | |||||||||||||
1,500,000 | #, L | ATP Oil & Gas Corp., 11.875%, due 05/01/15 | 1,095,000 | |||||||||||||
2,175,000 | Callon Petroleum Co., 13.000%, due 09/15/16 | 1,729,125 | ||||||||||||||
4,000,000 | Chesapeake Energy Corp., 6.250%, due 01/15/18 | 4,060,000 | ||||||||||||||
3,000,000 | Chesapeake Energy Corp., 6.875%, due 11/15/20 | 3,041,250 | ||||||||||||||
6,000,000 | Chesapeake Energy Corp., 7.250%, due 12/15/18 | 6,225,000 | ||||||||||||||
3,500,000 | Chesapeake Energy Corp., 9.500%, due 02/15/15 | 3,885,000 | ||||||||||||||
1,400,000 | # | Consol Energy, Inc., 8.250%, due 04/01/20 | 1,466,500 | |||||||||||||
696,000 | Denbury Resources, Inc., 8.250%, due 02/15/20 | 730,800 | ||||||||||||||
6,000,000 | Dynegy Holdings, Inc., 7.500%, due 06/01/15 | 4,777,500 | ||||||||||||||
2,500,000 | Dynegy Holdings, Inc., 7.750%, due 06/01/19 | 1,740,625 | ||||||||||||||
800,000 | Dynegy Holdings, Inc., 8.375%, due 05/01/16 | 637,000 | ||||||||||||||
4,500,000 | El Paso Corp., 7.250%, due 06/01/18 | 4,534,628 | ||||||||||||||
1,500,000 | El Paso Corp., 7.750%, due 01/15/32 | 1,489,835 | ||||||||||||||
1,600,000 | El Paso Corp., 12.000%, due 12/12/13 | 1,852,000 | ||||||||||||||
1,900,000 | # | Expro Finance Luxembourg SCA, 8.500%, due 12/15/16 | 1,824,000 | |||||||||||||
4,000,000 | Forest Oil Corp., 8.500%, due 02/15/14 | 4,190,000 | ||||||||||||||
2,000,000 | # | Linn Energy LLC/Linn Energy Finance Corp., 8.625%, due 04/15/20 | 2,057,500 | |||||||||||||
3,000,000 | Newfield Exploration Co., 6.625%, due 04/15/16 | 3,030,000 | ||||||||||||||
2,250,000 | Newfield Exploration Co., 6.875%, due 02/01/20 | 2,193,750 | ||||||||||||||
4,200,000 | PetroHawk Energy Corp., 7.875%, due 06/01/15 | 4,231,500 | ||||||||||||||
2,400,000 | PetroHawk Energy Corp., 10.500%, due 08/01/14 | 2,592,000 | ||||||||||||||
2,000,000 | Pioneer Natural Resources Co., 6.650%, due 03/15/17 | 2,020,122 | ||||||||||||||
2,500,000 | Pioneer Natural Resources Co., 6.875%, due 05/01/18 | 2,522,948 | ||||||||||||||
2,000,000 | Plains Exploration & Production Co., 10.000%, due 03/01/16 | 2,150,000 | ||||||||||||||
1,300,000 | Quicksilver Resources, Inc., 11.750%, due 01/01/16 | 1,439,750 | ||||||||||||||
1,000,000 | Roseton/Danskammer, 7.670%, due 11/08/16 | 880,000 | ||||||||||||||
2,000,000 | Sabine Pass LNG LP, 7.250%, due 11/30/13 | 1,810,000 | ||||||||||||||
2,500,000 | Sabine Pass LNG LP, 7.500%, due 11/30/16 | 2,093,750 | ||||||||||||||
4,000,000 | #, L | SandRidge Energy, Inc., 8.000%, due 06/01/18 | 3,810,000 | |||||||||||||
3,200,000 | # | SandRidge Energy, Inc., 9.875%, due 05/15/16 | 3,264,000 | |||||||||||||
900,000 | SEACOR Holdings, Inc., 7.375%, due 10/01/19 | 952,056 | ||||||||||||||
2,000,000 | Sesi, LLC, 6.875%, due 06/01/14 | 1,960,000 | ||||||||||||||
3,000,000 | # | W&T Offshore, Inc., 8.250%, due 06/15/14 | 2,715,000 | |||||||||||||
86,777,496 | ||||||||||||||||
Financials: | 13.9 | % | ||||||||||||||
3,500,000 | # | Ally Financial, Inc., 8.000%, due 03/15/20 | 3,430,000 | |||||||||||||
1,500,000 | L | Bank of America Corp., 8.125%, due 12/29/49 | 1,450,770 | |||||||||||||
1,500,000 | CapitalSource, Inc., 4.000%, due 07/15/34 | 1,434,375 | ||||||||||||||
3,600,000 | # | CEVA Group PLC, 11.500%, due 04/01/18 | 3,742,557 | |||||||||||||
2,500,000 | L | CIT Group, Inc., 7.000%, due 05/01/14 | 2,368,750 | |||||||||||||
9,500,000 | L | CIT Group, Inc., 7.000%, due 05/01/15 | 8,811,250 | |||||||||||||
4,000,000 | CIT Group, Inc., 7.000%, due 05/01/16 | 3,670,000 | ||||||||||||||
1,000,000 | CIT Group, Inc., 7.000%, due 05/01/17 | 905,000 | ||||||||||||||
1,700,000 | L | Felcor Lodging L.P., 10.000%, due 10/01/14 | 1,785,000 | |||||||||||||
2,000,000 | Ford Motor Credit Co. LLC, 7.000%, due 04/15/15 | 1,980,316 | ||||||||||||||
3,000,000 | Ford Motor Credit Co., LLC, 7.000%, due 10/01/13 | 3,061,179 | ||||||||||||||
100,000 | L | Ford Motor Credit Co., LLC, 7.500%, due 08/01/12 | 102,306 | |||||||||||||
2,500,000 | Ford Motor Credit Co., LLC, 8.000%, due 06/01/14 | 2,582,290 | ||||||||||||||
2,500,000 | Ford Motor Credit Co., LLC, 8.700%, due 10/01/14 | 2,607,765 | ||||||||||||||
5,000,000 | Ford Motor Credit Co., LLC, 12.000%, due 05/15/15 | 5,793,440 | ||||||||||||||
2,500,000 | # | Goldman Sachs Group, Inc., 10.550%, due 07/21/10 | 2,961,169 | |||||||||||||
2,500,000 | Host Hotels & Resorts L.P., 6.375%, due 03/15/15 | 2,462,500 | ||||||||||||||
1,500,000 | L | Host Hotels & Resorts L.P., 6.750%, due 06/01/16 | 1,490,625 | |||||||||||||
1,300,000 | Host Hotels & Resorts L.P., 6.875%, due 11/01/14 | 1,303,250 | ||||||||||||||
1,000,000 | L | Host Hotels & Resorts L.P., 9.000%, due 05/15/17 | 1,075,000 | |||||||||||||
2,000,000 | # | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp., 7.750%, due 01/15/16 | 1,955,000 | |||||||||||||
2,000,000 | # | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp., 8.000%, due 01/15/18 | 1,950,000 | |||||||||||||
700,000 | # | International Lease Finance Corp., 8.625%, due 09/15/15 | 665,000 | |||||||||||||
4,500,000 | iStar Financial, Inc., 1.033%, due 10/01/12 | 3,240,000 | ||||||||||||||
5,000,000 | iStar Financial, Inc., 8.625%, due 06/01/13 | 4,100,000 | ||||||||||||||
12,500,000 | JP Morgan Chase & Co., 7.900%, due 04/29/49 | 12,926,238 | ||||||||||||||
1,100,000 | # | LBI Escrow Corp., 8.000%, due 11/01/17 | 1,135,750 | |||||||||||||
6,000,000 | # | Liberty Mutual Group, Inc., 10.750%, due 06/15/58 | 6,540,000 | |||||||||||||
800,000 | # | New Communications Holdings, Inc., 8.250%, due 04/15/17 | 807,000 | |||||||||||||
900,000 | # | New Communications Holdings, Inc., 8.500%, due 04/15/20 | 906,750 | |||||||||||||
1,000,000 | # | Petroplus Finance Ltd., 6.750%, due 05/01/14 | 875,000 | |||||||||||||
1,500,000 | # | Petroplus Finance Ltd., 7.000%, due 05/01/17 | 1,230,000 | |||||||||||||
1,500,000 | # | Petroplus Finance Ltd., 9.375%, due 09/15/19 | 1,297,500 | |||||||||||||
2,100,000 | # | UPC Germany GmbH, 8.125%, due 12/01/17 | 2,068,500 | |||||||||||||
GBP 1,000,000 | Virgin Media, Inc., 7.000%, due 01/15/18 | 1,473,554 | ||||||||||||||
$ | 1,750,000 | #, ± | Washington Mutual IV, 9.750%, due 10/29/49 | 72,188 | ||||||||||||
1,325,000 | Wells Fargo Capital XIII, 7.700%, due 12/29/49 | 1,344,875 | ||||||||||||||
6,500,000 | Wells Fargo Capital XV, 9.750%, due 09/26/44 | 6,987,500 | ||||||||||||||
102,592,397 | ||||||||||||||||
Health Care: | 6.8 | % | ||||||||||||||
5,000,000 | Community Health Systems, Inc., 8.875%, due 07/15/15 | 5,168,750 | ||||||||||||||
1,600,000 | DaVita, Inc., 7.250%, due 03/15/15 | 1,608,000 | ||||||||||||||
3,000,000 | HCA, Inc., 6.500%, due 02/15/16 | 2,812,500 | ||||||||||||||
3,000,000 | HCA, Inc., 7.875%, due 02/15/20 | 3,101,250 | ||||||||||||||
6,500,000 | HCA, Inc., 8.500%, due 04/15/19 | 6,922,500 | ||||||||||||||
4,000,000 | HCA, Inc., 9.250%, due 11/15/16 | 4,250,000 | ||||||||||||||
4,000,000 | &, # | Quintiles Transnational Corp., 9.500%, due 12/30/14 | 4,030,000 | |||||||||||||
500,000 | # | Talecris Biotherapeutics Holdings Corp., 7.750%, due 11/15/16 | 535,000 | |||||||||||||
4,000,000 | Tenet Healthcare Corp., 7.375%, due 02/01/13 | 4,020,000 | ||||||||||||||
2,750,000 | # | Tenet Healthcare Corp., 9.000%, due 05/01/15 | 2,921,875 | |||||||||||||
5,000,000 | L | Tenet Healthcare Corp., 9.250%, due 02/01/15 | 5,187,500 | |||||||||||||
2,750,000 | # | Tenet Healthcare Corp., 10.000%, due 05/01/18 | 3,052,500 | |||||||||||||
3,596,000 | & | US Oncology Holdings, Inc., 6.643%, due 03/15/12 | 3,362,260 | |||||||||||||
3,200,000 | Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8.000%, due 02/01/18 | 3,088,000 | ||||||||||||||
50,060,135 | ||||||||||||||||
Industrials: | 2.8 | % | ||||||||||||||
2,500,000 | # | Bombardier, Inc., 7.750%, due 03/15/20 | 2,606,250 | |||||||||||||
4,900,000 | # | Case New Holland, Inc., 7.875%, due 12/01/17 | 4,961,250 | |||||||||||||
1,000,000 | L | Manitowoc Co., Inc., 9.500%, due 02/15/18 | 1,005,000 | |||||||||||||
2,500,000 | # | Niska Gas Storage US LLC/Niska Gas Storage Canada ULC, 8.875%, due 03/15/18 | 2,550,000 | |||||||||||||
2,200,000 | # | RBS Global, Inc. / Rexnord LLC, 8.500%, due 05/01/18 | 2,145,000 | |||||||||||||
1,500,000 | L | RBS Global, Inc. and Rexnord Corp., 11.750%, due 08/01/16 | 1,571,250 | |||||||||||||
4,000,000 | Terex Corp., 8.000%, due 11/15/17 | 3,720,000 | ||||||||||||||
1,750,000 | L | United Rentals North America, Inc., 7.750%, due 11/15/13 | 1,701,875 | |||||||||||||
20,260,625 | ||||||||||||||||
Information Technology: | 5.4 | % | ||||||||||||||
1,000,000 | L | Advanced Micro Devices, Inc., 6.000%, due 05/01/15 | 955,000 | |||||||||||||
1,500,000 | # | Advanced Micro Devices, Inc., 8.125%, due 12/15/17 | 1,500,000 | |||||||||||||
5,854,887 | First Data Corp., 3.097%, due 09/24/14 | 4,942,061 | ||||||||||||||
5,250,000 | L | First Data Corp., 9.875%, due 09/24/15 | 4,016,250 | |||||||||||||
5,700,000 | First Data Corp., 9.875%, due 09/24/15 | 4,303,500 | ||||||||||||||
1,500,000 | L | First Data Corp., 11.250%, due 03/31/16 | 930,000 | |||||||||||||
6,000,000 | L | Freescale Semiconductor, Inc., 8.875%, due 12/15/14 | 5,505,000 | |||||||||||||
3,000,000 | # | Freescale Semiconductor, Inc., 9.250%, due 04/15/18 | 2,977,500 | |||||||||||||
1,000,000 | L | Freescale Semiconductor, Inc., 10.125%, due 12/15/16 | 805,000 | |||||||||||||
5,000,000 | # | Freescale Semiconductor, Inc., 10.125%, due 03/15/18 | 5,125,000 | |||||||||||||
1,500,000 | # | IMS Health, Inc., 12.500%, due 03/01/18 | 1,721,250 | |||||||||||||
2,050,000 | L | Sanmina-SCI Corp., 6.750%, due 03/01/13 | 2,034,625 | |||||||||||||
1,000,000 | Sanmina-SCI Corp., 8.125%, due 03/01/16 | 990,000 | ||||||||||||||
800,000 | L | SunGard Data Systems, Inc., 10.250%, due 08/15/15 | 830,000 | |||||||||||||
2,500,000 | SunGard Data Systems, Inc., 10.625%, due 05/15/15 | 2,684,375 | ||||||||||||||
39,319,561 | ||||||||||||||||
Materials: | 2.5 | % | ||||||||||||||
3,000,000 | Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC, 8.875%, due 02/01/18 | 2,722,500 | ||||||||||||||
2,500,000 | L | Huntsman International, LLC, 7.375%, due 01/01/15 | 2,350,000 | |||||||||||||
1,000,000 | Huntsman International, LLC, 7.875%, due 11/15/14 | 970,000 | ||||||||||||||
EUR 3,220,000 | # | Ineos Group Holdings PLC, 7.875%, due 02/15/16 | 2,884,281 | |||||||||||||
$ | 5,000,000 | # | JohnsonDiversey, Inc., 8.250%, due 11/15/19 | 5,175,000 | ||||||||||||
EUR2,500,000 | Kerling PLC, 10.625%, due 01/28/17 | 3,083,882 | ||||||||||||||
$ | 300,000 | Nalco Co., 8.250%, due 05/15/17 | 312,000 | |||||||||||||
1,000,000 | L | NewPage Corp., 11.375%, due 12/31/14 | 912,500 | |||||||||||||
18,410,163 | ||||||||||||||||
Telecommunication Services: | 1.8 | % | ||||||||||||||
3,000,000 | #, L | Clearwire Communications, LLC/Clearwire Finance, Inc., 12.000%, due 12/01/15 | 3,003,750 | |||||||||||||
2,500,000 | # | Clearwire Communications, LLC/Clearwire Finance, Inc., 12.000%, due 12/01/15 | 2,490,625 | |||||||||||||
1,500,000 | L | Cricket Communications, Inc., 9.375%, due 11/01/14 | 1,530,000 | |||||||||||||
1,000,000 | # | Digicel Group Ltd., 8.875%, due 01/15/15 | 982,500 | |||||||||||||
2,750,000 | UPC Germany GmbH, 8.125%, due 12/01/17 | 3,346,031 | ||||||||||||||
1,500,000 | UPC Germany GmbH, 9.625%, due 12/01/19 | 1,861,793 | ||||||||||||||
13,214,699 | ||||||||||||||||
Utilities: | 6.0 | % | ||||||||||||||
1,500,000 | AES Corp., 8.000%, due 10/15/17 | 1,522,500 | ||||||||||||||
1,750,000 | # | Calpine Construction Finance Co. L.P., 8.000%, due 06/01/16 | 1,798,125 | |||||||||||||
1,500,000 | L | Energy Future Holdings, 10.875%, due 11/01/17 | 1,117,500 | |||||||||||||
17,737,149 | & | Energy Future Holdings, 11.250%, due 11/01/17 | 11,617,829 | |||||||||||||
1,500,000 | # | Intergen NV, 9.000%, due 06/30/17 | 1,500,000 | |||||||||||||
1,600,000 | Public Service Co. of New Mexico, 7.950%, due 05/15/18 | 1,687,702 | ||||||||||||||
1,000,000 | L | RRI Energy, Inc., 7.625%, due 06/15/14 | 990,000 | |||||||||||||
4,600,000 | RRI Energy, Inc., 7.875%, due 06/15/17 | 4,370,000 | ||||||||||||||
4,465,747 | Texas Competitive Electric Holdings Co. LLC, 4.066%, due 10/24/14 | 3,313,026 | ||||||||||||||
701,319 | Texas Competitive Electric Holdings Co., LLC, 3.850%, due 10/24/14 | 520,291 | ||||||||||||||
3,120,430 | Texas Competitive Electric Holdings Co., LLC, 3.874%, due 10/24/14 | 2,314,969 | ||||||||||||||
64,244 | Texas Competitive Electric Holdings Co., LLC, 4.033%, due 10/24/14 | 47,661 | ||||||||||||||
4,000,000 | Texas Competitive Electric Holdings Co., LLC, 10.250%, due 11/01/15 | 2,660,000 | ||||||||||||||
11,000,000 | L | Texas Competitive Electric Holdings Co., LLC, 10.250%, due 11/01/15 | 7,315,000 | |||||||||||||
5,281,248 | &, L | Texas Competitive Electric Holdings Co., LLC, 10.500%, due 11/01/16 | 3,406,405 | |||||||||||||
44,181,008 | ||||||||||||||||
Total Corporate Bonds/Notes (Cost $449,084,669) | 445,728,671 | |||||||||||||||
MUNICIPAL BONDS: |
| 0.4 | % | |||||||||||||
California: | 0.4 | % | ||||||||||||||
3,000,000 | State of California, 7.950%, due 03/01/36 | 3,154,170 | ||||||||||||||
Total Municipal Bonds (Cost $3,003,529) | 3,154,170 | |||||||||||||||
Total Long-Term Investments (Cost $800,872,404) | 722,014,972 | |||||||||||||||
Shares | Value | |||||||||||||||
SHORT-TERM INVESTMENTS: | 8.2 | % | ||||||||||||||
Securities Lending Collateralcc: | 8.2 | % | ||||||||||||||
60,246,452 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | $ | 60,246,452 | |||||||||||||
262,251 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 209,800 | |||||||||||||
Total Short-Term Investments (Cost $60,508,703) | 60,456,252 | |||||||||||||||
Total Investments in Securities (Cost $861,381,107) * | 106.3% |
| $ | 782,471,224 | ||||||||||||
Other Assets and Liabilities - Net | (6.3) | (46,118,220 | ) | |||||||||||||
Net Assets | 100.0% | $ | 736,353,004 | |||||||||||||
@ | Non-income producing security | |||||||||||||||
& | Payment-in-kind | |||||||||||||||
ADR | American Depositary Receipt | |||||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | |||||||||||||||
P | Preferred Stock may be called prior to convertible date. | |||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||||
## | 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. | |||||||||||||||
I | Illiquid security | |||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||||
± | Defaulted security | |||||||||||||||
EUR | EU Euro | |||||||||||||||
GBP | British Pound |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS
ING Franklin Mutual Shares Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | ||||||||||||||
COMMON STOCK: | 83.2 | % | |||||||||||||
Consumer Discretionary: | 7.0 | % | |||||||||||||
92,003 | British Sky Broadcasting PLC | $ | 960,674 | ||||||||||||
46,017 | @ | DaimlerChrysler AG | 2,327,798 | ||||||||||||
521,605 | @, I | DaimlerChrysler Escrow | 239,938 | ||||||||||||
521,597 | @, I | DaimlerChrysler Escrow | 239,935 | ||||||||||||
260,833 | @, I | DaimlerChrysler Escrow | 119,983 | ||||||||||||
49,591 | Hillenbrand, Inc. | 1,060,751 | |||||||||||||
248,099 | Mattel, Inc. | 5,249,775 | |||||||||||||
690,084 | News Corp. - Class A | 8,253,405 | |||||||||||||
33,592 | Stanley Black & Decker, Inc. | 1,697,068 | |||||||||||||
161,450 | Thomas Cook Group PLC | 427,338 | |||||||||||||
45,104 | Time Warner Cable, Inc. | 2,349,016 | |||||||||||||
94,460 | Time Warner, Inc. | 2,730,839 | |||||||||||||
313,583 | Virgin Media, Inc. | 5,233,700 | |||||||||||||
30,890,220 | |||||||||||||||
Consumer Staples: | 23.2 | % | |||||||||||||
464,181 | Altria Group, Inc. | 9,302,185 | |||||||||||||
310,766 | British American Tobacco PLC | 9,862,400 | |||||||||||||
82 | British American Tobacco PLC ADR | 5,191 | |||||||||||||
33,768 | Brown-Forman Corp. | 1,932,543 | |||||||||||||
145 | Brown-Forman Corp. | 8,439 | |||||||||||||
31,319 | Carlsberg A/S | 2,386,790 | |||||||||||||
49,952 | Carrefour S.A. | 1,981,476 | |||||||||||||
102,740 | Coca-Cola Enterprises, Inc. | 2,656,856 | |||||||||||||
404,821 | CVS Caremark Corp. | 11,869,352 | |||||||||||||
175,638 | Dr Pepper Snapple Group, Inc. | 6,567,105 | |||||||||||||
105,752 | General Mills, Inc. | 3,756,311 | |||||||||||||
21,196 | Groupe Danone | 1,136,324 | |||||||||||||
286,682 | Imperial Tobacco Group PLC | 8,010,083 | |||||||||||||
822 | Japan Tobacco, Inc. | 2,557,321 | |||||||||||||
338,111 | Kraft Foods, Inc. | 9,467,108 | |||||||||||||
252,059 | Kroger Co. | 4,963,042 | |||||||||||||
20,157 | Lorillard, Inc. | 1,450,901 | |||||||||||||
167,877 | Nestle S.A. | 8,094,833 | |||||||||||||
52,015 | PepsiCo, Inc. | 3,170,314 | |||||||||||||
71,423 | Pernod-Ricard S.A. | 5,539,949 | |||||||||||||
55,610 | Philip Morris International, Inc. | 2,549,162 | |||||||||||||
63,927 | Reynolds American, Inc. | 3,331,875 | |||||||||||||
52,921 | Wal-Mart Stores, Inc. | 2,543,912 | |||||||||||||
103,143,472 | |||||||||||||||
Energy: | 5.6 | % | |||||||||||||
34,600 | Baker Hughes, Inc. | 1,438,322 | |||||||||||||
321,580 | BP PLC | 1,539,455 | |||||||||||||
63,611 | @ | Exterran Holdings, Inc. | 1,641,800 | ||||||||||||
199,340 | Marathon Oil Corp. | 6,197,481 | |||||||||||||
20,911 | Noble Energy, Inc. | 1,261,561 | |||||||||||||
64,234 | @ | Pride International, Inc. | 1,434,988 | ||||||||||||
189,844 | Royal Dutch Shell PLC | 4,772,244 | |||||||||||||
49,265 | Total S.A. | 2,199,136 | |||||||||||||
90,768 | @ | Transocean Ltd. | 4,205,281 | ||||||||||||
24,690,268 | |||||||||||||||
Financials: | 14.0 | % | |||||||||||||
81,774 | ACE Ltd. | 4,209,726 | |||||||||||||
5,865 | @ | Alleghany Corp. | 1,720,205 | ||||||||||||
479,732 | Bank of America Corp. | 6,893,749 | |||||||||||||
974,744 | Barclays PLC | 3,890,691 | |||||||||||||
39,766 | @ | Berkshire Hathaway, Inc. | 3,168,953 | ||||||||||||
2 | @ | Berkshire Hathaway, Inc. - Class A | 240,000 | ||||||||||||
31,900 | @, # | Bond Street Holdings, LLC | 638,000 | ||||||||||||
454,259 | @, I | Canary Wharf Group PLC | 2,005,003 | ||||||||||||
15,572 | @ | CIT Group, Inc. | 527,268 | ||||||||||||
98,875 | @ | CNO Financial Group, Inc. | 489,431 | ||||||||||||
39,912 | Deutsche Boerse AG | 2,424,800 | |||||||||||||
53,178 | @ | Forestar Real Estate Group, Inc. | 955,077 | ||||||||||||
20,020 | Goldman Sachs Group, Inc. | 2,628,025 | |||||||||||||
47,924 | @ | Guaranty Bancorp | 50,799 | ||||||||||||
498,859 | Intesa Sanpaolo S.p.A. | 1,313,846 | |||||||||||||
189,000 | Morgan Stanley | 4,386,690 | |||||||||||||
206,703 | Old Republic International Corp. | 2,507,307 | |||||||||||||
62,680 | PNC Financial Services Group, Inc. | 3,541,420 | |||||||||||||
36,301 | @ | St Joe Co/The | 840,731 | ||||||||||||
48,137 | Travelers Cos., Inc. | 2,370,747 | |||||||||||||
191,125 | @ | UBS AG - Reg | 2,531,989 | ||||||||||||
223,690 | Wells Fargo & Co. | 5,726,464 | |||||||||||||
20,198 | @ | White Mountains Insurance Group Ltd. | 6,548,192 | ||||||||||||
11,352 | Zurich Financial Services AG | 2,502,135 | |||||||||||||
62,111,248 | |||||||||||||||
Health Care: | 7.9 | % | |||||||||||||
13,402 | Alcon, Inc. | 1,986,042 | |||||||||||||
48,600 | @ | Amgen, Inc. | 2,556,360 | ||||||||||||
396,810 | @ | Boston Scientific Corp. | 2,301,498 | ||||||||||||
63,300 | @ | Community Health Systems, Inc. | 2,140,173 | ||||||||||||
205,820 | Eli Lilly & Co. | 6,894,970 | |||||||||||||
3,265 | @ | Kindred Healthcare, Inc. | 41,923 | ||||||||||||
80,062 | Novartis AG | 3,880,055 | |||||||||||||
315,900 | Pfizer, Inc. | 4,504,734 | |||||||||||||
901,741 | @ | Tenet Healthcare Corp. | 3,913,556 | ||||||||||||
249,510 | UnitedHealth Group, Inc. | 7,086,084 | |||||||||||||
35,305,395 | |||||||||||||||
Industrials: | 6.2 | % | |||||||||||||
50,550 | Alstom | 2,288,775 | |||||||||||||
645 | AP Moller - Maersk A/S - Class B | 5,079,902 | |||||||||||||
104,423 | Federal Signal Corp. | 630,715 | |||||||||||||
73,725 | @ | Gencorp, Inc. | 322,916 | ||||||||||||
22,030 | Groupe Eurotunnel S.A. | 148,885 | |||||||||||||
781,823 | Orkla ASA | 4,999,871 | |||||||||||||
115,723 | @ | Owens Corning, Inc. | 3,461,275 | ||||||||||||
65,000 | Siemens AG | 5,813,595 | |||||||||||||
73,039 | TNT NV | 1,839,645 | |||||||||||||
83,342 | Tyco International Ltd. | 2,936,139 | |||||||||||||
27,521,718 | |||||||||||||||
Information Technology: | 7.9 | % | |||||||||||||
386,574 | @ | Dell, Inc. | 4,662,082 | ||||||||||||
872,815 | @ | LSI Logic Corp. | 4,014,949 | ||||||||||||
188,074 | Maxim Integrated Products | 3,146,478 | |||||||||||||
366,079 | Microsoft Corp. | 8,423,478 | |||||||||||||
584,874 | @ | Motorola, Inc. | 3,813,378 | ||||||||||||
10,370 | Nintendo Co., Ltd. | 3,044,728 | |||||||||||||
98,732 | Tyco Electronics Ltd. | 2,505,818 | |||||||||||||
688,342 | Xerox Corp. | 5,534,270 | |||||||||||||
35,145,181 | |||||||||||||||
Materials: | 4.4 | % | |||||||||||||
36,878 | Domtar Corp. | 1,812,554 | |||||||||||||
220,488 | International Paper Co. | 4,989,643 | |||||||||||||
39,314 | Linde AG | 4,133,867 | |||||||||||||
53,357 | MeadWestvaco Corp. | 1,184,525 | |||||||||||||
211,754 | Weyerhaeuser Co. | 7,453,741 | |||||||||||||
19,574,330 | |||||||||||||||
Telecommunication Services: | 3.3 | % | |||||||||||||
2,004,569 | Cable & Wireless Communications PLC | 1,729,626 | |||||||||||||
2,004,569 | Cable & Wireless Worldwide PLC | 2,593,690 | |||||||||||||
253,813 | Telefonica S.A. | 4,701,818 | |||||||||||||
2,795,023 | Vodafone Group PLC | 5,759,117 | |||||||||||||
14,784,251 | |||||||||||||||
Utilities: | 3.7 | % | |||||||||||||
440,822 | Babcock & Brown Infrastructure Group | 1,206,243 | |||||||||||||
165,020 | E.ON AG | 4,437,102 | |||||||||||||
27,946 | Entergy Corp. | 2,001,493 | |||||||||||||
98,032 | Exelon Corp. | 3,722,275 | |||||||||||||
58,737 | Gaz de France | 1,671,106 | |||||||||||||
161,533 | @ | NRG Energy, Inc. | 3,426,115 | ||||||||||||
16,464,334 | |||||||||||||||
Total Common Stock (Cost $427,377,334) | 369,630,417 | ||||||||||||||
REAL ESTATE INVESTMENT TRUSTS: | 1.1 | % | |||||||||||||
Financials: | 1.1 | % | |||||||||||||
9,488 | Alexander’s, Inc. | 2,874,105 | |||||||||||||
872,070 | Link Real Estate Investment Trust | 2,163,928 | |||||||||||||
Total Real Estate Investment Trusts (Cost $5,329,755) | 5,038,033 | ||||||||||||||
PREFERRED STOCK: | 0.9 | % | |||||||||||||
Consumer Discretionary: | 0.9 | % | |||||||||||||
46,407 | Volkswagen AG | 4,072,252 | |||||||||||||
Total Preferred Stock (Cost $4,090,570) | 4,072,252 | ||||||||||||||
RIGHTS: | 0.0 | % | |||||||||||||
Consumer Discretionary: | 0.0 | % | |||||||||||||
715,000 | I, X | Northwest Airlines Claim (Pending Reorganization) due 02/20/49 | - | ||||||||||||
Total Rights (Cost $201,857) | - | ||||||||||||||
Prin | cipal Amount | Value | |||||||||||||
CORPORATE BONDS/NOTES: |
| 6.0 | % | ||||||||||||
Consumer Discretionary: | 0.4 | % | |||||||||||||
$ | 784 | Charter Communications Operating, LLC, 2.538%, due 03/06/14 | $ | 729 | |||||||||||
203,500 | I | DaimlerChrysler Escrow, 12.000%, due 07/31/14 | 93,610 | ||||||||||||
407,000 | I | DaimlerChrysler Escrow, 12.000%, due 07/31/14 | 187,220 | ||||||||||||
407,000 | I | DaimlerChrysler Escrow, 12.000%, due 07/31/14 | 187,220 | ||||||||||||
179,000 | ± | Dana Corp., 0.000%, due 04/11/18 | - | ||||||||||||
7,000 | ± | Dana Corp., 0.000%, due 03/15/28 | - | ||||||||||||
37,000 | ± | Dana Corp., 0.000%, due 03/01/29 | - | ||||||||||||
29,000 | ± | Dana Corp., 0.000%, due 03/01/29 | - | ||||||||||||
1,271,000 | Six Flags, 9.250%, due 12/31/16 | 1,267,823 | |||||||||||||
1,736,602 | |||||||||||||||
Financials: | 2.9 | % | |||||||||||||
211,871 | CIT Group, Inc., 7.000%, due 05/01/13 | 203,926 | |||||||||||||
317,809 | CIT Group, Inc., 7.000%, due 05/01/14 | 301,124 | |||||||||||||
317,809 | CIT Group, Inc., 7.000%, due 05/01/15 | 294,768 | |||||||||||||
2,120,684 | CIT Group, Inc., 7.000%, due 05/01/16 | 1,945,728 | |||||||||||||
2,119,558 | CIT Group, Inc., 7.000%, due 05/01/17 | 1,918,200 | |||||||||||||
934,795 | CIT Group, Inc., 9.500%, due 01/20/12 | 966,462 | |||||||||||||
434,034 | CIT Group, Inc., 13.000%, due 01/20/12 | 448,737 | |||||||||||||
881,360 | Realogy Corp., 2.250%, due 10/10/13 | 751,360 | |||||||||||||
854,700 | Realogy Corp., 2.499%, due 10/10/13 | 696,581 | |||||||||||||
6,408,639 | Realogy Corp., 3.347%, due 10/10/13 | 5,463,365 | |||||||||||||
193,000 | Realogy Corp., 13.500%, due 10/15/17 | 202,730 | |||||||||||||
1,216,000 | ± | Tropicana Entertainment, LLC, 9.625%, due 12/15/14 | 851 | ||||||||||||
13,193,832 | |||||||||||||||
Information Technology: | 1.4 | % | |||||||||||||
4,089,000 | Avaya, Inc., 2.531%, due 10/26/14 | 3,508,023 | |||||||||||||
293,412 | First Data Corp., 3.285%, due 09/24/14 | 247,281 | |||||||||||||
2,801,909 | First Data Corp., 3.287%, due 09/24/14 | 2,364,670 | |||||||||||||
6,119,974 | |||||||||||||||
Materials: | 0.2 | % | |||||||||||||
895,000 | Smurfit Stone Container Enterprises, Inc. Exit Term Loan B, 0.000%, due 02/22/16 | 895,000 | |||||||||||||
895,000 | |||||||||||||||
Telecommunication Services: | 0.1 | % | |||||||||||||
333,093 | Charter Communications, 7.250%, due 03/06/14 | 334,915 | |||||||||||||
334,915 | |||||||||||||||
Utilities: | 1.0 | % | |||||||||||||
81,712 | Boston Generating, LLC, 2.777%, due 12/20/13 | 69,017 | |||||||||||||
379,325 | Boston Generating, LLC, 2.788%, due 12/20/13 | 320,395 | |||||||||||||
97,000 | I, X | Calpine Corp., 0.000%, due 01/00/00 | - | ||||||||||||
33,000 | I, X | Calpine Corp., 0.000%, due 01/00/00 | - | ||||||||||||
49,000 | I, X | Calpine Corp., 0.000%, due 01/00/00 | - | ||||||||||||
3,040,436 | Texas Competitive Electric Holdings Co., LLC, 3.527%, due 10/10/14 | 2,255,462 | |||||||||||||
2,102,314 | Texas Competitive Electric Holdings Co., LLC, 3.845%, due 10/10/14 | 1,545,577 | |||||||||||||
324,756 | Texas Competitive Electric Holdings Co., LLC, 4.027%, due 10/10/14 | 240,928 | |||||||||||||
4,431,379 | |||||||||||||||
Total Corporate Bonds/Notes (Cost $27,313,657) | 26,711,702 | ||||||||||||||
Total Long-Term Investments (Cost $464,313,173) | 405,452,404 | ||||||||||||||
SHORT-TERM INVESTMENTS: |
| 6.1 | % | ||||||||||||
U.S. Government Agency Obligations: | 0.7 | % | |||||||||||||
3,000,000 | Z | Federal Home Loan Bank, 0.009%, due 07/01/10 | 3,000,000 | ||||||||||||
Total U.S. Government Agency Obligations (Cost $3,000,000) | 3,000,000 | ||||||||||||||
U.S. Treasury Bills: | 5.4 | % | |||||||||||||
5,000,000 | 0.030%, due 07/08/10 | 4,999,893 | |||||||||||||
1,000,000 | 0.040%, due 07/15/10 | 999,944 | |||||||||||||
3,000,000 | 0.100%, due 08/26/10 | 2,999,540 | |||||||||||||
2,000,000 | 0.110%, due 08/05/10 | 1,999,778 | |||||||||||||
3,000,000 | 0.130%, due 07/29/10 | 2,999,678 | |||||||||||||
5,000,000 | 0.140%, due 09/09/10 | 4,998,590 | |||||||||||||
5,000,000 | 0.140%, due 09/16/10 | 4,998,449 | |||||||||||||
Total U.S. Treasury Bills (Cost $23,994,238) | 23,995,872 | ||||||||||||||
Total Short-Term Investments (Cost $26,994,238) | 26,995,872 | ||||||||||||||
Total Investments in Securities (Cost $491,307,411) * | 97.3% | $ | 432,448,276 | ||||||||||||
Other Assets and Liabilities - Net | 2.7 | 11,829,394 | |||||||||||||
Net Assets | 100.0% | $ | 444,277,670 | ||||||||||||
@ | Non-income producing security | ||||||||||||||
ADR | American Depositary Receipt | ||||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | ||||||||||||||
I | Illiquid security | ||||||||||||||
± | Defaulted security | ||||||||||||||
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. | ||||||||||||||
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS | ||
ING JPMorgan Small Cap Core Equity Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | |||||||||||||||
COMMON STOCK: | 91.6 | % | ||||||||||||||
Consumer Discretionary: | 15.9 | % | ||||||||||||||
