OMB APPROVAL
OMB Number: 3235-0570
Expires: January 31, 2014
Estimated average burden hours per response: 20.6
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: | March 31, 2013 |
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 | |
n | ING Short Term Bond Fund | |
n | ING Strategic Income 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 | 14 | |||||
Report of Independent Registered Public Accounting Firm | 16 | |||||
Statements of Assets and Liabilities | 17 | |||||
Statements of Operations | 21 | |||||
Statements of Changes in Net Assets | 23 | |||||
Financial Highlights | 25 | |||||
Notes to Financial Statements | 28 | |||||
Summary Portfolio of Investments | 46 | |||||
Tax Information | 80 | |||||
Trustee and Officer Information | 81 | |||||
Advisory Contract Approval Discussion | 85 |
Go Paperless with E-Delivery! | |||||||||||
Sign up now for on-line prospectuses, fund reports, and proxy statements. In less than five minutes, you can help reduce paper mail and lower fund costs. | |||||||||||
Just go to www.inginvestment.com, click on the E-Delivery icon from the home page, follow the directions and complete the quick 5 Steps to Enroll. | |||||||||||
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
May 1, 2013
The views expressed in the President’s Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and 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 | |||||
---|---|---|---|---|---|---|
Barclays GNMA Index | An unmanaged index comprised of all fixed security mortgage pools sponsored by GNMA, including GNMA Graduated Payment Mortgages. | |||||
Barclays High Yield Bond — 2% Issuer Constrained Composite Index | An unmanaged index that includes all fixed income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity. | |||||
Barclays U.S. 1–3 Year Government / Credit Bond Index | A widely recognized index of publicly issued fixed rate, investment grade debt securities, including Treasuries, Agencies and credit securities with a maturity of one to three years. | |||||
Barclays 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 U.S. Corporate Investment Grade Bond Index | An unmanaged index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. | |||||
Barclay’s Mortgage-Backed Securities Index | An unmanaged index composed of fixed-income security mortgage pools sponsored by GNMA, FNMA and FHLMC, including GNMA GraduatedPayment Mortgages. | |||||
Barclays 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 U.S. Universal Bond Index | The Index represents the union of the U.S. Aggregate Index, U.S. Corporate High Yield Index, Investment Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD-denominated, taxable bonds that are rated either investment grade or high-yield. Some U.S. Universal Index constituents may be eligible for one or more of its contributing subcomponents that are not mutually exclusive. These securities are not double-counted in the index. The U.S. Universal index was created on January 1, 1999, with index history backfilled to January 1, 1990. | |||||
MSCI Europe ex UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK. | |||||
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. | |||||
MSCI UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. | |||||
MSCI World IndexSM | An unmanaged index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. | |||||
S&P 500® Index | An unmanaged index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. | |||||
S&P/Case-Shiller 20-City Composite Home Price Index | A composite index of the home price index for the top 20 Metropolitan Statistical Areas in the United States. The index is published monthly by Standard & Poor’s. |
ING GNMA INCOME FUND | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation as of March 31, 2013 (as a percentage of net assets) | ||||||||
U.S. Government Agency Obligations | 107.8 | % | ||||||
Collateralized Mortgage Obligations | 0.1 | % | ||||||
Liabilities in Excess of Other Assets* | (7.9 | )% | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. | ||||||||
PORTFOLIO MANAGERS’ REPORT | ING GNMA INCOME FUND |
Average Annual Total Returns for the Periods Ended March 31, 2013 | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | 5 Year | 10 Year | Since Inception of Class W December 17, 2007 | |||||||||||||||||
Including Sales Charge: | ||||||||||||||||||||
Class A(1) | (0.01 | )% | 4.64 | % | 4.05 | % | — | |||||||||||||
Class B(2) | (3.18 | )% | 4.06 | % | 3.78 | % | — | |||||||||||||
Class C(3) | 0.79 | % | 4.40 | % | 3.78 | % | — | |||||||||||||
Class I | 2.79 | % | 5.48 | % | 4.87 | % | — | |||||||||||||
Class W | 2.76 | % | 5.47 | % | — | 5.78 | % | |||||||||||||
Excluding Sales Charge: | ||||||||||||||||||||
Class A | 2.51 | % | 5.18 | % | 4.56 | % | — | |||||||||||||
Class B | 1.74 | % | 4.40 | % | 3.78 | % | — | |||||||||||||
Class C | 1.78 | % | 4.40 | % | 3.78 | % | — | |||||||||||||
Class I | 2.79 | % | 5.48 | % | 4.87 | % | — | |||||||||||||
Class W | 2.76 | % | 5.47 | % | — | 5.78 | % | |||||||||||||
Barclays GNMA Index | 1.80 | % | 5.47 | % | 5.10 | % | 5.70 | %(4) | ||||||||||||
Barclays Mortgage-Backed Securities Index | 1.97 | % | 5.15 | % | 4.98 | % | 5.38 | %(4) |
(1) | Reflects deduction of the maximum Class A sales charge of 4.75%. Effective July 31, 2006, the maximum Class A sales charge was lowered to 2.50%. |
(2) | Reflects deduction of the Class B deferred sales charge of 5% and 2% for the 1 year and 5 year returns, respectively. |
(3) | Reflects deduction of the Class C deferred sales charge of 1% for the 1 year return. |
(4) | Since inception performance for the indices is shown from January 1, 2008. |
ING HIGH YIELD BOND FUND | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of March 31, 2013 (as a percentage of net assets) | ||||||||
Consumer Discretionary | 20.7 | % | ||||||
Energy | 15.1 | % | ||||||
Materials | 10.5 | % | ||||||
Industrials | 8.5 | % | ||||||
Health Care | 8.4 | % | ||||||
Consumer Staples | 8.3 | % | ||||||
Financials | 7.9 | % | ||||||
Telecommunication Services | 7.3 | % | ||||||
Information Technology | 5.6 | % | ||||||
Utilities | 2.3 | % | ||||||
Other Asset-Backed Securities | 0.5 | % | ||||||
Assets in Excess of Other Liabilities* | 4.9 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. | ||||||||
Top Ten Holdings as of March 31, 2013* (as a percentage of net assets) | ||||||||
HCA Holdings, Inc., 7.750%, 05/15/21 | 0.7 | % | ||||||
HCA, Inc., 7.500%, 02/15/22 | 0.7 | % | ||||||
Sprint Capital Corp., 6.875%, 11/15/28 | 0.7 | % | ||||||
Halcon Resources Corp., 8.875%, 05/15/21 | 0.6 | % | ||||||
Resolute Energy Corp., 8.500%, 05/01/20 | 0.5 | % | ||||||
MGM Resorts International, 7.750%, 03/15/22 | 0.5 | % | ||||||
AMC Entertainment, Inc., 9.750%, 12/01/20 | 0.5 | % | ||||||
Shearer’s Foods, LLC / Chip Fin Corp., 9.000%, 11/01/19 | 0.5 | % | ||||||
Cablevision Systems Corp., 7.750%, 04/15/18 | 0.5 | % | ||||||
Castle Garden Funding, 6.560%, 10/27/20 | 0.5 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. | ||||||||
PORTFOLIO MANAGERS’ REPORT | ING HIGH YIELD BOND FUND |
Average Annual Total Returns for the Periods Ended March 31, 2013 | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | 5 Year | 10 Year | Since Inception of Class I July 31, 2008 | Since Inception of Class W July 29, 2011 | ||||||||||||||||||||
Including Sales Charge: | ||||||||||||||||||||||||
Class A(1) | 10.85 | % | 9.04 | % | 7.24 | % | — | — | ||||||||||||||||
Class B(2) | 7.85 | % | 8.46 | % | 6.95 | % | — | — | ||||||||||||||||
Class C(3) | 11.85 | % | 8.77 | % | 6.97 | % | — | — | ||||||||||||||||
Class I | 13.98 | % | — | — | 11.34 | % | — | |||||||||||||||||
Class W | 14.11 | % | — | — | — | 11.90 | % | |||||||||||||||||
Excluding Sales Charge: | ||||||||||||||||||||||||
Class A | 13.69 | % | 9.58 | % | 7.76 | % | — | — | ||||||||||||||||
Class B | 12.85 | % | 8.75 | % | 6.95 | % | — | — | ||||||||||||||||
Class C | 12.85 | % | 8.77 | % | 6.97 | % | — | — | ||||||||||||||||
Class I | 13.98 | % | — | — | 11.34 | % | ||||||||||||||||||
Class W | 14.11 | % | — | — | — | 11.90 | % | |||||||||||||||||
Barclays High Yield Bond — 2% Issuer Constrained Composite | 13.08 | % | 11.75 | % | 10.11 | % | 12.48 | %(4) | 10.30 | %(5) | ||||||||||||||
(1) | Reflects deduction of the maximum Class A sales charge of 4.75%. Effective July 31, 2006, the maximum Class A sales charge was lowered to 2.50%. |
(2) | Reflects deduction of the Class B deferred sales charge of 5% and 2% for the 1 year and 5 year returns, respectively. |
(3) | Reflects deduction of the Class C deferred sales charge of 1% for the 1 year return. |
(4) | Since inception performance for the index is shown from August 1, 2008. |
(5) | Since inception performance for the index is shown from August 1, 2011. |
ING INTERMEDIATE BOND FUND | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation as of March 31, 2013 (as a percentage of net assets) | ||||||||
U.S. Government Agency Obligations | 30.9 | % | ||||||
Corporate Bonds/Notes | 27.4 | % | ||||||
Collateralized Mortgage Obligations | 17.1 | % | ||||||
U.S. Treasury Obligations | 12.8 | % | ||||||
Foreign Government Bonds | 11.0 | % | ||||||
Asset-Backed Securities | 6.6 | % | ||||||
Preferred Stock | 0.8 | % | ||||||
Liabilities in Excess of Other Assets* | (6.6 | )% | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. | ||||||||
Top Ten Holdings as of March 31, 2013* (as a percentage of net assets) | ||||||||
United States Treasury Note, 0.375%, 03/15/16 | 4.8 | % | ||||||
Ginnie Mae, 3.500%, 05/15/43 | 3.2 | % | ||||||
Fannie Mae, 3.500%, 09/25/41 | 2.9 | % | ||||||
United States Treasury Note, 0.250%, 02/28/15 | 2.5 | % | ||||||
Fannie Mae, 2.500%, 11/25/26 | 2.2 | % | ||||||
Fannie Mae, 3.000%, 05/01/43 | 2.1 | % | ||||||
Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/23 | 1.9 | % | ||||||
United States Treasury Note, 0.750%, 02/28/18 | 1.8 | % | ||||||
Fannie Mae, 3.000%, 12/25/26 | 1.8 | % | ||||||
Ginnie Mae, 4.000%, 12/15/39 | 1.8 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. | ||||||||
PORTFOLIO MANAGERS’ REPORT | ING INTERMEDIATE BOND FUND |
Average Annual Total Returns for the Periods Ended March 31, 2013 | ||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | 5 Year | 10 Year | Since Inception of Class O August 13, 2004 | Since Inception of Class R March 16, 2004 | Since Inception of Class W December 17, 2007 | |||||||||||||||||||||||
Including Sales Charge: | ||||||||||||||||||||||||||||
Class A(1) | 4.20 | % | 5.13 | % | 4.30 | % | — | — | — | |||||||||||||||||||
Class B(2) | 1.02 | % | 4.53 | % | 4.00 | % | — | — | — | |||||||||||||||||||
Class C(3) | 4.93 | % | 4.85 | % | 4.01 | % | — | — | — | |||||||||||||||||||
Class I | 7.04 | % | 5.95 | % | 5.13 | % | — | — | — | |||||||||||||||||||
Class O | 6.83 | % | 5.64 | % | — | 4.86 | % | — | — | |||||||||||||||||||
Class R | 6.57 | % | 5.38 | % | — | — | 4.37 | % | — | |||||||||||||||||||
Class W | 7.04 | % | 6.23 | % | — | — | — | 6.07 | % | |||||||||||||||||||
Excluding Sales Charge: | ||||||||||||||||||||||||||||
Class A | 6.83 | % | 5.66 | % | 4.81 | % | — | — | — | |||||||||||||||||||
Class B | 6.02 | % | 4.86 | % | 4.00 | % | — | — | — | |||||||||||||||||||
Class C | 5.93 | % | 4.85 | % | 4.01 | % | — | — | — | |||||||||||||||||||
Class I | 7.04 | % | 5.95 | % | 5.13 | % | — | — | — | |||||||||||||||||||
Class O | 6.83 | % | 5.64 | % | — | 4.86 | % | — | — | |||||||||||||||||||
Class R | 6.57 | % | 5.38 | % | — | — | 4.37 | % | — | |||||||||||||||||||
Class W | 7.04 | % | 6.23 | % | — | — | — | 6.07 | % | |||||||||||||||||||
Barclays U.S. Aggregate Bond Index | 3.77 | % | 5.47 | % | 5.02 | % | 5.36 | %(4) | 4.98 | %(5) | 5.64 | %(6) |
(1) | Reflects deduction of the maximum Class A sales charge of 4.75%. Effective July 31, 2006, the maximum Class A sales charge was lowered to 2.50%. |
(2) | Reflects deduction of the Class B deferred sales charge of 5% and 2% for the 1 year and 5 year returns, respectively. |
