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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: 811-08895
ING Funds Trust
(Exact name of registrant as specified in charter)
7337 E. Doubletree Ranch Rd., Scottsdale, AZ | 85258 | |
(Address of principal executive offices) | (Zip code) |
The Corporation Trust Company, 1209 Orange Street, Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-992-0180
Date of fiscal year end: March 31
Date of reporting period: April l, 2012 to September 30, 2012
Item 1. | Reports to Stockholders. |
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1):
n | ING GNMA Income Fund | |
n | ING High Yield Bond Fund | |
n | ING Intermediate Bond Fund |
This report is submitted for general information to shareholders of the ING Funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the funds’ investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
MUTUAL FUNDS |
President’s Letter | 1 | |||||
Market Perspective | 2 | |||||
Portfolio Managers’ Reports | 4 | |||||
Shareholder Expense Examples | 7 | |||||
Statements of Assets and Liabilities | 9 | |||||
Statements of Operations | 11 | |||||
Statements of Changes in Net Assets | 12 | |||||
Financial Highlights | 14 | |||||
Notes to Financial Statements | 17 | |||||
Summary Portfolios of Investments | 33 |
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You will be notified by e-mail when these communications become available on the internet. Documents that are not available on the internet will continue to be sent by mail. |
President and Chief Executive Officer
ING Funds
October 29, 2012
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 the 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.
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 U.S. Investment Grade Corporate Bond Index | An unmanaged index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. | |||||
Barclays Capital GNMA Index | An unmanaged index comprised of all fixed security mortgage pools sponsored by GNMA, including GNMA Graduated Payment Mortgages. | |||||
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. |
ING GNMA INCOME FUND | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation as of September 30, 2012 (as a percentage of net assets) | |||||||
U.S. Government Agency Obligations | 96.9 | % | |||||
U.S. Treasury Obligations | 2.2 | % | |||||
Collateralized Mortgage Obligations | 0.1 | % | |||||
Assets in Excess of Other Liabilities | 0.8 | % | |||||
Net Assets | 100.0 | % | |||||
Portfolio holdings are subject to change daily. |
PORTFOLIO MANAGERS’ REPORT | ING HIGH YIELD BOND FUND |
Sector Diversification as of September 30, 2012 (as a percentage of net assets) | |||||||
Consumer Discretionary | 26.6 | % | |||||
Energy | 14.5 | % | |||||
Health Care | 11.3 | % | |||||
Financials | 9.8 | % | |||||
Materials | 7.3 | % | |||||
Industrials | 6.4 | % | |||||
Telecommunication Services | 6.0 | % | |||||
Information Technology | 5.4 | % | |||||
Consumer Staples | 4.6 | % | |||||
Utilities | 2.4 | % | |||||
Asset-Backed Securities | 0.7 | % | |||||
Assets in Excess of Other Liabilities* | 5.0 | % | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. | |||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of September 30, 2012* (as a percentage of net assets) | |||||||
Cablevision Systems Corp., 7.750%, 04/15/18 | 0.7 | % | |||||
AMC Entertainment, Inc., 9.750%, 12/01/20 | 0.7 | % | |||||
Castle Garden Funding, 6.560%, 10/27/20 | 0.7 | % | |||||
Clear Channel Worldwide Holdings, Inc., 7.625%, 03/15/20 | 0.6 | % | |||||
Caesars Operating Escrow LLC / Caesars Escrow Corp., 8.500%, 02/15/20 | 0.6 | % | |||||
Nufarm Australia Limited, 6.375%, 10/15/19 | 0.6 | % | |||||
JM Huber Corp., 9.875%, 11/01/19 | 0.6 | % | |||||
Lender Process Services, 5.750%, 04/15/23 | 0.6 | % | |||||
Hilcorp Energy I L.P./Hilcorp Finance Co., 8.000%, 02/15/20 | 0.6 | % | |||||
Number Merger Sub, Inc., 11.000%, 12/15/19 | 0.6 | % | |||||
* Excludes short-term investments. | |||||||
Portfolio holdings are subject to change daily. |
ING INTERMEDIATE BOND FUND | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation as of September 30, 2012 (as a percentage of net assets) | |||||||
Corporate Bonds/Notes | 32.6 | % | |||||
U.S. Government Agency Obligations | 28.4 | % | |||||
U.S. Treasury Obligations | 17.8 | % | |||||
Collateralized Mortgage Obligations | 15.5 | % | |||||
Foreign Government Bonds | 8.2 | % | |||||
Asset-Backed Securities | 4.6 | % | |||||
Preferred Stock | 0.6 | % | |||||
Purchased Options | 0.0 | % | |||||
Liabilities in Excess of Other Assets* | (7.7 | )% | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. | |||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of September 30, 2012* (as a percentage of net assets) | |||||||
United States Treasury Note, 0.250%, 09/15/15 | 6.2 | % | |||||
United States Treasury Note, 0.625%, 08/31/17 | 4.5 | % | |||||
United States Treasury Note, 0.250%, 08/31/14 | 4.2 | % | |||||
Fannie Mae, 3.000%, 07/25/42 | 2.4 | % | |||||
Fannie Mae, 3.500%, 01/25/41 | 2.4 | % | |||||
Ginnie Mae, 3.500%, 02/15/41 | 2.4 | % | |||||
Fannie Mae, 2.500%, 07/25/27 | 2.2 | % | |||||
Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/23 | 2.1 | % | |||||
Ginnie Mae, 4.000%, 11/15/39 | 1.7 | % | |||||
United States Treasury Bond, 3.000%, 05/15/42 | 1.6 | % | |||||
* Excludes short-term investments. | |||||||
Portfolio holdings are subject to change daily. |
Actual Fund Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value April 1, 2012 | Ending Account Value September 30, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2012* | Beginning Account Value April 1, 2012 | Ending Account Value September 30, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2012* | ||||||||||||||||||||||||||||
ING GNMA Income Fund | |||||||||||||||||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,023.40 | 0.92 | % | $ | 4.67 | $ | 1,000.00 | $ | 1,020.46 | 0.92 | % | $ | 4.66 | |||||||||||||||||||
Class B | 1,000.00 | 1,019.60 | 1.67 | 8.45 | 1,000.00 | 1,016.70 | 1.67 | 8.44 | |||||||||||||||||||||||||||
Class C | 1,000.00 | 1,019.70 | 1.67 | 8.46 | 1,000.00 | 1,016.70 | 1.67 | 8.44 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,025.90 | 0.63 | 3.20 | 1,000.00 | 1,021.91 | 0.63 | 3.19 | |||||||||||||||||||||||||||
Class W | 1,000.00 | 1,024.60 | 0.67 | 3.40 | 1,000.00 | 1,021.71 | 0.67 | 3.40 | |||||||||||||||||||||||||||
ING High Yield Bond Fund | |||||||||||||||||||||||||||||||||||
Class A | 1,000.00 | 1,062.20 | 1.10 | 5.69 | 1,000.00 | 1,019.55 | 1.10 | 5.57 | |||||||||||||||||||||||||||
Class B | 1,000.00 | 1,058.20 | 1.85 | 9.55 | 1,000.00 | 1,015.79 | 1.85 | 9.35 | |||||||||||||||||||||||||||
Class C | 1,000.00 | 1,058.30 | 1.85 | 9.55 | 1,000.00 | 1,015.79 | 1.85 | 9.35 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,062.90 | 0.74 | 3.83 | 1,000.00 | 1,021.36 | 0.74 | 3.75 | |||||||||||||||||||||||||||
Class W | 1,000.00 | 1,064.40 | 0.85 | 4.40 | 1,000.00 | 1,020.81 | 0.85 | 4.31 |
* | Expenses are equal to each Fund’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 183/365 to reflect the most recent fiscal half-year. |
Actual Fund Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value April 1, 2012 | Ending Account Value September 30, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2012* | Beginning Account Value April 1, 2012 | Ending Account Value September 30, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2012* | ||||||||||||||||||||||||||||
ING Intermediate Bond Fund | |||||||||||||||||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,050.40 | 0.70 | % | $ | 3.60 | $ | 1,000.00 | $ | 1,021.56 | 0.70 | % | $ | 3.55 | |||||||||||||||||||
Class B | 1,000.00 | 1,046.50 | 1.45 | 7.44 | 1,000.00 | 1,017.80 | 1.45 | 7.33 | |||||||||||||||||||||||||||
Class C | 1,000.00 | 1,045.50 | 1.45 | 7.44 | 1,000.00 | 1,017.80 | 1.45 | 7.33 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,050.90 | 0.44 | 2.26 | 1,000.00 | 1,022.86 | 0.44 | 2.23 | |||||||||||||||||||||||||||
Class O | 1,000.00 | 1,050.40 | 0.70 | 3.60 | 1,000.00 | 1,021.56 | 0.70 | 3.55 | |||||||||||||||||||||||||||
Class R | 1,000.00 | 1,049.10 | 0.95 | 4.88 | 1,000.00 | 1,020.31 | 0.95 | 4.81 | |||||||||||||||||||||||||||
Class W | 1,000.00 | 1,052.00 | 0.45 | 2.31 | 1,000.00 | 1,022.81 | 0.45 | 2.28 |
* | Expenses are equal to each Fund’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 183/365 to reflect the most recent fiscal half-year. |
ING GNMA Income Fund | ING High Yield Bond Fund | ING Intermediate Bond Fund | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in securities at fair value+* | $ | 1,148,386,733 | $ | 148,007,281 | $ | 1,282,068,452 | ||||||||
Short-term investments at fair value** | — | 10,413,000 | 61,239,577 | |||||||||||
Total Investments at fair value | $ | 1,148,386,733 | $ | 158,420,281 | $ | 1,343,308,029 | ||||||||
Cash | 258,693,980 | 624 | 7,195,137 | |||||||||||
Cash collateral for futures | 1,912,507 | — | 1,390,354 | |||||||||||
Receivable for derivatives collateral (Note 2) | — | — | 2,230,000 | |||||||||||
Foreign currencies at value*** | — | 12,172 | 1,229,014 | |||||||||||
Receivables: | ||||||||||||||
Investments securities sold | 201 | 5,951,500 | 89,221,848 | |||||||||||
Investment securities sold on a delayed-delivery or when-issued basis | 180,599,816 | — | 144,841,596 | |||||||||||
Fund shares sold | 8,543,792 | 2,451,601 | 8,076,107 | |||||||||||
Dividends | — | 824 | 41,989 | |||||||||||
Interest | 3,716,869 | 2,980,001 | 6,990,402 | |||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 919,995 | |||||||||||
Upfront payments paid on OTC swap agreements | — | — | 298,343 | |||||||||||
Unrealized appreciation on OTC swap agreements | — | — | 130,076 | |||||||||||
Prepaid expenses | 65,925 | 32,469 | 52,317 | |||||||||||
Reimbursement due from manager | — | 2,828 | — | |||||||||||
Total assets | 1,601,919,823 | 169,852,300 | 1,605,925,207 | |||||||||||
LIABILITIES: | ||||||||||||||
Income distribution payable | — | 132,393 | 284,667 | |||||||||||
Payable for investment securities purchased | 13,775,394 | 13,473,057 | 94,391,033 | |||||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | 427,483,000 | — | 299,243,471 | |||||||||||
Payable for fund shares redeemed | 1,557,323 | 232,545 | 3,105,222 | |||||||||||
Payable upon receipt of securities loaned | — | — | 13,024,411 | |||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 2,816,976 | |||||||||||
Upfront payments received on OTC swap agreements | — | — | 334,411 | |||||||||||
Unrealized depreciation on OTC swap agreements | — | — | 1,679,953 | |||||||||||
Payable for investment management fees | 429,497 | 64,310 | 163,982 | |||||||||||
Payable for administrative fees | 92,990 | 12,610 | 96,460 | |||||||||||
Payable for shareholder service and distribution fees | 291,151 | 30,239 | 112,287 | |||||||||||
Payable for trustee fees | 5,277 | 717 | 4,940 | |||||||||||
Other accrued expenses and liabilities | 243,594 | 62,759 | 234,732 | |||||||||||
Total liabilities | 443,878,226 | 14,008,630 | 415,492,545 | |||||||||||
NET ASSETS | $ | 1,158,041,597 | $ | 155,843,670 | $ | 1,190,432,662 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||
Paid-in capital | $ | 1,104,958,027 | $ | 188,291,645 | $ | 1,271,589,392 | ||||||||
Undistributed (distributions in excess of) net investment income | (5,848,803 | ) | (93,910 | ) | 21,484,136 | |||||||||
Accumulated net realized gain (loss) | 10,593,575 | (40,203,407 | ) | (140,897,748 | ) | |||||||||
Net unrealized appreciation | 48,338,798 | 7,849,342 | 38,256,882 | |||||||||||
NET ASSETS | $ | 1,158,041,597 | $ | 155,843,670 | $ | 1,190,432,662 | ||||||||
_____________ | ||||||||||||||
+ Including securities loaned at value | $ | — | $ | — | $ | 12,768,325 | ||||||||
* Cost of investments in securities | $ | 1,099,551,232 | $ | 140,157,204 | $ | 1,239,923,408 | ||||||||
** Cost of short-term investments | $ | — | $ | 10,413,000 | $ | 61,195,892 | ||||||||
*** Cost of foreign currencies | $ | — | $ | 12,907 | $ | 1,205,609 |
ING GNMA Income Fund | ING High Yield Bond Fund | ING Intermediate Bond Fund | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class A | |||||||||||||||
Net assets | $ | 739,343,464 | $ | 85,076,431 | $ | 324,829,041 | |||||||||
Shares authorized | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||||||||
Shares outstanding | 80,864,143 | 10,604,748 | 31,730,783 | ||||||||||||
Net asset value and redemption price per share | $ | 9.14 | $ | 8.02 | $ | 10.24 | |||||||||
Maximum offering price per share (2.50%)(1) | $ | 9.37 | $ | 8.23 | $ | 10.50 | |||||||||
Class B | |||||||||||||||
Net assets | $ | 2,539,162 | $ | 1,968,325 | $ | 2,996,947 | |||||||||
Shares authorized | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||||||||
Shares outstanding | 279,290 | �� | 245,649 | 293,228 | |||||||||||
Net asset value and redemption price per share† | $ | 9.09 | $ | 8.01 | $ | 10.22 | |||||||||
Class C | |||||||||||||||
Net assets | $ | 173,480,925 | $ | 13,690,389 | $ | 36,154,969 | |||||||||
Shares authorized | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||||||||
Shares outstanding | 19,076,118 | 1,707,018 | 3,536,359 | ||||||||||||
Net asset value and redemption price per share† | $ | 9.09 | $ | 8.02 | $ | 10.22 | |||||||||
Class I | |||||||||||||||
Net assets | $ | 221,300,439 | $ | 50,542,743 | $ | 603,608,620 | |||||||||
Shares authorized | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||||||||
Shares outstanding | 24,172,353 | 6,310,169 | 58,984,410 | ||||||||||||
Net asset value and redemption price per share | $ | 9.16 | $ | 8.01 | $ | 10.23 | |||||||||
Class O | |||||||||||||||
Net assets | $ | n/a | $ | n/a | $ | 43,049,141 | |||||||||
Shares authorized | n/a | n/a | unlimited | ||||||||||||
Par value | $ | n/a | $ | n/a | $ | 0.001 | |||||||||
Shares outstanding | n/a | n/a | 4,203,564 | ||||||||||||
Net asset value and redemption price per share | $ | n/a | $ | n/a | $ | 10.24 | |||||||||
Class R | |||||||||||||||
Net assets | $ | n/a | $ | n/a | $ | 13,510,754 | |||||||||
Shares authorized | n/a | n/a | unlimited | ||||||||||||
Par value | $ | n/a | $ | n/a | $ | 0.001 | |||||||||
Shares outstanding | n/a | n/a | 1,317,938 | ||||||||||||
Net asset value and redemption price per share | $ | n/a | $ | n/a | $ | 10.25 | |||||||||
Class W | |||||||||||||||
Net assets | $ | 21,377,607 | $ | 4,565,782 | $ | 166,283,190 | |||||||||
Shares authorized | unlimited | unlimited | unlimited | ||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | |||||||||
Shares outstanding | 2,333,113 | 568,862 | 16,260,771 | ||||||||||||
Net asset value and redemption price per share | $ | 9.16 | $ | 8.03 | $ | 10.23 | |||||||||
_____________ | |||||||||||||||
(1) Maximum offering price is computed at 100/97.50 of net asset value. On purchases of $100,000 or more, the offering price is reduced. | |||||||||||||||
† Redemption price per share may be reduced for any applicable contingent deferred sales charges. |
ING GNMA Income Fund | ING High Yield Bond Fund | ING Intermediate Bond Fund | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Dividends | $ | — | $ | 5,102 | $ | 166,065 | ||||||||
Interest | 17,366,522 | 5,453,914 | 19,866,815 | |||||||||||
Securities lending income, net | — | — | 56,695 | |||||||||||
Total investment income | 17,366,522 | 5,459,016 | 20,089,575 | |||||||||||
EXPENSES: | ||||||||||||||
Investment management fees | 2,467,214 | 366,914 | 842,066 | |||||||||||
Distribution and service fees: | ||||||||||||||
Class A | 879,492 | 109,433 | 369,583 | |||||||||||
Class B | 14,471 | 10,489 | 17,293 | |||||||||||
Class C | 777,119 | 65,138 | 177,085 | |||||||||||
Class O | — | — | 53,299 | |||||||||||
Class R | — | — | 32,243 | |||||||||||
Transfer agent fees: | ||||||||||||||
Class A | 169,207 | 47,892 | 176,126 | |||||||||||
Class B | 720 | 1,130 | 2,069 | |||||||||||
Class C | 36,914 | 6,993 | 21,112 | |||||||||||
Class I | 13,670 | 602 | 254,203 | |||||||||||
Class O | — | — | 25,418 | |||||||||||
Class R | — | — | 7,684 | |||||||||||
Class W | 3,667 | 1,646 | 85,284 | |||||||||||
Administrative service fees | 529,219 | 71,943 | 495,332 | |||||||||||
Shareholder reporting expense | 31,730 | 8,553 | 38,540 | |||||||||||
Registration fees | 53,771 | 37,981 | 68,770 | |||||||||||
Professional fees | 60,911 | 9,151 | 42,383 | |||||||||||
Custody and accounting expense | 67,697 | 13,254 | 91,770 | |||||||||||
Trustee fees | 31,667 | 4,305 | 29,639 | |||||||||||
Miscellaneous expense | 32,109 | 868 | 6,311 | |||||||||||
Interest expense | — | 72 | 244 | |||||||||||
Total expenses | 5,169,578 | 756,364 | 2,836,454 | |||||||||||
Net recouped fees | — | 20,603 | — | |||||||||||
Net expenses | 5,169,578 | 776,967 | 2,836,454 | |||||||||||
Net investment income | 12,196,944 | 4,682,049 | 17,253,121 | |||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||
Net realized gain (loss) on: | ||||||||||||||
Investments | 15,468,151 | 1,106,691 | 11,224,025 | |||||||||||
Foreign currency related transactions | — | — | 1,082,875 | |||||||||||
Futures | (5,182,906 | ) | — | (1,989,342 | ) | |||||||||
Swaps | — | (252,291 | ) | (345,973 | ) | |||||||||
Written options | — | — | (1,841,518 | ) | ||||||||||
Net realized gain | 10,285,245 | 854,400 | 8,130,067 | |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||
Investments | 4,695,588 | 3,112,879 | 24,445,794 | |||||||||||
Foreign currency related transactions | — | (461 | ) | (147,200 | ) | |||||||||
Futures | (2,327,210 | ) | — | (454,851 | ) | |||||||||
Swaps | — | — | 1,124,096 | |||||||||||
Written options | — | — | (126,078 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 2,368,378 | 3,112,418 | 24,841,761 | |||||||||||
Net realized and unrealized gain | 12,653,623 | 3,966,818 | 32,971,828 | |||||||||||
Increase in net assets resulting from operations | $ | 24,850,567 | $ | 8,648,867 | $ | 50,224,949 |
ING GNMA Income Fund | ING High Yield Bond Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended September 30, 2012 | Year Ended March 31, 2012 | Six Months Ended September 30, 2012 | Year Ended March 31, 2012 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 12,196,944 | $ | 21,391,070 | $ | 4,682,049 | $ | 9,156,921 | |||||||||||
Net realized gain | 10,285,245 | 16,370,451 | 854,400 | 5,584,078 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 2,368,378 | 16,566,755 | 3,112,418 | (3,642,594 | ) | ||||||||||||||
Increase in net assets resulting from operations | 24,850,567 | 54,328,276 | 8,648,867 | 11,098,405 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class A | (12,290,911 | ) | (23,332,536 | ) | (2,852,140 | ) | (5,806,199 | ) | |||||||||||
Class B | (42,695 | ) | (205,679 | ) | (60,536 | ) | (202,844 | ) | |||||||||||
Class C | (2,132,346 | ) | (3,388,606 | ) | (375,783 | ) | (701,323 | ) | |||||||||||
Class I | (3,286,353 | ) | (3,755,417 | ) | (1,302,783 | ) | (2,484,636 | ) | |||||||||||
Class W | (283,358 | ) | (282,449 | ) | (104,837 | ) | (12,261 | ) | |||||||||||
Net realized gains: | |||||||||||||||||||
Class A | — | (759,067 | ) | — | — | ||||||||||||||
Class B | — | (4,732 | ) | — | — | ||||||||||||||
Class C | — | (152,779 | ) | — | — | ||||||||||||||
Class I | — | (148,809 | ) | — | — | ||||||||||||||
Class W | — | (11,773 | ) | — | — | ||||||||||||||
Total distributions | (18,035,663 | ) | (32,041,847 | ) | (4,696,079 | ) | (9,207,263 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 273,028,518 | 394,973,148 | 54,250,916 | 94,098,655 | |||||||||||||||
Reinvestment of distributions | 15,382,403 | 27,796,341 | 3,772,351 | 7,479,518 | |||||||||||||||
288,410,921 | 422,769,489 | 58,023,267 | 101,578,173 | ||||||||||||||||
Cost of shares redeemed | (117,680,883 | ) | (249,313,865 | ) | (45,752,518 | ) | (90,258,244 | ) | |||||||||||
Net increase in net assets resulting from capital share transactions | 170,730,038 | 173,455,624 | 12,270,749 | 11,319,929 | |||||||||||||||
Net increase in net assets | 177,544,942 | 195,742,053 | 16,223,537 | 13,211,071 | |||||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 980,496,655 | 784,754,602 | 139,620,133 | 126,409,062 | |||||||||||||||
End of year or period | $ | 1,158,041,597 | $ | 980,496,655 | $ | 155,843,670 | $ | 139,620,133 | |||||||||||
Distributions in excess of net investment income at end of year or period | $ | (5,848,803 | ) | $ | (10,084 | ) | $ | (93,910 | ) | $ | (79,880 | ) |
ING Intermediate Bond Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended September 30, 2012 | Year Ended March 31, 2012 | ||||||||||
FROM OPERATIONS: | |||||||||||
Net investment income | $ | 17,253,121 | $ | 32,151,907 | |||||||
Net realized gain | 8,130,067 | 44,250,448 | |||||||||
Net change in unrealized appreciation (depreciation) | 24,841,761 | (12,020,751 | ) | ||||||||
Increase in net assets resulting from operations | 50,224,949 | 64,381,604 | |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | — | — | |||||||||
Net investment income: | |||||||||||
Class A | (4,588,588 | ) | (13,736,906 | ) | |||||||
Class B | (39,262 | ) | (223,678 | ) | |||||||
Class C | (413,155 | ) | (1,233,602 | ) | |||||||
Class I | (8,003,267 | ) | (15,356,199 | ) | |||||||
Class O | (659,241 | ) | (1,866,285 | ) | |||||||
Class R | (184,271 | ) | (591,428 | ) | |||||||
Class W | (2,440,567 | ) | (2,854,338 | ) | |||||||
Total distributions | (16,328,351 | ) | (35,862,436 | ) | |||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||
Net proceeds from sale of shares | 427,570,544 | 288,283,900 | |||||||||
Reinvestment of distributions | 14,946,311 | 30,494,755 | |||||||||
442,516,855 | 318,778,655 | ||||||||||
Cost of shares redeemed | (112,919,792 | ) | (269,875,971 | ) | |||||||
Net increase in net assets resulting from capital share transactions | 329,597,063 | 48,902,684 | |||||||||
Net increase in net assets | 363,493,661 | 77,421,852 | |||||||||
NET ASSETS: | |||||||||||
Beginning of year or period | 826,939,001 | 749,517,149 | |||||||||
End of year or period | $ | 1,190,432,662 | $ | 826,939,001 | |||||||
Undistributed net investment income at end of year or period | $ | 21,484,136 | $ | 20,559,366 |
Income (loss) from investment operations | Less Distributions | Ratios to average net assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3) | | Expenses net of fee waivers and/or recoupments if any (2)(3) | | Expense 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 GNMA Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.09 | 0.11 | 0.10 | 0.21 | 0.16 | — | — | 0.16 | — | 9.14 | 2.34 | 0.92 | 0.92 | 0.92 | 2.37 | 739,343 | 133 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 8.84 | 0.23 | • | 0.37 | 0.60 | 0.34 | 0.01 | — | 0.35 | — | 9.09 | 6.87 | 0.93 | 0.93 | 0.93 | 2.58 | 681,900 | 335 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 8.75 | 0.32 | 0.13 | 0.45 | 0.36 | — | — | 0.36 | — | 8.84 | 5.26 | 0.93 | 0.93 | 0.93 | 3.63 | 593,080 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.71 | 0.33 | • | 0.07 | 0.40 | 0.36 | — | — | 0.36 | — | 8.75 | 4.68 | 0.94 | 0.94 | 0.94 | 3.83 | 589,813 | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 8.54 | 0.37 | 0.18 | 0.55 | 0.38 | — | — | 0.38 | — | 8.71 | 6.62 | 0.96 | 0.96 | 0.96 | 4.33 | 606,856 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.35 | 0.37 | 0.20 | 0.57 | 0.38 | — | — | 0.38 | — | 8.54 | 7.00 | 0.96 | 0.96 | 0.96 | 4.45 | 515,916 | 32 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.04 | 0.07 | • | 0.11 | 0.18 | 0.13 | — | — | 0.13 | — | 9.09 | 1.96 | 1.67 | 1.67 | 1.67 | 1.64 | 2,539 | 133 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 8.79 | 0.17 | • | 0.36 | 0.53 | 0.27 | 0.01 | — | 0.28 | — | 9.04 | 6.08 | 1.68 | 1.68 | 1.68 | 1.87 | 3,676 | 335 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 8.70 | 0.26 | • | 0.13 | 0.39 | 0.30 | — | — | 0.30 | — | 8.79 | 4.48 | 1.68 | 1.68 | 1.68 | 2.90 | 11,262 | 193 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.66 | 0.27 | • | 0.06 | 0.33 | 0.29 | — | — | 0.29 | — | 8.70 | 3.89 | 1.69 | 1.69 | 1.69 | 3.08 | 25,704 | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 8.49 | 0.30 | 0.18 | 0.48 | 0.31 | — | — | 0.31 | — | 8.66 | 5.86 | 1.71 | 1.71 | 1.71 | 3.57 | 38,718 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.30 | 0.31 | 0.19 | 0.50 | 0.31 | — | — | 0.31 | — | 8.49 | 6.24 | 1.71 | 1.71 | 1.71 | 3.70 | 45,963 | 32 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.04 | 0.08 | 0.10 | 0.18 | 0.13 | — | — | 0.13 | — | 9.09 | 1.97 | 1.67 | 1.67 | 1.67 | 1.61 | 173,481 | 133 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 8.79 | 0.16 | • | 0.37 | 0.53 | 0.27 | 0.01 | — | 0.28 | — | 9.04 | 6.12 | 1.68 | 1.68 | 1.68 | 1.82 | 138,543 | 335 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 8.71 | 0.25 | 0.13 | 0.38 | 0.30 | — | — | 0.30 | — | 8.79 | 4.38 | 1.68 | 1.68 | 1.68 | 2.88 | 104,196 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.67 | 0.27 | • | 0.06 | 0.33 | 0.29 | — | — | 0.29 | — | 8.71 | 3.92 | 1.69 | 1.69 | 1.69 | 3.09 | 103,103 | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 8.50 | 0.30 | 0.18 | 0.48 | 0.31 | — | — | 0.31 | — | 8.67 | 5.88 | 1.71 | 1.71 | 1.71 | 3.59 | 73,209 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.31 | 0.31 | 0.20 | 0.51 | 0.32 | — | — | 0.32 | — | 8.50 | 6.23 | 1.71 | 1.71 | 1.71 | 3.70 | 36,218 | 32 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.10 | 0.12 | • | 0.11 | 0.23 | 0.17 | — | — | 0.17 | — | 9.16 | 2.59 | 0.63 | 0.63 | 0.63 | 2.63 | 221,300 | 133 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 8.85 | 0.26 | • | 0.36 | 0.62 | 0.36 | 0.01 | — | 0.37 | — | 9.10 | 7.16 | 0.65 | 0.65 | 0.65 | 2.83 | 144,678 | 335 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 8.76 | 0.34 | 0.14 | 0.48 | 0.39 | — | — | 0.39 | — | 8.85 | 5.57 | 0.63 | 0.63 | 0.63 | 3.92 | 68,996 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.72 | 0.36 | • | 0.07 | 0.43 | 0.39 | — | — | 0.39 | — | 8.76 | 5.00 | 0.64 | 0.64 | 0.64 | 4.15 | 52,880 | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 8.55 | 0.39 | 0.18 | 0.57 | 0.40 | — | — | 0.40 | — | 8.72 | 6.95 | 0.65 | 0.65 | 0.65 | 4.64 | 38,908 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.35 | 0.40 | 0.20 | 0.60 | 0.40 | — | — | 0.40 | — | 8.55 | 7.42 | 0.67 | 0.67 | 0.67 | 4.74 | 21,002 | 32 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.11 | 0.12 | • | 0.10 | 0.22 | 0.17 | — | — | 0.17 | — | 9.16 | 2.46 | 0.67 | 0.67 | 0.67 | 2.59 | 21,378 | 133 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 8.86 | 0.26 | • | 0.36 | 0.62 | 0.36 | 0.01 | — | 0.37 | — | 9.11 | 7.12 | 0.68 | 0.68 | 0.68 | 2.83 | 11,700 | 335 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 8.77 | 0.35 | 0.13 | 0.48 | 0.39 | — | — | 0.39 | — | 8.86 | 5.51 | 0.68 | 0.68 | 0.68 | 3.88 | 7,221 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.73 | 0.36 | • | 0.06 | 0.42 | 0.38 | — | — | 0.38 | — | 8.77 | 4.97 | 0.66 | 0.66 | 0.66 | 4.15 | 8,204 | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 8.55 | 0.39 | 0.19 | 0.58 | 0.40 | — | — | 0.40 | — | 8.73 | 7.03 | 0.65 | 0.65 | 0.65 | 4.70 | 4,180 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-17-07(4)–03-31-08 | 8.39 | 0.11 | 0.15 | 0.26 | 0.10 | — | — | 0.10 | — | 8.55 | 3.16 | 0.64 | 0.64 | 0.64 | 4.86 | 1 | 32 | |||||||||||||||||||||||||||||||||||||||||||||||||||
ING High Yield Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 7.80 | 0.25 | 0.23 | 0.48 | 0.26 | — | — | 0.26 | — | 8.02 | 6.22 | 1.07 | 1.10 | 1.10 | 6.50 | 85,076 | 61 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 7.82 | 0.52 | (0.02 | ) | 0.50 | 0.52 | — | — | 0.52 | — | 7.80 | 6.72 | 1.14 | 1.10 | 1.10 | 6.73 | 98,123 | 100 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 7.38 | 0.56 | 0.45 | 1.01 | 0.55 | — | 0.02 | 0.57 | — | 7.82 | 14.22 | 1.13 | 1.10 | † | 1.10 | † | 7.43 | † | 86,017 | 87 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 5.52 | 0.62 | 1.89 | 2.51 | 0.63 | — | 0.02 | 0.65 | — | 7.38 | 46.88 | 1.24 | 1.10 | † | 1.10 | † | 9.17 | † | 83,034 | 103 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 7.89 | 0.62 | (2.32 | ) | (1.70 | ) | 0.54 | — | 0.13 | 0.67 | — | 5.52 | (22.36 | ) | 1.25 | 1.10 | † | 1.10 | † | 9.30 | † | 59,307 | 75 | |||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.99 | 0.67 | (1.10 | ) | (0.43 | ) | 0.67 | — | — | 0.67 | — | 7.89 | (5.10 | ) | 1.16 | 1.11 | † | 1.11 | † | 7.86 | † | 83,327 | 66 | |||||||||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 7.79 | 0.22 | 0.23 | 0.45 | 0.23 | — | — | 0.23 | — | 8.01 | 5.82 | 1.82 | 1.85 | 1.85 | 5.75 | 1,968 | 61 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 7.81 | 0.46 | (0.02 | ) | 0.44 | 0.46 | — | — | 0.46 | — | 7.79 | 5.89 | 1.89 | 1.85 | 1.85 | 6.00 | 2,370 | 100 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 7.37 | 0.51 | • | 0.44 | 0.95 | 0.49 | — | 0.02 | 0.51 | — | 7.81 | 13.35 | 1.88 | 1.85 | † | 1.85 | † | 6.74 | † | 6,864 | 87 | |||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 5.52 | 0.57 | 1.87 | 2.44 | 0.57 | — | 0.02 | 0.59 | — | 7.37 | 45.58 | 1.99 | 1.85 | † | 1.85 | † | 8.46 | † | 12,099 | 103 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 7.88 | 0.58 | (2.32 | ) | (1.74 | ) | 0.49 | — | 0.13 | 0.62 | — | 5.52 | (22.86 | ) | 2.00 | 1.85 | † | 1.85 | † | 8.38 | † | 12 | 75 | |||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.98 | 0.61 | (1.11 | ) | 0.50 | 0.60 | — | — | 0.60 | — | 7.88 | (5.82 | ) | 1.91 | 1.86 | † | 1.86 | † | 7.08 | † | 24,994 | 66 |
Income (loss) from investment operations | Less Distributions | Ratios to average net assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3) | | Expenses net of fee waivers and/or recoupments if any (2)(3) | | Expense 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 High Yield Bond Fund (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 7.80 | 0.23 | 0.22 | 0.45 | 0.23 | — | — | 0.23 | — | 8.02 | 5.83 | 1.82 | 1.85 | 1.85 | 5.75 | 13,690 | 61 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 7.81 | 0.46 | (0.01 | ) | 0.45 | 0.46 | — | — | 0.46 | — | 7.80 | 6.05 | 1.89 | 1.85 | 1.85 | 6.00 | 12,727 | 100 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 7.38 | 0.50 | 0.44 | 0.94 | 0.49 | — | 0.02 | 0.51 | — | 7.81 | 13.22 | 1.88 | 1.85 | † | 1.85 | † | 6.66 | † | 11,938 | 87 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 5.52 | 0.57 | 1.89 | 2.46 | 0.58 | — | 0.02 | 0.60 | — | 7.38 | 45.82 | 1.99 | 1.85 | † | 1.85 | † | 8.40 | † | 11,038 | 103 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 7.89 | 0.58 | (2.33 | ) | (1.75 | ) | 0.49 | — | 0.13 | 0.62 | — | 5.52 | (22.95 | ) | 2.00 | 1.85 | † | 1.85 | † | 8.57 | † | 7,101 | 75 | |||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.99 | 0.61 | (1.11 | ) | (0.50 | ) | 0.60 | — | — | 0.60 | — | 7.89 | (5.81 | ) | 1.91 | 1.86 | † | 1.86 | † | 7.09 | † | 9,987 | 66 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 7.80 | 0.27 | 0.21 | 0.48 | 0.27 | — | — | 0.27 | — | 8.01 | 6.29 | 0.71 | 0.74 | 0.74 | 6.82 | 50,543 | 61 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 7.81 | 0.55 | (0.01 | ) | 0.54 | 0.55 | — | — | 0.55 | — | 7.80 | 7.30 | 0.71 | 0.67 | 0.67 | 7.09 | 24,849 | 100 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 7.37 | 0.57 | • | 0.48 | 1.05 | 0.59 | — | 0.02 | 0.61 | — | 7.81 | 14.86 | 0.76 | 0.73 | † | 0.73 | † | 7.53 | † | 21,590 | 87 | |||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 5.51 | 0.64 | • | 1.90 | 2.54 | 0.66 | — | 0.02 | 0.68 | — | 7.37 | 47.55 | 0.92 | 0.78 | † | 0.78 | † | 8.99 | † | 1,582 | 103 | |||||||||||||||||||||||||||||||||||||||||||||||
07-31-08(4)–03-31-09 | 7.64 | 0.37 | • | (1.92 | ) | (1.55 | ) | 0.49 | — | 0.09 | 0.58 | — | 5.51 | (20.35 | ) | 0.95 | 0.80 | † | 0.80 | † | 9.61 | † | 2 | 75 | ||||||||||||||||||||||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 7.81 | 0.28 | 0.21 | 0.49 | 0.27 | — | — | 0.27 | — | 8.03 | 6.44 | 0.82 | 0.85 | 0.85 | 6.74 | 4,566 | 61 | |||||||||||||||||||||||||||||||||||||||||||||||||||
07-29-11(4)–03-31-12 | 7.82 | 0.36 | • | 0.07 | 0.43 | 0.44 | — | — | 0.44 | — | 7.81 | 5.77 | 0.89 | 0.85 | 0.85 | 6.93 | 1,552 | 100 | ||||||||||||||||||||||||||||||||||||||||||||||||||
ING Intermediate Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.90 | 0.17 | • | 0.33 | 0.50 | 0.16 | — | — | 0.16 | — | 10.24 | 5.04 | 0.70 | 0.70 | 0.70 | 3.38 | 324,829 | 245 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 9.53 | 0.38 | 0.42 | 0.80 | 0.43 | — | — | 0.43 | — | 9.90 | 8.61 | 0.68 | 0.68 | 0.68 | 3.99 | 293,277 | 500 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.23 | 0.47 | • | 0.26 | 0.73 | 0.43 | — | — | 0.43 | — | 9.53 | 8.00 | 0.68 | 0.68 | 0.68 | 4.97 | 316,000 | 384 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.31 | 0.45 | • | 1.09 | 1.54 | 0.62 | — | — | 0.62 | — | 9.23 | 18.95 | 0.71 | 0.69 | † | 0.69 | † | 5.04 | † | 348,871 | 540 | |||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.13 | 0.45 | (1.60 | ) | (1.15 | ) | 0.45 | 0.22 | — | 0.67 | — | 8.31 | (11.65 | ) | 0.72 | 0.70 | † | 0.70 | † | 4.84 | † | 471,185 | 674 | |||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.23 | 0.51 | (0.15 | ) | 0.36 | 0.46 | — | — | 0.46 | — | 10.13 | 3.61 | 0.73 | 0.69 | † | 0.69 | † | 4.98 | † | 799,369 | 435 | |||||||||||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.88 | 0.13 | • | 0.33 | 0.46 | 0.12 | — | — | 0.12 | — | 10.22 | 4.65 | 1.45 | 1.45 | 1.45 | 2.64 | 2,997 | 245 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 9.51 | 0.32 | • | 0.41 | 0.73 | 0.36 | — | — | 0.36 | — | 9.88 | 7.77 | 1.43 | 1.43 | 1.43 | 3.30 | 4,144 | 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.21 | 0.40 | • | 0.26 | 0.66 | 0.36 | — | — | 0.36 | — | 9.51 | 7.21 | 1.43 | 1.43 | 1.43 | 4.24 | 9,379 | 384 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.30 | 0.38 | • | 1.08 | 1.46 | 0.55 | — | — | 0.55 | — | 9.21 | 17.96 | 1.46 | 1.44 | † | 1.44 | † | 4.31 | † | 18,605 | 540 | |||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.11 | 0.38 | (1.59 | ) | (1.21 | ) | 0.38 | 0.22 | — | 0.60 | — | 8.30 | (12.26 | ) | 1.47 | 1.45 | † | 1.45 | † | 4.08 | † | 23,721 | 674 | |||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.21 | 0.43 | (0.14 | ) | 0.29 | 0.39 | — | — | 0.39 | — | 10.11 | 2.84 | 1.48 | 1.44 | † | 1.44 | † | 4.26 | † | 41,078 | 435 | |||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.89 | 0.13 | 0.32 | 0.45 | 0.12 | — | — | 0.12 | — | 10.22 | 4.55 | 1.45 | 1.45 | 1.45 | 2.63 | 36,155 | 245 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 9.52 | 0.32 | 0.41 | 0.73 | 0.36 | — | — | 0.36 | — | 9.89 | 7.78 | 1.43 | 1.43 | 1.43 | 3.22 | 35,256 | 500 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.22 | 0.40 | • | 0.26 | 0.66 | 0.36 | — | — | 0.36 | — | 9.52 | 7.21 | 1.43 | 1.43 | 1.43 | 4.22 | 33,994 | 384 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.30 | 0.38 | • | 1.09 | 1.47 | 0.55 | — | — | 0.55 | — | 9.22 | 18.08 | 1.46 | 1.44 | † | 1.44 | † | 4.31 | † | 45,016 | 540 | |||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.12 | 0.38 | (1.60 | ) | (1.22 | ) | 0.38 | 0.22 | — | 0.60 | — | 8.30 | (12.35 | ) | 1.47 | 1.45 | † | 1.45 | † | 4.08 | † | 53,534 | 674 | |||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.22 | 0.43 | (0.14 | ) | 0.29 | 0.39 | — | — | 0.39 | — | 10.12 | 2.85 | 1.48 | 1.44 | † | 1.44 | † | 4.24 | † | 83,232 | 435 | |||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.90 | 0.18 | • | 0.32 | 0.50 | 0.17 | — | — | 0.17 | — | 10.23 | 5.09 | 0.44 | 0.44 | 0.44 | 3.60 | 603,609 | 245 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 9.53 | 0.41 | 0.42 | 0.83 | 0.46 | — | — | 0.46 | — | 9.90 | 8.90 | 0.40 | 0.40 | 0.40 | 4.26 | 331,423 | 500 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.23 | 0.50 | 0.26 | 0.76 | 0.46 | — | — | 0.46 | — | 9.53 | 8.35 | 0.38 | 0.38 | 0.38 | 5.25 | 332,193 | 384 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.31 | 0.48 | • | 1.09 | 1.57 | 0.65 | — | — | 0.65 | — | 9.23 | 19.33 | 0.39 | 0.37 | † | 0.37 | † | 5.37 | † | 316,209 | 540 | |||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.14 | 0.48 | (1.61 | ) | (1.13 | ) | 0.48 | 0.22 | — | 0.70 | — | 8.31 | (11.42 | ) | 0.39 | 0.37 | † | 0.37 | † | 5.17 | † | 362,162 | 674 | |||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.23 | 0.54 | (0.13 | ) | 0.41 | 0.50 | — | — | 0.50 | — | 10.14 | 4.05 | 0.39 | 0.35 | † | 0.38 | † | 5.31 | † | 351,575 | 435 |
Income (loss) from investment operations | Less Distributions | Ratios to average net assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3) | | Expenses net of fee waivers and/or recoupments if any (2)(3) | | Expense 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 Intermediate Bond Fund (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class O | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.90 | 0.18 | 0.32 | 0.50 | 0.16 | — | — | 0.16 | — | 10.24 | 5.04 | 0.70 | 0.70 | 0.70 | 3.38 | 43,049 | 245 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 9.54 | 0.39 | 0.40 | 0.79 | 0.43 | — | — | 0.43 | — | 9.90 | 8.49 | 0.68 | 0.68 | 0.68 | 3.98 | 42,500 | 500 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.24 | 0.47 | • | 0.26 | 0.73 | 0.43 | — | — | 0.43 | — | 9.54 | 8.00 | 0.68 | 0.68 | 0.68 | 4.96 | 41,335 | 384 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.32 | 0.46 | • | 1.08 | 1.54 | 0.62 | — | — | 0.62 | — | 9.24 | 18.94 | 0.71 | 0.69 | † | 0.69 | † | 5.09 | † | 41,860 | 540 | |||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.14 | 0.45 | (1.60 | ) | (1.15 | ) | 0.45 | 0.22 | — | 0.67 | — | 8.32 | (11.62 | ) | 0.72 | 0.70 | † | 0.70 | † | 4.84 | † | 39,188 | 674 | |||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.24 | 0.51 | (0.15 | ) | 0.36 | 0.46 | — | — | 0.46 | — | 10.14 | 3.61 | 0.73 | 0.69 | † | 0.69 | † | 4.99 | † | 55,956 | 435 | |||||||||||||||||||||||||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.91 | 0.14 | 0.34 | 0.48 | 0.14 | — | — | 0.14 | — | 10.25 | 4.91 | 0.95 | 0.95 | 0.95 | 3.14 | 13,511 | 245 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 9.54 | 0.35 | 0.43 | 0.78 | 0.41 | — | — | 0.41 | — | 9.91 | 8.33 | 0.93 | 0.93 | 0.93 | 3.73 | 12,323 | 500 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.24 | 0.45 | • | 0.25 | 0.70 | 0.40 | — | — | 0.40 | — | 9.54 | 7.72 | 0.93 | 0.93 | 0.93 | 4.72 | 14,339 | 384 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.32 | 0.43 | • | 1.09 | 1.52 | 0.60 | — | — | 0.60 | — | 9.24 | 18.64 | 0.96 | 0.94 | † | 0.94 | † | 4.83 | † | 18,417 | 540 | |||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.15 | 0.43 | (1.61 | ) | (1.18 | ) | 0.43 | 0.22 | — | 0.65 | — | 8.32 | (11.93 | ) | 0.97 | 0.95 | † | 0.95 | † | 4.59 | † | 18,240 | 674 | |||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.25 | 0.48 | (0.14 | ) | 0.34 | 0.44 | — | — | 0.44 | — | 10.15 | 3.36 | 0.98 | 0.94 | † | 0.94 | † | 4.65 | † | 16,773 | 435 | |||||||||||||||||||||||||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 9.89 | 0.18 | • | 0.33 | 0.51 | 0.17 | — | — | 0.17 | — | 10.23 | 5.20 | 0.45 | 0.45 | 0.45 | 3.62 | 166,283 | 245 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 9.52 | 0.40 | • | 0.53 | 0.93 | 0.56 | — | — | 0.56 | — | 9.89 | 10.09 | 0.43 | 0.43 | 0.43 | 4.17 | 108,016 | 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.22 | 0.48 | 0.27 | 0.75 | 0.45 | — | — | 0.45 | — | 9.52 | 8.29 | 0.43 | 0.43 | 0.43 | 5.21 | 2,276 | 384 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.31 | 0.48 | • | 1.08 | 1.56 | 0.65 | — | — | 0.65 | — | 9.22 | 19.15 | 0.42 | 0.40 | † | 0.40 | † | 5.42 | † | 2,087 | 540 | |||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.12 | 0.45 | (1.53 | ) | (1.08 | ) | 0.51 | 0.22 | — | 0.73 | — | 8.31 | (11.03 | ) | 0.39 | 0.37 | † | 0.37 | † | 5.09 | † | 2,079 | 674 | |||||||||||||||||||||||||||||||||||||||||||||
12-17-07(4)–03-31-08 | 10.21 | 0.15 | (0.05 | ) | 0.10 | 0.19 | — | — | 0.19 | — | 10.12 | 0.98 | 0.48 | 0.44 | † | 0.44 | † | 5.24 | † | 443 | 435 |
(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 excluding the deduction of sales 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 Fund. Expenses before reductions/additions do not reflect amounts reimbursed by the 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 Fund 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 Fund. 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. |
time at which the market for foreign securities held by a Fund closes but before the time that a Fund’s NAV is calculated, such event may cause the closing price on the foreign exchange to not represent a readily available reliable market value quotation for such securities at the time a Fund determines its NAV. In such a case, a Fund will use the fair value of such securities as determined under a Fund’s valuation procedures. Events after the close of trading on a foreign market that could require a Fund to fair value some or all of its foreign securities include, among others, securities trading in the U.S. and other markets, corporate announcements, natural and other disasters, and political and other events. Among other elements of analysis in the determination of a security’s fair value, the Board has authorized the use of one or more independent research services to assist with such determinations. An independent research service may use statistical analyses and quantitative models to help determine fair value as of the time a Fund calculates its NAV. There can be no assurance that such models accurately reflect the behavior of the applicable markets or the effect of the behavior of such markets on the fair value of securities, or that such markets will continue to behave in a fashion that is consistent with such models. Unlike the closing price of a security on an exchange, fair value determinations employ elements of judgment. Consequently, the fair value assigned to a security may not represent the actual value that a Fund could obtain if it were to sell the security at the time of the close of the New York Stock Exchange (“NYSE”). Pursuant to procedures adopted by the Board, a Fund is not obligated to use the fair valuations suggested by any research service, and valuation recommendations provided by such research services may be overridden if other events have occurred or if other fair valuations are determined in good faith to be more accurate. Unless an event is such that it causes a Fund to determine that the closing prices for one or more securities do not represent readily available reliable fair value quotations at the time a Fund determines its NAV, events that occur between the time of the close of the foreign market on which they are traded and the close of regular trading on the NYSE will not be reflected in a Fund’s NAV.
(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. |
will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Funds. Credit related contingent features are established between the Funds and their derivatives counterparties to reduce the risk that the Funds will not fulfill their payment obligations to their counterparties. These triggering features include, but are not limited to, a percentage decrease in the Funds’ net assets and or a percentage decrease in the Funds’ NAV, which could cause the Funds to accelerate payment of any net liability owed to the counterparty. The contingent features are established within the Funds’ Master Agreements.
agreements are reported following each Fund’s Summary Portfolio of Investments.
referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting fair values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
High Yield Bond | $ | 94,492,769 | $ | 83,421,822 | ||||||
Intermediate Bond | 753,977,235 | 497,866,752 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | $ | 1,568,654,185 | $ | 1,429,542,195 | ||||||
Intermediate Bond | 2,250,997,176 | 2,064,355,375 |
Class A | Class B | Class C | Class O | Class R | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | 0.25 | % | 1.00 | % | 1.00 | % | N/A | N/A | ||||||||||||||
High Yield Bond | 0.25 | % | 1.00 | % | 1.00 | % | N/A | N/A | ||||||||||||||
Intermediate Bond | 0.25 | % | 1.00 | % | 1.00 | % | 0.25 | % | 0.50 | % |
Initial Sales Charges: | Class A | Class C | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | $ | 72,021 | $ | — | ||||||
High Yield Bond | 4,485 | — | ||||||||
Intermediate Bond | 5,524 | — |
Contingent Deferred Sales Charges: | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | $ | — | $ | 6,168 | ||||||
High Yield Bond | — | 10 | ||||||||
Intermediate Bond | 52 | 1,456 |
Affiliated Investment Company/Subsidiary | Fund | Percentage | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
ING Capital Allocation Fund | High Yield Bond | 7.68 | % | |||||||
ING Global Target Payment Fund | High Yield Bond | 5.56 | % | |||||||
ING Life Insurance and Annuity Company | GNMA Income | 14.95 | % | |||||||
Intermediate Bond | 11.88 | % | ||||||||
ING National Trust | GNMA Income | 16.86 | % | |||||||
Intermediate Bond | 6.66 | % | ||||||||
ING Solution 2015 Portfolio | Intermediate Bond | 5.74 | % | |||||||
ING Strategic Allocation Conservative Portfolio | High Yield Bond | 5.02 | % |
Fund | Class A | Class B | Class C | Class I | Class O | Class R | Class W | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | 0.97 | % | 1.72 | % | 1.72 | % | 0.67 | % | N/A | N/A | 0.72 | % | ||||||||||||||||||
High Yield Bond | 1.10 | % | 1.85 | % | 1.85 | % | 0.85 | % | N/A | N/A | 0.85 | % | ||||||||||||||||||
Intermediate Bond | 0.75 | % | 1.50 | % | 1.50 | % | 0.50 | % | 0.75 | % | 1.00 | % | 0.50 | % |
Investment Adviser are reflected on the accompanying Statements of Assets and Liabilities for each Fund.