12,675 | @ | Aeropostale, Inc. | $ | 363,012 | ||||||||||||
15,975 | @ | AH Belo Corp. | 106,074 | |||||||||||||
24,300 | American Greetings Corp. | 455,868 | ||||||||||||||
35,200 | @ | Asbury Automotive Group, Inc. | 371,008 | |||||||||||||
33,700 | @, L | Belo Corp. | 191,753 | |||||||||||||
25,000 | Big 5 Sporting Goods Corp. | 328,500 | ||||||||||||||
85,740 | Brinker International, Inc. | 1,239,800 | ||||||||||||||
9,150 | Brown Shoe Co., Inc. | 138,897 | ||||||||||||||
67,580 | Brunswick Corp. | 840,019 | ||||||||||||||
28,500 | @, L | Cabela’s, Inc. | 402,990 | |||||||||||||
23,700 | @, L | Carmike Cinemas, Inc. | 143,622 | |||||||||||||
8,800 | @ | CEC Entertainment, Inc. | 310,288 | |||||||||||||
98,100 | Chico’s FAS, Inc. | 969,228 | ||||||||||||||
82,950 | Cinemark Holdings, Inc. | 1,090,793 | ||||||||||||||
24,200 | @ | Collective Brands, Inc. | 382,360 | |||||||||||||
36,300 | Cooper Tire & Rubber Co. | 707,850 | ||||||||||||||
5,200 | @, L | Corinthian Colleges, Inc. | 51,220 | |||||||||||||
32,700 | Cracker Barrel Old Country Store | 1,522,512 | ||||||||||||||
174 | CSS Industries, Inc. | 2,871 | ||||||||||||||
6,600 | @ | Deckers Outdoor Corp. | 942,942 | |||||||||||||
72,070 | @ | Dick’s Sporting Goods, Inc. | 1,793,822 | |||||||||||||
25,400 | Dillard’s, Inc. | 546,100 | ||||||||||||||
7,800 | @, L | DineEquity, Inc. | 217,776 | |||||||||||||
53,600 | @ | Domino’s Pizza, Inc. | 605,680 | |||||||||||||
12,100 | @ | Einstein Noah Restaurant Group, Inc. | 130,559 | |||||||||||||
18,700 | @ | Entercom Communications Corp. | 164,934 | |||||||||||||
11,000 | @ | Express, Inc. | 180,070 | |||||||||||||
28,800 | Finish Line | 401,184 | ||||||||||||||
19,000 | @ | G-III Apparel Group Ltd. | 434,910 | |||||||||||||
11,000 | @ | Gymboree Corp. | 469,810 | |||||||||||||
11,600 | @ | Helen of Troy Ltd. | 255,896 | |||||||||||||
9,700 | Hooker Furniture Corp. | 103,402 | ||||||||||||||
10,500 | L | HOT Topic, Inc. | 53,340 | |||||||||||||
25,400 | @ | HSN, Inc. | 609,600 | |||||||||||||
90,310 | @ | Iconix Brand Group, Inc. | 1,297,755 | |||||||||||||
4,400 | @, L | Isle of Capri Casinos, Inc. | 40,744 | |||||||||||||
31,400 | @, L | Jakks Pacific, Inc. | 451,532 | |||||||||||||
139,811 | Jarden Corp. | 3,756,710 | ||||||||||||||
46,500 | Jones Apparel Group, Inc. | 737,025 | ||||||||||||||
13,400 | @, L | JoS. A Bank Clothiers, Inc. | 723,466 | |||||||||||||
70,100 | @ | Journal Communications, Inc. | 278,297 | |||||||||||||
23,500 | @ | Kirkland’s, Inc. | 396,563 | |||||||||||||
6,600 | @ | Knology, Inc. | 72,138 | |||||||||||||
16,200 | @ | La-Z-Boy, Inc. | 120,366 | |||||||||||||
29,750 | @, L | Life Time Fitness, Inc. | 945,753 | |||||||||||||
55,175 | @, L | Lin TV Corp. | 298,497 | |||||||||||||
3,300 | @ | Lincoln Educational Services Corp. | 67,947 | |||||||||||||
7,500 | L | Lithia Motors, Inc. | 46,350 | |||||||||||||
52,700 | @, S | Maidenform Brands, Inc. | 1,072,972 | |||||||||||||
70,000 | @ | Mediacom Communications Corp. | 470,400 | |||||||||||||
99,500 | @, L | Monarch Casino & Resort, Inc. | 1,007,935 | |||||||||||||
32,801 | @ | Morningstar, Inc. | 1,394,699 | |||||||||||||
71,470 | L | Nutri/System, Inc. | 1,639,522 | |||||||||||||
32,275 | @ | OfficeMax, Inc. | 421,512 | |||||||||||||
29,800 | Oxford Industries, Inc. | 623,714 | ||||||||||||||
119,090 | @ | Papa John’s International, Inc. | 2,753,361 | |||||||||||||
81,280 | @ | Penn National Gaming, Inc. | 1,877,568 | |||||||||||||
47,200 | @ | Perry Ellis International, Inc. | 953,440 | |||||||||||||
44,623 | L | PetMed Express, Inc. | 794,289 | |||||||||||||
62,650 | Pool Corp. | 1,373,288 | ||||||||||||||
15,700 | @ | RC2 Corp. | 252,927 | |||||||||||||
40,600 | @ | Rent-A-Center, Inc. | 822,556 | |||||||||||||
47,700 | @ | Ruby Tuesday, Inc. | 405,450 | |||||||||||||
61,508 | @ | Ruth’s Chris Steak House | 257,103 | |||||||||||||
36,973 | @, L | Saks, Inc. | 280,625 | |||||||||||||
130,180 | @ | Shuffle Master, Inc. | 1,042,742 | |||||||||||||
61,200 | @, L | Sinclair Broadcast Group, Inc. | 356,796 | |||||||||||||
76,100 | @, L | Smith & Wesson Holding Corp. | 311,249 | |||||||||||||
24,300 | @ | Sonic Automotive, Inc. | 208,008 | |||||||||||||
18,300 | L | Spartan Motors, Inc. | 76,860 | |||||||||||||
31,200 | Standard Motor Products, Inc. | 251,784 | ||||||||||||||
8,500 | @ | Steven Madden Ltd. | 267,920 | |||||||||||||
5,800 | Sturm Ruger & Co., Inc. | 83,114 | ||||||||||||||
39,100 | @, S | Tempur-Pedic International, Inc. | 1,202,325 | |||||||||||||
5,400 | @ | Tesla Motors, Inc. | 128,682 | |||||||||||||
10,300 | Unifirst Corp. | 453,406 | ||||||||||||||
15,100 | @ | Valassis Communications, Inc. | 478,972 | |||||||||||||
17,300 | @ | Vitamin Shoppe, Inc. | 443,745 | |||||||||||||
77,870 | Williams-Sonoma, Inc. | 1,932,733 | ||||||||||||||
20,500 | @, L | Zale Corp. | 32,390 | |||||||||||||
49,433,920 | ||||||||||||||||
Consumer Staples: | 4.2 | % | ||||||||||||||
7,800 | @ | American Italian Pasta Co. | 412,386 | |||||||||||||
20,100 | Andersons, Inc. | 655,059 | ||||||||||||||
135,070 | B&G Foods, Inc. | 1,456,055 | ||||||||||||||
18,000 | @, L | Cellu Tissue Holdings, Inc. | 139,860 | |||||||||||||
47,100 | @ | Central Garden & Pet Co. | 422,487 | |||||||||||||
97,200 | @, S | Chiquita Brands International, Inc. | 1,180,980 | |||||||||||||
153,210 | @, L | Dole Food Co., Inc. | 1,597,980 | |||||||||||||
53,580 | @ | Hansen Natural Corp. | 2,095,514 | |||||||||||||
34,690 | J&J Snack Foods Corp. | 1,460,449 | ||||||||||||||
3,400 | Nash Finch Co. | 116,144 | ||||||||||||||
8,800 | @, L | Pantry, Inc. | 124,168 | |||||||||||||
22,500 | @ | Prestige Brands Holdings, Inc. | 159,300 | |||||||||||||
164,340 | @, L | Reddy Ice Holdings, Inc. | 530,818 | |||||||||||||
5,400 | Sanderson Farms, Inc. | 273,996 | ||||||||||||||
26,400 | Spartan Stores, Inc. | 362,208 | ||||||||||||||
3,500 | @ | TreeHouse Foods, Inc. | 159,810 | |||||||||||||
182,868 | @, L | Winn-Dixie Stores, Inc. | 1,762,848 | |||||||||||||
12,910,062 | ||||||||||||||||
Energy: | 4.6 | % | ||||||||||||||
1,800 | Apco Oil and Gas International, Inc. | 42,318 | ||||||||||||||
77,935 | @, L | Approach Resources, Inc. | 536,193 | |||||||||||||
24,000 | @ | Cal Dive International, Inc. | 140,400 | |||||||||||||
51,900 | @ | Callon Petroleum Co. | 326,970 | |||||||||||||
13,500 | @, L | Clayton Williams Energy, Inc. | 568,620 | |||||||||||||
68,000 | EXCO Resources, Inc. | 993,480 | ||||||||||||||
83,233 | @, L | Exterran Holdings, Inc. | 2,148,244 | |||||||||||||
2,100 | @, L | FX Energy, Inc. | 7,602 | |||||||||||||
7,900 | @ | Georesources, Inc. | 110,047 | |||||||||||||
17,600 | @ | Global Geophysical Services, Inc. | 122,672 | |||||||||||||
28,700 | @ | Gulfmark Offshore, Inc. | 751,940 | |||||||||||||
54,000 | @ | Gulfport Energy Corp. | 640,440 | |||||||||||||
25,700 | @ | ION Geophysical Corp. | 89,436 | |||||||||||||
16,100 | @ | Knightsbridge Tankers Ltd. | 283,199 | |||||||||||||
10,200 | Lufkin Industries, Inc. | 397,698 | ||||||||||||||
6,100 | @ | Matrix Service Co. | 56,791 | |||||||||||||
45,300 | @ | McMoRan Exploration Co. | 503,283 | |||||||||||||
27,100 | @ | Newpark Resources | 163,955 | |||||||||||||
2,200 | @ | OYO Geospace Corp. | 106,656 | |||||||||||||
19,800 | @ | Parker Drilling Co. | 78,210 | |||||||||||||
122,420 | Patterson-UTI Energy, Inc. | 1,575,545 | ||||||||||||||
7,100 | Penn Virginia Corp. | 142,781 | ||||||||||||||
98,290 | @, L | Resolute Energy Corp. | 1,203,070 | |||||||||||||
6,100 | @ | T-3 Energy Services, Inc. | 170,190 | |||||||||||||
50,390 | Tidewater, Inc. | 1,951,101 | ||||||||||||||
33,700 | @ | Vaalco Energy, Inc. | 188,720 | |||||||||||||
38,100 | @ | Warren Resources, Inc. | 110,490 | |||||||||||||
19,400 | @, L | Western Refining, Inc. | 97,582 | |||||||||||||
31,800 | World Fuel Services Corp. | 824,892 | ||||||||||||||
14,332,525 | ||||||||||||||||
Financials: | 16.0 | % | ||||||||||||||
21,700 | @ | 1st United Bancorp, Inc. | 159,712 | |||||||||||||
11,400 | Advance America Cash Advance Centers, Inc. | 47,082 | ||||||||||||||
1,000 | L | Alliance Financial Corp. | 27,800 | |||||||||||||
126,900 | American Equity Investment Life Holding Co. | 1,309,608 | ||||||||||||||
47,624 | American Physicians Capital, Inc. | 1,469,200 | ||||||||||||||
4,400 | @ | American Safety Insurance Holdings Ltd. | 69,168 | |||||||||||||
22,200 | Aspen Insurance Holdings Ltd. | 549,228 | ||||||||||||||
141,440 | L | Associated Banc-Corp. | 1,734,054 | |||||||||||||
10,700 | Banco Latinoamericano de Exportaciones S.A. | 133,643 | ||||||||||||||
1,900 | @, L | Bancorp, Inc. | 14,877 | |||||||||||||
83,950 | BGC Partners, Inc. | 428,985 | ||||||||||||||
116,305 | Calamos Asset Management, Inc. | 1,079,310 | ||||||||||||||
43,700 | S | Cash America International, Inc. | 1,497,599 | |||||||||||||
23,500 | Cathay General Bancorp. | 242,755 | ||||||||||||||
11,300 | L | City Holding Co. | 315,044 | |||||||||||||
4,200 | Columbia Banking System, Inc. | 76,692 | ||||||||||||||
15,800 | Community Bank System, Inc. | 348,074 | ||||||||||||||
4,770 | L | Community Trust Bancorp., Inc. | 119,727 | |||||||||||||
2,775 | Compass Diversified Trust | 37,213 | ||||||||||||||
2,259 | @, L | CompuCredit Holdings Corp. | 8,946 | |||||||||||||
14,600 | CVB Financial Corp. | 138,700 | ||||||||||||||
23,200 | Delphi Financial Group | 566,312 | ||||||||||||||
9,500 | Dime Community Bancshares | 117,135 | ||||||||||||||
37,728 | @ | Dollar Financial Corp. | 746,637 | |||||||||||||
11,300 | East-West Bancorp., Inc. | 172,325 | ||||||||||||||
85,434 | @, L | eHealth, Inc. | 971,385 | |||||||||||||
19,800 | @ | Encore Capital Group, Inc. | 408,078 | |||||||||||||
46,768 | Epoch Holding Corp. | 573,843 | ||||||||||||||
6,600 | @, L | Financial Engines, Inc. | 89,760 | |||||||||||||
4,400 | L | Financial Institutions, Inc. | 78,144 | |||||||||||||
5,200 | First Bancorp. | 75,348 | ||||||||||||||
17,300 | L | First Community Bancshares, Inc. | 254,137 | |||||||||||||
153,352 | First Financial Bancorp. | 2,292,612 | ||||||||||||||
11,200 | First Interstate Bancsystem, Inc. | 176,176 | ||||||||||||||
13,200 | L | First Merchants Corp. | 111,936 | |||||||||||||
170,067 | First Niagara Financial Group, Inc. | 2,130,940 | ||||||||||||||
18,900 | Flagstone Reinsurance Holdings SA | 204,498 | ||||||||||||||
43,900 | L | FNB Corp. | 352,517 | |||||||||||||
8,811 | Gladstone Capital Corp. | 95,247 | ||||||||||||||
20,700 | Greenhill & Co., Inc. | 1,265,391 | ||||||||||||||
4,600 | @ | Hallmark Financial Services, Inc. | 45,770 | |||||||||||||
160,510 | @ | HFF, Inc. | 1,134,806 | |||||||||||||
5,200 | Horace Mann Educators Corp. | 79,560 | ||||||||||||||
4,270 | L | Hudson Valley Holding Corp. | 98,722 | |||||||||||||
61,319 | IBERIABANK Corp. | 3,156,702 | ||||||||||||||
11,330 | International Bancshares Corp. | 189,098 | ||||||||||||||
41,860 | L | JMP Group, Inc. | 259,113 | |||||||||||||
67,626 | @, L | KBW, Inc. | 1,449,901 | |||||||||||||
34,900 | @ | Knight Capital Group, Inc. | 481,271 | |||||||||||||
7,100 | L | Lakeland Bancorp, Inc. | 60,492 | |||||||||||||
6,200 | Lakeland Financial Corp. | 123,876 | ||||||||||||||
7,900 | L | MainSource Financial Group, Inc. | 56,643 | |||||||||||||
4,000 | @ | Marlin Business Services Corp. | 48,360 | |||||||||||||
40,400 | MCG Capital Corp. | 195,132 | ||||||||||||||
33,600 | L | Meadowbrook Insurance Group, Inc. | 289,968 | |||||||||||||
600 | Merchants Bancshares, Inc. | 13,332 | ||||||||||||||
77,300 | @ | MPG Office Trust, Inc. | 226,489 | |||||||||||||
40,000 | @, L | Nara Bancorp., Inc. | 337,200 | |||||||||||||
2,800 | L | National Bankshares, Inc. | 67,844 | |||||||||||||
41,700 | @ | National Financial Partners Corp. | 407,409 | |||||||||||||
16,300 | L | National Penn Bancshares, Inc. | 97,963 | |||||||||||||
6,200 | NBT Bancorp., Inc. | 126,604 | ||||||||||||||
22,500 | Nelnet, Inc. | 433,800 | ||||||||||||||
8,800 | L | OceanFirst Financial Corp. | 106,216 | |||||||||||||
61,100 | @ | Ocwen Financial Corp. | 622,609 | |||||||||||||
3,200 | Oppenheimer Holdings, Inc. | 76,640 | ||||||||||||||
164,490 | @ | OptionsXpress Holdings, Inc. | 2,589,073 | |||||||||||||
3,000 | L | Park National Corp. | 195,120 | |||||||||||||
21,400 | @, L | Penson Worldwide, Inc. | 120,696 | |||||||||||||
6,300 | Peoples Bancorp., Inc. | 91,350 | ||||||||||||||
41,500 | @ | PHH Corp. | 790,160 | |||||||||||||
7,800 | Platinum Underwriters Holdings Ltd. | 283,062 | ||||||||||||||
49,700 | @ | PMA Capital Corp. | 325,535 | |||||||||||||
7,500 | @, L | Portfolio Recovery Associates, Inc. | 500,850 | |||||||||||||
6,900 | @, L | Primerica, Inc. | 147,936 | |||||||||||||
70,430 | @ | ProAssurance Corp. | 3,997,607 | |||||||||||||
18,550 | Prospect Capital Corp. | 179,008 | ||||||||||||||
7,200 | Prosperity Bancshares, Inc. | 250,200 | ||||||||||||||
7,300 | Pzena Investment Management, Inc. | 46,501 | ||||||||||||||
32,000 | Radian Group, Inc. | 231,680 | ||||||||||||||
2,100 | L | Renasant Corp. | 30,135 | |||||||||||||
3,557 | L | Republic Bancorp., Inc. | 79,677 | |||||||||||||
23,170 | RLI Corp. | 1,216,657 | ||||||||||||||
8,500 | Safety Insurance Group, Inc. | 314,670 | ||||||||||||||
10,000 | @ | Santander Bancorp. | 126,400 | |||||||||||||
15,900 | Selective Insurance Group | 236,274 | ||||||||||||||
5,400 | L | Sierra Bancorp. | 62,100 | |||||||||||||
6,651 | L | Southside Bancshares, Inc. | 130,626 | |||||||||||||
6,600 | Southwest Bancorp., Inc. | 87,714 | ||||||||||||||
47,350 | L | Sterling Bancshares, Inc. | 223,019 | |||||||||||||
41,100 | Susquehanna Bancshares, Inc. | 342,363 | ||||||||||||||
6,500 | @ | SVB Financial Group | 267,995 | |||||||||||||
14,100 | SWS Group, Inc. | 133,950 | ||||||||||||||
11,300 | Symetra Financial Corp. | 135,600 | ||||||||||||||
19,800 | Trustco Bank Corp. | 110,880 | ||||||||||||||
148,232 | Umpqua Holdings Corp. | 1,701,703 | ||||||||||||||
8,000 | L | WesBanco, Inc. | 134,800 | |||||||||||||
4,000 | @, L | West Bancorporation, Inc. | 27,240 | |||||||||||||
15,900 | Westamerica Bancorp. | 835,068 | ||||||||||||||
116,433 | @, L | Western Alliance Bancorp. | 834,825 | |||||||||||||
55,083 | Westfield Financial, Inc. | 458,841 | ||||||||||||||
12,300 | Wilshire Bancorp., Inc. | 107,625 | ||||||||||||||
30,900 | @, L | World Acceptance, Corp. | 1,183,779 | |||||||||||||
8,275 | WSFS Financial Corp. | 297,321 | ||||||||||||||
49,503,398 | ||||||||||||||||
Health Care: | 11.3 | % | ||||||||||||||
16,700 | @, L | Affymax, Inc. | 99,866 | |||||||||||||
34,600 | @ | Allied Healthcare International, Inc. | 80,272 | |||||||||||||
39,600 | @ | American Medical Systems Holdings, Inc. | 875,952 | |||||||||||||
66,100 | @ | Anadys Pharmaceuticals, Inc. | 126,912 | |||||||||||||
17,000 | @, L | Ardea Biosciences, Inc. | 349,520 | |||||||||||||
72,900 | @, L | Ariad Pharmaceuticals, Inc. | 205,578 | |||||||||||||
29,625 | @ | BioCryst Pharmaceuticals, Inc. | 175,084 | |||||||||||||
45,600 | @, L | Biodel, Inc. | 172,368 | |||||||||||||
34,101 | @, L | Cadence Pharmaceuticals, Inc. | 239,048 | |||||||||||||
42,100 | Cantel Medical Corp. | 703,070 | ||||||||||||||
8,900 | @ | Cardiome Pharma Corp. | 72,535 | |||||||||||||
47,800 | @, L | CardioNet, Inc. | 261,944 | |||||||||||||
20,720 | @ | Catalyst Health Solutions, Inc. | 714,840 | |||||||||||||
27,900 | @ | Centene Corp. | 599,850 | |||||||||||||
9,400 | @, L | Chelsea Therapeutics International, Inc. | 27,542 | |||||||||||||
56,200 | @ | Continucare Corp. | 188,270 | |||||||||||||
112,150 | @ | Coventry Health Care, Inc. | 1,982,812 | |||||||||||||
91,590 | @, L | Cumberland Pharmaceuticals, Inc. | 588,008 | |||||||||||||
53,200 | @, L | Cytokinetics, Inc. | 126,084 | |||||||||||||
14,600 | @, L | DynaVox, Inc. | 233,746 | |||||||||||||
6,600 | @ | Emergency Medical Services Corp. | 323,598 | |||||||||||||
17,500 | @, L | Enzo Biochem, Inc. | 71,225 | |||||||||||||
15,600 | @ | eResearch Technology, Inc. | 122,928 | |||||||||||||
19,900 | @, L | GenMark Diagnostics, Inc. | 87,958 | |||||||||||||
6,100 | @ | Genoptix, Inc. | 104,920 | |||||||||||||
23,400 | @ | Gentiva Health Services, Inc. | 632,034 | |||||||||||||
23,400 | @, L | Hanger Orthopedic Group, Inc. | 420,264 | |||||||||||||
23,600 | @ | Healthsouth Corp. | 441,556 | |||||||||||||
39,600 | @ | Healthspring, Inc. | 614,196 | |||||||||||||
73,500 | @, L | Idenix Pharmaceuticals, Inc. | 367,500 | |||||||||||||
2,700 | @, L | Idera Pharmaceuticals, Inc. | 9,720 | |||||||||||||
30,570 | @, L | Idexx Laboratories, Inc. | 1,861,713 | |||||||||||||
32,000 | @ | Immucor, Inc. | 609,600 | |||||||||||||
28,700 | @, L | Immunomedics, Inc. | 88,683 | |||||||||||||
25,800 | @ | Impax Laboratories, Inc. | 491,748 | |||||||||||||
31,500 | @, L | Incyte Corp. | 348,705 | |||||||||||||
7,100 | @, L | Integra LifeSciences Holdings Corp. | 262,700 | |||||||||||||
5,200 | @ | inVentiv Health, Inc. | 133,120 | |||||||||||||
22,400 | @ | Isis Pharmaceuticals, Inc. | 214,368 | |||||||||||||
56,000 | @, S | Javelin Pharmaceuticals, Inc. | 123,200 | |||||||||||||
33,700 | @ | Kendle International, Inc. | 388,224 | |||||||||||||
67,700 | @, L | MannKind Corp. | 432,603 | |||||||||||||
15,800 | @ | MAP Pharmaceuticals, Inc. | 207,296 | |||||||||||||
1,675 | @, L | Medidata Solutions, Inc. | 25,946 | |||||||||||||
51,800 | @ | Medivation, Inc. | 457,912 | |||||||||||||
51,200 | @, L | MELA Sciences, Inc. | 380,928 | |||||||||||||
73,541 | @ | Metropolitan Health Networks, Inc. | 274,308 | |||||||||||||
24,000 | @ | Micrus Endovascular Corp. | 498,960 | |||||||||||||
35,200 | @, L | Molecular Insight Pharmaceuticals, Inc. | 58,080 | |||||||||||||
43,230 | @ | MWI Veterinary Supply, Inc. | 2,172,740 | |||||||||||||
86,610 | @ | Myriad Genetics, Inc. | 1,294,820 | |||||||||||||
4,200 | @ | Nighthawk Radiology Holdings, Inc. | 10,878 | |||||||||||||
7,000 | @ | Odyssey HealthCare, Inc. | 187,040 | |||||||||||||
106,020 | @ | Omnicell, Inc. | 1,239,374 | |||||||||||||
11,600 | @ | Orthofix International NV | 371,780 | |||||||||||||
23,850 | Owens & Minor, Inc. | 676,863 | ||||||||||||||
14,000 | @ | Par Pharmaceutical Cos., Inc. | 363,440 | |||||||||||||
14,200 | @, L | Pharmasset, Inc. | 388,228 | |||||||||||||
108,583 | @, L | PharMerica Corp. | 1,591,827 | |||||||||||||
50,400 | @, L | Protalix BioTherapeutics, Inc. | 307,944 | |||||||||||||
12,000 | @ | Providence Service Corp. | 168,000 | |||||||||||||
143,080 | @ | PSS World Medical, Inc. | 3,026,142 | |||||||||||||
9,300 | @ | Psychiatric Solutions, Inc. | 304,296 | |||||||||||||
19,975 | @ | Regeneron Pharmaceuticals, Inc. | 445,842 | |||||||||||||
8,400 | @ | RehabCare Group, Inc. | 182,952 | |||||||||||||
13,800 | @ | Salix Pharmaceuticals Ltd. | 538,614 | |||||||||||||
32,300 | @ | Savient Pharmaceuticals, Inc. | 406,980 | |||||||||||||
21,300 | @ | Seattle Genetics, Inc. | 255,387 | |||||||||||||
10,600 | @ | Sirona Dental Systems, Inc. | 369,304 | |||||||||||||
27,500 | Steris Corp. | 854,700 | ||||||||||||||
56,400 | @ | Sunrise Senior Living, Inc. | 156,792 | |||||||||||||
32,100 | @ | Team Health Holdings, Inc. | 414,732 | |||||||||||||
20,300 | @ | Tengion, Inc. | 74,298 | |||||||||||||
9,000 | @ | Thoratec Corp. | 384,570 | |||||||||||||
21,700 | @, L | Triple-S Management Corp. | 402,535 | |||||||||||||
4,900 | @, L | US Physical Therapy, Inc. | 82,712 | |||||||||||||
7,600 | @ | Vital Images, Inc. | 96,900 | |||||||||||||
6,800 | @ | WellCare Health Plans, Inc. | 161,432 | |||||||||||||
12,300 | @, L | Xenoport, Inc. | 120,663 | |||||||||||||
34,929,079 | ||||||||||||||||
Industrials: | 14.7 | % | ||||||||||||||
229,470 | @ | ACCO Brands Corp. | 1,145,055 | |||||||||||||
18,500 | Acuity Brands, Inc. | 673,030 | ||||||||||||||
28,500 | @ | Aircastle Ltd. | 223,725 | |||||||||||||
4,500 | @ | Alaska Air Group, Inc. | 202,275 | |||||||||||||
6,300 | AO Smith Corp. | 303,597 | ||||||||||||||
45,975 | S | Applied Industrial Technologies, Inc. | 1,164,087 | |||||||||||||
16,200 | @ | ATC Technology Corp. | 261,144 | |||||||||||||
24,825 | @ | Atlas Air Worldwide Holdings, Inc. | 1,179,188 | |||||||||||||
21,700 | @ | Avis Budget Group, Inc. | 213,094 | |||||||||||||
17,300 | Barnes Group, Inc. | 283,547 | ||||||||||||||
9,700 | @ | Beacon Roofing Supply, Inc. | 174,794 | |||||||||||||
85,700 | @ | Cenveo, Inc. | 469,636 | |||||||||||||
6,500 | @ | Ceradyne, Inc. | 138,905 | |||||||||||||
4,900 | @ | Chart Industries, Inc. | 76,342 | |||||||||||||
18,700 | CIRCOR International, Inc. | 478,346 | ||||||||||||||
21,300 | @ | Columbus McKinnon Corp. | 297,561 | |||||||||||||
144,650 | Comfort Systems USA, Inc. | 1,397,319 | ||||||||||||||
37,760 | @ | CoStar Group, Inc. | 1,465,088 | |||||||||||||
3,900 | Curtiss-Wright Corp. | 113,256 | ||||||||||||||
67,800 | S | Deluxe Corp. | 1,271,250 | |||||||||||||
4,400 | @, L | Dollar Thrifty Automotive Group | 187,484 | |||||||||||||
94,100 | @ | Douglas Dynamics, Inc. | 1,082,150 | |||||||||||||
39,300 | @ | DynCorp International, Inc. | 688,536 | |||||||||||||
33,000 | @ | EMCOR Group, Inc. | 764,610 | |||||||||||||
21,400 | @ | EnerSys | 457,318 | |||||||||||||
9,100 | L | Ennis, Inc. | 136,591 | |||||||||||||
37,200 | @, S | EnPro Industries, Inc. | 1,047,180 | |||||||||||||
16,700 | @ | Esterline Technologies Corp. | 792,415 | |||||||||||||
52,200 | @, L | Force Protection, Inc. | 214,020 | |||||||||||||
42,947 | L | Forward Air Corp. | 1,170,306 | |||||||||||||
128,900 | @, L | Gencorp, Inc. | 564,582 | |||||||||||||
3,325 | @ | Gibraltar Industries, Inc. | 33,583 | |||||||||||||
5,800 | @ | GP Strategies Corp. | 42,108 | |||||||||||||
69,900 | @ | GrafTech International Ltd. | 1,021,938 | |||||||||||||
146,400 | @, L | Hawaiian Holdings, Inc. | 756,888 | |||||||||||||
4,850 | Heico Corp. | 174,212 | ||||||||||||||
158,367 | Herman Miller, Inc. | 2,988,385 | ||||||||||||||
2,700 | HNI, Corp. | 74,493 | ||||||||||||||
83,600 | L | Horizon Lines, Inc. | 353,628 | |||||||||||||
16,100 | @ | HUB Group, Inc. | 483,161 | |||||||||||||
15,800 | Insteel Industries, Inc. | 183,596 | ||||||||||||||
12,000 | @ | Interline Brands, Inc. | 207,480 | |||||||||||||
98,730 | @ | KAR Holdings, Inc. | 1,221,290 | |||||||||||||
50,110 | Kaydon Corp. | 1,646,615 | ||||||||||||||
35,300 | Knoll, Inc. | 469,137 | ||||||||||||||
18,570 | Landstar System, Inc. | 724,044 | ||||||||||||||
6,000 | @ | LMI Aerospace, Inc. | 94,620 | |||||||||||||
22,600 | @, L | Mastec, Inc. | 212,440 | |||||||||||||
13,300 | @ | Metalico, Inc. | 52,934 | |||||||||||||
1,700 | @, L | Michael Baker Corp. | 59,330 | |||||||||||||
4,100 | @ | Middleby Corp. | 218,079 | |||||||||||||
77,370 | @ | NCI Building Systems, Inc. | 647,587 | |||||||||||||
6,500 | @ | Polypore International, Inc. | 147,810 | |||||||||||||
23,700 | @ | Quality Distribution, Inc. | 122,529 | |||||||||||||
16,650 | Quanex Building Products Corp. | 287,879 | ||||||||||||||
65,441 | @ | RBC Bearings, Inc. | 1,897,135 | |||||||||||||
26,400 | S | Regal-Beloit Corp. | 1,472,592 | |||||||||||||
48,300 | @, L | Republic Airways Holdings, Inc. | 295,113 | |||||||||||||
26,300 | @ | SFN Group, Inc. | 143,598 | |||||||||||||
16,300 | Skywest, Inc. | 199,186 | ||||||||||||||
45,400 | Standard Register Co. | 142,556 | ||||||||||||||
2,900 | Standex International Corp. | 73,515 | ||||||||||||||
49,630 | @ | Terex Corp. | 930,066 | |||||||||||||
53,760 | @ | TransDigm Group, Inc. | 2,743,373 | |||||||||||||
2,600 | @, L | Trex Co., Inc. | 52,234 | |||||||||||||
12,400 | @ | Trimas Corp. | 140,244 | |||||||||||||
8,925 | Triumph Group, Inc. | 594,673 | ||||||||||||||
31,900 | @ | Tutor Perini Corp. | 525,712 | |||||||||||||
31,400 | @, L | UAL Corp. | 645,584 | |||||||||||||
6,000 | @ | United Stationers, Inc. | 326,820 | |||||||||||||
29,200 | S | Wabtec Corp. | 1,164,788 | |||||||||||||
89,720 | @ | Waste Connections, Inc. | 3,130,331 | |||||||||||||
3,400 | Watts Water Technologies, Inc. | 97,444 | ||||||||||||||
45,435,161 | ||||||||||||||||
Information Technology: | 13.7 | % | ||||||||||||||
21,623 | @, L | Actuate Corp. | 96,222 | |||||||||||||
12,400 | @ | ADC Telecommunications, Inc. | 91,884 | |||||||||||||
9,300 | @ | Alpha & Omega Semiconductor Ltd. | 128,433 | |||||||||||||
73,100 | @ | Amkor Technology, Inc. | 402,781 | |||||||||||||
7,100 | @ | Ancestry.com, Inc. | 125,102 | |||||||||||||
41,740 | @ | Anixter International, Inc. | 1,778,124 | |||||||||||||
6,100 | @ | Applied Micro Circuits Corp. | 63,928 | |||||||||||||
25,950 | @ | Archipelago Learning, Inc. | 296,609 | |||||||||||||
6,400 | @ | Ariba, Inc. | 101,952 | |||||||||||||
63,620 | @ | Arris Group, Inc. | 648,288 | |||||||||||||
7,200 | @ | Art Technology Group, Inc. | 24,624 | |||||||||||||
145,271 | @ | Aspen Technology, Inc. | 1,582,001 | |||||||||||||
17,050 | @ | Benchmark Electronics, Inc. | 270,243 | |||||||||||||
18,900 | Black Box Corp. | 527,121 | ||||||||||||||
45,950 | @, L | Blackboard, Inc. | 1,715,314 | |||||||||||||
8,000 | @ | Blue Coat Systems, Inc. | 163,440 | |||||||||||||
26,500 | @ | Brightpoint, Inc. | 185,500 | |||||||||||||
25,900 | @, L | BroadSoft, Inc. | 221,445 | |||||||||||||
10,800 | @ | CACI International, Inc. | 458,784 | |||||||||||||
1,800 | @, L | Calix, Inc. | 18,468 | |||||||||||||
7,400 | @ | Checkpoint Systems, Inc. | 128,464 | |||||||||||||
49,900 | @ | Ciber, Inc. | 138,223 | |||||||||||||
62,800 | @, L | Cirrus Logic, Inc. | 992,868 | |||||||||||||
10,700 | @ | Comtech Telecommunications | 320,251 | |||||||||||||
10,200 | @ | CSG Systems International | 186,966 | |||||||||||||
9,133 | @ | Cybersource Corp. | 233,165 | |||||||||||||
10,600 | DDi Corp. | 79,818 | ||||||||||||||
186,236 | @ | Deltek, Inc. | 1,553,208 | |||||||||||||
67,970 | @, L | DemandTec, Inc. | 458,798 | |||||||||||||
286,461 | @, L | Dice Holdings, Inc. | 1,982,310 | |||||||||||||
1,800 | @ | DSP Group, Inc. | 11,502 | |||||||||||||
6,200 | @ | Dynamics Research Corp. | 62,682 | |||||||||||||
20,800 | Earthlink, Inc. | 165,568 | ||||||||||||||
4,330 | @ | Entegris, Inc. | 17,190 | |||||||||||||
14,300 | @, L | Epicor Software Corp. | 114,257 | |||||||||||||
25 | @ | FEI Co. | 493 | |||||||||||||
10,700 | @ | Gartner, Inc. | 248,775 | |||||||||||||
4,300 | @, L | GT Solar International, Inc. | 24,080 | |||||||||||||
4,300 | iGate Corp. | 55,126 | ||||||||||||||
9,900 | @ | Imation Corp. | 90,981 | |||||||||||||
14,200 | @ | Insight Enterprises, Inc. | 186,872 | |||||||||||||
16,700 | @ | Integrated Silicon Solution, Inc. | 125,918 | |||||||||||||
10,375 | @ | InterDigital, Inc. | 256,159 | |||||||||||||
73,588 | @, S | JDA Software Group, Inc. | 1,617,464 | |||||||||||||
29,800 | @ | Kulicke & Soffa Industries, Inc. | 209,196 | |||||||||||||
36,550 | @ | Lattice Semiconductor Corp. | 158,627 | |||||||||||||
17,200 | @ | Lionbridge Technologies | 78,604 | |||||||||||||
46,036 | @, L | Liquidity Services, Inc. | 596,627 | |||||||||||||
6,200 | @ | Mantech International Corp. | 263,934 | |||||||||||||
2,900 | MAXIMUS, Inc. | 167,823 | ||||||||||||||
6,600 | @ | MaxLinear, Inc. | 92,268 | |||||||||||||
2,000 | @ | Measurement Specialties, Inc. | 27,300 | |||||||||||||
8,500 | @ | Mercury Computer Systems, Inc. | 99,705 | |||||||||||||
12,200 | @, L | Meru Networks, Inc. | 144,692 | |||||||||||||
23,000 | L | Micrel, Inc. | 234,140 | |||||||||||||
58,500 | @ | Micros Systems, Inc. | 1,864,395 | |||||||||||||
22,300 | @ | MIPS Technologies, Inc. | 113,953 | |||||||||||||
7,900 | @ | MKS Instruments, Inc. | 147,888 | |||||||||||||
97,395 | @ | Monotype Imaging Holdings, Inc. | 877,529 | |||||||||||||
12,500 | @ | Ness Technologies, Inc. | 53,875 | |||||||||||||
1,800 | @, L | Net 1 UEPS Technologies, Inc. | 24,138 | |||||||||||||
9,000 | @ | Netgear, Inc. | 160,560 | |||||||||||||