(3) | Reflects deduction of the Class C deferred sales charge of 1% for the 1 year return. |
(4) | Since inception performance for index is shown from August 1, 2004. |
(5) | Since inception performance for index is shown from April 1, 2004. |
(6) | Since inception performance for index is shown from January 1, 2008. |
ING SHORT TERM BOND FUND | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation as of March 31, 2013 (as a percentage of net assets) | ||||||||
Corporate Bonds/Notes | 64.7 | % | ||||||
U.S. Government Agency Obligations | 13.8 | % | ||||||
Asset-Backed Securities | 10.0 | % | ||||||
Collateralized Mortgage Obligations | 5.2 | % | ||||||
U.S. Treasury Obligations | 2.8 | % | ||||||
Foreign Government Bonds | 0.6 | % | ||||||
Assets in Excess of Other Liabilities* | 2.9 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. | ||||||||
Top Ten Holdings as of March 31, 2013* (as a percentage of net assets) | ||||||||
Fannie Mae, 5.500%, 08/01/36 | 1.6 | % | ||||||
Freddie Mac, 5.500%, 07/01/38 | 1.4 | % | ||||||
United States Treasury Note, 0.250%, 02/28/15 | 1.3 | % | ||||||
Freddie Mac, 5.000%, 07/15/39 | 1.2 | % | ||||||
Ginnie Mae, 4.000%, 02/20/43 | 1.2 | % | ||||||
Freddie Mac, 4.500%, 09/01/41 | 1.1 | % | ||||||
United States Treasury Note, 0.375%, 03/15/16 | 1.1 | % | ||||||
Fannie Mae, 5.000%, 01/01/23 | 0.9 | % | ||||||
Verizon Communications, Inc., 1.950%, 03/28/14 | 0.7 | % | ||||||
Fannie Mae, 3.500%, 12/01/42 | 0.7 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. | ||||||||
PORTFOLIO MANAGERS’ REPORT | ING SHORT TERM BOND FUND |
Cumulative Total Returns for the Period Ended March 31, 2013 | ||||||||
---|---|---|---|---|---|---|---|---|
Since Inception of Classes A, C, I, and W December 19, 2012 | ||||||||
Including Sales Charge: | ||||||||
Class A(1) | (2.41 | )% | ||||||
Class C(2) | (1.10 | )% | ||||||
Class I | 0.22 | % | ||||||
Class W | 0.17 | % | ||||||
Excluding Sales Charge: | ||||||||
Class A | 0.13 | % | ||||||
Class C | (0.10 | )% | ||||||
Class I | 0.22 | % | ||||||
Class W | 0.17 | % | ||||||
Barclays U.S. 1-3 Year Government/Credit Bond Index | 0.25 | % |
(1) | Reflects deduction of the maximum Class A sales charge of 2.50%. |
(2) | Reflects deduction of the Class C deferred sales charge of 1% for the 1 year return. |
ING STRATEGIC INCOME FUND | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation as of March 31, 2013 (as a percentage of net assets) | ||||||||
Affiliated Mutual Funds | 80.8 | % | ||||||
U.S. Government Agency Obligations | 15.7 | % | ||||||
U.S. Treasury Obligations | 12.2 | % | ||||||
Collateralized Mortgage Obligations | 3.8 | % | ||||||
Liabilities in Excess of Other Assets* | (12.5 | )% | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. | ||||||||
Top Ten Holdings as of March 31, 2013 (as a percentage of net assets) | ||||||||
ING High Yield Bond Fund — Class I | 25.6 | % | ||||||
ING Floating Rate Fund — Class I | 20.1 | % | ||||||
ING Emerging Markets Local Currency Debt Fund Class P | 17.6 | % | ||||||
ING Emerging Markets Corporate Debt Fund Class P | 12.6 | % | ||||||
Fannie Mae, 3.000%, 05/01/43 | 6.9 | % | ||||||
Ginnie Mae, 3.500%, 05/15/43 | 5.2 | % | ||||||
ING Emerging Markets Hard Currency Sovereign Debt Fund Class P | 4.9 | % | ||||||
United States Treasury Bond, 2.750%, 11/15/42 | 3.6 | % | ||||||
Fannie Mae, 3.500%, 09/25/41 | 3.0 | % | ||||||
United States Treasury Note, 0.750%, 02/28/18 | 2.7 | % | ||||||
Portfolio holdings are subject to change daily. | ||||||||
PORTFOLIO MANAGERS’ REPORT | ING STRATEGIC INCOME FUND |
Cumulative Total Returns for the Period Ended March 31, 2013 | ||||||||
---|---|---|---|---|---|---|---|---|
Since Inception of Classes A, C, I, R, and W November 2, 2012 | ||||||||
Including Sales Charge: | ||||||||
Class A(1) | (0.38 | )% | ||||||
Class C(2) | 0.91 | % | ||||||
Class I | 2.36 | % | ||||||
Class R | 2.08 | % | ||||||
Class W | 2.36 | % | ||||||
Excluding Sales Charge: | ||||||||
Class A | 2.21 | % | ||||||
Class C | 1.91 | % | ||||||
Class I | 2.36 | % | ||||||
Class R | 2.08 | % | ||||||
Class W | 2.36 | % | ||||||
Barclays U.S. Universal Bond Index | 0.46 | % |
(1) | Reflects deduction of the maximum Class A sales charge of 2.50%. |
(2) | Reflects deduction of the Class C deferred sales charge of 1% for the 1 year return. |
Actual Fund Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value October 1, 2012 | Ending Account Value March 31, 2013 | Annualized Expense Ratio | Expenses Paid During the Period Ended March 31, 2013* | Beginning Account Value October 1, 2012 | Ending Account Value March 31, 2013 | Annualized Expense Ratio | Expenses Paid During the Period Ended March 31, 2013* | ||||||||||||||||||||||||||||
ING GNMA Income Fund | |||||||||||||||||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,001.70 | 0.90 | % | $ | 4.49 | $ | 1,000.00 | $ | 1,020.44 | 0.90 | % | $ | 4.53 | |||||||||||||||||||
Class B | 1,000.00 | 997.90 | 1.65 | 8.22 | 1,000.00 | 1,016.70 | 1.65 | 8.30 | |||||||||||||||||||||||||||
Class C | 1,000.00 | 998.00 | 1.65 | 8.22 | 1,000.00 | 1,016.70 | 1.65 | 8.30 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,001.90 | 0.63 | 3.14 | 1,000.00 | 1,021.79 | 0.63 | 3.18 | |||||||||||||||||||||||||||
Class W | 1,000.00 | 1,002.90 | 0.65 | 3.25 | 1,000.00 | 1,021.69 | 0.65 | 3.28 | |||||||||||||||||||||||||||
ING High Yield Bond Fund | |||||||||||||||||||||||||||||||||||
Class A | 1,000.00 | 1,070.30 | 1.10 | 5.68 | 1,000.00 | 1,019.45 | 1.10 | 5.54 | |||||||||||||||||||||||||||
Class B | 1,000.00 | 1,066.40 | 1.85 | 9.53 | 1,000.00 | 1,015.71 | 1.85 | 9.30 | |||||||||||||||||||||||||||
Class C | 1,000.00 | 1,066.40 | 1.85 | 9.53 | 1,000.00 | 1,015.71 | 1.85 | 9.30 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,072.30 | 0.75 | 3.87 | 1,000.00 | 1,021.19 | 0.75 | 3.78 | |||||||||||||||||||||||||||
Class W | 1,000.00 | 1,072.00 | 0.85 | 4.39 | 1,000.00 | 1,020.69 | 0.85 | 4.28 |
* | Expenses are equal to each Funds’ respective annualized expense ratios multiplied by the average account value over the period, multiplied by 182/365 to reflect the most recent fiscal half-year. |
Actual Fund Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value October 1, 2012 | Ending Account Value March 31, 2013 | Annualized Expense Ratio | Expenses Paid During the Period Ended March 31, 2013* | Beginning Account Value October 1, 2012 | Ending Account Value March 31, 2013 | Annualized Expense Ratio | Expenses Paid During the Period Ended March 31, 2013* | ||||||||||||||||||||||||||||
ING Intermediate Bond Fund | |||||||||||||||||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.00 | 0.70 | % | $ | 3.52 | $ | 1,000.00 | $ | 1,021.44 | 0.70 | % | $ | 3.53 | |||||||||||||||||||
Class B | 1,000.00 | 1,013.10 | 1.45 | 7.28 | 1,000.00 | 1,017.70 | 1.45 | 7.29 | |||||||||||||||||||||||||||
Class C | 1,000.00 | 1,013.20 | 1.45 | 7.28 | 1,000.00 | 1,017.70 | 1.45 | 7.29 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,018.60 | 0.42 | 2.11 | 1,000.00 | 1,022.84 | 0.42 | 2.12 | |||||||||||||||||||||||||||
Class O | 1,000.00 | 1,017.00 | 0.70 | 3.52 | 1,000.00 | 1,021.44 | 0.70 | 3.53 | |||||||||||||||||||||||||||
Class R | 1,000.00 | 1,015.90 | 0.95 | 4.77 | 1,000.00 | 1,020.19 | 0.95 | 4.78 | |||||||||||||||||||||||||||
Class W | 1,000.00 | 1,017.40 | 0.45 | 2.26 | 1,000.00 | 1,022.69 | 0.45 | 2.27 | |||||||||||||||||||||||||||
ING Short Term Bond Fund | |||||||||||||||||||||||||||||||||||
Class A(1) | 1,000.00 | 1,001.30 | 0.80 | 2.26 | 1,000.00 | 1,020.94 | 0.80 | 4.03 | |||||||||||||||||||||||||||
Class C(1) | 1,000.00 | 999.00 | 1.55 | 4.37 | 1,000.00 | 1,017.20 | 1.55 | 7.80 | |||||||||||||||||||||||||||
Class I(1) | 1,000.00 | 1,002.20 | 0.50 | 1.41 | 1,000.00 | 1,022.44 | 0.50 | 2.52 | |||||||||||||||||||||||||||
Class W(1) | 1,000.00 | 1,001.70 | 0.55 | 1.55 | 1,000.00 | 1,022.19 | 0.55 | 2.77 | |||||||||||||||||||||||||||
ING Strategic Income Fund** | |||||||||||||||||||||||||||||||||||
Class A(2) | 1,000.00 | 1,022.10 | 0.83 | 3.45 | 1,000.00 | 1,020.79 | 0.83 | 4.18 | |||||||||||||||||||||||||||
Class C(2) | 1,000.00 | 1,019.10 | 1.58 | 6.56 | 1,000.00 | 1,017.05 | 1.58 | 7.95 | |||||||||||||||||||||||||||
Class I(2) | 1,000.00 | 1,023.60 | 0.38 | 1.58 | 1,000.00 | 1,023.04 | 0.38 | 1.92 | |||||||||||||||||||||||||||
Class R(2) | 1,000.00 | 1,020.80 | 1.08 | 4.48 | 1,000.00 | 1,019.55 | 1.08 | 5.44 | |||||||||||||||||||||||||||
Class W(2) | 1,000.00 | 1,023.60 | 0.58 | 2.41 | 1,000.00 | 1,022.04 | 0.58 | 2.92 |
* | Expenses are equal to each Funds’ respective annualized expense ratios multiplied by the average account value over the period, multiplied by 182/365 to reflect the most recent fiscal half-year. | |
** | The annualized expense ratios do not include expenses of underlying funds. | |
(1) | Commencement of operations was December 19, 2012. Expenses paid for the actual Fund’s return reflect the 103-day period ended March 31, 2013. | |
(2) | Commencement of operations was November 2, 2012. Expenses paid for the actual Fund’s return reflect the 150-day period ended March 31, 2013. |
ING Funds Trust
May 28, 2013
ING GNMA Income Fund | ING High Yield Bond Fund | ING Intermediate Bond Fund | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in securities at fair value+* | $ | 1,241,439,642 | $ | 206,696,611 | $ | 1,228,033,258 | ||||||||
Short-term investments at fair value** | — | 9,861,400 | 127,557,940 | |||||||||||
Total Investments at fair value | $ | 1,241,439,642 | $ | 216,558,011 | $ | 1,355,591,198 | ||||||||
Short-term investments at amortized cost | 79,996,730 | — | — | |||||||||||
Cash | 98,562,843 | 787 | 2,665,915 | |||||||||||
Cash collateral for futures | 2,543,322 | — | 1,401,558 | |||||||||||
Foreign currencies at value*** | — | 12,142 | 4,926,484 | |||||||||||
Receivable for derivatives collateral (Note 2) | — | — | 2,590,000 | |||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 9,205,187 | 3,532,062 | 22,934,694 | |||||||||||
Investment securities sold on a delayed-delivery or when-issued basis | 362,542,407 | — | 133,817,371 | |||||||||||
Fund shares sold | 6,891,387 | 544,322 | 4,614,089 | |||||||||||
Dividends | — | �� | 823 | 41,832 | ||||||||||
Interest | 3,952,875 | 4,057,064 | 7,662,967 | |||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 2,836,073 | |||||||||||
Upfront payments paid on OTC swap agreements | — | — | 144,958 | |||||||||||
Unrealized appreciation on OTC swap agreements | — | — | 12,706 | |||||||||||
Prepaid expenses | 52,956 | 31,202 | 58,849 | |||||||||||
Total assets | 1,805,187,349 | 224,736,413 | 1,539,298,694 | |||||||||||
LIABILITIES: | ||||||||||||||
Income distribution payable | — | 120,000 | 156,736 | |||||||||||
Payable for investment securities purchased | 9,182,626 | 6,498,750 | 42,335,185 | |||||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | 638,854,285 | — | 326,202,953 | |||||||||||
Payable for fund shares redeemed | 6,043,813 | 408,937 | 2,733,322 | |||||||||||
Payable upon receipt of securities loaned | — | — | 9,320,770 | |||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 2,786,944 | |||||||||||
Upfront payments received on OTC swap agreements | — | — | 162,482 | |||||||||||
Unrealized depreciation on OTC swap agreements | — | — | 2,616,062 | |||||||||||
Payable for investment management fees | 451,728 | 110,378 | 163,926 | |||||||||||
Payable for administrative fees | 98,068 | 18,260 | 96,427 | |||||||||||
Payable for distribution and shareholder service fees | 307,579 | 31,689 | 110,591 | |||||||||||
Payable for trustee fees | 5,584 | 853 | 5,336 | |||||||||||
Other accrued expenses and liabilities | 151,373 | 45,232 | 411,600 | |||||||||||
Total liabilities | 655,095,056 | 7,234,099 | 387,102,334 | |||||||||||
NET ASSETS | $ | 1,150,092,293 | $ | 217,502,314 | $ | 1,152,196,360 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||