September 30, | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2013 | 2014 | 2015 | Total | ||||||||||||||||
High Yield Bond | $ | 90,064 | $ | 32,931 | $ | 48,117 | $ | 171,112 |
Fund | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
High Yield Bond | 1 | $ | 2,035,000 | 1.30 | % | |||||||||
Intermediate Bond | 8 | 921,250 | 1.21 |
Number of Contracts | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/12 | — | — | ||||||||
Options Purchased | 59,375,000 | $ | 225,625 | |||||||
Options Terminated in Closing Sell Transactions | — | — | ||||||||
Options Exercised | — | — | ||||||||
Options Expired | — | — | ||||||||
Balance at 09/30/12 | 59,375,000 | $ | 225,625 |
Notional Amount | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/12 | 19,600,000 | $ | 156,800 | |||||||
Options Purchased | 77,700,000 | 525,829 | ||||||||
Options Terminated in Closing Sell Transactions | (29,800,000 | ) | (226,220 | ) | ||||||
Options Exercised | — | — | ||||||||
Options Expired | (67,500,000 | ) | (456,409 | ) | ||||||
Balance at 09/30/12 | — | $ | — |
Notional Amount | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/12 | 40,180,000 | $ | 754,159 | |||||||
Options Purchased | 32,145,000 | 1,085,490 | ||||||||
Options Terminated in Closing Sell Transactions | (40,180,000 | ) | (754,159 | ) | ||||||
Options Exercised | — | — | ||||||||
Options Expired | (32,145,000 | ) | (1,085,490 | ) | ||||||
Balance at 09/30/12 | — | $ | — |
Notional Amount | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/12 | 19,600,000 | $ | 151,078 | |||||||
Options Written | 77,700,000 | 264,791 | ||||||||
Options Terminated in Closing Purchase Transactions | (29,800,000 | ) | (222,296 | ) | ||||||
Options Exercised | — | — | ||||||||
Options Expired | (67,500,000 | ) | (193,573 | ) | ||||||
Balance at 09/30/12 | — | $ | — |
Notional Amount | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/12 | — | $ | — | |||||||
Options Written | 32,145,000 | 546,460 | ||||||||
Options Terminated in Closing Purchase Transactions | (32,145,000 | ) | (546,460 | ) | ||||||
Options Exercised | — | — | ||||||||
Options Expired | — | — | ||||||||
Balance at 09/30/12 | — | $ | — |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||
GNMA Income | |||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 12,569,515 | — | 1,193,679 | (7,945,189 | ) | 5,818,005 | 114,408,321 | — | 10,845,575 | (72,252,332 | ) | 53,001,564 | |||||||||||||||||||||||||||||||
3/31/2012 | 24,514,742 | — | 2,375,996 | (18,954,717 | ) | 7,936,021 | 221,856,424 | — | 21,423,816 | (171,310,378 | ) | 71,969,862 | |||||||||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 14,012 | — | 3,669 | (145,274 | ) | (127,593 | ) | 126,922 | — | 33,167 | (1,312,693 | ) | (1,152,604 | ) | |||||||||||||||||||||||||||||
3/31/2012 | 37,213 | — | 18,726 | (930,578 | ) | (874,639 | ) | 335,404 | — | 167,427 | (8,308,133 | ) | (7,805,302 | ) | |||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 5,105,129 | — | 183,955 | (1,539,559 | ) | 3,749,525 | 46,233,699 | — | 1,663,844 | (13,943,070 | ) | 33,954,473 | |||||||||||||||||||||||||||||||
3/31/2012 | 5,764,855 | — | 293,474 | (2,580,225 | ) | 3,478,104 | 51,973,193 | — | 2,635,071 | (23,168,192 | ) | 31,440,072 | |||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 10,899,462 | — | 283,494 | (2,912,346 | ) | 8,270,610 | 99,341,536 | — | 2,579,044 | (26,551,319 | ) | 75,369,261 | |||||||||||||||||||||||||||||||
3/31/2012 | 12,189,352 | — | 364,066 | (4,449,136 | ) | 8,104,282 | 110,555,426 | — | 3,289,782 | (40,299,123 | ) | 73,546,085 | |||||||||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 1,416,375 | — | 28,637 | (396,790 | ) | 1,048,222 | 12,918,040 | — | 260,773 | (3,621,469 | ) | 9,557,344 | |||||||||||||||||||||||||||||||
3/31/2012 | 1,128,864 | — | 31,026 | (690,349 | ) | 469,541 | 10,252,700 | — | 280,245 | (6,228,039 | ) | 4,304,906 | |||||||||||||||||||||||||||||||
High Yield Bond | |||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 830,087 | — | 267,489 | (3,066,883 | ) | (1,969,307 | ) | 6,499,712 | — | 2,100,661 | (23,800,172 | ) | (15,199,799 | ) | |||||||||||||||||||||||||||||
3/31/2012 | 5,429,446 | — | 569,801 | (4,429,121 | ) | 1,570,126 | 41,242,516 | — | 4,362,523 | (33,773,850 | ) | 11,831,189 | |||||||||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 2,480 | — | 6,071 | (66,945 | ) | (58,394 | ) | 19,366 | — | 47,608 | (522,771 | ) | (455,797 | ) | |||||||||||||||||||||||||||||
3/31/2012 | 30,242 | — | 20,536 | (625,689 | ) | (574,911 | ) | 230,699 | — | 157,258 | (4,827,850 | ) | (4,439,893 | ) | |||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 234,455 | — | 31,273 | (190,006 | ) | 75,722 | 1,835,672 | — | 245,660 | (1,486,654 | ) | 594,678 | |||||||||||||||||||||||||||||||
3/31/2012 | 407,936 | — | 64,710 | (368,990 | ) | 103,656 | 3,142,134 | — | 494,993 | (2,823,460 | ) | 813,667 | |||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 5,447,626 | — | 161,994 | (2,486,959 | ) | 3,122,661 | 42,563,269 | — | 1,273,585 | (19,404,391 | ) | 24,432,463 | |||||||||||||||||||||||||||||||
3/31/2012 | 6,417,691 | — | 320,569 | (6,314,003 | ) | 424,257 | 47,915,561 | — | 2,452,620 | (48,795,651 | ) | 1,572,530 | |||||||||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 425,644 | — | 13,295 | (68,799 | ) | 370,140 | 3,332,897 | — | 104,837 | (538,530 | ) | 2,899,204 | |||||||||||||||||||||||||||||||
7/29/2011(1)–3/31/2012 | 202,028 | — | 1,552 | (4,858 | ) | 198,722 | 1,567,745 | — | 12,123 | (37,433 | ) | 1,542,435 | |||||||||||||||||||||||||||||||
Intermediate Bond | |||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 5,121,065 | — | 416,145 | (3,434,016 | ) | 2,103,194 | 51,758,568 | — | 4,204,571 | (34,456,564 | ) | 21,506,575 | |||||||||||||||||||||||||||||||
3/31/2012 | 6,561,524 | — | 1,296,044 | (11,379,209 | ) | (3,521,641 | ) | 63,697,285 | — | 12,600,909 | (110,525,656 | ) | (34,227,462 | ) | |||||||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 15,269 | — | 3,024 | (144,410 | ) | (126,117 | ) | 153,188 | — | 30,486 | (1,445,971 | ) | (1,262,297 | ) | |||||||||||||||||||||||||||||
3/31/2012 | 54,776 | — | 17,362 | (638,746 | ) | (566,608 | ) | 531,835 | — | 168,218 | (6,191,473 | ) | (5,491,420 | ) | |||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 362,565 | — | 29,460 | (422,097 | ) | (30,072 | ) | 3,645,935 | — | 297,343 | (4,232,664 | ) | (289,386 | ) | |||||||||||||||||||||||||||||
3/31/2012 | 853,505 | — | 88,646 | (947,245 | ) | (5,094 | ) | 8,317,392 | — | 860,583 | (9,202,857 | ) | (24,882 | ) | |||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 29,085,941 | — | 766,989 | (4,353,997 | ) | 25,498,933 | 292,494,575 | — | 7,762,013 | (43,925,974 | ) | 256,330,614 | |||||||||||||||||||||||||||||||
3/31/2012 | 9,644,301 | — | 1,364,634 | (12,378,499 | ) | (1,369,564 | ) | 94,381,732 | — | 13,271,296 | (120,165,741 | ) | (12,512,713 | ) | |||||||||||||||||||||||||||||
Class O | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 181,367 | — | 5,773 | (275,386 | ) | (88,246 | ) | 1,824,744 | — | 58,329 | (2,764,261 | ) | (881,188 | ) | |||||||||||||||||||||||||||||
3/31/2012 | 476,284 | — | 17,313 | (536,344 | ) | (42,747 | ) | 4,640,739 | — | 168,443 | (5,228,316 | ) | (419,134 | ) | |||||||||||||||||||||||||||||
Class R | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 291,278 | — | 18,213 | (234,645 | ) | 74,846 | 2,939,534 | — | 184,271 | (2,374,817 | ) | 748,988 | |||||||||||||||||||||||||||||||
3/31/2012 | 608,390 | — | 60,759 | (928,354 | ) | (259,205 | ) | 5,915,026 | — | 591,378 | (9,011,314 | ) | (2,504,910 | ) | |||||||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||||||||||
9/30/2012 | 7,467,569 | — | 238,682 | (2,369,062 | ) | 5,337,189 | 74,754,000 | �� | — | 2,409,298 | (23,719,541 | ) | 53,443,757 | ||||||||||||||||||||||||||||||
3/31/2012 | 11,373,799 | — | 290,877 | (980,106 | ) | 10,684,570 | 110,799,889 | — | 2,833,928 | (9,550,614 | ) | 104,083,203 |
(1) | Commencement of operations. |
Fund | Security | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Intermediate Bond | Greater Ohio Ethanol, LLC, 6.301%, due 12/31/13 | $ | — | |||||||
Greater Ohio Ethanol, LLC, 12.630%, due 12/31/13 | — |
Six Months Ended September 30, 2012 | Year Ended March 31, 2012 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Ordinary Income | Long-term Capital Gain | ||||||||||||||||
GNMA Income | $ | 18,035,663 | $ | 30,964,687 | $ | 1,077,160 | ||||||||||||
High Yield Bond | 4,696,079 | 9,207,263 | — | |||||||||||||||
Intermediate Bond | 16,328,351 | 35,862,436 | — |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Unrealized Appreciation/ (Depreciation) | Short-term Capital Loss Carryforwards | Expiration | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | $ | 2,736,628 | $ | 2,141,445 | $ | 41,400,677 | $ | — | — | |||||||||||||
High Yield Bond | 97,691 | — | 4,730,587 | (126,079 | ) | 2014 | ||||||||||||||||
(16,938,959 | ) | 2015 | ||||||||||||||||||||
(9,006,267 | ) | 2017 | ||||||||||||||||||||
(14,980,165 | ) | 2018 | ||||||||||||||||||||
$ | (41,051,470 | ) | ||||||||||||||||||||
Intermediate Bond | 18,766,276 | — | 14,714,859 | (148,289,915 | ) | 2018 |
Fund | Value of Securities Loaned | Cash Collateral Received | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Intermediate Bond | $ | 12,768,325 | $ | 13,024,411 |
Per Share Amount | Payable Date | Record Date | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | |||||||||||||||
Class A | $ | 0.0247 | October 2, 2012 | September 28, 2012 | |||||||||||
Class B | $ | 0.0189 | October 2, 2012 | September 28, 2012 | |||||||||||
Class C | $ | 0.0190 | October 2, 2012 | September 28, 2012 | |||||||||||
Class I | $ | 0.0267 | October 2, 2012 | September 28, 2012 | |||||||||||
Class W | $ | 0.0266 | October 2, 2012 | September 28, 2012 | |||||||||||
Class A | $ | 0.0247 | November 2, 2012 | October 31, 2012 | |||||||||||
Class B | $ | 0.0189 | November 2, 2012 | October 31, 2012 | |||||||||||
Class C | $ | 0.0191 | November 2, 2012 | October 31, 2012 | |||||||||||
Class I | $ | 0.0267 | November 2, 2012 | October 31, 2012 | |||||||||||
Class W | $ | 0.0266 | November 2, 2012 | October 31, 2012 | |||||||||||
High Yield Bond | |||||||||||||||
Class A | $ | 0.0414 | November 1, 2012 | Daily | |||||||||||
Class B | $ | 0.0362 | November 1, 2012 | Daily | |||||||||||
Class C | $ | 0.0362 | November 1, 2012 | Daily | |||||||||||
Class I | $ | 0.0441 | November 1, 2012 | Daily | |||||||||||
Class W | $ | 0.0433 | November 1, 2012 | Daily | |||||||||||
Intermediate Bond | |||||||||||||||
Class A | $ | 0.0265 | November 1, 2012 | Daily | |||||||||||
Class B | $ | 0.0199 | November 1, 2012 | Daily | |||||||||||
Class C | $ | 0.0199 | November 1, 2012 | Daily | |||||||||||
Class I | $ | 0.0290 | November 1, 2012 | Daily | |||||||||||
Class O | $ | 0.0265 | November 1, 2012 | Daily | |||||||||||
Class R | $ | 0.0243 | November 1, 2012 | Daily | |||||||||||
Class W | $ | 0.0288 | November 1, 2012 | Daily |
ING GNMA INCOME FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.1% | |||||||||||||||||||
952,124 | Vendee Mortgage Trust, 3.750%, 10/15/41 | $ | 1,053,335 | 0.1 | |||||||||||||||
Total Collateralized Mortgage Obligations | |||||||||||||||||||
(Cost $1,016,976) | 1,053,335 | 0.1 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 96.9% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 3.4%## | |||||||||||||||||||
10,173,539 | 6.000%, due 04/15/36 | 11,929,563 | 1.0 | ||||||||||||||||
5,539,975 | 27.717%, due 04/15/32 | 7,870,183 | 0.7 | ||||||||||||||||
39,375,136 | ˆ | 0.500%–21.165%, due 11/01/14–05/01/38 | 19,942,145 | 1.7 | |||||||||||||||
39,741,891 | 3.4 | ||||||||||||||||||
Federal National Mortgage Association: 7.9%## | |||||||||||||||||||
4,957,724 | 3.500%, due 06/25/41 | 5,229,833 | 0.5 | ||||||||||||||||
15,348,311 | 4.500%, due 09/01/41 | 16,699,340 | 1.4 | ||||||||||||||||
29,816,189 | 4.500%, due 09/01/41 | 32,440,748 | 2.8 | ||||||||||||||||
15,490,302 | 4.598%, due 11/25/33 | 15,999,692 | 1.4 | ||||||||||||||||
4,877,551 | 6.000%, due 06/25/29 | 5,513,465 | 0.5 | ||||||||||||||||
12,925,975 | 5.000%–8.500%, due 06/01/14–12/25/45 | 14,989,676 | 1.3 | ||||||||||||||||
90,872,754 | 7.9 | ||||||||||||||||||
Government National Mortgage Association: 85.6% | |||||||||||||||||||
19,933,019 | 0.609%, due 07/20/41 | 20,049,039 | 1.7 | ||||||||||||||||
12,984,666 | 0.739%, due 04/20/40 | 13,121,518 | 1.1 | ||||||||||||||||
5,619,335 | 0.869%, due 04/20/40 | 5,703,153 | 0.5 | ||||||||||||||||
21,239,454 | 0.869%, due 06/20/40 | 21,270,506 | 1.8 | ||||||||||||||||
16,348,787 | 0.921%, due 01/16/40 | 16,627,705 | 1.4 | ||||||||||||||||
97,002,926 | ˆ | 1.064%, due 01/16/51 | 4,729,892 | 0.4 | |||||||||||||||
4,800,857 | 1.169%, due 09/20/38 | 4,914,318 | 0.4 | ||||||||||||||||
16,766,271 | 1.259%, due 03/20/39 | 17,129,898 | 1.5 | ||||||||||||||||
12,700,000 | W | 3.000%, due 07/15/42 | 13,565,187 | 1.2 | |||||||||||||||
87,900,000 | W | 3.500%, due 02/15/41 | 96,071,949 | 8.3 | |||||||||||||||
90,000,000 | 3.500%, due 07/20/42 | 98,465,616 | 8.5 | ||||||||||||||||
33,000,000 | W | 4.000%, due 11/15/39 | 36,320,625 | 3.1 | |||||||||||||||
5,000,000 | 4.000%, due 06/20/41 | 5,504,687 | 0.5 | ||||||||||||||||
15,111,611 | 4.000%, due 07/20/41 | 16,610,458 | 1.4 | ||||||||||||||||
18,349,141 | 4.000%, due 02/20/42 | 20,223,375 | 1.8 | ||||||||||||||||
36,000,000 | 4.000%, due 09/20/42 | 39,677,143 | 3.4 | ||||||||||||||||
4,761,000 | 4.500%, due 05/20/39 | 5,455,668 | 0.5 | ||||||||||||||||
4,638,144 | 4.500%, due 08/20/40 | 5,044,169 | 0.4 | ||||||||||||||||
17,252,840 | 4.500%, due 09/20/41 | 19,154,503 | 1.7 | ||||||||||||||||
12,449,467 | 4.660%, due 09/20/61 | 14,610,252 | 1.3 | ||||||||||||||||
4,364,651 | 4.861%, due 06/20/61 | 4,976,983 | 0.4 | ||||||||||||||||
5,775,400 | 5.000%, due 04/20/30 | 6,302,534 | 0.5 | ||||||||||||||||
4,898,521 | 5.000%, due 10/20/34 | 5,871,531 | 0.5 | ||||||||||||||||
4,633,510 | 5.000%, due 01/20/39 | 4,925,483 | 0.4 | ||||||||||||||||
4,266,547 | 5.000%, due 11/15/39 | 4,733,391 | 0.4 | ||||||||||||||||
4,220,138 | 5.000%, due 12/20/39 | 4,706,207 | 0.4 | ||||||||||||||||
36,300,518 | 5.000%, due 05/20/40 | 43,112,528 | 3.7 | ||||||||||||||||
5,923,910 | 5.000%, due 07/20/41 | 6,573,895 | 0.6 | ||||||||||||||||
8,100,000 | 5.250%, due 01/20/38 | 9,563,435 | 0.8 | ||||||||||||||||
6,747,215 | 5.359%, due 02/20/38 | 7,648,104 | 0.7 | ||||||||||||||||
13,683,933 | 5.473%, due 01/20/60 | 15,719,507 | 1.4 | ||||||||||||||||
4,177,054 | 5.500%, due 03/16/34 | 5,114,197 | 0.4 | ||||||||||||||||
9,448,598 | 5.500%, due 12/16/35 | 11,578,661 | 1.0 | ||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Government National Mortgage Association: (continued) | |||||||||||||||||||
5,466,971 | 5.500%, due 11/20/37 | $ | 6,365,826 | 0.6 | |||||||||||||||
10,800,000 | 5.750%, due 07/20/38 | 12,223,418 | 1.1 | ||||||||||||||||
5,454,169 | 5.950%, due 02/15/44 | 5,937,147 | 0.5 | ||||||||||||||||
5,558,944 | 6.000%, due 07/20/34 | 6,317,598 | 0.5 | ||||||||||||||||
7,589,000 | 6.000%, due 07/20/37 | 9,159,213 | 0.8 | ||||||||||||||||
5,798,784 | 6.416%, due 04/20/37 | 6,633,719 | 0.6 | ||||||||||||||||
4,838,303 | 7.000%, due 10/20/38 | 5,595,454 | 0.5 | ||||||||||||||||
6,182,840 | 7.200%, due 03/15/39 | 6,636,358 | 0.6 | ||||||||||||||||
676,407,275 | ˆ | 0.250%–24.491%, due 05/15/16–07/20/62 | 327,074,136 | 28.3 | |||||||||||||||
991,018,986 | 85.6 | ||||||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||
(Cost $1,072,870,497) | 1,121,633,631 | 96.9 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 2.2% | |||||||||||||||||||
U.S. Treasury Bonds: 0.5% | |||||||||||||||||||
5,500,000 | 3.000%, due 05/15/42 | 5,712,267 | 0.5 | ||||||||||||||||
U.S. Treasury Notes: 1.7% | |||||||||||||||||||
20,000,000 | 1.625%, due 08/15/22 | 19,987,500 | 1.7 | ||||||||||||||||
Total U.S. Treasury Obligations | |||||||||||||||||||
(Cost $25,663,759) | 25,699,767 | 2.2 | |||||||||||||||||
Total Investments in Securities (Cost $1,099,551,232) | $ | 1,148,386,733 | 99.2 | ||||||||||||||||
Assets in Excess of Other Liabilities | 9,654,864 | 0.8 | |||||||||||||||||
Net Assets | $ | 1,158,041,597 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
## | 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. |
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 $1,101,451,339. | |||||||
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 50,271,600 | |||||
Gross Unrealized Depreciation | (3,336,206 | ) | |||||
Net Unrealized Appreciation | $ | 46,935,394 |
ING GNMA INCOME FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at September 30, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 1,053,335 | $ | — | $ | 1,053,335 | ||||||||||
U.S. Government Agency Obligations | — | 1,121,633,631 | — | 1,121,633,631 | ||||||||||||||
U.S. Treasury Obligations | — | 25,699,767 | — | 25,699,767 | ||||||||||||||
Total Investments, at fair value | $ | — | $ | 1,148,386,733 | $ | — | $ | 1,148,386,733 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 114,723 | — | — | 114,723 | ||||||||||||||
Total Assets | $ | 114,723 | $ | 1,148,386,733 | $ | — | $ | 1,148,501,456 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (611,426 | ) | $ | — | $ | — | $ | (611,426 | ) | ||||||||
Total Liabilities | $ | (611,426 | ) | $ | — | $ | — | $ | (611,426 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | (638 | ) | 12/19/12 | $ | (85,163,034 | ) | $ | (489,731 | ) | |||||||||
U.S. Treasury 5-Year Note | (228 | ) | 12/31/12 | (28,416,281 | ) | (121,695 | ) | |||||||||||
U.S. Treasury Long Bond | (242 | ) | 12/19/12 | (36,148,750 | ) | 114,723 | ||||||||||||
$ | (149,728,065 | ) | $ | (496,703 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | ||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation* | $ | 114,723 | |||||||
Total Asset Derivatives | $ | 114,723 | ||||||||
Liability Derivatives | ||||||||||
Interest rate contracts | Net Assets — Unrealized depreciation* | $ | 611,426 | |||||||
Total Liability Derivatives | $ | 611,426 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
ING GNMA INCOME FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Interest rate contracts | $ | (5,182,906 | ) | |||
Total | $ | (5,182,906 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Interest rate contracts | $ | (2,327,210 | ) | |||
Total | $ | (2,327,210 | ) |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 94.3% | |||||||||||||||||||
Consumer Discretionary: 26.6% | |||||||||||||||||||
195,000 | # | Affinia Group, Inc., 10.750%, 08/15/16 | $ | 211,819 | 0.1 | ||||||||||||||
585,000 | # | Affinity Gaming LLC/Affinity Gaming Finance Corp., 9.000%, 05/15/18 | 609,862 | 0.4 | |||||||||||||||
950,000 | AMC Entertainment, Inc., 9.750%, 12/01/20 | 1,074,687 | 0.7 | ||||||||||||||||
34,782 | # | American Media, Inc., 13.500%, 06/15/18 | 32,346 | 0.0 | |||||||||||||||
665,000 | # | Block Communications, Inc., 7.250%, 02/01/20 | 709,887 | 0.5 | |||||||||||||||
310,000 | # | Boyd Gaming Corp., 9.000%, 07/01/20 | 317,750 | 0.2 | |||||||||||||||
500,000 | # | Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 | 548,750 | 0.3 | |||||||||||||||
970,000 | Cablevision Systems Corp., 7.750%, 04/15/18 | 1,079,125 | 0.7 | ||||||||||||||||
1,000,000 | # | Caesars Operating Escrow LLC / Caesars Escrow Corp., 8.500%, 02/15/20 | 1,002,500 | 0.6 | |||||||||||||||
535,000 | # | Carlson Wagonlit BV, 6.875%, 06/15/19 | 564,425 | 0.4 | |||||||||||||||
860,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 6.500%–7.250%, 10/30/17–04/30/21 | 933,700 | 0.6 | ||||||||||||||||
565,000 | # | Cequel Communications Holdings I, LLC and Cequel Capital Corp., 8.625%, 11/15/17 | 605,962 | 0.4 | |||||||||||||||
773,533 | & | CityCenter Holdings LLC / CityCenter Finance Corp., 7.625%–10.750%, 01/15/16–01/15/17 | 829,614 | 0.5 | |||||||||||||||
1,030,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 03/15/20 | 1,009,400 | 0.6 | ||||||||||||||||
105,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 03/15/20 | 101,325 | 0.1 | ||||||||||||||||
785,000 | Cumulus Media Holdings, Inc., 7.750%, 05/01/19 | 767,338 | 0.5 | ||||||||||||||||
480,000 | DISH DBS Corp., 7.875%, 09/01/19 | 560,400 | 0.4 | ||||||||||||||||
500,000 | # | DISH DBS Corp., 5.875%, 07/15/22 | 515,000 | 0.3 | |||||||||||||||
695,000 | Gray Television, Inc., 10.500%, 06/29/15 | 756,681 | 0.5 | ||||||||||||||||
200,000 | # | Gray Television, Inc., 7.500%, 10/01/20 | 200,000 | 0.1 | |||||||||||||||
825,000 | # | Harron Communications L.P./Harron Finance Corp., 9.125%, 04/01/20 | 895,125 | 0.6 | |||||||||||||||
300,000 | # | Isle of Capri Casinos, Inc., 8.875%, 06/15/20 | 317,250 | 0.2 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer Discretionary: (continued) | |||||||||||||||||||
500,000 | # | Jaguar Holding Co. II / Jaguar Merger Sub, Inc., 9.500%, 12/01/19 | $ | 563,750 | 0.4 | ||||||||||||||
400,000 | # | K Hovnanian Enterprises, Inc., 7.250%, 10/15/20 | 411,000 | 0.3 | |||||||||||||||
400,000 | # | K Hovnanian Enterprises, Inc., 9.125%, 11/15/20 | 403,500 | 0.2 | |||||||||||||||
750,000 | KB Home, 6.250%, 06/15/15 | 783,750 | 0.5 | ||||||||||||||||
800,000 | KB Home, 5.875%–8.000%, 01/15/15–03/15/20 | 870,188 | 0.6 | ||||||||||||||||
500,000 | # | Mediacom Broadband LLC / Mediacom Broadband Corp., 6.375%, 04/01/23 | 502,500 | 0.3 | |||||||||||||||
125,000 | Meritage Homes Corp., 7.000%, 04/01/22 | 134,375 | 0.1 | ||||||||||||||||
720,000 | # | Meritage Homes Corp., 7.731%, 04/30/17 | 745,200 | 0.5 | |||||||||||||||
500,000 | MGM Mirage, 7.500%, 06/01/16 | 537,500 | 0.3 | ||||||||||||||||
750,000 | MGM Resorts International, 7.750%, 03/15/22 | 787,500 | 0.5 | ||||||||||||||||
500,000 | # | MGM Resorts International, 8.625%, 02/01/19 | 547,500 | 0.4 | |||||||||||||||
750,000 | NCL Corp. Ltd., 9.500%, 11/15/18 | 834,375 | 0.5 | ||||||||||||||||
795,000 | # | Needle, 8.125%, 03/15/19 | 814,875 | 0.5 | |||||||||||||||
400,000 | # | Nielsen Finance LLC / Nielsen Finance Co., 4.500%, 10/01/20 | 399,500 | 0.3 | |||||||||||||||
750,000 | # | Nord Anglia Education UK Holdings PLC, 10.250%, 04/01/17 | 813,750 | 0.5 | |||||||||||||||
865,000 | # | Number Merger Sub, Inc., 11.000%, 12/15/19 | 975,288 | 0.6 | |||||||||||||||
150,000 | # | Pantry, Inc./The, 8.375%, 08/01/20 | 154,125 | 0.1 | |||||||||||||||
475,000 | # | PC Merger Sub, Inc., 8.875%, 08/01/20 | 508,250 | 0.3 | |||||||||||||||
400,000 | # | Penske Automotive Group, Inc., 5.750%, 10/01/22 | 412,000 | 0.3 | |||||||||||||||
750,000 | # | Sabre, Inc., 8.500%, 05/15/19 | 772,500 | 0.5 | |||||||||||||||
577,000 | # | Seminole Indian Tribe of Florida, 7.750%, 10/01/17 | 636,143 | 0.4 | |||||||||||||||
200,000 | # | Sonic Automotive, Inc., 7.000%, 07/15/22 | 215,000 | 0.1 | |||||||||||||||
570,000 | # | Starz LLC / Starz Finance Corp., 5.000%, 09/15/19 | 585,675 | 0.4 |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer Discretionary: (continued) | |||||||||||||||||||
165,000 | # | UR Financing Escrow Corp., 5.750%, 07/15/18 | $ | 174,694 | 0.1 | ||||||||||||||
285,000 | # | UR Financing Escrow Corp., 7.375%, 05/15/20 | 307,087 | 0.2 | |||||||||||||||
285,000 | # | UR Financing Escrow Corp., 7.625%, 04/15/22 | 312,788 | 0.2 | |||||||||||||||
750,000 | # | Wolverine Healthcare Analytics, 10.625%, 06/01/20 | 806,250 | 0.5 | |||||||||||||||
600,000 | # | Wolverine World Wide, Inc., 6.125%, 10/15/20 | 621,000 | 0.4 | |||||||||||||||
790,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 876,900 | 0.6 | |||||||||||||||
11,105,846 | Other Securities | 11,390,379 | 7.3 | ||||||||||||||||
41,540,288 | 26.6 | ||||||||||||||||||
Consumer Staples: 4.6% | |||||||||||||||||||
615,000 | # | American Rock Salt Co. LLC/American Rock Capital Corp., 8.250%, 05/01/18 | 561,187 | 0.4 | |||||||||||||||
645,000 | Eliz Arden, 7.375%, 03/15/21 | 725,625 | 0.5 | ||||||||||||||||
450,000 | # | JBS USA LLC/JBS USA Finance, Inc., 7.250%, 06/01/21 | 425,250 | 0.3 | |||||||||||||||
545,000 | # | Neff Rental LLC/Neff Finance Corp., 9.625%, 05/15/16 | 554,537 | 0.3 | |||||||||||||||
500,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 8.250%, 02/15/21 | 498,750 | 0.3 | ||||||||||||||||
750,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 9.875%, 08/15/19 | 801,563 | 0.5 | ||||||||||||||||
240,000 | # | Rite Aid Corp., 6.875%, 12/15/28 | 196,800 | 0.1 | |||||||||||||||
3,265,000 | Other Securities | 3,450,975 | 2.2 | ||||||||||||||||
7,214,687 | 4.6 | ||||||||||||||||||
Energy: 14.5% | |||||||||||||||||||
295,000 | # | Atlas Pipeline Partners L.P. / Atlas Pipeline Finance Corp., 6.625%, 10/01/20 | 300,900 | 0.2 | |||||||||||||||
500,000 | # | BreitBurn Energy Partners L.P. / BreitBurn Finance Corp., 7.875%, 04/15/22 | 520,000 | 0.3 | |||||||||||||||
325,000 | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.375%, 05/01/19 | 351,000 | 0.2 | ||||||||||||||||
175,000 | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.375%, 05/01/19 | 189,000 | 0.1 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
400,000 | # | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.625%, 08/01/20 | $ | 433,000 | 0.3 | ||||||||||||||
500,000 | # | Chaparral Energy, Inc., 7.625%, 11/15/22 | 527,500 | 0.3 | |||||||||||||||
350,000 | Chaparral Energy, Inc., 8.250%–9.875%, 10/01/20–09/01/21 | 390,000 | 0.3 | ||||||||||||||||
505,000 | # | Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 | 487,325 | 0.3 | |||||||||||||||
260,000 | # | Eagle Rock Energy Partners L.P. / Eagle Rock Energy Finance Corp., 8.375%, 06/01/19 | 256,750 | 0.2 | |||||||||||||||
625,000 | El Paso Corp., 7.250%, 06/01/18 | 722,998 | 0.5 | ||||||||||||||||
200,000 | # | Hiland Partners L.P. / Hiland Partners Finance Corp., 7.250%, 10/01/20 | 208,250 | 0.1 | |||||||||||||||
875,000 | # | Hilcorp Energy I L.P./Hilcorp Finance Co., 8.000%, 02/15/20 | 977,812 | 0.6 | |||||||||||||||
275,000 | Linn Energy LLC/Linn Energy Finance Corp., 7.750%, 02/01/21 | 292,188 | 0.2 | ||||||||||||||||
545,000 | # | Linn Energy LLC/Linn Energy Finance Corp., 6.250%, 11/01/19 | 542,956 | 0.4 | |||||||||||||||
160,000 | # | Meg Energy, 6.500%, 03/15/21 | 172,000 | 0.1 | |||||||||||||||
500,000 | # | Midstates Petroleum Co., Inc. / Midstates Petroleum Co. LLC, 10.750%, 10/01/20 | 523,750 | 0.4 | |||||||||||||||
325,000 | # | NFR Energy LLC/NFR Energy Finance Corp., 9.750%, 02/15/17 | 299,000 | 0.2 | |||||||||||||||
800,000 | Northern Oil and Gas, Inc., 8.000%, 06/01/20 | 828,000 | 0.5 | ||||||||||||||||
870,000 | Oasis Petroleum, Inc., 6.500%–7.250%, 02/01/19–11/01/21 | 933,663 | 0.6 | ||||||||||||||||
295,000 | # | PDC Energy, Inc., 7.750%, 10/15/22 | 295,000 | 0.2 | |||||||||||||||
800,000 | # | PetroBakken Energy Ltd., 8.625%, 02/01/20 | 834,000 | 0.5 | |||||||||||||||
750,000 | Plains Exploration & Production Co., 6.125%, 06/15/19 | 759,375 | 0.5 | ||||||||||||||||
200,000 | Plains Exploration & Production Co., 6.625%, 05/01/21 | 204,000 | 0.1 | ||||||||||||||||
450,000 | # | QR Energy L.P. / QRE Finance Corp., 9.250%, 08/01/20 | 461,250 | 0.3 |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
605,000 | # | Resolute Energy Corp., 8.500%, 05/01/20 | $ | 622,394 | 0.4 | ||||||||||||||
200,000 | # | SandRidge Energy, Inc., 7.500%, 03/15/21 | 207,000 | 0.1 | |||||||||||||||
400,000 | # | SandRidge Energy, Inc., 7.500%, 02/15/23 | 413,000 | 0.3 | |||||||||||||||
600,000 | # | SM Energy Co., 6.500%, 01/01/23 | 630,750 | 0.4 | |||||||||||||||
800,000 | Vanguard Natural Resources, LLC, 7.875%, 04/01/20 | 807,000 | 0.5 | ||||||||||||||||
719,000 | W&T Offshore, Inc., 8.500%, 06/15/19 | 787,305 | 0.5 | ||||||||||||||||
7,326,000 | Other Securities | 7,585,386 | 4.9 | ||||||||||||||||
22,562,552 | 14.5 | ||||||||||||||||||
Financials: 9.8% | |||||||||||||||||||
735,000 | Ally Financial, Inc., 8.000%, 03/15/20 | 863,625 | 0.6 | ||||||||||||||||
455,000 | Ally Financial, Inc., 8.300%, 02/12/15 | 505,050 | 0.3 | ||||||||||||||||
750,000 | # | Ashtead Capital, 6.500%, 07/05/22 | 790,312 | 0.5 | |||||||||||||||
200,000 | # | Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp., 8.375%, 02/15/18 | 209,000 | 0.1 | |||||||||||||||
290,000 | # | CIT Group, Inc., 6.625%, 04/01/18 | 330,600 | 0.2 | |||||||||||||||
1,830,000 | CIT Group, Inc., 4.250%–5.375%, 05/15/17–08/15/22 | 1,945,269 | 1.3 | ||||||||||||||||
500,000 | # | CNG Holdings, Inc./OH, 9.375%, 05/15/20 | 516,250 | 0.3 | |||||||||||||||
695,000 | Ford Motor Credit Co., LLC, 8.125%, 01/15/20 | 875,933 | 0.6 | ||||||||||||||||
1,195,000 | International Lease Finance Corp., 5.875%–8.250%, 05/15/19–08/15/22 | 1,320,410 | 0.9 | ||||||||||||||||
710,000 | Kemet Corp., 10.500%, 05/01/18 | 724,200 | 0.5 | ||||||||||||||||
1,000,000 | Nufarm Australia Limited, 6.375%, 10/15/19 | 1,000,000 | 0.6 | ||||||||||||||||
500,000 | # | Realogy Corp., 7.625%, 01/15/20 | 553,750 | 0.4 | |||||||||||||||
520,000 | # | Realogy Corp., 7.875%, 02/15/19 | 548,600 | 0.3 | |||||||||||||||
500,000 | # | Rivers Pittsburgh Borrower L.P./Rivers Pittsburgh Finance Corp., 9.500%, 06/15/19 | 533,750 | 0.3 | |||||||||||||||
750,000 | # | Serta Simmons Holdings LLC, 8.125%, 10/01/20 | 748,125 | 0.5 | |||||||||||||||
750,000 | Shea Homes L.P. / Shea Homes Funding Corp., 8.625%, 05/15/19 | 840,000 | 0.5 | ||||||||||||||||
2,847,000 | Other Securities | 2,913,111 | 1.9 | ||||||||||||||||
15,217,985 | 9.8 | ||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Health Care: 11.3% | |||||||||||||||||||
475,000 | # | Biomet, Inc., 6.500%, 08/01/20 | $ | 493,406 | 0.3 | ||||||||||||||
600,000 | # | Biomet, Inc., 6.500%, 10/01/20 | 591,000 | 0.4 | |||||||||||||||
495,000 | #, & | CDRT Holding Corp., 9.250%, 10/01/17 | 480,150 | 0.3 | |||||||||||||||
1,040,000 | CHS/Community Health Systems, Inc., 5.125%–8.000%, 08/15/18–07/15/20 | 1,102,569 | 0.7 | ||||||||||||||||
650,000 | Grifols, Inc., 8.250%, 02/01/18 | 721,500 | 0.5 | ||||||||||||||||
655,000 | HCA Holdings, Inc., 7.750%, 05/15/21 | 717,225 | 0.5 | ||||||||||||||||
800,000 | HCA, Inc., 7.500%, 02/15/22 | 910,000 | 0.6 | ||||||||||||||||
465,000 | HCA, Inc., 7.250%–7.875%, 02/15/20–09/15/20 | 523,519 | 0.3 | ||||||||||||||||
245,000 | # | Health Management Associates, Inc., 7.375%, 01/15/20 | 267,050 | 0.2 | |||||||||||||||
400,000 | # | Hologic, Inc., 6.250%, 08/01/20 | 426,000 | 0.3 | |||||||||||||||
500,000 | # | Mylan, Inc., 6.000%, 11/15/18 | 532,500 | 0.3 | |||||||||||||||
750,000 | # | Physio–Control International, Inc., 9.875%, 01/15/19 | 825,000 | 0.5 | |||||||||||||||
280,000 | # | STHI Holding Corp., 8.000%, 03/15/18 | 299,600 | 0.2 | |||||||||||||||
500,000 | # | Universal Hospital Services, Inc., 7.625%, 08/15/20 | 522,500 | 0.3 | |||||||||||||||
675,000 | # | USPI Finance Corp., 9.000%, 04/01/20 | 735,750 | 0.5 | |||||||||||||||
500,000 | # | Valeant Pharmaceuticals International, 7.250%, 07/15/22 | 529,375 | 0.3 | |||||||||||||||
525,000 | # | Valeant Pharmaceuticals International, 6.750%, 08/15/21 | 547,312 | 0.4 | |||||||||||||||
490,000 | # | VPI Escrow Corp., 6.375%, 10/15/20 | 502,250 | 0.3 | |||||||||||||||
6,801,000 | Other Securities | 6,929,381 | 4.4 | ||||||||||||||||
17,656,087 | 11.3 | ||||||||||||||||||
Industrials: 6.4% | |||||||||||||||||||
200,000 | # | ADS Waste Holdings, Inc., 8.250%, 10/01/20 | 204,500 | 0.1 | |||||||||||||||
455,000 | # | Amsted Industries, Inc., 8.125%, 03/15/18 | 493,675 | 0.3 | |||||||||||||||
250,000 | # | Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc., 9.125%, 10/15/20 | 265,625 | 0.2 | |||||||||||||||
600,000 | # | Belden, Inc., 5.500%, 09/01/22 | 616,500 | 0.4 |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Industrials: (continued) | |||||||||||||||||||
670,000 | Covanta Holding Corp., 7.250%, 12/01/20 | $ | 746,348 | 0.5 | |||||||||||||||
245,000 | # | General Cable Corp., 5.750%, 10/01/22 | 249,900 | 0.2 | |||||||||||||||
600,000 | # | H&E Equipment Services, Inc., 7.000%, 09/01/22 | 625,500 | 0.4 | |||||||||||||||
500,000 | #, & | Isabelle Acquisition Sub, Inc., 10.000%, 11/15/18 | 544,375 | 0.3 | |||||||||||||||
880,000 | # | JM Huber Corp., 9.875%, 11/01/19 | 992,200 | 0.6 | |||||||||||||||
285,000 | # | Mcron Finance Sub LLC/ Mcron Finance Corp., 8.375%, 05/15/19 | 294,975 | 0.2 | |||||||||||||||
4,719,000 | Other Securities | 4,985,545 | 3.2 | ||||||||||||||||
10,019,143 | 6.4 | ||||||||||||||||||
Information Technology: 5.4% | |||||||||||||||||||
400,000 | # | Audatex North America, Inc., 6.750%, 06/15/18 | 429,000 | 0.3 | |||||||||||||||
545,000 | # | Emdeon, Inc., 11.000%, 12/31/19 | 621,300 | 0.4 | |||||||||||||||
750,000 | Epicor Software Corp., 8.625%, 05/01/19 | 795,000 | 0.5 | ||||||||||||||||
800,000 | # | First Data Corp., 6.750%, 11/01/20 | 799,000 | 0.5 | |||||||||||||||
145,000 | # | First Data Corp., 8.250%, 01/15/21 | 145,363 | 0.1 | |||||||||||||||
146,000 | #, & | First Data Corp., 8.750%, 01/15/22 | 147,825 | 0.1 | |||||||||||||||
480,684 | & | First Data Corp., 9.875%–11.250%, 09/24/15–03/31/16 | 470,521 | 0.3 | |||||||||||||||
355,000 | # | Lawson Software, Inc., 9.375%, 04/01/19 | 395,825 | 0.2 | |||||||||||||||
500,000 | # | Lawson Software, Inc., 11.500%, 07/15/18 | 572,500 | 0.4 | |||||||||||||||
365,000 | # | NCR Corp., 5.000%, 07/15/22 | 370,475 | 0.2 | |||||||||||||||
3,445,000 | Other Securities | 3,669,150 | 2.4 | ||||||||||||||||
8,415,959 | 5.4 | ||||||||||||||||||
Materials: 7.3% | |||||||||||||||||||
200,000 | # | Ardagh Packaging Finance Plc, 7.375%, 10/15/17 | 215,500 | 0.1 | |||||||||||||||
165,000 | # | Building Materials Corp. of America, 6.750%, 05/01/21 | 181,087 | 0.1 | |||||||||||||||
185,000 | # | Building Materials Corp. of America, 7.500%, 03/15/20 | 203,500 | 0.2 | |||||||||||||||
500,000 | # | Consolidated Container Co. LLC/Consolidated Container Capital, Inc., 10.125%, 07/15/20 | 535,000 | 0.4 | |||||||||||||||
250,000 | # | FMG Resources August 2006 Pty Ltd., 6.000%, 04/01/17 | 233,750 | 0.2 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Materials: (continued) | |||||||||||||||||||
350,000 | # | Ineos Finance PLC, 8.375%, 02/15/19 | $ | 369,688 | 0.2 | ||||||||||||||
500,000 | # | Ineos Group Holdings PLC, 8.500%, 02/15/16 | 475,000 | 0.3 | |||||||||||||||
330,000 | # | JMC Steel Group, 8.250%, 03/15/18 | 338,250 | 0.2 | |||||||||||||||
1,000,000 | Lender Process Services, 5.750%, 04/15/23 | 987,500 | 0.6 | ||||||||||||||||
410,000 | # | Longview Fibre Paper & Packaging, Inc., 8.000%, 06/01/16 | 429,475 | 0.3 | |||||||||||||||
640,000 | LyondellBasell Industries NV, 6.000%, 11/15/21 | 732,800 | 0.5 | ||||||||||||||||
500,000 | # | New Gold, Inc., 7.000%, 04/15/20 | 532,500 | 0.3 | |||||||||||||||
400,000 | # | PH Glatfelter Co., 5.375%, 10/15/20 | 406,000 | 0.3 | |||||||||||||||
290,000 | # | Plastipak Holdings, Inc., 10.625%, 08/15/19 | 333,500 | 0.2 | |||||||||||||||
307,000 | # | Rain CII Carbon LLC and CII Carbon Corp., 8.000%, 12/01/18 | 314,675 | 0.2 | |||||||||||||||
750,000 | # | Roofing Supply Group LLC / Roofing Supply Finance, Inc., 10.000%, 06/01/20 | 821,250 | 0.5 | |||||||||||||||
750,000 | Taseko Mines Ltd., 7.750%, 04/15/19 | 721,875 | 0.5 | ||||||||||||||||
3,480,000 | Other Securities | 3,482,725 | 2.2 | ||||||||||||||||
11,314,075 | 7.3 | ||||||||||||||||||
Telecommunication Services: 6.0% | |||||||||||||||||||
250,000 | #, & | Intelsat Bermuda Ltd., 11.500%, 02/04/17 | 265,938 | 0.2 | |||||||||||||||
531,375 | & | Intelsat Bermuda Ltd., 11.250%–11.500%, 02/04/17 | 564,250 | 0.3 | |||||||||||||||
500,000 | # | Intelsat Jackson Holdings SA, 7.250%, 10/15/20 | 540,000 | 0.3 | |||||||||||||||
500,000 | # | Sable International Finance Ltd., 8.750%, 02/01/20 | 560,000 | 0.4 | |||||||||||||||
245,000 | # | SBA Communications Corp., 5.625%, 10/01/19 | 250,206 | 0.2 | |||||||||||||||
1,000,000 | Sprint Capital Corp., 6.875%, 11/15/28 | 925,000 | 0.6 | ||||||||||||||||
400,000 | # | Sprint Nextel Corp., 7.000%, 03/01/20 | 449,000 | 0.3 | |||||||||||||||
665,000 | # | Sprint Nextel Corp., 9.000%, 11/15/18 | 799,663 | 0.5 | |||||||||||||||
750,000 | # | Telesat Canada / Telesat LLC, 6.000%, 05/15/17 | 783,750 | 0.5 | |||||||||||||||
425,000 | # | UPCB Finance VI Ltd., 6.875%, 01/15/22 | 452,625 | 0.3 | |||||||||||||||
500,000 | # | Wind Acquisition Finance SA, 7.250%, 02/15/18 | 475,000 | 0.3 |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Telecommunication Services: (continued) | |||||||||||||||||||
920,000 | Windstream Corp., 7.000%–7.500%, 03/15/19–06/01/22 | $ | 953,000 | 0.6 | |||||||||||||||
2,128,024 | Other Securities | 2,291,316 | 1.5 | ||||||||||||||||
9,309,748 | 6.0 | ||||||||||||||||||
Utilities: 2.4% | |||||||||||||||||||
385,000 | # | Calpine Corp., 7.500%, 02/15/21 | 417,725 | 0.3 | |||||||||||||||
440,000 | # | Calpine Corp., 7.875%, 07/31/20 | 482,900 | 0.3 | |||||||||||||||
500,000 | # | DPL, Inc., 7.250%, 10/15/21 | 572,500 | 0.4 | |||||||||||||||
455,000 | # | Texas Competitive Electric Holdings Co. LLC / TCEH Finance, Inc., 11.500%, 10/01/20 | 358,312 | 0.2 | |||||||||||||||
1,725,000 | Other Securities | 1,891,025 | 1.2 | ||||||||||||||||
3,722,462 | 2.4 | ||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||
(Cost $139,023,048) | 146,972,986 | 94.3 | |||||||||||||||||
ASSET-BACKED SECURITIES: 0.7% | |||||||||||||||||||
Other Asset-Backed Securities: 0.7% | |||||||||||||||||||
1,000,000 | # | Castle Garden Funding, 6.560%, 10/27/20 | 1,031,760 | 0.7 | |||||||||||||||
Total Asset-Backed Securities | |||||||||||||||||||
(Cost $997,500) | 1,031,760 | 0.7 | |||||||||||||||||
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
COMMON STOCK: 0.0% | |||||||||||||||||||
Consumer Discretionary: 0.0% | |||||||||||||||||||
6,005 | Other Securities | 2,535 | 0.0 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $136,656) | 2,535 | 0.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $140,157,204) | 148,007,281 | 95.0 | |||||||||||||||||
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
SHORT-TERM INVESTMENTS: 6.7% | |||||||||||||||||||
Mutual Funds: 6.7% | |||||||||||||||||||
10,413,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | ||||||||||||||||||
(Cost $10,413,000) | $ | 10,413,000 | 6.7 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $10,413,000) | 10,413,000 | 6.7 | |||||||||||||||||
Total Investments in Securities (Cost $150,570,204) | $ | 158,420,281 | 101.7 | ||||||||||||||||
Liabilities in Excess of Other Assets | (2,576,611 | ) | (1.7 | ) | |||||||||||||||
Net Assets | $ | 155,843,670 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
& | Payment-in-kind |
Cost for federal income tax purposes is $150,573,555. | |||||||
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 8,841,112 | |||||
Gross Unrealized Depreciation | (994,386 | ) | |||||
Net Unrealized Appreciation | $ | 7,846,726 |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at September 30, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | — | $ | — | $ | 2,535 | $ | 2,535 | ||||||||||
Total Common Stock | — | — | 2,535 | 2,535 | ||||||||||||||
Corporate Bonds/Notes | — | 146,972,986 | — | 146,972,986 | ||||||||||||||
Asset-Backed Securities | — | 1,031,760 | — | 1,031,760 | ||||||||||||||
Short-Term Investments | 10,413,000 | — | — | 10,413,000 | ||||||||||||||
Total Investments, at fair value | $ | 10,413,000 | $ | 148,004,746 | $ | 2,535 | $ | 158,420,281 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Swaps | |||||
Credit contracts | $ | (252,291 | ) | |||
Total | $ | (252,291 | ) |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 32.6% | |||||||||||||||||||
Consumer Discretionary: 3.0% | |||||||||||||||||||
2,446,000 | # | ADT Corp., 2.250%, 07/15/17 | $ | 2,520,953 | 0.2 | ||||||||||||||
544,000 | # | ADT Corp., 3.500%, 07/15/22 | 566,469 | 0.0 | |||||||||||||||
660,000 | # | ADT Corp., 4.875%, 07/15/42 | 718,308 | 0.1 | |||||||||||||||
1,125,000 | # | Carlson Wagonlit BV, 6.875%, 06/15/19 | 1,186,875 | 0.1 | |||||||||||||||
4,826,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 2.400%–5.150%, 03/15/17–03/15/42 | 4,956,715 | 0.4 | ||||||||||||||||
2,726,000 | # | Hyatt Hotels Corp., 6.875%, 08/15/19 | 3,239,347 | 0.3 | |||||||||||||||
900,000 | # | Lennar Corp., 4.750%, 12/15/17 | 933,750 | 0.1 | |||||||||||||||
367,000 | # | Suburban Propane Partners L.P./Suburban Energy Finance Corp., 7.375%, 08/01/21 | 393,607 | 0.0 | |||||||||||||||
950,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 1,054,500 | 0.1 | |||||||||||||||
18,494,000 | Other Securities(a) | 20,151,091 | 1.7 | ||||||||||||||||
35,721,615 | 3.0 | ||||||||||||||||||
Consumer Staples: 1.8% | |||||||||||||||||||
2,939,000 | Campbell Soup Co., 4.250%, 04/15/21 | 3,371,168 | 0.3 | ||||||||||||||||
615,000 | # | JBS USA LLC/JBS USA Finance, Inc., 8.250%, 02/01/20 | 616,537 | 0.0 | |||||||||||||||
1,721,000 | # | Kraft Foods Group, Inc., 3.500%, 06/06/22 | 1,822,586 | 0.2 | |||||||||||||||
2,600,000 | # | Kraft Foods Group, Inc., 5.000%, 06/04/42 | 2,916,027 | 0.2 | |||||||||||||||
12,127,000 | Other Securities | 12,786,404 | 1.1 | ||||||||||||||||
21,512,722 | 1.8 | ||||||||||||||||||
Energy: 5.5% | |||||||||||||||||||
1,240,000 | # | BG Energy Capital PLC, 2.875%, 10/15/16 | 1,316,898 | 0.1 | |||||||||||||||
3,995,000 | BP Capital Markets PLC, 2.248%–3.245%, 11/01/16–05/06/22 | 4,199,870 | 0.4 | ||||||||||||||||
325,000 | # | Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 | 313,625 | 0.0 | |||||||||||||||
1,467,000 | # | Dolphin Energy Ltd., 5.500%, 12/15/21 | 1,700,253 | 0.1 | |||||||||||||||
1,070,000 | Energy Transfer Equity L.P., 7.500%, 10/15/20 | 1,219,800 | 0.1 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
1,244,000 | Energy Transfer Partners, 9.700%, 03/15/19 | $ | 1,646,157 | 0.1 | |||||||||||||||
3,291,000 | Energy Transfer Partners L.P., 4.650%–6.050%, 06/01/21–06/01/41 | 3,608,909 | 0.3 | ||||||||||||||||
1,457,000 | # | Phillips 66, 2.950%, 05/01/17 | 1,543,340 | 0.1 | |||||||||||||||
2,936,000 | # | Phillips 66, 4.300%, 04/01/22 | 3,221,576 | 0.3 | |||||||||||||||
1,000,000 | # | Reliance Holdings USA, Inc., 5.400%, 02/14/22 | 1,067,388 | 0.1 | |||||||||||||||
1,331,000 | # | Schlumberger Investment SA, 1.950%, 09/14/16 | 1,376,567 | 0.1 | |||||||||||||||