10,100 | @ | Netscout Systems, Inc. | 143,622 | |||||||||||||
96,597 | @, L | NetSuite, Inc. | 1,220,986 | |||||||||||||
51,110 | @ | Nuance Communications, Inc. | 764,095 | |||||||||||||
1,000 | @ | Oplink Communications, Inc. | 14,330 | |||||||||||||
2,100 | Opnet Technologies, Inc. | 30,849 | ||||||||||||||
30,360 | @ | Parametric Technology Corp. | 475,741 | |||||||||||||
11,900 | @ | Perficient, Inc. | 106,029 | |||||||||||||
14,200 | @, L | Photronics, Inc. | 64,184 | |||||||||||||
13,400 | Plantronics, Inc. | 383,240 | ||||||||||||||
12,700 | @ | Plexus Corp. | 339,598 | |||||||||||||
82,800 | @ | PMC - Sierra, Inc. | 622,656 | |||||||||||||
11,800 | @ | Polycom, Inc. | 351,522 | |||||||||||||
11,100 | @ | Progress Software Corp. | 333,333 | |||||||||||||
165,500 | @ | Quantum Corp. | 311,140 | |||||||||||||
15,600 | @ | Quest Software, Inc. | 281,424 | |||||||||||||
3,400 | @, L | QuinStreet, Inc. | 39,134 | |||||||||||||
25,295 | @ | Radisys Corp. | 240,808 | |||||||||||||
178,300 | @ | RF Micro Devices, Inc. | 697,153 | |||||||||||||
4,700 | @ | Rovi Corp. | 178,177 | |||||||||||||
5,700 | @, L | Sigma Designs, Inc. | 57,057 | |||||||||||||
109,900 | @, S | Skyworks Solutions, Inc. | 1,845,221 | |||||||||||||
4,700 | @ | Smart Modular Technologies, Inc. | 27,495 | |||||||||||||
12,500 | @ | Smith Micro Software, Inc. | 118,875 | |||||||||||||
32,010 | @, L | SolarWinds, Inc. | 513,440 | |||||||||||||
62,850 | Solera Holdings, Inc. | 2,275,170 | ||||||||||||||
7,700 | @, L | Spectrum Control, Inc. | 107,646 | |||||||||||||
4,000 | @ | SPS Commerce, Inc. | 46,480 | |||||||||||||
3,300 | @ | SS&C Technologies Holdings, Inc. | 52,899 | |||||||||||||
32,270 | @ | Standard Microsystems Corp. | 751,246 | |||||||||||||
55,802 | @ | SuccessFactors, Inc. | 1,160,124 | |||||||||||||
18,600 | @ | Sybase, Inc. | 1,202,676 | |||||||||||||
25,800 | @ | Symmetricom, Inc. | 131,322 | |||||||||||||
9,100 | @, L | Synaptics, Inc. | 250,250 | |||||||||||||
17,600 | @ | SYNNEX Corp. | 450,912 | |||||||||||||
14,000 | @ | Tekelec | 185,360 | |||||||||||||
7,200 | @ | TeleTech Holdings, Inc. | 92,808 | |||||||||||||
59,500 | @ | THQ, Inc. | 257,040 | |||||||||||||
7,800 | @ | TIBCO Software, Inc. | 94,068 | |||||||||||||
18,300 | @, L | Tivo, Inc. | 135,054 | |||||||||||||
84,966 | @, L | Travelzoo, Inc. | 1,051,879 | |||||||||||||
18,300 | @ | Triquint Semiconductor, Inc. | 111,813 | |||||||||||||
22,800 | @ | TTM Technologies, Inc. | 216,600 | |||||||||||||
10,220 | @ | Unisys Corp. | 188,968 | |||||||||||||
59,453 | United Online, Inc. | 342,449 | ||||||||||||||
15,600 | @ | Verifone Holdings, Inc. | 295,308 | |||||||||||||
24,250 | @, L | Vocus, Inc. | 370,540 | |||||||||||||
11,900 | @ | Wright Express Corp. | 353,430 | |||||||||||||
42,550,806 | ||||||||||||||||
Materials: | 6.3 | % | ||||||||||||||
66,270 | Aptargroup, Inc. | 2,506,331 | ||||||||||||||
28,700 | @, L | Boise, Inc. | 157,563 | |||||||||||||
43,200 | @ | Buckeye Technologies, Inc. | 429,840 | |||||||||||||
900 | @ | Clearwater Paper Corp. | 49,284 | |||||||||||||
42,690 | Commercial Metals Co. | 564,362 | ||||||||||||||
18,670 | Compass Minerals International, Inc. | 1,312,128 | ||||||||||||||
77,320 | @ | Crown Holdings, Inc. | 1,936,093 | |||||||||||||
53,900 | @ | Graham Packaging Co., Inc. | 645,183 | |||||||||||||
16,300 | HB Fuller Co. | 309,537 | ||||||||||||||
19,400 | @, L | Hecla Mining Co. | 101,268 | |||||||||||||
17,500 | Innophos Holdings, Inc. | 456,400 | ||||||||||||||
19,400 | Koppers Holdings, Inc. | 436,112 | ||||||||||||||
16,600 | @ | Metals USA Holdings Corp. | 248,170 | |||||||||||||
22,300 | Myers Industries, Inc. | 180,407 | ||||||||||||||
85,700 | @ | Omnova Solutions, Inc. | 669,317 | |||||||||||||
75,700 | @ | PolyOne Corp. | 637,394 | |||||||||||||
21,000 | S | Rock-Tenn Co. | 1,043,070 | |||||||||||||
12,500 | Schweitzer-Mauduit International, Inc. | 630,625 | ||||||||||||||
39,600 | Scotts Miracle-Gro Co. | 1,758,636 | ||||||||||||||
148,720 | Silgan Holdings, Inc. | 4,220,674 | ||||||||||||||
9,000 | @ | Solutia, Inc. | 117,900 | |||||||||||||
45,600 | @ | Spartech Corp. | 467,400 | |||||||||||||
45,750 | Worthington Industries | 588,345 | ||||||||||||||
7,100 | @ | WR Grace & Co. | 149,384 | |||||||||||||
19,615,423 | ||||||||||||||||
Telecommunication Services: | 2.0 | % | ||||||||||||||
4,300 | Atlantic Tele-Network, Inc. | 177,590 | ||||||||||||||
99,200 | @ | Cbeyond, Inc. | 1,240,000 | |||||||||||||
148,200 | @ | Cincinnati Bell, Inc. | 446,082 | |||||||||||||
35,900 | Consolidated Communications Holdings, Inc. | 610,659 | ||||||||||||||
26,097 | @ | Neutral Tandem, Inc. | 293,591 | |||||||||||||
148,720 | NTELOS Holdings Corp. | 2,557,984 | ||||||||||||||
71,900 | @ | Premier Global Services, Inc. | 455,846 | |||||||||||||
28,200 | @ | Syniverse Holdings, Inc. | 576,690 | |||||||||||||
6,358,442 | ||||||||||||||||
Utilities: | 2.9 | % | ||||||||||||||
7,100 | Avista Corp. | 138,663 | ||||||||||||||
5,500 | Central Vermont Public Service Corp. | 108,570 | ||||||||||||||
3,200 | Chesapeake Utilities Corp. | 100,480 | ||||||||||||||
5,200 | @ | Consolidated Water Co., Ltd. | 59,176 | |||||||||||||
33,600 | @ | El Paso Electric Co. | 650,160 | |||||||||||||
22,500 | Idacorp, Inc. | 748,575 | ||||||||||||||
5,200 | L | MGE Energy, Inc. | 187,408 | |||||||||||||
16,750 | New Jersey Resources Corp. | 589,600 | ||||||||||||||
1,725 | Nicor, Inc. | 69,863 | ||||||||||||||
46,970 | Northwest Natural Gas Co. | 2,046,483 | ||||||||||||||
81,020 | NorthWestern Corp. | 2,122,724 | ||||||||||||||
27,300 | Portland General Electric Co. | 500,409 | ||||||||||||||
9,500 | Southwest Gas Corp. | 280,250 | ||||||||||||||
8,200 | Unisource Energy Corp. | 247,476 | ||||||||||||||
40,200 | Westar Energy, Inc. | 868,722 | ||||||||||||||
7,900 | WGL Holdings, Inc. | 268,837 | ||||||||||||||
8,987,396 | ||||||||||||||||
Total Common Stock (Cost $296,083,587) | 284,056,212 | |||||||||||||||
REAL ESTATE INVESTMENT TRUSTS: | 5.6 | % | ||||||||||||||
Financials: | 5.6 | % | ||||||||||||||
13,277 | American Campus Communities, Inc. | 362,329 | ||||||||||||||
30,300 | Anworth Mortgage Asset Corp. | 215,736 | ||||||||||||||
10,600 | @, L | Ashford Hospitality Trust, Inc. | 77,698 | |||||||||||||
30,100 | Associated Estates Realty Corp. | 389,795 | ||||||||||||||
29,600 | BioMed Realty Trust, Inc. | 476,264 | ||||||||||||||
14,400 | Capital Lease Funding, Inc. | 66,384 | ||||||||||||||
13,500 | Capstead Mortgage Corp. | 149,310 | ||||||||||||||
43,700 | CBL & Associates Properties, Inc. | 543,628 | ||||||||||||||
10,015 | Colonial Properties Trust | 145,518 | ||||||||||||||
73,425 | DCT Industrial Trust, Inc. | 331,881 | ||||||||||||||
28,725 | Developers Diversified Realty Corp. | 284,378 | ||||||||||||||
53,120 | L | EastGroup Properties, Inc. | 1,890,010 | |||||||||||||
17,200 | L | Education Realty Trust, Inc. | 103,716 | |||||||||||||
3,000 | Equity Lifestyle Properties, Inc. | 144,690 | ||||||||||||||
33,300 | @ | FelCor Lodging Trust, Inc. | 166,167 | |||||||||||||
44,175 | @ | First Industrial Realty Trust, Inc. | 212,924 | |||||||||||||
36,061 | L | Franklin Street Properties Corp. | 425,880 | |||||||||||||
26,000 | Glimcher Realty Trust | 155,480 | ||||||||||||||
50,000 | Hersha Hospitality Trust | 226,000 | ||||||||||||||
4,700 | Home Properties, Inc. | 211,829 | ||||||||||||||
18,600 | LaSalle Hotel Properties | 382,602 | ||||||||||||||
156,499 | Lexington Realty Trust | 940,559 | ||||||||||||||
108,300 | MFA Mortgage Investments, Inc. | 801,420 | ||||||||||||||
48,300 | Mid-America Apartment Communities, Inc. | 2,486,001 | ||||||||||||||
4,400 | Mission West Properties | 30,008 | ||||||||||||||
125,670 | L | National Retail Properties, Inc. | 2,694,365 | |||||||||||||
23,700 | Omega Healthcare Investors, Inc. | 472,341 | ||||||||||||||
9,600 | Parkway Properties, Inc. | 139,872 | ||||||||||||||
46,600 | Pennsylvania Real Estate Investment Trust | 569,452 | ||||||||||||||
7,100 | PS Business Parks, Inc. | 396,038 | ||||||||||||||
6,400 | @, L | RAIT Investment Trust | 11,968 | |||||||||||||
8,400 | Ramco-Gershenson Properties | 84,840 | ||||||||||||||
23,300 | Redwood Trust, Inc. | 341,112 | ||||||||||||||
41,400 | Senior Housing Properties Trust | 832,554 | ||||||||||||||
75,600 | @ | Strategic Hotel Capital, Inc. | 331,884 | |||||||||||||
4,400 | Sun Communities, Inc. | 114,224 | ||||||||||||||
Total Real Estate Investment Trusts (Cost $18,561,776) | 17,208,857 | |||||||||||||||
Principal Amount | Value | |||||||||||||||
U.S. TREASURY OBLIGATIONS: | 0.2 | % | ||||||||||||||
U.S. Treasury Notes: | 0.2 | % | ||||||||||||||
$ | 600,000 | 1.250%, due 11/30/10 | $ | 602,672 | ||||||||||||
Total U.S. Treasury Obligations (Cost $602,402) | 602,672 | |||||||||||||||
Total Long-Term Investments (Cost $315,247,765) | 301,867,741 | |||||||||||||||
Shares | Value | |||||||||||||||
SHORT-TERM INVESTMENTS: | 10.8 | % | ||||||||||||||
Affiliated Mutual Fund: | 3.6 | % | ||||||||||||||
11,202,232 | ING Institutional Prime Money Market Fund - Class I | $ | 11,202,232 | |||||||||||||
Total Mutual Fund (Cost $11,202,232) | 11,202,232 | |||||||||||||||
Principal Amount | Value | |||||||||||||||
Securities Lending Collateralcc: | 7.2 | % | ||||||||||||||
$ | 21,455,606 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | $ | 21,455,606 | ||||||||||||
1,121,269 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 897,015 | |||||||||||||
Total Securities Lending Collateral (Cost $22,576,875) | 22,352,621 | |||||||||||||||
Total Short-Term Investments (Cost $33,779,107) | 33,554,853 | |||||||||||||||
Total Investments in Securities (Cost $349,026,872)* | 108.2 | % | $ | 335,422,594 | ||||||||||||
Other Assets and Liabilities - Net | (8.2 | ) | (25,410,546 | ) | ||||||||||||
Net Assets | 100.0 | % | $ | 310,012,048 | ||||||||||||
@ | Non-income producing security | ||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||
(1) | Collateral received from brokers for securites 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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||
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. | ||||||||||
I | Illiquid security | ||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS | ||
ING Limited Maturity Bond Portfolio | as of June 30, 2010 (Unaudited) |
Prin | cipal Amount | Value | ||||||||||||||
CORPORATE BONDS/NOTES: | 53.4 | % | ||||||||||||||
Consumer Discretionary: | 3.5 | % | ||||||||||||||
$ | 109,000 | CBS Corp., 6.625%, due 05/15/11 | $ | 113,631 | ||||||||||||
708,000 | Comcast Cable Communications LLC, 7.125%, due 06/15/13 | 801,309 | ||||||||||||||
449,000 | COX Communications, Inc., 4.625%, due 06/01/13 | 479,071 | ||||||||||||||
2,144,000 | COX Communications, Inc., 6.750%, due 03/15/11 | 2,215,968 | ||||||||||||||
750,000 | Daimler Finance NA, LLC, 5.750%, due 09/08/11 | 781,229 | ||||||||||||||
1,800,000 | Home Depot, Inc., 5.250%, due 12/16/13 | 1,980,756 | ||||||||||||||
750,000 | Macys Retail Holdings, Inc., 5.350%, due 03/15/12 | 770,625 | ||||||||||||||
1,000,000 | Target Corp., 5.125%, due 01/15/13 | 1,091,708 | ||||||||||||||
2,162,000 | Time Warner Cable, Inc., 5.400%, due 07/02/12 | 2,310,490 | ||||||||||||||
1,150,000 | Time Warner, Inc., 5.500%, due 11/15/11 | 1,212,462 | ||||||||||||||
750,000 | Walt Disney Co, 6.375%, due 03/01/12 | 813,233 | ||||||||||||||
12,570,482 | ||||||||||||||||
Consumer Staples: | 4.5 | % | ||||||||||||||
750,000 | Altria Group, Inc., 8.500%, due 11/10/13 | 876,160 | ||||||||||||||
2,461,000 | # | Anheuser-Busch InBev Worldwide, Inc., 2.500%, due 03/26/13 | 2,491,809 | |||||||||||||
386,000 | Coca-Cola Enterprises, Inc., 3.750%, due 03/01/12 | 403,726 | ||||||||||||||
1,591,000 | Colgate-Palmolive Co., 4.200%, due 05/15/13 | 1,723,537 | ||||||||||||||
935,000 | S | CVS Caremark Corp., 5.750%, due 08/15/11 | 977,207 | |||||||||||||
1,992,000 | Diageo Capital PLC, 5.200%, due 01/30/13 | 2,168,039 | ||||||||||||||
1,000,000 | Hershey Co, 5.000%, due 04/01/13 | 1,094,533 | ||||||||||||||
1,811,000 | Kraft Foods, Inc., 6.250%, due 06/01/12 | 1,974,852 | ||||||||||||||
1,176,000 | Kroger Co., 6.750%, due 04/15/12 | 1,281,163 | ||||||||||||||
1,390,000 | Philip Morris International, Inc., 4.875%, due 05/16/13 | 1,504,336 | ||||||||||||||
1,300,000 | Sara Lee Corp., 6.250%, due 09/15/11 | 1,377,016 | ||||||||||||||
15,872,378 | ||||||||||||||||
Energy: | 2.5 | % | ||||||||||||||
299,000 | L | BP Capital Markets PLC, 1.550%, due 08/11/11 | 284,968 | |||||||||||||
1,080,000 | Chevron Corp., 3.450%, due 03/03/12 | 1,126,058 | ||||||||||||||
1,575,000 | Conoco Funding Co., 6.350%, due 10/15/11 | 1,680,588 | ||||||||||||||
997,000 | Enterprise Products Operating L.P., 4.600%, due 08/01/12 | 1,043,254 | ||||||||||||||
2,281,000 | S | Shell International Finance BV, 1.875%, due 03/25/13 | 2,301,680 | |||||||||||||
1,013,000 | Spectra Energy Capital LLC, 5.900%, due 09/15/13 | 1,103,800 | ||||||||||||||
1,201,000 | Transcontinental Gas Pipe Line Corp., 8.875%, due 07/15/12 | 1,351,354 | ||||||||||||||
8,891,702 | ||||||||||||||||
Financials: | 28.0 | % | ||||||||||||||
1,225,000 | Aegon NV, 3.891%, due 12/31/49 | 704,375 | ||||||||||||||
658,000 | Allstate Corp., 6.125%, due 02/15/12 | 705,639 | ||||||||||||||
3,980,000 | Ally Financial, Inc., 2.200%, due 12/19/12 | 4,091,448 | ||||||||||||||
1,400,000 | American Express Co., 4.875%, due 07/15/13 | 1,495,826 | ||||||||||||||
1,250,000 | American Express Credit Corp., 5.875%, due 05/02/13 | 1,368,560 | ||||||||||||||
885,000 | # | ANZ National International Ltd., 2.375%, due 12/21/12 | 896,945 | |||||||||||||
1,152,000 | # | Banco Santander Chile S.A., 2.875%, due 11/13/12 | 1,144,300 | |||||||||||||
5,107,000 | S | Bank of America Corp., 2.100%, due 04/30/12 | 5,232,208 | |||||||||||||
1,730,000 | L | Bank of Montreal, 2.125%, due 06/28/13 | 1,746,077 | |||||||||||||
954,000 | # | Bank of Tokyo-Mitsubishi UFJ Ltd., 2.600%, due 01/22/13 | 970,197 | |||||||||||||
2,200,000 | S | Barclays Bank PLC, 2.500%, due 01/23/13 | 2,192,436 | |||||||||||||
1,547,000 | BB&T Corp., 3.850%, due 07/27/12 | 1,613,518 | ||||||||||||||
309,000 | Berkshire Hathaway Finance, 4.000%, due 04/15/12 | 325,165 | ||||||||||||||
1,924,000 | S | Berkshire Hathaway, Inc., 2.125%, due 02/11/13 | 1,965,593 | |||||||||||||
1,150,000 | S | Blackrock, Inc., 2.250%, due 12/10/12 | 1,174,636 | |||||||||||||
1,500,000 | S | BNP Paribas, 2.125%, due 12/21/12 | 1,496,820 | |||||||||||||
958,000 | S | BP Capital Markets PLC, 3.125%, due 03/10/12 | 886,044 | |||||||||||||
1,677,000 | S | BP Capital Markets PLC, 5.250%, due 11/07/13 | 1,542,738 | |||||||||||||
946,000 | # | Canadian Imperial Bank of Commerce/Canada, 2.000%, due 02/04/13 | 957,119 | |||||||||||||
1,142,000 | Caterpillar Financial Services Corp., 5.750%, due 02/15/12 | 1,227,848 | ||||||||||||||
4,513,000 | S | Citibank NA, 1.375%, due 08/10/11 | 4,557,468 | |||||||||||||
4,769,000 | S | Citigroup, Inc., 2.125%, due 04/30/12 | 4,888,068 | |||||||||||||
3,151,000 | Citigroup, Inc., 5.300%, due 10/17/12 | 3,267,171 | ||||||||||||||
1,293,000 | Citigroup, Inc., 5.500%, due 04/11/13 | 1,344,937 | ||||||||||||||
2,100,000 | Credit Suisse New York, 5.000%, due 05/15/13 | 2,245,104 | ||||||||||||||
1,000,000 | S | Deutsche Bank AG/London, 2.375%, due 01/11/13 | 1,005,935 | |||||||||||||
750,000 | L | Fifth Third Bancorp, 6.250%, due 05/01/13 | 816,509 | |||||||||||||
2,275,000 | General Electric Capital Corp., 2.200%, due 06/08/12 | 2,336,134 | ||||||||||||||
2,311,000 | General Electric Capital Corp., 2.250%, due 03/12/12 | 2,371,966 | ||||||||||||||
3,300,000 | General Electric Capital Corp., 2.800%, due 01/08/13 | 3,338,653 | ||||||||||||||
1,000,000 | L | General Electric Capital Corp., 3.750%, due 11/14/14 | 1,024,006 | |||||||||||||
500,000 | General Electric Capital Corp., 4.800%, due 05/01/13 | 533,392 | ||||||||||||||
1,520,000 | Genworth Financial, Inc., 5.650%, due 06/15/12 | 1,550,283 | ||||||||||||||
2,817,000 | S | Goldman Sachs Capital III, 1.308%, due 12/31/49 | 1,637,381 | |||||||||||||
757,000 | S | Goldman Sachs Group, Inc., 3.625%, due 08/01/12 | 771,544 | |||||||||||||
1,250,000 | Goldman Sachs Group, Inc., 4.750%, due 07/15/13 | 1,306,009 | ||||||||||||||
271,000 | S | Goldman Sachs Group, Inc., 6.000%, due 05/01/14 | 291,483 | |||||||||||||
1,500,000 | Hartford Financial Services Group, Inc., 5.250%, due 10/15/11 | 1,553,123 | ||||||||||||||
1,153,000 | HSBC Finance Corp., 4.750%, due 07/15/13 | 1,208,512 | ||||||||||||||
779,000 | John Deere Capital Corp., 1.875%, due 06/17/13 | 783,782 | ||||||||||||||
879,000 | John Deere Capital Corp., 5.400%, due 10/17/11 | 927,579 | ||||||||||||||
3,000,000 | JP Morgan Chase & Co., 5.375%, due 10/01/12 | 3,244,221 | ||||||||||||||
1,200,000 | KeyBank NA, 5.700%, due 08/15/12 | 1,270,158 | ||||||||||||||
1,048,000 | # | MassMutual Global Funding II, 3.625%, due 07/16/12 | 1,094,710 | |||||||||||||
3,525,000 | Merrill Lynch & Co., Inc., 6.050%, due 08/15/12 | 3,749,803 | ||||||||||||||
493,000 | Metlife, Inc., 5.375%, due 12/15/12 | 528,933 | ||||||||||||||
700,000 | # | Metropolitan Life Global Funding I, 5.125%, due 11/09/11 | 727,915 | |||||||||||||
1,000,000 | L | Morgan Stanley, 2.250%, due 03/13/12 | 1,026,411 | |||||||||||||
1,215,000 | Morgan Stanley, 5.300%, due 03/01/13 | 1,264,268 | ||||||||||||||
2,332,000 | Morgan Stanley, 5.750%, due 08/31/12 | 2,445,009 | ||||||||||||||
1,356,000 | National City Bank, 6.200%, due 12/15/11 | 1,435,919 | ||||||||||||||
1,350,000 | National Rural Utilities Cooperative Finance Corp., 2.625%, due 09/16/12 | 1,385,720 | ||||||||||||||
118,253 | # | Power Receivable Finance, LLC, 6.290%, due 01/01/12 | 120,630 | |||||||||||||
745,000 | Prudential Financial, Inc., 5.100%, due 12/14/11 | 778,061 | ||||||||||||||
1,005,000 | S | Royal Bank of Canada, 2.100%, due 07/29/13 | 1,021,080 | |||||||||||||
895,000 | Simon Property Group L.P., 5.300%, due 05/30/13 | 963,502 | ||||||||||||||
2,374,000 | L | State Street Corp., 2.150%, due 04/30/12 | 2,432,170 | |||||||||||||
487,000 | SunTrust Banks, Inc., 5.250%, due 11/05/12 | 511,512 | ||||||||||||||
750,000 | # | TIAA Global Markets, Inc., 5.125%, due 10/10/12 | 798,299 | |||||||||||||
1,202,000 | US Bancorp, 2.000%, due 06/14/13 | 1,214,331 | ||||||||||||||
1,133,000 | Wachovia Corp., 5.300%, due 10/15/11 | 1,186,209 | ||||||||||||||
930,000 | Wachovia Corp., 5.500%, due 05/01/13 | 1,010,028 | ||||||||||||||
1,700,000 | # | Westpac Securities NZ Ltd., 2.625%, due 01/28/13 | 1,719,453 | |||||||||||||
99,424,873 | ||||||||||||||||
Health Care: | 4.1 | % | ||||||||||||||
1,199,000 | S | Aetna, Inc., 7.875%, due 03/01/11 | 1,248,056 | |||||||||||||
780,000 | Covidien International Finance SA, 5.450%, due 10/15/12 | 851,283 | ||||||||||||||
1,664,000 | Express Scripts, Inc., 5.250%, due 06/15/12 | 1,778,523 | ||||||||||||||
713,000 | GlaxoSmithKline Capital, Inc., 4.850%, due 05/15/13 | 780,048 | ||||||||||||||
2,230,000 | S | Novartis Capital Corp., 1.900%, due 04/24/13 | 2,265,238 | |||||||||||||
1,262,000 | Pfizer, Inc., 4.450%, due 03/15/12 | 1,331,917 | ||||||||||||||
1,831,000 | # | Roche Holdings, Inc., 4.500%, due 03/01/12 | 1,928,863 | |||||||||||||
986,000 | S | St. Jude Medical, Inc., 2.200%, due 09/15/13 | 999,279 | |||||||||||||
1,213,000 | Teva Pharmaceutical Finance III LLC, 1.500%, due 06/15/12 | 1,218,192 | ||||||||||||||
1,786,000 | Wyeth, 5.500%, due 03/15/13 | 1,976,700 | ||||||||||||||
14,378,099 | ||||||||||||||||
Industrials: | 0.8 | % | ||||||||||||||
950,000 | CSX Corp., 6.300%, due 03/15/12 | 1,020,001 | ||||||||||||||
567,000 | Eaton Corp., 4.900%, due 05/15/13 | 617,943 | ||||||||||||||
945,000 | Union Pacific Corp., 5.450%, due 01/31/13 | 1,033,959 | ||||||||||||||
2,671,903 | ||||||||||||||||
Information Technology: | 1.2 | % | ||||||||||||||
390,000 | Cisco Systems, Inc., 5.250%, due 02/22/11 | 400,667 | ||||||||||||||
550,000 | Hewlett-Packard Co., 2.950%, due 08/15/12 | 570,350 | ||||||||||||||
1,616,000 | Hewlett-Packard Co., 4.250%, due 02/24/12 | 1,703,618 | ||||||||||||||
1,641,000 | Oracle Corp., 3.750%, due 07/08/14 | 1,758,542 | ||||||||||||||
4,433,177 | ||||||||||||||||
Materials: | 0.2 | % | ||||||||||||||
612,000 | EI Du Pont de Nemours & Co., 5.000%, due 07/15/13 | 671,363 | ||||||||||||||
671,363 | ||||||||||||||||
Telecommunication Services: | 5.6 | % | ||||||||||||||
1,482,000 | AT&T, Inc., 5.875%, due 08/15/12 | 1,617,788 | ||||||||||||||
1,840,000 | S | BellSouth Corp., 4.750%, due 11/15/12 | 1,973,761 | |||||||||||||
2,100,000 | British Telecommunications PLC, 5.150%, due 01/15/13 | 2,203,608 | ||||||||||||||
2,926,000 | Cellco Partnership / Verizon Wireless Capital, LLC, 5.250%, due 02/01/12 | 3,102,780 | ||||||||||||||
2,175,000 | France Telecom S.A., 4.375%, due 07/08/14 | 2,347,621 | ||||||||||||||
666,000 | France Telecom S.A., 7.750%, due 03/01/11 | 695,083 | ||||||||||||||
990,000 | S | New Cingular Wireless Services, Inc., 7.875%, due 03/01/11 | 1,035,375 | |||||||||||||
907,000 | Telecom Italia Capital S.A., 6.200%, due 07/18/11 | 940,106 | ||||||||||||||
1,325,000 | S | Telefonica Emisiones SAU, 2.582%, due 04/26/13 | 1,316,770 | |||||||||||||
538,000 | TELUS Corp., 8.000%, due 06/01/11 | 570,448 | ||||||||||||||
1,150,000 | Verizon Communications, Inc., 4.350%, due 02/15/13 | 1,230,063 | ||||||||||||||
1,893,000 | Verizon Communications, Inc., 4.375%, due 06/01/13 | 2,035,079 | ||||||||||||||
820,000 | Verizon New York, Inc., 6.875%, due 04/01/12 | 886,433 | ||||||||||||||
19,954,915 | ||||||||||||||||
Utilities: | 3.0 | % | ||||||||||||||
2,554,000 | S | Commonwealth Edison Co., 6.150%, due 03/15/12 | 2,753,991 | |||||||||||||
457,000 | Dominion Resources, Inc./VA, 5.700%, due 09/17/12 | 494,225 | ||||||||||||||
363,000 | DTE Energy Co., 7.050%, due 06/01/11 | 381,004 | ||||||||||||||
700,000 | Duke Energy Ohio, Inc., 5.700%, due 09/15/12 | 757,665 | ||||||||||||||
1,500,000 | # | EDP Finance BV, 5.375%, due 11/02/12 | 1,541,996 | |||||||||||||
467,000 | FPL Group Capital, Inc., 5.625%, due 09/01/11 | 488,396 | ||||||||||||||
1,250,000 | Nisource Finance Corp., 6.150%, due 03/01/13 | 1,363,969 | ||||||||||||||
987,000 | # | PSEG Power LLC, 2.500%, due 04/15/13 | 997,226 | |||||||||||||
901,000 | Public Service Co. of Colorado, 7.875%, due 10/01/12 | 1,027,973 | ||||||||||||||
865,000 | Southern Co., 5.300%, due 01/15/12 | 915,100 | ||||||||||||||
10,721,545 | ||||||||||||||||
Total Corporate Bonds/Notes (Cost $187,380,619) | 189,590,437 | |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: | 9.8 | % | ||||||||||||||
Federal Home Loan Bank: | 2.6 | % | ||||||||||||||
5,245,000 | L | 1.375%, due 05/16/11 | 5,289,152 | |||||||||||||
3,665,000 | S | 3.625%, due 07/01/11 | 3,784,505 | |||||||||||||
9,073,657 | ||||||||||||||||
Federal Home Loan Mortgage Corporation##: | 5.0 | % | ||||||||||||||
3,500,000 | L | 1.750%, due 06/15/12 | 3,570,403 | |||||||||||||
398 | S | 2.125%, due 01/01/17 | 410 | |||||||||||||
3,240,000 | S | 3.000%, due 04/07/15 | 3,241,477 | |||||||||||||
�� | 3,640,000 | S | 3.250%, due 04/23/15 | 3,645,962 | ||||||||||||
1,069,882 | S | 3.750%, due 02/15/13 | 1,079,086 | |||||||||||||
6,064,828 | S | 5.500%, due 10/15/14-06/15/35 | 6,295,273 | |||||||||||||
16,795 | S | 6.000%, due 4/1/2013 | 18,029 | |||||||||||||
17,850,640 | ||||||||||||||||
Federal National Mortgage Association##: | 2.2 | % | ||||||||||||||
7,540 | S | 2.392%, due 07/01/24 | 7,842 | |||||||||||||
10,825 | S | 2.724%, due 12/01/17 | 10,949 | |||||||||||||
6,143,034 | S | 6.000%, due 05/15/11-09/01/17 | 6,456,068 | |||||||||||||
892,411 | S | 6.500%, due 10/01/22-10/01/32 | 1,000,166 | |||||||||||||
73,139 | S | 7.000%, due 10/01/32 | 82,769 | |||||||||||||
49,055 | S | 7.500%, due 08/01/27 | 55,848 | |||||||||||||
7,613,642 | ||||||||||||||||
Government National Mortgage Association: | 0.0 | % | ||||||||||||||
25,263 | S | 6.000%, due 04/15/13 | 26,222 | |||||||||||||
22,294 | S | 7.500%, due 01/15/24-07/15/27 | 25,373 | |||||||||||||
9,165 | S | 9.000%, due 12/15/26 | 10,724 | |||||||||||||
8,268 | S | 9.500%, due 03/15/20-07/15/21 | 9,618 | |||||||||||||
71,937 | ||||||||||||||||
Total U.S. Government Agency Obligations (Cost $33,844,146) | 34,609,876 | |||||||||||||||
U.S. TREASURY OBLIGATIONS: | 25.6 | % | ||||||||||||||
U.S. Treasury Notes: | 25.6 | % | ||||||||||||||
6,088,000 | L | 0.750%, due 05/31/12 | 6,106,550 | |||||||||||||
51,010,000 | S | 1.000%, due 04/30/12 | 51,400,533 | |||||||||||||
16,785,000 | L | 1.125%, due 06/15/13 | 16,854,423 | |||||||||||||
4,840,000 | L | 2.125%, due 05/31/15 | 4,923,955 | |||||||||||||
4,135,000 | L | 3.500%, due 05/15/20 | 4,328,175 | |||||||||||||
6,520,000 | S | 4.625%, due 02/15/40 | 7,329,908 | |||||||||||||
Total U.S. Treasury Obligations (Cost $90,088,874) | 90,943,544 | |||||||||||||||
ASSET-BACKED SECURITIES: | 4.2 | % | ||||||||||||||
Automobile Asset-Backed Securities: | 2.2 | % | ||||||||||||||
586,000 | #, S | Bank of America Auto Trust, 3.520%, due 06/15/16 | 613,869 | |||||||||||||
335,000 | S | CarMax Auto Owner Trust, 2.400%, due 04/15/15 | 341,170 | |||||||||||||
715,000 | S | CarMax Auto Owner Trust, 2.820%, due 12/15/14 | 737,339 | |||||||||||||
1,425,000 | Ford Credit Auto Owner Trust, 4.950%, due 03/15/13 | 1,498,074 | ||||||||||||||
574,000 | S | Harley-Davidson Motorcycle Trust, 2.620%, due 03/15/14 | 583,833 | |||||||||||||
1,107,000 | S | Harley-Davidson Motorcycle Trust, 3.190%, due 11/15/13 | 1,130,671 | |||||||||||||
1,110,000 | Harley-Davidson Motorcycle Trust, 3.320%, due 02/15/17 | 1,150,054 | ||||||||||||||
735,000 | S | Harley-Davidson Motorcycle Trust, 5.520%, due 11/15/13 | 762,961 | |||||||||||||
433,000 | S | Hyundai Auto Receivables Trust, 2.030%, due 08/15/13 | 438,980 | |||||||||||||
418,000 | S | Mercedes-Benz Auto Receivables Trust, 2.430%, due 03/15/16 | 429,341 | |||||||||||||
7,686,292 | ||||||||||||||||
Credit Card Asset-Backed Securities: | 1.8 | % | ||||||||||||||
306,000 | Capital One Multi-Asset Execution Trust, 5.750%, due 07/15/20 | 356,416 | ||||||||||||||
230,000 | S | Chase Issuance Trust, 5.120%, due 10/15/14 | 249,969 | |||||||||||||
1,400,000 | S | Chase Issuance Trust, 5.160%, due 04/16/18 | 1,585,356 | |||||||||||||
471,000 | Citibank Credit Card Issuance Trust, 1.000%, due 07/15/13 | 465,960 | ||||||||||||||
1,474,000 | Citibank Credit Card Issuance Trust, 5.700%, due 05/15/13 | 1,516,384 | ||||||||||||||
971,000 | Citibank Credit Card Issuance Trust, 6.950%, due 02/18/14 | 1,038,747 | ||||||||||||||
1,052,000 | S | Discover Card Master Trust, 5.650%, due 03/16/20 | 1,212,083 | |||||||||||||
6,424,915 | ||||||||||||||||
Other Asset-Backed Securities: | 0.2 | % | ||||||||||||||
217,000 | AEP Texas Central Transition Funding LLC, 5.960%, due 07/15/15 | 233,852 | ||||||||||||||
500,000 | # | Carlyle High Yield Partners, 0.798%, due 08/11/16 | 464,037 | |||||||||||||
69,694 | CenterPoint Energy Transition Bond Co. LLC, 4.970%, due 08/01/14 | 72,666 | ||||||||||||||
�� | 770,555 | |||||||||||||||
Total Asset-Backed Securities (Cost $14,712,232) | 14,881,762 | |||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: | 2.7 | % | ||||||||||||||
508,675 | Bear Stearns Commercial Mortgage Securities, 4.240%, due 08/13/39 | 522,839 | ||||||||||||||
849,860 | Bear Stearns Commercial Mortgage Securities, 5.286%, due 06/11/41 | 890,642 | ||||||||||||||
97,778 | S | Bear Stearns Commercial Mortgage Securities, 5.415%, due 04/12/38 | 97,714 | |||||||||||||
1,469,899 | Bear Stearns Commercial Mortgage Securities, 7.000%, due 05/20/30 | 1,546,110 | ||||||||||||||
17,893,654 | S, ^ | Citicorp Mortgage Securities, Inc., 5.053%, due 06/25/36 | 1,674,069 | |||||||||||||
692,893 | Citigroup Commercial Mortgage Trust, 5.251%, due 04/15/40 | 722,615 | ||||||||||||||