Paid-in capital | $ | 1,119,511,034 | $ | 242,213,483 | $ | 1,250,383,778 | ||||||||
Undistributed (distributions in excess of) net investment income | (600,860 | ) | 2,187 | 2,922,211 | ||||||||||
Accumulated net realized loss | (2,631,781 | ) | (37,181,687 | ) | (129,409,204 | ) | ||||||||
Net unrealized appreciation | 33,813,900 | 12,468,331 | 28,299,575 | |||||||||||
NET ASSETS | $ | 1,150,092,293 | $ | 217,502,314 | $ | 1,152,196,360 | ||||||||
_______________ | ||||||||||||||
+ Including securities loaned at value | $ | — | $ | — | $ | 9,081,246 | ||||||||
* Cost of investments in securities | $ | 1,207,033,828 | $ | 194,227,515 | $ | 1,196,600,145 | ||||||||
** Cost of short-term investments | $ | — | $ | 9,861,400 | $ | 127,560,586 | ||||||||
*** Cost of foreign currencies | $ | — | $ | 12,907 | $ | 4,895,370 |
ING GNMA Income Fund | ING High Yield Bond Fund | ING Intermediate Bond Fund | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class A | ||||||||||||||
Net assets | $ | 727,057,795 | $ | 85,429,086 | $ | 301,543,844 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 81,244,423 | 10,238,439 | 29,897,634 | |||||||||||
Net asset value and redemption price per share | $ | 8.95 | $ | 8.34 | $ | 10.09 | ||||||||
Maximum offering price per share (2.50%)(1) | $ | 9.18 | $ | 8.55 | $ | 10.35 | ||||||||
Class B | ||||||||||||||
Net assets | $ | 1,429,813 | $ | 1,629,343 | $ | 1,928,209 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 160,662 | 195,524 | 191,471 | |||||||||||
Net asset value and redemption price per share† | $ | 8.90 | $ | 8.33 | $ | 10.07 | ||||||||
Class C | ||||||||||||||
Net assets | $ | 177,822,629 | $ | 14,353,961 | $ | 35,307,802 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 19,981,556 | 1,720,815 | 3,505,247 | |||||||||||
Net asset value and redemption price per share† | $ | 8.90 | $ | 8.34 | $ | 10.07 | ||||||||
Class I | ||||||||||||||
Net assets | $ | 206,100,042 | $ | 101,386,863 | $ | 531,681,266 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 22,999,157 | 12,170,681 | 52,732,618 | |||||||||||
Net asset value and redemption price per share | $ | 8.96 | $ | 8.33 | $ | 10.08 | ||||||||
Class O | ||||||||||||||
Net assets | $ | n/a | $ | n/a | $ | 41,595,606 | ||||||||
Shares authorized | n/a | n/a | unlimited | |||||||||||
Par value | $ | n/a | $ | n/a | $ | 0.001 | ||||||||
Shares outstanding | n/a | n/a | 4,122,454 | |||||||||||
Net asset value and redemption price per share | $ | n/a | $ | n/a | $ | 10.09 | ||||||||
Class R | ||||||||||||||
Net assets | $ | n/a | $ | n/a | $ | 14,401,331 | ||||||||
Shares authorized | n/a | n/a | unlimited | |||||||||||
Par value | $ | n/a | $ | n/a | $ | 0.001 | ||||||||
Shares outstanding | n/a | n/a | 1,425,973 | |||||||||||
Net asset value and redemption price per share | $ | n/a | $ | n/a | $ | 10.10 | ||||||||
Class W | ||||||||||||||
Net assets | $ | 37,682,014 | $ | 14,703,061 | $ | 225,738,302 | ||||||||
Shares authorized | unlimited | unlimited | unlimited | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 4,201,582 | 1,761,374 | 22,407,982 | |||||||||||
Net asset value and redemption price per share | $ | 8.97 | $ | 8.35 | $ | 10.07 |
_______________
(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 Short Term Bond Fund | ING Strategic Income Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||
Investments in securities at fair value+* | $ | 172,578,970 | $ | 1,623,521 | ||||||
Investments in affiliates at fair value** | — | 4,138,195 | ||||||||
Short-term investments at fair value*** | 3,006,417 | 15,000 | ||||||||
Total Investments at fair value | $ | 175,585,387 | $ | 5,776,716 | ||||||
Cash | 15,756 | 11,599 | ||||||||
Cash collateral for futures | 266,406 | 30,501 | ||||||||
Receivables: | ||||||||||
Investment securities sold | 1,997,250 | 83,088 | ||||||||
Investment securities sold on a delayed-delivery or when-issued basis | 2,962,050 | 923,302 | ||||||||
Fund shares sold | 2,859,227 | — | ||||||||
Dividends | 317 | 15 | ||||||||
Interest | 864,463 | 4,177 | ||||||||
Prepaid expenses | 6,335 | 8,427 | ||||||||
Prepaid offering | 68,192 | 68,686 | ||||||||
Reimbursement due from manager | 7,965 | 14,863 | ||||||||
Total assets | 184,633,348 | 6,921,374 | ||||||||
LIABILITIES: | ||||||||||
Payable for investment securities purchased | 2,341,702 | 92,208 | ||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | 2,966,411 | 1,698,019 | ||||||||
Payable for fund shares redeemed | 333,407 | — | ||||||||
Payable for foreign cash collateral for futures**** | — | 1,633 | ||||||||
Payable upon receipt of securities loaned | 1,226,857 | — | ||||||||
Payable for investment management fees | 52,090 | 2,387 | ||||||||
Payable for administrative fees | 14,883 | 434 | ||||||||
Payable for distribution and shareholder service fees | 3 | 5 | ||||||||
Payable for trustee fees | 761 | 25 | ||||||||
Other accrued expenses and liabilities | 33,993 | 5,809 | ||||||||
Total liabilities | 6,970,107 | 1,800,520 | ||||||||
NET ASSETS | $ | 177,663,241 | $ | 5,120,854 | ||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||
Paid-in capital | $ | 177,630,806 | $ | 5,033,646 | ||||||
Undistributed net investment income | 8,610 | 46,124 | ||||||||
Accumulated net realized loss | (161,273 | ) | (17,415 | ) | ||||||
Net unrealized appreciation | 185,098 | 58,499 | ||||||||
NET ASSETS | $ | 177,663,241 | $ | 5,120,854 | ||||||
_______________ | ||||||||||
+ Including securities loaned at value | $ | 1,187,674 | $ | — | ||||||
* Cost of investments in securities | $ | 172,266,002 | $ | 1,612,743 | ||||||
** Cost of investments in affiliates | $ | — | $ | 4,083,819 | ||||||
*** Cost of short-term investments | $ | 3,006,417 | $ | 15,000 | ||||||
**** Cost of payable for foreign cash collateral for futures | $ | — | $ | 1,654 |
ING Short Term Bond Fund | ING Strategic Income Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Class A | ||||||||||
Net assets | $ | 3,813 | $ | 4,295 | ||||||
Shares authorized | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | ||||||
Shares outstanding | 381 | 423 | ||||||||
Net asset value and redemption price per share | $ | 10.01 | $ | 10.16 | ||||||
Maximum offering price per share (2.50%)(1) | $ | 10.27 | $ | 10.42 | ||||||
Class C | ||||||||||
Net assets | $ | 3,007 | $ | 3,068 | ||||||
Shares authorized | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | ||||||
Shares outstanding | 301 | 303 | ||||||||
Net asset value and redemption price per share† | $ | 9.99 | $ | 10.14 | ||||||
Class I | ||||||||||
Net assets | $ | 177,653,406 | $ | 5,107,338 | ||||||
Shares authorized | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | ||||||
Shares outstanding | 17,761,818 | 502,049 | ||||||||
Net asset value and redemption price per share | $ | 10.00 | $ | 10.17 | ||||||
Class R | ||||||||||
Net assets | $ | n/a | $ | 3,074 | ||||||
Shares authorized | n/a | unlimited | ||||||||
Par value | $ | n/a | $ | 0.001 | ||||||
Shares outstanding | n/a | 303 | ||||||||
Net asset value and redemption price per share | $ | n/a | $ | 10.15 | ||||||
Class W | ||||||||||
Net assets | $ | 3,015 | $ | 3,079 | ||||||
Shares authorized | unlimited | unlimited | ||||||||
Par value | $ | 0.001 | $ | 0.001 | ||||||
Shares outstanding | 301 | 303 | ||||||||
Net asset value and redemption price per share | $ | 10.01 | $ | 10.17 |
_______________
(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 | $ | 4,337 | $ | 11,512 | $ | 422,640 | ||||||||
Interest, net of foreign taxes withheld* | 36,623,929 | 12,330,009 | 42,920,053 | |||||||||||
Securities lending income, net | — | — | 123,763 | |||||||||||
Total investment income | 36,628,266 | 12,341,521 | 43,466,456 | |||||||||||
EXPENSES: | ||||||||||||||
Investment management fees | 5,166,309 | 869,810 | 1,814,191 | |||||||||||
Distribution and shareholder service fees: | ||||||||||||||
Class A | 1,799,800 | 215,843 | 755,811 | |||||||||||
Class B | 24,156 | 19,452 | 28,677 | |||||||||||
Class C | 1,685,650 | 135,949 | 355,277 | |||||||||||
Class O | — | — | 106,335 | |||||||||||
Class R | — | — | 66,288 | |||||||||||
Transfer agent fees: | ||||||||||||||
Class A | 296,520 | 89,731 | 354,321 | |||||||||||
Class B | 1,050 | 2,037 | 3,378 | |||||||||||
Class C | 68,362 | 13,892 | 41,672 | |||||||||||
Class I | 46,426 | 1,969 | 433,051 | |||||||||||
Class O | — | — | 49,896 | |||||||||||
Class R | — | — | 15,539 | |||||||||||
Class W | 9,183 | 5,077 | 196,694 | |||||||||||
Administrative service fees | 1,116,727 | 170,550 | 1,067,169 | |||||||||||
Shareholder reporting expense | 73,084 | 11,283 | 105,240 | |||||||||||
Registration fees | 116,573 | 76,702 | 130,601 | |||||||||||
Professional fees | 95,094 | 27,863 | 108,418 | |||||||||||
Custody and accounting expense | 126,265 | 29,270 | 248,720 | |||||||||||
Trustee fees | 33,502 | 5,117 | 32,015 | |||||||||||
Miscellaneous expense | 54,856 | 10,891 | 57,245 | |||||||||||
Interest expense | — | 289 | 591 | |||||||||||
Total expenses | 10,713,557 | 1,685,725 | 5,971,129 | |||||||||||
Net recouped and reimbursed fees | — | �� | 69,594 | — | ||||||||||
Net expenses | 10,713,557 | 1,755,319 | 5,971,129 | |||||||||||
Net investment income | 25,914,709 | 10,586,202 | 37,495,327 | |||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||
Net realized gain (loss) on: | ||||||||||||||
Investments | 17,019,815 | 4,156,554 | 27,838,804 | |||||||||||
Foreign currency related transactions | — | — | (2,289,719 | ) | ||||||||||
Futures | (4,782,790 | ) | — | (1,919,192 | ) | |||||||||
Swaps | — | (252,292 | ) | (5,983,947 | ) | |||||||||
Written options | — | — | 424,999 | |||||||||||
Net realized gain | 12,237,025 | 3,904,262 | 18,070,945 | |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||
Investments | (9,734,099 | ) | 7,731,898 | 13,687,532 | ||||||||||
Foreign currency related transactions | — | (491 | ) | 1,753,487 | ||||||||||
Futures | (2,422,421 | ) | — | (501,104 | ) | |||||||||
Swaps | — | — | 70,617 | |||||||||||
Written options | — | — | (126,078 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | (12,156,520 | ) | 7,731,407 | 14,884,454 | ||||||||||
Net realized and unrealized gain (loss) | 80,505 | 11,635,669 | 32,955,399 | |||||||||||
Increase in net assets resulting from operations | $ | 25,995,214 | $ | 22,221,871 | $ | 70,450,726 | ||||||||
_______________ | ||||||||||||||
*Foreign taxes withheld | $ | — | $ | — | $ | 8,904 |
ING Short Term Bond Fund | ING Strategic Income Fund | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
December 19, 2012(1) to March 31, 2013 | November 2, 2012(1) to March 31, 2013 | ||||||||||
INVESTMENT INCOME: | |||||||||||
Dividends | $ | 5,428 | $ | 107 | |||||||
Interest | 571,318 | 5,854 | |||||||||
Dividends from affiliated funds | — | 80,627 | |||||||||
Securities lending income, net | 786 | 28 | |||||||||
Total investment income | 577,532 | 86,616 | |||||||||
EXPENSES: | |||||||||||
Investment management fees | 150,305 | 11,194 | |||||||||
Distribution and shareholder service fees: | |||||||||||
Class A | 3 | 7 | |||||||||
Class C | 8 | 12 | |||||||||
Class R | — | 6 | |||||||||
Transfer agent fees: | |||||||||||
Class A | 15 | 7 | |||||||||
Class C | 13 | 2 | |||||||||
Class I | 9,702 | 525 | |||||||||
Class R | — | 3 | |||||||||
Class W | 13 | 3 | |||||||||
Administrative service fees | 42,944 | 2,035 | |||||||||
Shareholder reporting expense | 4,017 | 389 | |||||||||
Registration fees | 615 | 1,961 | |||||||||
Professional fees | 9,045 | 1,850 | |||||||||
Custody and accounting expense | 14,214 | 2,495 | |||||||||
Trustee fees | 4,566 | 149 | |||||||||
Offering expense | 26,808 | 46,314 | |||||||||
Miscellaneous expense | 618 | 774 | |||||||||
Interest expense | — | 28 | |||||||||
Total expenses | 262,886 | 67,754 | |||||||||
Net waived and reimbursed fees | (47,729 | ) | (59,959 | ) | |||||||
Net expenses | 215,157 | 7,795 | |||||||||