5,125,000 | Transocean, Inc., 2.500%–6.375%, 10/15/17–10/15/22 | 5,441,019 | 0.5 | ||||||||||||||||
1,120,000 | # | Unit Corp., 6.625%, 05/15/21 | 1,162,000 | 0.1 | |||||||||||||||
38,234,633 | Other Securities(a),(b) | 38,010,287 | 3.2 | ||||||||||||||||
65,827,689 | 5.5 | ||||||||||||||||||
Financials: 11.5% | |||||||||||||||||||
3,886,000 | American International Group, Inc., 4.875%–8.175%, 01/16/18–05/15/58 | 4,573,023 | 0.4 | ||||||||||||||||
BRL 2,887,000 | # | Banco Votorantim SA, 6.250%, 05/16/16 | 1,645,117 | 0.1 | |||||||||||||||
5,066,000 | Bank of America Corp., 3.750%–8.000%, 07/12/16–12/29/49 | 5,543,331 | 0.5 | ||||||||||||||||
1,592,000 | # | Charles Schwab Corp./The, 3.225%, 09/01/22 | 1,618,508 | 0.1 | |||||||||||||||
6,410,000 | Citigroup, Inc., 3.953%–5.875%, 06/15/16–01/30/42 | 7,071,956 | 0.6 | ||||||||||||||||
1,660,000 | # | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 11.000%, 12/29/49 | 2,193,240 | 0.2 | |||||||||||||||
834,000 | # | General Electric Capital Corp. / LJ VP Holdings LLC, 3.800%, 06/18/19 | 881,884 | 0.1 | |||||||||||||||
8,249,000 | General Electric Capital Corp., 3.150%–7.125%, 10/17/16–12/15/49 | 9,061,329 | 0.7 | ||||||||||||||||
2,174,000 | Goldman Sachs Group, Inc./The, 5.750%, 01/24/22 | 2,509,341 | 0.2 | ||||||||||||||||
1,544,000 | Goldman Sachs Group, Inc., 3.300%–5.950%, 05/03/15–01/18/18 | 1,689,745 | 0.2 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
2,278,000 | # | Hyundai Capital America, 4.000%, 06/08/17 | $ | 2,460,210 | 0.2 | ||||||||||||||
3,950,000 | #, L | ICICI Bank Ltd./Dubai, 4.700%, 02/21/18 | 4,120,198 | 0.3 | |||||||||||||||
1,361,000 | # | ILFC E–Capital Trust II, 6.250%, 12/21/65 | 1,081,995 | 0.1 | |||||||||||||||
1,037,000 | # | International Lease Finance Corp., 7.125%, 09/01/18 | 1,213,290 | 0.1 | |||||||||||||||
559,000 | # | IPIC GMTN Ltd., 3.750%, 03/01/17 | 590,863 | 0.0 | |||||||||||||||
800,000 | # | IPIC GMTN Ltd., 5.500%, 03/01/22 | 900,000 | 0.1 | |||||||||||||||
601,000 | # | Itau Unibanco Holding SA/Cayman Island, 6.200%, 12/21/21 | 656,593 | 0.1 | |||||||||||||||
8,001,000 | JPMorgan Chase & Co., 2.000%–5.400%, 08/15/17–01/06/42 | 8,562,519 | 0.7 | ||||||||||||||||
1,350,000 | # | Metropolitan Life Global Funding I, 3.875%, 04/11/22 | 1,475,402 | 0.1 | |||||||||||||||
5,743,000 | Morgan Stanley, 3.800%–5.500%, 04/29/16–07/28/21 | 6,134,892 | 0.5 | ||||||||||||||||
3,441,000 | Murray Street Investment Trust I, 4.647%, 03/09/17 | 3,699,650 | 0.3 | ||||||||||||||||
1,944,000 | # | RBS Citizens Financial Group, Inc., 4.150%, 09/28/22 | 1,952,046 | 0.2 | |||||||||||||||
600,000 | # | Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.298%, 12/27/17 | 637,626 | 0.1 | |||||||||||||||
1,600,000 | # | State Bank of India/London, 4.125%, 08/01/17 | 1,638,853 | 0.1 | |||||||||||||||
600,000 | # | Turkiye Halk Bankasi AS, 4.875%, 07/19/17 | 615,780 | 0.1 | |||||||||||||||
2,907,000 | US Bancorp, 2.950%, 07/15/22 | 2,941,564 | 0.3 | ||||||||||||||||
3,751,000 | Wells Fargo & Co., 2.100%–3.500%, 05/08/17–03/08/22 | 3,925,008 | 0.3 | ||||||||||||||||
55,786,612 | Other Securities(a) | 57,591,733 | 4.8 | ||||||||||||||||
136,985,696 | 11.5 | ||||||||||||||||||
Health Care: 2.3% | |||||||||||||||||||
1,018,000 | # | Aristotle Holding, Inc., 2.650%, 02/15/17 | 1,068,088 | 0.1 | |||||||||||||||
1,268,000 | # | Aristotle Holding, Inc., 3.500%, 11/15/16 | 1,372,451 | 0.1 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Health Care: (continued) | |||||||||||||||||||
3,270,000 | Celgene Corp., 3.250%, 08/15/22 | $ | 3,308,818 | 0.3 | |||||||||||||||
4,405,000 | GlaxoSmithKline Capital PLC, 1.500%–2.850%, 05/08/17–05/08/22 | 4,524,411 | 0.4 | ||||||||||||||||
915,000 | #, L | Valeant Pharmaceuticals International, 7.250%, 07/15/22 | 968,756 | 0.1 | |||||||||||||||
4,351,000 | WellPoint, Inc., 3.700%–4.625%, 08/15/21–05/15/42 | 4,488,411 | 0.4 | ||||||||||||||||
11,744,000 | Other Securities | 11,538,730 | 0.9 | ||||||||||||||||
27,269,665 | 2.3 | ||||||||||||||||||
Industrials: 1.2% | |||||||||||||||||||
1,700,000 | # | Hutchison Whampoa International 12 Ltd., 6.000%, 11/07/49 | 1,759,500 | 0.2 | |||||||||||||||
600,000 | # | Kazakhstan Temir Zholy Finance BV, 6.950%, 07/10/42 | 729,750 | 0.1 | |||||||||||||||
310,000 | #, L | Odebrecht Finance Ltd., 7.500%, 09/29/49 | 330,925 | 0.0 | |||||||||||||||
1,600,000 | # | Transnet SOC Ltd., 4.000%, 07/26/22 | 1,630,400 | 0.1 | |||||||||||||||
1,295,000 | # | Tyco Flow Control International Finance SA, 3.150%, 09/15/22 | 1,302,688 | 0.1 | |||||||||||||||
7,633,000 | Other Securities(a) | 8,263,305 | 0.7 | ||||||||||||||||
14,016,568 | 1.2 | ||||||||||||||||||
Information Technology: 1.9% | |||||||||||||||||||
3,929,000 | eBay, Inc., 4.000%, 07/15/42 | 3,846,397 | 0.3 | ||||||||||||||||
4,123,000 | Hewlett-Packard Co., 2.600%–5.400%, 09/15/16–09/15/17 | 4,292,826 | 0.4 | ||||||||||||||||
13,216,000 | Other Securities | 14,099,651 | 1.2 | ||||||||||||||||
22,238,874 | 1.9 | ||||||||||||||||||
Materials: 2.3% | |||||||||||||||||||
3,890,000 | # | Anglo American Capital PLC, 2.625%, 09/27/17 | 3,908,668 | 0.3 | |||||||||||||||
1,760,000 | # | Anglo American Capital PLC, 4.125%, 09/27/22 | 1,770,884 | 0.2 | |||||||||||||||
250,000 | # | Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc., 7.375%, 10/15/17 | 269,062 | 0.0 | |||||||||||||||
400,000 | # | Corp Nacional del Cobre de Chile, 4.250%, 07/17/42 | 398,106 | 0.0 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Materials: (continued) | |||||||||||||||||||
820,000 | # | FMG Resources August 2006 Pty Ltd., 6.000%, 04/01/17 | $ | 766,700 | 0.1 | ||||||||||||||
495,000 | # | Georgia-Pacific LLC, 5.400%, 11/01/20 | 581,239 | 0.1 | |||||||||||||||
3,000,000 | Rio Tinto Finance USA PLC, 3.500%, 03/22/22 | 3,135,465 | 0.3 | ||||||||||||||||
2,940,000 | Rio Tinto Finance USA PLC, 1.625%–4.125%, 08/21/17–08/21/42 | 2,930,033 | 0.2 | ||||||||||||||||
960,000 | # | Sealed Air Corp., 8.375%, 09/15/21 | 1,080,000 | 0.1 | |||||||||||||||
827,000 | # | Xstrata Canada Financial Corp., 4.950%, 11/15/21 | 887,863 | 0.1 | |||||||||||||||
10,731,000 | Other Securities(a) | 11,121,970 | 0.9 | ||||||||||||||||
26,849,990 | 2.3 | ||||||||||||||||||
Telecommunication Services: 1.2% | |||||||||||||||||||
770,000 | #, L | Sable International Finance Ltd., 8.750%, 02/01/20 | 862,400 | 0.0 | |||||||||||||||
2,344,000 | # | Telstra Corp. Ltd., 4.800%, 10/12/21 | 2,685,982 | 0.2 | |||||||||||||||
810,000 | # | UPCB Finance VI Ltd., 6.875%, 01/15/22 | 862,650 | 0.1 | |||||||||||||||
9,695,000 | Other Securities | 10,473,433 | 0.9 | ||||||||||||||||
14,884,465 | 1.2 | ||||||||||||||||||
Utilities: 1.9% | |||||||||||||||||||
600,000 | # | China Resources Gas Group Ltd, 4.500%, 04/05/22 | 652,036 | 0.1 | |||||||||||||||
410,000 | # | Comision Federal de Electricidad, 5.750%, 02/14/42 | 460,225 | 0.0 | |||||||||||||||
612,000 | # | Duquesne Light Holdings, Inc., 5.900%, 12/01/21 | 715,308 | 0.1 | |||||||||||||||
1,249,000 | # | Duquesne Light Holdings, Inc., 6.400%, 09/15/20 | 1,478,554 | 0.1 | |||||||||||||||
873,000 | # | Empresa de Energia de Bogota SA, 6.125%, 11/10/21 | 964,665 | 0.1 | |||||||||||||||
314,000 | # | Iberdrola Finance Ireland Ltd., 3.800%, 09/11/14 | 319,828 | 0.0 | |||||||||||||||
113,314 | # | Juniper Generation, LLC, 6.790%, 12/31/14 | 102,341 | 0.0 | |||||||||||||||
596,000 | # | Korea Gas Corp., 6.250%, 01/20/42 | 811,972 | 0.1 | |||||||||||||||
14,734,000 | Other Securities(a) | 16,736,705 | 1.4 | ||||||||||||||||
22,241,634 | 1.9 | ||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||
(Cost $369,916,281) | 387,548,918 | 32.6 | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 15.5% | |||||||||||||||||||
1,039,000 | # | American General Mortgage Loan Trust, 5.650%, 03/25/58 | $ | 1,085,238 | 0.1 | ||||||||||||||
2,753,000 | # | American General Mortgage Loan Trust, 5.750%, 09/25/48 | 2,819,182 | 0.2 | |||||||||||||||
900,000 | # | Arkle Master Issuer PLC, 2.135%, 05/17/60 | 927,659 | 0.1 | |||||||||||||||
24,897,060 | #, ˆ | Banc of America Commercial Mortgage, Inc., 0.165%, 10/10/45 | 251,851 | 0.0 | |||||||||||||||
2,700,142 | Banc of America Funding Corp., 5.500%, 02/25/35 | 2,706,171 | 0.2 | ||||||||||||||||
1,894,094 | # | Banc of America Funding Corp., 5.250%, 08/26/35 | 1,934,289 | 0.2 | |||||||||||||||
723,041 | # | Banc of America Large Loan, Inc., 1.621%, 06/15/18 | 704,777 | 0.1 | |||||||||||||||
1,900,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.364%, 09/10/47 | 1,922,893 | 0.1 | ||||||||||||||||
1,030,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.364%, 09/10/47 | 959,854 | 0.1 | ||||||||||||||||
860,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.364%, 09/10/47 | 846,079 | 0.1 | ||||||||||||||||
480,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.473%, 03/11/41 | 455,031 | 0.1 | |||||||||||||||
1,242,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.501%, 07/10/43 | 1,219,435 | 0.1 | |||||||||||||||
357,368 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 6.850%, 11/15/31 | 360,149 | 0.0 | |||||||||||||||
650,000 | # | Bank of America-First Union NB Commercial Mortgage, 6.250%, 04/11/37 | 624,184 | 0.0 | |||||||||||||||
519,075 | Bear Stearns Alternative-A Trust, 0.857%, 07/25/34 | 462,387 | 0.0 | ||||||||||||||||
240,000 | # | Bear Stearns Commercial Mortgage Securities, 5.640%, 02/14/31 | 239,223 | 0.0 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
660,000 | # | Bear Stearns Commercial Mortgage Securities, 5.712%, 04/12/38 | $ | 634,083 | 0.1 | ||||||||||||||
219,068 | # | Bear Stearns Commercial Mortgage Securities, 6.500%, 02/15/32 | 218,737 | 0.0 | |||||||||||||||
730,000 | # | Bear Stearns Deutsche Bank Trust, 5.008%, 09/15/27 | 798,916 | 0.1 | |||||||||||||||
1,290,000 | Bear Stearns Commercial Mortgage Securities, 5.134%–6.500%, 02/15/32–02/13/42 | 1,135,937 | 0.1 | ||||||||||||||||
7,750,000 | #, ˆ | Citigroup Commercial Mortgage Trust, 2.268%, 09/10/45 | 1,059,181 | 0.1 | |||||||||||||||
3,729,612 | Citicorp Mortgage Securities, Inc., 6.000%, 06/25/36–08/25/36 | 3,825,517 | 0.3 | ||||||||||||||||
691,056 | # | Commercial Mortgage Pass Through Certificates, 0.671%, 12/15/20 | 675,633 | 0.1 | |||||||||||||||
554,551 | # | Commercial Mortgage Pass Through Certificates, 0.721%, 12/15/20 | 538,930 | 0.0 | |||||||||||||||
503,362 | # | Commercial Mortgage Pass Through Certificates, 0.821%, 12/15/20 | 431,633 | 0.0 | |||||||||||||||
12,416,473 | ˆ | Commercial Mortgage Pass Through Certificates, 2.141%–5.801%, 05/15/45–12/10/49 | 1,976,498 | 0.2 | |||||||||||||||
2,588,180 | Countrywide Alternative Loan Trust, 5.500%, 12/25/35 | 2,297,608 | 0.2 | ||||||||||||||||
960,026 | Countrywide Home Loan Mortgage Pass-through Trust, 0.537%, 04/25/35 | 149,550 | 0.0 | ||||||||||||||||
5,268,016 | Countrywide Home Loan Mortgage Pass Through Trust, 5.750%–6.000%, 06/25/37–01/25/38 | 4,791,450 | 0.4 | ||||||||||||||||
1,285,000 | # | Credit Suisse Mortgage Capital Certificates, 5.759%, 04/12/49 | 1,316,558 | 0.1 | |||||||||||||||
4,631,484 | First Horizon Alternative Mortgage Securities, 6.000%, 05/25/36 | 3,907,976 | 0.3 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
679,058 | # | First Union National Bank Commercial Mortgage, 6.000%, 12/12/33 | $ | 682,129 | 0.1 | ||||||||||||||
2,700,000 | # | Fosse Master Issuer PLC, 1.855%, 10/18/54 | 2,756,087 | 0.2 | |||||||||||||||
3,691,150 | Freddie Mac, 5.000%–5.500%, 02/15/35–07/15/37 | 4,154,447 | 0.4 | ||||||||||||||||
2,034,000 | # | GE Capital Commercial Mortgage Corp., 5.496%, 11/10/38 | 1,963,460 | 0.2 | |||||||||||||||
700,000 | # | Gracechurch Mortgage Financing PLC, 1.984%, 11/20/56 | 715,001 | 0.1 | |||||||||||||||
4,999,660 | #, ˆ | GS Mortgage Securities Corp. II, 1.929%, 08/10/44 | 436,659 | 0.0 | |||||||||||||||
2,140,000 | # | GS Mortgage Securities Corp. II, 5.309%, 01/10/40 | 2,149,688 | 0.2 | |||||||||||||||
4,227,012 | GSR Mortgage Loan Trust, 0.717%–6.000%, 06/25/35–01/25/37 | 3,976,178 | 0.3 | ||||||||||||||||
2,900,000 | # | Holmes Master Issuer PLC, 2.005%, 10/21/54 | 2,959,149 | 0.2 | |||||||||||||||
2,100,000 | # | Holmes Master Issuer PLC, 2.105%, 10/15/54 | 2,152,628 | 0.2 | |||||||||||||||
996,353 | JP Morgan Alternative Loan Trust, 5.500%, 12/25/35 | 848,234 | 0.1 | ||||||||||||||||
813,411 | JP Morgan Commercial Mortgage Finance Corp., 8.533%, 08/15/32 | 835,078 | 0.1 | ||||||||||||||||
4,256,236 | JP Morgan Mortgage Trust, 6.000%, 01/25/36 | 3,967,793 | 0.3 | ||||||||||||||||
4,391,922 | JP Morgan Mortgage Trust, 6.500%, 08/25/36 | 4,006,753 | 0.4 | ||||||||||||||||
110,177 | JPMorgan Chase Commercial Mortgage Securities Corp., 5.198%, 12/15/44 | 110,434 | 0.0 | ||||||||||||||||
1,630,000 | # | JPMorgan Chase Commercial Mortgage Securities Corp., 6.135%, 07/12/37 | 1,626,451 | 0.1 | |||||||||||||||
389,248 | JPMorgan Mortgage Trust, 5.283%, 07/25/35 | 392,490 | 0.0 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
20,195,286 | ˆ | JP Morgan Chase Commercial Mortgage Securities Corp., 2.234%–5.440%, 10/15/42–06/16/45 | $ | 5,198,721 | 0.4 | ||||||||||||||
5,000,000 | # | Lanark Master Issuer PLC, 1.834%, 12/22/54 | 5,118,510 | 0.4 | |||||||||||||||
36,392,541 | #, ˆ | LB-UBS Commercial Mortgage Trust, 0.240%, 09/15/39 | 640,039 | 0.1 | |||||||||||||||
54,249,726 | #, ˆ | LB-UBS Commercial Mortgage Trust, 0.842%, 11/15/38 | 1,136,852 | 0.1 | |||||||||||||||
740,000 | # | LB-UBS Commercial Mortgage Trust, 5.032%, 10/15/36 | 724,378 | 0.1 | |||||||||||||||
700,000 | # | LB-UBS Commercial Mortgage Trust, 5.413%, 02/15/40 | 586,950 | 0.0 | |||||||||||||||
600,000 | # | LB-UBS Commercial Mortgage Trust, 5.420%, 10/15/36 | 570,404 | 0.0 | |||||||||||||||
520,000 | # | LB-UBS Commercial Mortgage Trust, 5.720%, 10/15/36 | 372,832 | 0.0 | |||||||||||||||
410,000 | # | LB-UBS Commercial Mortgage Trust, 5.750%, 01/15/36 | 410,194 | 0.0 | |||||||||||||||
650,000 | # | LB-UBS Commercial Mortgage Trust, 5.868%, 11/15/33 | 651,367 | 0.1 | |||||||||||||||
1,760,000 | # | LB-UBS Commercial Mortgage Trust, 6.089%, 09/15/39 | 1,783,432 | 0.1 | |||||||||||||||
1,830,000 | # | LB-UBS Commercial Mortgage Trust, 6.089%, 09/15/39 | 1,814,719 | 0.2 | |||||||||||||||
14,207,000 | LB-UBS Commercial Mortgage Trust, 4.895%–6.084%, 06/15/36–11/15/40 | 13,747,295 | 1.2 | ||||||||||||||||
510,000 | # | Merrill Lynch Mortgage Investors, Inc., 6.000%, 12/15/30 | 515,892 | 0.0 | |||||||||||||||
45,547,858 | #, ˆ | Merrill Lynch Mortgage Trust, 0.645%, 02/12/51 | 887,896 | 0.1 | |||||||||||||||
2,528,235 | Merrill Lynch Mortgage Investors, Inc., 6.250%–6.750%, 11/15/26–12/10/29 | 2,616,651 | 0.2 | ||||||||||||||||
15,451,437 | #, ˆ | Morgan Stanley Bank of America Merrill Lynch Trust, 2.100%, 08/15/45 | 1,767,500 | 0.2 | |||||||||||||||
1,030,000 | # | Morgan Stanley Bank of America Merrill Lynch Trust, 3.277%, 10/15/22 | 1,055,665 | 0.1 | |||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
1,620,000 | Morgan Stanley Capital I Trust 2008–TOP29, 6.455%, 01/11/43 | $ | 1,916,062 | 0.2 | |||||||||||||||
2,820,000 | Morgan Stanley Capital I, Inc., 5.759%, 04/12/49 | 2,752,508 | 0.2 | ||||||||||||||||
1,000,000 | # | Morgan Stanley Capital I, 5.623%, 01/13/41 | 999,537 | 0.1 | |||||||||||||||
250,000 | # | Morgan Stanley Capital I, 5.910%, 11/15/31 | 239,831 | 0.0 | |||||||||||||||
1,400,000 | # | Morgan Stanley Capital I, 5.987%, 08/12/41 | 1,266,078 | 0.1 | |||||||||||||||
280,000 | # | Morgan Stanley Capital I, 7.350%, 07/15/32 | 289,345 | 0.0 | |||||||||||||||
791,000 | # | Morgan Stanley Dean Witter Capital I, 6.465%, 03/12/35 | 790,508 | 0.1 | |||||||||||||||
600,000 | # | Morgan Stanley Dean Witter Capital I, 7.478%, 07/15/33 | 602,296 | 0.0 | |||||||||||||||
1,044,000 | # | Morgan Stanley Reremic Trust, 5.843%, 12/17/43 | 1,049,332 | 0.1 | |||||||||||||||
9,893,000 | Morgan Stanley Capital I, 5.073%–5.793%, 06/15/38–07/12/44 | 9,862,620 | 0.8 | ||||||||||||||||
19,290,967 | #, ˆ | RBSCF Trust, 1.121%, 04/15/24 | 398,455 | 0.1 | |||||||||||||||
2,680,000 | # | RBSCF Trust, 5.305%, 01/16/49 | 2,732,080 | 0.2 | |||||||||||||||
6,289,382 | Residential Accredit Loans, Inc., 0.387%–0.667%, 12/25/36–01/25/37 | 3,736,488 | 0.3 | ||||||||||||||||
3,929,000 | # | Silverstone Master Issuer PLC, 2.003%, 01/21/55 | 4,052,382 | 0.3 | |||||||||||||||
8,082,667 | #, ˆ | UBS-Barclays Commercial Mortgage Trust, 1.989%, 05/10/63 | 865,799 | 0.1 | |||||||||||||||
893,183 | #, ˆ | UBS-Citigroup Commercial Mortgage Trust, 2.713%, 01/10/45 | 123,507 | 0.0 | |||||||||||||||
8,700,000 | Wachovia Bank Commercial Mortgage Trust, 5.342%, 12/15/43 | 9,897,990 | 0.9 | ||||||||||||||||
1,331,000 | # | Wachovia Bank Commercial Mortgage Trust, 5.704%, 02/15/35 | 1,327,146 | 0.1 | |||||||||||||||
3,297,402 | Wachovia Bank Commercial Mortgage Trust, 5.030%–5.939%, 01/15/41–06/15/49 | 3,707,730 | 0.3 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
3,012,621 | Wells Fargo Alternative Loan Trust, 6.250%, 07/25/37 | $ | 2,523,180 | 0.2 | |||||||||||||||
3,209,567 | Wells Fargo Mortgage Backed Securities Trust, 5.596%, 04/25/36 | 3,194,299 | 0.3 | ||||||||||||||||
14,271,790 | #, ˆ | WF-RBS Commercial Mortgage Trust, 1.767%, 06/15/45 | 1,587,507 | 0.1 | |||||||||||||||
7,283,256 | #, ˆ | WF-RBS Commercial Mortgage Trust, 2.423%, 08/15/45 | 995,253 | 0.1 | |||||||||||||||
3,625,314 | Wells Fargo Mortgage Backed Securities Trust, 5.500%–6.000%, 11/25/35–03/25/37 | 3,638,838 | 0.3 | ||||||||||||||||
14,304,478 | Other Securities | 11,986,092 | 1.0 | ||||||||||||||||
Total Collateralized Mortgage Obligations | |||||||||||||||||||
(Cost $179,569,985) | 185,143,428 | 15.5 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 17.8% | |||||||||||||||||||
U.S. Treasury Bonds: 1.6% | |||||||||||||||||||
17,752,000 | 3.000%, due 05/15/42 | 18,437,121 | 1.6 | ||||||||||||||||
U.S. Treasury Notes: 16.2% | |||||||||||||||||||
50,593,000 | 0.250%, due 08/31/14 | 50,614,755 | 4.2 | ||||||||||||||||
74,179,000 | 0.250%, due 09/15/15 | 74,063,132 | 6.2 | ||||||||||||||||
53,591,000 | 0.625%, due 08/31/17 | 53,645,448 | 4.5 | ||||||||||||||||
11,863,000 | 1.000%, due 08/31/19 | 11,842,608 | 1.0 | ||||||||||||||||
3,066,000 | 1.625%, due 08/15/22 | 3,064,084 | 0.3 | ||||||||||||||||
193,230,027 | 16.2 | ||||||||||||||||||
Total U.S. Treasury Obligations | |||||||||||||||||||
(Cost $211,222,250) | 211,667,148 | 17.8 | |||||||||||||||||
ASSET-BACKED SECURITIES: 4.6% | |||||||||||||||||||
Automobile Asset-Backed Securities: 0.2% | |||||||||||||||||||
1,000,000 | # | Motor PLC, 1.286%, 02/25/20 | 1,001,535 | 0.1 | |||||||||||||||
1,500,000 | # | SMART Trust, 1.590%, 10/14/16 | 1,510,380 | 0.1 | |||||||||||||||
2,511,915 | 0.2 | ||||||||||||||||||
Credit Card Asset-Backed Securities: 0.5% | |||||||||||||||||||
2,500,000 | # | Cards II Trust, 0.671%, 09/15/17 | 2,500,110 | 0.2 | |||||||||||||||
1,250,000 | # | Gracechurch Card Funding PLC, 0.921%, 02/15/17 | 1,257,640 | 0.1 | |||||||||||||||
2,200,000 | # | Penarth Master Issuer PLC, 0.790%, 03/18/14 | 2,208,437 | 0.2 | |||||||||||||||
5,966,187 | 0.5 | ||||||||||||||||||
Home Equity Asset-Backed Securities: 0.1% | |||||||||||||||||||
327,490 | Other Securities | 305,791 | 0.1 | ||||||||||||||||
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: 3.8% | |||||||||||||||||||
983,353 | # | Aimco CDO, 0.705%, 10/20/19 | $ | 950,274 | 0.1 | ||||||||||||||
246,513 | # | ARES CLO Funds, 0.625%, 09/18/17 | 244,546 | 0.0 | |||||||||||||||
900,000 | # | ARES CLO Funds, 3.077%, 02/26/16 | 868,857 | 0.1 | |||||||||||||||
750,000 | # | ARES CLO Ltd., 1.777%, 02/26/16 | 727,206 | 0.1 | |||||||||||||||
500,000 | # | ARES CLO Ltd., 6.901%, 02/26/16 | 519,747 | 0.0 | |||||||||||||||
815,663 | # | Atrium CDO Corp., 0.757%, 10/27/16 | 805,462 | 0.1 | |||||||||||||||
700,000 | # | Babson CLO Ltd./Cayman Islands, 5.692%, 11/15/16 | 731,431 | 0.0 | |||||||||||||||
750,000 | # | Babson CLO Ltd./Cayman Islands, 6.812%, 11/15/16 | 789,481 | 0.1 | |||||||||||||||
437,311 | # | Black Diamond CLO Ltd., 0.649%, 06/20/17 | 432,060 | 0.0 | |||||||||||||||
1,000,000 | # | Castle Garden Funding, 6.560%, 10/27/20 | 1,031,760 | 0.1 | |||||||||||||||
1,228,740 | # | Credit-Based Asset Servicing and Securitization, LLC, 5.746%, 12/25/37 | 1,247,926 | 0.1 | |||||||||||||||
1,188,000 | # | Credit-Based Asset Servicing and Securitization, LLC, 6.020%, 12/25/37 | 1,170,999 | 0.1 | |||||||||||||||
1,800,000 | # | Dryden Leveraged Loan CDO 2002–II, 2.689%, 09/17/16 | 1,790,392 | 0.1 | |||||||||||||||
2,100,000 | # | Emporia Preferred Funding, 0.955%, 10/18/18 | 1,884,355 | 0.2 | |||||||||||||||
343,290 | # | First CLO Ltd., 0.704%, 12/14/16 | 342,288 | 0.0 | |||||||||||||||
1,100,000 | # | First CLO Ltd., 1.394%, 12/14/16 | 1,075,441 | 0.1 | |||||||||||||||
135,836 | # | Granite Ventures Ltd., 0.715%, 12/15/17 | 135,387 | 0.0 | |||||||||||||||
1,575,000 | # | Grayston CLO Ltd., 1.735%, 08/15/16 | 1,541,453 | 0.1 | |||||||||||||||
1,514,000 | # | Gulf Stream — Compass CLO 2005–I Ltd., 1.185%, 05/15/17 | 1,478,961 | 0.1 | |||||||||||||||
1,000,000 | # | Gulf Stream — Sextant CLO Ltd., 0.775%, 08/21/20 | 944,998 | 0.1 | |||||||||||||||
114,856 | # | Gulf Stream Compass CLO Ltd., 0.815%, 07/15/16 | 114,721 | 0.0 | |||||||||||||||
3,100,000 | # | Gulf Stream Compass CLO Ltd., 0.855%, 05/15/17 | 3,034,850 | 0.3 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
1,350,000 | # | Gulf Stream Compass CLO Ltd., 1.705%, 07/15/16 | $ | 1,299,632 | 0.1 | ||||||||||||||
1,000,000 | # | Hewett’s Island CDO Ltd., 1.589%, 12/15/16 | 945,141 | 0.1 | |||||||||||||||
500,376 | # | Katonah Ltd., 0.699%, 09/20/16 | 497,203 | 0.0 | |||||||||||||||
769,481 | # | Landmark CDO Ltd., 1.305%, 01/15/16 | 767,910 | 0.1 | |||||||||||||||
2,999,686 | # | Lightpoint CLO Ltd., 0.649%, 09/15/17 | 2,948,865 | 0.2 | |||||||||||||||
2,272,807 | # | MCG Commercial Loan Trust, 1.035%, 04/20/18 | 2,247,508 | 0.2 | |||||||||||||||
10,178,000 | Morgan Stanley ABS Capital I, 0.487%, 03/25/36 | 4,639,463 | 0.4 | ||||||||||||||||
555,669 | # | Olympic CLO Ltd., 1.335%, 05/15/16 | 553,950 | 0.0 | |||||||||||||||
2,400,000 | # | Olympic CLO Ltd., 1.935%, 05/15/16 | 2,366,616 | 0.2 | |||||||||||||||
1,900,000 | # | Stanfield Modena CLO Ltd., 1.623%, 09/22/16 | 1,892,453 | 0.2 | |||||||||||||||
1,025,305 | # | Wind River CLO Ltd., 0.711%, 12/19/16 | 1,012,629 | 0.1 | |||||||||||||||
10,207,064 | Other Securities | 4,483,902 | 0.4 | ||||||||||||||||
45,517,867 | 3.8 | ||||||||||||||||||
Total Asset-Backed Securities | |||||||||||||||||||
(Cost $54,075,848) | 54,301,760 | 4.6 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 28.4% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 7.1%## | |||||||||||||||||||
3,794,722 | ˆˆ | —%, due 01/15/36 | 3,601,783 | 0.3 | |||||||||||||||
5,173,721 | 4.000%, due 10/01/41 | 5,572,202 | 0.5 | ||||||||||||||||
7,003,608 | 4.000%, due 12/01/41 | 7,543,028 | 0.6 | ||||||||||||||||
3,340,362 | 4.500%, due 08/01/41 | 3,615,196 | 0.3 | ||||||||||||||||
3,442,514 | 4.500%, due 09/01/41 | 3,713,919 | 0.3 | ||||||||||||||||
4,847,806 | 4.500%, due 10/01/41 | 5,246,668 | 0.5 | ||||||||||||||||
10,768,244 | 5.500%, due 02/15/36 | 12,014,302 | 1.0 | ||||||||||||||||
3,416,646 | 5.500%, due 06/15/37 | 3,798,063 | 0.3 | ||||||||||||||||
3,791,998 | 6.000%, due 10/15/37 | 4,372,586 | 0.4 | ||||||||||||||||
63,341,987 | ˆ, W | 0.571%–7.000%, due 04/01/14–10/01/41 | 34,762,203 | 2.9 | |||||||||||||||
84,239,950 | 7.1 | ||||||||||||||||||
Federal National Mortgage Association: 15.5%## | |||||||||||||||||||
25,000,000 | W | 2.500%, due 07/25/27 | 26,226,563 | 2.2 | |||||||||||||||
10,879,000 | W | 3.000%, due 09/25/26 | 11,519,841 | 1.0 | |||||||||||||||
10,066,000 | W | 3.000%, due 03/15/27 | 10,627,495 | 0.9 | |||||||||||||||
27,500,000 | W | 3.000%, due 07/25/42 | 28,965,234 | 2.4 | |||||||||||||||
26,984,000 | W | 3.500%, due 01/25/41 | 28,877,096 | 2.4 | |||||||||||||||
6,560,583 | 4.000%, due 07/01/42 | 7,128,630 | 0.6 | ||||||||||||||||
5,851,000 | 4.000%, due 07/01/42 | 6,357,608 | 0.5 | ||||||||||||||||
6,537,642 | 4.500%, due 09/01/41 | 7,113,116 | 0.6 | ||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Federal National Mortgage Association: (continued) | |||||||||||||||||||
99,975,519 | ˆ | 0.620%–32.368%, due 08/01/16– 07/01/42 | $ | 58,381,976 | 4.9 | ||||||||||||||
185,197,559 | 15.5 | ||||||||||||||||||
Government National Mortgage Association: 5.8% | |||||||||||||||||||
26,002,000 | W | 3.500%, due 02/15/41 | 28,419,372 | 2.4 | |||||||||||||||
18,706,000 | W | 4.000%, due 11/15/39 | 20,588,291 | 1.7 | |||||||||||||||
3,342,141 | 4.000%, due 10/20/41 | 3,581,941 | 0.3 | ||||||||||||||||
66,211,059 | ˆ | 1.750%–8.029%, due 04/20/28–10/20/60 | 16,712,699 | 1.4 | |||||||||||||||
69,302,303 | 5.8 | ||||||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||
(Cost $323,309,508) | 338,739,812 | 28.4 | |||||||||||||||||
FOREIGN GOVERNMENT BONDS: 8.2% | |||||||||||||||||||
1,200,000 | # | Aruba Government Bond, 4.625%, 09/14/23 | 1,213,200 | 0.1 | |||||||||||||||
BRL 48,467,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/23 | 24,831,648 | 2.1 | ||||||||||||||||
1,320,000 | # | Indonesia Government International Bond, 3.750%, 04/25/22 | 1,399,200 | 0.1 | |||||||||||||||
EUR 5,748,000 | Italy Buoni Poliennali Del Tesoro, 5.500%, 09/01/22 | 7,661,242 | 0.6 | ||||||||||||||||
337,000 | # | Lithuania Government International Bond, 5.125%, 09/14/17 | 377,019 | 0.1 | |||||||||||||||
264,000 | # | Lithuania Government International Bond, 6.625%, 02/01/22 | 328,350 | 0.0 | |||||||||||||||
2,798,000 | Philippine Government International Bond, 4.000%, 01/15/21 | 3,133,760 | 0.3 | ||||||||||||||||
RUB 319,496,000 | Russian Federal Bond — OFZ, 8.150%, 02/03/27 | 10,402,696 | 0.9 | ||||||||||||||||
658,750 | Russian Foreign Bond — Eurobond, 7.500%, 03/31/30 | 832,989 | 0.0 | ||||||||||||||||
658,750 | Russian Foreign Bond — Eurobond, 7.500%, 03/31/30 | 825,348 | 0.1 | ||||||||||||||||
ZAR 36,157,806 | South Africa Government Bond, 6.250%, 03/31/36 | 3,500,652 | 0.3 | ||||||||||||||||
ZAR 65,815,684 | South Africa Government Bond, 8.750%, 02/28/48 | 8,261,382 | 0.7 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FOREIGN GOVERNMENT BONDS: (continued) | |||||||||||||||||||
500,000 | # | Sri Lanka Government International Bond, 5.875%, 07/25/22 | $ | 541,250 | 0.0 | ||||||||||||||
2,663,000 | Turkey Government International Bond, 7.500%, 11/07/19 | 3,352,717 | 0.3 | ||||||||||||||||
878,000 | Turkey Government International Bond, 5.125%–6.250%, 03/25/22–09/26/22 | 988,183 | 0.1 | ||||||||||||||||
3,200,000 | Ukraine Government International Bond, 9.250%, 07/24/17 | 3,377,472 | 0.3 | ||||||||||||||||
600,000 | # | Zambia Government International Bond, 5.375%, 09/20/22 | 606,000 | 0.0 | |||||||||||||||
25,285,505 | Other Securities(a) | 26,392,852 | 2.2 | ||||||||||||||||
Total Foreign Government Bonds | |||||||||||||||||||
(Cost $95,610,786) | 98,025,960 | 8.2 | |||||||||||||||||
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
PREFERRED STOCK: 0.6% | |||||||||||||||||||
Financials: 0.6% | |||||||||||||||||||
94,155 | @, P | US Bancorp | 2,689,337 | 0.3 | |||||||||||||||
143,000 | Other Securities | 3,790,230 | 0.3 | ||||||||||||||||
Total Preferred Stock | |||||||||||||||||||
(Cost $5,993,125) | 6,479,567 | 0.6 | |||||||||||||||||
# of Contracts | | | | Value | | Percentage of Net Assets | |||||||||||||
PURCHASED OPTIONS: 0.0% | |||||||||||||||||||
Interest Rate Swaptions: 0.0% | |||||||||||||||||||
59,375,000 | @ | Call Swaption, Receive a fixed rate equal to 1.500% and pay a floating based on 3-month-USD-LIBOR, Exp. 12/29/12 Counterparty: Citigroup, Inc. | 161,859 | 0.0 | |||||||||||||||
Total Purchased Options | |||||||||||||||||||
(Cost $225,625) | 161,859 | 0.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $1,239,923,408) | 1,282,068,452 | 107.7 | |||||||||||||||||
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
SHORT-TERM INVESTMENTS: 5.1% | |||||||||||||||||||
Securities Lending Collateralcc(1): 1.1% | |||||||||||||||||||
3,093,298 | Citigroup, Inc., Repurchase Agreement dated 09/28/12, 0.25%, due 10/01/12 (Repurchase Amount $3,093,362, collateralized by various U.S. Government Agency Obligations, 2.375%–7.000%, Market Value plus accrued interest $3,155,164, due 09/01/18–08/01/48) | $ | 3,093,298 | 0.3 | |||||||||||||||
3,093,298 | JPMorgan Chase & Co., Repurchase Agreement dated 09/28/12, 0.24%, due 10/01/12 (Repurchase Amount $3,093,359, collateralized by various U.S. Government Agency Obligations, 2.500%–6.500%, Market Value plus accrued interest $3,155,172, due 02/23/14–04/01/48) | 3,093,298 | 0.2 | ||||||||||||||||
3,093,298 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 09/28/12, 0.20%, due 10/01/12 (Repurchase Amount $3,093,349, collateralized by various U.S. Government Agency Obligations, 3.500%–4.500%, Market Value plus accrued interest $3,155,164, due 05/20/41–09/20/41) | 3,093,298 | 0.3 | ||||||||||||||||
3,093,298 | Mizuho Securities USA Inc., Repurchase Agreement dated 09/28/12, 0.29%, due 10/01/12 (Repurchase Amount $3,093,372, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–10.000%, Market Value plus accrued interest $3,155,164, due 10/24/12–10/01/40) | 3,093,298 | 0.3 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Securities Lending Collateralcc(1): (continued) | |||||||||||||||||||
651,219 | Morgan Stanley, Repurchase Agreement dated 09/28/12, 0.25%, due 10/01/12 (Repurchase Amount $651,232, collateralized by various U.S. Government Agency Obligations, 2.452%–5.000%, Market Value plus accrued interest $664,243, due 07/01/41–09/01/42) | $ | 651,219 | 0.0 | |||||||||||||||
13,024,411 | 1.1 | ||||||||||||||||||
Foreign Government Bonds: 1.5% | |||||||||||||||||||
MXN 235,339,100 | Z | Mexico Cetes, 4.510%, 03/21/13 | |||||||||||||||||
(Cost $17,853,916) | 17,897,601 | 1.5 | |||||||||||||||||
Shares | Value | Percentage of Net Assets | |||||||||||||||||
Mutual Funds: 2.5% | |||||||||||||||||||
30,317,565 | BlackRock Liquidity Funds, TempFund, Institutional Class | ||||||||||||||||||
(Cost $30,317,565) | 30,317,565 | 2.5 | |||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $61,195,892) | 61,239,577 | 5.1 | |||||||||||||||||
Total Investments in Securities (Cost $1,301,119,300) | $ | 1,343,308,029 | 112.8 | ||||||||||||||||
Liabilities in Excess of Other Assets | (152,875,367 | ) | (12.8 | ) | |||||||||||||||
Net Assets | $ | 1,190,432,662 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. |
@ | Non-income producing security |
P | Preferred Stock may be called prior to convertible date. |
cc | Securities purchased with cash collateral for securities loaned. |
W | Settlement is on a when-issued or delayed-delivery basis. |
L | Loaned security, a portion or all of the security is on loan at September 30, 2012. |
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. |
ˆˆ | Principal only securities represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. No payments of interest on the pool are passed through the principal only security. |
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
(a) | This grouping contains securities on loan. |
(b) | The grouping contains securities in default. |
BRL | Brazilian Real |
DKK | Danish Krone |
EUR | EU Euro |
MXN | Mexican Peso |
RUB | Russian Ruble |
ZAR | South African Rand |
Cost for federal income tax purposes is $1,301,571,845. | |||||||
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 49,538,702 | |||||
Gross Unrealized Depreciation | (7,802,518 | ) | |||||
Net Unrealized Appreciation | $ | 41,736,184 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at September 30, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Preferred Stock | $ | 5,087,967 | $ | 1,391,600 | $ | — | $ | 6,479,567 | ||||||||||
Purchased Options | — | 161,859 | — | 161,859 | ||||||||||||||
Corporate Bonds/Notes | — | 387,548,918 | — | 387,548,918 | ||||||||||||||
Collateralized Mortgage Obligations | — | 185,143,428 | — | 185,143,428 | ||||||||||||||
Short-Term Investments | 30,317,565 | 30,922,012 | — | 61,239,577 | ||||||||||||||
Foreign Government Bonds | — | 98,025,960 | — | 98,025,960 | ||||||||||||||
U.S. Treasury Obligations | — | 211,667,148 | — | 211,667,148 | ||||||||||||||
U.S. Government Agency Obligations | — | 338,739,812 | — | 338,739,812 | ||||||||||||||
Asset-Backed Securities | — | 54,301,760 | — | 54,301,760 | ||||||||||||||
Total Investments, at fair value | $ | 35,405,532 | $ | 1,307,902,497 | $ | — | $ | 1,343,308,029 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Swaps | — | 420,748 | — | 420,748 | ||||||||||||||
Futures | 238,244 | — | — | 238,244 | ||||||||||||||
Forward Foreign Currency Contracts | — | 919,995 | — | 919,995 | ||||||||||||||
Total Assets | $ | 35,643,776 | $ | 1,309,243,240 | $ | — | $ | 1,344,887,016 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Swaps | $ | — | $ | (2,006,693 | ) | $ | — | $ | (2,006,693 | ) | ||||||||
Futures | (777,317 | ) | — | — | (777,317 | ) | ||||||||||||
Forward Foreign Currency Contracts | — | (2,816,976 | ) | — | (2,816,976 | ) | ||||||||||||
Total Liabilities | $ | (777,317 | ) | $ | (4,823,669 | ) | $ | — | $ | (5,600,986 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank PLC | Russian Ruble | 71,185,109 | Buy | 11/30/12 | $ | 2,166,777 | $ | 2,258,460 | $ | 91,683 | ||||||||||||||||||||
Credit Suisse First Boston | Mexican Peso | 946,472 | Buy | 11/30/12 | 72,263 | 73,074 | 811 | |||||||||||||||||||||||
Credit Suisse First Boston | South African Rand | 34,448,805 | Buy | 11/30/12 | 4,043,977 | 4,103,346 | 59,369 | |||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 9,064,200 | Buy | 11/30/12 | 701,937 | 699,817 | (2,120 | ) | ||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 46,028,645 | Buy | 11/30/12 | 5,603,000 | 5,482,671 | (120,329 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Indian Rupee | 320,525,200 | Buy | 12/14/12 | 5,849,000 | 5,989,349 | 140,349 | |||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 118,290 | Buy | 11/30/12 | 145,979 | 152,106 | 6,127 | |||||||||||||||||||||||
HSBC | Australian Dollar | 10,836,538 | Buy | 11/30/12 | 11,111,462 | 11,180,433 | 68,971 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 1,011,505 | Buy | 11/30/12 | 78,448 | 78,095 | (353 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | EU Euro | 18,618,274 | Buy | 11/30/12 | 24,335,053 | 23,940,791 | (394,262 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 76,620,259 | Buy | 11/30/12 | 5,824,000 | 5,915,600 | 91,600 | |||||||||||||||||||||||
JPMorgan Chase & Co. | South African Rand | 48,894,815 | Buy | 11/30/12 | 5,824,000 | 5,824,072 | 73 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 154,811,350 | Buy | 11/30/12 | 4,711,670 | 4,911,633 | 199,963 | |||||||||||||||||||||||
$ | 141,882 | |||||||||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 5,873,893 | Sell | 11/30/12 | $ | 712,119 | $ | 699,665 | $ | 12,454 | ||||||||||||||||||||
Citigroup, Inc. | South African Rand | 31,907,646 | Sell | 11/30/12 | 3,839,017 | 3,800,657 | 38,360 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 23,434,559 | Sell | 11/30/12 | 29,269,108 | 30,133,936 | (864,828 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 3,757,549 | Sell | 11/30/12 | 450,000 | 447,578 | 2,422 | |||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 119,052,918 | Sell | 11/30/12 | 8,926,640 | 9,191,687 | (265,047 | ) |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse First Boston | South African Rand | 57,210,651 | Sell | 11/30/12 | $ | 6,923,632 | $ | 6,814,607 | $ | 109,025 | ||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 49,314,690 | Sell | 10/05/12 | 23,898,566 | 24,308,084 | (409,518 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 520,980,689 | Sell | 11/30/12 | 15,972,918 | 16,528,932 | (556,014 | ) | ||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 5,657,732 | Sell | 11/30/12 | 683,137 | 673,917 | 9,220 | |||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 117,379,879 | Sell | 11/30/12 | 8,867,741 | 9,062,517 | (194,776 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 5,868,994 | Sell | 11/30/12 | 443,397 | 453,126 | (9,729 | ) | ||||||||||||||||||||||
HSBC | Australian Dollar | 10,836,538 | Sell | 11/30/12 | 11,270,000 | 11,180,432 | 89,568 | |||||||||||||||||||||||
$ | (2,038,863 | ) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
U.S. Treasury 2-Year Note | 303 | 12/31/12 | $ | 66,820,972 | $ | 32,386 | ||||||||||||
U.S. Treasury 5-Year Note | 34 | 12/31/12 | 4,237,516 | 17,181 | ||||||||||||||
U.S. Treasury Ultra Long Bond | 236 | 12/19/12 | 38,991,625 | (372,106 | ) | |||||||||||||
$ | 110,050,113 | $ | (322,539 | ) | ||||||||||||||
Short Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | (502 | ) | 12/19/12 | (67,009,159 | ) | (405,211 | ) | |||||||||||
U.S. Treasury Long Bond | (398 | ) | 12/19/12 | (59,451,250 | ) | 188,677 | ||||||||||||
$ | (126,460,409 | ) | $ | (216,534 | ) |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount (2) | Fair Value (3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup, Inc. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 1,311,000 | $ | 78,464 | $ | 82,484 | $ | (4,020 | ) | ||||||||||||||||||||||
Citigroup, Inc. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 640,000 | 38,304 | 41,955 | (3,651 | ) | |||||||||||||||||||||||||
JPMorgan Chase & Co. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 5,079,000 | 303,980 | 173,904 | 130,076 | ||||||||||||||||||||||||||
$ | 420,748 | $ | 298,343 | $ | 122,405 |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Implied Credit Spread at 09/30/12 (%) (5) | Notional Amount (2) | Fair Value (3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 22.860 | USD 1,311,000 | $ | (193,937 | ) | $ | (104,319 | ) | $ | (89,618 | ) | |||||||||||||||||||||||
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 22.860 | USD 641,000 | (94,823 | ) | (46,756 | ) | (48,067 | ) | ||||||||||||||||||||||||||
Goldman Sachs & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 22.860 | USD 1,271,000 | (188,019 | ) | (91,536 | ) | (96,483 | ) | ||||||||||||||||||||||||||
JPMorgan Chase & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 22.860 | USD 2,540,000 | (375,742 | ) | (91,800 | ) | (283,942 | ) | ||||||||||||||||||||||||||
$ | (852,521 | ) | $ | (334,411 | ) | $ | (518,110 | ) |
(1) | If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum amount of future payments (undiscounted) that a Fund as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement. |
(3) | The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
(4) | If the Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will generally either i) Pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or ii) Pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. |
(5) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed in each Fund’s Portfolio of Investment and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting market values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized and pay a fixed rate equal to 10.365% Counterparty: Goldman Sachs & Co. | 01/02/17 | BRL 51,500,000 | $ | (1,154,172 | ) | $ | — | $ | (1,154,172 | ) | ||||||||||||
$ | (1,154,172 | ) | $ | — | $ | (1,154,172 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | ||||||||||
Interest rate contracts | Investments in securities at value* | $ | 161,859 | |||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 919,995 | ||||||||
Credit contracts | Upfront payments paid on OTC swap agreements | 298,343 | ||||||||
Credit contracts | Unrealized appreciation on OTC swap agreements | 130,076 | ||||||||
Interest rate contracts | Net Assets — Unrealized appreciation** | 238,244 | ||||||||
Total Asset Derivatives | $ | 1,748,517 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 2,816,976 | |||||||
Credit contracts | Upfront payments received on OTC swap agreements | 334,411 | ||||||||
Credit contracts | Unrealized depreciation on OTC swap agreements | 525,781 | ||||||||
Interest rate contracts | Unrealized depreciation on OTC swap agreements | 1,154,172 | ||||||||
Interest rate contracts | Net Assets — Unrealized depreciation** | 777,317 | ||||||||
Total Liability Derivatives | $ | 5,608,657 |
* | Includes purchased options. |
** | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | |||||||||||||||||||||
Credit contracts | $ | 137,215 | $ | — | $ | — | $ | (345,973 | ) | $ | (1,256,004 | ) | $ | (1,464,762 | ) | ||||||||||||
Foreign exchange contracts | 148,002 | 2,165,569 | — | — | (585,514 | ) | 1,728,057 | ||||||||||||||||||||
Interest rate contracts | — | — | (1,989,342 | ) | — | — | (1,989,342 | ) | |||||||||||||||||||
Total | $ | 285,217 | $ | 2,165,569 | $ | (1,989,342 | ) | $ | (345,973 | ) | $ | (1,841,518 | ) | $ | (1,726,047 | ) |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | |||||||||||||||||||||
Credit contracts | $ | 161,198 | $ | — | $ | — | $ | 1,165,824 | $ | — | $ | 1,327,021 | |||||||||||||||
Foreign exchange contracts | 92,400 | (213,321 | ) | — | — | 126,078 | 5,157 | ||||||||||||||||||||
Interest rate contracts | (63,766 | ) | — | (454,851 | ) | (41,728 | ) | — | (560,345 | ) | |||||||||||||||||
Total | $ | 189,832 | $ | (213,321 | ) | $ | (454,851 | ) | $ | 1,124,096 | $ | 126,078 | $ | 771,833 |
* | 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. |
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Dechert
1775 I Street, N.W.
Washington, D.C. 20006
SAR-UFIALL (0912-111612) |
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. |
President’s Letter | 1 | |||||
Market Perspective | 2 | |||||
Portfolio Managers’ Report | 4 | |||||
Shareholder Expense Example | 6 | |||||
Statement of Assets and Liabilities | 7 | |||||
Statement of Operations | 8 | |||||
Statements of Changes in Net Assets | 9 | |||||
Financial Highlights | 10 | |||||
Notes to Financial Statements | 11 | |||||
Portfolio of Investments | 18 |
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President and Chief Executive Officer
ING Funds
October 29, 2012
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 the 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.