2,615,173 | S | Credit Suisse First Boston Mortgage Securities Corp., 3.727%, due 03/15/35 | 2,669,498 | |||||||||||||
506,292 | S | Credit Suisse First Boston Mortgage Securities Corp., 3.819%, due 05/15/36 | 508,878 | |||||||||||||
150,000 | LB-UBS Commercial Mortgage Trust, 4.739%, due 07/15/30 | 156,634 | ||||||||||||||
250,000 | Merrill Lynch Mortgage Trust, 4.747%, due 06/12/43 | 261,067 | ||||||||||||||
100,000 | Morgan Stanley Capital I, 5.178%, due 09/15/42 | 104,745 | ||||||||||||||
510,000 | Morgan Stanley Capital I, 5.618%, due 07/12/44 | 528,129 | ||||||||||||||
Total Collateralized Mortgage Obligations (Cost $9,828,372) | 9,682,940 | |||||||||||||||
Shares | Value | |||||||||||||||
COMMON STOCK: | 0.0 | % | ||||||||||||||
Utilities: | 0.0 | % | ||||||||||||||
28 | @ | Dynegy, Inc. | $ | 108 | ||||||||||||
Total Common Stock | ||||||||||||||||
(Cost $-) | 108 | |||||||||||||||
Total Long-Term Investments (Cost $335,854,243) | 339,708,667 | |||||||||||||||
Shares | Value | |||||||||||||||
SHORT-TERM INVESTMENTS: | 16.5 | % | ||||||||||||||
Affiliated Mutual Fund: | 4.3 | % | ||||||||||||||
15,078,000 | ING Institutional Prime Money Market Fund - Class I | $ | 15,078,000 | |||||||||||||
Total Mutual Fund (Cost $15,078,000) | 15,078,000 | |||||||||||||||
Securities Lending Collateralcc: | 12.2 | % | ||||||||||||||
42,698,956 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | $ | 42,698,956 | |||||||||||||
848,027 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 678,421 | |||||||||||||
Total Securities Lending Collateral (Cost $43,546,983) | 43,377,377 | |||||||||||||||
Total Short-Term Investments (Cost $58,624,983) | 58,455,377 | |||||||||||||||
Total Investments in Securities (Cost $394,479,226) * | 112.2 | % | $ | 398,164,044 | ||||||||||||
Other Assets and Liabilities - Net | (12.2 | ) | (43,351,086 | ) | ||||||||||||
Net Assets | 100.0 | % | $ | 354,812,958 | ||||||||||||
@ | Non-income producing security | |||||||||||||||
# | 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. Unless otherwise | ||||||||||||||||
noted, these securities have been determined to be liquid under the guidelines established | ||||||||||||||||
by the Funds’ Board of Directors/Trustees. | ||||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||||
(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 Fund’s position in Series B is | ||||||||||||||||
being fair valued daily. Please see the accompanying Notes to Financial Statements | ||||||||||||||||
for additional details on securities lending. | ||||||||||||||||
## | 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. | ||||||||||||||||
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. | ||||||||||||||||
I | Illiquid security | |||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||||
^ | 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. |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS
ING Lord Abbett Growth and Income Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | ||||||||||||||
COMMON STOCK: |
| 99.1 | % | ||||||||||||
Consumer Discretionary: | 13.0 | % | |||||||||||||
38,700 | Carnival Corp. | $ | 1,170,288 | ||||||||||||
108,000 | Comcast Corp. – Class A | 1,875,960 | |||||||||||||
195,500 | @ | Ford Motor Co. | 1,970,640 | ||||||||||||
2,500 | Home Depot, Inc. | 70,175 | |||||||||||||
101,431 | @ | HSN, Inc. | 2,434,344 | ||||||||||||
39,500 | @ | Hyatt Hotels Corp. | 1,465,055 | ||||||||||||
15,400 | @ | J Crew Group, Inc. | 566,874 | ||||||||||||
18,900 | JC Penney Co., Inc. | 405,972 | |||||||||||||
17,900 | @ | Kohl’s Corp. | 850,250 | ||||||||||||
48,627 | Marriott International, Inc. | 1,455,892 | |||||||||||||
12,100 | Omnicom Group | 415,030 | |||||||||||||
87,900 | @ | Pulte Homes, Inc. | 727,812 | ||||||||||||
49,200 | Target Corp. | 2,419,164 | |||||||||||||
16,954 | Time Warner Cable, Inc. | 882,964 | |||||||||||||
16,233 | Time Warner, Inc. | 469,296 | |||||||||||||
17,179,716 | |||||||||||||||
Consumer Staples: | 5.5 | % | |||||||||||||
65,900 | Archer-Daniels-Midland Co. | 1,701,538 | |||||||||||||
16,700 | Colgate-Palmolive Co. | 1,315,292 | |||||||||||||
14,500 | Kraft Foods, Inc. | 406,000 | |||||||||||||
150,165 | Kroger Co. | 2,956,749 | |||||||||||||
14,700 | PepsiCo, Inc. | 895,965 | |||||||||||||
7,275,544 | |||||||||||||||
Energy: | 17.2 | % | |||||||||||||
21,800 | Anadarko Petroleum Corp. | 786,762 | |||||||||||||
5,500 | Apache Corp. | 463,045 | |||||||||||||
62,200 | Chevron Corp. | 4,220,892 | |||||||||||||
118,000 | El Paso Corp. | 1,310,980 | |||||||||||||
8,700 | EOG Resources, Inc. | 855,819 | |||||||||||||
�� | 103,355 | ExxonMobil Corp. | 5,898,470 | ||||||||||||
72,400 | Halliburton Co. | 1,777,420 | |||||||||||||
14,800 | Hess Corp. | 745,032 | |||||||||||||
47,500 | Marathon Oil Corp. | 1,476,775 | |||||||||||||
18,000 | Petroleo Brasileiro SA ADR | 617,760 | |||||||||||||
52,650 | Schlumberger Ltd. | 2,913,651 | |||||||||||||
26,200 | Suncor Energy, Inc. | 771,328 | |||||||||||||
50,500 | Valero Energy Corp. | 907,990 | |||||||||||||
22,745,924 | |||||||||||||||
Financials: | 29.4 | % | |||||||||||||
194,387 | Bank of America Corp. | 2,793,341 | |||||||||||||
121,760 | Bank of New York Mellon Corp. | 3,006,254 | |||||||||||||
29,500 | BB&T Corp. | 776,145 | |||||||||||||
15,900 | @ | Berkshire Hathaway, Inc. | 1,267,071 | ||||||||||||
6,200 | @, L | CBOE Holdings, Inc. | 201,810 | ||||||||||||
114,900 | Charles Schwab Corp. | 1,629,282 | |||||||||||||
596,200 | @ | Citigroup, Inc. | 2,241,712 | ||||||||||||
9,500 | Franklin Resources, Inc. | 818,805 | |||||||||||||
15,100 | Goldman Sachs Group, Inc. | 1,982,177 | |||||||||||||
127,697 | JP Morgan Chase & Co. | 4,674,987 | |||||||||||||
180,100 | Keycorp | 1,384,969 | |||||||||||||
14,400 | M&T Bank Corp. | 1,223,280 | |||||||||||||
20,950 | Metlife, Inc. | 791,072 | |||||||||||||
69,400 | Morgan Stanley | 1,610,774 | |||||||||||||
38,100 | PNC Financial Services Group, Inc. | 2,152,650 | |||||||||||||
107,200 | Regions Financial Corp. | 705,376 | |||||||||||||
34,800 | State Street Corp. | 1,176,936 | |||||||||||||
123,168 | SunTrust Bank | 2,869,814 | |||||||||||||
222,500 | Wells Fargo & Co. | 5,696,002 | |||||||||||||
86,200 | Zions Bancorp. | 1,859,334 | |||||||||||||
38,861,791 | |||||||||||||||
Health Care: | 9.2 | % | |||||||||||||
36,700 | Abbott Laboratories | 1,716,826 | |||||||||||||
38,000 | @ | Amgen, Inc. | 1,998,800 | ||||||||||||
4,100 | Cigna Corp. | 127,346 | |||||||||||||
36,468 | Covidien PLC | 1,465,284 | |||||||||||||
14,700 | @ | Gilead Sciences, Inc. | 503,916 | ||||||||||||
25,900 | Johnson & Johnson | 1,529,654 | |||||||||||||
26,100 | Merck & Co., Inc. | 912,717 | |||||||||||||
36,900 | Pfizer, Inc. | 526,194 | |||||||||||||
26,200 | Teva Pharmaceutical Industries Ltd. ADR | 1,362,138 | |||||||||||||
73,700 | UnitedHealth Group, Inc. | 2,093,080 | |||||||||||||
12,235,955 | |||||||||||||||
Industrials: | 9.4 | % | |||||||||||||
83,400 | @ | AMR Corp. | 565,452 | ||||||||||||
27,500 | Caterpillar, Inc. | 1,651,925 | |||||||||||||
240,257 | @ | Delta Airlines, Inc. | 2,823,020 | ||||||||||||
40,845 | Eaton Corp. | 2,672,897 | |||||||||||||
19,200 | Emerson Electric Co. | 838,848 | |||||||||||||
7,900 | Fluor Corp. | 335,750 | |||||||||||||
244,426 | @, L | Hertz Global Holdings, Inc. | 2,312,270 | ||||||||||||
1,100 | Honeywell International, Inc. | 42,933 | |||||||||||||
11,100 | Lockheed Martin Corp. | 826,950 | |||||||||||||
9,100 | Raytheon Co. | 440,349 | |||||||||||||
12,510,394 | |||||||||||||||
Information Technology: | 2.5 | % | |||||||||||||
55,200 | Applied Materials, Inc. | 663,504 | |||||||||||||
40,900 | @ | EMC Corp. | 748,470 | ||||||||||||
23,975 | Hewlett-Packard Co. | 1,037,638 | |||||||||||||
39,000 | Intel Corp. | 758,550 | |||||||||||||
16,000 | Xerox Corp. | 128,640 | |||||||||||||
3,336,802 | |||||||||||||||
Materials: | 6.8 | % | |||||||||||||
49,000 | Barrick Gold Corp. | 2,225,090 | |||||||||||||
21,200 | Cliffs Natural Resources, Inc. | 999,792 | |||||||||||||
58,200 | Dow Chemical Co. | 1,380,504 | |||||||||||||
29,500 | Mosaic Co. | 1,149,910 | |||||||||||||
33,100 | Newmont Mining Corp. | 2,043,594 | |||||||||||||
3,600 | Potash Corp. of Saskatchewan | 310,464 | |||||||||||||
22,000 | United States Steel Corp. | 848,100 | |||||||||||||
8,957,454 | |||||||||||||||
Telecommunication Services: | 2.8 | % | |||||||||||||
102,280 | AT&T, Inc. | 2,474,153 | |||||||||||||
44,400 | Verizon Communications, Inc. | 1,244,088 | |||||||||||||
3,718,241 | |||||||||||||||
Utilities: | 3.3 | % | |||||||||||||
10,300 | NextEra Energy, Inc. | 502,228 | |||||||||||||
31,000 | Pacific Gas & Electric Co. | 1,274,100 | |||||||||||||
29,200 | PPL Corp. | 728,540 | |||||||||||||
21,500 | Progress Energy, Inc. | 843,230 | |||||||||||||
17,000 | Public Service Enterprise Group, Inc. | 532,610 | |||||||||||||
16,500 | Southern Co. | 549,120 | |||||||||||||
4,429,828 | |||||||||||||||
Total Common Stock (Cost $130,381,074) | 131,251,649 | ||||||||||||||
REAL ESTATE INVESTMENT TRUSTS: | 0.3 | % | |||||||||||||
Financials: | 0.3 | % | |||||||||||||
20,900 | Annaly Capital Management, Inc. | 358,435 | |||||||||||||
Total Real Estate Investment Trusts (Cost $342,763) | 358,435 | ||||||||||||||
Total Long-Term Investments (Cost $130,723,837) | 131,610,084 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 0.8 | % | |||||||||||||
Securities Lending Collateralcc: | 0.8 | % | |||||||||||||
939,110 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 939,110 | |||||||||||||
139,950 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 111,960 | ||||||||||||
Total Short-Term Investments (Cost $1,079,060) | 1,051,070 | ||||||||||||||
Total Investments in Securities (Cost $131,802,897) * | 100.2% | | $ | 132,661,154 | |||||||||||
Other Assets and Liabilities - Net | (0.2) | | (296,621 | ) | |||||||||||
Net Assets | 100.0% | | $ | 132,364,533 | |||||||||||
@ | Non-income producing security | ||||||||||||||
ADR | American Depositary Receipt | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(1) | Collateral received from brokers for securities lending was invested 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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | ||||||||||||||
See Accompanying Notes to Financial Statements |
Table of Contents
PORTFOLIO OF INVESTMENTS
ING PIMCO High Yield Portfolio | as of June 30, 2010 (Unaudited) |
Principal Amount | Value | ||||||||||||||
CORPORATE BONDS/NOTES: | 88.9 | % | |||||||||||||
Consumer Discretionary: | 14.2 | % | |||||||||||||
$ | 300,000 | S | Albertson’s, Inc., 6.570%, due 02/23/28 | $ | 221,625 | ||||||||||
1,750,000 | S | Albertson’s, Inc., 7.750%, due 06/15/26 | 1,461,250 | ||||||||||||
500,000 | S | Albertson’s, Inc., 8.000%, due 05/01/31 | 435,000 | ||||||||||||
3,200,000 | #, S | Allison Transmission, Inc., 11.000%, due 11/01/15 | 3,368,000 | ||||||||||||
750,000 | #, S | American Tire Distributors, Inc., 9.750%, due 06/01/17 | 755,625 | ||||||||||||
2,350,000 | S | AmeriGas Partners LP, 7.125%, due 05/20/16 | 2,350,000 | ||||||||||||
500,000 | Amerigas Partners LP, 7.250%, due 05/20/15 | 502,500 | |||||||||||||
2,000,000 | S | ArvinMeritor, Inc., 8.125%, due 09/15/15 | 1,930,000 | ||||||||||||
1,628,000 | S | ArvinMeritor, Inc., 8.750%, due 03/01/12 | 1,725,680 | ||||||||||||
1,500,000 | #, S | CCO Holdings LLC / CCO Holdings Capital Corp., 7.875%, due 04/30/18 | 1,515,000 | ||||||||||||
900,000 | #, S | CCO Holdings LLC / CCO Holdings Capital Corp., 8.125%, due 04/30/20 | 924,750 | ||||||||||||
3,250,000 | #, S | Clear Channel Worldwide Holdings, Inc., 9.250%, due 12/15/17 | 3,277,500 | ||||||||||||
1,500,000 | #, S | Cooper-Standard Automotive, Inc., 8.500%, due 05/01/18 | 1,518,750 | ||||||||||||
3,250,000 | S | CSC Holdings, Inc., 7.625%, due 07/15/18 | 3,302,813 | ||||||||||||
3,000,000 | S | CSC Holdings, Inc., 7.875%, due 02/15/18 | 3,075,000 | ||||||||||||
500,000 | #,S | CSC Holdings, Inc., 8.500%, due 06/15/15 | 521,250 | ||||||||||||
4,550,000 | #, S | CSC Holdings, Inc., 8.625%, due 02/15/19 | 4,805,938 | ||||||||||||
1,412,621 | Dex Media West LLC, 7.500%, due 10/24/14 | 1,273,377 | |||||||||||||
1,275,000 | S | DISH DBS Corp., 6.625%, due 10/01/14 | 1,278,188 | ||||||||||||
7,150,000 | S | DISH DBS Corp., 7.125%, due 02/01/16 | 7,203,625 | ||||||||||||
1,650,000 | S | DISH DBS Corp., 7.875%, due 09/01/19 | 1,724,250 | ||||||||||||
750,000 | S | Ferrellgas Partners L.P., 6.750%, due 05/01/14 | 738,750 | ||||||||||||
2,789,322 | Ford Motor Co., 3.350%, due 11/29/13 | 2,641,430 | |||||||||||||
806,853 | Harrah’s Operating Co., Inc., 3.320%, due 01/28/15 | 671,345 | |||||||||||||
1,870,000 | L | Harrah’s Operating Co., Inc., 10.000%, due 12/15/18 | 1,542,750 | ||||||||||||
1,500,000 | S | Harrah’s Operating Co., Inc., 11.250%, due 06/01/17 | 1,586,250 | ||||||||||||
1,000,000 | S | Jarden Corp., 8.000%, due 05/01/16 | 1,032,500 | ||||||||||||
1,000,000 | #, S | Lamar Media Corp., 7.875%, due 04/15/18 | 1,002,500 | ||||||||||||
550,000 | S | Lear Corp., 7.875%, due 03/15/18 | 554,125 | ||||||||||||
EUR | 1,035,000 | Lighthouse International Co. S.A., 8.000%, due 04/30/14 | 727,750 | ||||||||||||
$ | 1,000,000 | #, S | LIN Television Corp., 8.375%, due 04/15/18 | 1,000,000 | |||||||||||
1,624,039 | I | Local Insight Regatta Holdings, Inc., 7.750%, due 04/23/15 | 1,380,433 | ||||||||||||
500,000 | S | Local Insight Regatta Holdings, Inc., 11.000%, due 12/01/17 | 327,500 | ||||||||||||
325,000 | S | Ltd Brands, Inc., 7.000%, due 05/01/20 | 329,063 | ||||||||||||
775,000 | #, S | McClatchy Co, 11.500%, due 02/15/17 | 790,500 | ||||||||||||
1,500,000 | #, S | McJunkin Red Man Corp., 9.500%, due 12/15/16 | 1,462,500 | ||||||||||||
500,000 | #, S | MGM Resorts International, 9.000%, due 03/15/20 | 516,250 | ||||||||||||
1,900,000 | S, L | MGM Resorts International, 10.375%, due 05/15/14 | 2,075,750 | ||||||||||||
1,775,000 | S | MGM Resorts International, 11.125%, due 11/15/17 | 1,965,813 | ||||||||||||
1,800,000 | S | New Albertsons, Inc., 7.450%, due 08/01/29 | 1,503,000 | ||||||||||||
2,000,000 | S | Nielsen Finance LLC/Nielsen Finance Co., 11.500%, due 05/01/16 | 2,195,000 | ||||||||||||
1,275,000 | S | NPC International, Inc., 9.500%, due 05/01/14 | 1,281,375 | ||||||||||||
200,000 | S | Oshkosh Corp., 8.250%, due 03/01/17 | 209,000 | ||||||||||||
200,000 | S | Oshkosh Corp., 8.500%, due 03/01/20 | 209,000 | ||||||||||||
1,000,000 | S | Phillips-Van Heusen Corp., 7.375%, due 05/15/20 | 1,013,750 | ||||||||||||
5,975,000 | S | Quebecor Media, Inc., 7.750%, due 03/15/16 | 5,885,375 | ||||||||||||
700,000 | #, S | QVC, Inc., 7.125%, due 04/15/17 | 689,500 | ||||||||||||
500,000 | #, S | QVC, Inc., 7.375%, due 10/15/20 | 488,750 | ||||||||||||
1,000,000 | S | Sally Holdings, LLC, 9.250%, due 11/15/14 | 1,042,500 | ||||||||||||
300,000 | S | Suburban Propane Partners L.P./Suburban Energy Finance Corp., 7.375%, due 03/15/20 | 305,250 | ||||||||||||
550,000 | S | Tenneco, Inc., 8.125%, due 11/15/15 | 555,500 | ||||||||||||
1,750,000 | S | Travelport LLC, 9.875%, due 09/01/14 | 1,763,125 | ||||||||||||
50,000 | #, S | TRW Automotive, Inc., 7.000%, due 03/15/14 | 49,750 | ||||||||||||
4,780,000 | #, S | TRW Automotive, Inc., 7.250%, due 03/15/17 | 4,660,500 | ||||||||||||
1,500,000 | S | WMG Acquisition Corp., 9.500%, due 06/15/16 | 1,605,000 | ||||||||||||
2,275,000 | S | Wynn Las Vegas, LLC, 6.625%, due 12/01/14 | 2,292,063 | ||||||||||||
89,263,768 | |||||||||||||||
Consumer Staples: | 1.6 | % | |||||||||||||
1,500,000 | #, S | Alliance One International, Inc., 10.000%, due 07/15/16 | 1,533,750 | ||||||||||||
1,100,000 | S | American Stores Co., 8.000%, due 06/01/26 | 940,500 | ||||||||||||
1,200,000 | S | Aramark Services, Inc., 8.500%, due 02/01/15 | 1,218,000 | ||||||||||||
1,050,000 | #, S | Live Nation Entertainment, Inc., 8.125%, due 05/15/18 | 1,023,750 | ||||||||||||
2,000,000 | # | Michael Foods, Inc., 9.750%, due 07/15/18 | 2,065,000 | ||||||||||||
250,000 | S | Scotts Miracle-Gro Co, 7.250%, due 01/15/18 | 252,813 | ||||||||||||
2,000,000 | #, S | Spectrum Brands Holdings, Inc., 9.500%, due 06/15/18 | 2,065,000 | ||||||||||||
219 | &, S | Spectrum Brands, Inc., 12.000%, due 08/28/19 | 240 | ||||||||||||
1,000,000 | S | TreeHouse Foods, Inc., 7.750%, due 03/01/18 | 1,040,000 | ||||||||||||
10,139,053 | |||||||||||||||
Energy: | 9.5 | % | |||||||||||||
750,000 | S | Anadarko Petroleum Corp., 5.950%, due 09/15/16 | 646,325 | ||||||||||||
650,000 | S | Anadarko Petroleum Corp., 6.450%, due 09/15/36 | 518,491 | ||||||||||||
500,000 | S | Chesapeake Energy Corp., 6.875%, due 11/15/20 | 506,875 | ||||||||||||
1,200,000 | S | Chesapeake Energy Corp., 7.000%, due 08/15/14 | 1,225,500 | ||||||||||||
1,425,000 | S | Chesapeake Energy Corp., 7.250%, due 12/15/18 | 1,478,438 | ||||||||||||
4,275,000 | S | Chesapeake Energy Corp., 9.500%, due 02/15/15 | 4,745,250 | ||||||||||||
2,825,000 | S | Cie Generale de Geophysique-Veritas, 7.500%, due 05/15/15 | 2,704,938 | ||||||||||||
100,000 | S | Cie Generale de Geophysique-Veritas, 9.500%, due 05/15/16 | 102,000 | ||||||||||||
300,000 | #, S | Coffeyville Resources LLC / Coffeyville Finance, Inc., 9.000%, due 04/01/15 | 298,500 | ||||||||||||
1,000,000 | S | Colorado Interstate Gas Co., 6.850%, due 06/15/37 | 1,015,538 | ||||||||||||
710,000 | S | Compagnie Generale de Geophysique-Veritas, 7.750%, due 05/15/17 | 676,275 | ||||||||||||
3,000,000 | #, S | Consol Energy, Inc., 8.000%, due 04/01/17 | 3,112,500 | ||||||||||||
1,250,000 | #, S | Consol Energy, Inc., 8.250%, due 04/01/20 | 1,309,375 | ||||||||||||
275,000 | #, S | Continental Resources, Inc., 7.375%, due 10/01/20 | 271,563 | ||||||||||||
50,000 | S | Continental Resources, Inc., 8.250%, due 10/01/19 | 52,500 | ||||||||||||
775,000 | S | Denbury Resources, Inc., 8.250%, due 02/15/20 | 813,750 | ||||||||||||
1,000,000 | S | Denbury Resources, Inc., 9.750%, due 03/01/16 | 1,085,000 | ||||||||||||
150,000 | S | El Paso Corp., 8.050%, due 10/15/30 | 149,039 | ||||||||||||
500,000 | S | El Paso Natural Gas Co., 5.950%, due 04/15/17 | 533,806 | ||||||||||||
625,000 | S | El Paso Pipeline Partners Operating Co. LLC, 6.500%, due 04/01/20 | 641,463 | ||||||||||||
600,000 | S | Enterprise Products Operating L.P., 7.034%, due 01/15/68 | 552,781 | ||||||||||||
4,500,000 | S | Enterprise Products Operating L.P., 8.375%, due 08/01/66 | 4,499,640 | ||||||||||||
150,000 | S | Forest Oil Corp., 7.250%, due 06/15/19 | 145,500 | ||||||||||||
1,500,000 | S | Forest Oil Corp., 8.500%, due 02/15/14 | 1,571,250 | ||||||||||||
1,025,000 | S | Gaz Capital for Gazprom, 8.146%, due 04/11/18 | 1,123,656 | ||||||||||||
6,725,000 | S | Kinder Morgan Finance Co. ULC, 5.700%, due 01/05/16 | 6,456,000 | ||||||||||||
2,050,000 | #, S | Linn Energy LLC/Linn Energy Finance Corp., 8.625%, due 04/15/20 | 2,108,938 | ||||||||||||
250,000 | S | Newfield Exploration Co., 6.625%, due 04/15/16 | 252,500 | ||||||||||||
1,050,000 | S | Newfield Exploration Co., 6.875%, due 02/01/20 | 1,023,750 | ||||||||||||
2,250,000 | S | Newfield Exploration Co., 7.125%, due 05/15/18 | 2,238,750 | ||||||||||||
1,730,000 | S | OPTI Canada, Inc., 8.250%, due 12/15/14 | 1,513,750 | ||||||||||||
1,500,000 | S | PetroHawk Energy Corp., 10.500%, due 08/01/14 | 1,620,000 | ||||||||||||
750,000 | S | Plains Exploration & Production Co., 7.000%, due 03/15/17 | 720,000 | ||||||||||||
1,500,000 | S, L | Plains Exploration & Production Co., 7.625%, due 04/01/20 | 1,462,500 | ||||||||||||
50,000 | S | Plains Exploration & Production Co., 7.750%, due 06/15/15 | 49,750 | ||||||||||||
2,200,000 | S | Quicksilver Resources, Inc., 11.750%, due 01/01/16 | 2,436,500 | ||||||||||||
371,320 | S | Roseton/Danskammer, 7.270%, due 11/08/10 | 369,927 | ||||||||||||
1,000,000 | S | Roseton/Danskammer, 7.670%, due 11/08/16 | 880,000 | ||||||||||||
4,300,000 | &, S | SandRidge Energy, Inc., 8.625%, due 04/01/15 | 4,197,875 | ||||||||||||
5,260,000 | ±, S, I, X | SemGroup Corp., 8.750%, due 11/15/15 | — | ||||||||||||
4,000,000 | S | Sonat, Inc., 7.000%, due 02/01/18 | 3,961,540 | ||||||||||||
450,000 | #, S | Thermon Industries, Inc., 9.500%, due 05/01/17 | 459,000 | ||||||||||||
630,000 | S | Williams Cos., Inc., 7.500%, due 01/15/31 | 671,942 | ||||||||||||
60,202,675 | |||||||||||||||
Financials: | 22.4 | % | |||||||||||||
3,509,902 | S | AES Ironwood, LLC, 8.857%, due 11/30/25 | 3,369,506 | ||||||||||||
782,822 | S | AES Red Oak, LLC, 8.540%, due 11/30/19 | 776,951 | ||||||||||||
500,000 | S | AES Red Oak, LLC, 9.200%, due 11/30/29 | 487,500 | ||||||||||||
2,500,000 | #, S | Ally Financial, Inc., 8.300%, due 02/12/15 | 2,537,500 | ||||||||||||
700,000 | S | American General Finance Corp., 6.900%, due 12/15/17 | 560,875 | ||||||||||||
1,750,000 | American General Finance Corp., 7.250%, due 04/08/15 | 1,706,250 | |||||||||||||
325,000 | S | American International Group, Inc., 0.414%, due 10/18/11 | 306,849 | ||||||||||||
575,000 | S | American International Group, Inc., 5.450%, due 05/18/17 | 513,188 | ||||||||||||
3,425,000 | S | American International Group, Inc., 5.850%, due 01/16/18 | 3,078,219 | ||||||||||||
4,000,000 | S | American International Group, Inc., 8.175%, due 05/15/58 | 3,190,000 | ||||||||||||
5,725,000 | S | American International Group, Inc., 8.250%, due 08/15/18 | 5,825,188 | ||||||||||||
GBP | 1,000,000 | American International Group, Inc., 8.625%, due 05/22/38 | 1,135,515 | ||||||||||||
$ | 500,000 | S | BAC Capital Trust VI, 5.625%, due 03/08/35 | 422,504 | |||||||||||
2,050,000 | BAC Capital Trust VII, 5.250%, due 08/10/35 | 2,103,203 | |||||||||||||
200,000 | S | Bank of America Corp., 8.125%, due 12/29/49 | 193,436 | ||||||||||||
450,000 | #, S | Barclays Bank PLC, 7.434%, due 09/29/49 | 405,000 | ||||||||||||
GBP | 3,000,000 | Barclays Bank PLC, 14.000%, due 11/29/49 | 5,602,869 | ||||||||||||
$ | 1,125,000 | S | Capital One Capital VI, 8.875%, due 05/15/40 | 1,179,982 | |||||||||||
781,754 | S | CIT Group, Inc., 7.000%, due 05/01/13 | 752,438 | ||||||||||||
2,797,632 | S | CIT Group, Inc., 7.000%, due 05/01/14 | 2,650,756 | ||||||||||||
999,632 | S, L | CIT Group, Inc., 7.000%, due 05/01/15 | 927,159 | ||||||||||||
2,000,387 | S | CIT Group, Inc., 7.000%, due 05/01/16 | 1,835,355 | ||||||||||||
111,142 | S | CIT Group, Inc., 7.000%, due 05/01/17 | 100,584 | ||||||||||||
1,584,000 | CIT Group, Inc., 9.500%, due 01/20/12 | 1,622,214 | |||||||||||||
925,000 | S | Citigroup Capital XXI, 8.300%, due 12/21/57 | 905,518 | ||||||||||||
1,150,000 | L | Credit Agricole S.A., 9.750%, due 06/29/49 | 1,184,500 | ||||||||||||
2,525,000 | #, S | El Paso Performance-Linked Trust, 7.750%, due 07/15/11 | 2,615,352 | ||||||||||||
1,196,000 | #, S | Fibria Overseas Finance Ltd, 7.500%, due 05/04/20 | 1,219,920 | ||||||||||||
2,800,000 | S | Ford Motor Credit Co., LLC, 3.277%, due 01/13/12 | 2,723,000 | ||||||||||||
2,521,077 | Ford Motor Credit Co., LLC, 3.310%, due 12/15/13 | 2,387,407 | |||||||||||||
800,000 | S | Ford Motor Credit Co., LLC, 7.000%, due 10/01/13 | 816,314 | ||||||||||||
4,475,000 | S | Ford Motor Credit Co., LLC, 8.000%, due 06/01/14 | 4,622,299 | ||||||||||||
9,325,000 | S | Ford Motor Credit Co., LLC, 8.000%, due 12/15/16 | 9,547,560 | ||||||||||||
1,000,000 | S | Ford Motor Credit Co., LLC, 8.125%, due 01/15/20 | 1,022,374 | ||||||||||||
1,000,000 | S | Ford Motor Credit Co., LLC, 8.700%, due 10/01/14 | 1,043,106 | ||||||||||||
1,000,000 | S | Ford Motor Credit Co., LLC, 9.875%, due 08/10/11 | 1,052,515 | ||||||||||||
1,600,000 | S | Ford Motor Credit Co., LLC, 12.000%, due 05/15/15 | 1,853,901 | ||||||||||||
1,375,000 | #, S | Fresenius US Finance II, Inc., 9.000%, due 07/15/15 | 1,497,031 | ||||||||||||
4,000,000 | S | General Motors Acceptance Corp., 8.000%, due 11/01/31 | 3,684,588 | ||||||||||||
4,804,000 | S | International Lease Finance Corp., 4.875%, due 09/01/10 | 4,791,990 | ||||||||||||
700,000 | S | International Lease Finance Corp., 5.450%, due 03/24/11 | 693,350 | ||||||||||||
1,000,000 | S | International Lease Finance Corp., 5.875%, due 05/01/13 | 927,500 | ||||||||||||
750,000 | #, S | International Lease Finance Corp., 8.625%, due 09/15/15 | 712,500 | ||||||||||||
2,300,000 | #, S | International Lease Finance Corp., 8.750%, due 03/15/17 | 2,185,000 | ||||||||||||
EUR | 800,000 | Intesa Sanpaolo S.p.A., 8.047%, due 06/29/49 | 880,454 | ||||||||||||
EUR | 250,000 | LBG Capital No.1 PLC, 6.439%, due 05/23/20 | 223,171 | ||||||||||||
GBP | 550,000 | LBG Capital No.1 PLC, 7.869%, due 08/25/20 | 632,751 | ||||||||||||
$ | 3,350,000 | LBG Capital No.1 PLC, 7.875%, due 11/01/20 | 2,730,250 | ||||||||||||
3,250,000 | #, S | LBI Escrow Corp., 8.000%, due 11/01/17 | 3,355,625 | ||||||||||||
2,750,000 | ±, S | Lehman Brothers Holdings, Inc., 6.750%, due 12/28/17 | 4,813 | ||||||||||||
1,550,000 | ±, S | Lehman Brothers Holdings, Inc., 7.500%, due 05/11/38 | 2,713 | ||||||||||||
499,200 | #, ±, S, I | Lehman Brothers Holdings, Inc., 8.160%, due 05/30/09 | 22,912 | ||||||||||||
2,000,000 | #, S | Metlife Capital Trust IV, 7.875%, due 12/15/37 | 1,930,000 | ||||||||||||
1,100,000 | S | MUFG Capital Finance 1 Ltd., 6.346%, due 12/31/49 | 1,065,548 | ||||||||||||
600,000 | #, S | New Communications Holdings, Inc., 7.875%, due 04/15/15 | 607,500 | ||||||||||||
300,000 | #, S | New Communications Holdings, Inc., 8.250%, due 04/15/17 | 302,625 | ||||||||||||
300,000 | #, S | New Communications Holdings, Inc., 8.500%, due 04/15/20 | 302,250 | ||||||||||||
2,800,000 | #, S | NSG Holdings, LLC, 7.750%, due 12/15/25 | 2,478,000 | ||||||||||||
5,650,000 | #, S | Rabobank, 11.000%, due 12/29/49 | 6,997,378 | ||||||||||||
EUR | 500,000 | RBS Capital Trust A, 6.467%, due 12/29/49 | 327,113 | ||||||||||||
$ | 3,250,000 | S | Regions Financial Corp., 7.750%, due 11/10/14 | 3,431,698 | |||||||||||
2,000,000 | #, S | Reynolds Group DL Escrow, Inc./Reynolds Group Escrow LLC, 7.750%, due 10/15/16 | 1,965,000 | ||||||||||||
3,700,000 | #, S | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 8.500%, due 05/15/18 | 3,649,125 | ||||||||||||
1,750,000 | #, S | Royal Bank of Scotland Group PLC, 6.990%, due 10/29/49 | 1,146,250 | ||||||||||||
3,100,000 | S | Royal Bank of Scotland Group PLC, 7.640%, due 03/31/49 | 1,790,250 | ||||||||||||
350,000 | S | SLM Corp., 0.476%, due 07/26/10 | 349,227 | ||||||||||||
800,000 | S | SLM Corp., 0.546%, due 10/25/11 | 757,908 | ||||||||||||
275,000 | S | SLM Corp., 0.616%, due 01/27/14 | 226,915 | ||||||||||||
EUR | 500,000 | SLM Corp., 0.933%, due 11/15/11 | 582,764 | ||||||||||||
$ | 300,000 | S | SLM Corp., 5.000%, due 10/01/13 | 287,000 | |||||||||||
200,000 | S | SLM Corp., 5.050%, due 11/14/14 | 179,042 | ||||||||||||
1,100,000 | S | SLM Corp., 5.125%, due 08/27/12 | 1,084,168 | ||||||||||||
750,000 | S | SLM Corp., 8.000%, due 03/25/20 | 659,696 | ||||||||||||
2,075,000 | S | SLM Corp., 8.450%, due 06/15/18 | 1,917,505 | ||||||||||||
700,000 | #, S | SMFG Preferred Capital USD 3 Ltd., 9.500%, due 12/31/49 | 750,262 | ||||||||||||
275,000 | S | Smurfit Kappa Funding PLC, 7.750%, due 04/01/15 | 272,938 | ||||||||||||
375,000 | #, S | Societe Generale, 5.922%, due 12/31/49 | 284,237 | ||||||||||||
400,000 | #, S | TNK-BP Finance S.A., 6.625%, due 03/20/17 | 396,000 | ||||||||||||
500,000 | TNK-BP Finance S.A., 7.500%, due 07/18/16 | 521,875 | |||||||||||||
500,000 | #, S, I, L | TNK-BP Finance S.A., 7.500%, due 07/18/16 | 520,000 | ||||||||||||
970,000 | S | UBS Preferred Funding Trust V, 6.243%, due 05/29/49 | 841,475 | ||||||||||||
1,150,000 | #, S | Universal City Development Partners Ltd., 8.875%, due 11/15/15 | 1,161,500 | ||||||||||||
EUR | 1,500,000 | I | UPCB Finance Ltd., 7.625%, due 01/15/20 | 1,811,351 | |||||||||||