Net investment income | 362,375 | 78,821 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investments | (66,869 | ) | (2,775 | ) | |||||||
Capital gain distributions from affiliated underlying funds | — | 3,912 | |||||||||
Sale of investments in affiliates | — | (2,709 | ) | ||||||||
Foreign currency related transactions | — | (5,113 | ) | ||||||||
Futures | (78,381 | ) | (13,490 | ) | |||||||
Swaps | — | 2,606 | |||||||||
Net realized loss | (145,250 | ) | (17,569 | ) | |||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||
Investments | 312,968 | 10,779 | |||||||||
Affiliated underlying funds | — | 54,376 | |||||||||
Foreign currency related transactions | — | 21 | |||||||||
Futures | (127,870 | ) | (6,677 | ) | |||||||
Net change in unrealized appreciation (depreciation) | 185,098 | 58,499 | |||||||||
Net realized and unrealized gain | 39,848 | 40,930 | |||||||||
Increase in net assets resulting from operations | $ | 402,223 | $ | 119,751 | |||||||
_______________ | |||||||||||
(1) Commencement of operations. |
ING GNMA Income Fund | ING High Yield Bond Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended March 31, 2013 | Year Ended March 31, 2012 | Year Ended March 31, 2013 | Year Ended March 31, 2012 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 25,914,709 | $ | 21,391,070 | $ | 10,586,202 | $ | 9,156,921 | |||||||||||
Net realized gain | 12,237,025 | 16,370,451 | 3,904,262 | 5,584,078 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | (12,156,520 | ) | 16,566,755 | 7,731,407 | (3,642,594 | ) | |||||||||||||
Increase in net assets resulting from operations | 25,995,214 | 54,328,276 | 22,221,871 | 11,098,405 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class A | (23,010,585 | ) | (23,332,536 | ) | (5,326,187 | ) | (5,806,199 | ) | |||||||||||
Class B | (65,579 | ) | (205,679 | ) | (105,864 | ) | (202,844 | ) | |||||||||||
Class C | (4,115,191 | ) | (3,388,606 | ) | (734,434 | ) | (701,323 | ) | |||||||||||
Class I | (6,847,734 | ) | (3,755,417 | ) | (3,998,299 | ) | (2,484,636 | ) | |||||||||||
Class W | (738,038 | ) | (282,449 | ) | (367,493 | ) | (12,261 | ) | |||||||||||
Net realized gains: | |||||||||||||||||||
Class A | (4,310,906 | ) | (759,067 | ) | — | — | |||||||||||||
Class B | (11,887 | ) | (4,732 | ) | — | — | |||||||||||||
Class C | (1,082,266 | ) | (152,779 | ) | — | — | |||||||||||||
Class I | (1,334,154 | ) | (148,809 | ) | — | — | |||||||||||||
Class W | (166,281 | ) | (11,773 | ) | — | — | |||||||||||||
Return of capital: | |||||||||||||||||||
Class A | (1,805,731 | ) | — | — | — | ||||||||||||||
Class B | (3,973 | ) | — | — | — | ||||||||||||||
Class C | (452,559 | ) | — | — | — | ||||||||||||||
Class I | (538,978 | ) | — | — | — | ||||||||||||||
Class W | (92,836 | ) | — | — | — | ||||||||||||||
Total distributions | (44,576,698 | ) | (32,041,847 | ) | (10,532,277 | ) | (9,207,263 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 510,416,007 | 394,973,148 | 127,579,519 | 94,098,655 | |||||||||||||||
Reinvestment of distributions | 37,842,756 | 27,796,341 | 8,839,518 | 7,479,518 | |||||||||||||||
548,258,763 | 422,769,489 | 136,419,037 | 101,578,173 | ||||||||||||||||
Cost of shares redeemed | (360,081,641 | ) | (249,313,865 | ) | (70,226,450 | ) | (90,258,244 | ) | |||||||||||
Net increase in net assets resulting from capital share transactions | 188,177,122 | 173,455,624 | 66,192,587 | 11,319,929 | |||||||||||||||
Net increase in net assets | 169,595,638 | 195,742,053 | 77,882,181 | 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 | $ | 1,150,092,293 | $ | 980,496,655 | $ | 217,502,314 | $ | 139,620,133 | |||||||||||
Undistributed (distributions in excess of) net investment income at end of year or period | $ | (600,860 | ) | $ | (10,084 | ) | $ | 2,187 | $ | (79,880 | ) |
ING Intermediate Bond Fund | ING Short Term Bond Fund | ING Strategic Income Fund | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended March 31, 2013 | Year Ended March 31, 2012 | December 19, 2012(1) to March 31, 2013 | November 2, 2012(1) to March 31, 2013 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 37,495,327 | $ | 32,151,907 | $ | 362,375 | $ | 78,821 | |||||||||||
Net realized gain (loss) | 18,070,945 | 44,250,448 | (145,250 | ) | (17,569 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) | 14,884,454 | (12,020,751 | ) | 185,098 | 58,499 | ||||||||||||||
Increase in net assets resulting from operations | 70,450,726 | 64,381,604 | 402,223 | 119,751 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class A | (14,378,185 | ) | (13,736,906 | ) | (1 | ) | (71 | ) | |||||||||||
Class B | (101,943 | ) | (223,678 | ) | — | — | |||||||||||||
Class C | (1,407,172 | ) | (1,233,602 | ) | — | (15 | ) | ||||||||||||
Class I | (26,359,801 | ) | (15,356,199 | ) | (373,394 | ) | (32,871 | ) | |||||||||||
Class O | (2,009,481 | ) | (1,866,285 | ) | — | — | |||||||||||||
Class R | (592,357 | ) | (591,428 | ) | — | (17 | ) | ||||||||||||
Class W | (8,735,877 | ) | (2,854,338 | ) | (2 | ) | (20 | ) | |||||||||||
Total distributions | (53,584,816 | ) | (35,862,436 | ) | (373,397 | ) | (32,994 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 769,235,698 | 288,283,900 | 184,190,149 | 5,008,603 | |||||||||||||||
Reinvestment of distributions | 48,994,629 | 30,494,755 | 373,397 | 32,994 | |||||||||||||||
818,230,327 | 318,778,655 | 184,563,546 | 5,041,597 | ||||||||||||||||
Cost of shares redeemed | (509,838,878 | ) | (269,875,971 | ) | (6,929,131 | ) | (7,500 | ) | |||||||||||
Net increase in net assets resulting from capital share transactions | 308,391,449 | 48,902,684 | 177,634,415 | 5,034,097 | |||||||||||||||
Net increase in net assets | 325,257,359 | 77,421,852 | 177,663,241 | 5,120,854 | |||||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 826,939,001 | 749,517,149 | — | — | |||||||||||||||
End of year or period | $ | 1,152,196,360 | $ | 826,939,001 | $ | 177,663,241 | $ | 5,120,854 | |||||||||||
Undistributed net investment income at end of year or period | $ | 2,922,211 | $ | 20,559,366 | $ | 8,610 | $ | 46,124 |
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.09 | 0.22 | 0.00 | * | 0.22 | 0.29 | 0.05 | 0.02 | 0.36 | — | 8.95 | 2.51 | 0.90 | 0.90 | 0.90 | 2.38 | 727,058 | 352 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.04 | 0.14 | • | 0.01 | 0.15 | 0.22 | 0.05 | 0.02 | 0.29 | — | 8.90 | 1.74 | 1.65 | 1.65 | 1.65 | 1.59 | 1,430 | 352 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.04 | 0.16 | 0.00 | * | 0.16 | 0.23 | 0.05 | 0.02 | 0.30 | — | 8.90 | 1.78 | 1.65 | 1.65 | 1.65 | 1.63 | 177,823 | 352 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.10 | 0.25 | 0.00 | * | 0.25 | 0.32 | 0.05 | 0.02 | 0.39 | — | 8.96 | 2.79 | 0.63 | 0.63 | 0.63 | 2.64 | 206,100 | 352 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.11 | 0.25 | • | (0.01 | ) | 0.24 | 0.31 | 0.05 | 0.02 | 0.38 | — | 8.97 | 2.76 | 0.65 | 0.65 | 0.65 | 2.72 | 37,682 | 352 | |||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
ING High Yield Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 7.80 | 0.49 | 0.54 | 1.03 | 0.49 | — | — | 0.49 | — | 8.34 | 13.69 | 1.06 | 1.10 | 1.10 | 6.20 | 85,429 | 109 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 7.79 | 0.43 | 0.54 | 0.97 | 0.43 | — | — | 0.43 | — | 8.33 | 12.85 | 1.81 | 1.85 | 1.85 | 5.47 | 1,629 | 109 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 7.80 | 0.44 | 0.53 | 0.97 | 0.43 | — | — | 0.43 | — | 8.34 | 12.85 | 1.81 | 1.85 | 1.85 | 5.43 | 14,354 | 109 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 |
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 I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 7.80 | 0.52 | • | 0.53 | 1.05 | 0.52 | — | — | 0.52 | — | 8.33 | 13.98 | 0.71 | 0.75 | 0.75 | 6.40 | 101,387 | 109 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 7.81 | 0.51 | • | 0.55 | 1.06 | 0.52 | — | — | 0.52 | — | 8.35 | 14.11 | 0.81 | 0.85 | 0.85 | 6.30 | 14,703 | 109 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.90 | 0.34 | 0.33 | 0.67 | 0.48 | — | — | 0.48 | — | 10.09 | 6.83 | 0.70 | 0.70 | 0.70 | 3.38 | 301,544 | 490 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.88 | 0.27 | • | 0.32 | 0.59 | 0.40 | — | — | 0.40 | — | 10.07 | 6.02 | 1.45 | 1.45 | 1.45 | 2.63 | 1,928 | 490 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.89 | 0.27 | 0.31 | 0.58 | 0.40 | — | — | 0.40 | — | 10.07 | 5.93 | 1.45 | 1.45 | 1.45 | 2.63 | 35,308 | 490 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.90 | 0.37 | • | 0.32 | 0.69 | 0.51 | — | — | 0.51 | — | 10.08 | 7.04 | 0.42 | 0.42 | 0.42 | 3.64 | 531,681 | 490 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class O | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.90 | 0.34 | • | 0.33 | 0.67 | 0.48 | — | — | 0.48 | — | 10.09 | 6.83 | 0.70 | 0.70 | 0.70 | 3.38 | 41,596 | 490 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.91 | 0.30 | 0.35 | 0.65 | 0.46 | — | — | 0.46 | — | 10.10 | 6.57 | 0.95 | 0.95 | 0.95 | 3.14 | 14,401 | 490 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 |
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 W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 9.89 | 0.37 | • | 0.32 | 0.69 | 0.51 | — | — | 0.51 | — | 10.07 | 7.04 | 0.45 | 0.45 | 0.45 | 3.64 | 225,738 | 490 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
ING Short Term Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-19-12(4)–03-31-13 | 10.00 | 0.02 | (0.01 | ) | 0.01 | 0.00 | * | — | — | 0.00 | * | — | 10.01 | 0.13 | 2.39 | 0.80 | 0.80 | 0.63 | 4 | 85 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-19-12(4)–03-31-13 | 10.00 | (0.01 | ) | 0.00 | * | (0.01 | ) | — | — | — | — | — | 9.99 | (0.10 | ) | 3.14 | 1.55 | 1.55 | (0.39 | ) | 3 | 85 | ||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-19-12(4)–03-31-13 | 10.00 | 0.02 | 0.00 | * | 0.02 | 0.02 | — | — | 0.02 | — | 10.00 | 0.22 | 0.61 | 0.50 | 0.50 | 0.84 | 177,653 | 85 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-19-12(4)–03-31-13 | 10.00 | 0.02 | 0.00 | * | 0.02 | 0.01 | — | — | 0.01 | — | 10.01 | 0.17 | 2.14 | 0.55 | 0.55 | 0.59 | 3 | 85 | ||||||||||||||||||||||||||||||||||||||||||||||||||
ING Strategic Income Fund(5) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11-02-12(4)–03-31-13 | 10.00 | 0.12 | 0.10 | 0.22 | 0.06 | — | — | 0.06 | — | 10.16 | 2.21 | 3.78 | 0.83 | 0.83 | 3.26 | 4 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11-02-12(4)–03-31-13 | 10.00 | 0.11 | 0.08 | 0.19 | 0.05 | — | — | 0.05 | — | 10.14 | 1.91 | 4.53 | 1.58 | 1.58 | 2.69 | 3 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11-02-12(4)–03-31-13 | 10.00 | 0.16 | 0.08 | 0.24 | 0.07 | — | — | 0.07 | — | 10.17 | 2.36 | 3.33 | 0.38 | 0.38 | 3.87 | 5,107 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11-02-12(4)–03-31-13 | 10.00 | 0.13 | �� | 0.08 | 0.21 | 0.06 | — | — | 0.06 | — | 10.15 | 2.08 | 4.03 | 1.08 | 1.08 | 3.20 | 3 | 193 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11-02-12(4)–03-31-13 | 10.00 | 0.15 | 0.09 | 0.24 | 0.07 | — | — | 0.07 | — | 10.17 | 2.36 | 3.53 | 0.58 | 0.58 | 3.68 | 3 | 193 |
(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. | |
(5) | Expense ratios do not include expenses of underlying funds. | |
• | Calculated using average number of shares outstanding throughout the period. | |
* | Amount is less than $0.005 or 0.005% or more than $(0.005) or (0.005)%. | |
† | Impact of waiving the advisory fee for the ING Institutional Prime Money Market Fund holding has less than 0.005% impact on the expense ratio and net investment income or loss ratio. |
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.
that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The end of period timing recognition is used for the transfers between Levels of a Portfolio’s assets and liabilities. A reconciliation of Level 3 investments is presented when a Portfolio has a significant amount of Level 3 investments.