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 U.S. Investment Grade Corporate Bond Index | An unmanaged index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. | |||||
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. | |||||
The S&P/LSTA Leveraged Loan Index | An unmanaged total return index that captures accrued interest, repayments, and market value changes. It represents a broad cross section of leveraged loans syndicated in the United States, including dollar-denominated loans to overseas issuers. Standard & Poor’s (“S&P”) and the Loan Syndications and Trading Association (“LSTA”) conceived the index to establish a performance benchmark for the syndicated leveraged loan industry. |
Ratings Distribution as of September 30, 2012 | ||||||||
---|---|---|---|---|---|---|---|---|
Ba | 38.7 | % | ||||||
B | 55.9 | % | ||||||
Caa and below | 4.3 | % | ||||||
Not rated* | 1.1 | % | ||||||
Ratings distribution shows the percentage of the Fund’s loan commitments (excluding cash and foreign cash) that are rated in each ratings category, based upon the categories provided by Moody’s Investors Service, Inc. Ratings distribution is based on Moody’s senior secured facility ratings. Moody’s ratings classification methodology: Aaa rating denotes the least credit risk; C rating denotes the greatest credit risk. Loans rated below Baa by Moody’s are considered to be below investment grade. Ratings can change from time to time, and current ratings may not fully reflect the actual credit condition or risks posed by a loan. |
TOP TEN LOAN ISSUERS AS OF SEPTEMBER 30, 2012 AS A PERCENTAGE OF: | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
TOTAL ASSETS | NET ASSETS | |||||||||||||||
BJs Wholesale Club | 1.5% | 1.7% | ||||||||||||||
Chrysler Group LLC, Term Loan B | 1.1% | 1.2% | ||||||||||||||
Ineos US Finance LLC, Cash Dollar Term Loan | 1.1% | 1.2% | ||||||||||||||
Wideopenwest Finance, LLC, Term Loan | 1.1% | 1.2% | ||||||||||||||
Capital Automotive L.P., Term Loan | 1.0% | 1.1% | ||||||||||||||
Go Daddy Operating Company, LLC, 1st Lien Term Loan | 1.0% | 1.1% | ||||||||||||||
Asurion, LLC | 1.0% | 1.1% | ||||||||||||||
Schaeffler AG, Term Loan C2 | 1.0% | 1.1% | ||||||||||||||
Generac Power Systems, Inc., Term Loan B | 0.9% | 1.0% | ||||||||||||||
West Corp, Term B-6 Facility | 0.9% | 1.0% | ||||||||||||||
Subject to change daily. | ||||||||||||||||
|
Jeffrey A. Bakalar Senior Vice President Managing Director ING Investment Management Co. LLC | Daniel A. Norman Senior Vice President Managing Director ING Investment Management Co. LLC | |||||
ING Floating Rate Fund October 24, 2012 |
Actual Fund Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value April 1, 2012 | Ending Account Value September 30, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2012* | Beginning Account Value April 1, 2012 | Ending Account Value September 30, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2012* | ||||||||||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,036.60 | 1.01 | % | $ | 5.16 | $ | 1,000.00 | $ | 1,020.00 | 1.01 | % | $ | 5.11 | |||||||||||||||||||
Class C | 1,000.00 | 1,032.80 | 1.76 | $ | 8.97 | 1,000.00 | 1,016.24 | 1.76 | 8.90 | ||||||||||||||||||||||||||
Class I | 1,000.00 | 1,037.90 | 0.76 | $ | 3.88 | 1,000.00 | 1,021.26 | 0.76 | 3.85 | ||||||||||||||||||||||||||
Class R | 1,000.00 | 1,035.40 | 1.26 | $ | 6.43 | 1,000.00 | 1,018.75 | 1.26 | 6.38 | ||||||||||||||||||||||||||
Class W | 1,000.00 | 1,037.80 | 0.76 | $ | 3.88 | 1,000.00 | 1,021.26 | 0.76 | 3.85 |
* | Expenses are equal to the Fund’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 183/365 to reflect the most recent fiscal half-year. |
ASSETS: | |||||||
Investments in securities at fair value (Cost $235,310,032) | $ | 237,982,698 | |||||
Short-term investments at value (Cost $28,000,000) | 28,000,000 | ||||||
Total Investments at fair value | 265,982,698 | ||||||
Receivables: | |||||||
Investment securities sold | 3,789,705 | ||||||
Fund shares sold | 2,129,761 | ||||||
Interest | 1,581,641 | ||||||
Prepaid expenses | 26,637 | ||||||
Reimbursement due from manager | 20,223 | ||||||
Total assets | 273,530,665 | ||||||
LIABILITIES: | |||||||
Payable for investment securities purchased | 24,078,312 | ||||||
Payable for fund shares redeemed | 758,561 | ||||||
Income distribution payable | 97,046 | ||||||
Payable for investment management fees | 109,620 | ||||||
Payable for administrative fees | 19,931 | ||||||
Payable for shareholder service and distribution fees | 19,313 | ||||||
Accrued trustees fees | 3,456 | ||||||
Other accrued expenses and liabilities | 132,454 | ||||||
Total liabilities | 25,218,693 | ||||||
NET ASSETS | $ | 248,311,972 | |||||
NET ASSETS WERE COMPRISED OF: | |||||||
Paid-in capital | 246,269,126 | ||||||
Undistributed net investment income | 125,823 | ||||||
Accumulated net realized loss | (755,643 | ) | |||||
Net unrealized appreciation | 2,672,666 | ||||||
NET ASSETS | $ | 248,311,972 | |||||
Class A: | |||||||
Net assets | $ | 16,337,676 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 1,601,952 | ||||||
Net asset value and redemption price per share | $ | 10.20 | |||||
Maximum offering price per share (2.50%)(1) | $ | 10.46 | |||||
Class C: | |||||||
Net assets | $ | 9,996,929 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 980,133 | ||||||
Net asset value and redemption price per share (2) | $ | 10.20 | |||||
Class I: | |||||||
Net assets | $ | 137,291,040 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 13,462,736 | ||||||
Net asset value and redemption price per share (2) | $ | 10.20 | |||||
Class R: | |||||||
Net assets | $ | 21,265,766 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 2,086,166 | ||||||
Net asset value and redemption price per share | $ | 10.19 | |||||
Class W: | |||||||
Net assets | $ | 63,420,561 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 6,206,012 | ||||||
Net asset value and redemption price per share | $ | 10.22 | |||||
__________________ | |||||||
(1) Maximum offering price is computed at 100/97.50 of net asset value. On purchases of $100,000 or more, the offering price is reduced. | |||||||
(2) Redemption price per share may be reduced for any applicable contingent deferred sales charge. |
INVESTMENT INCOME: | ||||||
Interest | $ | 7,494,326 | ||||
Other | 146,231 | |||||
Total investment income | 7,640,557 | |||||
EXPENSES: | ||||||
Investment management fees | 669,020 | |||||
Administration fees | 121,640 | |||||
Distribution and service fees: | ||||||
Class A | 15,331 | |||||
Class C | 40,820 | |||||
Class R | 48,272 | |||||
Transfer agent fees: | ||||||
Class A | 5,004 | |||||
Class C | 3,327 | |||||
Class I | 58,630 | |||||
Class R | 7,853 | |||||
Class W | 23,500 | |||||
Shareholder reporting expense | 6,345 | |||||
Custody and accounting expense | 73,200 | |||||
Registration fees | 41,189 | |||||
Professional fees | 27,882 | |||||
Trustees fees | 4,175 | |||||
Structuring fee | 972 | |||||
Commitment fee | 12,708 | |||||
Miscellaneous expense | 3,676 | |||||
Interest expense | 1,026 | |||||
Total expenses | 1,164,570 | |||||
Net waived and reimbursed fees | (134,409 | ) | ||||
Net expenses | 1,030,161 | |||||
Net investment income | 6,610,396 | |||||
REALIZED AND UNREALIZED GAIN: | ||||||
Net realized gain on: | ||||||
Investments | 14,311 | |||||
Net realized gain | 14,311 | |||||
Net change in unrealized appreciation or depreciation on : | ||||||
Investments | 2,086,238 | |||||
Unfunded commitments | (87 | ) | ||||
Net change in unrealized appreciation or depreciation | 2,086,151 | |||||
Net realized and unrealized gain | 2,100,462 | |||||
Increase in net assets resulting from operations | $ | 8,710,858 |
Six Months Ended September 30, 2012 | Year Ended March 31, 2012 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
FROM OPERATIONS: | ||||||||||
Net investment income | $ | 6,610,396 | $ | 10,875,221 | ||||||
Net realized gain (loss) | 14,311 | (767,770 | ) | |||||||
Net change in unrealized appreciation or depreciation | 2,086,151 | (1,397,199 | ) | |||||||
Net increase in net assets resulting from operations | 8,710,858 | 8,710,252 | ||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||
Net investment income: | ||||||||||
Class A | (319,919 | ) | (639,356 | ) | ||||||
Class C | (183,231 | ) | (203,884 | ) | ||||||
Class I | (3,965,946 | ) | (7,478,743 | ) | ||||||
Class R | (482,509 | ) | (561,087 | ) | ||||||
Class W | (1,576,287 | ) | (2,211,548 | ) | ||||||
Net realized gains: | ||||||||||
Class A | — | (37,398 | ) | |||||||
Class C | — | (30,562 | ) | |||||||
Class I | — | (922,011 | ) | |||||||
Class R | — | (87,338 | ) | |||||||
Class W | — | (296,000 | ) | |||||||
Total distributions | (6,527,892 | ) | (12,467,927 | ) | ||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||
Net proceeds from sale of shares | 42,982,876 | 148,313,137 | ||||||||
Reinvestment of distributions | 6,020,863 | 11,355,771 | ||||||||
49,003,739 | 159,668,908 | |||||||||
Cost of shares redeemed | (63,138,204 | ) | (99,290,003 | ) | ||||||
Net increase (decrease) in net assets resulting from capital share transactions | (14,134,465 | ) | 60,378,905 | |||||||
Net increase (decrease) in net assets | (11,951,499 | ) | 56,621,230 | |||||||
NET ASSETS: | ||||||||||
Beginning of period | 260,263,471 | 203,642,241 | ||||||||
End of period | $ | 248,311,972 | $ | 260,263,471 | ||||||
Undistributed net investment income at end of period | $ | 125,823 | $ | 43,319 |
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) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 10.10 | 0.27 | 0.09 | 0.36 | 0.26 | — | — | 0.26 | 10.20 | 3.66 | 1.12 | 1.01 | 1.01 | 5.32 | 16,338 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 10.26 | 0.43 | * | (0.08 | ) | 0.35 | 0.45 | 0.06 | — | 0.51 | 10.10 | 3.58 | 1.12 | 1.01 | 1.01 | 4.23 | 10,266 | 79 | ||||||||||||||||||||||||||||||||||||||||||||||||||
08-17-10(4)–03-31-11 | 10.00 | 0.21 | * | 0.25 | 0.46 | 0.19 | 0.01 | — | 0.20 | 10.26 | 4.57 | 1.30 | 1.02 | 1.02 | 3.49 | 18,411 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 10.10 | 0.23 | 0.10 | 0.33 | 0.23 | — | — | 0.23 | 10.20 | 3.28 | 1.87 | 1.76 | 1.76 | 4.55 | 9,997 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 10.26 | 0.36 | * | (0.09 | ) | 0.27 | 0.37 | 0.06 | — | 0.43 | 10.10 | 2.80 | 1.87 | 1.76 | 1.76 | 3.71 | 7,409 | 79 | ||||||||||||||||||||||||||||||||||||||||||||||||||
08-17-10(4)–03-31-11 | 10.00 | 0.19 | * | 0.22 | 0.41 | 0.14 | 0.01 | — | 0.15 | 10.26 | 4.11 | 2.05 | 1.77 | 1.77 | 3.46 | 3,356 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 10.10 | 0.28 | 0.10 | 0.38 | 0.28 | — | — | 0.28 | 10.20 | 3.79 | 0.87 | 0.76 | 0.76 | 5.51 | 137,291 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 10.27 | 0.47 | * | (0.10 | ) | 0.37 | 0.48 | 0.06 | — | 0.54 | 10.10 | 3.74 | 0.87 | 0.76 | 0.76 | 4.65 | 173,722 | 79 | ||||||||||||||||||||||||||||||||||||||||||||||||||
08-17-10(4)–03-31-11 | 10.00 | 0.25 | * | 0.23 | 0.48 | 0.20 | 0.01 | — | 0.21 | 10.27 | 4.83 | 1.05 | 0.77 | 0.77 | 3.93 | 170,660 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 10.09 | 0.25 | 0.10 | 0.35 | 0.25 | — | — | 0.25 | 10.19 | 3.54 | 1.37 | 1.26 | 1.26 | 5.05 | 21,266 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 10.26 | 0.41 | * | (0.09 | ) | 0.32 | 0.43 | 0.06 | — | 0.49 | 10.09 | 3.22 | 1.37 | 1.26 | 1.26 | 4.26 | 16,515 | 79 | ||||||||||||||||||||||||||||||||||||||||||||||||||
08-17-10(4)–03-31-11 | 10.00 | 0.21 | * | 0.23 | 0.44 | 0.17 | 0.01 | — | 0.18 | 10.26 | 4.39 | 1.55 | 1.27 | 1.27 | 3.87 | 7,897 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-12 | 10.12 | 0.28 | 0.10 | 0.38 | 0.28 | — | — | 0.28 | 10.22 | 3.78 | 0.87 | 0.76 | 0.76 | 5.54 | 63,421 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-12 | 10.27 | 0.45 | * | (0.06 | ) | 0.39 | 0.48 | 0.06 | — | 0.54 | 10.12 | 3.93 | 0.87 | 0.76 | 0.76 | 4.74 | 52,351 | 79 | ||||||||||||||||||||||||||||||||||||||||||||||||||
08-17-10(4)–03-31-11 | 10.00 | 0.24 | 0.24 | 0.48 | 0.20 | 0.01 | — | 0.21 | 10.27 | 4.83 | 1.05 | 0.77 | 0.77 | 4.49 | 3,319 | 73 |
(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 excluding the deduction of sales 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 Fund. Expenses before reductions/additions do not reflect amounts reimbursed by the 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 Fund 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 Fund. 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. |
Fund. Investments in securities of sufficient credit quality, maturing in 60 days or less from date of acquisition, are valued at amortized cost which approximates fair value. To the extent the Fund invests in other open-end registered investment companies, the Fund’s NAV is calculated based on the current NAV of the registered investment company in which the Fund invests. The prospectuses for those investment companies explain the circumstances under which they will use fair value pricing and the effects of using fair value pricing.
received on revolving credit facilities, which represent non-refundable fees or purchase discounts associated with the acquisition of loans, are deferred and recognized using the effective yield for financial reporting purposes. No such fees are recognized on loans which have been placed on non-accrual status. Arrangement fees associated with all other loans, except revolving credit facilities, are treated as discounts and are accreted as described above. Dividend income is recorded on the ex-dividend date.
(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. |
ADMINISTRATION FEES (continued)
Class A | Class C | Class R | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
0.25% | 1.00% | 0.50% |
Class A | Class C | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Initial Sales Charges | $ | 3,625 | — | |||||||
Contingent Deferred Sales Charge | — | $ | 398 |
(as a percentage of average daily net assets)
Class C — 1.75%
Class I — 0.75%
Class R — 1.25%
Class W — 0.75%
September 30, | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2013 | 2014 | 2015 | Total | |||||||||||
$9,571 | $367,888 | $247,940 | $625,399 |
Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
10 | $2,600,000 | 1.44% |
Affiliated Investment Company or Subsidiary | Percentage | |||||
---|---|---|---|---|---|---|
ING National Trust | 8.54 | % | ||||
ING Solution 2015 Portfolio | 9.44 | % | ||||
ING Solution 2025 Portfolio | 15.59 | % | ||||
ING Solution 2035 Portfolio | 13.56 | % |
Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||
9-30-12 | 680,270 | 28,386 | (123,429 | ) | 585,227 | 6,878,287 | 286,825 | (1,247,810 | ) | 5,917,302 | ||||||||||||||||||||||||
03-31-12 | 1,272,962 | 30,768 | (2,080,550 | ) | (776,820 | ) | 12,866,971 | 307,651 | (20,777,385 | ) | (7,602,763 | ) | ||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||
9-30-12 | 344,388 | 12,098 | (110,002 | ) | 246,484 | 3,487,211 | 122,196 | (1,109,904 | ) | 2,499,503 | ||||||||||||||||||||||||
03-31-12 | 693,794 | 13,157 | (300,251 | ) | 406,700 | 7,013,924 | 131,384 | (2,975,715 | ) | 4,169,593 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
9-30-12 | 1,427,075 | 375,505 | (5,543,390 | ) | (3,740,810 | ) | 14,429,621 | 3,791,318 | (55,759,390 | ) | (37,538,451 | ) | ||||||||||||||||||||||
03-31-12 | 5,491,577 | 812,839 | (5,722,597 | ) | 581,819 | 54,719,863 | 8,120,755 | (57,523,526 | ) | 5,317,092 | ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||
9-30-12 | 534,160 | 47,782 | (131,906 | ) | 450,036 | 5,394,107 | 482,491 | (1,330,291 | ) | 4,546,307 | ||||||||||||||||||||||||
03-31-12 | 1,015,920 | 65,050 | (214,604 | ) | 866,366 | 10,227,972 | 648,425 | (2,151,049 | ) | 8,725,348 | ||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||
9-30-12 | 1,264,774 | 132,220 | (365,494 | ) | 1,031,500 | 12,793,650 | 1,338,033 | (3,690,809 | ) | 10,440,874 | ||||||||||||||||||||||||
03-31-12 | 6,227,811 | 214,880 | (1,591,193 | ) | 4,851,498 | 63,484,407 | 2,147,556 | (15,862,328 | ) | 49,769,635 |
Six Months Ended September 30, 2012 | Year Ended March 31, 2012 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Ordinary Income | Long-term Capital Gain | |||||||||
$6,527,892 | $12,464,242 | $3,685 |
Capital Loss Carryforwards | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed Ordinary Income | Post-October Capital Losses Deferred | Unrealized Appreciation | Amount | Character | Expiration | ||||||||||||||||||
$112,237 | $(731,959) | $575,591 | $(27,071) | Long-term | None |
Per Share Amount | Payable Date | Record Date | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class A | $ | 0.0464 | November 1, 2012 | Daily | ||||||||||
Class C | $ | 0.0400 | November 1, 2012 | Daily | ||||||||||
Class I | $ | 0.0485 | November 1, 2012 | Daily | ||||||||||
Class R | $ | 0.0443 | November 1, 2012 | Daily | ||||||||||
Class W | $ | 0.0485 | November 1, 2012 | Daily |
AS OF SEPTEMBER 30, 2012 (UNAUDITED)
Principal Amount† | | | Borrower\Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Loans*: 95.8% | |||||||||||||||||||
Aerospace & Defense: 2.1% | |||||||||||||||||||
399,000 | Data Device Corp. (DDC), 1st Lien Term Loan, 7.500%, 06/15/18 | $ | 400,496 | 0.1 | |||||||||||||||
2,475,000 | Delta Airlines, Inc., New Term Loan, 5.500%, 04/20/17 | 2,501,297 | 1.0 | ||||||||||||||||
443,250 | Delta Airlines, Inc., Pacific Route First Lien Term Loan, 4.250%, 03/07/16 | 444,907 | 0.2 | ||||||||||||||||
992,500 | DigitalGlobe Inc., Term Loan B, 5.750%, 10/07/18 | 998,289 | 0.4 | ||||||||||||||||
985,915 | US Airways Group, Inc., Term Loan, 2.716%, 03/21/14 | 968,169 | 0.4 | ||||||||||||||||
5,313,158 | 2.1 | ||||||||||||||||||
Automotive: 4.3% | |||||||||||||||||||
343,996 | Avis Budget Car Rental, LLC, Incremental Term Loan, 6.250%, 09/21/18 | 348,296 | 0.1 | ||||||||||||||||
825,000 | (1) | Avis Budget Car Rental, LLC, Term Loan C, 03/15/19 | 835,313 | 0.3 | |||||||||||||||
2,962,500 | Chrysler Group LLC, Term Loan B, 6.000%, 05/24/17 | 3,026,481 | 1.2 | ||||||||||||||||
1,633,500 | Fram Group Holdings Inc., First Lien Term Loan, 6.500%, 07/28/17 | 1,633,500 | 0.7 | ||||||||||||||||
498,690 | Fram Group Holdings Inc., Second Lien Term Loan, 10.500%, 01/29/18 | 453,808 | 0.2 | ||||||||||||||||
1,700,000 | Goodyear Tire & Rubber Company (The), Second Lien Term Loan, 4.750%, 04/30/19 | 1,717,709 | 0.7 | ||||||||||||||||
1,379,000 | Metaldyne, LLC, Term Loan B, 5.250%, 05/18/17 | 1,401,409 | 0.6 | ||||||||||||||||
298,065 | Schrader International, Lux Term Loan, 6.250%, 04/30/18 | 302,164 | 0.1 | ||||||||||||||||
229,285 | Schrader International, US Term Loan, 6.250%, 04/30/18 | 232,438 | 0.1 | ||||||||||||||||
739,344 | UCI International, Inc., Term Loan B, 5.500%, 07/26/17 | 748,585 | 0.3 | ||||||||||||||||
10,699,703 | 4.3 | ||||||||||||||||||
Beverage & Tobacco: 0.0% | |||||||||||||||||||
96,137 | Clement Pappas, $230mm Term Loan, 6.500%, 08/14/17 | 96,077 | 0.0 | ||||||||||||||||
Brokers, Dealers & Investment Houses: 0.9% | |||||||||||||||||||
500,000 | Nuveen Investments, Inc., 2nd Lien, 8.250%, 05/12/19 | 504,583 | 0.2 | ||||||||||||||||
1,000,000 | Nuveen Investments, Inc., First-Lien Incremental Term Loan, 7.250%, 05/13/17 | 1,004,000 | 0.4 | ||||||||||||||||
250,000 | (1) | Nuveen Investments, Inc., Term Loan B New Extended, 05/13/17 | 248,438 | 0.1 | |||||||||||||||
500,000 | Nuveen Investments, Inc., Term Loan Extended 2017, 5.900%, 05/12/17 | 499,896 | 0.2 | ||||||||||||||||
2,256,917 | 0.9 | ||||||||||||||||||
Building & Development: 1.8% | |||||||||||||||||||
2,717,168 | Capital Automotive L.P., Term Loan, 5.250%, 03/11/17 | 2,737,547 | 1.1 | ||||||||||||||||
845,750 | NCI Building Systems, Inc., Term Loan, 8.000%, 06/21/18 | 843,424 | 0.3 | ||||||||||||||||
895,500 | Roofing Supply Group, Term Loan B, 7.038%, 05/31/19 | 907,813 | 0.4 | ||||||||||||||||
4,488,784 | 1.8 | ||||||||||||||||||
Business Equipment & Services: 11.0% | |||||||||||||||||||
987,500 | 4L Holdings Inc., Term Loan B, 6.764%, 05/06/18 | 977,625 | 0.4 | ||||||||||||||||
1,198,682 | Acosta, Inc., Term Loan B, 5.750%, 03/01/18 | 1,205,920 | 0.5 | ||||||||||||||||
982,500 | Advantage Sales & Marketing, Inc., First Lien Term Loan, 5.250%, 12/18/17 | 985,202 | 0.4 | ||||||||||||||||
500,000 | Advantage Sales & Marketing, Inc., Second Lien Term Loan, 9.250%, 06/18/18 | 502,500 | 0.2 | ||||||||||||||||
500,000 | AlixPartners LLP, Second Lien Term Loan, 10.750%, 12/15/19 | 508,125 | 0.2 | ||||||||||||||||
1,995,000 | AlixPartners LLP, Term Loan B-2, 6.500%, 06/15/19 | 2,026,587 | 0.8 | ||||||||||||||||
1,639,826 | Avaya Inc., Term Loan B-3, 4.927%, 10/26/17 | 1,503,174 | 0.6 | ||||||||||||||||
1,479,466 | Catalent Pharma Solutions, Inc., Incremental USD Term Loan B-2, 5.250%, 09/15/17 | 1,494,260 | 0.6 | ||||||||||||||||
625,000 | Corporate Executive Board, Term Loan B, 5.000%, 08/02/19 | 628,516 | 0.3 | ||||||||||||||||
2,240,194 | (1) | CorpSource Finance Holdings, LLC, 1st Lien Term Loan, 6.625%, 04/28/17 | 2,226,192 | 0.9 | |||||||||||||||
613,882 | (1) | CorpSource Finance Holdings, LLC, 2nd Lien Term Loan, 10.500%, 04/29/18 | 558,633 | 0.2 | |||||||||||||||
498,657 | First American Payment Systems, Term Loan, 6.750%, 10/04/16 | 501,150 | 0.2 | ||||||||||||||||
1,500,000 | First Data Corporation, Extended 2018 Dollar Term Loan, 4.217%, 03/23/18 | 1,436,505 | 0.6 | ||||||||||||||||
525,000 | Genpact International, Inc., Term Loan B, 4.250%, 08/31/19 | 527,297 | 0.2 | ||||||||||||||||
2,741,764 | Go Daddy Operating Company, LLC, 1st Lien Term Loan, 5.500%, 12/17/18 | 2,734,044 | 1.1 | ||||||||||||||||
987,500 | Mercury Payment Systems LLC, Term Loan B, 5.500%, 07/03/17 | 997,375 | 0.4 | ||||||||||||||||
1,200,938 | Property Data I, Inc., Term Loan B, 7.000%, 12/21/16 | 1,188,929 | 0.5 | ||||||||||||||||
369,375 | Trans Union LLC, Term Loan B, 5.500%, 02/12/18 | 373,253 | 0.1 | ||||||||||||||||
324,351 | U.S. Security Associates Holdings, Inc., $75mm Delayed Draw Term Loan, 6.000%, 07/28/17 | 327,189 | 0.1 | ||||||||||||||||
1,657,168 | U.S. Security Associates Holdings, Inc., New Term Loan, 6.000%, 07/28/17 | 1,671,668 | 0.7 | ||||||||||||||||
145,739 | Verifone, Inc., Term Loan B, 4.250%, 12/31/18 | 146,194 | 0.1 | ||||||||||||||||
2,249,750 | Web.com Group, Inc., First Lien Term Loan, 7.000%, 10/28/17 | 2,270,140 | 0.9 | ||||||||||||||||
2,500,000 | (1) | West Corp, Term B-6 Facility, 06/30/18 | 2,526,562 | 1.0 | |||||||||||||||
27,317,040 | 11.0 |
AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED)
Principal Amount† | | | Borrower\Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Cable & Satellite Television: 3.5% | |||||||||||||||||||
997,500 | Atlantic Broadband, First Lien Term Loan, 5.250%, 03/29/19 | $ | 1,003,913 | 0.4 | |||||||||||||||
636,000 | (1) | Atlantic Broadband, Term Loan B, 12/31/19 | 642,360 | 0.3 | |||||||||||||||
1,975,000 | Intelsat Jackson Holdings S.A., Term Loan B Facility, 5.250%, 04/02/18 | 1,984,753 | 0.8 | ||||||||||||||||
490,781 | RCN Cable, Term Loan B, 5.250%, 08/16/16 | 492,008 | 0.2 | ||||||||||||||||
881,100 | San Juan Cable LLC, First Lien, 6.000%, 06/09/17 | 882,201 | 0.3 | ||||||||||||||||
650,000 | (1) | WaveDivision Holdings LLC, Term Loan B, 09/28/19 | 655,687 | 0.3 | |||||||||||||||
2,894,000 | (1) | Wideopenwest Finance, LLC, Term Loan, 6.250%, 07/05/18 | 2,924,749 | 1.2 | |||||||||||||||
8,585,671 | 3.5 | ||||||||||||||||||
Chemicals & Plastics: 6.1% | |||||||||||||||||||
995,000 | Ascend Performance Materials Operations LLC, Term Loan, 6.750%, 04/09/18 | 998,731 | 0.4 | ||||||||||||||||
539,773 | AZ Chem US Inc., Term Loan B, 7.250%, 12/19/17 | 551,693 | 0.2 | ||||||||||||||||
850,000 | (1) | Chemtura Corporation, Term Loan, 5.500%, 08/27/16 | 859,297 | 0.3 | |||||||||||||||
220,228 | Houghton International, Inc., Term Loan B1, 6.750%, 01/29/16 | 222,292 | 0.1 | ||||||||||||||||
2,988,090 | (1) | Ineos US Finance LLC, Cash Dollar Term Loan, 6.500%, 04/27/18 | 3,022,773 | 1.2 | |||||||||||||||
379,050 | KLEOPATRA LUX 2 S.|$$|AGA. R.L, Term Loan B, 6.750%, 12/21/16 | 382,367 | 0.2 | ||||||||||||||||
987,500 | Kronos Worldwide, Inc., Term Loan B, 5.750%, 06/01/18 | 999,844 | 0.4 | ||||||||||||||||
1,692,696 | Momentive Specialty Chemicals Inc (a.k.a Hexion Specialty Chemicals Inc), Term Loan C1B, 4.000%, 05/05/15 | 1,683,527 | 0.7 | ||||||||||||||||
723,006 | Momentive Specialty Chemicals Inc (a.k.a Hexion Specialty Chemicals Inc), Term Loan C2B, 4.125%, 05/05/15 | 719,089 | 0.3 | ||||||||||||||||
347,375 | PolyOne Corporation, Term Loan B, 5.000%, 11/17/17 | 350,523 | 0.1 | ||||||||||||||||
161,996 | Sonneborn, Inc., BV Tranche, 6.500%, 03/31/18 | 163,616 | 0.1 | ||||||||||||||||
917,977 | Sonneborn, Inc., US Tranche, 6.500%, 03/31/18 | 927,157 | 0.4 | ||||||||||||||||
754,721 | Styron S.A.R.L., Term Loan B, 8.000%, 08/02/17 | 725,543 | 0.3 | ||||||||||||||||
2,267,969 | Univar Inc., Term Loan B, 5.000%, 06/30/17 | 2,262,830 | 0.9 | ||||||||||||||||
1,154,200 | Vantage Specialties Inc., Term Loan B, 7.000%, 02/10/18 | 1,164,299 | 0.5 | ||||||||||||||||
15,033,581 | 6.1 | ||||||||||||||||||
Clothing/Textiles: 0.7% | |||||||||||||||||||
1,317,822 | Targus Group, Inc., New Senior Secured Term Loan, 11.000%, 05/16/16 | 1,324,411 | 0.5 | ||||||||||||||||
46,406 | Totes Isotoner Corporation, Delayed Draw 1st Lien Term Loan, 7.293%, 07/07/17 | 45,942 | 0.0 | ||||||||||||||||
447,461 | Totes Isotoner Corporation, First Lien Term Loan, 7.277%, 07/07/17 | 442,986 | 0.2 | ||||||||||||||||
1,813,339 | 0.7 | ||||||||||||||||||
Conglomerates: 1.1% | |||||||||||||||||||
1,957,461 | Affinion Group, Inc., First Lien Term Loan, 5.000%, 10/10/16 | 1,803,311 | 0.7 | ||||||||||||||||
495,000 | Waterpik, Term Loan, 6.751%, 08/10/17 | 495,000 | 0.2 | ||||||||||||||||
400,000 | WireCo WorldGroup, Inc., Term Loan B, 6.000%, 02/15/17 | 404,500 | 0.2 | ||||||||||||||||
2,702,811 | 1.1 | ||||||||||||||||||
Containers & Glass Products: 2.3% | |||||||||||||||||||
476,723 | Consolidated Container Company LLC, Term Loan B, 6.250%, 07/07/19 | 482,483 | 0.2 | ||||||||||||||||
2,252,183 | Husky Injection Molding Systems, Ltd, New Term Loan B, 5.750%, 06/30/18 | 2,274,002 | 0.9 | ||||||||||||||||
586,846 | Pro Mach, Inc, Term Loan, 7.000%, 07/06/17 | 582,445 | 0.2 | ||||||||||||||||
3,118 | Reynolds Group Holdings Inc, US Term Loan, 6.500%, 02/09/18 | 3,133 | 0.0 | ||||||||||||||||
603,175 | (1) | Reynolds Group Holdings Inc, USD Term Loan, 09/26/18 | 606,377 | 0.3 | |||||||||||||||
900,000 | TricorBraun, Term Loan, 5.503%, 04/30/18 | 906,750 | 0.4 | ||||||||||||||||
844,161 | Xerium Technologies, Inc., USD First Lien Term Loan, 6.250%, 05/22/17 | 835,016 | 0.3 | ||||||||||||||||
5,690,206 | 2.3 | ||||||||||||||||||
Drugs: 0.6% | |||||||||||||||||||
987,500 | Jazz Pharmaceuticals Inc., term Loan, 5.250%, 05/30/18 | 998,198 | 0.4 | ||||||||||||||||
428,030 | Prestige Brands, Term Loan B, 5.268%, 01/31/19 | 432,998 | 0.2 | ||||||||||||||||
1,431,196 | 0.6 | ||||||||||||||||||
Ecological Services & Equipment: 0.7% | |||||||||||||||||||
1,500,000 | (1) | ADS Waste Holdings, Inc., Term Loan, 10/01/19 | 1,512,499 | 0.6 | |||||||||||||||
298,500 | WCA Waste Corporation, Term Loan B, 5.500%, 02/28/18 | 300,366 | 0.1 | ||||||||||||||||
1,812,865 | 0.7 |
AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED)
Principal Amount† | | | Borrower\Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Electronics/Electrical: 7.6% | |||||||||||||||||||
1,570,000 | Attachmate Corporation, 1st Lien Term Loan, 7.250%, 11/15/17 | $ | 1,584,719 | 0.6 | |||||||||||||||
1,985,000 | Blackboard Inc., 1st Lien Term Loan B, 7.500%, 10/04/18 | 1,997,902 | 0.8 | ||||||||||||||||
497,500 | Blackboard Inc., 1st Lien Term Loan B-1, 7.500%, 10/04/18 | 500,734 | 0.2 | ||||||||||||||||
500,000 | Blackboard Inc., 2nd Lien Term Loan B, 11.500%, 10/01/19 | 474,166 | 0.2 | ||||||||||||||||
1,483,731 | Epicor Software Corporation, Term Loan B, 5.000%, 05/16/18 | 1,495,230 | 0.6 | ||||||||||||||||
1,990,000 | Freescale Semiconductor, Inc., Incremental Term Loan B-2, 6.000%, 02/28/19 | 1,995,389 | 0.8 | ||||||||||||||||
628,056 | Greeneden U.S. Holdings II, L.L.C., 1st Lien Term Loan, 6.750%, 01/31/18 | 635,383 | 0.3 | ||||||||||||||||
843,625 | Kronos Incorporated, Tranche C First-Lien Term Loan, 6.250%, 12/26/17 | 856,279 | 0.3 | ||||||||||||||||
1,995,000 | Lawson Software, Inc., Term Loan B (USD), 6.250%, 04/01/18 | 2,005,390 | 0.8 | ||||||||||||||||
877,370 | Open Link Financial, Inc., Term Loan, 7.750%, 10/28/17 | 882,854 | 0.4 | ||||||||||||||||
1,091,497 | Orbitz Worldwide, Inc., Term Loan, 3.216%, 07/25/14 | 1,061,936 | 0.4 | ||||||||||||||||
520,139 | RedPrairie Corporation, Term Loan B, 6.000%, 08/07/18 | 523,390 | 0.2 | ||||||||||||||||
992,126 | Sabre Inc., Extended Term Loan, 5.966%, 09/30/17 | 986,339 | 0.4 | ||||||||||||||||
500,000 | Sabre Inc., Incremental Term Loan, 7.250%, 12/27/17 | 504,583 | 0.2 | ||||||||||||||||
736,798 | Spansion LLC, Term Loan, 4.750%, 02/09/15 | 745,087 | 0.3 | ||||||||||||||||
1,526,922 | SS&C Technologies Inc., Term Loan B-1, 5.000%, 06/01/19 | 1,543,384 | 0.6 | ||||||||||||||||
157,957 | SS&C Technologies Inc., Term Loan B-2, 5.000%, 06/01/19 | 160,327 | 0.1 | ||||||||||||||||
1,041,493 | Travelport, Inc., Delayed Draw Term Loan extended, 4.961%, 08/21/15 | 995,060 | 0.4 | ||||||||||||||||
18,948,152 | 7.6 | ||||||||||||||||||
Equipment Leasing: 0.4% | |||||||||||||||||||
250,000 | Brock Holdings, Inc., New 2nd Lien Term Loan, 10.000%, 03/16/18 | 250,625 | 0.1 | ||||||||||||||||
764,471 | Brock Holdings, Inc., New Term Loan B, 6.012%, 03/16/17 | 774,026 | 0.3 | ||||||||||||||||
1,024,651 | 0.4 | ||||||||||||||||||
Financial Intermediaries: 1.5% | |||||||||||||||||||
186,157 | BNY ConvergEx Group, LLC, Eze Borrower Term Loan, 5.250%, 12/19/16 | 180,107 | 0.1 | ||||||||||||||||
424,890 | BNY ConvergEx Group, LLC, Top Borrower Term Loan, 5.250%, 12/19/16 | 411,082 | 0.2 | ||||||||||||||||
957,763 | Fundtech, Term Loan, 7.500%, 11/15/17 | 962,551 | 0.4 | ||||||||||||||||
1,072,727 | MIP Delaware, LLC, Term Loan, 5.500%, 07/12/18 | 1,078,091 | 0.4 | ||||||||||||||||
1,000,000 | Residential Capital, A-1 Term Loan, 5.000%, 11/15/13 | 1,005,625 | 0.4 | ||||||||||||||||
3,637,456 | 1.5 | ||||||||||||||||||
Food Products: 1.1% | |||||||||||||||||||
982,500 | Advance Pierre Foods, First Lien Term Loan, 7.001%, 09/30/16 | 988,129 | 0.4 | ||||||||||||||||
833,572 | NPC International, Term Loan (2012 refi), 5.250%, 12/28/18 | 843,992 | 0.4 | ||||||||||||||||
773,063 | Pinnacle Foods Holding Corporation, Term Loan F, 4.750%, 10/01/18 | 775,478 | 0.3 | ||||||||||||||||
2,607,599 | 1.1 | ||||||||||||||||||
Food Service: 1.0% | |||||||||||||||||||
910,526 | Bojangles Restaurants, Inc., Term Loan, 8.750%, 08/17/17 | 913,941 | 0.4 | ||||||||||||||||
995,000 | Landry’s Restaurants, Term Loan B, 6.500%, 04/30/18 | 1,010,174 | 0.4 | ||||||||||||||||
550,000 | P.F. Chang’s China Bistro, Inc., Term Loan B Facility, 6.250%, 06/30/19 | 556,187 | 0.2 | ||||||||||||||||
2,480,302 | 1.0 | ||||||||||||||||||
Food/Drug Retailers: 1.1% | |||||||||||||||||||
1,688,338 | Roundys Supermarkets, Inc., Term Loan B, 5.750%, 02/14/19 | 1,658,792 | 0.7 | ||||||||||||||||
998,750 | (1) | Supervalu, Real Estate Term Loan B, 8.000%, 08/15/18 | 1,006,318 | 0.4 | |||||||||||||||
2,665,110 | 1.1 | ||||||||||||||||||
Health Care: 11.1% | |||||||||||||||||||
766,150 | Alere US Holdings, LLC, Incremental Term Loan B, 4.753%, 06/30/17 | 770,579 | 0.3 | ||||||||||||||||
987,513 | Alere US Holdings, LLC, Term Loan B, 4.753%, 06/30/17 | 993,221 | 0.4 | ||||||||||||||||
498,750 | Alere US Holdings, LLC, Term Loan B-2, 4.753%, 06/30/17 | 500,724 | 0.2 | ||||||||||||||||
2,244,375 | Bausch & Lomb, Inc., US Term Loan, 5.250%, 04/30/19 | 2,271,869 | 0.9 | ||||||||||||||||
450,000 | BSN Medical, Facility B1, 6.000%, 08/31/19 | 453,563 | 0.2 | ||||||||||||||||
676,681 | (1) | ConvaTec, Term Loan B, 5.750%, 12/22/16 | 679,723 | 0.3 | |||||||||||||||
1,459,333 | DJO Finance LLC, Tranche B-3 Term Loan, 6.250%, 09/15/17 | 1,466,630 | 0.6 | ||||||||||||||||
2,468,003 | Drumm Corp., Term Loan B, 5.000%, 05/04/18 | 2,387,793 | 1.0 | ||||||||||||||||
1,481,769 | Emergency Medical Services Corporation, Term Loan B, 5.250%, 05/25/18 | 1,491,338 | 0.6 | ||||||||||||||||
391,607 | HGI Holding, Inc., Senior Secured Term Loan B, 6.750%, 09/29/16 | 392,749 | 0.2 | ||||||||||||||||
1,083,500 | Iasis Healthcare LLC, Term Loan B, 5.000%, 05/03/18 | 1,088,240 | 0.4 |
AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED)
Principal Amount† | | | Borrower\Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Health Care: (continued) | |||||||||||||||||||
990,019 | Immucor, Inc., Term B-1, 5.750%, 08/17/18 | $ | 1,004,869 | 0.4 | |||||||||||||||
1,476,269 | inVentiv Health Inc., Original Term Loan B, 6.500%, 08/04/16 | 1,431,981 | 0.6 | ||||||||||||||||
271,563 | inVentiv Health Inc., Term B-3, 6.750%, 05/15/18 | 264,095 | 0.1 | ||||||||||||||||
1,290,250 | Kinetic Concepts, Inc., Term Loan B-1, 7.000%, 04/20/18 | 1,310,410 | 0.5 | ||||||||||||||||
381,014 | Medassets, Inc., Term Loan B, 5.250%, 11/16/16 | 384,507 | 0.1 | ||||||||||||||||
478,706 | Medpace IntermediateCo, Inc., Term Loan B, 6.541%, 06/22/17 | 460,755 | 0.2 | ||||||||||||||||
1,929,739 | Onex Carestream Finance LP, Term Loan B, 5.000%, 02/25/17 | 1,912,854 | 0.8 | ||||||||||||||||
1,750,000 | (1) | Par Pharmaceutical Companies, Term Loan B, 09/30/19 | 1,748,906 | 0.7 | |||||||||||||||
1,022,275 | Pharmaceutical Product Development, Inc., Bank Term Loan B, 6.250%, 11/30/18 | 1,032,924 | 0.4 | ||||||||||||||||
865,650 | Press Ganey, 1st Lien, 5.250%, 04/30/18 | 878,635 | 0.3 | ||||||||||||||||
250,000 | Press Ganey, 2nd Lien, 8.250%, 08/31/18 | 250,625 | 0.1 | ||||||||||||||||
1,214,548 | Rural/Metro Corporation, Term Loan B, 5.750%, 06/29/18 | 1,216,978 | 0.5 | ||||||||||||||||
748,125 | Select Medical Corporation, Incremental Term Loan, 5.501%, 06/01/18 | 754,671 | 0.3 | ||||||||||||||||
740,625 | Skilled Healthcare Group, Inc., New Term Loan, 6.750%, 04/08/16 | 743,865 | 0.3 | ||||||||||||||||
444,375 | Surgical Care Affiliates LLC, Incremental Term Loan, 5.500%, 06/29/18 | 443,264 | 0.2 | ||||||||||||||||
299,250 | Truven Health, Inc., Term Loan B, 6.750%, 05/31/19 | 301,868 | 0.1 | ||||||||||||||||
995,000 | United Surgical Partners International, Inc., New Tranche B, 6.000%, 04/01/19 | 1,003,706 | 0.4 | ||||||||||||||||
27,641,342 | 11.1 | ||||||||||||||||||
Home Furnishings: 1.5% | |||||||||||||||||||
2,000,000 | (1) | AOT Bedding Super Holdings, LLC, Term Loan B, 10/01/19 | 1,994,822 | 0.8 | |||||||||||||||
246,284 | Hillman Group (The), Inc., First Lien Term Loan, 5.000%, 05/27/16 | 248,746 | 0.1 | ||||||||||||||||
845,750 | Monitronics International, Inc., Term Loan B, 5.500%, 03/31/18 | 856,851 | 0.3 | ||||||||||||||||