$ | 475,000 | S | Ventas Realty L.P./Ventas Capital Corp., 6.500%, due 06/01/16 | 484,265 | |||||||||||
1,100,000 | S | Ventas Realty L.P./Ventas Capital Corp., 6.750%, due 04/01/17 | 1,114,782 | ||||||||||||
1,650,000 | #, S | Virgin Media Secured Finance PLC, 6.500%, due 01/15/18 | 1,629,375 | ||||||||||||
2,900,000 | S | Visant Corp., 7.625%, due 10/01/12 | 2,914,500 | ||||||||||||
925,000 | S | Wells Fargo & Company, 7.980%, due 02/28/49 | 957,375 | ||||||||||||
600,000 | S | Wells Fargo Capital XIII, 7.700%, due 12/29/49 | 609,000 | ||||||||||||
140,927,352 | |||||||||||||||
Health Care: | 9.4 | % | |||||||||||||
450,000 | #, S | American Renal Holdings, 8.375%, due 05/15/18 | 447,750 | ||||||||||||
2,000,000 | S | Bausch & Lomb, Inc., 9.875%, due 11/01/15 | 2,065,000 | ||||||||||||
2,000,000 | &, S | Biomet, Inc., 10.375%, due 10/15/17 | 2,160,000 | ||||||||||||
10,085,000 | S | Biomet, Inc., 11.625%, due 10/15/17 | 10,967,438 | ||||||||||||
1,000,000 | # | Capella Healthcare, Inc., 9.250%, due 07/01/17 | 1,012,500 | ||||||||||||
6,310,000 | S | Community Health Systems, Inc., 8.875%, due 07/15/15 | 6,522,963 | ||||||||||||
2,500,000 | S | DaVita, Inc., 7.250%, due 03/15/15 | 2,512,500 | ||||||||||||
2,300,000 | S | Fresenius Medical Care Capital Trust, 7.875%, due 06/15/11 | 2,389,125 | ||||||||||||
1,650,000 | S | HCA, Inc., 7.250%, due 09/15/20 | 1,666,500 | ||||||||||||
500,000 | S | HCA, Inc., 7.875%, due 02/15/20 | 516,875 | ||||||||||||
3,500,000 | S | HCA, Inc., 8.500%, due 04/15/19 | 3,727,500 | ||||||||||||
14,195,000 | S | HCA, Inc., 9.250%, due 11/15/16 | 15,082,188 | ||||||||||||
2,366,000 | &, S | HCA, Inc., 9.625%, due 11/15/16 | 2,537,535 | ||||||||||||
875,000 | #, S | Mylan, Inc./PA, 7.625%, due 07/15/17 | 896,875 | ||||||||||||
1,300,000 | #, S | Mylan, Inc./PA, 7.875%, due 07/15/20 | 1,332,500 | ||||||||||||
1,075,000 | #, S | Patheon, Inc., 8.625%, due 04/15/17 | 1,061,563 | ||||||||||||
1,500,000 | &, #, S | Quintiles Transnational Corp., 9.500%, due 12/30/14 | 1,511,250 | ||||||||||||
650,000 | #, S | Valeant Pharmaceuticals International, 7.625%, due 03/15/20 | 770,250 | ||||||||||||
825,000 | S | Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8.000%, due 02/01/18 | 796,125 | ||||||||||||
1,000,000 | #, I | Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8.000%, due 02/01/18 | 970,000 | ||||||||||||
58,946,437 | |||||||||||||||
Industrials: | 3.1 | % | |||||||||||||
100,000 | S | American Airlines Pass-Through Trust, 7.858%, due 10/01/11 | 101,750 | ||||||||||||
2,000,000 | #, S | American Airlines, Inc., 10.500%, due 10/15/12 | 2,085,000 | ||||||||||||
500,000 | #, S | Amsted Industries, Inc., 8.125%, due 03/15/18 | 501,250 | ||||||||||||
1,400,000 | #, S | Bombardier, Inc., 7.500%, due 03/15/18 | 1,449,000 | ||||||||||||
1,000,000 | #, S | Building Materials Corp. of America, 7.000%, due 02/15/20 | 995,000 | ||||||||||||
375,000 | #, S | Building Materials Corp. of America, 7.500%, due 03/15/20 | 370,313 | ||||||||||||
1,600,000 | #, S | C8 Capital SPV Ltd., 6.640%, due 12/31/49 | 1,055,054 | ||||||||||||
1,500,000 | # | Case New Holland, Inc., 7.875%, due 12/01/17 | 1,518,750 | ||||||||||||
700,000 | S | Chart Industries, Inc., 9.125%, due 10/15/15 | 705,250 | ||||||||||||
593,530 | S, I | Continental Airlines, Inc., 6.920%, due 04/02/13 | 579,089 | ||||||||||||
305,364 | S | Continental Airlines, Inc., 7.373%, due 12/15/15 | 287,042 | ||||||||||||
1,250,000 | S | Goodman Global, Inc., 13.500%, due 02/15/16 | 1,381,250 | ||||||||||||
GBP | 769,681 | Grupo Ferrovial S.A., 4.556%, due 04/07/11 | 1,112,604 | ||||||||||||
$ | 177,000 | S | Kansas City Southern de Mexico SA de CV, 9.375%, due 05/01/12 | 182,310 | |||||||||||
750,000 | S | Legrand, 8.500%, due 02/15/25 | 910,932 | ||||||||||||
3,500,000 | #, S | RBS Global, Inc. / Rexnord LLC, 8.500%, due 05/01/18 | 3,412,500 | ||||||||||||
97,452 | S | UAL 2009-1 Pass-Through Trust, 10.400%, due 11/01/16 | 104,761 | ||||||||||||
2,400,000 | S | United Airlines, Inc., 9.750%, due 01/15/17 | 2,562,000 | ||||||||||||
19,313,855 | |||||||||||||||
Information Technology: | 4.0 | % | |||||||||||||
250,000 | #, S | Brocade Communications Systems, Inc., 6.625%, due 01/15/18 | 249,375 | ||||||||||||
1,250,000 | #, S | Brocade Communications Systems, Inc., 6.875%, due 01/15/20 | 1,246,875 | ||||||||||||
2,000,000 | S | Crown Castle International Corp., 7.125%, due 11/01/19 | 1,965,000 | ||||||||||||
550,000 | S | Equinix, Inc., 8.125%, due 03/01/18 | 565,125 | ||||||||||||
1,871,360 | First Data Corp., 3.097%, due 09/24/14 | 1,577,141 | |||||||||||||
93,376 | First Data Corp., 3.100%, due 09/24/14 | 78,695 | |||||||||||||
2,875,000 | S | First Data Corp., 9.875%, due 09/24/15 | 2,199,375 | ||||||||||||
850,000 | Insight.com, 9.375%, due 07/15/18 | 850,000 | |||||||||||||
775,000 | #, S | Mantech International Corp., 7.250%, due 04/15/18 | 786,625 | ||||||||||||
2,750,000 | #, S | Nordic Telephone Co. APS, 8.875%, due 05/01/16 | 2,839,375 | ||||||||||||
250,000 | S | NXP BV / NXP Funding, LLC, 7.875%, due 10/15/14 | 230,625 | ||||||||||||
500,000 | S | NXP BV/NXP Funding, LLC, 3.053%, due 10/15/13 | 429,375 | ||||||||||||
2,000,000 | #, S | Seagate HDD Cayman, 6.875%, due 05/01/20 | 1,910,000 | ||||||||||||
2,953,000 | S | �� | Sensata Technologies BV, 8.000%, due 05/01/14 | 3,078,503 | |||||||||||
4,500,000 | S | SunGard Data Systems, Inc., 9.125%, due 08/15/13 | 4,595,625 | ||||||||||||
500,000 | S | SunGard Data Systems, Inc., 10.625%, due 05/15/15 | 536,875 | ||||||||||||
EUR | 1,000,000 | UPC Holding BV, 8.000%, due 11/01/16 | 1,167,824 | ||||||||||||
EUR | 800,000 | UPC Holding BV, 8.625%, due 01/15/14 | 966,054 | ||||||||||||
25,272,467 | |||||||||||||||
Materials: | 7.0 | % | |||||||||||||
$ | 1,000,000 | S | Alcoa, Inc., 5.950%, due 02/01/37 | 854,397 | |||||||||||
625,000 | S | Ball Corp., 6.750%, due 09/15/20 | 634,375 | ||||||||||||
1,800,000 | S | Berry Plastics Corp., 5.053%, due 02/15/15 | 1,714,500 | ||||||||||||
2,200,000 | S | Berry Plastics Holding Corp., 8.875%, due 09/15/14 | 2,128,500 | ||||||||||||
750,000 | S | CF Industries, Inc., 6.875%, due 05/01/18 | 765,000 | ||||||||||||
575,000 | S | CF Industries, Inc., 7.125%, due 05/01/20 | 590,813 | ||||||||||||
1,250,000 | #, S | Georgia-Pacific Corp., 7.125%, due 01/15/17 | 1,281,250 | ||||||||||||
3,615,000 | S | Georgia-Pacific Corp., 7.375%, due 12/01/25 | 3,651,150 | ||||||||||||
10,605,000 | S | Georgia-Pacific Corp., 8.000%, due 01/15/24 | 11,294,325 | ||||||||||||
550,000 | #, S | Georgia-Pacific Corp., 8.250%, due 05/01/16 | 589,188 | ||||||||||||
1,750,000 | S | Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC, 8.875%, due 02/01/18 | 1,588,125 | ||||||||||||
425,000 | #, S | Ineos Finance PLC, 9.000%, due 05/15/15 | 426,063 | ||||||||||||
EUR | 500,000 | #, I | Ineos Finance PLC, 9.250%, due 05/15/15 | 609,898 | |||||||||||
$ | 2,375,000 | #, S | Ineos Group Holdings PLC, 8.500%, due 02/15/16 | 1,864,375 | |||||||||||
1,750,000 | #, S | JohnsonDiversey, Inc., 8.250%, due 11/15/19 | 1,811,250 | ||||||||||||
EUR | 450,000 | I | Kerling PLC, 10.625%, due 01/28/17 | 555,099 | |||||||||||
$ | 2,500,000 | S | Novelis, Inc., 7.250%, due 02/15/15 | 2,425,000 | |||||||||||
EUR | 250,000 | Pregis Corp., 5.644%, due 04/15/13 | 272,085 | ||||||||||||
EUR | 86,000 | Rhodia S.A., 3.394%, due 10/15/13 | 99,644 | ||||||||||||
$ | 1,875,000 | S | Rockwood Specialties Group, Inc., 7.500%, due 11/15/14 | 1,898,438 | |||||||||||
500,000 | S | Smurfit Capital Funding PLC, 7.500%, due 11/20/25 | 446,250 | ||||||||||||
1,500,000 | S | Solutia, Inc., 7.875%, due 03/15/20 | 1,503,750 | ||||||||||||
175,000 | #, S | Steel Dynamics, Inc., 7.625%, due 03/15/20 | 175,000 | ||||||||||||
200,000 | S | Steel Dynamics, Inc., 7.750%, due 04/15/16 | 202,000 | ||||||||||||
625,000 | S | Teck Resources Ltd., 10.250%, due 05/15/16 | 738,334 | ||||||||||||
5,150,000 | S | Teck Resources Ltd., 10.750%, due 05/15/19 | 6,319,797 | ||||||||||||
44,438,606 | |||||||||||||||
Telecommunication Services: | 11.4 | % | |||||||||||||
1,750,000 | #, S | Axtel SAB de CV, 9.000%, due 09/22/19 | 1,566,250 | ||||||||||||
950,000 | S | Citizens Communications Co., 7.125%, due 03/15/19 | 883,500 | ||||||||||||
1,200,000 | S | Cricket Communications, Inc., 9.375%, due 11/01/14 | 1,224,000 | ||||||||||||
50,000 | S | Crown Castle International Corp., 9.000%, due 01/15/15 | 53,125 | ||||||||||||
3,000,000 | #, S | Digicel Ltd., 8.250%, due 09/01/17 | 2,985,000 | ||||||||||||
500,000 | S | Frontier Communications Co., 7.450%, due 07/01/35 | 391,875 | ||||||||||||
1,950,000 | S | Frontier Communications Co., 7.875%, due 01/15/27 | 1,769,625 | ||||||||||||
2,210,000 | S | Frontier Communications Co., 9.000%, due 08/15/31 | 2,060,825 | ||||||||||||
1,225,000 | S | Frontier Communications Corp., 7.000%, due 11/01/25 | 1,044,313 | ||||||||||||
6,903 | ± | Hawaiian Telcom Communications, Inc., 0.000%, due 06/01/24 | 6,903 | ||||||||||||
1,156,321 | I | Hawaiian Telcom Communications, Inc., 4.750%, due 06/01/14 | 984,800 | ||||||||||||
600,000 | ±, S, I | Hawaiian Telcom Communications, Inc., 9.750%, due 05/01/13 | 13,500 | ||||||||||||
145,000 | S | Intelsat Corp., 9.250%, due 06/15/16 | 152,975 | ||||||||||||
3,650,000 | #, S | Intelsat Jackson Holdings Ltd., 8.500%, due 11/01/19 | 3,704,750 | ||||||||||||
3,250,000 | S | Intelsat Jackson Holdings Ltd., 9.500%, due 06/15/16 | 3,428,750 | ||||||||||||
50,000 | S | Intelsat Subsidiary Holding Co. Ltd, 8.875%, due 01/15/15 | 51,063 | ||||||||||||
1,400,000 | S | MetroPCS Wireless, Inc., 9.250%, due 11/01/14 | 1,449,000 | ||||||||||||
1,000,000 | Newsday LLC, 10.500%, due 08/01/13 | 1,050,000 | |||||||||||||
EUR | 675,000 | Nordic Telephone Co. APS, 8.250%, due 05/01/16 | 866,697 | ||||||||||||
$ | 1,100,000 | Northwestern Bell Telephone, 7.750%, due 05/01/30 | 1,012,000 | ||||||||||||
1,500,000 | #, S | Qwest Communications International, Inc., 7.125%, due 04/01/18 | 1,503,750 | ||||||||||||
6,253,000 | S | Qwest Communications International, Inc., 7.500%, due 02/15/14 | 6,299,898 | ||||||||||||
150,000 | #, S | Qwest Communications International, Inc., 8.000%, due 10/01/15 | 154,875 | ||||||||||||
2,500,000 | S | Qwest Corp., 7.500%, due 06/15/23 | 2,406,250 | ||||||||||||
1,300,000 | S | Qwest Corp., 8.875%, due 03/15/12 | 1,400,750 | ||||||||||||
4,000,000 | S | Sprint Capital Corp., 6.900%, due 05/01/19 | 3,640,000 | ||||||||||||
8,425,000 | S | Sprint Capital Corp., 8.750%, due 03/15/32 | 8,087,976 | ||||||||||||
1,415,000 | S | Sprint Nextel Corp., 8.375%, due 08/15/17 | 1,422,075 | ||||||||||||
572,781 | SuperMedia, Inc., 11.000%, due 12/31/15 | 492,898 | |||||||||||||
3,025,000 | S | Telesat Canada / Telesat LLC, 11.000%, due 11/01/15 | 3,282,125 | ||||||||||||
600,000 | S | Telesat Canada / Telesat LLC, 12.500%, due 11/01/17 | 675,000 | ||||||||||||
1,925,650 | ±, I | Tribune Co., 5.250%, due 06/04/14 | 1,157,797 | ||||||||||||
500,000 | #, S | tw telecom holdings inc, 8.000%, due 03/01/18 | 512,500 | ||||||||||||
EUR | 871,426 | UPC Broadband Holding BV, 4.230%, due 12/31/16 | 965,117 | ||||||||||||
EUR | 628,574 | UPC Broadband Holding BV, 4.480%, due 12/31/17 | 699,956 | ||||||||||||
$ | 850,000 | S | Virgin Media Finance PLC, 9.500%, due 08/15/16 | 902,063 | |||||||||||
1,900,000 | S | West Corp., 9.500%, due 10/15/14 | 1,919,000 | ||||||||||||
4,200,000 | #, S | Wind Acquisition Finance S.A., 11.750%, due 07/15/17 | 4,326,000 | ||||||||||||
1,200,000 | #, S | Wind Acquisition Finance S.A., 12.000%, due 12/01/15 | 1,248,000 | ||||||||||||
400,000 | S | Windstream Corp., 7.875%, due 11/01/17 | 392,500 | ||||||||||||
5,565,000 | S | Windstream Corp., 8.625%, due 08/01/16 | 5,634,563 | ||||||||||||
71,822,044 | |||||||||||||||
Utilities: | 6.3 | % | |||||||||||||
2,000,000 | S | AES Corp., 7.750%, due 03/01/14 | 2,045,000 | ||||||||||||
725,000 | S | AES Corp., 8.000%, due 10/15/17 | 735,875 | ||||||||||||
1,100,000 | S | AES Corp., 8.000%, due 06/01/20 | 1,111,000 | ||||||||||||
890,533 | Calpine Corp., 3.420%, due 03/29/14 | 816,941 | |||||||||||||
500,000 | S | CMS Energy Corp., 6.250%, due 02/01/20 | 478,199 | ||||||||||||
250,000 | #, S | Energy Future Holdings Corp., 10.000%, due 01/15/20 | 250,000 | ||||||||||||
3,125,000 | #, S | Intergen NV, 9.000%, due 06/30/17 | 3,125,000 | ||||||||||||
1,935,000 | #, S | Ipalco Enterprises, Inc., 7.250%, due 04/01/16 | 1,988,213 | ||||||||||||
50,000 | S | Ipalco Enterprises, Inc., 8.625%, due 11/14/11 | 52,250 | ||||||||||||
2,360,954 | S | Midwest Generation, LLC, 8.560%, due 01/02/16 | 2,331,442 | ||||||||||||
2,750,000 | S | NRG Energy, Inc., 7.250%, due 02/01/14 | 2,794,688 | ||||||||||||
1,750,000 | S | NRG Energy, Inc., 7.375%, due 02/01/16 | 1,745,625 | ||||||||||||
5,075,000 | S | NRG Energy, Inc., 7.375%, due 01/15/17 | 5,036,938 | ||||||||||||
400,000 | S | NRG Energy, Inc., 8.500%, due 06/15/19 | 408,500 | ||||||||||||
4,000,000 | S | NV Energy, Inc., 6.750%, due 08/15/17 | 4,049,636 | ||||||||||||
2,782,955 | #, S | Tenaska Alabama Partners LP, 7.000%, due 06/30/21 | 2,796,869 | ||||||||||||
104,165 | Texas Competitive Electric Holdings Co. LLC, 3.850%, due 10/10/14 | 77,277 | |||||||||||||
463,468 | Texas Competitive Electric Holdings Co. LLC, 3.874%, due 10/10/14 | 343,835 | |||||||||||||
19,875 | Texas Competitive Electric Holdings Co. LLC, 4.030%, due 01/10/14 | 14,745 | |||||||||||||
9,542 | Texas Competitive Electric Holdings Co. LLC, 4.030%, due 10/10/14 | 7,079 | |||||||||||||
663,284 | Texas Competitive Electric Holdings Co. LLC, 4.066%, due 10/10/14 | 492,073 | |||||||||||||
4,561,599 | Texas Competitive Electric Holdings Co., LLC, 3.527%, due 10/10/14 | 3,366,614 | |||||||||||||
7,080,155 | Texas Competitive Electric Holdings Co., LLC, 3.850%, due 10/10/14 | 5,251,485 | |||||||||||||
69,960 | Texas Competitive Electric Holdings Co., LLC, 4.030%, due 10/10/14 | 51,893 | |||||||||||||
557,832 | &, S, L | Texas Competitive Electric Holdings Co., LLC, 10.500%, due 11/01/16 | 359,802 | ||||||||||||
39,730,979 | |||||||||||||||
Total Corporate Bonds/Notes (Cost $530,408,268) | 560,057,236 | ||||||||||||||
ASSET-BACKED SECURITIES: | 0.5 | % | |||||||||||||
Home Equity Asset-Backed Securities: | 0.1 | % | |||||||||||||
558,204 | S | Argent Securities, Inc., 1.397%, due 12/25/33 | 453,436 | ||||||||||||
300,000 | S | MASTR Asset-Backed Securities Trust, 0.557%, due 11/25/36 | 119,771 | ||||||||||||
573,207 | |||||||||||||||
Other Asset-Backed Securities: | 0.4 | % | |||||||||||||
22,902 | S | GSAMP Trust, 0.417%, due 12/25/36 | 15,045 | ||||||||||||
54,367 | S | Lehman XS Trust, 0.567%, due 04/25/46 | 24,658 | ||||||||||||
2,200,000 | S | Merrill Lynch First Franklin Mortgage Loan, 0.467%, due 07/25/37 | 1,173,578 | ||||||||||||
715,903 | #, S | Structured Asset Securities Corp., 0.497%, due 05/25/37 | 596,761 | ||||||||||||
1,917,584 | S | Structured Asset Securities Corp., 0.647%, due 06/25/35 | 771,614 | ||||||||||||
2,581,656 | |||||||||||||||
Total Asset-Backed Securities (Cost $3,799,854) | 3,154,863 | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: | 3.3 | % | |||||||||||||
78,471 | S | American Airlines Pass-Through Trust 2001-02, 6.978%, due 04/01/11 | 79,060 | ||||||||||||
93,753 | S | American Home Mortgage Assets, 0.537%, due 05/25/46 | 50,462 | ||||||||||||
51,642 | S | American Home Mortgage Assets, 0.537%, due 09/25/46 | 24,150 | ||||||||||||
125,007 | S | American Home Mortgage Assets, 0.557%, due 10/25/46 | 63,346 | ||||||||||||
1,683,464 | S | American Home Mortgage Assets, 1.333%, due 11/25/46 | 773,804 | ||||||||||||
945,201 | S | American Home Mortgage Assets, 6.250%, due 06/25/37 | 545,451 | ||||||||||||
38,608 | S | American Home Mortgage Investment Trust, 5.660%, due 09/25/45 | 33,468 | ||||||||||||
144,548 | S | Banc of America Alternative Loan Trust, 0.747%, due 05/25/35 | 102,276 | ||||||||||||
775,392 | S | Banc of America Funding Corp., 5.506%, due 03/20/36 | 585,230 | ||||||||||||
4,500,000 | S | Bear Stearns Adjustable Rate Mortgage Trust, 3.735%, due 10/25/35 | 4,239,011 | ||||||||||||
74,500 | S | Bear Stearns Adjustable Rate Mortgage Trust, 5.370%, due 05/25/47 | 53,954 | ||||||||||||
56,372 | S | Chase Mortgage Finance Corp., 5.424%, due 03/25/37 | 46,117 | ||||||||||||
150,953 | S | Citigroup Mortgage Loan Trust, Inc., 5.906%, due 09/25/37 | 104,003 | ||||||||||||
76,704 | S | Countrywide Alternative Loan Trust, 0.537%, due 09/25/46 | 42,397 | ||||||||||||
210,740 | S | Countrywide Alternative Loan Trust, 0.543%, due 12/20/46 | 104,173 | ||||||||||||
62,698 | S | Countrywide Alternative Loan Trust, 0.558%, due 07/20/46 | 24,470 | ||||||||||||
24,751 | S | Countrywide Alternative Loan Trust, 0.607%, due 07/25/35 | 14,534 | ||||||||||||
48,678 | S | Countrywide Alternative Loan Trust, 0.670%, due 11/20/35 | 28,241 | ||||||||||||
2,698,663 | S | Countrywide Alternative Loan Trust, 0.717%, due 02/25/37 | 944,320 | ||||||||||||
35,206 | S | Countrywide Alternative Loan Trust, 1.413%, due 12/25/35 | 20,110 | ||||||||||||
538,764 | S | Countrywide Alternative Loan Trust, 5.784%, due 11/25/35 | 324,247 | ||||||||||||
66,293 | S | Countrywide Alternative Loan Trust, 5.787%, due 02/25/37 | 46,274 | ||||||||||||
265,512 | S | Countrywide Alternative Loan Trust, 6.000%, due 11/25/36 | 168,226 | ||||||||||||
310,653 | S | Countrywide Alternative Loan Trust, 6.000%, due 01/25/37 | 205,654 | ||||||||||||
77,092 | S | Countrywide Alternative Loan Trust, 6.500%, due 11/25/37 | 55,340 | ||||||||||||
705,684 | S | Countrywide Home Loan Mortgage Pass-through Trust, 0.687%, due 03/25/36 | 201,092 | ||||||||||||
569,298 | S | Countrywide Home Loan Mortgage Pass-through Trust, 5.117%, due 10/20/35 | 412,493 | ||||||||||||
3,049,605 | S | First Horizon Alternative Mortgage Securities, 5.357%, due 09/25/35 | 2,208,870 | ||||||||||||
500,000 | S | Greenpoint Mortgage Funding Trust, 0.667%, due 09/25/46 | 19,284 | ||||||||||||
57,378 | S | GSR Mortgage Loan Trust, 5.034%, due 01/25/36 | 47,485 | ||||||||||||
64,349 | S | Harborview Mortgage Loan Trust, 0.528%, due 07/19/46 | 36,391 | ||||||||||||
887,787 | S | Harborview Mortgage Loan Trust, 0.588%, due 03/19/36 | 478,363 | ||||||||||||
331,801 | S | Harborview Mortgage Loan Trust, 1.263%, due 12/19/36 | 143,971 | ||||||||||||
539,494 | S | Harborview Mortgage Loan Trust, 5.750%, due 08/19/36 | 377,772 | ||||||||||||
53,985 | S | Indymac Index Mortgage Loan Trust, 0.537%, due 09/25/46 | 29,190 | ||||||||||||
48,516 | S | Indymac Index Mortgage Loan Trust, 0.547%, due 06/25/47 | 24,746 | ||||||||||||
1,633,177 | S | Indymac Index Mortgage Loan Trust, 5.383%, due 11/25/35 | 1,260,017 | ||||||||||||
248,329 | S | JP Morgan Alternative Loan Trust, 5.550%, due 10/25/36 | 233,481 | ||||||||||||
463,918 | S | JP Morgan Mortgage Trust, 4.860%, due 04/25/35 | 438,793 | ||||||||||||
649,739 | S | JP Morgan Mortgage Trust, 5.752%, due 04/25/36 | 602,434 | ||||||||||||
69,152 | S | Luminent Mortgage Trust, 0.517%, due 12/25/36 | 40,613 | ||||||||||||
37,789 | S | MASTR Adjustable Rate Mortgages Trust, 0.557%, due 04/25/46 | 19,969 | ||||||||||||
62,796 | S | Merrill Lynch Mortgage-Backed Securities, 5.604%, due 04/25/37 | 50,081 | ||||||||||||
13,928 | S | Morgan Stanley Mortgage Loan Trust, 0.657%, due 01/25/35 | 11,707 | ||||||||||||
627,705 | S | Residential Accredit Loans, Inc., 0.507%, due 01/25/37 | 356,148 | ||||||||||||
1,118,720 | S | Residential Accredit Loans, Inc., 0.677%, due 03/25/37 | 401,405 | ||||||||||||
1,894,963 | S | Residential Accredit Loans, Inc., 6.500%, due 07/25/37 | 1,125,096 | ||||||||||||
1,399,070 | S | Structured Adjustable Rate Mortgage Loan Trust, 4.915%, due 09/25/35 | 1,097,908 | ||||||||||||
475,786 | S | Structured Adjustable Rate Mortgage Loan Trust, 5.950%, due 02/25/36 | 354,651 | ||||||||||||
543,672 | S | Structured Asset Mortgage Investments, Inc., 0.527%, due 09/25/47 | 285,369 | ||||||||||||
69,548 | S | Structured Asset Mortgage Investments, Inc., 0.537%, due 07/25/46 | 38,882 | ||||||||||||
56,776 | S | Structured Asset Mortgage Investments, Inc., 0.567%, due 05/25/46 | 28,282 | ||||||||||||
4,600,000 | S | Structured Asset Mortgage Investments, Inc., 0.567%, due 09/25/47 | 1,334,136 | ||||||||||||
817,731 | S | Suntrust Alternative Loan Trust, 0.697%, due 04/25/36 | 240,738 | ||||||||||||
65,006 | S | Washington Mutual Mortgage Pass-through Certificates, 1.121%, due 02/25/47 | 37,713 | ||||||||||||
68,948 | S | Washington Mutual Mortgage Pass-through Certificates, 1.121%, due 03/25/47 | 37,957 | ||||||||||||
68,631 | S | Washington Mutual Mortgage Pass-through Certificates, 1.181%, due 04/25/47 | 41,040 | ||||||||||||
63,048 | S | Washington Mutual Mortgage Pass-through Certificates, 1.233%, due 12/25/46 | 37,247 | ||||||||||||
70,078 | S | Washington Mutual Mortgage Pass-through Certificates, 5.338%, due 02/25/37 | 51,829 | ||||||||||||
70,664 | S | Washington Mutual Mortgage Pass-through Certificates, 5.504%, due 12/25/36 | 52,010 | ||||||||||||
64,147 | S | Washington Mutual Mortgage Pass-through Certificates, 5.574%, due 02/25/37 | 46,979 | ||||||||||||
73,371 | S | Washington Mutual Mortgage Pass-through Certificates, 5.587%, due 05/25/37 | 56,871 | ||||||||||||
62,993 | S | Washington Mutual Mortgage Pass-through Certificates, 5.795%, due 02/25/37 | 44,974 | ||||||||||||
52,805 | S | Washington Mutual Mortgage Pass-through Certificates, 5.871%, due 09/25/36 | 41,354 | ||||||||||||
65,132 | S | Wells Fargo Mortgage-Backed Securities Trust, 5.462%, due 07/25/36 | 52,206 | ||||||||||||
Total Collateralized Mortgage Obligations (Cost $22,221,503) | 21,077,865 | ||||||||||||||
MUNICIPAL BONDS: |
| 0.0 | % | ||||||||||||
Puerto Rico: | 0.0 | % | |||||||||||||
1,600,000 | S, Z | Puerto Rico Sales Tax Financing Corp., 37.630%, due 08/01/54 | 89,728 | ||||||||||||
Total Municipal Bonds (Cost $220,044) | 89,728 | ||||||||||||||
Shares | Value | ||||||||||||||
COMMON STOCK: | 0.4 | % | |||||||||||||
Consumer Discretionary: | 0.3 | % | |||||||||||||
114,660 | @, S | Dex One Corp. | $ | 2,178,540 | |||||||||||
2,178,540 | |||||||||||||||
Consumer Staples: | 0.0 | % | |||||||||||||
26 | @, S | Spectrum Brands Holdings, Inc. | 659 | ||||||||||||
659 | |||||||||||||||
Energy: | 0.1 | % | |||||||||||||
13,610 | @, S | SemGroup Corp. | 357,263 | ||||||||||||
357,263 | |||||||||||||||
Total Common Stock (Cost $2,912,599) | 2,536,462 | ||||||||||||||
PREFERRED STOCK: | 0.7 | % | |||||||||||||
Financials: | 0.7 | % | |||||||||||||
900 | #, P, S | ABN AMRO North America Capital Funding Trust I | 601,594 | ||||||||||||
3,800 | S | Wells Fargo & Co. | 3,537,800 | ||||||||||||
Total Preferred Stock (Cost $3,368,035) | 4,139,394 | ||||||||||||||
WARRANTS: | 0.0 | % | |||||||||||||
Energy: | 0.0 | % | |||||||||||||
14,326 | S | SemGroup Corp. | 85,956 | ||||||||||||
Total Warrants (Cost $64,467) | 85,956 | ||||||||||||||
Total Long-Term Investments (Cost $562,994,770) | 591,141,504 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 6.5 | % | |||||||||||||
Commercial Paper: | 0.1 | % | |||||||||||||
550,135 | ±, I | Tribune Co., 5.000%, due 05/30/09 | 333,290 | ||||||||||||
Total Commercial Paper (Cost $546,737) | 333,290 | ||||||||||||||
U.S. Government Agency Obligations: | 4.7 | % | |||||||||||||
1,700,000 | S, Z | Fannie Mae, 0.080%, due 08/25/10 | 1,699,799 | ||||||||||||
500,000 | S, Z | Fannie Mae, 0.090%, due 09/20/10 | 499,899 | ||||||||||||
500,000 | S, L, Z | Fannie Mae, 0.110%, due 08/11/10 | 499,934 | ||||||||||||
14,700,000 | S, Z | Fannie Mae, 0.140%, due 10/01/10 | 14,694,737 | ||||||||||||
400,000 | S, Z | Federal Home Loan Bank, 0.120%, due 08/13/10 | 399,942 | ||||||||||||
8,900,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.090%, due 08/18/10 | 8,898,964 | ||||||||||||
500,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.090%, due 09/08/10 | 499,914 | ||||||||||||
300,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.120%, due 08/09/10 | 299,961 | ||||||||||||
2,100,000 | S, Z | Federal Home Loan Mortgage Corporation, 0.140%, due 10/19/10 | 2,099,101 | ||||||||||||
Total U.S. Government Agency Obligations (Cost $29,586,643) | 29,592,251 | ||||||||||||||
U.S. Treasury Bills: | 1.0 | % | |||||||||||||
2,000,000 | S | 0.030%, due 07/08/10 | 1,999,992 | ||||||||||||
3,400,000 | S, L | 0.040%, due 07/15/10 | 3,399,937 | ||||||||||||
874,000 | 0.140%, due 09/02/10 | 873,775 | |||||||||||||
Total U.S. Treasury Bills (Cost $6,273,632) | 6,273,704 | ||||||||||||||
Securities Lending Collateralcc: | 0.7 | % | |||||||||||||
3,481,150 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 3,481,150 | |||||||||||||
1,169,840 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 935,872 | ||||||||||||
Total Securities Lending Collateral (Cost $4,650,990) | 4,417,022 | ||||||||||||||
Total Short-Term Investments (Cost $41,058,002) | 40,616,267 | ||||||||||||||
Total Investments in Securities (Cost $604,052,772) * | 100.3 | % | $ | 631,757,771 | |||||||||||
Other Assets and Liabilities - Net | (0.3 | ) | (1,825,717 | ) | |||||||||||
Net Assets | 100.0 | % | $ | 629,932,054 | |||||||||||
@ | Non-income producing security | ||||||||||||||
& | Payment-in-kind | ||||||||||||||
MASTR | Mortgage Asset Securitization Transaction, Inc. | ||||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | ||||||||||||||
P | Preferred Stock may be called prior to convertible date. | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
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. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | ||||||||||||||
± | Defaulted security | ||||||||||||||
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. | ||||||||||||||
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. | ||||||||||||||
EUR | EU Euro | ||||||||||||||
GBP | British Pound |
See Accompanying Notes to Financial Statements
29
Table of Contents
PORTFOLIO OF INVESTMENTS
ING Pioneer Equity Income Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | |||||||||||||
COMMON STOCK: |
| 95.9 | % | |||||||||||
Consumer Discretionary: | 8.5 | % | ||||||||||||
108,924 | @ | Cedar Fair LP | $ | 1,341,944 | ||||||||||
39,302 | Genuine Parts Co. | 1,550,464 | ||||||||||||
121,107 | Johnson Controls, Inc. | 3,254,145 | ||||||||||||
56,547 | Lowe’s Cos., Inc. | 1,154,690 | ||||||||||||
29,584 | Reed Elsevier PLC ADR | 866,811 | ||||||||||||
28,177 | VF Corp. | 2,005,639 | ||||||||||||
10,173,693 | ||||||||||||||
Consumer Staples: | 14.8 | % | ||||||||||||
26,971 | Clorox Co. | 1,676,517 | ||||||||||||
33,249 | Colgate-Palmolive Co. | 2,618,691 | ||||||||||||
46,026 | General Mills, Inc. | 1,634,844 | ||||||||||||
51,597 | Hershey Co. | 2,473,044 | ||||||||||||
58,929 | HJ Heinz Co. | 2,546,911 | ||||||||||||
21,626 | JM Smucker Co. | 1,302,318 | ||||||||||||
34,849 | Kellogg Co. | 1,752,905 | ||||||||||||
21,318 | Procter & Gamble Co. | 1,278,654 | ||||||||||||
50,400 | Sara Lee Corp. | 710,640 | ||||||||||||
40,295 | Sysco Corp. | 1,151,228 | ||||||||||||
16,900 | Walgreen Co. | 451,230 | ||||||||||||
17,596,982 | ||||||||||||||
Energy: | 6.9 | % | ||||||||||||
19,907 | Chevron Corp. | 1,350,889 | ||||||||||||
29,677 | ConocoPhillips | 1,456,844 | ||||||||||||
16,099 | ExxonMobil Corp. | 918,770 | ||||||||||||
17,500 | Helmerich & Payne, Inc. | 639,100 | ||||||||||||
76,675 | Marathon Oil Corp. | 2,383,826 | ||||||||||||
72,801 | Spectra Energy Corp. | 1,461,116 | ||||||||||||
8,210,545 | ||||||||||||||
Financials: | 13.4 | % | ||||||||||||
33,398 | Aflac, Inc. | 1,425,093 | ||||||||||||
36,016 | Bank of New York Mellon Corp. | 889,235 | ||||||||||||
58,878 | Chubb Corp. | 2,944,489 | ||||||||||||
36,884 | Cincinnati Financial Corp. | 954,189 | ||||||||||||