(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. |
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.
Purchased | Sold | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | $ | — | $ | 152,811,929 | ||||||
Intermediate Bond | 142,987,347 | 139,889,755 | ||||||||
Short Term Bond | 48,614,155 | 35,189,431 | ||||||||
Strategic Income | 1,528,519 | 665,234 |
securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Funds are required to segregate liquid assets with the Funds’ custodian sufficient to cover the purchase price.
may enter into credit default, interest rate, total return and currency swaps to manage its exposure to credit, currency and interest rate risk. All outstanding swap agreements are reported following each Fund’s Summary Portfolio of Investments.
the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting fair values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
twelve month period on a straight-line basis starting at the commencement of operations.
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
High Yield Bond | $ | 239,524,055 | $ | 177,480,300 | ||||||
Intermediate Bond | 1,312,038,097 | 1,065,149,877 | ||||||||
Short Term Bond | 153,797,305 | 11,168,780 | ||||||||
Strategic Income | 4,671,380 | 372,831 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | $ | 4,273,845,453 | $ | 4,018,745,687 | ||||||
Intermediate Bond | 4,687,035,663 | 4,542,667,974 | ||||||||
Short Term Bond | 127,898,415 | 98,305,989 | ||||||||
Strategic Income | 12,018,265 | 10,619,249 |
Portfolio | Fee | |||||
---|---|---|---|---|---|---|
GNMA Income | 0.47% on first $1 billion, 0.40% on next $4 billion and 0.35% on assets thereafter | |||||
High Yield Bond | 0.51% on first $500 million, 0.45% on next $4.5 billion and 0.40% on assets thereafter | |||||
Intermediate Bond | 0.17% on all assets | |||||
Short Term Bond | 0.35% on all assets | |||||
Strategic Income | 0.55% on all assets |
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 | % | ||||||||||||
Short Term Bond | 0.25 | % | N/A | 1.00 | % | N/A | N/A | |||||||||||||||
Strategic Income | 0.25 | % | N/A | 1.00 | % | N/A | 0.50 | % |
Class A | Class C | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Initial Sales Charges: | ||||||||||
GNMA Income | $ | 114,861 | $ | — | ||||||
High Yield Bond | 7,736 | — | ||||||||
Intermediate Bond | 11,793 | — | ||||||||
Short Term Bond | 32 | — | ||||||||
Contingent Deferred Sales Charges: | ||||||||||
GNMA Income | $ | — | $ | 12,743 | ||||||
High Yield Bond | — | 62 | ||||||||
Intermediate Bond | 57 | 1,547 |
Affiliated Investment Company/Subsidiary | Fund | Percentage | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
ING Capital Allocation Fund | High Yield Bond | 7.17 | % | |||||||
ING Investment Management Company LLC | Strategic Income | 99.98 | ||||||||
ING Life Insurance and Annuity Company | GNMA Income | 13.39 | ||||||||
Intermediate Bond | 12.08 | |||||||||
ING National Trust | GNMA Income | 18.97 | ||||||||
Intermediate Bond | 6.01 | |||||||||
ING Solution 2015 Portfolio | Short Term Bond | 29.33 | ||||||||
ING Solution 2025 Portfolio | Short Term Bond | 43.41 | ||||||||
ING Solution 2035 Portfolio | Short Term Bond | 12.60 | ||||||||
ING Solution Income Portfolio | Short Term Bond | 9.55 |
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 | % | ||||||||||||||||
Short Term Bond | 0.80 | % | N/A | 1.55 | % | 0.50 | % | N/A | N/A | 0.55 | % | |||||||||||||||||||
Strategic Income(1) | 1.15 | % | N/A | 1.90 | % | 0.70 | % | N/A | 1.40 | % | 0.90 | % |
(1) | For Strategic Income, the total expense limits include the expenses of the underlying investment companies. |
March 31, | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2014 | 2015 | 2016 | Total | ||||||||||||||||
High Yield Bond | $ | 37,645 | $ | 60,446 | $ | — | $ | 98,091 | |||||||||||
Short Term Bond | — | — | 47,690 | $ | 47,690 | ||||||||||||||
Strategic Income | — | — | 59,959 | $ | 59,959 |
March 31, | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2014 | 2015 | 2016 | Total | ||||||||||||||||
Short Term Bond | |||||||||||||||||||
Class A | $ | — | $ | — | $ | 15 | $ | 15 | |||||||||||
Class C | — | — | 12 | 12 | |||||||||||||||
Class W | — | — | 12 | 12 |
Fund | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
High Yield Bond | 3 | $ | 1,053,333 | 1.24 | % | |||||||||
Intermediate Bond | 12 | 1,078,750 | 1.18 |
Number of Contracts | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/12 | — | $ | — | |||||||
Options Purchased | 144,846,000 | 2,292,429 | ||||||||
Options Terminated in Closing Sell Transactions | (144,846,000 | ) | (2,292,429 | ) | ||||||
Options Exercised | — | — | ||||||||
Options Expired | — | — | ||||||||
Balance at 03/31/13 | — | $ | — |
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 03/31/13 | — | $ | — |
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 03/31/13 | — | $ | — |
Number of Contracts | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/11 | — | $ | — | |||||||
Options Written | 13,378,000 | 211,908 | ||||||||
Options Terminated in Closing Purchase Transactions | (13,378,000 | ) | (211,908 | ) | ||||||
Options Exercised | — | — | ||||||||
Options Expired | — | — | ||||||||
Balance at 03/31/12 | — | $ | — |
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 03/31/13 | — | $ | — |
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 03/31/13 | — | $ | — |
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 | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 22,959,772 | — | 2,837,748 | (19,599,235 | ) | 6,198,285 | 208,072,027 | — | 25,671,309 | (177,126,083 | ) | 56,617,253 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 25,425 | — | 6,944 | (278,591 | ) | (246,222 | ) | 229,886 | — | 62,571 | (2,508,867 | ) | (2,216,410 | ) | |||||||||||||||||||||||||||||
3/31/2012 | 37,213 | — | 18,726 | (930,578 | ) | (874,639 | ) | 335,404 | — | 167,427 | (8,308,133 | ) | (7,805,302 | ) | |||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 9,382,483 | — | 494,973 | (5,222,493 | ) | 4,654,963 | 84,658,284 | — | 4,454,436 | (46,855,597 | ) | 42,257,123 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 19,790,108 | — | 744,668 | (13,437,362 | ) | 7,097,414 | 179,723,273 | — | 6,742,644 | (121,416,870 | ) | 65,049,047 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 4,163,234 | — | 100,761 | (1,347,304 | ) | 2,916,691 | 37,732,537 | — | 911,796 | (12,174,224 | ) | 26,470,109 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 1,426,177 | — | 496,119 | (4,257,912 | ) | (2,335,616 | ) | 11,372,823 | — | 3,976,452 | (33,552,864 | ) | (18,203,589 | ) | |||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 5,451 | — | 10,383 | (124,353 | ) | (108,519 | ) | 43,302 | — | 82,909 | (992,362 | ) | (866,151 | ) | |||||||||||||||||||||||||||||
3/31/2012 | 30,242 | — | 20,536 | (625,689 | ) | (574,911 | ) | 230,699 | — | 157,258 | (4,827,850 | ) | (4,439,893 | ) | |||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 403,184 | — | 60,098 | (373,763 | ) | 89,519 | 3,216,529 | — | 482,121 | (2,997,927 | ) | 700,723 | |||||||||||||||||||||||||||||||
3/31/2012 | 407,936 | — | 64,710 | (368,990 | ) | 103,656 | 3,142,134 | — | 494,993 | (2,823,460 | ) | 813,667 | |||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 12,418,089 | — | 485,962 | (3,920,879 | ) | 8,983,172 | 99,058,217 | — | 3,932,628 | (31,146,456 | ) | 71,844,389 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 1,707,521 | — | 44,886 | (189,755 | ) | 1,562,652 | 13,888,648 | — | 365,408 | (1,536,841 | ) | 12,717,215 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 7,409,016 | — | 1,303,815 | (8,442,786 | ) | 270,045 | 75,028,898 | — | 13,205,170 | (85,475,570 | ) | 2,758,498 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 23,765 | — | 7,646 | (259,286 | ) | (227,875 | ) | 238,948 | — | 77,277 | (2,617,099 | ) | (2,300,874 | ) | |||||||||||||||||||||||||||||
3/31/2012 | 54,776 | — | 17,362 | (638,746 | ) | (566,608 | ) | 531,835 | — | 168,218 | (6,191,473 | ) | (5,491,420 | ) | |||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 696,411 | — | 101,527 | (859,123 | ) | (61,185 | ) | 7,030,444 | — | 1,027,082 | (8,669,714 | ) | (612,188 | ) | |||||||||||||||||||||||||||||
3/31/2012 | 853,505 | — | 88,646 | (947,245 | ) | (5,094 | ) | 8,317,392 | — | 860,583 | (9,202,857 | ) | (24,882 | ) | |||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 52,410,027 | — | 2,495,937 | (35,658,823 | ) | 19,247,141 | 530,735,888 | — | 25,284,291 | (363,409,365 | ) | 192,610,814 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 418,771 | — | 17,369 | (605,495 | ) | (169,355 | ) | 4,237,328 | — | 175,920 | (6,116,470 | ) | (1,703,222 | ) | |||||||||||||||||||||||||||||
3/31/2012 | 476,284 | — | 17,313 | (536,344 | ) | (42,747 | ) | 4,640,739 | — | 168,443 | (5,228,316 | ) | (419,134 | ) | |||||||||||||||||||||||||||||
Class R | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 608,527 | — | 58,426 | (484,072 | ) | 182,881 | 6,171,243 | — | 592,356 | (4,919,449 | ) | 1,844,150 | |||||||||||||||||||||||||||||||
3/31/2012 | 608,390 | — | 60,759 | (928,354 | ) | (259,205 | ) | 5,915,026 | — | 591,378 | (9,011,314 | ) | (2,504,910 | ) | |||||||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||||||||||
3/31/2013 | 14,469,111 | — | 853,287 | (3,837,998 | ) | 11,484,400 | 145,792,949 | — | 8,632,533 | (38,631,211 | ) | 115,794,271 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||
Short Term Bond | |||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
12/19/2012(1)–3/31/2013 | 689 | — | — | * | (308 | ) | 381 | 6,888 | — | 1 | (3,083 | ) | 3,806 | ||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
12/19/2012(1)–3/31/2013 | 301 | — | — | — | �� | 301 | 3,010 | — | — | — | 3,010 | ||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12/19/2012(1)–3/31/2013 | 18,416,606 | — | 37,320 | (692,108 | ) | 17,761,818 | 184,177,241 | — | 373,394 | (6,926,048 | ) | 177,624,587 | |||||||||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||||||||||
12/19/2012(1)–3/31/2013 | 301 | — | — | * | — | 301 | 3,010 | — | 2 | — | 3,012 | ||||||||||||||||||||||||||||||||