698,250 | Protection One, Inc., Term Loan B, 5.750%, 03/31/19 | 702,614 | 0.3 | ||||||||||||||||
3,803,033 | 1.5 | ||||||||||||||||||
Industrial Equipment: 4.9% | |||||||||||||||||||
471,521 | Edwards (Cayman Islands II) Limited (aka BOC Edwards), New Term Loan, 5.500%, 05/31/16 | 475,058 | 0.2 | ||||||||||||||||
2,540,000 | Generac Power Systems, Inc., Term Loan B, 6.250%, 05/30/18 | 2,593,975 | 1.0 | ||||||||||||||||
238,636 | Goodman Global Inc., Second Lien Term Loan, 9.000%, 10/30/17 | 241,739 | 0.1 | ||||||||||||||||
2,281,395 | Goodman Global Inc., Term Loan B, 5.750%, 10/28/16 | 2,291,579 | 0.9 | ||||||||||||||||
1,538,375 | Rexnord Corporation / RBS Global, Inc., USD Term Loan, 5.000%, 04/01/18 | 1,547,510 | 0.6 | ||||||||||||||||
2,630,000 | Schaeffler AG, Term Loan C2, 6.000%, 01/31/17 | 2,656,300 | 1.1 | ||||||||||||||||
600,000 | Sensus Metering Systems Inc., New Second Lien Term Loan, 8.500%, 05/09/18 | 600,000 | 0.2 | ||||||||||||||||
1,871,100 | Terex Corporation, Term Loan, 5.500%, 04/28/17 | 1,880,455 | 0.8 | ||||||||||||||||
12,286,616 | 4.9 | ||||||||||||||||||
Insurance: 1.6% | |||||||||||||||||||
1,496,250 | AmWINS Group, Inc., 1st Lien Term Loan, 5.750%, 06/01/19 | 1,501,861 | 0.6 | ||||||||||||||||
825,000 | AmWINS Group, Inc., 2nd Lien Term Loan, 10.050%, 12/01/19 | 827,406 | 0.3 | ||||||||||||||||
432,825 | Applied Systems Inc., First Lien Incremental, 5.500%, 12/08/16 | 433,907 | 0.2 | ||||||||||||||||
397,798 | CCC Information Services Group, Inc., Term Loan B, 5.750%, 11/11/15 | 400,118 | 0.2 | ||||||||||||||||
698,250 | USI Holdings Corp., Term Loan D, 5.750%, 05/05/14 | 699,996 | 0.3 | ||||||||||||||||
3,863,288 | 1.6 | ||||||||||||||||||
Leisure Good/Activities/Movies: 2.7% | |||||||||||||||||||
1,468,706 | 24 Hour Fitness Worldwide, Inc, Term Loan B, 7.500%, 04/22/16 | 1,488,901 | 0.6 | ||||||||||||||||
995,000 | Delta2 Sarl Luxembourg (Formula One World Championship), Term Loan B USD, 5.750%, 04/30/17 | 1,006,090 | 0.4 | ||||||||||||||||
770,000 | FGI Operating, Add-On Term Loan, 5.503%, 04/30/19 | 775,935 | 0.3 | ||||||||||||||||
1,898,166 | Getty Images, Inc, Term Loan B, 5.250%, 11/07/16 | 1,902,566 | 0.7 | ||||||||||||||||
472,786 | SRAM, LLC, First Lien Term Loan, 4.772%, 06/07/18 | 478,696 | 0.2 | ||||||||||||||||
185,000 | SRAM, LLC, Second Lien Term Loan, 8.500%, 12/07/18 | 188,700 | 0.1 | ||||||||||||||||
930,000 | Wilton Brands, Inc., Term Loan, 7.500%, 08/31/18 | 940,462 | 0.4 | ||||||||||||||||
6,781,350 | 2.7 | ||||||||||||||||||
Lodging & Casinos: 3.3% | |||||||||||||||||||
1,944,250 | Boyd Gaming Corporation, Incremental Term Loan, 6.000%, 12/17/15 | 1,971,794 | 0.8 | ||||||||||||||||
2,432,288 | Caesars Entertainment Operating Company, Inc., Term Loan B6, 5.467%, 01/28/18 | 2,216,858 | 0.9 | ||||||||||||||||
700,000 | Caesars Octavius, LLC, Term Loan, 9.250%, 02/24/17 | 690,550 | 0.3 | ||||||||||||||||
1,000,000 | (1) | Cannery Casino Resorts, LLC, 1st Lien Term Loan, 10/01/18 | 1,002,917 | 0.4 | |||||||||||||||
1,510,000 | (1) | NP Opco LLC, Term Loan B, 09/27/19 | 1,515,977 | 0.6 |
AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED)
Principal Amount† | | | Borrower\Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lodging & Casinos: (continued) | |||||||||||||||||||
826,718 | Station Casinos LLC, Term Loan B-1, 3.216%, 06/17/16 | $ | 808,117 | 0.3 | |||||||||||||||
8,206,213 | 3.3 | ||||||||||||||||||
Nonferrous Metals/Minerals: 0.8% | |||||||||||||||||||
997,500 | Constellium Holdco BV, Term Loan B, 9.250%, 04/30/18 | 987,525 | 0.4 | ||||||||||||||||
1,079,323 | Fairmount Minerals, Ltd., Term Loan B, 5.250%, 03/15/17 | 1,078,513 | 0.4 | ||||||||||||||||
2,066,038 | 0.8 | ||||||||||||||||||
Oil & Gas: 2.1% | |||||||||||||||||||
487,125 | Crestwood Holdings LLC, Term Loan B, 9.750%, 03/30/18 | 495,041 | 0.2 | ||||||||||||||||
2,368,072 | (1) | FTS International, Inc. (fka FracTech), Term Loan (HoldCo), 6.250%, 05/06/16 | 2,285,930 | 0.9 | |||||||||||||||
350,000 | (1) | Samson Investment Company, 2nd Lien Term Loan, 09/28/18 | 352,698 | 0.2 | |||||||||||||||
1,985,000 | Tervita (fka CCS Inc.), Add-On Term Loan, 6.500%, 11/14/14 | 1,991,616 | 0.8 | ||||||||||||||||
5,125,285 | 2.1 | ||||||||||||||||||
Publishing: 1.1% | |||||||||||||||||||
1,368,520 | Cengage Learning, Inc., Extended Term Loan B, 5.720%, 07/31/17 | 1,251,340 | 0.5 | ||||||||||||||||
1,056,875 | Cenveo Corporation, Term Loan B, 6.625%, 12/21/16 | 1,059,517 | 0.4 | ||||||||||||||||
805,881 | R.H. Donnelley Corporation, Term Loan, 9.000%, 10/24/14 | 487,846 | 0.2 | ||||||||||||||||
2,798,703 | 1.1 | ||||||||||||||||||
Radio & Television: 3.1% | |||||||||||||||||||
819,449 | Barrington Broadcasting Group, Term Loan B, 7.500%, 06/30/17 | 829,692 | 0.3 | ||||||||||||||||
1,476,399 | Clear Channel Communications, Inc., Term Loan B, 3.866%, 01/28/16 | 1,210,647 | 0.5 | ||||||||||||||||
1,983,396 | Cumulus Media Holdings Inc., First Lien Term Loan B, 5.750%, 09/17/18 | 1,997,209 | 0.8 | ||||||||||||||||
1,000,000 | Cumulus Media Holdings Inc., Second Lien Term Loan B, 7.500%, 02/11/19 | 1,012,500 | 0.4 | ||||||||||||||||
457,193 | Entercom Communications Corporation, Term Loan B, 6.250%, 11/22/18 | 460,679 | 0.2 | ||||||||||||||||
375,000 | (1) | FoxCo Acquisition, LLC, Term Loan B, 07/31/17 | 378,750 | 0.2 | |||||||||||||||
345,625 | Raycom TV Broadcasting, LLC, Term Loan B, 4.500%, 05/31/17 | 343,897 | 0.1 | ||||||||||||||||
1,363,940 | Univision Communications, Inc., Extended Term Loan, 4.466%, 03/31/17 | 1,353,521 | 0.6 | ||||||||||||||||
7,586,895 | 3.1 | ||||||||||||||||||
Retailers (Except Food & Drug): 8.7% | |||||||||||||||||||
1,588,000 | Academy Ltd., Term Loan, 6.000%, 08/03/18 | 1,597,074 | 0.7 | ||||||||||||||||
1,923,302 | Bass Pro Group, LLC, Term Loan B, 5.250%, 06/13/17 | 1,949,448 | 0.8 | ||||||||||||||||
4,100,000 | (1) | BJs Wholesale Club, First Lien Term Loan, 09/25/19 | 4,130,238 | 1.7 | |||||||||||||||
1,025,000 | (1) | BJs Wholesale Club, Second Lien Term Loan, 03/25/20 | 1,042,938 | 0.4 | |||||||||||||||
1,000,000 | Guitar Center, Inc., Extended Term Loan, 5.620%, 04/10/17 | 964,375 | 0.4 | ||||||||||||||||
1,500,000 | Harbor Freight Tools USA, Inc., Senior Secured Term Loan, 5.500%, 05/15/19 | 1,508,437 | 0.6 | ||||||||||||||||
743,002 | Jo-Ann Stores, Inc., Term Loan B, 4.750%, 03/16/18 | 746,020 | 0.3 | ||||||||||||||||
537,088 | Lord & Taylor, Term Loan Facility, 5.750%, 01/09/18 | 541,788 | 0.2 | ||||||||||||||||
468,750 | (1) | Ollie’s Holdings, Inc., Term Loan, 09/25/19 | 471,680 | 0.2 | |||||||||||||||
2,000,000 | Party City Holdings Inc, Term Loan B, 5.750%, 07/27/19 | 2,027,812 | 0.8 | ||||||||||||||||
498,750 | Savers, Term Loan B, 6.250%, 07/09/19 | 505,608 | 0.2 | ||||||||||||||||
731,325 | Sleepy’s Holdings, LLC, Term Loan, 7.250%, 03/19/19 | 734,067 | 0.3 | ||||||||||||||||
1,370,065 | The Gymboree Corporation, Term Loan B, 5.000%, 02/23/18 | 1,340,217 | 0.5 | ||||||||||||||||
1,719,949 | Toys “R” Us, Inc., Term Loan B-1, 6.000%, 09/01/16 | 1,712,782 | 0.7 | ||||||||||||||||
345,625 | Toys “R” Us, Inc., Term Loan B-2, 5.250%, 05/25/18 | 340,441 | 0.1 | ||||||||||||||||
498,750 | Toys “R” Us, Inc., Term Loan B-3, 5.250%, 05/25/18 | 490,645 | 0.2 | ||||||||||||||||
1,368,125 | Yankee Candle Company, Inc., Term Loan B, 5.250%, 04/02/19 | 1,383,090 | 0.6 | ||||||||||||||||
21,486,660 | 8.7 | ||||||||||||||||||
Surface Transport: 0.5% | |||||||||||||||||||
1,243,750 | Wabash National Corporation, Term Loan, 6.000%, 05/15/19 | 1,260,852 | 0.5 | ||||||||||||||||
Telecommunications: 4.6% | |||||||||||||||||||
2,667,802 | Asurion, LLC, 1st Lien Term Loan, 5.500%, 05/24/18 | 2,685,645 | 1.1 | ||||||||||||||||
1,422,273 | Asurion, LLC, Add-On 1st Lien Term Loan, 5.500%, 05/24/18 | 1,431,785 | 0.6 | ||||||||||||||||
624,204 | Asurion, LLC, Second Lien Term Loan, 9.000%, 05/24/19 | 646,831 | 0.3 | ||||||||||||||||
1,801,935 | Global Tel*Link Corporation, First Lien Term Loan, 6.000%, 12/15/17 | 1,818,829 | 0.7 | ||||||||||||||||
250,000 | Level 3 Financing, Inc, Term Loan 2019, 5.250%, 08/01/19 | 251,406 | 0.1 | ||||||||||||||||
750,000 | Level 3 Financing, Inc, Term Loan B III, 5.750%, 09/01/18 | 754,922 | 0.3 | ||||||||||||||||
1,496,250 | Syniverse Holdings, Inc., Term Loan B, 5.000%, 04/20/19 | 1,501,861 | 0.6 |
AS OF SEPTEMBER 30, 2012 (UNAUDITED) (CONTINUED)
Principal Amount† | | | Borrower\Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Telecommunications: (continued) | |||||||||||||||||||
308,296 | U.S. Telepacific Corp, First Lien Term Loan, 5.750%, 02/23/17 | $ | 303,157 | 0.1 | |||||||||||||||
1,995,000 | Zayo Group, LLC, Term Loan B, 7.125%, 07/02/19 | 2,019,938 | 0.8 | ||||||||||||||||
11,414,374 | 4.6 | ||||||||||||||||||
Utilities: 2.0% | |||||||||||||||||||
1,485,000 | Dynegy Midwest Generation, LLC (CoalCo)., Term Loan, 9.250%, 08/04/16 | 1,542,544 | 0.6 | ||||||||||||||||
1,089,000 | Dynegy Power (GasCo), Term Loan, 9.250%, 08/04/16 | 1,144,055 | 0.5 | ||||||||||||||||
763,088 | EquiPower Resources Holdings, LLC, 1st Lien Term Loan, 6.500%, 12/29/18 | 774,534 | 0.3 | ||||||||||||||||
1,787,818 | Texas Competitive Electric Holdings Company LLC, Extended Term Loans, 4.757%, 10/10/17 | 1,236,108 | 0.5 | ||||||||||||||||
481,940 | Texas Competitive Electric Holdings Company LLC, Term Loans, 3.757%, 10/10/14 | 360,190 | 0.1 | ||||||||||||||||
5,057,431 | 2.0 | ||||||||||||||||||
Total Loans | |||||||||||||||||||
(Cost $235,310,032) | 237,982,698 | 95.8 | |||||||||||||||||
Shares | Value | Percentage of Net Assets | |||||||||||||||||
Short-term Investments: 11.3% | |||||||||||||||||||
Short-Term Investments: 11.3% | |||||||||||||||||||
28,000,000 | State Street Institutional Liquid Reserves Fund — Institutional Class | ||||||||||||||||||
(Cost $28,000,000) | $ | 28,000,000 | 11.3 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $28,000,000) | 28,000,000 | 11.3 | |||||||||||||||||
Total Investments (Cost $263,310,032) | $ | 265,982,698 | 107.1 | ||||||||||||||||
Liabilities in Excess of Other Assets | (17,670,726 | ) | (7.1 | ) | |||||||||||||||
Net Assets | $ | 248,311,972 | 100.0 | ||||||||||||||||
* | Loans, while exempt from registration under the Securities Act of 1933, as amended, contain certain restrictions on resale and cannot be sold publicly. These loans bear interest (unless otherwise noted) at rates that float periodically at a margin above the London Inter-Bank Offered Rate (“LIBOR”) and other short-term rates. | ||||||||||||||||||
† | Unless otherwise indicated, principal amount is shown in USD. | ||||||||||||||||||
(1) | Trade pending settlement. Contract rates that are not disclosed do not take effect until settlement date and have yet to be determined. | ||||||||||||||||||
Cost for federal income tax purposes is $263,310,034. | |||||||||||||||||||
Net unrealized appreciation consists of: | |||||||||||||||||||
Gross Unrealized Appreciation | $ | 4,215,591 | |||||||||||||||||
Gross Unrealized Depreciation | (1,542,927 | ) | |||||||||||||||||
Net Unrealized Appreciation | $ | 2,672,664 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at September 30, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Loans | $ | — | $ | 237,982,698 | $ | — | $ | 237,982,698 | ||||||||||
Short-Term Investments | 28,000,000 | — | — | 28,000,000 | ||||||||||||||
Total Investments, at fair value | $ | 28,000,000 | $ | 237,982,698 | $ | — | $ | 265,982,698 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, Missouri 64105
Dechert LLP
1775 I Street, N.W.
Washington, D.C. 20006
Call us from 9:00 a.m. to 7:00 p.m. Eastern time on any business day for account or other information, at (800) 992-0180
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.
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.
Principal Amount† | Value | Percentage of Net Assets | |||
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.1% | |||||
952,124 | Vendee Mortgage Trust, 3.750%, 10/15/41 | 1,053,335 | 0.1 | ||
Total Collateralized Mortgage Obligations | |||||
(Cost $1,016,976) | 1,053,335 | 0.1 | |||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 96.9% | |||||
Federal Home Loan Mortgage Corporation: 3.4%## | |||||
19,965,346 | ^ | 0.500%, due 07/15/36 | 410,543 | 0.1 | |
1,388,505 | 5.000%, due 08/15/36 | 1,536,407 | 0.1 | ||
549,108 | 5.450%, due 03/01/37 | 598,650 | 0.1 | ||
146,395 | 5.450%, due 07/01/37 | 158,748 | 0.0 | ||
166,235 | 5.450%, due 12/01/37 | 181,233 | 0.0 | ||
127,862 | 5.450%, due 12/01/37 | 139,399 | 0.0 | ||
148,324 | 5.450%, due 05/01/38 | 161,581 | 0.0 | ||
2,227,237 | ^ | 5.500%, due 09/15/35 | 399,295 | 0.0 | |
601,019 | 5.625%, due 12/01/36 | 663,804 | 0.1 | ||
64,597 | 5.625%, due 01/01/37 | 70,461 | 0.0 | ||
107,202 | 5.625%, due 01/01/37 | 117,234 | 0.0 | ||
650,954 | 5.625%, due 01/01/37 | 721,646 | 0.1 | ||
41,891 | 5.625%, due 02/01/37 | 46,622 | 0.0 | ||
84,164 | 5.625%, due 03/01/37 | 93,612 | 0.0 | ||
566,788 | 5.625%, due 03/01/37 | 627,654 | 0.1 | ||
191,218 | 5.625%, due 03/01/37 | 208,576 | 0.0 | ||
93,318 | 5.625%, due 04/01/37 | 101,739 | 0.0 | ||
180,133 | 5.625%, due 06/01/37 | 196,694 | 0.0 | ||
230,072 | 5.625%, due 07/01/37 | 251,799 | 0.0 | ||
345,913 | 5.625%, due 07/01/37 | 382,049 | 0.0 | ||
32,719 | 5.625%, due 12/01/37 | 36,401 | 0.0 | ||
498,957 | 5.625%, due 02/01/38 | 551,080 | 0.1 | ||
132,190 | 5.650%, due 02/01/37 | 144,543 | 0.0 | ||
382,443 | 5.650%, due 02/01/37 | 418,863 | 0.1 | ||
553,031 | 5.700%, due 06/01/37 | 601,902 | 0.1 | ||
335,813 | 5.700%, due 09/01/37 | 365,489 | 0.0 | ||
164,828 | 5.700%, due 12/01/37 | 180,373 | 0.0 | ||
158,048 | 5.700%, due 01/01/38 | 172,953 | 0.0 | ||
164,065 | 5.790%, due 12/01/37 | 179,791 | 0.0 | ||
130,881 | 5.790%, due 03/01/38 | 143,375 | 0.0 | ||
831,372 | 6.000%, due 03/15/34 | 923,414 | 0.1 | ||
10,173,539 | 6.000%, due 04/15/36 | 11,929,563 | 1.0 | ||
3,725,297 | 6.000%, due 05/15/36 | 4,363,177 | 0.4 | ||
153,132 | 6.050%, due 04/01/38 | 168,665 | 0.0 | ||
1,256,145 | 6.090%, due 12/01/37 | 1,400,178 | 0.1 | ||
5,022 | 7.000%, due 11/01/14 | 5,253 | 0.0 | ||
49,195 | 7.500%, due 12/01/14 | 51,783 | 0.0 | ||
36,671 | 7.500%, due 01/01/30 | 44,924 | 0.0 | ||
983,013 | ^ | 7.750%, due 10/25/23 | 223,638 | 0.0 | |
11,767 | 8.000%, due 01/01/30 | 11,970 | 0.0 | ||
24,243 | 9.500%, due 07/01/20 | 25,685 | 0.0 | ||
1,049,502 | 19.198%, due 03/15/35 | 1,546,424 | 0.1 | ||
820,523 | 21.165%, due 04/15/35 | 1,314,518 | 0.1 | ||
5,539,975 | 27.717%, due 04/15/32 | 7,870,183 | 0.7 | ||
39,741,891 | 3.4 | ||||
Federal National Mortgage Association: 7.9%## | |||||
4,957,724 | 3.500%, due 06/25/41 | 5,229,833 | 0.5 | ||
15,348,311 | 4.500%, due 09/01/41 | 16,699,340 | 1.5 | ||
29,816,189 | 4.500%, due 09/01/41 | 32,440,748 | 2.8 | ||
15,490,302 | 4.598%, due 11/25/33 | 15,999,692 | 1.4 | ||
1,658,975 | 5.000%, due 10/25/35 | 1,893,361 | 0.2 | ||
347,207 | 5.300%, due 09/01/36 | 383,796 | 0.0 | ||
114,754 | 5.300%, due 10/01/36 | 126,171 | 0.0 | ||
137,060 | 5.300%, due 10/01/36 | 150,451 | 0.0 | ||
616,050 | 5.300%, due 12/01/36 | 680,712 | 0.1 | ||
437,036 | 5.300%, due 12/01/36 | 483,090 | 0.0 | ||
239,637 | 5.300%, due 02/01/37 | 262,243 | 0.0 | ||
443,941 | 5.300%, due 04/01/37 | 490,538 | 0.1 | ||
348,432 | 5.300%, due 05/01/37 | 385,004 | 0.0 | ||
131,194 | 5.300%, due 06/01/37 | 143,571 | 0.0 | ||
811,245 | 5.300%, due 08/01/37 | 896,395 | 0.1 | ||
76,247 | 5.300%, due 10/01/37 | 83,607 | 0.0 | ||
353,907 | 5.500%, due 05/25/34 | 409,208 | 0.0 | ||
4,877,551 | 6.000%, due 06/25/29 | 5,513,465 | 0.5 | ||
2,603,281 | 6.000%, due 10/25/37 | 3,151,873 | 0.3 | ||
680,336 | 6.000%, due 01/25/44 | 771,687 | 0.1 | ||
5,657 | 6.500%, due 06/01/14 | 5,874 | 0.0 | ||
237,133 | 6.500%, due 02/01/29 | 277,312 | 0.0 | ||
1,031,428 | 6.500%, due 12/25/41 | 1,254,009 | 0.1 | ||
276,349 | 6.600%, due 07/01/27 | 314,226 | 0.0 | ||
119,999 | 6.600%, due 09/01/27 | 136,971 | 0.0 | ||
50,824 | 6.600%, due 11/01/27 | 58,013 | 0.0 | ||
41,305 | 6.600%, due 03/01/28 | 47,147 | 0.0 | ||
102,092 | 6.600%, due 06/01/28 | 116,944 | 0.0 | ||
7,828 | 7.000%, due 03/01/15 | 7,992 | 0.0 | ||
55,919 | 7.500%, due 05/01/28 | 60,150 | 0.0 | ||
1,969,563 | 8.000%, due 12/25/45 | 2,369,375 | 0.2 | ||
12,477 | 8.500%, due 08/01/15 | 12,542 | 0.0 | ||
16,100 | 8.500%, due 09/01/15 | 17,414 | 0.0 | ||
90,872,754 | 7.9 | ||||
Government National Mortgage Association: 85.6% | |||||
60,905,670 | ^ | 0.250%, due 06/20/36 | 296,891 | 0.0 | |
7,347,735 | ^ | 0.491%, due 02/16/48 | 146,750 | 0.0 | |
19,933,019 | 0.609%, due 07/20/41 | 20,049,040 | 1.7 | ||
55,728,115 | ^ | 0.685%, due 11/16/46 | 1,655,615 | 0.2 | |
12,984,666 | 0.739%, due 04/20/40 | 13,121,518 | 1.1 | ||
5,619,335 | 0.869%, due 04/20/40 | 5,703,153 | 0.5 | ||
21,239,454 | 0.869%, due 06/20/40 | 21,270,506 | 1.8 | ||
88,015,774 | ^ | 0.876%, due 01/16/50 | 4,125,062 | 0.4 | |
16,348,787 | 0.921%, due 01/16/40 | 16,627,705 | 1.4 | ||
2,110,379 | ^ | 1.000%, due 06/16/37 | 52,243 | 0.0 | |
97,002,926 | ^ | 1.064%, due 01/16/51 | 4,729,892 | 0.4 | |
4,481,067 | 1.139%, due 06/20/39 | 4,577,052 | 0.4 | ||
4,800,857 | 1.169%, due 09/20/38 | 4,914,318 | 0.4 | ||
16,766,271 | 1.259%, due 03/20/39 | 17,129,898 | 1.5 | ||
24,805,755 | ^ | 2.555%, due 10/16/52 | 2,917,283 | 0.3 | |
12,700,000 | W | 3.000%, due 07/15/42 | 13,565,187 | 1.2 | |
87,900,000 | W | 3.500%, due 02/15/41 | 96,071,949 | 8.3 | |
90,000,000 | 3.500%, due 07/20/42 | 98,465,616 | 8.5 | ||
403,785 | 4.000%, due 05/20/33 | 448,940 | 0.0 | ||
592,852 | 4.000%, due 08/15/33 | 662,181 | 0.1 | ||
514,698 | 4.000%, due 01/15/34 | 570,143 | 0.1 | ||
223,089 | 4.000%, due 03/15/34 | 246,074 | 0.0 | ||
744,752 | 4.000%, due 08/20/35 | 823,733 | 0.1 | ||
6,526,809 | ^ | 4.000%, due 04/20/38 | 848,239 | 0.1 | |
3,038,615 | ^ | 4.000%, due 08/20/39 | 848,757 | 0.1 | |
33,000,000 | W | 4.000%, due 11/15/39 | 36,320,625 | 3.1 | |
1,608,697 | 4.000%, due 05/15/40 | 1,778,221 | 0.2 | ||
2,027,645 | 4.000%, due 09/20/40 | 2,170,983 | 0.2 | ||
2,193,091 | 4.000%, due 12/16/40 | 2,414,861 | 0.2 | ||
1,608,575 | 4.000%, due 12/20/40 | 1,791,491 | 0.2 |
Principal Amount† | Value | Percentage of Net Assets | |||
5,000,000 | 4.000%, due 06/20/41 | 5,504,687 | 0.5 | ||
15,111,611 | 4.000%, due 07/20/41 | 16,610,458 | 1.4 | ||
3,145,544 | 4.000%, due 10/20/41 | 3,371,238 | 0.3 | ||
18,349,141 | 4.000%, due 02/20/42 | 20,223,375 | 1.8 | ||
1,621,075 | 4.000%, due 09/15/42 | 1,791,903 | 0.2 | ||
36,000,000 | 4.000%, due 09/20/42 | 39,677,143 | 3.4 | ||
16,206,323 | ^ | 4.500%, due 08/20/33 | 810,316 | 0.1 | |
867,791 | 4.500%, due 01/20/34 | 962,054 | 0.1 | ||
355,476 | 4.500%, due 01/20/34 | 394,089 | 0.0 | ||
784,869 | 4.500%, due 03/20/34 | 873,832 | 0.1 | ||
292,008 | 4.500%, due 05/20/34 | 323,727 | 0.0 | ||
348,566 | 4.500%, due 06/20/34 | 386,429 | 0.0 | ||
2,971,730 | ^ | 4.500%, due 02/20/35 | 245,204 | 0.0 | |
797,123 | 4.500%, due 10/20/35 | 883,661 | 0.1 | ||
2,063,779 | ^ | 4.500%, due 02/20/36 | 173,840 | 0.0 | |
681,204 | ^ | 4.500%, due 12/20/37 | 89,043 | 0.0 | |
4,703,207 | ^ | 4.500%, due 02/20/38 | 237,300 | 0.0 | |
1,253,576 | 4.500%, due 05/20/38 | 1,340,850 | 0.1 | ||
399,988 | 4.500%, due 07/20/38 | 427,835 | 0.0 | ||
957,933 | 4.500%, due 07/20/38 | 1,057,748 | 0.1 | ||
2,761,449 | 4.500%, due 07/20/38 | 3,049,186 | 0.3 | ||
4,761,000 | 4.500%, due 05/20/39 | 5,455,668 | 0.5 | ||
326,296 | 4.500%, due 06/20/39 | 349,013 | 0.0 | ||
3,771,317 | 4.500%, due 10/15/39 | 4,180,016 | 0.4 | ||
3,031,498 | 4.500%, due 11/15/39 | 3,360,023 | 0.3 | ||
3,626,729 | 4.500%, due 11/15/39 | 4,019,760 | 0.4 | ||
867,116 | 4.500%, due 12/15/39 | 961,086 | 0.1 | ||
4,638,144 | 4.500%, due 08/20/40 | 5,044,169 | 0.4 | ||
17,252,840 | 4.500%, due 09/20/41 | 19,154,503 | 1.7 | ||
1,127,986 | 4.500%, due 11/15/41 | 1,243,177 | 0.1 | ||
2,005,356 | 4.546%, due 07/20/62 | 2,319,520 | 0.2 | ||
1,307,331 | 4.639%, due 08/20/42 | 1,457,266 | 0.1 | ||
12,449,467 | 4.660%, due 09/20/61 | 14,610,252 | 1.3 | ||
2,459,746 | 4.850%, due 05/20/40 | 2,723,949 | 0.2 | ||
4,364,651 | 4.861%, due 06/20/61 | 4,976,983 | 0.4 | ||
232,860 | 5.000%, due 05/15/18 | 251,052 | 0.0 | ||
661,163 | 5.000%, due 02/15/23 | 726,036 | 0.1 | ||
691,911 | 5.000%, due 02/15/24 | 761,920 | 0.1 | ||
461,553 | 5.000%, due 02/15/24 | 508,255 | 0.1 | ||
351,283 | 5.000%, due 02/15/24 | 387,596 | 0.0 | ||
532,912 | 5.000%, due 02/15/24 | 585,751 | 0.1 | ||
368,642 | 5.000%, due 03/15/24 | 404,445 | 0.0 | ||
277,713 | 5.000%, due 03/15/24 | 303,552 | 0.0 | ||
702,827 | 5.000%, due 03/15/24 | 773,941 | 0.1 | ||
1,332,588 | 5.000%, due 03/15/24 | 1,467,423 | 0.1 | ||
569,666 | 5.000%, due 03/15/24 | 629,443 | 0.1 | ||
269,155 | 5.000%, due 03/20/24 | 295,355 | 0.0 | ||
925,567 | 5.000%, due 04/15/24 | 1,018,842 | 0.1 | ||
548,447 | 5.000%, due 04/15/29 | 615,828 | 0.1 | ||
446,726 | 5.000%, due 04/15/30 | 498,259 | 0.1 | ||
5,775,400 | 5.000%, due 04/20/30 | 6,302,534 | 0.6 | ||
610,145 | 5.000%, due 10/15/30 | 680,529 | 0.1 | ||
446,611 | 5.000%, due 07/15/33 | 496,038 | 0.1 | ||
739,304 | 5.000%, due 10/20/33 | 814,981 | 0.1 | ||
209,001 | 5.000%, due 12/20/33 | 230,394 | 0.0 | ||
266,779 | 5.000%, due 12/20/33 | 294,087 | 0.0 | ||
529,126 | 5.000%, due 12/20/33 | 583,288 | 0.1 | ||
145,780 | 5.000%, due 02/20/34 | 160,780 | 0.0 | ||
337,393 | 5.000%, due 03/15/34 | 374,311 | 0.0 | ||
289,517 | 5.000%, due 04/15/34 | 321,557 | 0.0 | ||
1,267,546 | 5.000%, due 04/15/34 | 1,413,766 | 0.1 | ||
295,020 | 5.000%, due 04/20/34 | 325,376 | 0.0 | ||
792,275 | 5.000%, due 06/20/34 | 873,795 | 0.1 | ||
217,631 | 5.000%, due 07/20/34 | 240,024 | 0.0 | ||
4,898,521 | 5.000%, due 10/20/34 | 5,871,531 | 0.5 | ||
147,449 | 5.000%, due 12/20/34 | 162,621 | 0.0 | ||
737,067 | 5.000%, due 12/20/34 | 812,907 | 0.1 | ||
271,072 | 5.000%, due 01/15/35 | 301,072 | 0.0 | ||
237,467 | 5.000%, due 03/15/35 | 263,005 | 0.0 | ||
757,752 | 5.000%, due 03/15/35 | 840,665 | 0.1 | ||
2,760,876 | 5.000%, due 03/20/35 | 3,249,703 | 0.3 | ||
1,063,607 | 5.000%, due 04/15/35 | 1,177,542 | 0.1 | ||
277,211 | 5.000%, due 04/15/35 | 307,024 | 0.0 | ||
421,225 | 5.000%, due 04/15/35 | 469,816 | 0.0 | ||
191,890 | 5.000%, due 04/15/35 | 211,874 | 0.0 | ||
18,723,854 | ^ | 5.000%, due 05/20/35 | 902,303 | 0.1 | |
522,975 | 5.000%, due 05/20/35 | 582,475 | 0.1 | ||
195,902 | 5.000%, due 06/15/35 | 216,317 | 0.0 | ||
559,361 | 5.000%, due 07/15/35 | 621,266 | 0.1 | ||
1,115,714 | ^ | 5.000%, due 09/16/35 | 84,845 | 0.0 | |
1,270,937 | 5.000%, due 10/20/35 | 1,512,483 | 0.1 | ||
2,777,011 | 5.000%, due 11/20/35 | 3,089,486 | 0.3 | ||
329,735 | 5.000%, due 12/15/35 | 363,937 | 0.0 | ||
1,686,279 | 5.000%, due 04/20/36 | 1,873,915 | 0.2 | ||
246,122 | 5.000%, due 05/20/37 | 271,290 | 0.0 | ||
372,396 | 5.000%, due 09/20/37 | 400,649 | 0.0 | ||
351,406 | 5.000%, due 12/20/37 | 387,340 | 0.0 | ||
1,137,265 | 5.000%, due 12/20/37 | 1,253,559 | 0.1 | ||
1,021,537 | 5.000%, due 01/20/38 | 1,126,011 | 0.1 | ||
815,355 | 5.000%, due 01/20/38 | 898,743 | 0.1 | ||
6,356,827 | ^ | 5.000%, due 01/20/38 | 961,485 | 0.1 | |
176,933 | 5.000%, due 02/15/38 | 195,132 | 0.0 | ||
544,672 | 5.000%, due 05/20/38 | 578,994 | 0.1 | ||
1,524,369 | 5.000%, due 06/20/38 | 1,620,425 | 0.1 | ||
829,019 | 5.000%, due 06/20/38 | 889,030 | 0.1 | ||
817,503 | 5.000%, due 06/20/38 | 876,681 | 0.1 | ||
543,540 | 5.000%, due 08/20/38 | 577,791 | 0.1 | ||
1,478,100 | 5.000%, due 10/20/38 | 1,571,241 | 0.1 | ||
823,319 | 5.000%, due 11/20/38 | 875,199 | 0.1 | ||
1,460,697 | 5.000%, due 12/20/38 | 1,552,740 | 0.1 | ||
4,633,510 | 5.000%, due 01/20/39 | 4,925,483 | 0.4 | ||
909,576 | 5.000%, due 02/15/39 | 1,021,324 | 0.1 | ||
772,463 | 5.000%, due 03/15/39 | 859,399 | 0.1 | ||
1,029,000 | 5.000%, due 05/20/39 | 1,213,919 | 0.1 | ||
1,974,095 | ^ | 5.000%, due 07/16/39 | 305,056 | 0.0 | |
344,524 | 5.000%, due 07/20/39 | 366,233 | 0.0 | ||
1,703,644 | 5.000%, due 10/20/39 | 1,895,342 | 0.2 | ||
2,222,489 | 5.000%, due 11/15/39 | 2,465,673 | 0.2 | ||
4,266,547 | 5.000%, due 11/15/39 | 4,733,391 | 0.4 | ||
886,987 | 5.000%, due 11/15/39 | 984,040 | 0.1 | ||
4,220,138 | 5.000%, due 12/20/39 | 4,706,207 | 0.4 | ||
2,493,769 | 5.000%, due 12/20/39 | 2,774,373 | 0.2 | ||
1,567,037 | 5.000%, due 04/15/40 | 1,737,033 | 0.2 | ||
36,300,518 | 5.000%, due 05/20/40 | 43,112,528 | 3.7 | ||
2,014,017 | 5.000%, due 09/15/40 | 2,233,761 | 0.2 | ||
2,988,382 | 5.000%, due 09/15/40 | 3,314,436 | 0.3 | ||
1,671,146 | ^ | 5.000%, due 05/20/41 | 350,365 | 0.0 | |
5,923,910 | 5.000%, due 07/20/41 | 6,573,895 | 0.6 | ||
518,448 | 5.100%, due 04/20/32 | 579,879 | 0.1 | ||
8,100,000 | 5.250%, due 01/20/38 | 9,563,435 | 0.8 | ||
6,747,215 | 5.359%, due 02/20/38 | 7,648,104 | 0.7 | ||
21,607,660 | ^ | 5.462%, due 04/20/40 | 3,349,187 | 0.3 | |
13,683,933 | 5.473%, due 01/20/60 | 15,719,507 | 1.4 | ||
2,518,816 | 5.479%, due 04/16/39 | 2,804,115 | 0.2 | ||
451,561 | 5.500%, due 08/20/24 | 506,093 | 0.1 | ||
10,262 | 5.500%, due 04/20/29 | 11,471 | 0.0 | ||
151,382 | 5.500%, due 10/15/32 | 169,928 | 0.0 | ||
766,492 | 5.500%, due 12/15/32 | 860,391 | 0.1 | ||
201,627 | 5.500%, due 12/20/32 | 226,449 | 0.0 | ||
1,085,794 | 5.500%, due 01/16/33 | 1,313,873 | 0.1 | ||
2,093,900 | 5.500%, due 01/17/33 | 2,515,614 | 0.2 | ||
3,417,730 | 5.500%, due 02/20/33 | 3,902,260 | 0.3 | ||
216,472 | 5.500%, due 06/15/33 | 242,382 | 0.0 | ||
200,721 | 5.500%, due 07/20/33 | 223,271 | 0.0 | ||
653,243 | 5.500%, due 08/20/33 | 734,479 | 0.1 | ||
1,568,896 | 5.500%, due 10/15/33 | 1,761,095 | 0.2 | ||
1,631,168 | 5.500%, due 10/20/33 | 1,915,352 | 0.2 | ||
3,700,455 | 5.500%, due 11/15/33 | 4,153,782 | 0.4 | ||
1,459,247 | ^ | 5.500%, due 11/20/33 | 66,275 | 0.0 | |
204,428 | 5.500%, due 11/20/33 | 227,395 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||
213,528 | 5.500%, due 12/20/33 | 240,680 | 0.0 | ||
618,647 | 5.500%, due 01/15/34 | 694,435 | 0.1 | ||
884,101 | 5.500%, due 01/15/34 | 992,408 | 0.1 | ||
257,607 | 5.500%, due 02/15/34 | 289,166 | 0.0 | ||
1,223,494 | 5.500%, due 02/15/34 | 1,373,379 | 0.1 | ||
351,182 | 5.500%, due 03/15/34 | 394,203 | 0.0 | ||
4,177,054 | 5.500%, due 03/16/34 | 5,114,197 | 0.4 | ||
364,090 | 5.500%, due 03/20/34 | 405,205 | 0.0 | ||
551,767 | 5.500%, due 04/15/34 | 618,758 | 0.1 | ||
1,275,977 | 5.500%, due 04/15/34 | 1,432,291 | 0.1 | ||
831,964 | 5.500%, due 04/15/34 | 933,884 | 0.1 | ||
1,234,221 | 5.500%, due 04/20/34 | 1,387,706 | 0.1 | ||
77,024 | 5.500%, due 04/20/34 | 86,506 | 0.0 | ||
2,173,721 | 5.500%, due 04/20/34 | 2,419,191 | 0.2 | ||
310,329 | 5.500%, due 04/20/34 | 380,023 | 0.0 | ||
135,260 | 5.500%, due 04/20/34 | 150,535 | 0.0 | ||
111,554 | 5.500%, due 05/15/34 | 125,220 | 0.0 | ||
490,046 | 5.500%, due 06/15/34 | 552,683 | 0.1 | ||
349,010 | 5.500%, due 06/15/34 | 391,765 | 0.0 | ||
223,998 | 5.500%, due 06/20/34 | 249,293 | 0.0 | ||
602,366 | 5.500%, due 06/20/34 | 676,052 | 0.1 | ||
301,506 | 5.500%, due 07/15/34 | 338,442 | 0.0 | ||
151,001 | 5.500%, due 07/20/34 | 169,779 | 0.0 | ||
458,934 | 5.500%, due 07/20/34 | 515,360 | 0.1 | ||
705,726 | 5.500%, due 08/15/34 | 792,182 | 0.1 | ||
311,043 | 5.500%, due 08/15/34 | 349,147 | 0.0 | ||
869,953 | 5.500%, due 08/15/34 | 976,527 | 0.1 | ||
2,825,546 | 5.500%, due 08/15/34 | 3,171,691 | 0.3 | ||
313,994 | 5.500%, due 08/20/34 | 349,452 | 0.0 | ||
313,195 | 5.500%, due 09/15/34 | 349,073 | 0.0 | ||
774,688 | 5.500%, due 09/15/34 | 869,591 | 0.1 | ||
1,517,436 | 5.500%, due 09/15/34 | 1,696,218 | 0.2 | ||
403,311 | 5.500%, due 09/15/34 | 452,719 | 0.0 | ||
547,894 | 5.500%, due 09/15/34 | 617,925 | 0.1 | ||
755,228 | 5.500%, due 10/15/34 | 847,748 | 0.1 | ||
183,011 | 5.500%, due 10/15/34 | 205,231 | 0.0 | ||
374,310 | 5.500%, due 10/15/34 | 419,580 | 0.0 | ||
100,515 | 5.500%, due 12/15/34 | 112,061 | 0.0 | ||
644,301 | 5.500%, due 01/15/35 | 720,412 | 0.1 | ||
439,231 | 5.500%, due 01/15/35 | 495,373 | 0.1 | ||
265,086 | 5.500%, due 01/20/35 | 295,161 | 0.0 | ||
725,179 | 5.500%, due 02/15/35 | 814,018 | 0.1 | ||
323,876 | 5.500%, due 03/15/35 | 361,192 | 0.0 | ||
481,160 | 5.500%, due 03/15/35 | 542,661 | 0.1 | ||
897,691 | 5.500%, due 03/15/35 | 1,005,139 | 0.1 | ||
621,822 | 5.500%, due 04/15/35 | 695,278 | 0.1 | ||
155,583 | 5.500%, due 04/15/35 | 173,505 | 0.0 | ||
510,395 | 5.500%, due 04/15/35 | 575,632 | 0.1 | ||
1,343,339 | 5.500%, due 05/15/35 | 1,515,043 | 0.1 | ||
1,296,533 | 5.500%, due 05/15/35 | 1,449,288 | 0.1 | ||
247,598 | 5.500%, due 05/15/35 | 276,123 | 0.0 | ||
599,928 | 5.500%, due 05/20/35 | 672,753 | 0.1 | ||
731,330 | 5.500%, due 06/15/35 | 824,808 | 0.1 | ||
294,761 | 5.500%, due 06/20/35 | 331,371 | 0.0 | ||
2,416,948 | 5.500%, due 07/15/35 | 2,708,506 | 0.2 | ||
1,880,973 | 5.500%, due 08/15/35 | 2,100,234 | 0.2 | ||
55,905 | 5.500%, due 08/20/35 | 62,648 | 0.0 | ||
763,926 | 5.500%, due 09/20/35 | 856,181 | 0.1 | ||
9,448,598 | 5.500%, due 12/16/35 | 11,578,661 | 1.0 | ||
2,439,723 | 5.500%, due 02/20/36 | 3,023,011 | 0.3 | ||
323,954 | 5.500%, due 04/15/36 | 360,931 | 0.0 | ||
446,360 | 5.500%, due 06/20/36 | 499,079 | 0.1 | ||
100,056 | 5.500%, due 11/15/36 | 111,411 | 0.0 | ||
3,929,103 | 5.500%, due 10/20/37 | 4,627,595 | 0.4 | ||
5,466,971 | 5.500%, due 11/20/37 | 6,365,826 | 0.6 | ||
331,255 | 5.500%, due 06/20/38 | 355,428 | 0.0 | ||
359,751 | 5.500%, due 08/20/38 | 386,003 | 0.0 | ||
641,015 | 5.500%, due 09/20/38 | 687,793 | 0.1 | ||
96,331 | 5.500%, due 10/20/38 | 103,360 | 0.0 | ||
1,332,783 | 5.500%, due 11/20/38 | 1,430,042 | 0.1 | ||
110,460 | 5.500%, due 12/20/38 | 118,520 | 0.0 | ||
687,373 | 5.500%, due 01/15/39 | 771,580 | 0.1 | ||
328,436 | 5.500%, due 01/15/39 | 366,362 | 0.0 | ||
346,789 | 5.500%, due 01/20/39 | 372,095 | 0.0 | ||
2,839,892 | 5.500%, due 03/20/39 | 3,047,131 | 0.3 | ||
231,224 | 5.500%, due 06/20/39 | 248,097 | 0.0 | ||
2,357,897 | 5.500%, due 09/16/39 | 2,950,405 | 0.3 | ||
219,040 | 5.500%, due 09/15/40 | 243,752 | 0.0 | ||
894,769 | 5.500%, due 09/15/40 | 997,673 | 0.1 | ||
1,413,807 | ^ | 5.500%, due 09/16/40 | 215,780 | 0.0 | |
369,642 | 5.500%, due 10/15/40 | 411,258 | 0.0 | ||
428,377 | 5.600%, due 12/20/36 | 479,494 | 0.0 | ||
270,088 | 5.600%, due 12/20/36 | 301,650 | 0.0 | ||
114,118 | 5.600%, due 01/20/37 | 127,454 | 0.0 | ||
284,636 | 5.600%, due 01/20/37 | 317,898 | 0.0 | ||
109,356 | 5.600%, due 03/20/37 | 122,135 | 0.0 | ||
248,071 | 5.600%, due 04/20/37 | 277,060 | 0.0 | ||
86,321 | 5.600%, due 07/20/37 | 96,300 | 0.0 | ||
31,559 | 5.600%, due 10/20/37 | 35,207 | 0.0 | ||
93,905 | 5.600%, due 01/20/38 | 104,762 | 0.0 | ||
108,548 | 5.600%, due 02/20/38 | 121,097 | 0.0 | ||
80,477 | 5.600%, due 02/20/38 | 89,781 | 0.0 | ||
476,652 | 5.680%, due 05/15/47 | 502,549 | 0.1 | ||
168,215 | 5.750%, due 12/20/27 | 189,239 | 0.0 | ||
91,116 | 5.750%, due 02/20/28 | 102,504 | 0.0 | ||
111,846 | 5.750%, due 03/20/28 | 125,825 | 0.0 | ||
65,057 | 5.750%, due 03/20/28 | 70,728 | 0.0 | ||
175,321 | 5.750%, due 04/20/28 | 197,342 | 0.0 | ||
123,176 | 5.750%, due 07/20/28 | 136,800 | 0.0 | ||
57,000 | 5.750%, due 01/20/29 | 64,071 | 0.0 | ||
99,116 | 5.750%, due 04/20/29 | 111,504 | 0.0 | ||
376,330 | 5.750%, due 07/20/29 | 423,012 | 0.0 | ||
10,800,000 | 5.750%, due 07/20/38 | 12,223,418 | 1.1 | ||
8,014,321 | ^ | 5.832%, due 12/20/40 | 1,413,530 | 0.1 | |
5,454,169 | 5.950%, due 02/15/44 | 5,937,147 | 0.5 | ||
1,792,601 | 5.970%, due 11/15/31 | 1,924,506 | 0.2 | ||
235,392 | 6.000%, due 01/20/24 | 258,148 | 0.0 | ||
357,924 | 6.000%, due 10/15/25 | 410,766 | 0.0 | ||
802,361 | 6.000%, due 04/15/26 | 911,665 | 0.1 | ||
242,879 | 6.000%, due 10/20/27 | 276,242 | 0.0 | ||
250,603 | 6.000%, due 07/15/28 | 284,743 | 0.0 | ||
54,128 | 6.000%, due 07/15/28 | 62,111 | 0.0 | ||
234,009 | 6.000%, due 08/15/28 | 268,520 | 0.0 | ||
224,188 | 6.000%, due 09/15/28 | 255,079 | 0.0 | ||
69,312 | 6.000%, due 09/15/28 | 79,534 | 0.0 | ||
141,486 | 6.000%, due 02/15/29 | 160,554 | 0.0 | ||
39,219 | 6.000%, due 04/15/29 | 44,929 | 0.0 | ||
832,765 | 6.000%, due 07/15/32 | 954,018 | 0.1 | ||
57,244 | 6.000%, due 08/15/32 | 65,347 | 0.0 | ||
188,075 | 6.000%, due 09/15/32 | 214,280 | 0.0 | ||
748,535 | 6.000%, due 11/15/32 | 854,483 | 0.1 | ||
580,616 | 6.000%, due 12/15/32 | 665,346 | 0.1 | ||
810,360 | 6.000%, due 01/15/33 | 926,831 | 0.1 | ||
2,312,922 | 6.000%, due 01/15/33 | 2,654,388 | 0.2 | ||
2,561,014 | 6.000%, due 01/15/33 | 2,939,107 | 0.3 | ||
148,914 | 6.000%, due 02/15/33 | 169,629 | 0.0 | ||
566,986 | 6.000%, due 03/15/33 | 650,692 | 0.1 | ||
212,431 | 6.000%, due 04/15/33 | 241,967 | 0.0 | ||
491,199 | 6.000%, due 05/15/33 | 562,105 | 0.1 | ||
261,898 | 6.000%, due 05/15/33 | 299,703 | 0.0 | ||
109,981 | 6.000%, due 09/15/33 | 125,273 | 0.0 | ||
263,977 | 6.000%, due 09/15/33 | 302,082 | 0.0 | ||
883,168 | 6.000%, due 09/15/33 | 1,010,104 | 0.1 | ||
75,677 | 6.000%, due 09/15/33 | 86,199 | 0.0 | ||
294,656 | 6.000%, due 10/15/33 | 335,626 | 0.0 | ||
187,208 | 6.000%, due 10/15/33 | 214,846 | 0.0 | ||
203,311 | 6.000%, due 10/15/33 | 232,088 | 0.0 | ||
243,294 | 6.000%, due 10/15/33 | 279,212 | 0.0 | ||
930,886 | 6.000%, due 12/15/33 | 1,062,644 | 0.1 | ||
1,688,249 | 6.000%, due 12/16/33 | 1,980,619 | 0.2 |
Principal Amount† | Value | Percentage of Net Assets | |||
366,475 | 6.000%, due 01/15/34 | 420,579 | 0.0 | ||
180,228 | 6.000%, due 01/20/34 | 204,825 | 0.0 | ||
1,801,541 | ^ | 6.000%, due 01/20/34 | 359,537 | 0.0 | |
467,073 | 6.000%, due 02/20/34 | 530,817 | 0.1 | ||
1,059,154 | 6.000%, due 03/20/34 | 1,203,702 | 0.1 | ||
1,663,176 | 6.000%, due 03/20/34 | 2,109,987 | 0.2 | ||
321,060 | 6.000%, due 03/20/34 | 364,876 | 0.0 | ||
192,564 | 6.000%, due 03/20/34 | 218,844 | 0.0 | ||
127,530 | 6.000%, due 04/20/34 | 144,934 | 0.0 | ||
295,200 | 6.000%, due 05/20/34 | 335,488 | 0.0 | ||
495,213 | 6.000%, due 05/20/34 | 562,796 | 0.1 | ||
394,108 | 6.000%, due 06/20/34 | 447,894 | 0.0 | ||
38,119 | 6.000%, due 06/20/34 | 43,321 | 0.0 | ||
5,558,944 | 6.000%, due 07/20/34 | 6,317,598 | 0.6 | ||
233,800 | 6.000%, due 07/20/34 | 265,708 | 0.0 | ||
700,382 | 6.000%, due 08/20/34 | 795,966 | 0.1 | ||
445,276 | 6.000%, due 10/15/34 | 511,013 | 0.1 | ||
71,372 | 6.000%, due 10/20/34 | 81,113 | 0.0 | ||
420,623 | 6.000%, due 10/20/34 | 479,256 | 0.0 | ||
319,682 | 6.000%, due 10/20/34 | 363,311 | 0.0 | ||
320,780 | 6.000%, due 10/20/34 | 364,558 | 0.0 | ||
65,233 | 6.000%, due 10/20/34 | 73,782 | 0.0 | ||
484,709 | 6.000%, due 10/20/34 | 550,859 | 0.1 | ||
201,129 | 6.000%, due 10/20/34 | 228,578 | 0.0 | ||
90,938 | 6.000%, due 10/20/34 | 103,349 | 0.0 | ||
110,375 | 6.000%, due 11/20/34 | 125,438 | 0.0 | ||
431,477 | 6.000%, due 11/20/34 | 490,363 | 0.0 | ||
62,438 | 6.000%, due 11/20/34 | 70,959 | 0.0 | ||
294,998 | 6.000%, due 11/20/34 | 335,257 | 0.0 | ||
1,691,174 | 6.000%, due 11/20/34 | 1,921,976 | 0.2 | ||
2,026,840 | 6.000%, due 12/20/34 | 2,303,452 | 0.2 | ||
235,196 | 6.000%, due 12/20/34 | 267,295 | 0.0 | ||
494,556 | 6.000%, due 12/20/34 | 562,050 | 0.1 | ||