29,076 | JP Morgan Chase & Co. | 1,064,472 | ||||||||||||
21,967 | Northern Trust Corp. | 1,025,859 | ||||||||||||
65,775 | SunTrust Bank | 1,532,558 | ||||||||||||
33,311 | T. Rowe Price Group, Inc. | 1,478,675 | ||||||||||||
27,902 | Travelers Cos., Inc. | 1,374,174 | ||||||||||||
106,224 | US Bancorp. | 2,374,106 | ||||||||||||
34,464 | Wells Fargo & Co. | 882,278 | ||||||||||||
15,945,128 | ||||||||||||||
Health Care: | 7.8 | % | ||||||||||||
43,402 | Abbott Laboratories | 2,030,346 | ||||||||||||
45,583 | Baxter International, Inc. | 1,852,493 | ||||||||||||
73,371 | Bristol-Myers Squibb Co. | 1,829,873 | ||||||||||||
39,900 | Eli Lilly & Co. | 1,336,650 | ||||||||||||
56,796 | Merck & Co., Inc. | 1,986,156 | ||||||||||||
20,100 | Pfizer, Inc. | 286,626 | ||||||||||||
9,322,144 | ||||||||||||||
Industrials: | 12.5 | % | ||||||||||||
74,098 | Emerson Electric Co. | 3,237,342 | ||||||||||||
28,208 | Gorman-Rupp Co. | 706,610 | ||||||||||||
34,870 | Illinois Tool Works, Inc. | 1,439,434 | ||||||||||||
13,300 | Lockheed Martin Corp. | 990,850 | ||||||||||||
43,071 | Mine Safety Appliances Co. | 1,067,299 | ||||||||||||
15,500 | Northrop Grumman Corp. | 843,820 | ||||||||||||
75,317 | Paccar, Inc. | 3,002,889 | ||||||||||||
27,185 | Snap-On, Inc. | 1,112,138 | ||||||||||||
38,991 | Timken Co. | 1,013,376 | ||||||||||||
21,668 | United Technologies Corp. | 1,406,470 | ||||||||||||
14,820,228 | ||||||||||||||
Information Technology: | 4.7 | % | ||||||||||||
57,416 | Analog Devices, Inc. | 1,599,610 | ||||||||||||
43,200 | Applied Materials, Inc. | 519,264 | ||||||||||||
7,600 | Automatic Data Processing, Inc. | 305,976 | ||||||||||||
63,011 | Intel Corp. | 1,225,564 | ||||||||||||
71,390 | Microchip Technology, Inc. | 1,980,359 | ||||||||||||
5,630,773 | ||||||||||||||
Materials: | 9.1 | % | ||||||||||||
20,923 | Carpenter Technology Corp. | 686,902 | ||||||||||||
38,310 | Compass Minerals International, Inc. | 2,692,427 | ||||||||||||
49,103 | EI Du Pont de Nemours & Co. | 1,698,473 | ||||||||||||
28,363 | Nucor Corp. | 1,085,736 | ||||||||||||
29,222 | Sonoco Products Co. | 890,687 | ||||||||||||
123,362 | Valspar Corp. | 3,715,660 | ||||||||||||
10,769,885 | ||||||||||||||
Telecommunication Services: | 3.7 | % | ||||||||||||
43,400 | AT&T, Inc. | 1,049,846 | ||||||||||||
62,748 | CenturyTel, Inc. | 2,090,136 | ||||||||||||
46,813 | Verizon Communications, Inc. | 1,311,700 | ||||||||||||
4,451,682 | ||||||||||||||
Utilities: | 14.5 | % | ||||||||||||
55,252 | AGL Resources, Inc. | 1,979,127 | ||||||||||||
21,900 | DPL, Inc. | 523,410 | ||||||||||||
71,255 | Duke Energy Corp. | 1,140,080 | ||||||||||||
62,697 | EQT Corp. | 2,265,870 | ||||||||||||
18,600 | National Fuel Gas Co. | 853,368 | ||||||||||||
75,869 | NSTAR | 2,655,415 | ||||||||||||
40,897 | Public Service Enterprise Group, Inc. | 1,281,303 | ||||||||||||
95,439 | Questar Corp. | 4,341,520 | ||||||||||||
47,907 | Southern Co. | 1,594,345 | ||||||||||||
11,900 | Wisconsin Energy Corp. | 603,806 | ||||||||||||
17,238,244 | ||||||||||||||
Total Common Stock (Cost $118,423,994) | 114,159,304 | |||||||||||||
REAL ESTATE INVESTMENT TRUSTS: | 2.3 | % | ||||||||||||
Financials: | 2.3 | % | ||||||||||||
14,740 | Alexandria Real Estate Equities, Inc. | 934,074 | ||||||||||||
36,672 | Nationwide Health Properties, Inc. | 1,311,757 | ||||||||||||
16,016 | Regency Centers Corp. | 550,950 | ||||||||||||
Total Real Estate Investment Trusts (Cost $2,048,197) | 2,796,781 | |||||||||||||
Total Long-Term Investments (Cost $120,472,191) | 116,956,085 | |||||||||||||
SHORT-TERM INVESTMENTS: | 1.7 | % | ||||||||||||
Affiliated Mutual Fund: | 1.7 | % | ||||||||||||
1,952,247 | ING Institutional Prime Money Market Fund - Class I | 1,952,247 | ||||||||||||
Total Short-Term Investments (Cost $1,952,247) | 1,952,247 | |||||||||||||
Total Investments in Securities (Cost $122,424,438) * | 99.9% | $ | 118,908,332 | |||||||||||
Other Assets and Liabilities - Net | 0.1 | 176,467 | ||||||||||||
Net Assets | 100.0% | $ | 119,084,799 | |||||||||||
@ | Non-income producing security | |||||||||||||
ADR | American Depositary Receipt |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS
ING Pioneer Fund Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | |||||||||||||
COMMON STOCK: |
| 99.0 | % | |||||||||||
Consumer Discretionary: | 12.1 | % | ||||||||||||
10,037 | @ | BorgWarner, Inc. | $ | 374,782 | ||||||||||
17,435 | Coach, Inc. | 637,249 | ||||||||||||
64,970 | @ | Ford Motor Co. | 654,898 | |||||||||||
23,724 | John Wiley & Sons, Inc. | 917,407 | ||||||||||||
52,146 | Johnson Controls, Inc. | 1,401,163 | ||||||||||||
29,234 | Lowe’s Cos., Inc. | 596,958 | ||||||||||||
4,248 | McDonald’s Corp. | 279,816 | ||||||||||||
27,641 | McGraw-Hill Cos., Inc. | 777,818 | ||||||||||||
16,954 | Nordstrom, Inc. | 545,749 | ||||||||||||
75,450 | Reed Elsevier NV | 835,251 | ||||||||||||
17,131 | Staples, Inc. | 326,346 | ||||||||||||
29,059 | Target Corp. | 1,428,831 | ||||||||||||
3,209 | Yum! Brands, Inc. | 125,279 | ||||||||||||
8,901,547 | ||||||||||||||
Consumer Staples: | 13.5 | % | ||||||||||||
12,342 | Campbell Soup Co. | 442,214 | ||||||||||||
3,746 | Clorox Co. | 232,851 | ||||||||||||
17,524 | Colgate-Palmolive Co. | 1,380,190 | ||||||||||||
14,630 | CVS Caremark Corp. | 428,952 | ||||||||||||
7,072 | Estee Lauder Cos., Inc. | 394,123 | ||||||||||||
23,078 | General Mills, Inc. | 819,731 | ||||||||||||
24,612 | Hershey Co. | 1,179,653 | ||||||||||||
19,346 | HJ Heinz Co. | 836,134 | ||||||||||||
10,696 | Kellogg Co. | 538,009 | ||||||||||||
27,707 | Kraft Foods, Inc. | 775,796 | ||||||||||||
12,572 | PepsiCo, Inc. | 766,263 | ||||||||||||
23,389 | Sysco Corp. | 668,224 | ||||||||||||
37,655 | Walgreen Co. | 1,005,389 | ||||||||||||
10,369 | Wal-Mart Stores, Inc. | 498,438 | ||||||||||||
9,965,967 | ||||||||||||||
Energy: | 10.2 | % | ||||||||||||
14,457 | Apache Corp. | 1,217,135 | ||||||||||||
28,651 | Chevron Corp. | 1,944,257 | ||||||||||||
16,290 | ConocoPhillips | 799,676 | ||||||||||||
5,805 | Consol Energy, Inc. | 195,977 | ||||||||||||
4,682 | Devon Energy Corp. | 285,227 | ||||||||||||
10,360 | Ensco International PLC ADR | 406,941 | ||||||||||||
13,046 | ExxonMobil Corp. | 744,535 | ||||||||||||
4,719 | Helmerich & Payne, Inc. | 172,338 | ||||||||||||
10,409 | Hess Corp. | 523,989 | ||||||||||||
17,987 | Marathon Oil Corp. | 559,216 | ||||||||||||
11,504 | Schlumberger Ltd. | 636,631 | ||||||||||||
7,485,922 | ||||||||||||||
Financials: | 12.3 | % | ||||||||||||
34,330 | Bank of America Corp. | 493,322 | ||||||||||||
28,530 | Bank of New York Mellon Corp. | 704,406 | ||||||||||||
31,253 | Chubb Corp. | 1,562,963 | ||||||||||||
1,190 | CME Group, Inc. | 335,045 | ||||||||||||
9,771 | Franklin Resources, Inc. | 842,162 | ||||||||||||
11,341 | JP Morgan Chase & Co. | 415,194 | ||||||||||||
41,140 | Keycorp | 316,367 | ||||||||||||
21,880 | Morgan Stanley | 507,835 | ||||||||||||
12,123 | Northern Trust Corp. | 566,144 | ||||||||||||
7,857 | PNC Financial Services Group, Inc. | 443,921 | ||||||||||||
12,474 | State Street Corp. | 421,871 | ||||||||||||
19,877 | T. Rowe Price Group, Inc. | 882,340 | ||||||||||||
8,618 | Travelers Cos., Inc. | 424,437 | ||||||||||||
25,302 | US Bancorp. | 565,500 | ||||||||||||
17,601 | Wells Fargo & Co. | 450,586 | ||||||||||||
7,057 | Zions Bancorp. | 152,219 | ||||||||||||
9,084,312 | ||||||||||||||
Health Care: | 11.3 | % | ||||||||||||
21,031 | Abbott Laboratories | 983,830 | ||||||||||||
11,971 | Baxter International, Inc. | 486,501 | ||||||||||||
20,565 | Becton Dickinson & Co. | 1,390,605 | ||||||||||||
7,490 | Covidien PLC | 300,948 | ||||||||||||
12,533 | CR Bard, Inc. | 971,683 | ||||||||||||
11,759 | Eli Lilly & Co. | 393,927 | ||||||||||||
7,656 | Johnson & Johnson | 452,163 | ||||||||||||
9,592 | Medtronic, Inc. | 347,902 | ||||||||||||
11,020 | Merck & Co., Inc. | 385,369 | ||||||||||||
38,159 | Pfizer, Inc. | 544,147 | ||||||||||||
19,473 | @ | St. Jude Medical, Inc. | 702,781 | |||||||||||
9,387 | Stryker Corp. | 469,913 | ||||||||||||
17,958 | Teva Pharmaceutical Industries Ltd. ADR | 933,636 | ||||||||||||
8,363,405 | ||||||||||||||
Industrials: | 15.8 | % | ||||||||||||
9,216 | 3M Co. | 727,972 | ||||||||||||
17,768 | Canadian National Railway Co. | 1,019,528 | ||||||||||||
10,450 | Caterpillar, Inc. | 627,732 | ||||||||||||
5,298 | CSX Corp. | 262,940 | ||||||||||||
17,726 | Deere & Co. | 986,984 | ||||||||||||
14,132 | Emerson Electric Co. | 617,427 | ||||||||||||
13,771 | General Dynamics Corp. | 806,430 | ||||||||||||
32,332 | General Electric Co. | 466,227 | ||||||||||||
4,314 | Honeywell International, Inc. | 168,375 | ||||||||||||
5,912 | Illinois Tool Works, Inc. | 244,047 | ||||||||||||
6,209 | Lockheed Martin Corp. | 462,571 | ||||||||||||
38,301 | Norfolk Southern Corp. | 2,031,868 | ||||||||||||
39,700 | Paccar, Inc. | 1,582,838 | ||||||||||||
6,283 | Parker Hannifin Corp. | 348,455 | ||||||||||||
9,335 | Rockwell Automation, Inc. | 458,255 | ||||||||||||
12,755 | United Technologies Corp. | 827,927 | ||||||||||||
11,639,576 | ||||||||||||||
Information Technology: | 14.3 | % | ||||||||||||
15,286 | @ | Adobe Systems, Inc. | 404,009 | |||||||||||
21,940 | Analog Devices, Inc. | 611,248 | ||||||||||||
1,560 | @ | Apple, Inc. | 392,387 | |||||||||||
40,229 | Applied Materials, Inc. | 483,553 | ||||||||||||
11,152 | ASML Holding NV | 306,345 | ||||||||||||
14,343 | Automatic Data Processing, Inc. | 577,449 | ||||||||||||
24,101 | Canon, Inc. ADR | 899,208 | ||||||||||||
25,831 | @ | Cisco Systems, Inc. | 550,459 | |||||||||||
13,488 | @ | Citrix Systems, Inc. | 569,598 | |||||||||||
7,057 | DST Systems, Inc. | 255,040 | ||||||||||||
19,242 | @ | EMC Corp. | 352,129 | |||||||||||
7,160 | @ | Fiserv, Inc. | 326,926 | |||||||||||
34,798 | Hewlett-Packard Co. | 1,506,057 | ||||||||||||
36,847 | Intel Corp. | 716,674 | ||||||||||||
3,671 | International Business Machines Corp. | 453,295 | ||||||||||||
16,960 | Microsoft Corp. | 390,250 | ||||||||||||
20,012 | @ | Motorola, Inc. | 130,478 | |||||||||||
50,081 | Nokia OYJ ADR | 408,160 | ||||||||||||
4,500 | Oracle Corp. | 96,570 | ||||||||||||
6,907 | Qualcomm, Inc. | 226,826 | ||||||||||||
4,678 | @ | Research In Motion Ltd. | 230,438 | |||||||||||
29,856 | Texas Instruments, Inc. | 695,048 | ||||||||||||
10,582,147 | ||||||||||||||
Materials: | 6.6 | % | ||||||||||||
7,067 | Air Products & Chemicals, Inc. | 458,012 | ||||||||||||
42,778 | Alcoa, Inc. | 430,347 | ||||||||||||
5,683 | BHP Billiton Ltd. ADR | 352,289 | ||||||||||||
10,262 | Ecolab, Inc. | 460,866 | ||||||||||||
14,748 | EI Du Pont de Nemours & Co. | 510,133 | ||||||||||||
9,362 | Freeport-McMoRan Copper & Gold, Inc. | 553,575 | ||||||||||||
7,042 | Monsanto Co. | 325,481 | ||||||||||||
4,191 | Praxair, Inc. | 318,474 | ||||||||||||
32,643 | Rio Tinto PLC | 1,433,496 | ||||||||||||
4,842,673 | ||||||||||||||
Telecommunication Services: | 1.5 | % | ||||||||||||
29,217 | AT&T, Inc. | 706,759 | ||||||||||||
14,241 | Verizon Communications, Inc. | 399,033 | ||||||||||||
1,105,792 | ||||||||||||||
Utilities: | 1.4 | % | ||||||||||||
7,811 | PPL Corp. | 194,884 | ||||||||||||
11,171 | Public Service Enterprise Group, Inc. | 349,987 | ||||||||||||
14,813 | Southern Co. | 492,977 | ||||||||||||
1,037,848 | ||||||||||||||
Total Common Stock (Cost $76,436,339) | 73,009,189 | |||||||||||||
SHORT-TERM INVESTMENTS: | 0.5 | % | ||||||||||||
Affiliated Mutual Fund: | 0.5 | % | ||||||||||||
345,000 | ING Institutional Prime Money Market Fund - Class I | 345,000 | ||||||||||||
Total Short-Term Investments (Cost $345,000) | 345,000 | |||||||||||||
Total Investments in Securities (Cost $76,781,339) * | 99.5% | $ | 73,354,189 | |||||||||||
Other Assets and Liabilities - Net | 0.5 | 370,445 | ||||||||||||
Net Assets | 100.0% | $ | 73,724,634 | |||||||||||
@ | Non-income producing security | |||||||||||||
ADR | American Depositary Receipt |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS | ||
ING Templeton Global Growth Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | |||||||||||||||
COMMON STOCK: | 97.9 | % | ||||||||||||||
Australia: | 0.2 | % | ||||||||||||||
202,955 | Brambles Ltd. | $ | 924,273 | |||||||||||||
924,273 | ||||||||||||||||
Austria: | 0.5 | % | ||||||||||||||
235,940 | Telekom Austria AG | 2,623,608 | ||||||||||||||
2,623,608 | ||||||||||||||||
Bermuda: | 3.1 | % | ||||||||||||||
52,820 | RenaissanceRe Holdings Ltd. | 2,972,181 | ||||||||||||||
212,830 | Tyco Electronics Ltd. | 5,401,625 | ||||||||||||||
211,550 | Tyco International Ltd. | 7,452,907 | ||||||||||||||
15,826,713 | ||||||||||||||||
Brazil: | 0.8 | % | ||||||||||||||
90,050 | Empresa Brasileira de Aeronautica SA ADR | 1,886,548 | ||||||||||||||
111,130 | Vale S.A. ADR | 2,335,953 | ||||||||||||||
4,222,501 | ||||||||||||||||
China: | 0.2 | % | ||||||||||||||
25,000 | L | China Telecom Corp. Ltd. ADR | 1,198,000 | |||||||||||||
1,198,000 | ||||||||||||||||
France: | 7.0 | % | ||||||||||||||
54,730 | @, L | Accor S.A. | 2,533,749 | |||||||||||||
151,274 | AXA S.A. | 2,311,032 | ||||||||||||||
47,650 | L | Compagnie Generale des Etablissements Michelin | 3,319,889 | |||||||||||||
290,480 | France Telecom S.A. | 5,038,363 | ||||||||||||||
159,530 | Sanofi-Aventis | 9,608,083 | ||||||||||||||
165,330 | Total S.A. | 7,380,151 | ||||||||||||||
292,500 | Vivendi | 5,944,224 | ||||||||||||||
36,135,491 | ||||||||||||||||
Germany: | 5.5 | % | ||||||||||||||
92,210 | Bayerische Motoren Werke AG | 4,479,254 | ||||||||||||||
270,220 | Deutsche Post AG | 3,939,852 | ||||||||||||||
37,240 | L | Merck KGaA | 2,731,887 | |||||||||||||
24,040 | Muenchener Rueckversicherungs AG | 3,018,538 | ||||||||||||||
109,820 | L | SAP AG | 4,883,402 | |||||||||||||
106,400 | Siemens AG | 9,516,408 | ||||||||||||||
28,569,341 | ||||||||||||||||
Hong Kong: | 1.1 | % | ||||||||||||||
229,000 | Cheung Kong Holdings Ltd. | 2,642,839 | ||||||||||||||
285,500 | Swire Pacific Ltd. | 3,240,781 | ||||||||||||||
5,883,620 | ||||||||||||||||
India: | 0.5 | % | ||||||||||||||
76,440 | ICICI Bank Ltd. ADR | 2,762,542 | ||||||||||||||
2,762,542 | ||||||||||||||||
Ireland: | 5.1 | % | ||||||||||||||
397,820 | Accenture PLC | 15,375,743 | ||||||||||||||
196,080 | Covidien PLC | 7,878,494 | ||||||||||||||
159,010 | CRH PLC | 3,276,107 | ||||||||||||||
26,530,344 | ||||||||||||||||
Italy: | 2.1 | % | ||||||||||||||
259,567 | ENI S.p.A. | 4,764,640 | ||||||||||||||
1,120,867 | Intesa Sanpaolo S.p.A. | �� | 2,952,031 | |||||||||||||
1,309,440 | UniCredito Italiano S.p.A. | 2,896,536 | ||||||||||||||
10,613,207 | ||||||||||||||||
Japan: | 2.9 | % | ||||||||||||||
91,300 | Fuji Photo Film Co., Ltd. | 2,638,522 | ||||||||||||||
381,500 | Konica Minolta Holdings, Inc. | 3,670,134 | ||||||||||||||
5,400 | Nintendo Co., Ltd. | 1,585,490 | ||||||||||||||
132,900 | Toyota Motor Corp. | 4,566,265 | ||||||||||||||
37,980 | USS Co., Ltd. | 2,713,075 | ||||||||||||||
15,173,486 | ||||||||||||||||
Netherlands: | 3.5 | % | ||||||||||||||
186,230 | Koninklijke Philips Electronics NV | 5,561,225 | ||||||||||||||
92,780 | @ | Randstad Holdings NV | 3,645,817 | |||||||||||||
289,237 | Royal Dutch Shell PLC - Class B | 6,991,055 | ||||||||||||||
138,258 | L | SBM Offshore NV | 1,977,951 | |||||||||||||
18,176,048 | ||||||||||||||||
Norway: | 0.5 | % | ||||||||||||||
118,450 | Statoil ASA | 2,281,918 | ||||||||||||||
2,281,918 | ||||||||||||||||
Russia: | 0.4 | % | ||||||||||||||
113,600 | OAO Gazprom ADR | 2,136,816 | ||||||||||||||
2,136,816 | ||||||||||||||||
Singapore: | 2.8 | % | ||||||||||||||
313,980 | DBS Group Holdings Ltd. | 3,047,141 | ||||||||||||||
603,260 | @ | Flextronics International Ltd. | 3,378,256 | |||||||||||||
3,607,000 | Singapore Telecommunications Ltd. | 7,798,023 | ||||||||||||||
14,223,420 | ||||||||||||||||
South Korea: | 3.6 | % | ||||||||||||||
62,683 | Hyundai Motor Co. | 7,334,459 | ||||||||||||||
85,760 | KB Financial Group, Inc. | 3,287,248 | ||||||||||||||
12,787 | Samsung Electronics Co., Ltd. | 8,020,188 | ||||||||||||||
18,641,895 | ||||||||||||||||
Spain: | 1.4 | % | ||||||||||||||
48,240 | Inditex S.A. | 2,750,717 | ||||||||||||||
233,371 | Telefonica S.A. | 4,323,135 | ||||||||||||||
7,073,852 | ||||||||||||||||
Sweden: | 1.3 | % | ||||||||||||||
220,390 | Svenska Cellulosa AB - B Shares | 2,592,083 | ||||||||||||||
352,208 | Telefonaktiebolaget LM Ericsson | 3,906,770 | ||||||||||||||
6,498,853 | ||||||||||||||||
Switzerland: | 6.9 | % | ||||||||||||||
65,450 | ACE Ltd. | 3,369,366 | ||||||||||||||
75,280 | L | Adecco S.A. | 3,591,370 | |||||||||||||
45,450 | Lonza Group AG | 3,026,034 | ||||||||||||||
159,580 | Nestle S.A. | 7,694,761 | ||||||||||||||
164,940 | Novartis AG | 7,993,508 | ||||||||||||||
38,430 | Roche Holding AG - Genusschein | 5,289,571 | ||||||||||||||
65,120 | Swiss Reinsurance | 2,675,666 | ||||||||||||||
129,310 | @ | UBS AG - Reg | 1,713,075 | |||||||||||||
35,353,351 | ||||||||||||||||
Taiwan: | 1.0 | % | ||||||||||||||
548,998 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 5,358,220 | ||||||||||||||
5,358,220 | ||||||||||||||||
Turkey: | 0.5 | % | ||||||||||||||
192,400 | Turkcell Iletisim Hizmet AS ADR | 2,497,352 | ||||||||||||||
2,497,352 | ||||||||||||||||
United Kingdom: | 11.4 | % | ||||||||||||||
1,091,710 | Aviva PLC | 5,073,378 | ||||||||||||||
530,620 | BAE Systems PLC | 2,469,619 | ||||||||||||||
134,970 | BG Group PLC | 2,007,385 | ||||||||||||||
1,013,150 | BP PLC | 4,850,112 | ||||||||||||||
607,500 | Compass Group PLC | 4,621,542 | ||||||||||||||
478,880 | GlaxoSmithKline PLC | 8,131,788 | ||||||||||||||
543,119 | HSBC Holdings PLC | 4,979,498 | ||||||||||||||
1,458,820 | Kingfisher PLC | 4,569,842 | ||||||||||||||
455,150 | Pearson PLC | 5,986,024 | ||||||||||||||
1,551,270 | @ | Premier Foods PLC | 442,544 | |||||||||||||
77,510 | Standard Life PLC | 200,301 | ||||||||||||||
524,410 | Tesco PLC | 2,958,410 | ||||||||||||||
4,003,597 | Vodafone Group PLC | 8,249,372 | ||||||||||||||
203,165 | @ | Wolseley PLC | 4,032,797 | |||||||||||||
58,572,612 | ||||||||||||||||
United States: | 35.6 | % | ||||||||||||||
53,800 | Abbott Laboratories | 2,516,764 | ||||||||||||||
209,630 | Alcoa, Inc. | 2,108,878 | ||||||||||||||
119,120 | American Express Co. | 4,729,064 | ||||||||||||||
257,880 | @ | Amgen, Inc. | 13,564,488 | |||||||||||||
52,680 | AT&T, Inc. | 1,274,329 | ||||||||||||||
66,310 | Baker Hughes, Inc. | 2,756,507 | ||||||||||||||
83,900 | Bank of America Corp. | 1,205,643 | ||||||||||||||
52,370 | @ | Biogen Idec, Inc. | 2,484,957 | |||||||||||||
90,000 | Bristol-Myers Squibb Co. | 2,244,600 | ||||||||||||||
365,000 | @ | Brocade Communications Systems, Inc. | 1,883,400 | |||||||||||||
38,830 | Chevron Corp. | 2,635,004 | ||||||||||||||
196,530 | Chico’s FAS, Inc. | 1,941,716 | ||||||||||||||
313,130 | @ | Cisco Systems, Inc. | 6,672,800 | |||||||||||||
482,830 | Comcast Corp. – Class A | 8,386,757 | ||||||||||||||
35,270 | Comcast Corp. – Special Class A | 579,486 | ||||||||||||||
109,305 | CVS Caremark Corp. | 3,204,823 | ||||||||||||||
153,920 | @ | Dell, Inc. | 1,856,275 | |||||||||||||
106,430 | Expedia, Inc. | 1,998,755 | ||||||||||||||
60,470 | FedEx Corp. | 4,239,552 | ||||||||||||||
357,610 | General Electric Co. | 5,156,736 | ||||||||||||||
191,680 | Halliburton Co. | 4,705,744 | ||||||||||||||
77,840 | Home Depot, Inc. | 2,184,969 | ||||||||||||||
31,830 | JP Morgan Chase & Co. | 1,165,296 | ||||||||||||||
94,810 | Medtronic, Inc. | 3,438,759 | ||||||||||||||
190,820 | Merck & Co., Inc. | 6,672,975 | ||||||||||||||
503,450 | Microsoft Corp. | 11,584,385 | ||||||||||||||
728,150 | News Corp. - Class A | 8,708,674 | ||||||||||||||
646,780 | Oracle Corp. | 13,879,902 | ||||||||||||||
585,310 | Pfizer, Inc. | 8,346,521 | ||||||||||||||
308,350 | Progressive Corp. | 5,772,312 | ||||||||||||||
117,220 | Quest Diagnostics | 5,834,039 | ||||||||||||||
216,020 | @ | Seagate Technology, Inc. | 2,816,901 | |||||||||||||
957,780 | @ | Sprint Nextel Corp. | 4,060,987 | |||||||||||||
65,420 | Target Corp. | 3,216,701 | ||||||||||||||
71,822 | Time Warner Cable, Inc. | 3,740,490 | ||||||||||||||
170,703 | Time Warner, Inc. | 4,935,024 | ||||||||||||||
45,940 | Torchmark Corp. | 2,274,489 | ||||||||||||||
132,580 | United Parcel Service, Inc. - Class B | 7,542,476 | ||||||||||||||
213,810 | Viacom - Class B | 6,707,220 | ||||||||||||||
153,680 | Walt Disney Co. | 4,840,920 | ||||||||||||||
183,869,318 | ||||||||||||||||
Total Common Stock (Cost $605,450,114) | 505,146,781 | |||||||||||||||
Principal Amount | Value | |||||||||||||||
SHORT-TERM INVESTMENTS: | 4.0 | % | ||||||||||||||
U.S. Government Agency Obligations: | 1.8 | % | ||||||||||||||
$ | 9,700,000 | Z | Federal Home Loan Bank, 0.009%, due 07/01/10 | $ | 9,700,000 | |||||||||||
Total U.S. Government Agency Obligations (Cost $9,700,000) | 9,700,000 | |||||||||||||||
Securities Lending Collateralcc: | 2.2 | % | ||||||||||||||
10,713,912 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 10,713,911 | ||||||||||||||
721,212 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 576,969 | |||||||||||||
Total Securities Lending Collateral (Cost $11,435,123) | 11,290,880 | |||||||||||||||
Total Short-Term Investments (Cost $21,135,123) | 20,990,880 | |||||||||||||||
Total Investments in Securities (Cost $626,585,237) * | 101.9% | $ | 526,137,661 | |||||||||||||
Other Assets and Liabilities - Net | (1.9) | (10,043,726 | ) | |||||||||||||
Net Assets | 100.0% | $ | 516,093,935 | |||||||||||||
@ | Non-income producing security | |||||||||||||||
ADR | American Depositary Receipt | |||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||||
(1) | Collateral received from brokers for securities lending was invested 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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||||
I | Illiquid security | |||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. | |||||||||||||||
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
Industry | Percentage of Net Assets | | |
Consumer Discretionary | 18.6 | % | |
Consumer Staples | 2.8 | ||
Energy | 8.2 | ||
Financials | 12.1 | ||
Health Care | 17.4 | ||
Industrials | 11.6 | ||
Information Technology | 18.0 | ||
Materials | 2.0 | ||
Telecommunication Services | 7.2 | ||
Short-Term Investments | 4.0 | ||
Other Assets and Liabilities - Net | (1.9 | ) | |
Net Assets | 100.0 | % | |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS
ING U.S. Stock Index Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | |||||||||||||||
COMMON STOCK: | 94.2 | % | ||||||||||||||
Consumer Discretionary: | 9.7 | % | ||||||||||||||
29,200 | Abercrombie & Fitch Co. | $ | 896,148 | |||||||||||||
113,385 | @ | Amazon.com, Inc. | 12,388,445 | |||||||||||||
42,626 | @ | Apollo Group, Inc. - Class A | 1,810,326 | |||||||||||||
29,930 | @, L | Autonation, Inc. | 583,635 | |||||||||||||
9,767 | @ | Autozone, Inc. | 1,887,180 | |||||||||||||
86,824 | @ | Bed Bath & Beyond, Inc. | 3,219,434 | |||||||||||||
113,655 | Best Buy Co., Inc. | 3,848,358 | ||||||||||||||
27,312 | @, L | Big Lots, Inc. | 876,442 | |||||||||||||
60,300 | @ | Carmax, Inc. | 1,199,970 | |||||||||||||
143,815 | S | Carnival Corp. | 4,348,966 | |||||||||||||
224,350 | CBS Corp. - Class B | 2,900,846 | ||||||||||||||
104,115 | Coach, Inc. | 3,805,403 | ||||||||||||||
939,463 | S | Comcast Corp. – Class A | 16,318,472 | |||||||||||||
91,615 | S | D.R. Horton, Inc. | 900,575 | |||||||||||||
46,369 | Darden Restaurants, Inc. | 1,801,436 | ||||||||||||||
20,500 | DeVry, Inc. | 1,076,045 | ||||||||||||||
309,920 | @ | DIRECTV | 10,512,486 | |||||||||||||
94,000 | @ | Discovery Communications, Inc. - Class A | 3,356,740 | |||||||||||||
88,980 | @, L | Eastman Kodak Co. | 386,173 | |||||||||||||
70,000 | Expedia, Inc. | 1,314,600 | ||||||||||||||
45,843 | Family Dollar Stores, Inc. | 1,727,823 | ||||||||||||||
1,115,068 | @, S | Ford Motor Co. | 11,239,885 | |||||||||||||
50,328 | Fortune Brands, Inc. | 1,971,851 | ||||||||||||||
50,600 | @ | GameStop Corp. | 950,774 | |||||||||||||
78,623 | Gannett Co., Inc. | 1,058,266 | ||||||||||||||
157,712 | Gap, Inc. | 3,069,076 | ||||||||||||||
52,567 | Genuine Parts Co. | 2,073,768 | ||||||||||||||
80,262 | @, S | Goodyear Tire & Rubber Co. | 797,804 | |||||||||||||
111,218 | H&R Block, Inc. | 1,745,010 | ||||||||||||||
77,590 | Harley-Davidson, Inc. | 1,724,826 | ||||||||||||||
23,060 | @ | Harman International Industries, Inc. | 689,263 | |||||||||||||
40,623 | Hasbro, Inc. | 1,669,605 | ||||||||||||||
562,900 | Home Depot, Inc. | 15,800,603 | ||||||||||||||
98,230 | L | International Game Technology | 1,542,211 | |||||||||||||
161,025 | @, S | Interpublic Group of Cos., Inc. | 1,148,108 | |||||||||||||
78,222 | JC Penney Co., Inc. | 1,680,209 | ||||||||||||||
222,546 | Johnson Controls, Inc. | 5,979,811 | ||||||||||||||
101,553 | @ | Kohl’s Corp. | 4,823,768 | |||||||||||||
49,211 | Leggett & Platt, Inc. | 987,173 | ||||||||||||||
53,875 | Lennar Corp. | 749,401 | ||||||||||||||
88,638 | Limited Brands, Inc. | 1,956,241 | ||||||||||||||
487,352 | Lowe’s Cos., Inc. | 9,951,728 | ||||||||||||||
139,459 | Macy’s, Inc. | 2,496,316 | ||||||||||||||
84,319 | Marriott International, Inc. | 2,524,511 | ||||||||||||||
120,500 | Mattel, Inc. | 2,549,780 | ||||||||||||||
356,256 | McDonald’s Corp. | 23,466,583 | ||||||||||||||
104,597 | McGraw-Hill Cos., Inc. | 2,943,360 | ||||||||||||||
12,133 | Meredith Corp. | 377,700 | ||||||||||||||
38,514 | @, S | New York Times Co. | 333,146 | |||||||||||||
92,053 | Newell Rubbermaid, Inc. | 1,347,656 | ||||||||||||||
746,625 | News Corp. - Class A | 8,929,635 | ||||||||||||||
129,270 | Nike, Inc. | 8,732,189 | ||||||||||||||
54,769 | Nordstrom, Inc. | 1,763,014 | ||||||||||||||
91,054 | @, S | Office Depot, Inc. | 367,858 | |||||||||||||
102,762 | Omnicom Group | 3,524,737 | ||||||||||||||
45,600 | @ | O’Reilly Automotive, Inc. | 2,168,736 | |||||||||||||
18,900 | Polo Ralph Lauren Corp. | 1,378,944 | ||||||||||||||
15,200 | @ | Priceline.com, Inc. | 2,683,408 | |||||||||||||
105,072 | @, S | Pulte Homes, Inc. | 869,996 | |||||||||||||
41,543 | RadioShack Corp. | 810,504 | ||||||||||||||
41,100 | Ross Stores, Inc. | 2,190,219 | ||||||||||||||
29,700 | Scripps Networks Interactive - Class A | 1,198,098 | ||||||||||||||
16,082 | @, L | Sears Holding Corp. | 1,039,701 | |||||||||||||
52,200 | Stanley Black & Decker, Inc. | 2,637,144 | ||||||||||||||
241,519 | Staples, Inc. | 4,600,937 | ||||||||||||||
246,251 | Starbucks Corp. | 5,983,899 | ||||||||||||||
61,924 | Starwood Hotels & Resorts Worldwide, Inc. | 2,565,511 | ||||||||||||||
249,049 | Target Corp. | 12,245,739 | ||||||||||||||
41,268 | Tiffany & Co. | 1,564,470 | ||||||||||||||
116,819 | Time Warner Cable, Inc. | 6,083,934 | ||||||||||||||
381,251 | Time Warner, Inc. | 11,021,966 | ||||||||||||||
139,105 | TJX Cos., Inc. | 5,835,455 | ||||||||||||||
43,000 | @ | Urban Outfitters, Inc. | 1,478,770 | |||||||||||||
29,251 | VF Corp. | 2,082,086 | ||||||||||||||
201,220 | Viacom - Class B | 6,312,271 | ||||||||||||||
642,149 | S | Walt Disney Co. | 20,227,694 | |||||||||||||
2,040 | Washington Post | 837,379 | ||||||||||||||
24,756 | Whirlpool Corp. | 2,174,072 | ||||||||||||||
59,234 | Wyndham Worldwide Corp. | 1,192,973 | ||||||||||||||
22,900 | Wynn Resorts Ltd. | 1,746,583 | ||||||||||||||
155,510 | Yum! Brands, Inc. | 6,071,110 | ||||||||||||||
313,126,968 | ||||||||||||||||
Consumer Staples: | 11.1 | % | ||||||||||||||
688,792 | Altria Group, Inc. | 13,803,392 | ||||||||||||||
212,880 | Archer-Daniels-Midland Co. | 5,496,562 | ||||||||||||||
141,603 | Avon Products, Inc. | 3,752,480 | ||||||||||||||
36,068 | Brown-Forman Corp. | 2,064,172 | ||||||||||||||