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 | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||
Strategic Income | |||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
11/2/2012(1)–3/31/2013 | 1,154 | — | 7 | (738 | ) | 423 | 11,544 | — | 71 | (7,500 | ) | 4,115 | |||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
11/2/2012(1)–3/31/2013 | 301 | — | 2 | — | 303 | 3,010 | — | 15 | — | 3,025 | |||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
11/2/2012(1)–3/31/2013 | 498,801 | — | 3,248 | — | 502,049 | 4,988,029 | — | 32,871 | — | 5,020,900 | |||||||||||||||||||||||||||||||||
Class R | |||||||||||||||||||||||||||||||||||||||||||
11/2/2012(1)-3/31/2013 | 301 | — | 2 | — | 303 | 3,010 | — | 17 | — | 3,027 | |||||||||||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||||||||||
11/2/2012(1)–3/31/2013 | 301 | — | 2 | — | 303 | 3,010 | — | 20 | — | 3,030 | |||||||||||||||||||||||||||||||||
(1) | Commencement of operations. | |
* | Share amount is less than 0.500 |
Fund | Security | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Intermediate Bond | Belize Government International Bond, 8.500%, due 02/20/29 | $ | 231,989 | |||||||
Greater Ohio Ethanol, LLC, 6.301%, due 12/31/13 | — | |||||||||
Ivory Coast Government International Bond, 5.750%, due 02/31/32 | 1,161,895 |
Paid-in Capital | Undistributed Net Investment Income | Accumulated Net Realized Gains/(Losses) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | $ | — | $ | 8,271,642 | $ | (8,271,642 | ) | |||||||
High Yield Bond | — | 28,142 | (28,142 | ) | ||||||||||
Intermediate Bond | — | (1,547,666 | ) | 1,547,666 | ||||||||||
Short Term Bond | (3,609 | ) | 19,632 | (16,023 | ) | |||||||||
Strategic Income | (451 | ) | 297 | 154 |
Year Ended March 31, 2013 | Year Ended March 31, 2012 | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Long-term Capital Gain | Return of Capital | Ordinary Income | Long-term Capital Gain | |||||||||||||||||||
GNMA Income | $ | 39,541,176 | $ | 2,141,445 | $ | 2,894,077 | $ | 30,964,687 | $ | 1,077,160 | |||||||||||||
High Yield Bond | 10,532,277 | — | — | 9,207,263 | — | ||||||||||||||||||
Intermediate Bond | 53,584,816 | — | — | 35,862,436 | — | ||||||||||||||||||
Short Term Bond | 373,397 | — | — | — | — | ||||||||||||||||||
Strategic Income | 32,994 | — | — | — | — |
Undistributed Ordinary Income | Post-October Capital Losses Deferred | Unrealized Appreciation/ (Depreciation) | Short-term Capital Loss Carryforwards | Expiration | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | $ | — | $ | (3,222,493 | ) | $ | 33,815,590 | $ | — | — | ||||||||||||
High Yield Bond | 124,405 | — | 12,464,980 | (13,191,904 | ) | 2015 | ||||||||||||||||
(9,006,267 | ) | 2017 | ||||||||||||||||||||
(14,980,165 | ) | 2018 | ||||||||||||||||||||
$ | (37,178,336 | ) | ||||||||||||||||||||
Intermediate Bond | 1,733,196 | — | 29,873,932 | (129,620,820 | ) | 2018 | ||||||||||||||||
Short Term Bond | 8,712 | (282,040 | ) | 305,865 | — | — | ||||||||||||||||
Strategic Income | 46,129 | (23,982 | ) | 65,066 | — | — |
Fund | Value of Securities Loaned | Cash Collateral Received | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Intermediate Bond | $ | 9,081,246 | $ | 9,320,770 | ||||||
Short Term Bond | 1,187,674 | 1,226,857 |
Per Share Amount | Payable Date | Record Date | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | ||||||||||||
Class A | $ | 0.0247 | April 2, 2013 | March 28, 2013 | ||||||||
Class B | $ | 0.0184 | April 2, 2013 | March 28, 2013 | ||||||||
Class C | $ | 0.0185 | April 2, 2013 | March 28, 2013 | ||||||||
Class I | $ | 0.0268 | April 2, 2013 | March 28, 2013 | ||||||||
Class W | $ | 0.0268 | April 2, 2013 | March 28, 2013 | ||||||||
Class A | $ | 0.0247 | May 2, 2013 | April 30, 2013 | ||||||||
Class B | $ | 0.0191 | May 2, 2013 | April 30, 2013 | ||||||||
Class C | $ | 0.0191 | May 2, 2013 | April 30, 2013 | ||||||||
Class I | $ | 0.0266 | May 2, 2013 | April 30, 2013 | ||||||||
Class W | $ | 0.0265 | May 2, 2013 | April 30, 2013 | ||||||||
High Yield Bond | ||||||||||||
Class A | $ | 0.0384 | May 1, 2013 | Daily | ||||||||
Class B | $ | 0.0332 | May 1, 2013 | Daily | ||||||||
Class C | $ | 0.0332 | May 1, 2013 | Daily | ||||||||
Class I | $ | 0.0405 | May 1, 2013 | Daily | ||||||||
Class W | $ | 0.0404 | May 1, 2013 | Daily |
Per Share Amount | Payable Date | Record Date | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Intermediate Bond | ||||||||||||
Class A | $ | 0.0228 | May 1, 2013 | Daily | ||||||||
Class B | $ | 0.0165 | May 1, 2013 | Daily | ||||||||
Class C | $ | 0.0165 | May 1, 2013 | Daily | ||||||||
Class I | $ | 0.0255 | May 1, 2013 | Daily | ||||||||
Class O | $ | 0.0228 | May 1, 2013 | Daily | ||||||||
Class R | $ | 0.0208 | May 1, 2013 | Daily | ||||||||
Class W | $ | 0.0250 | May 1, 2013 | Daily | ||||||||
Short Term Bond | ||||||||||||
Class A | $ | — | May 1, 2013 | Daily | ||||||||
Class C | $ | — | May 1, 2013 | Daily | ||||||||
Class I | $ | 0.0107 | May 1, 2013 | Daily | ||||||||
Class W | $ | — | May 1, 2013 | Daily |
ING GNMA INCOME FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.1% | |||||||||||||||||||
970,116 | Vendee Mortgage Trust, 3.750%, 10/15/41 | $ | 1,052,898 | 0.1 | |||||||||||||||
Total Collateralized Mortgage Obligations (Cost $1,035,519) | 1,052,898 | 0.1 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 107.8% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 3.3%## | |||||||||||||||||||
18,311,789 | ˆ | 0.500%, due 07/15/36 | 405,793 | 0.0 | |||||||||||||||
5,528,904 | ˆ | 4.500%, due 12/15/40 | 1,044,435 | 0.1 | |||||||||||||||
1,987,584 | ˆ | 5.500%, due 09/15/35 | 372,150 | 0.0 | |||||||||||||||
3,818,554 | ˆ | 5.897%, due 06/15/40 | 390,948 | 0.0 | |||||||||||||||
10,482,586 | 6.000%, due 04/15/36 | 12,145,181 | 1.1 | ||||||||||||||||
890,095 | ˆ | 7.750%, due 10/25/23 | 191,923 | 0.0 | |||||||||||||||
4,712,157 | 27.787%, due 04/15/32 | 6,420,110 | 0.6 | ||||||||||||||||
14,694,204 | 5.000%–21.229%, due 11/01/14–05/01/38 | 17,049,160 | 1.5 | ||||||||||||||||
38,019,700 | 3.3 | ||||||||||||||||||
Federal National Mortgage Association: 10.8%## | |||||||||||||||||||
5,045,119 | 3.500%, due 06/25/41 | 5,256,714 | 0.5 | ||||||||||||||||
11,500,000 | W | 4.000%, due 12/15/39 | 12,512,090 | 1.1 | |||||||||||||||
9,137,989 | ˆ | 4.000%, due 05/25/42 | 1,766,110 | 0.1 | |||||||||||||||
21,500,000 | 4.000%, due 03/15/43 | 23,472,793 | 2.0 | ||||||||||||||||
14,053,651 | 4.500%, due 09/01/41 | 15,174,577 | 1.3 | ||||||||||||||||
25,071,936 | 4.500%, due 09/01/41 | 27,071,685 | 2.4 | ||||||||||||||||
15,002,104 | 4.593%, due 11/25/33 | 16,288,286 | 1.4 | ||||||||||||||||
4,715,985 | 16.365%, due 05/25/35 | 6,140,446 | 0.5 | ||||||||||||||||
14,943,947 | 3.500%–8.500%, due 06/01/14–12/25/45 | 16,976,898 | 1.5 | ||||||||||||||||
124,659,599 | 10.8 | ||||||||||||||||||
Government National Mortgage Association: 93.7% | |||||||||||||||||||
4,575,620 | ˆ | 0.209%, due 02/16/48 | 98,779 | 0.0 | |||||||||||||||
50,076,283 | ˆ | 0.250%, due 06/20/36 | 334,920 | 0.0 | |||||||||||||||
13,214,908 | 0.352%, due 09/20/59 | 13,175,918 | 1.1 | ||||||||||||||||
16,636,939 | 0.593%, due 07/20/41 | 16,737,385 | 1.5 | ||||||||||||||||
13,383,683 | 0.603%, due 07/20/41 | 13,472,109 | 1.2 | ||||||||||||||||
11,013,529 | 0.723%, due 04/20/40 | 11,142,635 | 1.0 | ||||||||||||||||
51,383,575 | ˆ | 0.802%, due 01/16/50 | 1,829,173 | 0.2 | |||||||||||||||
4,768,525 | 0.853%, due 04/20/40 | 4,848,691 | 0.4 | ||||||||||||||||
17,786,682 | 0.853%, due 06/20/40 | 17,806,630 | 1.6 | ||||||||||||||||
13,914,161 | 0.903%, due 01/16/40 | 14,145,707 | 1.2 | ||||||||||||||||
86,353,363 | ˆ | 0.917%, due 01/16/51 | 3,690,915 | 0.3 | |||||||||||||||
1,778,501 | ˆ | 1.000%, due 06/16/37 | 51,650 | 0.0 | |||||||||||||||
12,935,041 | 1.243%, due 03/20/39 | 13,205,952 | 1.1 | ||||||||||||||||
18,290,494 | ˆ | 2.427%, due 10/16/52 | 1,671,848 | 0.1 | |||||||||||||||
7,260,815 | 3.000%, due 03/20/43 | 7,240,394 | 0.6 | ||||||||||||||||
122,000,000 | 3.000%, due 05/01/43 | 127,127,806 | 11.1 | ||||||||||||||||
64,844,086 | 3.500%, due 02/20/43 | 69,437,887 | 6.0 | ||||||||||||||||
113,900,000 | W | 3.500%, due 05/15/43 | 122,175,547 | 10.6 | |||||||||||||||
6,067,090 | ˆ | 4.000%, due 04/20/38 | 745,983 | 0.1 | |||||||||||||||
3,038,615 | ˆ | 4.000%, due 08/20/39 | 912,741 | 0.1 | |||||||||||||||
5,146,430 | ˆ | 4.000%, due 04/20/41 | 1,016,749 | 0.1 | |||||||||||||||
13,998,558 | 4.000%, due 07/20/41 | 15,408,068 | 1.3 | ||||||||||||||||
15,900,000 | 4.000%, due 10/20/41 | 17,204,918 | 1.5 | ||||||||||||||||
2,639,908 | ˆ | 4.000%, due 03/20/42 | 482,933 | 0.0 | |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Government National Mortgage Association: (continued) | |||||||||||||||||||
32,938,109 | 4.000%, due 09/20/42 | $ | 35,659,878 | 3.1 | |||||||||||||||
4,772,953 | 4.000%, due 10/20/42 | 5,167,356 | 0.5 | ||||||||||||||||
10,657,071 | 4.000%, due 11/20/42 | 11,537,695 | 1.0 | ||||||||||||||||
9,952,415 | 4.000%, due 02/20/43 | 10,774,810 | 0.9 | ||||||||||||||||
13,600,619 | ˆ | 4.500%, due 08/20/33 | 502,535 | 0.0 | |||||||||||||||
2,218,583 | ˆ | 4.500%, due 02/20/35 | 111,747 | 0.0 | |||||||||||||||
1,829,251 | ˆ | 4.500%, due 02/20/36 | 114,065 | 0.0 | |||||||||||||||
626,662 | ˆ | 4.500%, due 12/20/37 | 75,928 | 0.0 | |||||||||||||||
3,786,644 | ˆ | 4.500%, due 02/20/38 | 158,022 | 0.0 | |||||||||||||||
3,619,644 | ˆ | 4.500%, due 04/20/39 | 651,054 | 0.1 | |||||||||||||||
4,761,000 | 4.500%, due 05/20/39 | 5,464,402 | 0.5 | ||||||||||||||||
9,752,309 | 4.500%, due 02/15/40 | 10,703,463 | 0.9 | ||||||||||||||||
4,877,941 | ˆ | 4.500%, due 06/16/41 | 939,861 | 0.1 | |||||||||||||||
6,378,004 | 4.500%, due 09/20/41 | 7,057,126 | 0.6 | ||||||||||||||||
21,680,074 | ˆ | 4.500%, due 12/16/42 | 4,430,150 | 0.4 | |||||||||||||||
8,306,673 | 4.500%, due 01/20/43 | 9,191,073 | 0.8 | ||||||||||||||||
11,874,014 | 4.660%, due 09/20/61 | 13,836,385 | 1.2 | ||||||||||||||||
4,471,859 | 4.861%, due 06/20/61 | 5,054,734 | 0.4 | ||||||||||||||||
5,176,527 | 5.000%, due 04/20/30 | 5,573,017 | 0.5 | ||||||||||||||||
5,022,267 | 5.000%, due 10/20/34 | 5,942,901 | 0.5 | ||||||||||||||||
12,749,591 | ˆ | 5.000%, due 05/20/35 | 591,522 | 0.1 | |||||||||||||||