630,225 | 6.000%, due 12/20/34 | 716,234 | 0.1 | ||
206,432 | 6.000%, due 01/20/35 | 234,638 | 0.0 | ||
90,641 | 6.000%, due 01/20/35 | 103,026 | 0.0 | ||
198,878 | 6.000%, due 01/20/35 | 226,052 | 0.0 | ||
463,646 | 6.000%, due 02/20/35 | 526,996 | 0.1 | ||
238,868 | 6.000%, due 03/20/35 | 271,506 | 0.0 | ||
119,466 | 6.000%, due 03/20/35 | 135,789 | 0.0 | ||
152,831 | 6.000%, due 04/20/35 | 173,713 | 0.0 | ||
555,000 | 6.000%, due 04/20/36 | 679,158 | 0.1 | ||
209,562 | 6.000%, due 01/20/37 | 236,943 | 0.0 | ||
1,164,697 | 6.000%, due 03/15/37 | 1,316,810 | 0.1 | ||
7,589,000 | 6.000%, due 07/20/37 | 9,159,213 | 0.8 | ||
367,245 | 6.000%, due 09/20/37 | 416,200 | 0.0 | ||
3,474,099 | 6.000%, due 10/20/37 | 4,386,804 | 0.4 | ||
308,550 | 6.000%, due 12/20/37 | 348,865 | 0.0 | ||
1,871,989 | 6.000%, due 03/20/38 | 2,287,726 | 0.2 | ||
126,197 | 6.000%, due 05/20/38 | 138,834 | 0.0 | ||
550,338 | 6.000%, due 08/20/38 | 600,286 | 0.1 | ||
639,868 | 6.000%, due 09/20/38 | 697,941 | 0.1 | ||
887,273 | 6.000%, due 10/20/38 | 967,801 | 0.1 | ||
342,948 | 6.000%, due 11/15/38 | 390,524 | 0.0 | ||
441,366 | 6.000%, due 12/15/38 | 499,010 | 0.1 | ||
330,189 | 6.000%, due 12/15/38 | 374,963 | 0.0 | ||
1,972,949 | 6.000%, due 07/16/39 | 2,283,498 | 0.2 | ||
1,268,375 | 6.000%, due 08/15/39 | 1,444,333 | 0.1 | ||
1,656,554 | 6.000%, due 08/15/39 | 1,886,364 | 0.2 | ||
79,197 | 6.050%, due 06/15/38 | 89,540 | 0.0 | ||
279,738 | 6.050%, due 09/15/38 | 316,273 | 0.0 | ||
108,747 | 6.050%, due 10/15/38 | 122,950 | 0.0 | ||
132,505 | 6.090%, due 05/15/38 | 149,811 | 0.0 | ||
138,623 | 6.090%, due 06/15/38 | 156,727 | 0.0 | ||
188,588 | 6.090%, due 11/15/38 | 213,219 | 0.0 | ||
54,272 | 6.125%, due 02/15/39 | 61,360 | 0.0 | ||
155,738 | 6.125%, due 04/15/39 | 176,078 | 0.0 | ||
35,198,212 | ^ | 6.129%, due 04/16/39 | 4,690,757 | 0.4 | |
304,065 | 6.250%, due 09/15/27 | 349,098 | 0.0 | ||
19,912 | 6.250%, due 03/15/28 | 22,848 | 0.0 | ||
16,815 | 6.250%, due 04/15/28 | 19,295 | 0.0 | ||
148,399 | 6.250%, due 09/15/29 | 170,006 | 0.0 | ||
5,948,120 | ^ | 6.279%, due 05/16/38 | 868,940 | 0.1 | |
12,121,948 | ^ | 6.282%, due 09/20/37 | 1,532,311 | 0.1 | |
15,511,711 | ^ | 6.282%, due 09/20/38 | 2,378,445 | 0.2 | |
5,798,784 | 6.416%, due 04/20/37 | 6,633,719 | 0.6 | ||
272,337 | 6.490%, due 01/15/28 | 312,501 | 0.0 | ||
127,145 | 6.500%, due 07/20/29 | 148,508 | 0.0 | ||
94,033 | 6.500%, due 04/20/32 | 109,773 | 0.0 | ||
94,780 | 6.500%, due 07/20/32 | 110,704 | 0.0 | ||
125,258 | 6.500%, due 10/20/33 | 144,938 | 0.0 | ||
408,950 | 6.500%, due 11/15/33 | 474,685 | 0.0 | ||
106,865 | 6.500%, due 11/20/33 | 123,656 | 0.0 | ||
178,163 | 6.500%, due 02/20/34 | 206,193 | 0.0 | ||
145,199 | 6.500%, due 03/20/34 | 168,043 | 0.0 | ||
644,319 | 6.500%, due 08/20/34 | 747,222 | 0.1 | ||
209,719 | 6.500%, due 08/20/34 | 242,714 | 0.0 | ||
212,280 | 6.500%, due 08/20/34 | 245,677 | 0.0 | ||
123,625 | 6.500%, due 09/20/34 | 143,074 | 0.0 | ||
89,626 | 6.500%, due 09/20/34 | 103,727 | 0.0 | ||
7,233 | 6.500%, due 09/20/34 | 8,371 | 0.0 | ||
341,184 | 6.500%, due 10/20/34 | 394,862 | 0.0 | ||
187,616 | 6.500%, due 11/20/34 | 217,133 | 0.0 | ||
152,748 | 6.500%, due 12/20/34 | 176,780 | 0.0 | ||
278,155 | 6.500%, due 12/20/34 | 321,917 | 0.0 | ||
110,762 | 6.500%, due 03/20/35 | 128,137 | 0.0 | ||
452,323 | 6.500%, due 05/15/36 | 542,373 | 0.1 | ||
286,583 | 6.500%, due 09/15/36 | 337,595 | 0.0 | ||
215,534 | 6.500%, due 05/20/38 | 240,426 | 0.0 | ||
1,995,667 | 6.500%, due 09/16/38 | 2,348,891 | 0.2 | ||
3,559,675 | 6.500%, due 01/20/39 | 4,104,353 | 0.4 | ||
3,992 | 6.750%, due 08/15/28 | 4,753 | 0.0 | ||
71,664 | 6.750%, due 10/15/28 | 85,338 | 0.0 | ||
134,683 | 6.750%, due 10/15/28 | 160,381 | 0.0 | ||
729,946 | 7.000%, due 05/16/32 | 837,391 | 0.1 | ||
113,629 | 7.000%, due 06/20/34 | 133,415 | 0.0 | ||
341,393 | 7.000%, due 09/20/34 | 400,839 | 0.0 | ||
59,783 | 7.000%, due 09/20/34 | 70,193 | 0.0 | ||
134,081 | 7.000%, due 08/20/36 | 157,039 | 0.0 | ||
4,838,303 | 7.000%, due 10/20/38 | 5,595,454 | 0.5 | ||
6,182,840 | 7.200%, due 03/15/39 | 6,636,358 | 0.6 | ||
21,177 | 7.250%, due 01/15/29 | 25,610 | 0.0 | ||
4,087,812 | ^ | 7.279%, due 05/16/31 | 842,894 | 0.1 | |
3,971,504 | 7.350%, due 03/15/43 | 4,258,822 | 0.4 | ||
2,294,426 | ^ | 7.379%, due 10/16/29 | 499,715 | 0.1 | |
37,788 | 7.500%, due 08/20/27 | 45,777 | 0.0 | ||
2,739,168 | 7.500%, due 02/20/34 | 2,948,903 | 0.3 | ||
751,872 | 7.500%, due 10/15/38 | 932,292 | 0.1 | ||
1,095,176 | 7.500%, due 08/20/39 | 1,475,748 | 0.1 | ||
16,444 | 7.800%, due 05/15/19 | 16,532 | 0.0 | ||
3,102 | 8.000%, due 03/20/24 | 3,118 | 0.0 | ||
25,294 | 8.000%, due 11/15/25 | 30,768 | 0.0 | ||
46,910 | 8.000%, due 07/15/26 | 57,124 | 0.0 | ||
16,687 | 8.000%, due 07/15/26 | 20,414 | 0.0 | ||
101,815 | 8.000%, due 09/15/26 | 123,781 | 0.0 | ||
28,719 | 8.000%, due 09/20/26 | 36,040 | 0.0 | ||
23,219 | 8.000%, due 12/15/26 | 28,484 | 0.0 | ||
13,740 | 8.000%, due 04/15/27 | 16,841 | 0.0 | ||
6,948 | 8.000%, due 06/15/27 | 6,987 | 0.0 | ||
44,446 | 8.000%, due 07/15/27 | 51,378 | 0.0 | ||
13,856 | 8.000%, due 03/15/28 | 14,117 | 0.0 | ||
23,389 | 8.050%, due 07/15/19 | 23,519 | 0.0 | ||
189,627 | 8.782%, due 04/20/34 | 206,862 | 0.0 | ||
22,189 | 9.000%, due 05/15/16 | 22,327 | 0.0 | ||
4,075 | 9.000%, due 07/15/16 | 4,100 | 0.0 | ||
4,628 | 9.500%, due 11/15/21 | 5,166 | 0.0 | ||
2,134,524 | 13.859%, due 09/16/31 | 2,707,913 | 0.2 | ||
109,897 | 15.563%, due 01/20/32 | 143,029 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | ||||
327,202 | 19.550%, due 09/20/37 | 464,141 | 0.0 | |||
640,006 | 20.338%, due 02/16/32 | 939,729 | 0.1 | |||
718,874 | 24.491%, due 04/16/37 | 1,057,759 | 0.1 | |||
991,018,986 | 85.6 | |||||
Total U.S. Government Agency Obligations | ||||||
(Cost $1,072,870,497) | 1,121,633,631 | 96.9 | ||||
U.S. TREASURY OBLIGATIONS: 2.2% | ||||||
U.S. Treasury Bonds: 0.5% | ||||||
5,500,000 | 3.000%, due 05/15/42 | 5,712,267 | 0.5 | |||
U.S. Treasury Notes: 1.7% | ||||||
20,000,000 | 1.625%, due 08/15/22 | 19,987,500 | 1.7 | |||
Total U.S. Treasury Obligations | ||||||
(Cost $25,663,759) | 25,699,767 | 2.2 | ||||
Total Investments in Securities (Cost $1,099,551,232) | $ 1,148,386,733 | 99.2 | ||||
Assets in Excess of Other Liabilities | 9,654,864 | 0.8 | ||||
Net Assets | $ 1,158,041,597 | 100.0 | ||||
† | Unless otherwise indicated, principal amount is shown in USD. |
## | 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. |
^ | 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 $1,101,451,339. | ||
Net unrealized appreciation consists of: | ||
Gross Unrealized Appreciation | $50,271,600 | |
Gross Unrealized Depreciation | (3,336,206) | |
Net Unrealized Appreciation | $46,935,394 | |
Fair Value Measurements^ | ||||||||||||||||
The following is a summary of the fair valuations according to the inputs used as of September 30, 2012 in valuing the assets and liabilities: | ||||||||||||||||
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at September 30, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 1,053,335 | $ | — | $ | 1,053,335 | ||||||||
U.S. Government Agency Obligations | — | 1,121,633,631 | — | 1,121,633,631 | ||||||||||||
U.S. Treasury Obligations | — | 25,699,767 | — | 25,699,767 | ||||||||||||
Total Investments, at fair value | $ | — | $ | 1,148,386,733 | $ | — | $ | 1,148,386,733 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at September 30, 2012 | |||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 114,723 | — | — | 114,723 | ||||||||||||
Total Assets | $ | 114,723 | $ | 1,148,386,733 | $ | — | $ | 1,148,501,456 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | $ | (611,426 | ) | $ | — | $ | — | $ | (611,426 | ) | ||||||
Total Liabilities | $ | (611,426 | ) | $ | — | $ | — | $ | (611,426 | ) | ||||||
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
There were no transfers in or out of Levels 1, 2 or 3 of the fair value hierarchy during the six months ended September 30, 2012. |
ING GNMA Income Fund Open Futures Contracts on September 30, 2012: | ||||||||||||||||
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short Contracts | ||||||||||||||||
U.S. Treasury 10-Year Note | (638 | ) | 12/19/12 | $ | (85,163,034 | ) | $ | (489,731 | ) | |||||||
U.S. Treasury 5-Year Note | (228 | ) | 12/31/12 | (28,416,281 | ) | (121,695 | ) | |||||||||
U.S. Treasury Long Bond | (242 | ) | 12/19/12 | (36,148,750 | ) | 114,723 | ||||||||||
$ | (149,728,065 | ) | $ | (496,703 | ) | |||||||||||
Principal Amount† | Value | Percentage of Net Assets | |||
CORPORATE BONDS/NOTES: 94.3% | |||||
Consumer Discretionary: 26.6% | |||||
355,000 | Affinia Group, Inc., 9.000%, 11/30/14 | 358,550 | 0.2 | ||
195,000 | # | Affinia Group, Inc., 10.750%, 08/15/16 | 211,819 | 0.1 | |
585,000 | # | Affinity Gaming LLC/Affinity Gaming Finance Corp., 9.000%, 05/15/18 | 609,862 | 0.4 | |
370,000 | Allbritton Communications Co., 8.000%, 05/15/18 | 404,225 | 0.3 | ||
950,000 | AMC Entertainment, Inc., 9.750%, 12/01/20 | 1,074,687 | 0.7 | ||
34,782 | # | American Media, Inc., 13.500%, 06/15/18 | 32,346 | 0.0 | |
360,000 | Ameristar Casinos, Inc., 7.500%, 04/15/21 | 388,800 | 0.2 | ||
90,000 | Asbury Automotive Group, Inc., 8.375%, 11/15/20 | 99,675 | 0.1 | ||
665,000 | # | Block Communications, Inc., 7.250%, 02/01/20 | 709,887 | 0.5 | |
310,000 | # | Boyd Gaming Corp., 9.000%, 07/01/20 | 317,750 | 0.2 | |
500,000 | # | Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 | 548,750 | 0.3 | |
581,000 | Burlington Coat Factory Warehouse Corp., 10.000%, 02/15/19 | 645,636 | 0.4 | ||
970,000 | Cablevision Systems Corp., 7.750%, 04/15/18 | 1,079,125 | 0.7 | ||
1,000,000 | # | Caesars Operating Escrow LLC / Caesars Escrow Corp., 8.500%, 02/15/20 | 1,002,500 | 0.6 | |
535,000 | # | Carlson Wagonlit BV, 6.875%, 06/15/19 | 564,425 | 0.4 | |
400,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 6.500%, 04/30/21 | 430,000 | 0.3 | ||
460,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 7.250%, 10/30/17 | 503,700 | 0.3 | ||
565,000 | # | Cequel Communications Holdings I, LLC and Cequel Capital Corp., 8.625%, 11/15/17 | 605,962 | 0.4 | |
153,850 | & | Ceridian Corp., 12.250%, 11/15/15 | 153,850 | 0.1 | |
550,000 | Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 06/15/21 | 588,500 | 0.4 | ||
450,000 | Chrysler Group LLC/CG Co-Issuer, Inc., 8.000%, 06/15/19 | 479,250 | 0.3 | ||
120,000 | Cinemark USA, Inc., 7.375%, 06/15/21 | 134,100 | 0.1 | ||
185,000 | CityCenter Holdings LLC / CityCenter Finance Corp., 7.625%, 01/15/16 | 198,412 | 0.1 | ||
588,533 | & | CityCenter Holdings LLC / CityCenter Finance Corp., 10.750%, 01/15/17 | 631,202 | 0.4 | |
388,000 | Clear Channel Communications, Inc., 9.000%, 03/01/21 | 347,260 | 0.2 | ||
105,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 03/15/20 | 101,325 | 0.1 | ||
1,030,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 03/15/20 | 1,009,400 | 0.6 | ||
785,000 | Cumulus Media Holdings, Inc., 7.750%, 05/01/19 | 767,338 | 0.5 | ||
430,000 | DineEquity, Inc., 9.500%, 10/30/18 | 486,975 | 0.3 | ||
500,000 | # | DISH DBS Corp., 5.875%, 07/15/22 | 515,000 | 0.3 | |
480,000 | DISH DBS Corp., 7.875%, 09/01/19 | 560,400 | 0.4 | ||
578,000 | Emergency Medical Services Corp., 8.125%, 06/01/19 | 615,570 | 0.4 | ||
200,000 | # | Gray Television, Inc., 7.500%, 10/01/20 | 200,000 | 0.1 | |
695,000 | Gray Television, Inc., 10.500%, 06/29/15 | 756,681 | 0.5 | ||
600,000 | Harrah's Operating Co., Inc., 10.000%, 12/15/18 | 396,000 | 0.2 | ||
825,000 | # | Harron Communications L.P./Harron Finance Corp., 9.125%, 04/01/20 | 895,125 | 0.6 | |
300,000 | # | Isle of Capri Casinos, Inc., 8.875%, 06/15/20 | 317,250 | 0.2 | |
500,000 | # | Jaguar Holding Co. II / Jaguar Merger Sub, Inc., 9.500%, 12/01/19 | 563,750 | 0.4 | |
400,000 | # | K Hovnanian Enterprises, Inc., 7.250%, 10/15/20 | 411,000 | 0.3 | |
400,000 | # | K Hovnanian Enterprises, Inc., 9.125%, 11/15/20 | 403,500 | 0.3 | |
250,000 | KB Home, 5.875%, 01/15/15 | 259,688 | 0.2 | ||
750,000 | KB Home, 6.250%, 06/15/15 | 783,750 | 0.5 | ||
550,000 | KB Home, 8.000%, 03/15/20 | 610,500 | 0.4 | ||
500,000 | # | Mediacom Broadband LLC / Mediacom Broadband Corp., 6.375%, 04/01/23 | 502,500 | 0.3 | |
200,000 | Mediacom LLC / Mediacom Capital Corp., 7.250%, 02/15/22 | 215,500 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||
285,000 | Mediacom LLC / Mediacom Capital Corp., 9.125%, 08/15/19 | 316,350 | 0.2 | ||
125,000 | Meritage Homes Corp., 7.000%, 04/01/22 | 134,375 | 0.1 | ||
720,000 | # | Meritage Homes Corp., 7.731%, 04/30/17 | 745,200 | 0.5 | |
500,000 | MGM Mirage, 7.500%, 06/01/16 | 537,500 | 0.3 | ||
750,000 | MGM Resorts International, 7.750%, 03/15/22 | 787,500 | 0.5 | ||
500,000 | # | MGM Resorts International, 8.625%, 02/01/19 | 547,500 | 0.3 | |
261,000 | + | Michaels Stores, Inc., 13.000%, 11/01/16 | 274,705 | 0.2 | |
750,000 | NCL Corp. Ltd., 9.500%, 11/15/18 | 834,375 | 0.5 | ||
795,000 | # | Needle, 8.125%, 03/15/19 | 814,875 | 0.5 | |
485,000 | New Albertsons, Inc., 7.450%, 08/01/29 | 272,812 | 0.2 | ||
404,996 | & | Nexstar Broadcasting, Inc., 7.000%, 01/15/14 | 407,527 | 0.3 | |
175,000 | Nexstar Broadcasting, Inc. / Mission Broadcasting, Inc., 8.875%, 04/15/17 | 191,188 | 0.1 | ||
400,000 | # | Nielsen Finance LLC / Nielsen Finance Co., 4.500%, 10/01/20 | 399,500 | 0.3 | |
750,000 | # | Nord Anglia Education UK Holdings PLC, 10.250%, 04/01/17 | 813,750 | 0.5 | |
425,000 | NPC International, Inc. / NPC Operating Co. A, Inc. / NPC Operating Co. B, Inc., 10.500%, 01/15/20 | 490,875 | 0.3 | ||
865,000 | # | Number Merger Sub, Inc., 11.000%, 12/15/19 | 975,288 | 0.6 | |
150,000 | # | Pantry, Inc./The, 8.375%, 08/01/20 | 154,125 | 0.1 | |
475,000 | # | PC Merger Sub, Inc., 8.875%, 08/01/20 | 508,250 | 0.3 | |
400,000 | # | Penske Automotive Group, Inc., 5.750%, 10/01/22 | 412,000 | 0.3 | |
500,000 | PulteGroup, Inc., 7.875%, 06/15/32 | 522,500 | 0.3 | ||
145,000 | Ryland Group, Inc./The, 5.375%, 10/01/22 | 145,725 | 0.1 | ||
750,000 | # | Sabre, Inc., 8.500%, 05/15/19 | 772,500 | 0.5 | |
250,000 | Sally Holdings LLC / Sally Capital, Inc., 5.750%, 06/01/22 | 267,500 | 0.2 | ||
520,000 | Scientific Games Corp., 8.125%, 09/15/18 | 570,700 | 0.4 | ||
577,000 | # | Seminole Indian Tribe of Florida, 7.750%, 10/01/17 | 636,143 | 0.4 | |
300,000 | ServiceMaster Co/TN, 8.000%, 02/15/20 | 319,500 | 0.2 | ||
200,000 | # | Sonic Automotive, Inc., 7.000%, 07/15/22 | 215,000 | 0.1 | |
300,000 | Sonic Automotive, Inc., 9.000%, 03/15/18 | 329,250 | 0.2 | ||
600,000 | Standard Pacific Corp., 8.375%, 01/15/21 | 687,750 | 0.4 | ||
290,000 | Star Gas Partners L.P./Star Gas Finance Co., 8.875%, 12/01/17 | 295,800 | 0.2 | ||
570,000 | # | Starz LLC / Starz Finance Corp., 5.000%, 09/15/19 | 585,675 | 0.4 | |
99,000 | Tomkins LLC / Tomkins, Inc., 9.000%, 10/01/18 | 110,880 | 0.1 | ||
430,000 | Toys R Us Property Co. II LLC, 8.500%, 12/01/17 | 465,475 | 0.3 | ||
165,000 | # | UR Financing Escrow Corp., 5.750%, 07/15/18 | 174,694 | 0.1 | |
285,000 | # | UR Financing Escrow Corp., 7.375%, 05/15/20 | 307,088 | 0.2 | |
285,000 | # | UR Financing Escrow Corp., 7.625%, 04/15/22 | 312,788 | 0.2 | |
410,000 | Visant Corp., 10.000%, 10/01/17 | 407,950 | 0.3 | ||
750,000 | # | Wolverine Healthcare Analytics, 10.625%, 06/01/20 | 806,250 | 0.5 | |
600,000 | # | Wolverine World Wide, Inc., 6.125%, 10/15/20 | 621,000 | 0.4 | |
790,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 876,900 | 0.6 | |
41,540,288 | 26.6 | ||||
Consumer Staples: 4.6% | |||||
615,000 | # | American Rock Salt Co. LLC/American Rock Capital Corp., 8.250%, 05/01/18 | 561,187 | 0.4 | |
445,000 | Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 9.625%, 03/15/18 | 496,175 | 0.3 | ||
485,000 | Cott Beverages, Inc., 8.375%, 11/15/17 | 534,106 | 0.3 | ||
285,000 | Darling International, Inc., 8.500%, 12/15/18 | 325,969 | 0.2 | ||
645,000 | Eliz Arden, 7.375%, 03/15/21 | 725,625 | 0.5 | ||
500,000 | Hertz Corp./The, 6.750%, 04/15/19 | 530,000 | 0.3 | ||
450,000 | # | JBS USA LLC/JBS USA Finance, Inc., 7.250%, 06/01/21 | 425,250 | 0.3 | |
545,000 | # | Neff Rental LLC/Neff Finance Corp., 9.625%, 05/15/16 | 554,537 | 0.4 | |
355,000 | Prestige Brands, Inc., 8.125%, 02/01/20 | 397,600 | 0.3 | ||
500,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 8.250%, 02/15/21 | 498,750 | 0.3 |
Principal Amount† | Value | Percentage of Net Assets | |||
750,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 9.875%, 08/15/19 | 801,563 | 0.5 | ||
240,000 | # | Rite Aid Corp., 6.875%, 12/15/28 | 196,800 | 0.1 | |
250,000 | Rite Aid Corp., 9.250%, 03/15/20 | 257,500 | 0.2 | ||
190,000 | RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 02/01/21 | 209,475 | 0.1 | ||
420,000 | ServiceMaster Co/The, 7.450%, 08/15/27 | 351,750 | 0.2 | ||
335,000 | Smithfield Foods, Inc., 6.625%, 08/15/22 | 348,400 | 0.2 | ||
7,214,687 | 4.6 | ||||
Energy: 14.5% | |||||
250,000 | Alpha Natural Resources, Inc., 6.250%, 06/01/21 | 209,375 | 0.1 | ||
555,000 | Alta Mesa Holdings / Alta Mesa Finance Services Corp., 9.625%, 10/15/18 | 557,775 | 0.4 | ||
385,000 | Arch Coal, Inc., 7.250%, 06/15/21 | 323,400 | 0.2 | ||
295,000 | # | Atlas Pipeline Partners L.P. / Atlas Pipeline Finance Corp., 6.625%, 10/01/20 | 300,900 | 0.2 | |
305,000 | Berry Petroleum Co., 6.375%, 09/15/22 | 322,537 | 0.2 | ||
421,000 | Berry Petroleum Co., 10.250%, 06/01/14 | 473,099 | 0.3 | ||
500,000 | # | BreitBurn Energy Partners L.P. / BreitBurn Finance Corp., 7.875%, 04/15/22 | 520,000 | 0.3 | |
175,000 | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.375%, 05/01/19 | 189,000 | 0.1 | ||
325,000 | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.375%, 05/01/19 | 351,000 | 0.2 | ||
400,000 | # | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.625%, 08/01/20 | 433,000 | 0.3 | |
500,000 | # | Chaparral Energy, Inc., 7.625%, 11/15/22 | 527,500 | 0.3 | |
145,000 | Chaparral Energy, Inc., 8.250%, 09/01/21 | 157,325 | 0.1 | ||
205,000 | Chaparral Energy, Inc., 9.875%, 10/01/20 | 232,675 | 0.2 | ||
200,000 | Chesapeake Energy Corp., 6.625%, 08/15/20 | 207,250 | 0.1 | ||
505,000 | # | Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 | 487,325 | 0.3 | |
325,000 | Chesapeake Energy Corp., 6.125%, 02/15/21 | 329,062 | 0.2 | ||
500,000 | Cimarex Energy Co., 5.875%, 05/01/22 | 530,000 | 0.3 | ||
535,000 | Clayton Williams Energy, Inc., 7.750%, 04/01/19 | 536,338 | 0.4 | ||
365,000 | Concho Resources, Inc./Midland TX, 7.000%, 01/15/21 | 410,625 | 0.3 | ||
500,000 | Crosstex Energy L.P. / Crosstex Energy Finance Corp., 8.875%, 02/15/18 | 535,937 | 0.3 | ||
405,000 | Eagle Rock Energy Partners L.P. / Eagle Rock Energy Finance Corp., 8.375%, 06/01/19 | 399,937 | 0.3 | ||
260,000 | # | Eagle Rock Energy Partners L.P. / Eagle Rock Energy Finance Corp., 8.375%, 06/01/19 | 256,750 | 0.2 | |
625,000 | El Paso Corp., 7.250%, 06/01/18 | 722,998 | 0.5 | ||
250,000 | Energy Transfer Equity L.P., 7.500%, 10/15/20 | 285,000 | 0.2 | ||
385,000 | Energy XXI Gulf Coast, Inc., 9.250%, 12/15/17 | 434,087 | 0.3 | ||
200,000 | # | Hiland Partners L.P. / Hiland Partners Finance Corp., 7.250%, 10/01/20 | 208,250 | 0.1 | |
875,000 | # | Hilcorp Energy I L.P./Hilcorp Finance Co., 8.000%, 02/15/20 | 977,813 | 0.6 | |
300,000 | Laredo Petroleum, Inc., 7.375%, 05/01/22 | 325,500 | 0.2 | ||
545,000 | # | Linn Energy LLC/Linn Energy Finance Corp., 6.250%, 11/01/19 | 542,956 | 0.4 | |
275,000 | Linn Energy LLC/Linn Energy Finance Corp., 7.750%, 02/01/21 | 292,188 | 0.2 | ||
300,000 | MarkWest Energy Partners L.P. / MarkWest Energy Finance Corp., 6.500%, 08/15/21 | 323,250 | 0.2 | ||
230,000 | McMoRan Exploration Co., 11.875%, 11/15/14 | 243,225 | 0.2 | ||
160,000 | # | Meg Energy, 6.500%, 03/15/21 | 172,000 | 0.1 | |
500,000 | # | Midstates Petroleum Co., Inc. / Midstates Petroleum Co. LLC, 10.750%, 10/01/20 | 523,750 | 0.3 | |
325,000 | # | NFR Energy LLC/NFR Energy Finance Corp., 9.750%, 02/15/17 | 299,000 | 0.2 | |
800,000 | Northern Oil and Gas, Inc., 8.000%, 06/01/20 | 828,000 | 0.5 |
Principal Amount† | Value | Percentage of Net Assets | |||
215,000 | Oasis Petroleum, Inc., 6.500%, 11/01/21 | 227,900 | 0.2 | ||
655,000 | Oasis Petroleum, Inc., 7.250%, 02/01/19 | 705,763 | 0.5 | ||
295,000 | # | PDC Energy, Inc., 7.750%, 10/15/22 | 295,000 | 0.2 | |
800,000 | # | PetroBakken Energy Ltd., 8.625%, 02/01/20 | 834,000 | 0.5 | |
750,000 | Plains Exploration & Production Co., 6.125%, 06/15/19 | 759,375 | 0.5 | ||
200,000 | Plains Exploration & Production Co., 6.625%, 05/01/21 | 204,000 | 0.1 | ||
450,000 | # | QR Energy L.P. / QRE Finance Corp., 9.250%, 08/01/20 | 461,250 | 0.3 | |
200,000 | Range Resources Corp., 5.750%, 06/01/21 | 216,000 | 0.1 | ||
90,000 | Range Resources Corp., 5.000%, 08/15/22 | 95,063 | 0.1 | ||
605,000 | # | Resolute Energy Corp., 8.500%, 05/01/20 | 622,394 | 0.4 | |
400,000 | # | SandRidge Energy, Inc., 7.500%, 02/15/23 | 413,000 | 0.3 | |
200,000 | # | SandRidge Energy, Inc., 7.500%, 03/15/21 | 207,000 | 0.1 | |
600,000 | # | SM Energy Co., 6.500%, 01/01/23 | 630,750 | 0.4 | |
270,000 | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 6.875%, 02/01/21 | 294,300 | 0.2 | ||
800,000 | Vanguard Natural Resources, LLC, 7.875%, 04/01/20 | 807,000 | 0.5 | ||
75,000 | Venoco, Inc., 8.875%, 02/15/19 | 65,625 | 0.0 | ||
719,000 | W&T Offshore, Inc., 8.500%, 06/15/19 | 787,305 | 0.5 | ||
480,000 | Westmoreland Coal Co/Westmoreland Partners, 10.750%, 02/01/18 | 468,000 | 0.3 | ||
22,562,552 | 14.5 | ||||
Financials: 9.8% | |||||
735,000 | Ally Financial, Inc., 8.000%, 03/15/20 | 863,625 | 0.6 | ||
455,000 | Ally Financial, Inc., 8.300%, 02/12/15 | 505,050 | 0.3 | ||
540,000 | American General Finance Corp., 5.400%, 12/01/15 | 487,685 | 0.3 | ||
750,000 | # | Ashtead Capital, 6.500%, 07/05/22 | 790,312 | 0.5 | |
200,000 | # | Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp., 8.375%, 02/15/18 | 209,000 | 0.1 | |
520,000 | CIT Group, Inc., 4.250%, 08/15/17 | 542,364 | 0.4 | ||
500,000 | CIT Group, Inc., 5.250%, 03/15/18 | 538,750 | 0.3 | ||
250,000 | CIT Group, Inc., 5.375%, 05/15/20 | 271,875 | 0.2 | ||
250,000 | CIT Group, Inc., 5.000%, 05/15/17 | 268,125 | 0.2 | ||
310,000 | CIT Group, Inc., 5.000%, 08/15/22 | 324,155 | 0.2 | ||
290,000 | # | CIT Group, Inc., 6.625%, 04/01/18 | 330,600 | 0.2 | |
500,000 | # | CNG Holdings, Inc./OH, 9.375%, 05/15/20 | 516,250 | 0.3 | |
402,000 | Felcor Lodging L.P., 10.000%, 10/01/14 | 463,305 | 0.3 | ||
500,000 | Fifth Third Capital Trust IV, 6.500%, 04/15/37 | 503,125 | 0.3 | ||
695,000 | Ford Motor Credit Co., LLC, 8.125%, 01/15/20 | 875,933 | 0.6 | ||
500,000 | Ford Motor Credit Co. LLC, 5.000%, 05/15/18 | 547,246 | 0.4 | ||
515,000 | International Lease Finance Corp., 5.875%, 08/15/22 | 533,135 | 0.3 | ||
210,000 | International Lease Finance Corp., 6.250%, 05/15/19 | 226,800 | 0.1 | ||
470,000 | International Lease Finance Corp., 8.250%, 12/15/20 | 560,475 | 0.4 | ||
710,000 | Kemet Corp., 10.500%, 05/01/18 | 724,200 | 0.5 | ||
1,000,000 | Nufarm Australia Limited, 6.375%, 10/15/19 | 1,000,000 | 0.6 | ||
500,000 | # | Realogy Corp., 7.625%, 01/15/20 | 553,750 | 0.4 | |
520,000 | # | Realogy Corp., 7.875%, 02/15/19 | 548,600 | 0.4 | |
500,000 | Regions Bank/Birmingham AL, 6.450%, 06/26/37 | 512,500 | 0.3 | ||
500,000 | # | Rivers Pittsburgh Borrower L.P./Rivers Pittsburgh Finance Corp., 9.500%, 06/15/19 | 533,750 | 0.3 | |
750,000 | # | Serta Simmons Holdings LLC, 8.125%, 10/01/20 | 748,125 | 0.5 | |
750,000 | Shea Homes L.P. / Shea Homes Funding Corp., 8.625%, 05/15/19 | 840,000 | 0.5 | ||
145,000 | Springleaf Finance Corp., 6.900%, 12/15/17 | 123,975 | 0.1 | ||
260,000 | Tops Holding Corp. / Tops Markets LLC, 10.125%, 10/15/15 | 275,275 | 0.2 | ||
15,217,985 | 9.8 | ||||
Health Care: 11.3% | |||||
171,000 | Biomet, Inc., 11.625%, 10/15/17 | 182,329 | 0.1 | ||
600,000 | # | Biomet, Inc., 6.500%, 10/01/20 | 591,000 | 0.4 | |
475,000 | # | Biomet, Inc., 6.500%, 08/01/20 | 493,406 | 0.3 | |
495,000 | #,& | CDRT Holding Corp., 9.250%, 10/01/17 | 480,150 | 0.3 |
Principal Amount† | Value | Percentage of Net Assets | |||
600,000 | CHS/Community Health Systems, Inc., 5.125%, 08/15/18 | 624,000 | 0.4 | ||
190,000 | CHS/Community Health Systems, Inc., 7.125%, 07/15/20 | 202,944 | 0.1 | ||
250,000 | CHS/Community Health Systems, Inc., 8.000%, 11/15/19 | 275,625 | 0.2 | ||
145,000 | DaVita, Inc., 6.375%, 11/01/18 | 155,150 | 0.1 | ||
595,000 | DaVita, Inc., 6.625%, 11/01/20 | 638,881 | 0.4 | ||
455,000 | Gentiva Health Services, Inc., 11.500%, 09/01/18 | 431,681 | 0.3 | ||
650,000 | Grifols, Inc., 8.250%, 02/01/18 | 721,500 | 0.5 | ||
655,000 | HCA Holdings, Inc., 7.750%, 05/15/21 | 717,225 | 0.5 | ||
360,000 | HCA, Inc., 7.250%, 09/15/20 | 405,000 | 0.2 | ||
800,000 | HCA, Inc., 7.500%, 02/15/22 | 910,000 | 0.6 | ||
105,000 | HCA, Inc., 7.875%, 02/15/20 | 118,519 | 0.1 | ||
245,000 | # | Health Management Associates, Inc., 7.375%, 01/15/20 | 267,050 | 0.2 | |
385,000 | Healthsouth Corp., 7.250%, 10/01/18 | 418,687 | 0.3 | ||
260,000 | Healthsouth Corp., 8.125%, 02/15/20 | 289,900 | 0.2 | ||
400,000 | # | Hologic, Inc., 6.250%, 08/01/20 | 426,000 | 0.3 | |
625,000 | IASIS Healthcare LLC / IASIS Capital Corp., 8.375%, 05/15/19 | 600,000 | 0.4 | ||
480,000 | Immucor, Inc., 11.125%, 08/15/19 | 544,800 | 0.3 | ||
420,000 | MedAssets, Inc., 8.000%, 11/15/18 | 459,900 | 0.3 | ||
500,000 | # | Mylan, Inc., 6.000%, 11/15/18 | 532,500 | 0.3 | |
370,000 | Omnicare, Inc., 7.750%, 06/01/20 | 408,850 | 0.3 | ||
750,000 | # | Physio-Control International, Inc., 9.875%, 01/15/19 | 825,000 | 0.5 | |
400,000 | PSS World Medical, Inc., 6.375%, 03/01/22 | 427,500 | 0.3 | ||
455,000 | Radnet Management, Inc., 10.375%, 04/01/18 | 461,825 | 0.3 | ||
38,000 | Select Medical Corp., 7.625%, 02/01/15 | 38,570 | 0.0 | ||
650,000 | Select Medical Holdings Corp., 6.429%, 09/15/15 | 651,625 | 0.4 | ||
280,000 | # | STHI Holding Corp., 8.000%, 03/15/18 | 299,600 | 0.2 | |
420,000 | Tenet Healthcare Corp., 8.000%, 08/01/20 | 453,075 | 0.3 | ||
395,000 | Tenet Healthcare Corp., 6.250%, 11/01/18 | 437,462 | 0.3 | ||
225,000 | X | U.S. Oncology Escrow, 87.500%, 12/31/49 | – | – | |
500,000 | # | Universal Hospital Services, Inc., 7.625%, 08/15/20 | 522,500 | 0.3 | |
675,000 | # | USPI Finance Corp., 9.000%, 04/01/20 | 735,750 | 0.5 | |
500,000 | # | Valeant Pharmaceuticals International, 7.250%, 07/15/22 | 529,375 | 0.3 | |
525,000 | # | Valeant Pharmaceuticals International, 6.750%, 08/15/21 | 547,313 | 0.3 | |
300,000 | Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II, Inc., 7.750%, 02/01/19 | 320,625 | 0.2 | ||
12,000 | Z | Vanguard Health Systems, Inc., 02/01/16 | 8,520 | 0.0 | |
490,000 | # | VPI Escrow Corp., 6.375%, 10/15/20 | 502,250 | 0.3 | |
17,656,087 | 11.3 | ||||
Industrials: 6.4% | |||||
200,000 | # | ADS Waste Holdings, Inc., 8.250%, 10/01/20 | 204,500 | 0.1 | |
455,000 | # | Amsted Industries, Inc., 8.125%, 03/15/18 | 493,675 | 0.3 | |
665,000 | Anixter, Inc., 5.625%, 05/01/19 | 698,250 | 0.5 | ||
250,000 | # | Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc., 9.125%, 10/15/20 | 265,625 | 0.2 | |
185,000 | Atkore International, Inc., 9.875%, 01/01/18 | 180,837 | 0.1 | ||
600,000 | # | Belden, Inc., 5.500%, 09/01/22 | 616,500 | 0.4 | |
280,000 | Coleman Cable, Inc., 9.000%, 02/15/18 | 299,600 | 0.2 | ||
670,000 | Covanta Holding Corp., 7.250%, 12/01/20 | 746,348 | 0.5 | ||
360,000 | Ducommun, Inc., 9.750%, 07/15/18 | 381,600 | 0.2 | ||
605,000 | Florida East Coast Railway Corp., 8.125%, 02/01/17 | 639,788 | 0.4 | ||
245,000 | # | General Cable Corp., 5.750%, 10/01/22 | 249,900 | 0.2 | |
600,000 | # | H&E Equipment Services, Inc., 7.000%, 09/01/22 | 625,500 | 0.4 | |
110,000 | Interface, Inc., 7.625%, 12/01/18 | 119,900 | 0.1 | ||
320,000 | Iron Mountain, Inc., 8.000%, 06/15/20 | 342,000 | 0.2 | ||
500,000 | #,& | Isabelle Acquisition Sub, Inc., 10.000%, 11/15/18 | 544,375 | 0.4 | |
880,000 | # | JM Huber Corp., 9.875%, 11/01/19 | 992,200 | 0.6 | |
130,000 | Koppers, Inc., 7.875%, 12/01/19 | 143,325 | 0.1 | ||
509,000 | Martin Midstream Partners L.P. / Martin Midstream Finance Corp., 8.875%, 04/01/18 | 536,995 | 0.3 |
Principal Amount† | Value | Percentage of Net Assets | |||
285,000 | # | Mcron Finance Sub LLC / Mcron Finance Corp., 8.375%, 05/15/19 | 294,975 | 0.2 | |
500,000 | Monitronics International, Inc., 9.125%, 04/01/20 | 522,500 | 0.3 | ||
370,000 | Polymer Group, Inc., 7.750%, 02/01/19 | 395,900 | 0.3 | ||
375,000 | Severstal, 10.250%, 02/15/18 | 376,875 | 0.2 | ||
310,000 | SPX Corp., 6.875%, 09/01/17 | 347,975 | 0.2 | ||
10,019,143 | 6.4 | ||||
Information Technology: 5.4% | |||||
605,000 | Aspect Software, Inc., 10.625%, 05/15/17 | 624,662 | 0.4 | ||
400,000 | # | Audatex North America, Inc., 6.750%, 06/15/18 | 429,000 | 0.3 | |
425,000 | CDW LLC / CDW Finance Corp., 8.500%, 04/01/19 | 464,312 | 0.3 | ||
250,000 | CDW LLC / CDW Finance Corp., 12.535%, 10/12/17 | 268,125 | 0.2 | ||
545,000 | # | Emdeon, Inc., 11.000%, 12/31/19 | 621,300 | 0.4 | |
750,000 | Epicor Software Corp., 8.625%, 05/01/19 | 795,000 | 0.5 | ||
800,000 | # | First Data Corp., 6.750%, 11/01/20 | 799,000 | 0.5 | |
145,000 | # | First Data Corp., 8.250%, 01/15/21 | 145,363 | 0.1 | |
146,000 | #,& | First Data Corp., 8.750%, 01/15/22 | 147,825 | 0.1 | |
17,000 | First Data Corp., 9.875%, 09/24/15 | 17,425 | 0.0 | ||
18,684 | & | First Data Corp., 10.550%, 09/24/15 | 19,221 | 0.0 | |
445,000 | First Data Corp., 11.250%, 03/31/16 | 433,875 | 0.3 | ||
505,000 | Freescale Semiconductor, Inc., 8.050%, 02/01/20 | 499,950 | 0.3 | ||
355,000 | # | Lawson Software, Inc., 9.375%, 04/01/19 | 395,825 | 0.2 | |
500,000 | # | Lawson Software, Inc., 11.500%, 07/15/18 | 572,500 | 0.4 | |
365,000 | # | NCR Corp., 5.000%, 07/15/22 | 370,475 | 0.2 | |
250,000 | Seagate HDD Cayman, 6.875%, 05/01/20 | 267,813 | 0.2 | ||
35,000 | Seagate HDD Cayman, 7.750%, 12/15/18 | 38,850 | 0.0 | ||
525,000 | SSI Investments II/SSI Co-Issuer LLC, 11.125%, 06/01/18 | 595,875 | 0.4 | ||
395,000 | SunGard Data Systems, Inc., 7.375%, 11/15/18 | 425,613 | 0.3 | ||
155,000 | SunGard Data Systems, Inc., 7.625%, 11/15/20 | 168,950 | 0.1 | ||
300,000 | Unisys Corp., 6.250%, 08/15/17 | 315,000 | 0.2 | ||
8,415,959 | 5.4 | ||||
Materials: 7.3% | |||||
500,000 | AK Steel Corp., 8.375%, 04/01/22 | 430,000 | 0.3 | ||
200,000 | # | Ardagh Packaging Finance Plc, 7.375%, 10/15/17 | 215,500 | 0.1 | |
85,000 | Berry Plastics Holding Corp., 10.250%, 03/01/16 | 88,612 | 0.1 | ||
165,000 | # | Building Materials Corp. of America, 6.750%, 05/01/21 | 181,087 | 0.1 | |
185,000 | # | Building Materials Corp. of America, 7.500%, 03/15/20 | 203,500 | 0.1 | |
220,000 | Chemtura Corp., 7.875%, 09/01/18 | 240,350 | 0.2 | ||
500,000 | # | Consolidated Container Co. LLC/Consolidated Container Capital, Inc., 10.125%, 07/15/20 | 535,000 | 0.3 | |
230,000 | Ferro Corp., 7.875%, 08/15/18 | 223,100 | 0.1 | ||
250,000 | # | FMG Resources August 2006 Pty Ltd., 6.000%, 04/01/17 | 233,750 | 0.2 | |
250,000 | Hexion US Finance Corp., 6.625%, 04/15/20 | 255,625 | 0.2 | ||
190,000 | Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC, 9.000%, 11/15/20 | 170,525 | 0.1 | ||
350,000 | # | Ineos Finance PLC, 8.375%, 02/15/19 | 369,688 | 0.2 | |
500,000 | # | Ineos Group Holdings PLC, 8.500%, 02/15/16 | 475,000 | 0.3 | |
330,000 | # | JMC Steel Group, 8.250%, 03/15/18 | 338,250 | 0.2 | |
370,000 | Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.750%, 03/01/19 | 382,950 | 0.2 | ||
1,000,000 | Lender Process Services, 5.750%, 04/15/23 | 987,500 | 0.6 | ||
410,000 | # | Longview Fibre Paper & Packaging, Inc., 8.000%, 06/01/16 | 429,475 | 0.3 | |
400,000 | Louisiana-Pacific Corp., 7.500%, 06/01/20 | 447,500 | 0.3 | ||
640,000 | LyondellBasell Industries NV, 6.000%, 11/15/21 | 732,800 | 0.5 | ||
110,000 | Momentive Performance Materials, Inc., 9.000%, 01/15/21 | 80,300 | 0.1 | ||
500,000 | # | New Gold, Inc., 7.000%, 04/15/20 | 532,500 | 0.3 | |
460,000 | Omnova Solutions, Inc., 7.875%, 11/01/18 | 466,900 | 0.3 | ||
400,000 | # | PH Glatfelter Co., 5.375%, 10/15/20 | 406,000 | 0.3 | |
290,000 | # | Plastipak Holdings, Inc., 10.625%, 08/15/19 | 333,500 | 0.2 | |
275,000 | PolyOne Corp., 7.375%, 09/15/20 | 299,063 | 0.2 |
Principal Amount† | Value | Percentage of Net Assets | ||||
307,000 | # | Rain CII Carbon LLC and CII Carbon Corp., 8.000%, 12/01/18 | 314,675 | 0.2 | ||
750,000 | # | Roofing Supply Group LLC / Roofing Supply Finance, Inc., 10.000%, 06/01/20 | 821,250 | 0.5 | ||
390,000 | SunCoke Energy, Inc., 7.625%, 08/01/19 | 397,800 | 0.3 | |||
750,000 | Taseko Mines Ltd., 7.750%, 04/15/19 | 721,875 | 0.5 | |||
11,314,075 | 7.3 | |||||
Telecommunication Services: 6.0% | ||||||
220,000 | Cincinnati Bell, Inc., 8.375%, 10/15/20 | 237,600 | 0.2 | |||
200,000 | Cincinnati Bell, Inc., 8.750%, 03/15/18 | 204,000 | 0.1 | |||
310,000 | Cricket Communications, Inc., 7.750%, 05/15/16 | 328,600 | 0.2 | |||
310,000 | Frontier Communications Corp., 8.500%, 04/15/20 | 351,850 | 0.2 | |||
200,000 | Frontier Communications Corp., 8.250%, 04/15/17 | 228,000 | 0.1 | |||
400,000 | Intelsat Bermuda Ltd., 11.250%, 02/04/17 | 424,500 | 0.3 | |||
131,375 | & | Intelsat Bermuda Ltd., 11.500%, 02/04/17 | 139,750 | 0.1 | ||
250,000 | #,& | Intelsat Bermuda Ltd., 11.500%, 02/04/17 | 265,937 | 0.2 | ||
500,000 | # | Intelsat Jackson Holdings SA, 7.250%, 10/15/20 | 540,000 | 0.3 | ||
240,000 | Intelsat Jackson Holdings SA, 7.500%, 04/01/21 | 261,000 | 0.2 | |||
18,024 | & | iPCS, Inc., 3.695%, 05/01/14 | 17,979 | 0.0 | ||
630,000 | MetroPCS Wireless, Inc., 6.625%, 11/15/20 | 662,288 | 0.4 | |||
500,000 | # | Sable International Finance Ltd., 8.750%, 02/01/20 | 560,000 | 0.4 | ||
245,000 | # | SBA Communications Corp., 5.625%, 10/01/19 | 250,206 | 0.2 | ||
1,000,000 | Sprint Capital Corp., 6.875%, 11/15/28 | 925,000 | 0.6 | |||
400,000 | # | Sprint Nextel Corp., 7.000%, 03/01/20 | 449,000 | 0.3 | ||
665,000 | # | Sprint Nextel Corp., 9.000%, 11/15/18 | 799,663 | 0.5 | ||
750,000 | # | Telesat Canada / Telesat LLC, 6.000%, 05/15/17 | 783,750 | 0.5 | ||
425,000 | # | UPCB Finance VI Ltd., 6.875%, 01/15/22 | 452,625 | 0.3 | ||
500,000 | # | Wind Acquisition Finance SA, 7.250%, 02/15/18 | 475,000 | 0.3 | ||
670,000 | Windstream Corp., 7.000%, 03/15/19 | 686,750 | 0.4 | |||
250,000 | Windstream Corp., 7.500%, 06/01/22 | 266,250 | 0.2 | |||
9,309,748 | 6.0 | |||||
Utilities: 2.4% | ||||||
310,000 | AES Corp./The, 7.375%, 07/01/21 | 354,950 | 0.2 | |||
385,000 | # | Calpine Corp., 7.500%, 02/15/21 | 417,725 | 0.3 | ||
440,000 | # | Calpine Corp., 7.875%, 07/31/20 | 482,900 | 0.3 | ||
500,000 | # | DPL, Inc., 7.250%, 10/15/21 | 572,500 | 0.4 | ||
480,000 | Energy Future Holdings Corp., 10.000%, 01/15/20 | 531,600 | 0.3 | |||
475,000 | Mirant Americas Generation, LLC, 9.125%, 05/01/31 | 508,250 | 0.3 | |||
230,000 | NRG Energy, Inc., 7.625%, 05/15/19 | 244,950 | 0.2 | |||
230,000 | NRG Energy, Inc., 7.875%, 05/15/21 | 251,275 | 0.2 | |||