62,500 | S | Campbell Soup Co. | 2,239,375 | |||||||||||||
46,427 | Clorox Co. | 2,885,902 | ||||||||||||||
763,147 | Coca-Cola Co. | 38,248,928 | ||||||||||||||
105,912 | Coca-Cola Enterprises, Inc. | 2,738,884 | ||||||||||||||
163,475 | Colgate-Palmolive Co. | 12,875,291 | ||||||||||||||
146,900 | ConAgra Foods, Inc. | 3,425,708 | ||||||||||||||
66,165 | @ | Constellation Brands, Inc. | 1,033,497 | |||||||||||||
145,600 | S | Costco Wholesale Corp. | 7,983,248 | |||||||||||||
460,347 | S | CVS Caremark Corp. | 13,497,374 | |||||||||||||
60,120 | @, S | Dean Foods Co. | 605,408 | |||||||||||||
84,300 | Dr Pepper Snapple Group, Inc. | 3,151,977 | ||||||||||||||
39,185 | Estee Lauder Cos., Inc. | 2,183,780 | ||||||||||||||
218,314 | General Mills, Inc. | 7,754,513 | ||||||||||||||
55,204 | Hershey Co. | 2,645,928 | ||||||||||||||
104,781 | HJ Heinz Co. | 4,528,635 | ||||||||||||||
23,000 | Hormel Foods Corp. | 931,040 | ||||||||||||||
39,450 | JM Smucker Co. | 2,375,679 | ||||||||||||||
84,480 | Kellogg Co. | 4,249,344 | ||||||||||||||
137,937 | Kimberly-Clark Corp. | 8,363,120 | ||||||||||||||
575,000 | Kraft Foods, Inc. | 16,100,000 | ||||||||||||||
215,292 | Kroger Co. | 4,239,099 | ||||||||||||||
51,306 | Lorillard, Inc. | 3,693,006 | ||||||||||||||
43,768 | McCormick & Co., Inc. | 1,661,433 | ||||||||||||||
67,800 | Mead Johnson Nutrition Co. | 3,398,136 | ||||||||||||||
52,486 | Molson Coors Brewing Co. | 2,223,307 | ||||||||||||||
541,040 | PepsiCo, Inc. | 32,976,388 | ||||||||||||||
622,792 | Philip Morris International, Inc. | 28,548,785 | ||||||||||||||
961,627 | Procter & Gamble Co. | 57,678,387 | ||||||||||||||
55,972 | Reynolds American, Inc. | 2,917,261 | ||||||||||||||
128,806 | Safeway, Inc. | 2,532,326 | ||||||||||||||
231,084 | Sara Lee Corp. | 3,258,284 | ||||||||||||||
70,233 | Supervalu, Inc. | 761,326 | ||||||||||||||
196,354 | Sysco Corp. | 5,609,834 | ||||||||||||||
101,120 | Tyson Foods, Inc. | 1,657,357 | ||||||||||||||
326,467 | Walgreen Co. | 8,716,669 | ||||||||||||||
688,973 | Wal-Mart Stores, Inc. | 33,118,932 | ||||||||||||||
56,200 | @ | Whole Foods Market, Inc. | 2,024,324 | |||||||||||||
357,949,091 | ||||||||||||||||
Energy: | 10.2 | % | ||||||||||||||
163,278 | Anadarko Petroleum Corp. | 5,892,703 | ||||||||||||||
111,511 | Apache Corp. | 9,388,111 | ||||||||||||||
142,251 | Baker Hughes, Inc. | 5,913,374 | ||||||||||||||
34,400 | Cabot Oil & Gas Corp. | 1,077,408 | ||||||||||||||
80,900 | @ | Cameron International Corp. | 2,630,868 | |||||||||||||
216,000 | Chesapeake Energy Corp. | 4,525,200 | ||||||||||||||
664,985 | Chevron Corp. | 45,125,882 | ||||||||||||||
492,244 | S | ConocoPhillips | 24,164,258 | |||||||||||||
72,595 | Consol Energy, Inc. | 2,450,807 | ||||||||||||||
131,100 | @ | Denbury Resources, Inc. | 1,919,304 | |||||||||||||
147,999 | Devon Energy Corp. | 9,016,099 | ||||||||||||||
23,000 | L | Diamond Offshore Drilling | 1,430,370 | |||||||||||||
232,304 | El Paso Corp. | 2,580,897 | ||||||||||||||
83,722 | EOG Resources, Inc. | 8,235,733 | ||||||||||||||
1,700,235 | S | ExxonMobil Corp. | 97,032,411 | |||||||||||||
40,400 | @ | �� | FMC Technologies, Inc. | 2,127,464 | ||||||||||||
299,842 | Halliburton Co. | 7,361,121 | ||||||||||||||
35,000 | Helmerich & Payne, Inc. | 1,278,200 | ||||||||||||||
96,530 | Hess Corp. | 4,859,320 | ||||||||||||||
234,534 | Marathon Oil Corp. | 7,291,662 | ||||||||||||||
33,600 | Massey Energy Co. | 918,960 | ||||||||||||||
63,305 | S | Murphy Oil Corp. | 3,136,763 | |||||||||||||
94,412 | @ | Nabors Industries Ltd. | 1,663,539 | |||||||||||||
138,600 | National Oilwell Varco, Inc. | 4,583,502 | ||||||||||||||
57,900 | Noble Energy, Inc. | 3,493,107 | ||||||||||||||
268,839 | Occidental Petroleum Corp. | 20,740,929 | ||||||||||||||
89,020 | Peabody Energy Corp. | 3,483,353 | ||||||||||||||
38,400 | Pioneer Natural Resources Co. | 2,282,880 | ||||||||||||||
58,200 | @ | QEP Resources, Inc. | 1,794,306 | |||||||||||||
52,700 | Range Resources Corp. | 2,115,905 | ||||||||||||||
37,772 | @ | Rowan Cos., Inc. | 828,718 | |||||||||||||
396,182 | Schlumberger Ltd. | 21,924,712 | ||||||||||||||
82,236 | Smith International, Inc. | 3,096,185 | ||||||||||||||
114,700 | @ | Southwestern Energy Co. | 4,432,008 | |||||||||||||
214,621 | Spectra Energy Corp. | 4,307,443 | ||||||||||||||
38,788 | Sunoco, Inc. | 1,348,659 | ||||||||||||||
46,500 | L | Tesoro Corp. | 542,655 | |||||||||||||
187,106 | Valero Energy Corp. | 3,364,166 | ||||||||||||||
193,286 | Williams Cos., Inc. | 3,533,268 | ||||||||||||||
331,892,250 | ||||||||||||||||
Financials: | 14.3 | % | ||||||||||||||
155,491 | Aflac, Inc. | 6,634,801 | ||||||||||||||
177,803 | Allstate Corp. | 5,108,280 | ||||||||||||||
396,174 | American Express Co. | 15,728,108 | ||||||||||||||
44,739 | @, L | American International Group, Inc. | 1,540,811 | |||||||||||||
84,658 | Ameriprise Financial, Inc. | 3,058,694 | ||||||||||||||
88,392 | AON Corp. | 3,281,111 | ||||||||||||||
38,600 | Assurant, Inc. | 1,339,420 | ||||||||||||||
3,321,198 | Bank of America Corp. | 47,725,615 | ||||||||||||||
399,962 | Bank of New York Mellon Corp. | 9,875,062 | ||||||||||||||
228,843 | BB&T Corp. | 6,020,859 | ||||||||||||||
547,900 | @ | Berkshire Hathaway, Inc. | 43,662,151 | |||||||||||||
150,856 | Capital One Financial Corp. | 6,079,497 | ||||||||||||||
89,400 | @ | CB Richard Ellis Group, Inc. | 1,216,734 | |||||||||||||
323,943 | Charles Schwab Corp. | 4,593,512 | ||||||||||||||
108,887 | Chubb Corp. | 5,445,439 | ||||||||||||||
54,029 | Cincinnati Financial Corp. | 1,397,730 | ||||||||||||||
7,496,901 | @, S | Citigroup, Inc. | 28,188,348 | |||||||||||||
22,170 | CME Group, Inc. | 6,241,964 | ||||||||||||||
57,489 | Comerica, Inc. | 2,117,320 | ||||||||||||||
180,088 | Discover Financial Services | 2,517,630 | ||||||||||||||
63,260 | @ | E*Trade Financial Corp. | 747,733 | |||||||||||||
29,279 | L | Federated Investors, Inc. | 606,368 | |||||||||||||
263,439 | Fifth Third Bancorp. | 3,237,665 | ||||||||||||||
75,634 | @ | First Horizon National Corp. | 866,009 | |||||||||||||
49,119 | S | Franklin Resources, Inc. | 4,233,567 | |||||||||||||
162,140 | @ | Genworth Financial, Inc. | 2,119,170 | |||||||||||||
174,203 | Goldman Sachs Group, Inc. | 22,867,628 | ||||||||||||||
146,754 | Hartford Financial Services Group, Inc. | 3,247,666 | ||||||||||||||
157,000 | Hudson City Bancorp., Inc. | 1,921,680 | ||||||||||||||
237,162 | S | Huntington Bancshares, Inc. | 1,313,877 | |||||||||||||
24,400 | @ | IntercontinentalExchange, Inc. | 2,757,932 | |||||||||||||
142,000 | @ | Invesco Ltd. | 2,389,860 | |||||||||||||
60,932 | S | Janus Capital Group, Inc. | 541,076 | |||||||||||||
1,315,371 | JP Morgan Chase & Co. | 48,155,732 | ||||||||||||||
290,952 | S | Keycorp | 2,237,421 | |||||||||||||
53,845 | Legg Mason, Inc. | 1,509,275 | ||||||||||||||
62,800 | @ | Leucadia National Corp. | 1,225,228 | |||||||||||||
100,179 | Lincoln National Corp. | 2,433,348 | ||||||||||||||
117,521 | Loews Corp. | 3,914,625 | ||||||||||||||
27,506 | M&T Bank Corp. | 2,336,635 | ||||||||||||||
176,298 | Marsh & McLennan Cos., Inc. | 3,975,520 | ||||||||||||||
174,540 | S | Marshall & Ilsley Corp. | 1,253,197 | |||||||||||||
271,406 | Metlife, Inc. | 10,248,291 | ||||||||||||||
65,139 | L | Moody’s Corp. | 1,297,569 | |||||||||||||
462,876 | Morgan Stanley | 10,743,352 | ||||||||||||||
49,000 | @ | Nasdaq Stock Market, Inc. | 871,220 | |||||||||||||
80,123 | Northern Trust Corp. | 3,741,744 | ||||||||||||||
86,500 | NYSE Euronext | 2,389,995 | ||||||||||||||
123,100 | People’s United Financial, Inc. | 1,661,850 | ||||||||||||||
171,328 | PNC Financial Services Group, Inc. | 9,680,032 | ||||||||||||||
105,816 | Principal Financial Group, Inc. | 2,480,327 | ||||||||||||||
222,541 | Progressive Corp. | 4,165,968 | ||||||||||||||
154,078 | Prudential Financial, Inc. | 8,267,825 | ||||||||||||||
395,154 | S | Regions Financial Corp. | 2,600,113 | |||||||||||||
160,663 | @ | SLM Corp. | 1,669,289 | |||||||||||||
164,169 | State Street Corp. | 5,552,196 | ||||||||||||||
165,500 | SunTrust Bank | 3,856,150 | ||||||||||||||
85,810 | T. Rowe Price Group, Inc. | 3,809,106 | ||||||||||||||
27,379 | Torchmark Corp. | 1,355,534 | ||||||||||||||
170,243 | Travelers Cos., Inc. | 8,384,468 | ||||||||||||||
110,127 | UnumProvident Corp. | 2,389,756 | ||||||||||||||
633,493 | US Bancorp. | 14,158,569 | ||||||||||||||
1,715,167 | Wells Fargo & Co. | 43,908,275 | ||||||||||||||
113,399 | XL Capital Ltd. | 1,815,518 | ||||||||||||||
52,888 | Zions Bancorp. | 1,140,794 | ||||||||||||||
461,852,239 | ||||||||||||||||
Health Care: | 11.6 | % | ||||||||||||||
514,128 | Abbott Laboratories | 24,050,908 | ||||||||||||||
142,764 | Aetna, Inc. | 3,766,114 | ||||||||||||||
101,862 | Allergan, Inc. | 5,934,480 | ||||||||||||||
93,524 | AmerisourceBergen Corp. | 2,969,387 | ||||||||||||||
324,159 | @ | Amgen, Inc. | 17,050,763 | |||||||||||||
199,736 | Baxter International, Inc. | 8,117,271 | ||||||||||||||
78,087 | Becton Dickinson & Co. | 5,280,243 | ||||||||||||||
89,270 | @ | Biogen Idec, Inc. | 4,235,862 | |||||||||||||
500,792 | @, L | Boston Scientific Corp. | 2,904,594 | |||||||||||||
567,418 | Bristol-Myers Squibb Co. | 14,151,405 | ||||||||||||||
119,822 | Cardinal Health, Inc. | 4,027,217 | ||||||||||||||
58,811 | @, S | CareFusion Corp. | 1,335,010 | |||||||||||||
152,360 | @, S | Celgene Corp. | 7,742,935 | |||||||||||||
24,800 | @ | Cephalon, Inc. | 1,407,400 | |||||||||||||
22,400 | @ | Cerner Corp. | 1,699,936 | |||||||||||||
91,168 | Cigna Corp. | 2,831,678 | ||||||||||||||
48,975 | @ | Coventry Health Care, Inc. | 865,878 | |||||||||||||
31,721 | S | CR Bard, Inc. | 2,459,329 | |||||||||||||
34,100 | @ | DaVita, Inc. | 2,129,204 | |||||||||||||
48,700 | Densply International, Inc. | 1,456,617 | ||||||||||||||
336,293 | Eli Lilly & Co. | 11,265,816 | ||||||||||||||
182,412 | @ | Express Scripts, Inc. | 8,577,012 | |||||||||||||
100,304 | @ | Forest Laboratories, Inc. | 2,751,339 | |||||||||||||
88,186 | @ | Genzyme Corp. | 4,477,203 | |||||||||||||
299,400 | @ | Gilead Sciences, Inc. | 10,263,432 | |||||||||||||
54,416 | @ | Hospira, Inc. | 3,126,199 | |||||||||||||
56,368 | @ | Humana, Inc. | 2,574,327 | |||||||||||||
12,900 | @ | Intuitive Surgical, Inc. | 4,071,498 | |||||||||||||
911,120 | Johnson & Johnson | 53,810,747 | ||||||||||||||
82,300 | @, S | King Pharmaceuticals, Inc. | 624,657 | |||||||||||||
34,760 | @ | Laboratory Corp. of America Holdings | 2,619,166 | |||||||||||||
59,959 | @ | Life Technologies Corp. | 2,833,063 | |||||||||||||
89,206 | McKesson Corp. | 5,991,075 | ||||||||||||||
153,788 | @ | Medco Health Solutions, Inc. | 8,470,643 | |||||||||||||
365,723 | Medtronic, Inc. | 13,264,773 | ||||||||||||||
1,031,343 | S | Merck & Co., Inc. | 36,066,065 | |||||||||||||
18,599 | @ | Millipore Corp. | 1,983,583 | |||||||||||||
101,563 | @, L | Mylan Laboratories | 1,730,634 | |||||||||||||
30,885 | Patterson Cos., Inc. | 881,149 | ||||||||||||||
38,919 | PerkinElmer, Inc. | 804,456 | ||||||||||||||
2,671,858 | Pfizer, Inc. | 38,100,695 | ||||||||||||||
49,861 | Quest Diagnostics | 2,481,582 | ||||||||||||||
107,851 | @ | St. Jude Medical, Inc. | 3,892,343 | |||||||||||||
93,633 | Stryker Corp. | 4,687,268 | ||||||||||||||
143,503 | @, S | Tenet Healthcare Corp. | 622,803 | |||||||||||||
135,803 | @ | Thermo Fisher Scientific, Inc. | 6,661,137 | |||||||||||||
383,549 | UnitedHealth Group, Inc. | 10,892,792 | ||||||||||||||
41,100 | @ | Varian Medical Systems, Inc. | 2,148,708 | |||||||||||||
30,991 | @ | Waters Corp. | 2,005,118 | |||||||||||||
35,278 | @ | Watson Pharmaceuticals, Inc. | 1,431,228 | |||||||||||||
147,079 | @ | WellPoint, Inc. | 7,196,575 | |||||||||||||
70,543 | @ | Zimmer Holdings, Inc. | 3,812,849 | |||||||||||||
374,536,166 | ||||||||||||||||
Industrials: | 9.8 | % | ||||||||||||||
235,662 | 3M Co. | 18,614,941 | ||||||||||||||
37,133 | Avery Dennison Corp. | 1,193,083 | ||||||||||||||
250,482 | Boeing Co. | 15,717,746 | ||||||||||||||
206,780 | Caterpillar, Inc. | 12,421,275 | ||||||||||||||
55,200 | CH Robinson Worldwide, Inc. | 3,072,432 | ||||||||||||||
43,516 | Cintas Corp. | 1,043,079 | ||||||||||||||
129,292 | CSX Corp. | 6,416,762 | ||||||||||||||
66,664 | S | Cummins, Inc. | 4,341,826 | |||||||||||||
173,666 | Danaher Corp. | 6,446,482 | ||||||||||||||
140,428 | Deere & Co. | 7,819,031 | ||||||||||||||
61,733 | Dover Corp. | 2,579,822 | ||||||||||||||
16,900 | Dun & Bradstreet Corp. | 1,134,328 | ||||||||||||||
54,795 | Eaton Corp. | 3,585,785 | ||||||||||||||
249,193 | Emerson Electric Co. | 10,887,242 | ||||||||||||||
41,806 | Equifax, Inc. | 1,173,076 | ||||||||||||||
70,400 | Expeditors International Washington, Inc. | 2,429,504 | ||||||||||||||
43,400 | L | Fastenal Co. | 2,178,246 | |||||||||||||
103,735 | FedEx Corp. | 7,272,861 | ||||||||||||||
18,600 | Flowserve Corp. | 1,577,280 | ||||||||||||||
59,218 | Fluor Corp. | 2,516,765 | ||||||||||||||
127,851 | General Dynamics Corp. | 7,486,955 | ||||||||||||||
3,532,500 | S | General Electric Co. | 50,938,650 | |||||||||||||
41,519 | Goodrich Corp. | 2,750,634 | ||||||||||||||
253,242 | Honeywell International, Inc. | 9,884,035 | ||||||||||||||
128,186 | Illinois Tool Works, Inc. | 5,291,518 | ||||||||||||||
60,000 | Iron Mountain, Inc. | 1,347,600 | ||||||||||||||
60,638 | ITT Corp. | 2,723,859 | ||||||||||||||
41,300 | @ | Jacobs Engineering Group, Inc. | 1,504,972 | |||||||||||||
38,390 | L-3 Communications Holdings, Inc. | 2,719,548 | ||||||||||||||
104,557 | Lockheed Martin Corp. | 7,789,497 | ||||||||||||||
118,784 | Masco Corp. | 1,278,116 | ||||||||||||||
122,414 | Norfolk Southern Corp. | 6,494,063 | ||||||||||||||
100,290 | Northrop Grumman Corp. | 5,459,788 | ||||||||||||||
120,699 | Paccar, Inc. | 4,812,269 | ||||||||||||||
38,852 | Pall Corp. | 1,335,343 | ||||||||||||||
53,345 | Parker Hannifin Corp. | 2,958,514 | ||||||||||||||
68,754 | Pitney Bowes, Inc. | 1,509,838 | ||||||||||||||
46,900 | Precision Castparts Corp. | 4,826,948 | ||||||||||||||
69,500 | @ | Quanta Services, Inc. | 1,435,175 | |||||||||||||
125,537 | Raytheon Co. | 6,074,735 | ||||||||||||||
107,251 | Republic Services, Inc. | 3,188,572 | ||||||||||||||
49,249 | Robert Half International, Inc. | 1,159,814 | ||||||||||||||
47,312 | Rockwell Automation, Inc. | 2,322,546 | ||||||||||||||
52,148 | Rockwell Collins, Inc. | 2,770,623 | ||||||||||||||
31,000 | Roper Industries, Inc. | 1,734,760 | ||||||||||||||
68,187 | RR Donnelley & Sons Co. | 1,116,221 | ||||||||||||||
17,737 | Ryder System, Inc. | 713,560 | ||||||||||||||
19,149 | Snap-On, Inc. | 783,386 | ||||||||||||||
246,252 | Southwest Airlines Co. | 2,735,860 | ||||||||||||||
28,100 | @ | Stericycle, Inc. | 1,842,798 | |||||||||||||
90,384 | Textron, Inc. | 1,533,816 | ||||||||||||||
167,298 | Union Pacific Corp. | 11,628,884 | ||||||||||||||
328,676 | United Parcel Service, Inc. - Class B | 18,698,378 | ||||||||||||||
310,086 | United Technologies Corp. | 20,127,682 | ||||||||||||||
160,686 | Waste Management, Inc. | 5,027,865 | ||||||||||||||
20,350 | WW Grainger, Inc. | 2,023,808 | ||||||||||||||
318,452,196 | ||||||||||||||||
Information Technology: | 17.9 | % | ||||||||||||||
173,751 | @ | Adobe Systems, Inc. | 4,592,239 | |||||||||||||
187,062 | @, L | Advanced Micro Devices, Inc. | 1,369,294 | |||||||||||||
115,522 | @ | Agilent Technologies, Inc. | 3,284,290 | |||||||||||||
57,000 | @ | Akamai Technologies, Inc. | 2,312,490 | |||||||||||||
98,560 | Altera Corp. | 2,445,274 | ||||||||||||||
57,500 | Amphenol Corp. | 2,258,600 | ||||||||||||||
98,626 | Analog Devices, Inc. | 2,747,720 | ||||||||||||||
300,169 | @ | Apple, Inc. | 75,501,509 | |||||||||||||
445,043 | Applied Materials, Inc. | 5,349,417 | ||||||||||||||
76,102 | @ | Autodesk, Inc. | 1,853,845 | |||||||||||||
167,246 | Automatic Data Processing, Inc. | 6,733,324 | ||||||||||||||
60,578 | @ | BMC Software, Inc. | 2,097,816 | |||||||||||||
142,886 | Broadcom Corp. | 4,710,951 | ||||||||||||||
130,984 | CA, Inc. | 2,410,106 | ||||||||||||||
1,895,668 | @ | Cisco Systems, Inc. | 40,396,685 | |||||||||||||
61,011 | @ | Citrix Systems, Inc. | 2,576,495 | |||||||||||||
98,600 | @ | Cognizant Technology Solutions Corp. | 4,935,916 | |||||||||||||
50,979 | Computer Sciences Corp. | 2,306,800 | ||||||||||||||
75,341 | @, S | Compuware Corp. | 601,221 | |||||||||||||
516,536 | Corning, Inc. | 8,342,056 | ||||||||||||||
570,416 | @ | Dell, Inc. | 6,879,217 | |||||||||||||
374,507 | @, S | eBay, Inc. | 7,344,082 | |||||||||||||
108,293 | @ | Electronic Arts, Inc. | 1,559,419 | |||||||||||||
679,572 | @, S | EMC Corp. | 12,436,168 | |||||||||||||
109,300 | Fidelity National Information Services, Inc. | 2,931,426 | ||||||||||||||
16,100 | @, L | First Solar, Inc. | 1,832,663 | |||||||||||||
50,458 | @ | Fiserv, Inc. | 2,303,912 | |||||||||||||
50,600 | @, L | Flir Systems, Inc. | 1,471,954 | |||||||||||||
79,995 | @ | Google, Inc. - Class A | 35,593,775 | |||||||||||||
43,300 | Harris Corp. | 1,803,445 | ||||||||||||||
779,284 | Hewlett-Packard Co. | 33,727,412 | ||||||||||||||
1,828,832 | Intel Corp. | 35,570,782 | ||||||||||||||
425,255 | S | International Business Machines Corp. | 52,510,487 | |||||||||||||
104,026 | @ | Intuit, Inc. | 3,616,984 | |||||||||||||
64,035 | Jabil Circuit, Inc. | 851,666 | ||||||||||||||
74,087 | @, L | JDS Uniphase Corp. | 729,016 | |||||||||||||
174,085 | @ | Juniper Networks, Inc. | 3,972,620 | |||||||||||||
56,994 | KLA-Tencor Corp. | 1,588,993 | ||||||||||||||
25,821 | @ | Lexmark International, Inc. | 852,868 | |||||||||||||
74,076 | S | Linear Technology Corp. | 2,060,054 | |||||||||||||
217,565 | @, S | LSI Logic Corp. | 1,000,799 | |||||||||||||
32,000 | Mastercard, Inc. | 6,384,960 | ||||||||||||||
52,600 | @ | McAfee, Inc. | 1,615,872 | |||||||||||||
75,300 | @, L | MEMC Electronic Materials, Inc. | 743,964 | |||||||||||||
61,100 | L | Microchip Technology, Inc. | 1,694,914 | |||||||||||||
281,815 | @, S | Micron Technology, Inc. | 2,392,609 | |||||||||||||
2,526,202 | Microsoft Corp. | 58,127,903 | ||||||||||||||
44,970 | Molex, Inc. | 820,253 | ||||||||||||||
41,650 | @, S | Monster Worldwide, Inc. | 485,223 | |||||||||||||
766,390 | @, S | Motorola, Inc. | 4,996,863 | |||||||||||||
78,782 | National Semiconductor Corp. | 1,060,406 | ||||||||||||||
114,126 | @ | NetApp, Inc. | 4,258,041 | |||||||||||||
115,390 | @, S | Novell, Inc. | 655,415 | |||||||||||||
31,799 | @ | Novellus Systems, Inc. | 806,423 | |||||||||||||
183,913 | @ | Nvidia Corp. | 1,877,752 | |||||||||||||
1,294,004 | S | Oracle Corp. | 27,769,326 | |||||||||||||
106,600 | Paychex, Inc. | 2,768,402 | ||||||||||||||
37,784 | @ | QLogic Corp. | 627,970 | |||||||||||||
556,452 | Qualcomm, Inc. | 18,273,884 | ||||||||||||||
62,500 | @ | Red Hat, Inc. | 1,808,750 | |||||||||||||
101,000 | @ | SAIC, Inc. | 1,690,740 | |||||||||||||
36,400 | @ | Salesforce.com, Inc. | 3,123,848 | |||||||||||||
75,825 | @ | Sandisk Corp. | 3,189,958 | |||||||||||||
267,165 | @ | Symantec Corp. | 3,708,250 | |||||||||||||
127,405 | S | Tellabs, Inc. | 814,118 | |||||||||||||
55,300 | @ | Teradata Corp. | 1,685,544 | |||||||||||||
58,742 | @, S | Teradyne, Inc. | 572,735 | |||||||||||||
411,460 | Texas Instruments, Inc. | 9,578,789 | ||||||||||||||
65,400 | Total System Services, Inc. | 889,440 | ||||||||||||||
60,800 | @ | VeriSign, Inc. | 1,614,240 | |||||||||||||
147,800 | Visa, Inc. | 10,456,850 | ||||||||||||||
75,800 | @ | Western Digital Corp. | 2,286,128 | |||||||||||||
226,291 | Western Union Co. | 3,373,999 | ||||||||||||||
447,891 | S | Xerox Corp. | 3,601,044 | |||||||||||||
91,647 | Xilinx, Inc. | 2,315,003 | ||||||||||||||
394,373 | @ | Yahoo!, Inc. | 5,454,179 | |||||||||||||
578,987,585 | ||||||||||||||||
Materials: | 3.3 | % | ||||||||||||||
70,415 | Air Products & Chemicals, Inc. | 4,563,596 | ||||||||||||||
27,400 | Airgas, Inc. | 1,704,280 | ||||||||||||||
36,400 | AK Steel Holding Corp. | 433,888 | ||||||||||||||
338,058 | S | Alcoa, Inc. | 3,400,863 | |||||||||||||
32,600 | Allegheny Technologies, Inc. | 1,440,594 | ||||||||||||||
31,246 | Ball Corp. | 1,650,726 | ||||||||||||||
36,126 | Bemis Co. | 975,402 | ||||||||||||||
22,800 | CF Industries Holdings, Inc. | 1,446,660 | ||||||||||||||
44,800 | Cliffs Natural Resources, Inc. | 2,112,768 | ||||||||||||||
381,278 | Dow Chemical Co. | 9,043,914 | ||||||||||||||
24,013 | Eastman Chemical Co. | 1,281,334 | ||||||||||||||
78,300 | Ecolab, Inc. | 3,516,453 | ||||||||||||||
299,543 | EI Du Pont de Nemours & Co. | 10,361,192 | ||||||||||||||
24,000 | FMC Corp. | 1,378,320 | ||||||||||||||
152,510 | Freeport-McMoRan Copper & Gold, Inc. | 9,017,916 | ||||||||||||||
26,143 | International Flavors & Fragrances, Inc. | 1,108,986 | ||||||||||||||
143,522 | International Paper Co. | 3,247,903 | ||||||||||||||
56,768 | MeadWestvaco Corp. | 1,260,250 | ||||||||||||||
180,759 | Monsanto Co. | 8,354,681 | ||||||||||||||
162,668 | Newmont Mining Corp. | 10,043,122 | ||||||||||||||
104,397 | Nucor Corp. | 3,996,317 | ||||||||||||||
55,800 | @ | Owens-Illinois, Inc. | 1,475,910 | |||||||||||||
43,861 | @ | Pactiv Corp. | 1,221,529 | |||||||||||||
54,974 | PPG Industries, Inc. | 3,320,979 | ||||||||||||||
101,438 | Praxair, Inc. | 7,708,274 | ||||||||||||||
52,660 | Sealed Air Corp. | 1,038,455 | ||||||||||||||
30,461 | Sherwin-Williams Co. | 2,107,597 | ||||||||||||||
40,294 | Sigma-Aldrich Corp. | 2,007,850 | ||||||||||||||
28,100 | @, L | Titanium Metals Corp. | 494,279 | |||||||||||||
47,546 | L | United States Steel Corp. | 1,832,898 | |||||||||||||
41,900 | Vulcan Materials Co. | 1,836,477 | ||||||||||||||
69,980 | Weyerhaeuser Co. | 2,463,296 | ||||||||||||||
105,846,709 | ||||||||||||||||
Telecommunication Services: | 2.8 | % | ||||||||||||||
133,500 | @ | American Tower Corp. | 5,940,750 | |||||||||||||
1,954,027 | AT&T, Inc. | 47,267,913 | ||||||||||||||
99,218 | CenturyTel, Inc. | 3,304,952 | ||||||||||||||
103,595 | L | Frontier Communications Corp. | 736,560 | |||||||||||||
86,500 | @, S | MetroPCS Communications, Inc. | 708,435 | |||||||||||||
493,092 | L | Qwest Communications International, Inc. | 2,588,733 | |||||||||||||
986,584 | @, S | Sprint Nextel Corp. | 4,183,116 | |||||||||||||
938,836 | Verizon Communications, Inc. | 26,306,185 | ||||||||||||||
151,390 | Windstream Corp. | 1,598,678 | ||||||||||||||
92,635,322 | ||||||||||||||||
Utilities: | 3.5 | % | ||||||||||||||
221,563 | @, S | AES Corp. | 2,047,242 | |||||||||||||
53,476 | Allegheny Energy, Inc. | 1,105,884 | ||||||||||||||
78,509 | Ameren Corp. | 1,866,159 | ||||||||||||||
158,473 | American Electric Power Co., Inc. | 5,118,678 | ||||||||||||||
130,111 | CenterPoint Energy, Inc. | 1,712,261 | ||||||||||||||
76,297 | CMS Energy Corp. | 1,117,751 | ||||||||||||||
93,300 | Consolidated Edison, Inc. | 4,021,230 | ||||||||||||||
66,737 | Constellation Energy Group, Inc. | 2,152,268 | ||||||||||||||
198,970 | Dominion Resources, Inc. | 7,708,098 | ||||||||||||||
54,669 | DTE Energy Co. | 2,493,453 | ||||||||||||||
434,043 | Duke Energy Corp. | 6,944,688 | ||||||||||||||
108,002 | Edison International | 3,425,823 | ||||||||||||||
62,686 | Entergy Corp. | 4,489,571 | ||||||||||||||
47,600 | EQT Corp. | 1,720,264 | ||||||||||||||
218,748 | S | Exelon Corp. | 8,305,862 | |||||||||||||
101,021 | FirstEnergy Corp. | 3,558,970 | ||||||||||||||
25,394 | Integrys Energy Group, Inc. | 1,110,734 | ||||||||||||||
136,986 | NextEra Energy, Inc. | 6,679,437 | ||||||||||||||
15,023 | Nicor, Inc. | 608,432 | ||||||||||||||
91,726 | NiSource, Inc. | 1,330,027 | ||||||||||||||
58,100 | Northeast Utilities | 1,480,388 | ||||||||||||||
86,700 | @ | NRG Energy, Inc. | 1,838,907 | |||||||||||||
34,900 | Oneok, Inc. | 1,509,425 | ||||||||||||||
123,133 | Pacific Gas & Electric Co. | 5,060,766 | ||||||||||||||
73,800 | Pepco Holdings, Inc. | 1,157,184 | ||||||||||||||
35,591 | Pinnacle West Capital Corp. | 1,294,089 | ||||||||||||||
125,093 | PPL Corp. | 3,121,070 | ||||||||||||||
94,411 | Progress Energy, Inc. | 3,702,799 | ||||||||||||||
167,820 | Public Service Enterprise Group, Inc. | 5,257,801 | ||||||||||||||
36,900 | SCANA Corp. | 1,319,544 | ||||||||||||||
81,867 | Sempra Energy | 3,830,557 | ||||||||||||||
271,956 | Southern Co. | 9,050,696 | ||||||||||||||
70,871 | TECO Energy, Inc. | 1,068,026 | ||||||||||||||
38,699 | Wisconsin Energy Corp. | 1,963,587 | ||||||||||||||
151,437 | Xcel Energy, Inc. | 3,121,117 | ||||||||||||||
112,292,788 | ||||||||||||||||
Total Common Stock (Cost $3,128,845,255) | 3,047,571,314 | |||||||||||||||
REAL ESTATE INVESTMENT TRUSTS: | 1.3 | % | ||||||||||||||
Financials: | 1.3 | % | ||||||||||||||
38,828 | S | Apartment Investment & Management Co. | 752,098 | |||||||||||||
26,904 | AvalonBay Communities, Inc. | 2,512,026 | ||||||||||||||
46,095 | Boston Properties, Inc. | 3,288,417 | ||||||||||||||
93,447 | Equity Residential | 3,891,133 | ||||||||||||||
97,400 | HCP, Inc. | 3,141,150 | ||||||||||||||
41,000 | Health Care Real Estate Investment Trust, Inc. | 1,726,920 | ||||||||||||||
216,427 | Host Hotels & Resorts, Inc. | 2,917,436 | ||||||||||||||
134,355 | Kimco Realty Corp. | 1,805,731 | ||||||||||||||
54,015 | Plum Creek Timber Co., Inc. | 1,865,138 | ||||||||||||||
157,115 | Prologis | 1,591,575 | ||||||||||||||
45,035 | S | Public Storage, Inc. | 3,959,027 | |||||||||||||
96,055 | Simon Property Group, Inc. | 7,756,441 | ||||||||||||||
52,000 | Ventas, Inc. | 2,441,400 | ||||||||||||||
52,214 | Vornado Realty Trust | 3,809,011 | ||||||||||||||
Total Real Estate Investment Trusts (Cost $35,754,405) | 41,457,503 | |||||||||||||||
Total Long-Term Investments (Cost $3,164,599,660) | 3,089,028,817 | |||||||||||||||
SHORT-TERM INVESTMENTS: | 4.6% | |||||||||||||||
Affiliated Mutual Fund: | 4.0 | % | ||||||||||||||
129,819,000 | ING Institutional Prime Money Market Fund - Class I | 129,819,000 | ||||||||||||||
Total Mutual Fund (Cost $129,819,000) | 129,819,000 | |||||||||||||||
Principal Amount | Value | |||||||||||||||
Securities Lending Collateralcc: | 0.6 | % | ||||||||||||||
$ | 16,373,657 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | $ | 16,373,657 | ||||||||||||
425,091 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 340,073 | |||||||||||||
Total Securities Lending Collateral (Cost $16,798,748) | 16,713,730 | |||||||||||||||
Total Short-Term Investments (Cost $146,617,748) | 146,532,730 | |||||||||||||||
Total Investments in Securities (Cost $3,311,217,408) * | 100.1% | $ | 3,235,561,547 | |||||||||||||
Other Assets and Liabilities - Net | (0.1) | (1,743,477 | ) | |||||||||||||
Net Assets | 100.0% | $ | 3,233,818,070 | |||||||||||||
@ | Non-income producing security | |||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | |||||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | |||||||||||||||
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. | |||||||||||||||
I | Illiquid security | |||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS
ING Large Cap Growth Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | ||||||||||||||
COMMON STOCK: |
| 97.6 | % | ||||||||||||
Consumer Discretionary: | 11.8 | % | |||||||||||||
153,000 | @ | Bed Bath & Beyond, Inc. | $ | 5,673,240 | |||||||||||
257,580 | CBS Corp. - Class B | 3,330,509 | |||||||||||||
268,810 | @ | DIRECTV | 9,118,035 | ||||||||||||
93,840 | @ | Kohl’s Corp. | 4,457,400 | ||||||||||||
219,020 | Mattel, Inc. | 4,634,463 | |||||||||||||
112,180 | Nordstrom, Inc. | 3,611,074 | |||||||||||||
25,590 | @ | Priceline.com, Inc. | 4,517,659 | ||||||||||||
103,220 | @ | Urban Outfitters, Inc. | 3,549,736 | ||||||||||||
209,180 | Wyndham Worldwide Corp. | 4,212,885 | |||||||||||||
43,105,001 | |||||||||||||||
Consumer Staples: | 11.0 | % | |||||||||||||