911,371 | ˆ | 5.000%, due 09/16/35 | 62,809 | 0.0 | |||||||||||||||
5,835,951 | ˆ | 5.000%, due 01/20/38 | 940,133 | 0.1 | |||||||||||||||
2,952,848 | ˆ | 5.000%, due 07/16/39 | 517,553 | 0.0 | |||||||||||||||
11,534,330 | ˆ | 5.000%, due 03/20/40 | 2,098,494 | 0.2 | |||||||||||||||
37,217,537 | 5.000%, due 05/20/40 | 43,714,993 | 3.8 | ||||||||||||||||
1,582,264 | ˆ | 5.000%, due 05/20/41 | 333,855 | 0.0 | |||||||||||||||
4,863,719 | 5.000%, due 07/20/41 | 5,375,960 | 0.5 | ||||||||||||||||
8,100,000 | 5.250%, due 01/20/38 | 9,441,834 | 0.8 | ||||||||||||||||
6,274,756 | 5.360%, due 02/20/38 | 7,101,903 | 0.6 | ||||||||||||||||
13,914,443 | 5.473%, due 01/20/60 | 15,825,049 | 1.4 | ||||||||||||||||
18,569,154 | ˆ | 5.477%, due 04/20/40 | 2,983,963 | 0.3 | |||||||||||||||
940,042 | ˆ | 5.500%, due 11/20/33 | 27,339 | 0.0 | |||||||||||||||
4,293,247 | 5.500%, due 03/16/34 | 5,181,801 | 0.5 | ||||||||||||||||
9,711,430 | 5.500%, due 12/16/35 | 11,737,079 | 1.0 | ||||||||||||||||
4,038,399 | 5.500%, due 10/20/37 | 4,671,991 | 0.4 | ||||||||||||||||
5,619,046 | 5.500%, due 11/20/37 | 6,447,130 | 0.6 | ||||||||||||||||
13,468,039 | 5.500%, due 01/15/39 | 15,648,991 | 1.4 | ||||||||||||||||
1,233,270 | ˆ | 5.500%, due 09/16/40 | 202,509 | 0.0 | |||||||||||||||
10,800,000 | 5.750%, due 07/20/38 | 12,039,845 | 1.0 | ||||||||||||||||
13,745,276 | ˆ | 5.797%, due 12/20/40 | 2,751,362 | 0.2 | |||||||||||||||
6,953,486 | ˆ | 5.847%, due 12/20/40 | 1,248,741 | 0.1 | |||||||||||||||
8,071,003 | ˆ | 5.897%, due 05/20/32 | 928,165 | 0.1 | |||||||||||||||
5,745,036 | ˆ | 5.947%, due 09/16/39 | 784,945 | 0.1 | |||||||||||||||
5,425,519 | 5.950%, due 02/15/44 | 5,814,540 | 0.5 | ||||||||||||||||
1,560,262 | ˆ | 6.000%, due 01/20/34 | 338,506 | 0.0 | |||||||||||||||
4,789,016 | 6.000%, due 07/20/34 | 5,379,741 | 0.5 | ||||||||||||||||
7,589,000 | 6.000%, due 07/20/37 | 9,013,615 | 0.8 | ||||||||||||||||
2,123,551 | ˆ | 6.000%, due 01/16/40 | 993,614 | 0.1 | |||||||||||||||
29,150,302 | ˆ | 6.147%, due 04/16/39 | 3,983,637 | 0.3 | |||||||||||||||
10,434,365 | ˆ | 6.297%, due 09/20/37 | 1,485,787 | 0.1 | |||||||||||||||
5,390,956 | ˆ | 6.297%, due 05/16/38 | 868,503 | 0.1 | |||||||||||||||
12,800,138 | ˆ | 6.297%, due 09/20/38 | 1,748,048 | 0.2 | |||||||||||||||
5,435,332 | 6.419%, due 04/20/37 | 6,200,534 | 0.5 | ||||||||||||||||
4,342,027 | ˆ | 6.567%, due 02/16/35 | 887,570 | 0.1 | |||||||||||||||
3,770,163 | ˆ | 7.297%, due 05/16/31 | 791,903 | 0.1 | |||||||||||||||
2,067,976 | ˆ | 7.397%, due 10/16/29 | 443,730 | 0.0 | |||||||||||||||
5,862,013 | ˆ | 7.500%, due 04/16/37 | 1,817,422 | 0.2 |
ING GNMA INCOME FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Government National Mortgage Association: (continued) | |||||||||||||||||||
2,365,222 | ˆ | 7.797%, due 05/16/32 | $ | 578,830 | 0.1 | ||||||||||||||
249,070,588 | 1.123%–24.555%, due 05/15/16–07/20/62 | 278,569,496 | 24.2 | ||||||||||||||||
44,706,144 | ˆ | 0.583%, due 11/16/46 | 1,222,463 | 0.1 | |||||||||||||||
1,077,707,445 | 93.7 | ||||||||||||||||||
Total U.S. Government Agency Obligations (Cost $1,205,998,309) | 1,240,386,744 | 107.8 | |||||||||||||||||
Total Long-Term Investments (Cost $1,207,033,828) | 1,241,439,642 | 107.9 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 7.0% | |||||||||||||||||||
U.S. Treasury Bills: 7.0% | |||||||||||||||||||
80,000,000 | United States Treasury Bill, 0.070%, 04/18/13 (Cost $79,996,730) | 79,996,730 | 7.0 | ||||||||||||||||
Total Short-Term Investments (Cost $79,996,730) | 79,996,730 | 7.0 | |||||||||||||||||
Total Investments in Securities (Cost $1,287,030,558) | $ | 1,321,436,372 | 114.9 | ||||||||||||||||
Liabilities in Excess of Other Assets | (171,344,079 | ) | (14.9 | ) | |||||||||||||||
Net Assets | $ | 1,150,092,293 | 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 $1,287,620,782. | |||||||
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 37,778,243 | |||||
Gross Unrealized Depreciation | (3,962,653 | ) | |||||
Net Unrealized Appreciation | $ | 33,815,590 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 3/31/2013 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 1,052,898 | $ | — | $ | 1,052,898 | ||||||||||
Short-Term Investments | — | 79,996,730 | — | 79,996,730 | ||||||||||||||
U.S. Government Agency Obligations | — | 1,240,386,744 | — | 1,240,386,744 | ||||||||||||||
Total Investments, at fair value | $ | — | $ | 1,321,436,372 | $ | — | $ | 1,321,436,372 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (591,914 | ) | $ | — | $ | — | $ | (591,914 | ) | ||||||||
Total Liabilities | $ | (591,914 | ) | $ | — | $ | — | $ | (591,914 | ) |
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. |
ING GNMA INCOME FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | (936 | ) | 06/19/13 | $ | (123,537,380 | ) | $ | (384,901 | ) | |||||||||
U.S. Treasury 5-Year Note | (204 | ) | 06/28/13 | (25,307,157 | ) | (32,191 | ) | |||||||||||
U.S. Treasury Long Bond | (398 | ) | 06/19/13 | (57,498,562 | ) | (174,822 | ) | |||||||||||
$ | (206,343,099 | ) | $ | (591,914 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Liability Derivatives | ||||||||||
Interest rate contracts | Net Assets — Unrealized depreciation* | $ | 591,914 | |||||||
Total Liability Derivatives | $ | 591,914 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Interest rate contracts | $ | (4,782,790 | ) | |||
Total | $ | (4,782,790 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Interest rate contracts | $ | (2,422,421 | ) | |||
Total | $ | (2,422,421 | ) |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 94.6% | |||||||||||||||||||
Consumer Discretionary: 20.7% | |||||||||||||||||||
195,000 | # | Affinia Group, Inc., 10.750%, 08/15/16 | $ | 212,062 | 0.1 | ||||||||||||||
585,000 | # | Affinity Gaming, LLC/Affinity Gaming Finance Corp., 9.000%, 05/15/18 | 627,412 | 0.3 | |||||||||||||||
950,000 | AMC Entertainment, Inc., 9.750%, 12/01/20 | 1,100,812 | 0.5 | ||||||||||||||||
34,781 | # | American Media, Inc., 13.500%, 06/15/18 | 28,694 | 0.0 | |||||||||||||||
750,000 | Asbury Automotive Group, Inc., 8.375%, 11/15/20 | 843,750 | 0.4 | ||||||||||||||||
1,000,000 | # | Ashton Woods USA LLC, 6.875%, 02/15/21 | 1,017,500 | 0.5 | |||||||||||||||
665,000 | # | Block Communications, Inc., 7.250%, 02/01/20 | 726,512 | 0.3 | |||||||||||||||
310,000 | # | Boyd Gaming Corp., 9.000%, 07/01/20 | 323,950 | 0.1 | |||||||||||||||
500,000 | # | Bresnan Broadband Holdings, LLC, 8.000%, 12/15/18 | 547,500 | 0.3 | |||||||||||||||
970,000 | Cablevision Systems Corp., 7.750%, 04/15/18 | 1,092,462 | 0.5 | ||||||||||||||||
1,000,000 | Caesars Entertainment Operating Co., Inc., 8.500%, 02/15/20 | 990,625 | 0.5 | ||||||||||||||||
535,000 | # | Carlson Wagonlit BV, 6.875%, 06/15/19 | 560,413 | 0.3 | |||||||||||||||
250,000 | # | CCO Holdings, LLC/ CCO Holdings Capital Corp., 5.250%, 03/15/21 | 249,687 | 0.1 | |||||||||||||||
1,110,000 | CCO Holdings, LLC/ CCO Holdings Capital Corp., 6.500%–7.250%, 10/30/17–04/30/21 | 1,188,000 | 0.6 | ||||||||||||||||
750,000 | # | CDR DB Sub, Inc., 7.750%, 10/15/20 | 774,375 | 0.4 | |||||||||||||||
500,000 | # | Cequel Communications Holdings I, LLC/Cequel Capital Corp., 6.375%, 09/15/20 | 521,250 | 0.2 | |||||||||||||||
500,000 | # | Ceridian Corp., 11.000%, 03/15/21 | 538,750 | 0.2 | |||||||||||||||
450,000 | Chrysler Group, LLC/CG Co-Issuer, Inc., 8.000%, 06/15/19 | 495,563 | 0.2 | ||||||||||||||||
530,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 03/15/20 | 555,837 | 0.3 | ||||||||||||||||
105,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 03/15/20 | 109,069 | 0.0 | ||||||||||||||||
730,000 | # | Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/22 | 773,800 | 0.4 | |||||||||||||||
270,000 | # | Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/22 | 282,825 | 0.1 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer Discretionary: (continued) | |||||||||||||||||||
500,000 | # | Coinstar, Inc., 6.000%, 03/15/19 | $ | 512,500 | 0.2 | ||||||||||||||
960,000 | Cumulus Media Holdings, Inc., 7.750%, 05/01/19 | 991,200 | 0.5 | ||||||||||||||||
800,000 | DISH DBS Corp., 5.875%, 07/15/22 | 843,000 | 0.4 | ||||||||||||||||
480,000 | DISH DBS Corp., 7.875%, 09/01/19 | 571,200 | 0.2 | ||||||||||||||||
750,000 | # | Griffey Intermediate, Inc./Griffey Finance Sub, LLC, 7.000%, 10/15/20 | 768,750 | 0.4 | |||||||||||||||
825,000 | # | Harron Communications L.P./Harron Finance Corp., 9.125%, 04/01/20 | 919,875 | 0.4 | |||||||||||||||
500,000 | # | Jaguar Holding Co. II/ Jaguar Merger Sub, Inc., 9.500%, 12/01/19 | 576,250 | 0.3 | |||||||||||||||
400,000 | # | K Hovnanian Enterprises, Inc., 7.250%, 10/15/20 | 445,000 | 0.2 | |||||||||||||||
400,000 | # | K Hovnanian Enterprises, Inc., 9.125%, 11/15/20 | 447,500 | 0.2 | |||||||||||||||
1,000,000 | KB Home, 5.875%–6.250%, 01/15/15–06/15/15 | 1,073,750 | 0.5 | ||||||||||||||||
650,000 | # | LIN Television Corp., 6.375%, 01/15/21 | 695,500 | 0.3 | |||||||||||||||
250,000 | # | Mediacom Broadband, LLC / Mediacom Broadband Corp., 6.375%, 04/01/23 | 260,625 | 0.1 | |||||||||||||||
500,000 | MGM Mirage, 7.500%, 06/01/16 | 556,250 | 0.2 | ||||||||||||||||
1,000,000 | MGM Resorts International, 7.750%, 03/15/22 | 1,115,000 | 0.5 | ||||||||||||||||
500,000 | MGM Resorts International, 8.625%, 02/01/19 | 585,000 | 0.3 | ||||||||||||||||
500,000 | # | NCL Corp. Ltd., 5.000%, 02/15/18 | 511,875 | 0.2 | |||||||||||||||
750,000 | #, & | New Academy Finance Co., LLC / New Academy Finance Corp., 8.000%, 06/15/18 | 780,000 | 0.4 | |||||||||||||||
650,000 | # | Nielsen Finance, LLC/ Nielsen Finance Co., 4.500%, 10/01/20 | 652,438 | 0.3 | |||||||||||||||
500,000 | #, & | Nord Anglia Education, Inc., 8.500%, 02/15/18 | 505,000 | 0.2 | |||||||||||||||
625,000 | # | PC Merger Sub, Inc., 8.875%, 08/01/20 | 689,063 | 0.3 | |||||||||||||||
400,000 | # | Penske Automotive Group, Inc., 5.750%, 10/01/22 | 419,000 | 0.2 |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer Discretionary: (continued) | |||||||||||||||||||
650,000 | #, & | Petco Holdings, Inc., 8.500%, 10/15/17 | $ | 673,563 | 0.3 | ||||||||||||||
1,000,000 | # | Shearer’s Foods, LLC/ Chip Fin Corp., 9.000%, 11/01/19 | 1,100,000 | 0.5 | |||||||||||||||