455,000 | # | Texas Competitive Electric Holdings Co. LLC / TCEH Finance, Inc., 11.500%, 10/01/20 | 358,312 | 0.2 | ||
3,722,462 | 2.4 | |||||
Total Corporate Bonds/Notes | ||||||
(Cost $139,023,048) | 146,972,986 | 94.3 | ||||
ASSET-BACKED SECURITIES: 0.7% | ||||||
Other Asset-Backed Securities: 0.7% | ||||||
1,000,000 | # | Castle Garden Funding, 6.560%, 10/27/20 | 1,031,760 | 0.7 | ||
Total Asset-Backed Securities | ||||||
(Cost $997,500) | 1,031,760 | 0.7 | ||||
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 0.0% | ||||||
Consumer Discretionary: 0.0% | ||||||
195 | @ | American Media, Inc. | 2,535 | 0.0 | ||
5,810 | X | American Media, Inc., Stock Certificates | – | – | ||
Total Common Stock | ||||||
(Cost $136,656) | 2,535 | 0.0 | ||||
Total Long-Term Investments | ||||||
(Cost $140,157,204) | 148,007,281 | 95.0 | ||||
SHORT-TERM INVESTMENTS: 6.7% | ||||||
Mutual Funds: 6.7% | ||||||
10,413,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $10,413,000) | 10,413,000 | 6.7 | ||||
Total Short-Term Investments | ||||||
(Cost $10,413,000) | 10,413,000 | 6.7 |
Value | Percentage of Net Assets | |||||
Total Investments in Securities (Cost $150,570,204) | $ 158,420,281 | 101.7 | ||||
Liabilities in Excess of Other Assets | (2,576,611) | (1.7) | ||||
Net Assets | $ 155,843,670 | 100.0 | ||||
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
@ | Non-income producing security |
& | Payment-in-kind |
+ | Step-up basis bonds. Interest rates shown reflect current and next coupon rates. |
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. |
Cost for federal income tax purposes is $150,573,555. | ||
Net unrealized appreciation consists of: | ||
Gross Unrealized Appreciation | $8,841,112 | |
Gross Unrealized Depreciation | (994,386) | |
Net Unrealized Appreciation | $7,846,726 | |
Fair Value Measurements^ | ||||||||||||||||
The following is a summary of the fair valuations according to the inputs used as of September 30, 2012 in valuing the assets and liabilities: | ||||||||||||||||
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at September 30, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | — | $ | — | $ | 2,535 | $ | 2,535 | ||||||||
Total Common Stock | — | — | 2,535 | 2,535 | ||||||||||||
Corporate Bonds/Notes | — | 146,972,986 | — | 146,972,986 | ||||||||||||
Asset-Backed Securities | — | 1,031,760 | — | 1,031,760 | ||||||||||||
Short-Term Investments | 10,413,000 | — | — | 10,413,000 | ||||||||||||
Total Investments, at fair value | $ | 10,413,000 | $ | 148,004,746 | $ | 2,535 | $ | 158,420,281 | ||||||||
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
There were no transfers in or out of Levels 1, 2 or 3 of the fair value hierarchy during the six months ended September 30, 2012. |
Principal Amount† | Value | Percentage of Net Assets | |||
CORPORATE BONDS/NOTES: 32.6% | |||||
Consumer Discretionary: 3.0% | |||||
2,446,000 | # | ADT Corp., 2.250%, 07/15/17 | 2,520,953 | 0.2 | |
544,000 | # | ADT Corp., 3.500%, 07/15/22 | 566,469 | 0.0 | |
660,000 | # | ADT Corp., 4.875%, 07/15/42 | 718,308 | 0.1 | |
740,000 | Cablevision Systems Corp., 8.625%, 09/15/17 | 863,950 | 0.1 | ||
1,125,000 | # | Carlson Wagonlit BV, 6.875%, 06/15/19 | 1,186,875 | 0.1 | |
625,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 5.250%, 09/30/22 | 631,250 | 0.1 | ||
295,000 | Comcast Corp., 3.125%, 07/15/22 | 306,764 | 0.0 | ||
1,115,000 | Comcast Corp., 4.650%, 07/15/42 | 1,199,139 | 0.1 | ||
2,214,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 2.400%, 03/15/17 | 2,276,109 | 0.2 | ||
1,112,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.800%, 03/15/22 | 1,146,859 | 0.1 | ||
1,500,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.150%, 03/15/42 | 1,533,747 | 0.1 | ||
687,000 | Discovery Communications LLC, 3.300%, 05/15/22 | 715,240 | 0.1 | ||
927,000 | Family Dollar Stores, Inc., 5.000%, 02/01/21 | 1,002,359 | 0.1 | ||
2,726,000 | # | Hyatt Hotels Corp., 6.875%, 08/15/19 | 3,239,347 | 0.3 | |
1,030,000 | Lamar Media Corp., 5.875%, 02/01/22 | 1,102,100 | 0.1 | ||
900,000 | # | Lennar Corp., 4.750%, 12/15/17 | 933,750 | 0.1 | |
1,105,000 | Limited Brands, Inc., 8.500%, 06/15/19 | 1,337,050 | 0.1 | ||
1,100,000 | Lowe's Cos, Inc., 4.650%, 04/15/42 | 1,205,495 | 0.1 | ||
1,025,000 | L | Mediacom LLC / Mediacom Capital Corp., 7.250%, 02/15/22 | 1,104,437 | 0.1 | |
1,150,000 | NBCUniversal Media LLC, 2.875%, 01/15/23 | 1,147,896 | 0.1 | ||
1,150,000 | NBCUniversal Media LLC, 4.450%, 01/15/43 | 1,146,079 | 0.1 | ||
926,000 | News America, Inc., 6.650%, 11/15/37 | 1,180,325 | 0.1 | ||
2,724,000 | NVR, Inc., 3.950%, 09/15/22 | 2,799,471 | 0.2 | ||
367,000 | # | Suburban Propane Partners L.P./Suburban Energy Finance Corp., 7.375%, 08/01/21 | 393,607 | 0.0 | |
488,000 | The Gap, Inc., 5.950%, 04/12/21 | 544,624 | 0.0 | ||
1,251,000 | Time Warner, Inc., 6.500%, 11/15/36 | 1,594,437 | 0.1 | ||
863,000 | Toll Brothers Finance Corp., 6.750%, 11/01/19 | 988,868 | 0.1 | ||
1,293,000 | WPP Finance 2010, 5.125%, 09/07/42 | 1,281,607 | 0.1 | ||
950,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 1,054,500 | 0.1 | |
35,721,615 | 3.0 | ||||
Consumer Staples: 1.8% | |||||
2,370,000 | Altria Group, Inc., 2.850%, 08/09/22 | 2,370,152 | 0.2 | ||
1,684,000 | Anheuser-Busch InBev Worldwide, Inc., 2.500%, 07/15/22 | 1,711,993 | 0.1 | ||
979,000 | Anheuser-Busch InBev Worldwide, Inc., 3.750%, 07/15/42 | 987,220 | 0.1 | ||
2,939,000 | Campbell Soup Co., 4.250%, 04/15/21 | 3,371,168 | 0.3 | ||
1,240,000 | Constellation Brands, Inc., 7.250%, 05/15/17 | 1,453,900 | 0.1 | ||
1,013,000 | Energizer Holdings, Inc., 4.700%, 05/19/21 | 1,074,972 | 0.1 | ||
615,000 | # | JBS USA LLC/JBS USA Finance, Inc., 8.250%, 02/01/20 | 616,537 | 0.1 | |
1,721,000 | # | Kraft Foods Group, Inc., 3.500%, 06/06/22 | 1,822,585 | 0.2 | |
2,600,000 | # | Kraft Foods Group, Inc., 5.000%, 06/04/42 | 2,916,027 | 0.2 | |
1,949,000 | Molson Coors Brewing Co., 5.000%, 05/01/42 | 2,189,119 | 0.2 | ||
777,000 | Philip Morris International, Inc., 2.500%, 05/16/16 | 821,684 | 0.1 | ||
601,000 | Philip Morris International, Inc., 3.875%, 08/21/42 | 607,592 | 0.0 | ||
1,514,000 | Walgreen Co., 4.400%, 09/15/42 | 1,569,773 | 0.1 | ||
21,512,722 | 1.8 | ||||
Energy: 5.5% | |||||
825,000 | L | Alpha Natural Resources, Inc., 6.250%, 06/01/21 | 690,938 | 0.1 | |
200,000 | L | Alpha Natural Resources, Inc., 6.000%, 06/01/19 | 168,000 | 0.0 | |
870,000 | Anadarko Petroleum Corp., 6.375%, 09/15/17 | 1,050,256 | 0.1 | ||
1,240,000 | # | BG Energy Capital PLC, 2.875%, 10/15/16 | 1,316,899 | 0.1 | |
2,962,000 | BP Capital Markets PLC, 2.248%, 11/01/16 | 3,104,241 | 0.3 | ||
1,033,000 | BP Capital Markets PLC, 3.245%, 05/06/22 | 1,095,629 | 0.1 | ||
375,000 | Chesapeake Energy Corp., 6.625%, 08/15/20 | 388,594 | 0.0 | ||
325,000 | # | Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 | 313,625 | 0.0 | |
1,467,000 | # | Dolphin Energy Ltd., 5.500%, 12/15/21 | 1,700,253 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||
500,000 | Empresa Nacional del Petroleo, 4.750%, 12/06/21 | 537,620 | 0.0 | ||
600,000 | Empresa Nacional del Petroleo, 5.250%, 08/10/20 | 658,835 | 0.1 | ||
533,000 | Enbridge Energy Partners L.P., 4.200%, 09/15/21 | 577,857 | 0.1 | ||
1,523,000 | Enbridge Energy Partners, 9.875%, 03/01/19 | 2,077,323 | 0.2 | ||
1,070,000 | Energy Transfer Equity L.P., 7.500%, 10/15/20 | 1,219,800 | 0.1 | ||
1,217,000 | Energy Transfer Partners L.P., 4.650%, 06/01/21 | 1,311,400 | 0.1 | ||
2,074,000 | Energy Transfer Partners L.P., 6.050%, 06/01/41 | 2,297,509 | 0.2 | ||
1,244,000 | Energy Transfer Partners, 9.700%, 03/15/19 | 1,646,157 | 0.1 | ||
1,000,000 | Enterprise Products Operating LLC, 4.450%, 02/15/43 | 994,502 | 0.1 | ||
1,040,000 | FMC Technologies, Inc., 2.000%, 10/01/17 | 1,052,277 | 0.1 | ||
1,810,000 | FMC Technologies, Inc., 3.450%, 10/01/22 | 1,841,713 | 0.2 | ||
1,250,000 | Gazprom OAO Via Gaz Capital SA, 6.212%, 11/22/16 | 1,392,250 | 0.1 | ||
1,800,000 | ±,X | Greater Ohio Ethanol, LLC, 6.301%, 12/31/13 | – | – | |
2,200,000 | ±,X | Greater Ohio Ethanol, LLC, 12.630%, 12/31/13 | – | – | |
2,254,000 | Marathon Petroleum Corp., 6.500%, 03/01/41 | 2,774,239 | 0.2 | ||
1,542,000 | Nexen, Inc., 7.500%, 07/30/39 | 2,207,567 | 0.2 | ||
1,986,000 | Noble Holding International Ltd., 3.950%, 03/15/22 | 2,088,559 | 0.2 | ||
650,000 | ONEOK Partners L.P., 2.000%, 10/01/17 | 662,993 | 0.1 | ||
1,440,000 | ONEOK Partners L.P., 3.375%, 10/01/22 | 1,450,434 | 0.1 | ||
1,495,000 | Petrobras International Finance Co. - Pifco, 3.500%, 02/06/17 | 1,567,573 | 0.1 | ||
355,000 | Petroleos de Venezuela SA, 8.500%, 11/02/17 | 322,163 | 0.0 | ||
1,170,300 | Petroleos De Venezuela SA, 9.750%, 05/17/35 | 980,126 | 0.1 | ||
1,478,000 | Petroleos Mexicanos, 5.500%, 01/21/21 | 1,740,345 | 0.1 | ||
256,000 | Petroleos Mexicanos, 4.875%, 01/24/22 | 289,920 | 0.0 | ||
310,000 | Petroleos Mexicanos, 5.500%, 06/27/44 | 341,775 | 0.0 | ||
558,333 | Petroleum Co. of Trinidad & Tobago Ltd., 6.000%, 05/08/22 | 601,604 | 0.1 | ||
1,457,000 | # | Phillips 66, 2.950%, 05/01/17 | 1,543,340 | 0.1 | |
2,936,000 | # | Phillips 66, 4.300%, 04/01/22 | 3,221,576 | 0.3 | |
1,091,000 | Plains All American Pipeline L.P. / PAA Finance Corp., 3.650%, 06/01/22 | 1,160,801 | 0.1 | ||
470,000 | Plains All American Pipeline L.P. / PAA Finance Corp., 5.150%, 06/01/42 | 537,433 | 0.0 | ||
830,000 | Plains Exploration & Production Co., 8.625%, 10/15/19 | 929,600 | 0.1 | ||
1,387,000 | Pride International, Inc., 7.875%, 08/15/40 | 2,029,171 | 0.2 | ||
1,000,000 | # | Reliance Holdings USA, Inc., 5.400%, 02/14/22 | 1,067,388 | 0.1 | |
1,331,000 | # | Schlumberger Investment SA, 1.950%, 09/14/16 | 1,376,567 | 0.1 | |
2,150,000 | Total Capital International SA, 2.700%, 01/25/23 | 2,196,971 | 0.2 | ||
790,000 | Transcontinental Gas Pipe Line Corp., 6.400%, 04/15/16 | 918,810 | 0.1 | ||
2,600,000 | Transocean, Inc., 2.500%, 10/15/17 | 2,618,106 | 0.2 | ||
1,070,000 | Transocean, Inc., 3.800%, 10/15/22 | 1,078,039 | 0.1 | ||
1,455,000 | Transocean, Inc., 6.375%, 12/15/21 | 1,744,874 | 0.1 | ||
1,120,000 | # | Unit Corp., 6.625%, 05/15/21 | 1,162,000 | 0.1 | |
2,042,000 | Weatherford International Ltd., 5.950%, 04/15/42 | 2,158,178 | 0.2 | ||
969,000 | Weatherford International Ltd., 6.750%, 09/15/40 | 1,098,059 | 0.1 | ||
485,000 | WPX Energy, Inc., 6.000%, 01/15/22 | 523,800 | 0.0 | ||
65,827,689 | 5.5 | ||||
Financials: 11.5% | |||||
3,513,600 | L | Aegon NV, 1.893%, 12/31/49 | 1,742,148 | 0.1 | |
859,000 | American International Group, Inc., 4.875%, 06/01/22 | 970,178 | 0.1 | ||
1,770,000 | American International Group, Inc., 5.850%, 01/16/18 | 2,058,306 | 0.2 | ||
1,257,000 | American International Group, Inc., 8.175%, 05/15/58 | 1,544,539 | 0.1 | ||
617,000 | Allstate Corp., 5.200%, 01/15/42 | 743,659 | 0.1 | ||
898,000 | American Express Credit Corp., 1.750%, 06/12/15 | 919,143 | 0.1 | ||
1,410,000 | American Tower Corp., 4.500%, 01/15/18 | 1,558,125 | 0.1 | ||
2,205,000 | AvalonBay Communities, Inc., 2.950%, 09/15/22 | 2,203,274 | 0.2 | ||
BRL 2,887,000 | # | Banco Votorantim SA, 6.250%, 05/16/16 | 1,645,117 | 0.1 | |
1,790,000 | Bank of America Corp., 3.750%, 07/12/16 | 1,901,164 | 0.2 |
Principal Amount† | Value | Percentage of Net Assets | |||
1,000,000 | Bank of America Corp., 3.875%, 03/22/17 | 1,077,469 | 0.1 | ||
962,000 | Bank of America Corp., 5.700%, 01/24/22 | 1,132,272 | 0.1 | ||
1,314,000 | Bank of America Corp., 8.000%, 12/29/49 | 1,432,426 | 0.1 | ||
1,122,000 | BB&T Corp., 3.950%, 03/22/22 | 1,222,155 | 0.1 | ||
683,000 | Berkshire Hathaway Finance Corp., 1.600%, 05/15/17 | 699,821 | 0.1 | ||
436,000 | Berkshire Hathaway Finance Corp., 4.400%, 05/15/42 | 451,209 | 0.0 | ||
739,000 | Berkshire Hathaway, Inc., 1.900%, 01/31/17 | 766,122 | 0.1 | ||
816,000 | Berkshire Hathaway, Inc., 3.400%, 01/31/22 | 873,992 | 0.1 | ||
1,611,000 | BioMed Realty L.P., 4.250%, 07/15/22 | 1,683,031 | 0.1 | ||
777,000 | Boston Properties L.P., 3.700%, 11/15/18 | 843,855 | 0.1 | ||
1,500,000 | Boston Properties L.P., 3.850%, 02/01/23 | 1,583,547 | 0.1 | ||
1,329,000 | BRE Properties, Inc., 3.375%, 01/15/23 | 1,325,095 | 0.1 | ||
1,592,000 | # | Charles Schwab Corp./The, 3.225%, 09/01/22 | 1,618,508 | 0.1 | |
1,669,000 | Citigroup, Inc., 3.953%, 06/15/16 | 1,787,616 | 0.2 | ||
2,000,000 | Citigroup, Inc., 4.450%, 01/10/17 | 2,199,338 | 0.2 | ||
2,117,000 | Citigroup, Inc., 4.500%, 01/14/22 | 2,329,413 | 0.2 | ||
624,000 | Citigroup, Inc., 5.875%, 01/30/42 | 755,589 | 0.1 | ||
1,660,000 | # | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 11.000%, 12/29/49 | 2,193,240 | 0.2 | |
2,205,000 | Digital Realty Trust L.P., 3.625%, 10/01/22 | 2,196,912 | 0.2 | ||
1,056,000 | Discover Bank/Greenwood DE, 8.700%, 11/18/19 | 1,365,622 | 0.1 | ||
367,000 | Discover Financial Services, 6.450%, 06/12/17 | 417,153 | 0.0 | ||
2,500,000 | ERP Operating L.P., 4.625%, 12/15/21 | 2,887,010 | 0.2 | ||
1,036,000 | Federal Realty Investment Trust, 3.000%, 08/01/22 | 1,033,427 | 0.1 | ||
573,000 | Ford Motor Credit Co. LLC, 3.000%, 06/12/17 | 584,015 | 0.0 | ||
1,065,000 | Ford Motor Credit Co., LLC, 8.125%, 01/15/20 | 1,342,257 | 0.1 | ||
834,000 | # | General Electric Capital Corp. / LJ VP Holdings LLC, 3.800%, 06/18/19 | 881,884 | 0.1 | |
849,000 | General Electric Capital Corp., 3.150%, 09/07/22 | 854,834 | 0.1 | ||
1,043,000 | General Electric Capital Corp., 3.350%, 10/17/16 | 1,124,211 | 0.1 | ||
2,490,000 | General Electric Capital Corp., 4.650%, 10/17/21 | 2,796,571 | 0.2 | ||
967,000 | General Electric Capital Corp., 5.300%, 02/11/21 | 1,111,832 | 0.1 | ||
1,200,000 | General Electric Capital Corp., 6.250%, 12/15/49 | 1,271,969 | 0.1 | ||
1,700,000 | General Electric Capital Corp., 7.125%, 12/15/49 | 1,901,911 | 0.2 | ||
1,443,000 | L | Genworth Financial, Inc., 7.625%, 09/24/21 | 1,475,439 | 0.1 | |
2,174,000 | Goldman Sachs Group, Inc./The, 5.750%, 01/24/22 | 2,509,342 | 0.2 | ||
869,000 | Goldman Sachs Group, Inc., 3.300%, 05/03/15 | 904,818 | 0.1 | ||
675,000 | Goldman Sachs Group, Inc., 5.950%, 01/18/18 | 784,927 | 0.1 | ||
1,058,000 | Hartford Financial Services Group, Inc., 5.125%, 04/15/22 | 1,190,938 | 0.1 | ||
610,000 | Hartford Financial Services Group, Inc., 6.625%, 03/30/40 | 738,139 | 0.1 | ||
1,301,000 | HSBC Finance Corp., 6.676%, 01/15/21 | 1,511,543 | 0.1 | ||
418,000 | HSBC Holdings PLC, 4.875%, 01/14/22 | 479,637 | 0.0 | ||
1,325,000 | HSBC USA, Inc., 2.375%, 02/13/15 | 1,364,792 | 0.1 | ||
2,278,000 | # | Hyundai Capital America, 4.000%, 06/08/17 | 2,460,210 | 0.2 | |
3,950,000 | #,L | ICICI Bank Ltd./Dubai, 4.700%, 02/21/18 | 4,120,198 | 0.3 | |
1,361,000 | # | ILFC E-Capital Trust II, 6.250%, 12/21/65 | 1,081,995 | 0.1 | |
1,937,000 | Infinity Property & Casualty Corp., 5.000%, 09/19/22 | 2,020,498 | 0.2 | ||
907,000 | International Lease Finance Corp., 5.875%, 08/15/22 | 938,938 | 0.1 | ||
1,037,000 | # | International Lease Finance Corp., 7.125%, 09/01/18 | 1,213,290 | 0.1 | |
559,000 | # | IPIC GMTN Ltd., 3.750%, 03/01/17 | 590,863 | 0.0 | |
800,000 | # | IPIC GMTN Ltd., 5.500%, 03/01/22 | 900,000 | 0.1 | |
326,000 | L | Itau Unibanco Holding SA/Cayman Island, 5.750%, 01/22/21 | 346,375 | 0.0 | |
601,000 | # | Itau Unibanco Holding SA/Cayman Island, 6.200%, 12/21/21 | 656,593 | 0.1 | |
2,346,000 | JPMorgan Chase & Co., 2.000%, 08/15/17 | 2,369,723 | 0.2 | ||
1,770,000 | JPMorgan Chase & Co., 3.250%, 09/23/22 | 1,798,858 | 0.2 | ||
929,000 | JPMorgan Chase & Co., 4.350%, 08/15/21 | 1,026,054 | 0.1 | ||
1,517,000 | JPMorgan Chase & Co., 4.500%, 01/24/22 | 1,686,358 | 0.1 | ||
1,439,000 | JPMorgan Chase & Co., 5.400%, 01/06/42 | 1,681,526 | 0.1 | ||
2,275,000 | Merrill Lynch & Co., Inc., 6.050%, 05/16/16 | 2,488,161 | 0.2 | ||
851,000 | MetLife, Inc., 3.048%, 12/15/22 | 862,175 | 0.1 | ||
1,598,000 | MetLife, Inc., 4.125%, 08/13/42 | 1,582,210 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||
1,350,000 | # | Metropolitan Life Global Funding I, 3.875%, 04/11/22 | 1,475,402 | 0.1 | |
2,306,000 | Morgan Stanley, 3.800%, 04/29/16 | 2,385,264 | 0.2 | ||
832,000 | Morgan Stanley, 4.750%, 03/22/17 | 893,118 | 0.1 | ||
2,605,000 | Morgan Stanley, 5.500%, 07/28/21 | 2,856,510 | 0.2 | ||
435,000 | MPT Operating Partnership L.P./MPT Finance Corp., 6.375%, 02/15/22 | 463,275 | 0.0 | ||
3,441,000 | Murray Street Investment Trust I, 4.647%, 03/09/17 | 3,699,650 | 0.3 | ||
612,000 | National Rural Utilities Cooperative Finance Corp., 3.050%, 02/15/22 | 648,931 | 0.1 | ||
DKK 12 | X | Nordea Kredit Realkreditaktieselskab, 6.000%, 07/01/29 | – | – | |
1,351,000 | Northern Trust Corp., 2.375%, 08/02/22 | 1,352,866 | 0.1 | ||
1,547,000 | Principal Financial Group, Inc., 4.625%, 09/15/42 | 1,588,127 | 0.1 | ||
1,944,000 | # | RBS Citizens Financial Group, Inc., 4.150%, 09/28/22 | 1,952,046 | 0.2 | |
2,230,000 | Royal Bank of Scotland Group PLC, 2.550%, 09/18/15 | 2,258,435 | 0.2 | ||
2,300,000 | Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.298%, 12/27/17 | 2,444,233 | 0.2 | ||
600,000 | # | Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.298%, 12/27/17 | 637,626 | 0.1 | |
2,001,000 | Simon Property Group L.P., 4.125%, 12/01/21 | 2,223,985 | 0.2 | ||
682,000 | Simon Property Group L.P., 4.750%, 03/15/42 | 740,509 | 0.1 | ||
923,000 | SLM Corp., 4.625%, 09/25/17 | 937,534 | 0.1 | ||
755,000 | SLM Corp., 6.000%, 01/25/17 | 825,781 | 0.1 | ||
1,007,000 | SLM Corp., 8.000%, 03/25/20 | 1,168,120 | 0.1 | ||
1,600,000 | # | State Bank of India/London, 4.125%, 08/01/17 | 1,638,853 | 0.1 | |
436,000 | + | The Bank of New York Mellon Corp., 1.969%, 06/20/17 | 451,924 | 0.0 | |
600,000 | # | Turkiye Halk Bankasi AS, 4.875%, 07/19/17 | 615,780 | 0.1 | |
1,000,000 | UBS AG/Stamford CT, 7.625%, 08/17/22 | 1,047,595 | 0.1 | ||
2,907,000 | US Bancorp, 2.950%, 07/15/22 | 2,941,564 | 0.2 | ||
2,561,000 | Wells Fargo & Co., 2.100%, 05/08/17 | 2,653,058 | 0.2 | ||
1,190,000 | Wells Fargo & Co., 3.500%, 03/08/22 | 1,271,951 | 0.1 | ||
136,985,696 | 11.5 | ||||
Health Care: 2.3% | |||||
1,960,000 | Amgen, Inc., 3.625%, 05/15/22 | 2,071,046 | 0.2 | ||
785,000 | Amgen, Inc., 3.875%, 11/15/21 | 845,322 | 0.1 | ||
366,000 | Amgen, Inc., 5.150%, 11/15/41 | 409,957 | 0.0 | ||
1,018,000 | # | Aristotle Holding, Inc., 2.650%, 02/15/17 | 1,068,088 | 0.1 | |
1,268,000 | # | Aristotle Holding, Inc., 3.500%, 11/15/16 | 1,372,451 | 0.1 | |
1,710,000 | AstraZeneca PLC, 1.950%, 09/18/19 | 1,743,926 | 0.2 | ||
1,360,000 | AstraZeneca PLC, 4.000%, 09/18/42 | 1,400,236 | 0.1 | ||
3,270,000 | Celgene Corp., 3.250%, 08/15/22 | 3,308,818 | 0.3 | ||
1,477,000 | Gilead Sciences, Inc., 4.400%, 12/01/21 | 1,682,338 | 0.1 | ||
2,748,000 | GlaxoSmithKline Capital PLC, 1.500%, 05/08/17 | 2,799,371 | 0.2 | ||
1,657,000 | GlaxoSmithKline Capital PLC, 2.850%, 05/08/22 | 1,725,040 | 0.1 | ||
1,395,000 | HCA, Inc., 7.250%, 09/15/20 | 1,569,375 | 0.1 | ||
1,000,000 | Healthsouth Corp., 7.250%, 10/01/18 | 1,087,500 | 0.1 | ||
637,000 | Kaiser Foundation Hospitals, 4.875%, 04/01/42 | 729,029 | 0.1 | ||
1,054,000 | X | U.S. Oncology Escrow, 87.500%, 12/31/49 | – | – | |
915,000 | #,L | Valeant Pharmaceuticals International, 7.250%, 07/15/22 | 968,756 | 0.1 | |
2,180,000 | WellPoint, Inc., 3.700%, 08/15/21 | 2,285,144 | 0.2 | ||
2,171,000 | WellPoint, Inc., 4.625%, 05/15/42 | 2,203,268 | 0.2 | ||
27,269,665 | 2.3 | ||||
Industrials: 1.2% | |||||
1,519,000 | ABB Finance USA, Inc., 2.875%, 05/08/22 | 1,574,026 | 0.1 | ||
1,230,000 | BE Aerospace, Inc., 6.875%, 10/01/20 | 1,371,450 | 0.1 | ||
990,000 | Burlington Northern Santa Fe LLC, 4.375%, 09/01/42 | 1,053,277 | 0.1 | ||
1,175,000 | Case New Holland, Inc., 7.875%, 12/01/17 | 1,383,562 | 0.1 | ||
1,096,000 | FedEx Corp., 3.875%, 08/01/42 | 1,079,159 | 0.1 | ||
1,700,000 | # | Hutchison Whampoa International 12 Ltd., 6.000%, 11/07/49 | 1,759,500 | 0.2 | |
600,000 | # | Kazakhstan Temir Zholy Finance BV, 6.950%, 07/10/42 | 729,750 | 0.1 | |
798,000 | Koninklijke Philips Electronics NV, 3.750%, 03/15/22 | 865,456 | 0.1 | ||
825,000 | L | Odebrecht Finance Ltd., 7.000%, 04/21/20 | 936,375 | 0.1 | |
310,000 | #,L | Odebrecht Finance Ltd., 7.500%, 09/29/49 | 330,925 | 0.0 | |
1,600,000 | # | Transnet SOC Ltd., 4.000%, 07/26/22 | 1,630,400 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||
1,295,000 | # | Tyco Flow Control International Finance SA, 3.150%, 09/15/22 | 1,302,688 | 0.1 | |
14,016,568 | 1.2 | ||||
Information Technology: 1.9% | |||||
150,000 | Brocade Communications Systems, Inc., 6.625%, 01/15/18 | 156,375 | 0.0 | ||
1,120,000 | Brocade Communications Systems, Inc., 6.875%, 01/15/20 | 1,215,200 | 0.1 | ||
3,929,000 | eBay, Inc., 4.000%, 07/15/42 | 3,846,397 | 0.3 | ||
370,000 | Fidelity National Information Services, Inc., 5.000%, 03/15/22 | 383,875 | 0.0 | ||
500,000 | Fidelity National Information Services, Inc., 7.875%, 07/15/20 | 561,250 | 0.1 | ||
825,000 | Hewlett-Packard Co., 2.600%, 09/15/17 | 828,736 | 0.1 | ||
2,673,000 | Hewlett-Packard Co., 3.000%, 09/15/16 | 2,765,566 | 0.2 | ||
625,000 | Hewlett-Packard Co., 5.400%, 03/01/17 | 698,523 | 0.1 | ||
520,000 | Ingram Micro, Inc., 5.000%, 08/10/22 | 539,279 | 0.1 | ||
1,365,000 | Jabil Circuit, Inc., 7.750%, 07/15/16 | 1,586,812 | 0.1 | ||
2,080,000 | Motorola Solutions, Inc., 3.750%, 05/15/22 | 2,167,171 | 0.2 | ||
835,000 | Seagate Technology HDD Holdings, 6.800%, 10/01/16 | 928,938 | 0.1 | ||
966,000 | Symantec Corp., 2.750%, 06/15/17 | 994,256 | 0.1 | ||
494,000 | Symantec Corp., 4.200%, 09/15/20 | 514,013 | 0.0 | ||
2,395,000 | Telefonaktiebolaget LM Ericsson, 4.125%, 05/15/22 | 2,474,885 | 0.2 | ||
2,421,000 | Xerox Corp., 4.500%, 05/15/21 | 2,577,598 | 0.2 | ||
22,238,874 | 1.9 | ||||
Materials: 2.3% | |||||
1,570,000 | Agrium, Inc., 3.150%, 10/01/22 | 1,584,769 | 0.1 | ||
1,203,000 | L | Alcoa, Inc., 6.150%, 08/15/20 | 1,329,933 | 0.1 | |
3,890,000 | # | Anglo American Capital PLC, 2.625%, 09/27/17 | 3,908,668 | 0.3 | |
1,760,000 | # | Anglo American Capital PLC, 4.125%, 09/27/22 | 1,770,884 | 0.1 | |
200,000 | AngloGold Ashanti Holdings PLC, 5.125%, 08/01/22 | 204,104 | 0.0 | ||
250,000 | # | Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc., 7.375%, 10/15/17 | 269,063 | 0.0 | |
2,000,000 | Barrick Gold Corp., 3.850%, 04/01/22 | 2,104,208 | 0.2 | ||
2,570,000 | Cabot Corp., 3.700%, 07/15/22 | 2,631,667 | 0.2 | ||
185,000 | Celanese US Holdings LLC, 5.875%, 06/15/21 | 207,431 | 0.0 | ||
400,000 | # | Corp Nacional del Cobre de Chile, 4.250%, 07/17/42 | 398,106 | 0.0 | |
820,000 | # | FMG Resources August 2006 Pty Ltd., 6.000%, 04/01/17 | 766,700 | 0.1 | |
495,000 | # | Georgia-Pacific LLC, 5.400%, 11/01/20 | 581,239 | 0.1 | |
730,000 | Rio Tinto Finance USA PLC, 1.625%, 08/21/17 | 732,493 | 0.1 | ||
1,200,000 | Rio Tinto Finance USA PLC, 2.875%, 08/21/22 | 1,197,518 | 0.1 | ||
3,000,000 | Rio Tinto Finance USA PLC, 3.500%, 03/22/22 | 3,135,465 | 0.3 | ||
1,010,000 | Rio Tinto Finance USA PLC, 4.125%, 08/21/42 | 1,000,021 | 0.1 | ||
960,000 | # | Sealed Air Corp., 8.375%, 09/15/21 | 1,080,000 | 0.1 | |
1,975,000 | Teck Resources Ltd, 3.750%, 02/01/23 | 1,958,404 | 0.2 | ||
1,028,000 | Vale Overseas Ltd., 4.625%, 09/15/20 | 1,101,454 | 0.1 | ||
827,000 | # | Xstrata Canada Financial Corp., 4.950%, 11/15/21 | 887,863 | 0.1 | |
26,849,990 | 2.3 | ||||
Telecommunication Services: 1.2% | |||||
1,608,000 | AT&T, Inc., 5.350%, 09/01/40 | 1,945,429 | 0.2 | ||
1,045,000 | CenturyLink, Inc., 5.800%, 03/15/22 | 1,139,451 | 0.1 | ||
800,000 | CenturyLink, Inc., 6.000%, 04/01/17 | 897,277 | 0.1 | ||
925,000 | Hughes Satellite Systems Corp., 6.500%, 06/15/19 | 994,375 | 0.1 | ||
425,000 | Intelsat Jackson Holdings SA, 7.250%, 10/15/20 | 459,531 | 0.0 | ||
450,000 | Intelsat Jackson Holdings SA, 7.500%, 04/01/21 | 489,375 | 0.0 | ||
586,000 | Qwest Communications International, Inc., 7.125%, 04/01/18 | 624,119 | 0.0 | ||
770,000 | #,L | Sable International Finance Ltd., 8.750%, 02/01/20 | 862,400 | 0.1 | |
1,228,000 | Telecom Italia Capital S.A., 5.250%, 11/15/13 | 1,269,445 | 0.1 | ||
1,428,000 | Telefonica Emisiones SAU, 3.992%, 02/16/16 | 1,424,430 | 0.1 | ||
2,344,000 | # | Telstra Corp. Ltd., 4.800%, 10/12/21 | 2,685,983 | 0.2 | |
810,000 | # | UPCB Finance VI Ltd., 6.875%, 01/15/22 | 862,650 | 0.1 | |
1,200,000 | Windstream Corp., 7.000%, 03/15/19 | 1,230,000 | 0.1 | ||
14,884,465 | 1.2 | ||||
Utilities: 1.9% | |||||
855,000 | AES Corp., 8.000%, 10/15/17 | 991,800 | 0.1 | ||
1,191,000 | Ameren Corp., 8.875%, 05/15/14 | 1,325,421 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||
566,000 | CenterPoint Energy Houston Electric LLC, 3.550%, 08/01/42 | 557,473 | 0.0 | ||
600,000 | # | China Resources Gas Group Ltd, 4.500%, 04/05/22 | 652,036 | 0.0 | |
410,000 | # | Comision Federal de Electricidad, 5.750%, 02/14/42 | 460,225 | 0.0 | |
922,000 | Commonwealth Edison Co., 3.400%, 09/01/21 | 1,006,469 | 0.1 | ||
2,330,000 | Dominion Resources, Inc./VA, 2.750%, 09/15/22 | 2,350,443 | 0.2 | ||
612,000 | # | Duquesne Light Holdings, Inc., 5.900%, 12/01/21 | 715,308 | 0.1 | |
1,249,000 | # | Duquesne Light Holdings, Inc., 6.400%, 09/15/20 | 1,478,554 | 0.1 | |
873,000 | # | Empresa de Energia de Bogota SA, 6.125%, 11/10/21 | 964,665 | 0.1 | |
782,000 | Entergy Texas, Inc., 7.125%, 02/01/19 | 963,620 | 0.1 | ||
872,000 | Georgia Power Co., 2.850%, 05/15/22 | 908,632 | 0.1 | ||
609,000 | Georgia Power Co., 4.300%, 03/15/42 | 653,318 | 0.1 | ||
314,000 | # | Iberdrola Finance Ireland Ltd., 3.800%, 09/11/14 | 319,828 | 0.0 | |
113,314 | # | Juniper Generation, LLC, 6.790%, 12/31/14 | 102,341 | 0.0 | |
596,000 | # | Korea Gas Corp., 6.250%, 01/20/42 | 811,972 | 0.1 | |
618,000 | Metropolitan Edison, 7.700%, 01/15/19 | 776,757 | 0.1 | ||
709,000 | Nevada Power Co., 7.125%, 03/15/19 | 924,897 | 0.1 | ||
413,000 | Nisource Finance Corp., 4.450%, 12/01/21 | 460,239 | 0.0 | ||
521,000 | Nisource Finance Corp., 5.950%, 06/15/41 | 630,231 | 0.0 | ||
645,000 | Nisource Finance Corp., 6.125%, 03/01/22 | 793,766 | 0.1 | ||
980,000 | Oncor Electric Delivery Co. LLC, 6.800%, 09/01/18 | 1,211,293 | 0.1 | ||
851,000 | Oncor Electric Delivery Co. LLC, 7.500%, 09/01/38 | 1,115,583 | 0.1 | ||
701,000 | L | Oncor Electric Delivery Co. LLC, 4.100%, 06/01/22 | 745,307 | 0.1 | |
1,169,000 | Southwestern Electric Power, 5.550%, 01/15/17 | 1,321,456 | 0.1 | ||
22,241,634 | 1.9 | ||||
Total Corporate Bonds/Notes | |||||
(Cost $369,916,281) | 387,548,918 | 32.6 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS: 15.2% | |||||
1,039,000 | # | American General Mortgage Loan Trust, 5.650%, 03/25/58 | 1,085,238 | 0.1 | |
2,753,000 | # | American General Mortgage Loan Trust, 5.750%, 09/25/48 | 2,819,182 | 0.2 | |
900,000 | # | Arkle Master Issuer PLC, 2.135%, 05/17/60 | 927,659 | 0.1 | |
24,897,060 | #,^ | Banc of America Commercial Mortgage, Inc., 0.165%, 10/10/45 | 251,851 | 0.0 | |
1,894,094 | # | Banc of America Funding Corp., 5.250%, 08/26/35 | 1,934,289 | 0.2 | |
2,700,142 | Banc of America Funding Corp., 5.500%, 02/25/35 | 2,706,171 | 0.2 | ||
723,041 | # | Banc of America Large Loan, Inc., 1.621%, 06/15/18 | 704,777 | 0.1 | |
860,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.364%, 09/10/47 | 846,079 | 0.1 | ||
1,900,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.364%, 09/10/47 | 1,922,893 | 0.2 | ||
1,030,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.364%, 09/10/47 | 959,854 | 0.1 | ||
480,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.473%, 03/11/41 | 455,031 �� | 0.0 | |
1,242,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.501%, 07/10/43 | 1,219,435 | 0.1 | |
357,368 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 6.850%, 11/15/31 | 360,149 | 0.0 | |
650,000 | # | Bank of America-First Union NB Commercial Mortgage, 6.250%, 04/11/37 | 624,184 | 0.1 | |
519,075 | Bear Stearns Alternative-A Trust, 0.857%, 07/25/34 | 462,387 | 0.0 | ||
740,000 | Bear Stearns Commercial Mortgage Securities, 5.134%, 02/13/42 | 622,674 | 0.1 | ||
240,000 | # | Bear Stearns Commercial Mortgage Securities, 5.640%, 02/14/31 | 239,223 | 0.0 | |
660,000 | # | Bear Stearns Commercial Mortgage Securities, 5.712%, 04/12/38 | 634,083 | 0.1 | |
550,000 | Bear Stearns Commercial Mortgage Securities, 6.500%, 02/15/32 | 513,264 | 0.0 | ||
219,068 | # | Bear Stearns Commercial Mortgage Securities, 6.500%, 02/15/32 | 218,737 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||
730,000 | # | Bear Stearns Deutsche Bank Trust, 5.008%, 09/15/27 | 798,916 | 0.1 | |
1,220,586 | Chase Mortgage Finance Corp., 5.212%, 12/25/35 | 1,202,729 | 0.1 | ||
1,558,884 | Chase Mortgage Finance Corp., 6.000%, 05/25/37 | 1,363,958 | 0.1 | ||
2,651,748 | Citicorp Mortgage Securities, Inc., 6.000%, 06/25/36 | 2,721,978 | 0.2 | ||
1,077,863 | Citicorp Mortgage Securities, Inc., 6.000%, 08/25/36 | 1,103,539 | 0.1 | ||
7,750,000 | #,^ | Citigroup Commercial Mortgage Trust, 2.268%, 09/10/45 | 1,059,181 | 0.1 | |
691,056 | # | Commercial Mortgage Pass Through Certificates, 0.671%, 12/15/20 | 675,633 | 0.1 | |
554,551 | # | Commercial Mortgage Pass Through Certificates, 0.721%, 12/15/20 | 538,930 | 0.0 | |
503,362 | # | Commercial Mortgage Pass Through Certificates, 0.821%, 12/15/20 | 431,633 | 0.0 | |
5,100,000 | ^ | Commercial Mortgage Pass Through Certificates, 2.141%, 08/15/45 | 649,197 | 0.1 | |
6,971,180 | ^ | Commercial Mortgage Pass Through Certificates, 2.446%, 05/15/45 | 982,357 | 0.1 | |
345,293 | Commercial Mortgage Pass Through Certificates, 5.801%, 12/10/49 | 344,944 | 0.0 | ||
2,588,180 | Countrywide Alternative Loan Trust, 5.500%, 12/25/35 | 2,297,608 | 0.2 | ||
1,874,932 | Countrywide Home Loan Mortgage Pass Through Trust, 5.750%, 06/25/37 | 1,708,821 | 0.1 | ||
3,393,085 | Countrywide Home Loan Mortgage Pass Through Trust, 6.000%, 01/25/38 | 3,082,629 | 0.3 | ||
960,026 | Countrywide Home Loan Mortgage Pass-through Trust, 0.537%, 04/25/35 | 149,550 | 0.0 | ||
947,743 | Credit Suisse First Boston Mortgage Securities Corp., 6.257%, 06/15/34 | 889,644 | 0.1 | ||
310,000 | Credit Suisse Mortgage Capital Certificates, 5.343%, 12/15/39 | 322,446 | 0.0 | ||
1,285,000 | # | Credit Suisse Mortgage Capital Certificates, 5.759%, 04/12/49 | 1,316,558 | 0.1 | |
500,000 | Credit Suisse Mortgage Capital Certificates, 5.866%, 06/15/39 | 567,168 | 0.0 | ||
1,966,752 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, 0.337%, 08/25/36 | 1,180,889 | 0.1 | ||
2,498,099 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, 0.407%, 10/25/36 | 1,265,243 | 0.1 | ||
4,631,484 | First Horizon Alternative Mortgage Securities, 6.000%, 05/25/36 | 3,907,976 | 0.3 | ||
679,058 | # | First Union National Bank Commercial Mortgage, 6.000%, 12/12/33 | 682,129 | 0.1 | |
2,700,000 | # | Fosse Master Issuer PLC, 1.855%, 10/18/54 | 2,756,087 | 0.2 | |
2,034,000 | # | GE Capital Commercial Mortgage Corp., 5.496%, 11/10/38 | 1,963,460 | 0.2 | |
700,000 | # | Gracechurch Mortgage Financing PLC, 1.984%, 11/20/56 | 715,001 | 0.1 | |
4,999,660 | #,^ | GS Mortgage Securities Corp. II, 1.929%, 08/10/44 | 436,659 | 0.0 | |
2,140,000 | # | GS Mortgage Securities Corp. II, 5.309%, 01/10/40 | 2,149,688 | 0.2 | |
161,364 | GS Mortgage Securities Corp. II, 5.479%, 11/10/39 | 164,054 | 0.0 | ||
56,945 | GSR Mortgage Loan Trust, 0.717%, 06/25/35 | 54,080 | 0.0 | ||
2,127,937 | GSR Mortgage Loan Trust, 5.500%, 05/25/36 | 1,885,855 | 0.2 | ||
881,130 | GSR Mortgage Loan Trust, 5.500%, 07/25/35 | 916,874 | 0.1 | ||
1,161,000 | GSR Mortgage Loan Trust, 6.000%, 01/25/37 | 1,119,369 | 0.1 | ||
2,900,000 | # | Holmes Master Issuer PLC, 2.005%, 10/21/54 | 2,959,148 | 0.3 | |
2,100,000 | # | Holmes Master Issuer PLC, 2.105%, 10/15/54 | 2,152,628 | 0.2 | |
264,322 | Homebanc Mortgage Trust, 1.077%, 08/25/29 | 221,134 | 0.0 | ||
996,353 | JP Morgan Alternative Loan Trust, 5.500%, 12/25/35 | 848,234 | 0.1 | ||
17,335,286 | ^ | JP Morgan Chase Commercial Mortgage Securities Corp., 2.234%, 06/16/45 | 2,067,059 | 0.2 | |
490,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 4.903%, 10/15/42 | 489,798 | 0.0 | ||
2,370,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.440%, 05/15/45 | 2,641,864 | 0.2 | ||
813,411 | JP Morgan Commercial Mortgage Finance Corp., 8.533%, 08/15/32 | 835,078 | 0.1 | ||
4,256,236 | JP Morgan Mortgage Trust, 6.000%, 01/25/36 | 3,967,793 | 0.3 | ||
4,391,922 | JP Morgan Mortgage Trust, 6.500%, 08/25/36 | 4,006,753 | 0.3 |
Principal Amount† | Value | Percentage of Net Assets | |||
110,177 | JPMorgan Chase Commerical Mortgage Securities Corp., 5.198%, 12/15/44 | 110,434 | 0.0 | ||
1,630,000 | # | JPMorgan Chase Commerical Mortgage Securities Corp., 6.135%, 07/12/37 | 1,626,451 | 0.1 | |
389,248 | JPMorgan Mortgage Trust, 5.283%, 07/25/35 | 392,490 | 0.0 | ||
5,000,000 | # | Lanark Master Issuer PLC, 1.834%, 12/22/54 | 5,118,510 | 0.4 | |
36,392,541 | #,^ | LB-UBS Commercial Mortgage Trust, 0.240%, 09/15/39 | 640,039 | 0.1 | |
54,249,726 | #,^ | LB-UBS Commercial Mortgage Trust, 0.842%, 11/15/38 | 1,136,852 | 0.1 | |
1,600,000 | LB-UBS Commercial Mortgage Trust, 4.895%, 07/15/40 | 1,538,149 | 0.1 | ||
1,110,000 | LB-UBS Commercial Mortgage Trust, 4.924%, 07/15/40 | 1,049,496 | 0.1 | ||
1,470,000 | LB-UBS Commercial Mortgage Trust, 4.943%, 10/15/36 | 1,464,898 | 0.1 | ||
670,000 | LB-UBS Commercial Mortgage Trust, 4.983%, 07/15/40 | 487,147 | 0.0 | ||
740,000 | # | LB-UBS Commercial Mortgage Trust, 5.032%, 10/15/36 | 724,378 | 0.1 | |
1,350,000 | LB-UBS Commercial Mortgage Trust, 5.323%, 11/15/40 | 1,430,192 | 0.1 | ||
820,000 | LB-UBS Commercial Mortgage Trust, 5.350%, 11/15/40 | 788,696 | 0.1 | ||
1,180,000 | LB-UBS Commercial Mortgage Trust, 5.350%, 11/15/40 | 976,351 | 0.1 | ||
700,000 | # | LB-UBS Commercial Mortgage Trust, 5.413%, 02/15/40 | 586,950 | 0.1 | |
600,000 | # | LB-UBS Commercial Mortgage Trust, 5.420%, 10/15/36 | 570,404 | 0.0 | |
1,020,000 | LB-UBS Commercial Mortgage Trust, 5.446%, 06/15/36 | 1,040,193 | 0.1 | ||
520,000 | # | LB-UBS Commercial Mortgage Trust, 5.720%, 10/15/36 | 372,832 | 0.0 | |
410,000 | # | LB-UBS Commercial Mortgage Trust, 5.750%, 01/15/36 | 410,194 | 0.0 | |
650,000 | # | LB-UBS Commercial Mortgage Trust, 5.868%, 11/15/33 | 651,367 | 0.1 | |
2,490,000 | LB-UBS Commercial Mortgage Trust, 6.084%, 06/15/38 | 2,248,758 | 0.2 | ||
2,497,000 | LB-UBS Commercial Mortgage Trust, 6.084%, 06/15/38 | 2,723,414 | 0.2 | ||
1,830,000 | # | LB-UBS Commercial Mortgage Trust, 6.089%, 09/15/39 | 1,814,719 | 0.2 | |
1,760,000 | # | LB-UBS Commercial Mortgage Trust, 6.089%, 09/15/39 | 1,783,432 | 0.2 | |
510,000 | # | Merrill Lynch Mortgage Investors, Inc., 6.000%, 12/15/30 | 515,893 | 0.0 | |
308,235 | Merrill Lynch Mortgage Investors, Inc., 6.250%, 12/10/29 | 308,506 | 0.0 | ||
2,220,000 | Merrill Lynch Mortgage Investors, Inc., 6.750%, 11/15/26 | 2,308,145 | 0.2 | ||
45,547,858 | #,^ | Merrill Lynch Mortgage Trust, 0.645%, 02/12/51 | 887,896 | 0.1 | |
15,451,437 | #,^ | Morgan Stanley Bank of America Merrill Lynch Trust, 2.100%, 08/15/45 | 1,767,501 | 0.1 | |