150,860 | Alberto-Culver Co. | 4,086,797 | |||||||||||||
162,460 | Coca-Cola Enterprises, Inc. | 4,201,216 | |||||||||||||
98,941 | ConAgra Foods, Inc. | 2,307,304 | |||||||||||||
259,140 | Philip Morris International, Inc. | 11,878,978 | |||||||||||||
93,374 | Procter & Gamble Co. | 5,600,573 | |||||||||||||
179,840 | Walgreen Co. | 4,801,728 | |||||||||||||
151,490 | Wal-Mart Stores, Inc. | 7,282,124 | |||||||||||||
40,158,720 | |||||||||||||||
Energy: | 9.2 | % | |||||||||||||
54,450 | Apache Corp. | 4,584,146 | |||||||||||||
283,880 | ExxonMobil Corp. | 16,201,032 | |||||||||||||
134,580 | National Oilwell Varco, Inc. | 4,450,561 | |||||||||||||
123,540 | Peabody Energy Corp. | 4,834,120 | |||||||||||||
122,540 | Suncor Energy, Inc. | 3,607,578 | |||||||||||||
33,677,437 | |||||||||||||||
Financials: | 5.1 | % | |||||||||||||
166,118 | American Express Co. | 6,594,885 | |||||||||||||
365,830 | @ | Blackstone Group LP | 3,497,335 | ||||||||||||
131,870 | JP Morgan Chase & Co. | 4,827,761 | |||||||||||||
164,470 | UnumProvident Corp. | 3,568,999 | |||||||||||||
18,488,980 | |||||||||||||||
Health Care: | 13.8 | % | |||||||||||||
140,040 | AmerisourceBergen Corp. | 4,446,270 | |||||||||||||
67,485 | @ | Amgen, Inc. | 3,549,711 | ||||||||||||
118,210 | Cardinal Health, Inc. | 3,973,038 | |||||||||||||
137,460 | Covidien PLC | 5,523,143 | |||||||||||||
151,100 | @ | Gilead Sciences, Inc. | 5,179,708 | ||||||||||||
124,100 | @ | Hospira, Inc. | 7,129,545 | ||||||||||||
106,414 | Merck & Co., Inc. | 3,721,298 | |||||||||||||
73,330 | @ | Thermo Fisher Scientific, Inc. | 3,596,837 | ||||||||||||
79,150 | @ | Varian Medical Systems, Inc. | 4,137,962 | ||||||||||||
85,770 | @ | Waters Corp. | 5,549,319 | ||||||||||||
65,601 | @ | Zimmer Holdings, Inc. | 3,545,734 | ||||||||||||
50,352,565 | |||||||||||||||
Industrials: | 12.3 | % | |||||||||||||
86,900 | Caterpillar, Inc. | 5,220,083 | |||||||||||||
181,580 | Danaher Corp. | 6,740,250 | |||||||||||||
128,930 | Emerson Electric Co. | 5,632,952 | |||||||||||||
116,340 | Ingersoll-Rand PLC | 4,012,567 | |||||||||||||
117,470 | Roper Industries, Inc. | 6,573,621 | |||||||||||||
105,710 | Tyco International Ltd. | 3,724,163 | |||||||||||||
76,990 | Union Pacific Corp. | 5,351,575 | |||||||||||||
113,470 | United Technologies Corp. | 7,365,338 | |||||||||||||
44,620,549 | |||||||||||||||
Information Technology: | 31.0 | % | |||||||||||||
91,060 | @ | Ansys, Inc. | 3,694,304 | ||||||||||||
80,840 | @ | Apple, Inc. | 20,333,685 | ||||||||||||
100,120 | @ | BMC Software, Inc. | 3,467,156 | ||||||||||||
144,830 | Broadcom Corp. | 4,775,045 | |||||||||||||
646,800 | @ | Cisco Systems, Inc. | 13,783,304 | ||||||||||||
105,710 | @ | Cognizant Technology Solutions Corp. | 5,291,843 | ||||||||||||
6,895 | @ | Google, Inc. - Class A | 3,067,930 | ||||||||||||
208,680 | Hewlett-Packard Co. | 9,031,670 | |||||||||||||
104,940 | @ | Intuit, Inc. | 3,648,764 | ||||||||||||
233,140 | @ | Marvell Technology Group Ltd. | 3,674,286 | ||||||||||||
530,770 | Microsoft Corp. | 12,213,018 | |||||||||||||
349,350 | National Semiconductor Corp. | 4,702,251 | |||||||||||||
534,317 | Oracle Corp. | 11,466,443 | |||||||||||||
269,660 | Qualcomm, Inc. | 8,855,634 | |||||||||||||
68,490 | Visa, Inc. | 4,845,668 | |||||||||||||
112,851,001 | |||||||||||||||
Materials: | 3.4 | % | |||||||||||||
64,190 | Eastman Chemical Co. | 3,425,178 | |||||||||||||
99,520 | Ecolab, Inc. | 4,469,443 | |||||||||||||
87,830 | Sigma-Aldrich Corp. | 4,376,569 | |||||||||||||
12,271,190 | |||||||||||||||
Total Common Stock (Cost $374,354,459) | 355,525,443 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 3.6 | % | |||||||||||||
Affiliated Mutual Fund: | 3.6 | % | |||||||||||||
13,120,000 | ING Institutional Prime Money Market Fund - Class I | 13,120,000 | |||||||||||||
Total Short-Term Investments (Cost $13,120,000) | 13,120,000 | ||||||||||||||
Total Investments in Securities (Cost $387,474,459) * | 101.2% |
| $ | 368,645,443 | |||||||||||
Other Assets and Liabilities - Net | (1.2) |
| (4,321,275 | ) | |||||||||||
Net Assets | 100.0% |
| $ | 364,324,168 | |||||||||||
@ | Non-income producing security |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS | ||
ING Wells Fargo Small Cap Disciplined Portfolio | as of June 30, 2010 (Unaudited) |
Shares | Value | ||||||||||||||
COMMON STOCK: |
| 98.9 | % | ||||||||||||
Consumer Discretionary: | 8.6 | % | |||||||||||||
17,891 | Blyth, Inc. | $ | 609,546 | ||||||||||||
32,800 | @ | Furniture Brands International, Inc. | 171,216 | ||||||||||||
8,800 | International Speedway Corp. | 226,688 | |||||||||||||
47,800 | @, L | Kenneth Cole Productions, Inc. | 526,278 | ||||||||||||
53,140 | @ | Leapfrog Enterprises, Inc. | 213,623 | ||||||||||||
55,414 | @, L | Liz Claiborne, Inc. | 233,847 | ||||||||||||
18,286 | @, L | Midas, Inc. | 140,254 | ||||||||||||
48,135 | @ | Modine Manufacturing Co. | 369,677 | ||||||||||||
183,900 | @ | Office Depot, Inc. | 742,956 | ||||||||||||
19,100 | Regis Corp. | 297,387 | |||||||||||||
98,200 | Wendy’s/Arby’s Group, Inc. - Class A | 392,800 | |||||||||||||
3,924,272 | |||||||||||||||
Consumer Staples: | 5.2 | % | |||||||||||||
9,888 | @ | American Italian Pasta Co. | 522,779 | ||||||||||||
10,100 | @ | Spectrum Brands Holdings, Inc. | 256,136 | ||||||||||||
18,400 | WD-40 Co. | 614,560 | |||||||||||||
101,300 | @, L | Winn-Dixie Stores, Inc. | 976,532 | ||||||||||||
2,370,007 | |||||||||||||||
Energy: | 5.4 | % | |||||||||||||
70,700 | @ | Cal Dive International, Inc. | 413,595 | ||||||||||||
25,200 | @ | Complete Production Services, Inc. | 360,360 | ||||||||||||
35,100 | @, L | Crimson Exploration, Inc. | 93,717 | ||||||||||||
49,000 | @, L | Exterran Holdings, Inc. | 1,264,690 | ||||||||||||
31,600 | @ | Stone Energy Corp. | 352,656 | ||||||||||||
2,485,018 | |||||||||||||||
Financials: | 23.0 | % | |||||||||||||
13,971 | @, L | AllianceBernstein Holding LP | 361,011 | ||||||||||||
111,400 | @, L | Asset Acceptance Capital Corp. | 461,196 | ||||||||||||
38,200 | Associated Banc-Corp. | 468,332 | |||||||||||||
6,700 | @ | Avatar Holdings, Inc. | 128,506 | ||||||||||||
33,900 | Brookline Bancorp., Inc. | 301,032 | |||||||||||||
56,245 | Brown & Brown, Inc. | 1,076,529 | |||||||||||||
289,600 | CapitalSource, Inc. | 1,378,496 | |||||||||||||
17,400 | @ | Cardtronics, Inc. | 225,504 | ||||||||||||
3,600 | Cathay General Bancorp. | 37,188 | |||||||||||||
26,000 | L | First Busey Corp. | 117,780 | ||||||||||||
27,000 | First Midwest Bancorp., Inc. | 328,320 | |||||||||||||
54,300 | @, L | Forestar Real Estate Group, Inc. | 975,228 | ||||||||||||
61,600 | Glacier Bancorp., Inc. | 903,672 | |||||||||||||
10,450 | Hancock Holding Co. | 348,612 | |||||||||||||
33,900 | @ | Hilltop Holdings, Inc. | 339,339 | ||||||||||||
5,700 | IBERIABANK Corp. | 293,436 | |||||||||||||
33,000 | New York Community Bancorp., Inc. | 503,910 | |||||||||||||
44,400 | NewAlliance Bancshares, Inc. | 497,724 | |||||||||||||
49,512 | L | Stewart Information Services Corp. | 446,598 | ||||||||||||
49,500 | Synovus Financial Corp. | 125,730 | |||||||||||||
21,200 | UMB Financial Corp. | 753,872 | |||||||||||||
26,800 | Washington Federal, Inc. | 433,624 | |||||||||||||
10,505,639 | |||||||||||||||
Health Care: | 5.5 | % | |||||||||||||
3,040 | @ | Assisted Living Concepts, Inc. | 89,954 | ||||||||||||
223,000 | @ | Hooper Holmes, Inc. | 127,110 | ||||||||||||
24,200 | @, L | LHC Group, Inc. | 671,550 | ||||||||||||
29,200 | L | PerkinElmer, Inc. | 603,564 | ||||||||||||
18,700 | @ | PharMerica Corp. | 274,142 | ||||||||||||
3,700 | @ | Waters Corp. | 239,390 | ||||||||||||
19,100 | @ | Zoll Medical Corp. | 517,610 | ||||||||||||
2,523,320 | |||||||||||||||
Industrials: | 20.2 | % | |||||||||||||
4,462 | @ | ACCO Brands Corp. | 22,265 | ||||||||||||
28,800 | Actuant Corp. | 542,304 | |||||||||||||
9,900 | Administaff, Inc. | 239,184 | |||||||||||||
25,100 | @ | Altra Holdings, Inc. | 326,802 | ||||||||||||
23,100 | Arkansas Best Corp. | 479,325 | |||||||||||||
30,400 | @ | Clean Harbors, Inc. | 2,018,864 | ||||||||||||
65,500 | @ | CRA International, Inc. | 1,233,365 | ||||||||||||
26,850 | @ | Douglas Dynamics, Inc. | 308,775 | ||||||||||||
51,900 | @ | GrafTech International Ltd. | 758,778 | ||||||||||||
56,900 | @, L | Herley Industries, Inc. | 811,394 | ||||||||||||
8,000 | L | Horizon Lines, Inc. | 33,840 | ||||||||||||
10,900 | Illinois Tool Works, Inc. | 449,952 | |||||||||||||
2,837 | @ | Kadant, Inc. | 49,421 | ||||||||||||
25,900 | Kennametal, Inc. | 658,637 | |||||||||||||
13,000 | Mueller Industries, Inc. | 319,800 | |||||||||||||
27,400 | Quanex Building Products Corp. | 473,746 | |||||||||||||
28,571 | @ | Tutor Perini Corp. | 470,850 | ||||||||||||
9,197,302 | |||||||||||||||
Information Technology: | 19.1 | % | |||||||||||||
48,900 | @ | ADPT Corp. | 141,321 | ||||||||||||
113,600 | @ | ATMI, Inc. | 1,663,103 | ||||||||||||
78,000 | @ | Convergys Corp. | 765,180 | ||||||||||||
8,100 | @ | Electronic Arts, Inc. | 116,640 | ||||||||||||
24,900 | L | Fair Isaac Corp. | 542,571 | ||||||||||||
22,000 | @ | Imation Corp. | 202,180 | ||||||||||||
129,200 | @ | Intermec, Inc. | 1,324,300 | ||||||||||||
20,100 | Jabil Circuit, Inc. | 267,330 | |||||||||||||
33,200 | Maxim Integrated Products | 555,436 | |||||||||||||
89,800 | Molex, Inc. | 1,387,410 | |||||||||||||
72,500 | @ | Newport Corp. | 656,850 | ||||||||||||
335,900 | @ | Quantum Corp. | 631,492 | ||||||||||||
149,056 | Technitrol, Inc. | 471,017 | |||||||||||||
8,724,830 | |||||||||||||||
Materials: | 7.2 | % | |||||||||||||
15,800 | @, L | Clearwater Paper Corp. | 865,208 | ||||||||||||
89,700 | @ | Ferro Corp. | 661,089 | ||||||||||||
298,400 | @, L | Great Basin Gold Ltd. | 504,296 | ||||||||||||
49,200 | Olin Corp. | 890,028 | |||||||||||||
17,600 | Sealed Air Corp. | 347,072 | |||||||||||||
3,267,693 | |||||||||||||||
Utilities: | 4.7 | % | |||||||||||||
25,125 | Allete, Inc. | 860,280 | |||||||||||||
60,497 | @, L | El Paso Electric Co. | 1,170,617 | ||||||||||||
3,500 | WGL Holdings, Inc. | 119,105 | |||||||||||||
2,150,002 | |||||||||||||||
Total Common Stock (Cost $50,154,388) | 45,148,083 | ||||||||||||||
REAL ESTATE INVESTMENT TRUSTS: | 1.1 | % | |||||||||||||
Financials: | 1.1 | % | |||||||||||||
11,100 | Rayonier, Inc. | 488,622 | |||||||||||||
Total Real Estate Investment Trusts (Cost $468,000) | 488,622 | ||||||||||||||
Total Long-Term Investments (Cost $50,622,388) | 45,636,705 | ||||||||||||||
SHORT-TERM INVESTMENTS: | 6.2 | % | |||||||||||||
Securities Lending Collateralcc: | 6.2 | % | |||||||||||||
2,504,354 | Bank of New York Mellon Corp. Overnight Government Fund, Series A (1) | 2,504,354 | |||||||||||||
410,481 | I | Bank of New York Mellon Corp. Institutional Cash Reserves, Series B (1)(2) | 328,385 | ||||||||||||
Total Short-Term Investments (Cost $2,914,835) | 2,832,739 | ||||||||||||||
Total Investments in Securities (Cost $53,537,223) * | 106.2% |
| $ | 48,469,444 | |||||||||||
Other Assets and Liabilities - Net | (6.2) |
| (2,810,405 | ) | |||||||||||
Net Assets | 100.0% |
| $ | 45,659,039 | |||||||||||
@ | Non-income producing security | ||||||||||||||
cc | Securities purchased with cash collateral for securities loaned. | ||||||||||||||
(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 Fund’s position in Series B is being fair valued daily. Please see the accompanying Notes to Financial Statements for additional details on securities lending. | ||||||||||||||
I | Illiquid security | ||||||||||||||
L | Loaned security, a portion or all of the security is on loan at June 30, 2010. |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS | ||
ING BlackRock Inflation Protected Bond Portfolio | as of June 30, 2010 (Unaudited) |
Principal Amount |
| Value | |||||||||||||
CORPORATE BONDS/NOTES: | 0.6 | % | |||||||||||||
Financials: | 0.5 | % | |||||||||||||
$ | 590,000 | S | Bear Stearns Cos., Inc., 4.040%, due 03/10/14 | $ | 577,834 | ||||||||||
445,000 | S | International Bank for Reconstruction & Development, 3.131%, due 12/10/13 | 445,872 | ||||||||||||
800,000 | S | SLM Corp., 4.356%, due 01/31/14 | 668,408 | ||||||||||||
1,650,000 | #, S | Suncorp-Metway Ltd., 0.914%, due 12/17/10 | 1,651,091 | ||||||||||||
3,343,205 | |||||||||||||||
Telecommunication Services: | 0.1 | % | |||||||||||||
1,105,000 | S | Cellco Partnership / Verizon Wireless Capital, LLC, 3.065%, due 05/20/11 | 1,129,913 | ||||||||||||
1,129,913 | |||||||||||||||
Total Corporate Bonds/Notes (Cost $4,458,189) | 4,473,118 | ||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: | 22.8 | % | |||||||||||||
Federal Home Loan Mortgage Corporation##: | 7.6 | % | |||||||||||||
50,800,000 | 4.500%, due 06/01/40 | 52,714,525 | |||||||||||||
52,714,525 | |||||||||||||||
Federal National Mortgage Association##: | 7.6 | % | |||||||||||||
50,900,000 | 4.500%, due 06/01/40 | 52,858,057 | |||||||||||||
52,858,057 | |||||||||||||||
Government National Mortgage Association: | 7.6 | % | |||||||||||||
50,516,744 | 4.500%, due 03/15/39 | 52,753,689 | |||||||||||||
52,753,689 | |||||||||||||||
Total U.S. Government Agency Obligations (Cost $157,092,460) | 158,326,271 | ||||||||||||||
U.S. TREASURY OBLIGATIONS: | 56.5 | % | |||||||||||||
U.S. Treasury Notes: | 4.0 | % | |||||||||||||
27,500,000 | 2.125%, due 05/31/15 | 27,977,015 | |||||||||||||
27,977,015 | |||||||||||||||
Treasury Inflation Indexed Protected Securitiesip: | 52.5 | % | |||||||||||||
28,650,310 | 0.500%, due 04/15/15 | 29,027,062 | |||||||||||||
3,723,462 | 0.625%, due 04/15/13 | 3,803,457 | |||||||||||||
3,383,977 | S | 1.250%, due 04/15/14 | 3,537,048 | ||||||||||||
14,063,882 | S | 1.375%, due 07/15/18 | 14,595,679 | ||||||||||||
438,545 | 1.375%, due 01/15/20 | 449,749 | |||||||||||||
13,399,152 | S | 1.625%, due 01/15/18 | 14,140,286 | ||||||||||||
16,841,556 | S | 1.750%, due 01/15/28 | 17,125,757 | ||||||||||||
20,954,664 | S | 1.875%, due 07/15/15 | 22,478,780 | ||||||||||||
14,294,420 | 1.875%, due 07/15/19 | 15,346,404 | |||||||||||||
22,587,703 | S | 2.000%, due 01/15/16 | 24,396,481 | ||||||||||||
16,382,785 | S | 2.000%, due 01/15/26 | 17,369,586 | ||||||||||||
6,102,308 | 2.000%, due 04/15/12 | 6,326,379 | |||||||||||||
5,645,680 | 2.125%, due 01/15/19 | 6,169,666 | |||||||||||||
7,045,420 | 2.125%, due 02/15/40 | 7,745,009 | |||||||||||||
3,113,424 | S | 2.375%, due 01/15/17 | 3,441,062 | ||||||||||||
29,486,752 | S | 2.375%, due 01/15/25 | 32,792,482 | ||||||||||||
27,666,232 | S | 2.375%, due 01/15/27 | 30,722,493 | ||||||||||||
768,852 | 2.375%, due 04/15/11 | 782,127 | |||||||||||||
15,213,534 | S | 2.500%, due 07/15/16 | 16,948,821 | ||||||||||||
5,650,757 | 2.500%, due 01/15/29 | 6,404,336 | |||||||||||||
4,097,073 | 2.625%, due 07/15/17 | 4,626,812 | |||||||||||||
39,824,891 | S | 3.000%, due 07/15/12 | 42,397,936 | ||||||||||||
5,281,346 | S | 3.375%, due 04/15/32 | 6,892,568 | ||||||||||||
1,878,488 | 3.375%, due 01/15/12 | 1,981,512 | |||||||||||||
3,231,708 | 3.500%, due 01/15/11 | 3,287,507 | |||||||||||||
229,143 | S | 3.625%, due 04/15/28 | 297,259 | ||||||||||||
23,138,491 | S | 3.875%, due 04/15/29 | 31,123,075 | ||||||||||||
364,209,333 | |||||||||||||||
Total U.S. Treasury Obligations (Cost $382,385,754) | 392,186,348 | ||||||||||||||
ASSET-BACKED SECURITIES: | 0.6 | % | |||||||||||||
Automobile Asset-Backed Securities: | 0.2 | % | |||||||||||||
776,263 | S | Capital One Auto Finance Trust, 0.380%, due 05/15/13 | 771,214 | ||||||||||||
403,113 | S | Ford Credit Auto Owner Trust, 2.350%, due 08/15/11 | 403,448 | ||||||||||||
1,174,662 | |||||||||||||||
Credit Card Asset-Backed Securities: | 0.4 | % | |||||||||||||
363,000 | S | BA Credit Card Trust, 0.360%, due 02/15/13 | 362,909 | ||||||||||||
1,550,000 | S | BA Credit Card Trust, 0.370%, due 06/17/13 | 1,548,655 | ||||||||||||
454,000 | S | BA Credit Card Trust, 1.550%, due 12/16/13 | 458,296 | ||||||||||||
2,369,860 | |||||||||||||||
Other Asset-Backed Securities: | 0.0 | % | |||||||||||||
285,835 | S | Countrywide Asset-Backed Certificates, 0.397%, due 07/25/37 | 277,847 | ||||||||||||
277,847 | |||||||||||||||
Total Asset-Backed Securities (Cost $3,803,564) | 3,822,369 | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: | 0.6 | % | |||||||||||||
Collateralized Mortgage Obligations: | 0.6 | % | |||||||||||||
887,781 | S | Credit Suisse First Boston Mortgage Securities Corp., 6.505%, due 02/15/34 | 893,557 | ||||||||||||
905,000 | S | GMAC Commercial Mortgage Securities, Inc., 4.547%, due 12/10/41 | 919,465 | ||||||||||||
405,119 | S | GMAC Commercial Mortgage Securities, Inc., 6.957%, due 09/15/35 | 408,218 | ||||||||||||
418,784 | S | JP Morgan Chase Commercial Mortgage Securities Corp., 6.044%, due 11/15/35 | 423,764 | ||||||||||||
1,476,085 | S | JP Morgan Chase Commercial Mortgage Securities Corp., 6.429%, due 04/15/35 | 1,522,166 | ||||||||||||
41,703 | S | LB-UBS Commercial Mortgage Trust, 5.642%, due 12/15/25 | 42,402 | ||||||||||||
Total Collateralized Mortgage Obligations (Cost $4,186,633) | 4,209,572 | ||||||||||||||
OTHER BONDS: | 6.0 | % | |||||||||||||
Foreign Government Bonds: | 6.0 | % | |||||||||||||
EUR | 14,989,698 | Deutschland Inflation Linked Bond, 1.500%, due 04/15/16 | 19,432,827 | ||||||||||||
EUR | 1,851,446 | Hellenic Republic Government International Bond, 2.300%, due 07/25/30 | 920,335 | ||||||||||||
EUR | 17,278,581 | Italy Buoni Poliennali Del Tesoro, 0.950%, due 09/15/10 | 21,117,072 | ||||||||||||
Total Other Bonds (Cost $45,752,493) | 41,470,234 | ||||||||||||||
# of Contracts |
| Value | |||||||||||||
POSITIONS IN PURCHASED OPTIONS: | 0.0 | % | |||||||||||||
Options on Exchange-Traded Futures Contracts: | 0.0 | % | |||||||||||||
159 | Put Option CME | ||||||||||||||
1-Year Eurodollar Future 07/10 | |||||||||||||||
Strike @ $98.500-Exp 07/16/10 | $ | 1,988 | |||||||||||||
Total Positions in Purchased Options | |||||||||||||||
( Cost $43,216) | 1,988 | ||||||||||||||
Total Investments in Securities (Cost $597,722,309) * | 87.1 | % | $ | 604,489,900 | |||||||||||
Other Assets and Liabilities - Net | 12.9 | 89,254,813 | |||||||||||||
Net Assets | 100.0 | % | $ | 693,744,713 | |||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | ||||||||||||||
ip | Treasury inflation indexed protected security whose principal value is adjusted in accordance with changes to the Consumer Price Index. | ||||||||||||||
## | 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. | ||||||||||||||
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. | ||||||||||||||
EUR | EU Euro |
See Accompanying Notes to Financial Statements
Table of Contents
PORTFOLIO OF INVESTMENTS
ING Goldman Sachs Commodity Strategy Portfolio | as of June 30, 2010 (Unaudited) |
Principal Amount |
| Value | ||||||||||||||
CORPORATE BONDS/NOTES: | 4.4 | % | ||||||||||||||
Financials: | 4.4 | % | ||||||||||||||
$ | 4,500,000 | S | Huntington National Bank, 0.938%, due 06/01/12 | $ | 4,548,245 | |||||||||||
Total Corporate Bonds/Notes (Cost $4,543,880) | 4,548,245 | |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: | 16.6 | % | ||||||||||||||
Federal Home Loan Bank: | 3.4 | % | ||||||||||||||
3,500,000 | S | 0.268%, due 10/13/11 | 3,503,073 | |||||||||||||
3,503,073 | ||||||||||||||||
Federal Home Loan Mortgage Corporation##: | 3.9 | % | ||||||||||||||
819,717 | S | 4.500%, due 07/15/22 | 866,112 | |||||||||||||
5,955 | S | 5.000%, due 11/01/16 | 6,395 | |||||||||||||
11,050 | S | 5.000%, due 01/01/17 | 11,868 | |||||||||||||
24,928 | S | 5.000%, due 02/01/17 | 26,776 | |||||||||||||
14,309 | S | 5.000%, due 03/01/17 | 15,371 | |||||||||||||
44,881 | S | 5.000%, due 04/01/17 | 48,222 | |||||||||||||
126,311 | S | 5.000%, due 09/01/17 | 135,714 | |||||||||||||
333,959 | S | 5.000%, due 10/01/17 | 358,730 | |||||||||||||
290,614 | S | 5.000%, due 11/01/17 | 312,076 | |||||||||||||
86,817 | S | 5.000%, due 12/01/17 | 93,283 | |||||||||||||
429,617 | S | 5.000%, due 01/01/18 | 461,534 | |||||||||||||
494,045 | S | 5.000%, due 02/01/18 | 530,892 | |||||||||||||
347,958 | S | 5.000%, due 03/01/18 | 373,948 | |||||||||||||
149,929 | S | 5.000%, due 04/01/18 | 161,117 | |||||||||||||
146,876 | S | 5.000%, due 05/01/18 | 157,844 | |||||||||||||
26,699 | S | 5.000%, due 06/01/18 | 28,696 | |||||||||||||
38,693 | S | 5.000%, due 07/01/18 | 41,586 | |||||||||||||
17,294 | S | 5.000%, due 09/01/18 | 18,587 | |||||||||||||
32,370 | S | 5.000%, due 10/01/18 | 34,790 | |||||||||||||
35,058 | S | 5.000%, due 11/01/18 | 37,679 | |||||||||||||
26,856 | S | 5.000%, due 12/01/18 | 28,864 | |||||||||||||
7,299 | S | 5.000%, due 01/01/19 | 7,845 | |||||||||||||
8,158 | S | 5.000%, due 03/01/19 | 8,768 | |||||||||||||
177,972 | S | 5.500%, due 01/01/20 | 193,391 | |||||||||||||
77,113 | S | 5.500%, due 05/01/20 | 83,794 | |||||||||||||
67,387 | S | 5.500%, due 07/01/20 | 73,226 | |||||||||||||
4,117,108 | ||||||||||||||||
Federal National Mortgage Association##: | 9.3 | % | ||||||||||||||
7,100,000 | S | 2.000%, due 09/28/12 | 7,124,623 | |||||||||||||
283,622 | S | 5.000%, due 05/01/17 | 305,094 | |||||||||||||
109,455 | S | 5.000%, due 01/01/18 | 117,741 | |||||||||||||
39,273 | S | 5.000%, due 03/01/18 | 42,246 | |||||||||||||
233,262 | S | 5.000%, due 04/01/18 | 250,921 | |||||||||||||
141,564 | S | 5.000%, due 05/01/18 | 152,281 | |||||||||||||
180,488 | S | 5.000%, due 10/01/18 | 194,151 | |||||||||||||
1,355,625 | S | 5.000%, due 08/25/19 | 1,454,862 | |||||||||||||
8,869 | S | 5.000%, due 01/01/20 | 9,526 | |||||||||||||
9,651,445 | ||||||||||||||||
Total U.S. Government Agency Obligations (Cost $17,156,546) | 17,271,626 | |||||||||||||||
U.S. TREASURY OBLIGATIONS: | 1.7 | % | ||||||||||||||
U.S. Treasury Notes: | 1.7 | % | ||||||||||||||
1,500,000 | S | 1.000%, due 03/31/12 | 1,511,604 | |||||||||||||
100,000 | S | 1.375%, due 02/15/13 | 101,328 | |||||||||||||
200,000 | S | 2.125%, due 05/31/15 | 203,469 | |||||||||||||
Total U.S. Treasury Obligations (Cost $1,798,502) | 1,816,401 | |||||||||||||||
STRUCTURED PRODUCTS: | 29.5 | % | ||||||||||||||
Structured Products: | 29.5 | % | ||||||||||||||
4,200,000 | S | AB Svensk Exportkredit, Dow Jones-UBS Commodity Index-Total ReturnSM, 0.046%, due 01/24/11 | 3,333,375 | |||||||||||||
3,000,000 | S | AB Svensk Exportkredit, Dow Jones-UBS Commodity Index-Total ReturnSM, 0.160%, due 02/14/11 | 1,909,179 | |||||||||||||
7,500,000 | S | AB Svensk Exportkredit, Merrill Lynch Commodity Index Extra A 01 Total Return Index, 0.090%, due 06/07/11 | 5,931,216 | |||||||||||||
5,000,000 | S | Bank of America Corp., Merrill Lynch Commodity Index Extra A 01 Total Return Index, 0.251%, due 06/07/11 | 3,954,144 | |||||||||||||
5,000,000 | S | Morgan Stanley, Dow Jones-UBS Commodity Index-Total ReturnSM, 0.000%, due 07/01/11 | 5,287,172 | |||||||||||||
9,500,000 | #, S | Rabobank, Dow Jones-UBS Commodity Index-Total ReturnSM, 0.000%, due 04/29/11 | 8,411,633 | |||||||||||||
3,000,000 | S | UBS AG, Dow Jones-UBS Commodity Index-Total ReturnSM, 0.200%, due 02/16/11 | 1,913,346 | |||||||||||||
Total Structured Products (Cost $37,200,030) | 30,740,065 | |||||||||||||||
Total Long-Term Investments (Cost $60,698,958) | 54,376,337 | |||||||||||||||
Shares | Value | |||||||||||||||
SHORT-TERM INVESTMENTS: | 47.8 | % | ||||||||||||||
Affiliated Mutual Fund: | 27.6 | % | ||||||||||||||
28,707,630 | ING Institutional Prime Money Market Fund - Class I | $ | 28,707,629 | |||||||||||||
Total Mutual Fund (Cost $28,707,629) | 28,707,629 | |||||||||||||||
Principal Amount | Value | |||||||||||||||
U.S. Treasury Bills: | 20.2 | % | ||||||||||||||
$ | 21,000,000 | 0.040%, due 07/15/10 | $ | 20,999,563 | ||||||||||||
Total U.S. Treasury Bills (Cost $20,999,563) | 20,999,563 | |||||||||||||||
Total Short-Term Investments (Cost $49,707,192) | 49,707,192 | |||||||||||||||
Total Investments in Securities (Cost $110,406,150) * | 100.0% | $ | 104,083,529 | |||||||||||||
Other Assets and Liabilities - Net | (0.0) | (30,155 | ) | |||||||||||||
Net Assets | 100.0% | $ | 104,053,374 | |||||||||||||
# | 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. Unless otherwise noted, these securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees. | |||||||||||||||
## | 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. | |||||||||||||||
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. |
See Accompanying Notes to Financial Statements
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Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-end Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-end Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-end Management Investment Company and .Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Board has a Nominating Committee for the purpose of considering and presenting to the Board candidates it proposes for nomination to fill Independent Trustee vacancies on the Board. The Committee currently consists of all Independent Trustees of the Board. (6 individuals). The Nominating Committee operates pursuant to a Charter approved by the Board. The primary purpose of the Nominating Committee is to consider and present to the Board the candidates it proposes for nomination to fill vacancies on the Board. In evaluating candidates, the Nominating Committee may consider a variety of factors, but it has not at this time set any specific minimum qualifications that must be met. Specific qualifications of candidates for Board membership will be based on the needs of the Board at the time of nomination.
The Nominating Committee is willing to consider nominations received from shareholders and shall assess shareholder nominees in the same manner as it reviews its own nominees. A shareholder nominee for director should be submitted in writing to the Fund’s Secretary. Any such shareholder nomination should include at a minimum the following information as to each individual proposed for nomination as trustee: such individual’s written consent to be named in the proxy statement as a nominee (if nominated) and to serve as a trustee (if elected), and all information relating to such individual that is required to be disclosed in the solicitation of proxies for election of trustees, or is otherwise required, in each case under applicable federal securities laws, rules and regulations.
The secretary shall submit all nominations received in a timely manner to the Nominating Committee. To be timely, any such submission must be delivered to the Fund’s Secretary not earlier than the 90th day prior to such meeting and not later than the close of business on the later of the 60th day prior to such meeting or the 10th day following the day on which public announcement of the date of the meeting is first made, by either disclosure in a press release or in a document publicly filed by the Fund with the Securities and Exchange Commission.
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Item 11. Controls and Procedures.
(a) | Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR. |
(b) | There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | The Code of Ethics is not required for the semi-annual filing. |
(a)(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT. |
(a)(3) | Not required for semi-annual filing. |
(b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): ING Investors Trust
By | /s/ Shaun P. Mathews | |||
Shaun P. Mathews | ||||
President and Chief Executive Officer | ||||
Date: | September 3, 2010 | |||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Shaun P. Mathews | |||
Shaun P. Mathews | ||||
President and Chief Executive Officer | ||||
Date: | September 3, 2010 | |||
By | /s/ Todd Modic | |||
Todd Modic | ||||
Senior Vice President and Chief Financial Officer | ||||
Date: | September 3, 2010 | |||