1,030,000 | # | Morgan Stanley Bank of America Merrill Lynch Trust, 3.277%, 10/15/22 | 1,055,665 | 0.1 | |
1,620,000 | Morgan Stanley Capital I Trust 2008-TOP29, 6.455%, 01/11/43 | 1,916,062 | 0.2 | ||
2,820,000 | Morgan Stanley Capital I, Inc., 5.759%, 04/12/49 | 2,752,508 | 0.2 | ||
1,376,000 | Morgan Stanley Capital I, 5.073%, 08/13/42 | 1,430,676 | 0.1 | ||
1,100,000 | Morgan Stanley Capital I, 5.172%, 08/13/42 | 1,058,199 | 0.1 | ||
850,000 | Morgan Stanley Capital I, 5.202%, 08/13/42 | 767,635 | 0.1 | ||
1,477,000 | Morgan Stanley Capital I, 5.302%, 01/14/42 | 1,479,035 | 0.1 | ||
1,080,000 | Morgan Stanley Capital I, 5.336%, 01/14/42 | 1,051,454 | 0.1 | ||
850,000 | Morgan Stanley Capital I, 5.300%, 06/15/40 | 846,357 | 0.1 | ||
1,460,000 | Morgan Stanley Capital I, 5.532%, 06/15/38 | 1,480,466 | 0.1 | ||
1,000,000 | # | Morgan Stanley Capital I, 5.623%, 01/13/41 | 999,537 | 0.1 | |
1,700,000 | Morgan Stanley Capital I, 5.793%, 07/12/44 | 1,748,799 | 0.1 | ||
250,000 | # | Morgan Stanley Capital I, 5.910%, 11/15/31 | 239,831 | 0.0 | |
1,400,000 | # | Morgan Stanley Capital I, 5.987%, 08/12/41 | 1,266,078 | 0.1 | |
280,000 | # | Morgan Stanley Capital I, 7.350%, 07/15/32 | 289,345 | 0.0 | |
791,000 | # | Morgan Stanley Dean Witter Capital I, 6.465%, 03/12/35 | 790,508 | 0.1 | |
600,000 | # | Morgan Stanley Dean Witter Capital I, 7.478%, 07/15/33 | 602,296 | 0.1 | |
1,044,000 | # | Morgan Stanley Reremic Trust, 5.843%, 12/17/43 | 1,049,332 | 0.1 | |
19,290,967 | #,^ | RBSCF Trust, 1.121%, 04/15/24 | 398,455 | 0.0 | |
2,680,000 | # | RBSCF Trust, 5.305%, 01/16/49 | 2,732,080 | 0.2 | |
4,519,764 | Residential Accredit Loans, Inc., 0.387%, 01/25/37 | 2,956,732 | 0.2 | ||
1,769,618 | Residential Accredit Loans, Inc., 0.667%, 12/25/36 | 779,756 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||
3,929,000 | # | Silverstone Master Issuer PLC, 2.003%, 01/21/55 | 4,052,382 | 0.3 | |
447,426 | Structured Adjustable Rate Mortgage Loan Trust, 2.923%, 09/25/34 | 450,277 | 0.0 | ||
583,027 | Structured Asset Mortgage Investments, Inc., 0.459%, 04/19/35 | 542,120 | 0.0 | ||
773,735 | Structured Asset Securities Corp., 5.500%, 05/25/35 | 807,624 | 0.1 | ||
8,082,667 | #,^ | UBS-Barclays Commercial Mortgage Trust, 1.989%, 05/10/63 | 865,799 | 0.1 | |
893,183 | #,^ | UBS-Citigroup Commercial Mortgage Trust, 2.713%, 01/10/45 | 123,507 | 0.0 | |
718,402 | Wachovia Bank Commercial Mortgage Trust, 5.030%, 01/15/41 | 723,565 | 0.1 | ||
8,700,000 | Wachovia Bank Commercial Mortgage Trust, 5.342%, 12/15/43 | 9,897,990 | 0.8 | ||
1,331,000 | # | Wachovia Bank Commercial Mortgage Trust, 5.704%, 02/15/35 | 1,327,146 | 0.1 | |
2,579,000 | Wachovia Bank Commercial Mortgage Trust, 5.939%, 06/15/49 | 2,984,165 | 0.3 | ||
750,980 | WaMu Mortgage Pass Through Certificates, 2.488%, 10/25/35 | 740,027 | 0.1 | ||
1,183,022 | Washington Mutual Alternative Mortgage Pass-Through Certificates, 5.500%, 10/25/35 | 1,049,529 | 0.1 | ||
1,138,539 | Washington Mutual Mortgage Pass-through Certificates, 6.000%, 06/25/34 | 1,219,250 | 0.1 | ||
3,012,621 | Wells Fargo Alternative Loan Trust, 6.250%, 07/25/37 | 2,523,180 | 0.2 | ||
1,995,617 | Wells Fargo Mortgage Backed Securities Trust, 5.500%, 11/25/35 | 2,052,454 | 0.2 | ||
3,209,567 | Wells Fargo Mortgage Backed Securities Trust, 5.596%, 04/25/36 | 3,194,299 | 0.3 | ||
1,629,697 | Wells Fargo Mortgage Backed Securities Trust, 6.000%, 03/25/37 | 1,586,383 | 0.1 | ||
14,271,790 | #,^ | WF-RBS Commercial Mortgage Trust, 1.767%, 06/15/45 | 1,587,507 | 0.1 | |
7,283,256 | #,^ | WF-RBS Commercial Mortgage Trust, 2.423%, 08/15/45 | 995,253 | 0.1 | |
Total Collateralized Mortgage Obligations | |||||
(Cost $175,560,465) | 180,988,982 | 15.2 | |||
U.S. TREASURY OBLIGATIONS: 17.8% | |||||
U.S. Treasury Bonds: 1.6% | |||||
17,752,000 | 3.000%, due 05/15/42 | 18,437,121 | 1.6 | ||
U.S. Treasury Notes: 16.2% | |||||
50,593,000 | 0.250%, due 08/31/14 | 50,614,755 | 4.2 | ||
74,179,000 | 0.250%, due 09/15/15 | 74,063,132 | 6.2 | ||
53,591,000 | 0.625%, due 08/31/17 | 53,645,448 | 4.5 | ||
11,863,000 | 1.000%, due 08/31/19 | 11,842,608 | 1.0 | ||
3,066,000 | 1.625%, due 08/15/22 | 3,064,084 | 0.3 | ||
193,230,027 | 16.2 | ||||
Total U.S. Treasury Obligations | |||||
(Cost $211,222,250) | 211,667,148 | 17.8 | |||
ASSET-BACKED SECURITIES: 4.6% | |||||
Automobile Asset-Backed Securities: 0.2% | |||||
1,000,000 | # | Motor PLC, 1.286%, 02/25/20 | 1,001,535 | 0.1 | |
1,500,000 | # | SMART Trust, 1.590%, 10/14/16 | 1,510,380 | 0.1 | |
2,511,915 | 0.2 | ||||
Credit Card Asset-Backed Securities: 0.5% | |||||
2,500,000 | # | Cards II Trust, 0.671%, 09/15/17 | 2,500,110 | 0.2 | |
1,250,000 | # | Gracechurch Card Funding PLC, 0.921%, 02/15/17 | 1,257,640 | 0.1 | |
2,200,000 | # | Penarth Master Issuer PLC, 0.790%, 03/18/14 | 2,208,437 | 0.2 | |
5,966,187 | 0.5 | ||||
Home Equity Asset-Backed Securities: 0.1% | |||||
224,816 | Freddie Mac Structured Pass-Through Securities, 0.467%, 05/25/31 | 221,275 | 0.1 | ||
46,764 | Freddie Mac Structured Pass-Through Securities, 0.517%, 01/25/32 | 45,270 | 0.0 | ||
55,910 | Residential Asset Securities Corp., 0.817%, 06/25/32 | 39,246 | 0.0 | ||
305,791 | 0.1 | ||||
Other Asset-Backed Securities: 3.8% | |||||
983,353 | # | Aimco CDO, 0.705%, 10/20/19 | 950,274 | 0.1 | |
246,513 | # | ARES CLO Funds, 0.625%, 09/18/17 | 244,546 | 0.0 | |
900,000 | # | ARES CLO Funds, 3.077%, 02/26/16 | 868,857 | 0.1 | |
750,000 | # | ARES CLO Ltd., 1.777%, 02/26/16 | 727,206 | 0.1 | |
500,000 | # | ARES CLO Ltd., 6.901%, 02/26/16 | 519,747 | 0.0 | |
815,663 | # | Atrium CDO Corp., 0.757%, 10/27/16 | 805,462 | 0.1 | |
700,000 | # | Babson CLO Ltd./Cayman Islands, 5.692%, 11/15/16 | 731,431 | 0.1 | |
750,000 | # | Babson CLO Ltd./Cayman Islands, 6.812%, 11/15/16 | 789,482 | 0.1 | |
437,311 | # | Black Diamond CLO Ltd., 0.649%, 06/20/17 | 432,060 | 0.0 | |
1,000,000 | # | Castle Garden Funding, 6.560%, 10/27/20 | 1,031,760 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||
79,805 | Chase Funding Mortgage Loan Asset-Backed Certificates, 0.817%, 07/25/33 | 71,450 | 0.0 | ||
785,844 | + | Credit-Based Asset Servicing and Securitization, LLC, 4.831%, 08/25/35 | 790,226 | 0.1 | |
1,228,740 | # | Credit-Based Asset Servicing and Securitization, LLC, 5.746%, 12/25/37 | 1,247,926 | 0.1 | |
1,188,000 | # | Credit-Based Asset Servicing and Securitization, LLC, 6.020%, 12/25/37 | 1,170,999 | 0.1 | |
1,800,000 | # | Dryden Leveraged Loan CDO 2002-II, 2.689%, 09/17/16 | 1,790,392 | 0.1 | |
2,100,000 | # | Emporia Preferred Funding, 0.955%, 10/18/18 | 1,884,355 | 0.2 | |
4,252,622 | Fieldstone Mortgage Investment Corp., 0.377%, 11/25/36 | 1,535,592 | 0.1 | ||
4,643,668 | Fieldstone Mortgage Investment Corp., 0.457%, 11/25/36 | 1,688,568 | 0.1 | ||
343,290 | # | First CLO Ltd., 0.704%, 12/14/16 | 342,287 | 0.0 | |
1,100,000 | # | First CLO Ltd., 1.394%, 12/14/16 | 1,075,441 | 0.1 | |
135,836 | # | Granite Ventures Ltd., 0.715%, 12/15/17 | 135,387 | 0.0 | |
1,575,000 | # | Grayston CLO Ltd., 1.735%, 08/15/16 | 1,541,453 | 0.1 | |
1,514,000 | # | Gulf Stream - Compass CLO 2005-I Ltd., 1.185%, 05/15/17 | 1,478,962 | 0.1 | |
1,000,000 | # | Gulf Stream - Sextant CLO Ltd., 0.775%, 08/21/20 | 944,998 | 0.1 | |
114,856 | # | Gulf Stream Compass CLO Ltd., 0.815%, 07/15/16 | 114,721 | 0.0 | |
3,100,000 | # | Gulf Stream Compass CLO Ltd., 0.855%, 05/15/17 | 3,034,850 | 0.3 | |
1,350,000 | # | Gulf Stream Compass CLO Ltd., 1.705%, 07/15/16 | 1,299,632 | 0.1 | |
1,000,000 | # | Hewett's Island CDO Ltd., 1.589%, 12/15/16 | 945,141 | 0.1 | |
500,376 | # | Katonah Ltd., 0.699%, 09/20/16 | 497,203 | 0.0 | |
769,481 | # | Landmark CDO Ltd., 1.305%, 01/15/16 | 767,910 | 0.1 | |
445,125 | Lehman XS Trust, 0.497%, 08/25/35 | 398,065 | 0.0 | ||
2,999,686 | # | Lightpoint CLO Ltd., 0.649%, 09/15/17 | 2,948,865 | 0.2 | |
2,272,807 | # | MCG Commercial Loan Trust, 1.035%, 04/20/18 | 2,247,508 | 0.2 | |
10,178,000 | Morgan Stanley ABS Capital I, 0.487%, 03/25/36 | 4,639,463 | 0.4 | ||
555,669 | # | Olympic CLO Ltd., 1.335%, 05/15/16 | 553,950 | 0.0 | |
2,400,000 | # | Olympic CLO Ltd., 1.935%, 05/15/16 | 2,366,616 | 0.2 | |
1,900,000 | # | Stanfield Modena CLO Ltd., 1.623%, 09/22/16 | 1,892,453 | 0.2 | |
1,025,305 | # | Wind River CLO Ltd., 0.711%, 12/19/16 | 1,012,629 | 0.1 | |
45,517,867 | 3.8 | ||||
Total Asset-Backed Securities | |||||
(Cost $54,075,848) | 54,301,760 | 4.6 | |||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 28.8% | |||||
Collateralized Mortgage Obligations: 0.3% | |||||
2,023,444 | 5.000%, due 02/15/35 | 2,215,459 | 0.2 | ||
1,667,707 | 5.500%, due 07/15/37 | 1,938,988 | 0.1 | ||
4,154,447 | 0.3 | ||||
Federal Home Loan Mortgage Corporation: 7.1%## | |||||
3,794,722 | ^^ | –%, due 01/15/36 | 3,601,783 | 0.3 | |
138,353 | 0.571%, due 02/15/32 | 138,995 | 0.0 | ||
907,956 | 3.321%, due 03/15/38 | 955,317 | 0.1 | ||
1,459,000 | W | 3.500%, due 02/15/41 | 1,560,674 | 0.1 | |
5,173,721 | 4.000%, due 10/01/41 | 5,572,202 | 0.5 | ||
1,932,369 | 4.000%, due 10/01/41 | 2,081,200 | 0.2 | ||
7,003,608 | 4.000%, due 12/01/41 | 7,543,027 | 0.6 | ||
3,340,362 | 4.500%, due 08/01/41 | 3,615,196 | 0.3 | ||
1,114,896 | 4.500%, due 08/01/41 | 1,206,627 | 0.1 | ||
2,883,617 | 4.500%, due 08/01/41 | 3,120,872 | 0.3 | ||
3,442,514 | 4.500%, due 09/01/41 | 3,713,919 | 0.3 | ||
4,847,806 | 4.500%, due 10/01/41 | 5,246,668 | 0.4 | ||
1,984,687 | ^ | 4.774%, due 03/15/33 | 2,192,197 | 0.2 | |
278,161 | 4.842%, due 04/01/35 | 299,035 | 0.0 | ||
344,013 | ^ | 5.000%, due 05/15/17 | 6,097 | 0.0 | |
1,070,447 | 5.000%, due 12/15/17 | 1,146,391 | 0.1 | ||
213,012 | 5.000%, due 02/15/32 | 216,227 | 0.0 | ||
1,459,916 | 5.000%, due 02/15/35 | 1,639,154 | 0.1 | ||
749,165 | 5.000%, due 02/15/35 | 783,091 | 0.1 | ||
692,181 | 5.000%, due 01/01/41 | 756,656 | 0.1 | ||
1,890,970 | 5.500%, due 11/15/22 | 2,062,022 | 0.2 | ||
779,976 | 5.500%, due 07/15/32 | 792,492 | 0.1 | ||
2,527,827 | 5.500%, due 12/15/32 | 2,833,594 | 0.2 | ||
1,117,298 | 5.500%, due 09/15/34 | 1,241,659 | 0.1 | ||
376,277 | 5.500%, due 09/15/35 | 379,136 | 0.0 | ||
10,768,244 | 5.500%, due 02/15/36 | 12,014,302 | 1.0 | ||
1,445,529 | 5.500%, due 08/15/36 | 1,714,420 | 0.2 | ||
1,339,154 | 5.500%, due 05/15/37 | 1,468,015 | 0.1 | ||
3,416,646 | 5.500%, due 06/15/37 | 3,798,063 | 0.3 | ||
38,897 | 5.615%, due 05/01/37 | 42,210 | 0.0 | ||
5,773,207 | ^ | 5.829%, due 07/15/40 | 1,140,603 | 0.1 | |
3,661 | 6.000%, due 04/01/14 | 3,853 | 0.0 | ||
13,741 | 6.000%, due 12/01/28 | 15,399 | 0.0 | ||
23,267 | 6.000%, due 01/01/29 | 26,076 | 0.0 | ||
678,753 | 6.000%, due 01/15/29 | 769,244 | 0.1 | ||
714,920 | 6.000%, due 01/15/29 | 803,813 | 0.1 | ||
825,810 | 6.000%, due 07/15/32 | 938,813 | 0.1 | ||
664,090 | ^ | 6.000%, due 04/15/33 | 112,711 | 0.0 | |
3,791,998 | 6.000%, due 10/15/37 | 4,372,586 | 0.4 | ||
9,725,614 | ^ | 6.264%, due 06/15/36 | 1,674,474 | 0.1 | |
20,090,799 | ^ | 6.379%, due 09/15/34 | 2,543,262 | 0.2 | |
23,279 | 6.500%, due 01/01/24 | 26,200 | 0.0 | ||
28,701 | 6.500%, due 12/01/31 | 33,395 | 0.0 | ||
20,065 | 7.000%, due 11/01/31 | 23,728 | 0.0 | ||
12,379 | 7.000%, due 03/01/32 | 14,552 | 0.0 | ||
84,239,950 | 7.1 | ||||
Federal National Mortgage Association: 15.6%## | |||||
234,753 | 0.620%, due 04/18/28 | 236,255 | 0.0 | ||
128,973 | 0.700%, due 10/25/33 | 130,173 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||
142,741 | 0.767%, due 01/25/32 | 142,784 | 0.0 | ||
25,000,000 | W | 2.500%, due 07/25/27 | 26,226,563 | 2.2 | |
10,879,000 | W | 3.000%, due 09/25/26 | 11,519,841 | 1.0 | |
10,066,000 | W | 3.000%, due 03/15/27 | 10,627,495 | 0.9 | |
27,500,000 | W | 3.000%, due 07/25/42 | 28,965,234 | 2.4 | |
26,984,000 | W | 3.500%, due 01/25/41 | 28,877,096 | 2.4 | |
1,086,835 | ^ | 4.000%, due 11/01/18 | 76,525 | 0.0 | |
8,714,026 | ^ | 4.000%, due 04/25/41 | 1,448,119 | 0.1 | |
2,447,958 | 4.000%, due 02/01/42 | 2,642,319 | 0.2 | ||
2,417,155 | 4.000%, due 03/01/42 | 2,626,444 | 0.2 | ||
1,006,314 | 4.000%, due 03/01/42 | 1,093,446 | 0.1 | ||
949,156 | 4.000%, due 06/01/42 | 1,031,339 | 0.1 | ||
6,560,583 | 4.000%, due 07/01/42 | 7,128,630 | 0.6 | ||
5,851,000 | 4.000%, due 07/01/42 | 6,357,608 | 0.5 | ||
1,125,352 | 4.000%, due 07/01/42 | 1,222,790 | 0.1 | ||
982,885 | 4.000%, due 07/01/42 | 1,067,988 | 0.1 | ||
2,064,608 | 4.000%, due 07/01/42 | 2,243,371 | 0.2 | ||
1,722,747 | 4.500%, due 11/01/40 | 1,871,161 | 0.2 | ||
1,217,087 | 4.500%, due 11/01/40 | 1,321,938 | 0.1 | ||
16,847 | 4.500%, due 12/01/40 | 18,299 | 0.0 | ||
27,335 | 4.500%, due 12/01/40 | 29,690 | 0.0 | ||
35,989 | 4.500%, due 01/01/41 | 39,090 | 0.0 | ||
27,675 | 4.500%, due 01/01/41 | 30,059 | 0.0 | ||
6,537,642 | 4.500%, due 09/01/41 | 7,113,116 | 0.6 | ||
2,386,905 | 4.500%, due 10/01/41 | 2,597,012 | 0.2 | ||
922,117 | 4.500%, due 11/01/41 | 1,003,286 | 0.1 | ||
596,188 | 4.998%, due 07/01/35 | 644,692 | 0.1 | ||
583,927 | 5.000%, due 05/25/32 | 594,953 | 0.1 | ||
728,537 | 5.000%, due 06/01/33 | 800,773 | 0.1 | ||
1,032,437 | 5.000%, due 07/25/34 | 1,071,947 | 0.1 | ||
1,878,360 | 5.000%, due 07/01/35 | 2,064,461 | 0.2 | ||
1,951,693 | 5.000%, due 08/01/35 | 2,136,973 | 0.2 | ||
274,061 | 5.000%, due 10/01/35 | 300,079 | 0.0 | ||
1,086,601 | 5.000%, due 01/01/36 | 1,191,011 | 0.1 | ||
706,241 | 5.000%, due 02/01/36 | 773,471 | 0.1 | ||
1,483,083 | 5.000%, due 07/01/36 | 1,630,133 | 0.1 | ||
1,854,181 | 5.000%, due 07/01/37 | 2,038,027 | 0.2 | ||
689,941 | 5.000%, due 11/01/40 | 783,037 | 0.1 | ||
573,573 | 5.000%, due 02/01/41 | 627,307 | 0.1 | ||
359,230 | 5.000%, due 05/01/41 | 394,231 | 0.0 | ||
873,527 | 5.000%, due 06/01/41 | 958,637 | 0.1 | ||
1,266,678 | 5.000%, due 06/01/41 | 1,390,095 | 0.1 | ||
49,307 | 5.500%, due 02/01/18 | 53,918 | 0.0 | ||
574,000 | 5.500%, due 08/25/34 | 638,811 | 0.1 | ||
1,397,443 | 5.500%, due 03/01/37 | 1,541,414 | 0.1 | ||
21,614,339 | ^ | 5.934%, due 11/25/39 | 3,041,786 | 0.3 | |
74,222 | 6.000%, due 08/01/16 | 79,162 | 0.0 | ||
700 | 6.000%, due 12/01/16 | 746 | 0.0 | ||
32,788 | 6.000%, due 03/01/17 | 34,970 | 0.0 | ||
3,875 | 6.000%, due 07/01/17 | 4,181 | 0.0 | ||
293,461 | 6.000%, due 09/01/17 | 316,659 | 0.0 | ||
19,270 | 6.000%, due 11/01/17 | 20,553 | 0.0 | ||
19,143 | 6.000%, due 10/01/18 | 21,151 | 0.0 | ||
379,960 | 6.000%, due 07/25/29 | 427,171 | 0.0 | ||
894,561 | 6.000%, due 07/25/29 | 1,005,711 | 0.1 | ||
703,694 | 6.000%, due 04/25/31 | 797,676 | 0.1 | ||
1,088,540 | ^ | 6.000%, due 08/25/33 | 176,544 | 0.0 | |
496,604 | 6.000%, due 09/01/36 | 549,722 | 0.0 | ||
474,454 | 6.000%, due 12/01/37 | 533,359 | 0.0 | ||
948,819 | 6.000%, due 02/01/38 | 1,066,616 | 0.1 | ||
1,707,040 | ^ | 6.484%, due 08/25/26 | 260,079 | 0.0 | |
8,696 | 6.500%, due 02/01/28 | 9,947 | 0.0 | ||
6,621 | 6.500%, due 07/01/29 | 7,775 | 0.0 | ||
357 | 6.500%, due 06/01/31 | 415 | 0.0 | ||
157,792 | 6.500%, due 07/01/31 | 185,427 | 0.0 | ||
502 | 6.500%, due 09/01/31 | 576 | 0.0 | ||
1,400 | 6.500%, due 09/01/31 | 1,628 | 0.0 | ||
56,253 | 6.500%, due 11/01/31 | 65,410 | 0.0 | ||
28,332 | 6.500%, due 04/01/32 | 32,768 | 0.0 | ||
5,709 | 6.500%, due 08/01/32 | 6,603 | 0.0 | ||
3,011 | 6.500%, due 08/01/32 | 3,483 | 0.0 | ||
87,374 | 6.500%, due 01/01/33 | 101,057 | 0.0 | ||
60,798 | 6.500%, due 02/01/33 | 69,939 | 0.0 | ||
191,829 | 6.500%, due 12/01/33 | 220,672 | 0.0 | ||
4,905,909 | ^ | 6.524%, due 01/25/37 | 881,762 | 0.1 | |
15,994,654 | ^ | 6.534%, due 10/25/35 | 3,043,987 | 0.3 | |
26,289 | 7.000%, due 12/01/27 | 31,439 | 0.0 | ||
19,977 | 7.000%, due 01/01/30 | 23,994 | 0.0 | ||
12,557 | 7.000%, due 10/01/31 | 15,064 | 0.0 | ||
6,541 | 7.000%, due 03/01/32 | 7,847 | 0.0 | ||
1,113,398 | ^ | 7.465%, due 02/17/29 | 227,744 | 0.0 | |
4,948 | 7.500%, due 09/01/30 | 6,070 | 0.0 | ||
4,143 | 7.500%, due 10/01/30 | 5,048 | 0.0 | ||
16,077 | 7.500%, due 10/01/30 | 17,795 | 0.0 | ||
12,100 | 7.500%, due 09/01/31 | 14,896 | 0.0 | ||
39,357 | 7.500%, due 02/01/32 | 48,014 | 0.0 | ||
1,492,355 | 22.173%, due 01/25/35 | 2,097,892 | 0.2 | ||
100,322 | 27.734%, due 02/25/34 | 140,366 | 0.0 | ||
1,250,282 | 32.368%, due 11/25/36 | 2,272,213 | 0.2 | ||
185,197,558 | 15.6 | ||||
Government National Mortgage Association: 5.8% | |||||
6,222 | 1.750%, due 04/20/28 | 6,483 | 0.0 | ||
26,002,000 | W | 3.500%, due 02/15/41 | 28,419,372 | 2.4 | |
18,706,000 | W | 4.000%, due 11/15/39 | 20,588,291 | 1.7 | |
1,456,481 | 4.000%, due 11/20/40 | 1,609,119 | 0.1 | ||
3,342,141 | 4.000%, due 10/20/41 | 3,581,941 | 0.3 | ||
1,587,355 | 4.500%, due 10/15/39 | 1,759,377 | 0.2 | ||
1,445,201 | 4.500%, due 11/15/39 | 1,601,818 | 0.1 | ||
1,396,865 | 4.500%, due 11/15/39 | 1,548,243 | 0.1 | ||
356,294 | 4.500%, due 12/15/39 | 394,906 | 0.0 | ||
466,432 | 4.500%, due 08/20/41 | 517,844 | 0.0 | ||
12,183,884 | ^ | 5.000%, due 06/16/39 | 665,005 | 0.1 | |
1,206,451 | 5.140%, due 10/20/60 | 1,388,738 | 0.1 | ||
799,317 | 5.288%, due 10/20/60 | 926,569 | 0.1 | ||
10,866,416 | ^ | 5.632%, due 06/20/40 | 1,711,461 | 0.1 | |
5,964,149 | ^ | 5.982%, due 06/20/38 | 710,403 | 0.1 | |
7,461,388 | ^ | 5.982%, due 04/20/39 | 939,766 | 0.1 | |
6,342,470 | ^ | 6.082%, due 05/20/39 | 815,774 | 0.1 | |
5,951,611 | ^ | 6.182%, due 04/20/38 | 823,852 | 0.1 | |
2,054,618 | ^ | 6.279%, due 05/16/38 | 300,152 | 0.0 | |
6,268,840 | ^ | 6.332%, due 01/20/38 | 778,614 | 0.1 | |
153,131 | 6.500%, due 09/16/38 | 180,235 | 0.0 | ||
243,935 | ^ | 8.029%, due 06/16/31 | 34,340 | 0.0 | |
69,302,303 | 5.8 | ||||
Total U.S. Government Agency Obligations | |||||
(Cost $327,319,027) | 342,894,258 | 28.8 | |||
FOREIGN GOVERNMENT BONDS: 8.2% | |||||
1,390,206 | Argentina Government International Bond, 2.500%, 12/31/38 | 515,766 | 0.0 | ||
2,806,619 | Argentina Government International Bond, 8.280%, 12/31/33 | 2,217,229 | 0.2 | ||
1,200,000 | # | Aruba Government Bond, 4.625%, 09/14/23 | 1,213,200 | 0.1 | |
BRL 48,467,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/23 | 24,831,648 | 2.1 | ||
2,768,000 | Brazilian Government International Bond, 2.625%, 01/05/23 | 2,772,152 | 0.2 | ||
814,000 | Colombia Government International Bond, 6.125%, 01/18/41 | 1,107,040 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||
357,000 | Colombia Government International Bond, 7.375%, 09/18/37 | 550,673 | 0.0 | ||
236,000 | Croatia Government International Bond, 6.375%, 03/24/21 | 262,939 | 0.0 | ||
236,000 | Croatia Government International Bond, 6.375%, 03/24/21 | 262,939 | 0.0 | ||
768,000 | El Salvador Government International Bond, 7.650%, 06/15/35 | 862,080 | 0.1 | ||
908,000 | Hungary Government International Bond, 6.375%, 03/29/21 | 993,170 | 0.1 | ||
1,320,000 | # | Indonesia Government International Bond, 3.750%, 04/25/22 | 1,399,200 | 0.1 | |
2,121,000 | Indonesia Government International Bond, 3.750%, 04/25/22 | 2,248,260 | 0.2 | ||
EUR 5,748,000 | Italy Buoni Poliennali Del Tesoro, 5.500%, 09/01/22 | 7,661,242 | 0.6 | ||
986,000 | Ivory Coast Government International Bond, 3.750%, 12/31/32 | 855,355 | 0.1 | ||
539,000 | Lebanon Government International Bond, 6.100%, 10/04/22 | 547,085 | 0.0 | ||
540,000 | Lebanon Government International Bond, 6.100%, 10/04/22 | 548,100 | 0.0 | ||
337,000 | # | Lithuania Government International Bond, 5.125%, 09/14/17 | 377,019 | 0.0 | |
1,100,000 | Lithuania Government International Bond, 6.625%, 02/01/22 | 1,368,125 | 0.1 | ||
264,000 | # | Lithuania Government International Bond, 6.625%, 02/01/22 | 328,350 | 0.0 | |
144,000 | Panama Government International Bond, 5.200%, 01/30/20 | 173,736 | 0.0 | ||
693,000 | Panama Government International Bond, 6.700%, 01/26/36 | 977,130 | 0.1 | ||
818,000 | Peruvian Government International Bond, 5.625%, 11/18/50 | 1,069,535 | 0.1 | ||
2,798,000 | Philippine Government International Bond, 4.000%, 01/15/21 | 3,133,760 | 0.3 | ||
706,000 | Poland Government International Bond, 3.000%, 03/17/23 | 695,551 | 0.1 | ||
418,000 | Poland Government International Bond, 5.000%, 03/23/22 | 485,925 | 0.0 | ||
1,400,000 | Republic of Angola Via Northern Lights III BV, 7.000%, 08/16/19 | 1,543,500 | 0.1 | ||
332,000 | Republic of Ghana, 8.500%, 10/04/17 | 391,760 | 0.0 | ||
500,000 | Republic of Latvia, 5.250%, 06/16/21 | 564,375 | 0.1 | ||
500,000 | Republic of Latvia, 5.250%, 06/16/21 | 564,375 | 0.1 | ||
524,000 | Romanian Government International Bond, 6.750%, 02/07/22 | 591,465 | 0.1 | ||
RUB 319,496,000 | Russian Federal Bond - OFZ, 8.150%, 02/03/27 | 10,402,696 | 0.9 | ||
658,750 | Russian Foreign Bond - Eurobond, 7.500%, 03/31/30 | 825,348 | 0.1 | ||
658,750 | Russian Foreign Bond - Eurobond, 7.500%, 03/31/30 | 832,989 | 0.1 | ||
200,000 | Russia Government Bond, 5.625%, 04/04/42 | 240,520 | 0.0 | ||
800,000 | Republic of Serbia, 7.250%, 09/28/21 | 852,000 | 0.1 | ||
ZAR 36,157,806 | South Africa Government Bond, 6.250%, 03/31/36 | 3,500,652 | 0.3 | ||
ZAR 65,815,684 | South Africa Government Bond, 8.750%, 02/28/48 | 8,261,383 | 0.7 | ||
500,000 | Sri Lanka Government International Bond, 5.875%, 07/25/22 | 541,250 | 0.0 | ||
500,000 | # | Sri Lanka Government International Bond, 5.875%, 07/25/22 | 541,250 | 0.0 | |
678,000 | Turkey Government International Bond, 5.125%, 03/25/22 | 748,343 | 0.1 | ||
200,000 | Turkey Government International Bond, 6.250%, 09/26/22 | 239,840 | 0.0 | ||
2,663,000 | Turkey Government International Bond, 7.500%, 11/07/19 | 3,352,717 | 0.3 | ||
3,200,000 | Ukraine Government International Bond, 9.250%, 07/24/17 | 3,377,472 | 0.3 | ||
410,000 | Uruguay Government International Bond, 7.625%, 03/21/36 | 642,675 | 0.1 | ||
189,180 | & | Uruguay Government International Bond, 7.875%, 01/15/33 | 297,013 | 0.0 | |
236,500 | Venezuela Government International Bond, 11.750%, 10/21/26 | 238,865 | 0.0 | ||
945,000 | L | Venezuela Government International Bond, 11.950%, 08/05/31 | 966,263 | 0.1 | |
400,000 | Vietnam Government International Bond, 6.750%, 01/29/20 | 446,000 | 0.0 | ||
600,000 | # | Zambia Government International Bond, 5.375%, 09/20/22 | 606,000 | 0.1 | |
Total Foreign Government Bonds | |||||
(Cost $95,610,786) | 98,025,960 | 8.2 | |||
Shares | Value | Percentage of Net Assets | |||
PREFERRED STOCK: 0.5% | |||||
Financials: 0.5% | |||||
56,000 | @,P | Bank of New York Mellon Corp./The | 1,391,600 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||
23,000 | @,P | Citigroup Capital XIII | 640,550 | 0.1 | ||
64,000 | @,P | PNC Financial Services Group, Inc. | 1,758,080 | 0.1 | ||
45,155 | @,P | US Bancorp | 1,263,437 | 0.1 | ||
49,000 | @,P | US Bancorp | 1,425,900 | 0.1 | ||
Total Preferred Stock | ||||||
(Cost $5,993,125) | 6,479,567 | 0.5 | ||||
# of Contracts | Value | Percentage of Net Assets | ||||
PURCHASED OPTIONS: 0.0% | ||||||
Interest Rate Swaptions: 0.0% | ||||||
59,375,000 | @ | Call Swaption, Receive a fixed rate equal to 1.500% and pay a floating based on 3-month-USD-LIBOR, Exp. 11/29/12 Counterparty: Citigroup, Inc. | 161,859 | 0.0 | ||
Total Purchased Options | ||||||
(Cost $225,625) | 161,859 | 0.0 | ||||
Total Long-Term Investments | ||||||
(Cost $1,239,923,407) | 1,282,068,452 | 107.7 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 5.1% | ||||||
Securities Lending Collateralcc(1): 1.1% | ||||||
3,093,298 | Citigroup, Inc., Repurchase Agreement dated 09/28/12, 0.25%, due 10/01/12 (Repurchase Amount $3,093,362, collateralized by various U.S. Government Agency Obligations, 2.375%-7.000%, Market Value plus accrued interest $3,155,164, due 09/01/18-08/01/48) | 3,093,298 | 0.3 | |||
3,093,298 | JPMorgan Chase & Co., Repurchase Agreement dated 09/28/12, 0.24%, due 10/01/12 (Repurchase Amount $3,093,359, collateralized by various U.S. Government Agency Obligations, 2.500%-6.500%, Market Value plus accrued interest $3,155,172, due 02/23/14-04/01/48) | 3,093,298 | 0.2 | |||
3,093,298 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 09/28/12, 0.20%, due 10/01/12 (Repurchase Amount $3,093,349, collateralized by various U.S. Government Agency Obligations, 3.500%-4.500%, Market Value plus accrued interest $3,155,164, due 05/20/41-09/20/41) | 3,093,298 | 0.3 | |||
3,093,298 | Mizuho Securities USA Inc., Repurchase Agreement dated 09/28/12, 0.29%, due 10/01/12 (Repurchase Amount $3,093,372, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-10.000%, Market Value plus accrued interest $3,155,164, due 10/24/12-10/01/40) | 3,093,298 | 0.3 | |||
651,219 | Morgan Stanley, Repurchase Agreement dated 09/28/12, 0.25%, due 10/01/12 (Repurchase Amount $651,232, collateralized by various U.S. Government Agency Obligations, 2.452%-5.000%, Market Value plus accrued interest $664,243, due 07/01/41-09/01/42) | 651,219 | 0.0 | |||
13,024,411 | 1.1 | |||||
Foreign Government Bonds: 1.5% | ||||||
MXN 235,339,100 | Z | Mexico Cetes, 4.510%, 03/21/13 | ||||
(Cost $17,853,917) | 17,897,601 | 1.5 | ||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 2.5% | ||||||
30,317,565 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $30,317,565) | 30,317,565 | 2.5 | ||||
Total Short-Term Investments | ||||||
(Cost $61,195,893) | 61,239,577 | 5.1 | ||||
Total Investments in Securities (Cost $1,301,119,300) | $ 1,343,308,029 | 112.8 | ||||
Liabilities in Excess of Other Assets | (152,875,367) | (12.8) | ||||
Net Assets | $ 1,190,432,662 | 100.0 | ||||
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. |
@ | Non-income producing security |
& | Payment-in-kind |
+ | Step-up basis bonds. Interest rates shown reflect current and next coupon rates. |
P | Preferred Stock may be called prior to convertible date. |
cc | Securities purchased with cash collateral for securities loaned. |
W | Settlement is on a when-issued or delayed-delivery basis. |
L | Loaned security, a portion or all of the security is on loan at September 30, 2012. |
± | Defaulted security |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds' Board of Directors/Trustees. |
^ | 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. |
^^ | Principal only securities represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. No payments of interest on the pool are passed through the principal only security. |
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
BRL | Brazilian Real |
DKK | Danish Krone |
EUR | EU Euro |
MXN | Mexican Peso |
RUB | Russian Ruble |
ZAR | South African Rand |
Cost for federal income tax purposes is $1,301,571,845. | ||
Net unrealized appreciation consists of: | ||
Gross Unrealized Appreciation | $49,538,702 | |
Gross Unrealized Depreciation | (7,802,518) | |
Net Unrealized Appreciation | $41,736,184 | |
Fair Value Measurements^ | ||||||||||||||||
The following is a summary of the fair valuations according to the inputs used as of September 30, 2012 in valuing the assets and liabilities: | ||||||||||||||||
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at September 30, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Preferred Stock | $ | 5,087,967 | $ | 1,391,600 | $ | — | $ | 6,479,567 | ||||||||
Purchased Options | — | 161,859 | — | 161,859 | ||||||||||||
Corporate Bonds/Notes | — | 387,548,918 | — | 387,548,918 | ||||||||||||
Collateralized Mortgage Obligations | — | 180,988,982 | — | 180,988,982 | ||||||||||||
Short-Term Investments | 30,317,565 | 30,922,012 | — | 61,239,577 | ||||||||||||
Foreign Government Bonds | — | 98,025,960 | — | 98,025,960 | ||||||||||||
U.S. Treasury Obligations | — | 211,667,148 | — | 211,667,148 | ||||||||||||
U.S. Government Agency Obligations | — | 342,894,258 | — | 342,894,258 | ||||||||||||
Asset-Backed Securities | — | 54,301,760 | — | 54,301,760 | ||||||||||||
Total Investments, at fair value | $ | 35,405,532 | $ | 1,307,902,497 | $ | — | $ | 1,343,308,029 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at September 30, 2012 | |||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Swaps | — | 420,748 | — | 420,748 | ||||||||||||
Futures | 238,244 | — | — | 238,244 | ||||||||||||
Forward Foreign Currency Contracts | — | 919,995 | — | 919,995 | ||||||||||||
Total Assets | $ | 35,643,776 | $ | 1,309,243,240 | $ | — | $ | 1,344,887,016 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Swaps | $ | — | $ | (2,006,693 | ) | $ | — | $ | (2,006,693 | ) | ||||||
Futures | (777,317 | ) | — | — | (777,317 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (2,816,976 | ) | — | (2,816,976 | ) | ||||||||||
Total Liabilities | $ | (777,317 | ) | $ | (4,823,669 | ) | $ | — | $ | (5,600,986 | ) | |||||
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
There were no transfers in or out of Levels 1, 2 or 3 of the fair value hierarchy during the six months ended September 30, 2012. |
At September 30, 2012, the following forward foreign currency contracts were outstanding for the ING Intermediate Bond Fund: |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |
Barclays Bank PLC | Russian Ruble | 71,185,109 | Buy | 11/30/12 | $ 2,166,777 | $ 2,258,460 | $ 91,683 | |
Credit Suisse First Boston | Mexican Peso | 946,472 | Buy | 11/30/12 | 72,263 | 73,074 | 811 | |
Credit Suisse First Boston | South African Rand | 34,448,805 | Buy | 11/30/12 | 4,043,977 | 4,103,346 | 59,369 | |
Deutsche Bank AG | Mexican Peso | 9,064,200 | Buy | 11/30/12 | 701,937 | 699,817 | (2,120) | |
Deutsche Bank AG | South African Rand | 46,028,645 | Buy | 11/30/12 | 5,603,000 | 5,482,671 | (120,329) | |
Deutsche Bank AG | Indian Rupee | 320,525,200 | Buy | 12/14/12 | 5,849,000 | 5,989,349 | 140,349 | |
Deutsche Bank AG | EU Euro | 118,290 | Buy | 11/30/12 | 145,979 | 152,106 | 6,127 | |
HSBC | Australian Dollar | 10,836,538 | Buy | 11/30/12 | 11,111,462 | 11,180,433 | 68,971 | |
JPMorgan Chase & Co. | Mexican Peso | 1,011,505 | Buy | 11/30/12 | 78,448 | 78,095 | (353) | |
JPMorgan Chase & Co. | EU Euro | 18,618,274 | Buy | 11/30/12 | 24,335,053 | 23,940,791 | (394,262) | |
JPMorgan Chase & Co. | Mexican Peso | 76,620,259 | Buy | 11/30/12 | 5,824,000 | 5,915,600 | 91,600 | |
JPMorgan Chase & Co. | South African Rand | 48,894,815 | Buy | 11/30/12 | 5,824,000 | 5,824,072 | 73 | |
JPMorgan Chase & Co. | Russian Ruble | 154,811,350 | Buy | 11/30/12 | 4,711,670 | 4,911,633 | 199,963 | |
$ 141,882 | ||||||||
Citigroup, Inc. | South African Rand | 5,873,893 | Sell | 11/30/12 | $ 712,119 | $ 699,665 | $ 12,454 | |
Citigroup, Inc. | South African Rand | 31,907,646 | Sell | 11/30/12 | 3,839,017 | 3,800,657 | 38,360 | |
Citigroup, Inc. | EU Euro | 23,434,559 | Sell | 11/30/12 | 29,269,108 | 30,133,936 | (864,828) | |
Citigroup, Inc. | South African Rand | 3,757,549 | Sell | 11/30/12 | 450,000 | 447,578 | 2,422 | |
Citigroup, Inc. | Mexican Peso | 119,052,918 | Sell | 11/30/12 | 8,926,640 | 9,191,687 | (265,047) | |
Credit Suisse First Boston | South African Rand | 57,210,651 | Sell | 11/30/12 | 6,923,632 | 6,814,607 | 109,025 | |
Deutsche Bank AG | Brazilian Real | 49,314,690 | Sell | 10/05/12 | 23,898,566 | 24,308,084 | (409,518) | |
Deutsche Bank AG | Russian Ruble | 520,980,689 | Sell | 11/30/12 | 15,972,918 | 16,528,932 | (556,014) | |
Deutsche Bank AG | South African Rand | 5,657,732 | Sell | 11/30/12 | 683,137 | 673,917 | 9,220 | |
Deutsche Bank AG | Mexican Peso | 117,379,879 | Sell | 11/30/12 | 8,867,741 | 9,062,517 | (194,776) | |
Deutsche Bank AG | Mexican Peso | 5,868,994 | Sell | 11/30/12 | 443,397 | 453,126 | (9,729) | |
HSBC | Australian Dollar | 10,836,538 | Sell | 11/30/12 | 11,270,000 | 11,180,432 | 89,568 | |
$ (2,038,863) | ||||||||
ING Intermediate Bond Fund Open Futures Contracts on September 30, 2012: | |||||||
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||
Long Contracts | |||||||
U.S. Treasury 2-Year Note | 303 | 12/31/12 | $ 66,820,972 | $ 32,386 | |||
U.S. Treasury 5-Year Note | 34 | 12/31/12 | 4,237,516 | 17,181 | |||
U.S. Treasury Ultra Long Bond | 236 | 12/19/12 | 38,991,625 | (372,106) | |||
$ 110,050,113 | $ (322,539) | ||||||
Short Contracts | |||||||
U.S. Treasury 10-Year Note | (502) | 12/19/12 | (67,009,159) | (405,211) | |||
U.S. Treasury Long Bond | (398) | 12/19/12 | (59,451,250) | 188,677 | |||
$ (126,460,409) | $ (216,534) | ||||||
ING Intermediate Bond Fund Over-the-Counter Credit Default Swap Agreements Outstanding on September 30, 2012: | ||||||||||
Credit Default Swaps on Corporate and Sovereign Issues - Buy Protection(1) | ||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||
Citigroup, Inc. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 1,311,000 | $ 78,464 | $ 82,484 | $ (4,020) | ||
Citigroup, Inc. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 640,000 | 38,304 | $ 41,955 | (3,651) | ||
JPMorgan Chase & Co. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 5,079,000 | 303,980 | $ 173,904 | 130,076 | ||
$ 420,748 | $ 298,343 | $ 122,405 | ||||||||
Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection(4) | ||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Implied Credit Spread at 09/30/12 (%) (5) | Notional Amount(2) | Fair Value(3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 22.860 | USD 1,311,000 | $ (193,937) | $ (104,319) | $ (89,618) | |
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 22.860 | USD 641,000 | (94,823) | $ (46,756) | (48,067) | |
Goldman Sachs & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 22.860 | USD 1,271,000 | (188,019) | $ (91,536) | (96,483) | |
JPMorgan Chase & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 22.860 | USD 2,540,000 | (375,742) | $ (91,800) | (283,942) | |
$ (852,521) | $ (334,411) | $ (518,110) | ||||||||
(1) | If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum amount of future payments (undiscounted) that a Fund as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement. |
(3) | The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
(4) | If the Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will generally either i) Pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or ii) Pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. |
(5) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed in each Fund's Portfolio of Investment and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting market values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
ING Intermediate Bond Fund Over-the-Counter Interest Rate Swap Agreements Outstanding on September 30, 2012: | |||||
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |
Receive a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized and pay a fixed rate equal to 10.365% Counterparty: Goldman Sachs & Co. | 01/02/17 | BRL 51,500,000 | $ (1,154,172) | $ – | $ (1,154,172) |
$ (1,154,172) | $ – | $ (1,154,172) | |||
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.
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. |
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 Funds Trust | ||
By | /s/ Shaun P. Mathews | |
Shaun P. Mathews | ||
President and Chief Executive Officer |
Date: November 29, 2012
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: November 29, 2012
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer |
Date: November 29, 2012