850,000 | Standard Pacific Corp., 8.375%, 01/15/21 | 1,010,438 | 0.5 | ||||||||||||||||
750,000 | # | Viking Cruises Ltd., 8.500%, 10/15/22 | 828,750 | 0.4 | |||||||||||||||
750,000 | # | Wolverine Healthcare Analytics, 10.625%, 06/01/20 | 858,750 | 0.4 | |||||||||||||||
725,000 | # | Wolverine World Wide, Inc., 6.125%, 10/15/20 | 773,031 | 0.4 | |||||||||||||||
790,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 875,913 | 0.4 | |||||||||||||||
10,930,533 | Other Securities | 11,408,015 | 5.2 | ||||||||||||||||
45,008,084 | 20.7 | ||||||||||||||||||
Consumer Staples: 8.3% | |||||||||||||||||||
750,000 | # | Albea Beauty Holdings SA, 8.375%, 11/01/19 | 802,500 | 0.4 | |||||||||||||||
865,000 | # | American Rock Salt Co., LLC/American Rock Capital Corp., 8.250%, 05/01/18 | 826,075 | 0.4 | |||||||||||||||
1,000,000 | # | ARAMARK Corp., 5.750%, 03/15/20 | 1,027,500 | 0.5 | |||||||||||||||
750,000 | # | Chiquita Brands International, Inc./LLC, 7.875%, 02/01/21 | 788,437 | 0.4 | |||||||||||||||
500,000 | # | FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 02/01/20 | 556,250 | 0.2 | |||||||||||||||
1,000,000 | # | Hawk Acquisition Sub, Inc., 4.250%, 10/15/20 | 1,002,500 | 0.5 | |||||||||||||||
450,000 | # | JBS USA, LLC/JBS USA Finance, Inc., 7.250%, 06/01/21 | 473,625 | 0.2 | |||||||||||||||
750,000 | #, & | Michael Foods Holding, Inc., 8.500%, 07/15/18 | 776,250 | 0.3 | |||||||||||||||
545,000 | # | Neff Rental, LLC/Neff Finance Corp., 9.625%, 05/15/16 | 581,788 | 0.3 | |||||||||||||||
1,000,000 | # | Revlon Consumer Products Corp., 5.750%, 02/15/21 | 1,007,500 | 0.5 | |||||||||||||||
1,000,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu, 8.250%–9.875%, 08/15/19–02/15/21 | 1,066,250 | 0.5 | ||||||||||||||||
240,000 | # | Rite Aid Corp., 6.875%, 12/15/28 | 213,600 | 0.1 | |||||||||||||||
750,000 | # | RSI Home Products, Inc., 6.875%, 03/01/18 | 765,000 | 0.3 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer Staples: (continued) | |||||||||||||||||||
500,000 | # | Spectrum Brands Escrow Corp., 6.375%, 11/15/20 | $ | 538,125 | 0.2 | ||||||||||||||
500,000 | # | Sun Products Corp./ The, 7.750%, 03/15/21 | 506,250 | 0.2 | |||||||||||||||
750,000 | # | US Foodservice, 8.500%, 06/30/19 | 799,688 | 0.4 | |||||||||||||||
1,000,000 | # | Wells Enterprises, Inc., 6.750%, 02/01/20 | 1,057,500 | 0.5 | |||||||||||||||
4,860,000 | Other Securities | 5,281,348 | 2.4 | ||||||||||||||||
18,070,186 | 8.3 | ||||||||||||||||||
Energy: 15.1% | |||||||||||||||||||
500,000 | # | Atlas Pipeline Partners L.P./Atlas Pipeline Finance Corp., 5.875%, 08/01/23 | 500,000 | 0.2 | |||||||||||||||
295,000 | # | Atlas Pipeline Partners L.P./Atlas Pipeline Finance Corp., 6.625%, 10/01/20 | 309,012 | 0.2 | |||||||||||||||
750,000 | # | Aurora USA Oil & Gas, Inc., 7.500%, 04/01/20 | 759,375 | 0.4 | |||||||||||||||
325,000 | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.375%, 05/01/19 | 365,625 | 0.2 | ||||||||||||||||
175,000 | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.375%, 05/01/19 | 196,875 | 0.1 | ||||||||||||||||
400,000 | # | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.625%, 08/01/20 | 453,000 | 0.2 | |||||||||||||||
825,000 | Chesapeake Energy Corp., 6.125%, 02/15/21 | 881,719 | 0.4 | ||||||||||||||||
750,000 | # | EPL Oil & Gas, Inc., 8.250%, 02/15/18 | 798,750 | 0.4 | |||||||||||||||
750,000 | # | Foresight Energy, LLC/ Foresight Energy Corp., 9.625%, 08/15/17 | 815,625 | 0.4 | |||||||||||||||
1,000,000 | # | Genesis Energy L.P./ Genesis Energy Finance Corp., 5.750%, 02/15/21 | 1,034,375 | 0.5 | |||||||||||||||
1,250,000 | # | Halcon Resources Corp., 8.875%, 05/15/21 | 1,353,125 | 0.6 | |||||||||||||||
875,000 | # | Hilcorp Energy I L.P./Hilcorp Finance Co., 8.000%, 02/15/20 | 964,687 | 0.4 | |||||||||||||||
750,000 | # | Kodiak Oil & Gas Corp., 5.500%, 01/15/21 | 786,563 | 0.4 | |||||||||||||||
500,000 | # | Legacy Reserves L.P./ Legacy Reserves Finance Corp., 8.000%, 12/01/20 | 520,000 | 0.2 | |||||||||||||||
525,000 | Linn Energy, LLC/Linn Energy Finance Corp., 7.750%, 02/01/21 | 565,688 | 0.3 |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
545,000 | # | Linn Energy, LLC/Linn Energy Finance Corp., 6.250%, 11/01/19 | $ | 559,987 | 0.2 | ||||||||||||||
625,000 | # | Midstates Petroleum Co., Inc./Midstates Petroleum Co., LLC, 10.750%, 10/01/20 | 696,875 | 0.3 | |||||||||||||||
925,000 | # | PetroBakken Energy Ltd., 8.625%, 02/01/20 | 948,125 | 0.4 | |||||||||||||||
950,000 | Plains Exploration & Production Co., 6.125%–6.625%, 06/15/19–05/01/21 | 1,046,000 | 0.5 | ||||||||||||||||
1,105,000 | # | Resolute Energy Corp., 8.500%, 05/01/20 | 1,149,200 | 0.5 | |||||||||||||||
1,000,000 | # | Rex Energy Corp., 8.875%, 12/01/20 | 1,062,500 | 0.5 | |||||||||||||||
500,000 | # | SunCoke Energy Partners L.P./SunCoke Energy Partners Finance Corp., 7.375%, 02/01/20 | 528,750 | 0.2 | |||||||||||||||
500,000 | # | Talos Production LLC/ Talos Production Finance, Inc., 9.750%, 02/15/18 | 497,500 | 0.2 | |||||||||||||||
800,000 | Vanguard Natural Resources, LLC, 7.875%, 04/01/20 | 862,000 | 0.4 | ||||||||||||||||
1,000,000 | # | Western Refining, Inc., 6.250%, 04/01/21 | 1,023,750 | 0.5 | |||||||||||||||
13,229,000 | Other Securities | 14,169,435 | 6.5 | ||||||||||||||||
32,848,541 | 15.1 | ||||||||||||||||||
Financials: 7.9% | |||||||||||||||||||
735,000 | Ally Financial, Inc., 8.000%, 03/15/20 | 916,912 | 0.4 | ||||||||||||||||
1,455,000 | Ally Financial, Inc., 3.125%–8.300%, 02/12/15–09/15/20 | 1,624,689 | 0.8 | ||||||||||||||||
750,000 | #, & | Alphabet Holding Co., Inc., 7.750%, 11/01/17 | 783,750 | 0.4 | |||||||||||||||
750,000 | # | Ashtead Capital, Inc., 6.500%, 07/15/22 | 818,438 | 0.4 | |||||||||||||||
200,000 | # | Boyd Acquisition Sub, LLC/Boyd Acquisition Finance Corp., 8.375%, 02/15/18 | 212,500 | 0.1 | |||||||||||||||
290,000 | # | CIT Group, Inc., 6.625%, 04/01/18 | 332,050 | 0.1 | |||||||||||||||
1,830,000 | CIT Group, Inc., 4.250%–5.375%, 05/15/17–08/15/22 | 1,966,277 | 0.9 | ||||||||||||||||
650,000 | # | CNG Holdings, Inc./OH, 9.375%, 05/15/20 | 641,063 | 0.3 | |||||||||||||||
400,000 | # | Felcor Lodging L.P., 5.625%, 03/01/23 | 408,500 | 0.2 | |||||||||||||||
500,000 | # | Geo Group, Inc./The, 5.125%, 04/01/23 | 506,250 | 0.2 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
1,495,000 | International Lease Finance Corp., 5.875%–8.250%, 05/15/19–08/15/22 | $ | 1,694,368 | 0.8 | |||||||||||||||
500,000 | # | Realogy Corp., 7.625%, 01/15/20 | 566,250 | 0.2 | |||||||||||||||
770,000 | # | Realogy Corp., 7.875%, 02/15/19 | 847,000 | 0.4 | |||||||||||||||
1,000,000 | # | RHP Hotel Properties L.P./RHP Finance Corp., 5.000%, 04/15/21 | 1,005,000 | 0.5 | |||||||||||||||
500,000 | # | Rivers Pittsburgh Borrower L.P./Rivers Pittsburgh Finance Corp., 9.500%, 06/15/19 | 548,750 | 0.2 | |||||||||||||||
750,000 | Shea Homes L.P./Shea Homes Funding Corp., 8.625%, 05/15/19 | 845,625 | 0.4 | ||||||||||||||||
500,000 | # | Tops Holding Corp./ Tops Markets, LLC, 8.875%, 12/15/17 | 551,250 | 0.2 | |||||||||||||||
2,834,000 | Other Securities | 2,960,734 | 1.4 | ||||||||||||||||
17,229,406 | 7.9 | ||||||||||||||||||
Health Care: 8.4% | |||||||||||||||||||
500,000 | # | Acadia Healthcare Co., Inc., 6.125%, 03/15/21 | 518,750 | 0.2 | |||||||||||||||
1,000,000 | # | Amsurg Corp., 5.625%, 11/30/20 | 1,057,500 | 0.5 | |||||||||||||||
475,000 | # | Biomet, Inc., 6.500%, 08/01/20 | 505,875 | 0.2 | |||||||||||||||
495,000 | #, & | CDRT Holding Corp., 9.250%, 10/01/17 | 516,037 | 0.2 | |||||||||||||||
1,040,000 | CHS/Community Health Systems, Inc., 5.125%–8.000%, 08/15/18–07/15/20 | 1,114,512 | 0.5 | ||||||||||||||||
1,405,000 | HCA Holdings, Inc., 7.750%, 05/15/21 | 1,568,331 | 0.7 | ||||||||||||||||
1,300,000 | HCA, Inc., 7.500%, 02/15/22 | 1,498,250 | 0.7 | ||||||||||||||||
465,000 | HCA, Inc., 7.250%–7.875%, 02/15/20–09/15/20 | 515,438 | 0.3 | ||||||||||||||||
750,000 | # | Physio-Control International, Inc., 9.875%, 01/15/19 | 849,375 | 0.4 | |||||||||||||||
280,000 | # | STHI Holding Corp., 8.000%, 03/15/18 | 307,300 | 0.1 | |||||||||||||||
875,000 | United Surgical Partners International, Inc., 9.000%, 04/01/20 | 995,313 | 0.5 | ||||||||||||||||
750,000 | # | Universal Hospital Services, Inc., 7.625%, 08/15/20 | 810,000 | 0.4 | |||||||||||||||
525,000 | # | Valeant Pharmaceuticals International, 6.750%, 08/15/21 | 561,750 | 0.3 |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Health Care: (continued) | |||||||||||||||||||
490,000 | # | VPI Escrow Corp., 6.375%, 10/15/20 | $ | 518,788 | 0.2 | ||||||||||||||
6,593,000 | Other Securities | 6,953,003 | 3.2 | ||||||||||||||||
18,290,222 | 8.4 | ||||||||||||||||||
Industrials: 8.5% | |||||||||||||||||||
700,000 | # | ADS Waste Holdings, Inc., 8.250%, 10/01/20 | 757,750 | 0.3 | |||||||||||||||
500,000 | # | Ainsworth Lumber Co. Ltd., 7.500%, 12/15/17 | 546,875 | 0.3 | |||||||||||||||
455,000 | # | Amsted Industries, Inc., 8.125%, 03/15/18 | 491,400 | 0.2 | |||||||||||||||
600,000 | # | Belden, Inc., 5.500%, 09/01/22 | 618,000 | 0.3 | |||||||||||||||
750,000 | #, & | BOE Merger Corp., 9.500%, 11/01/17 | 810,937 | 0.4 | |||||||||||||||
800,000 | Chrysler Group, LLC/CG Co-Issuer, Inc., 8.250%, 06/15/21 | 897,000 | 0.4 | ||||||||||||||||
500,000 | # | Cleaver-Brooks, Inc., 8.750%, 12/15/19 | 540,625 | 0.2 | |||||||||||||||
750,000 | # | Dematic SA / DH Services Luxembourg Sarl, 7.750%, 12/15/20 | 783,750 | 0.4 | |||||||||||||||
600,000 | # | H&E Equipment Services, Inc., 7.000%, 09/01/22 | 663,000 | 0.3 | |||||||||||||||
500,000 | HD Supply, Inc., 10.500%, 01/15/21 | 521,875 | 0.2 | ||||||||||||||||
500,000 | # | HD Supply, Inc., 7.500%, 07/15/20 | 527,500 | 0.3 | |||||||||||||||
500,000 | #, & | Isabelle Acquisition Sub, Inc., 10.000%, 11/15/18 | 556,250 | 0.3 | |||||||||||||||
880,000 | # | JM Huber Corp., 9.875%, 11/01/19 | 1,001,000 | 0.5 | |||||||||||||||
750,000 | # | Logo Merger Sub Corp., 8.375%, 10/15/20 | 780,000 | 0.4 | |||||||||||||||
285,000 | # | Mcron Finance Sub, LLC/Mcron Finance Corp., 8.375%, 05/15/19 | 316,350 | 0.1 | |||||||||||||||
500,000 | # | Milacron LLC/Mcron Finance Corp., 7.750%, 02/15/21 | 519,375 | 0.2 | |||||||||||||||
500,000 | # | Nortek, Inc., 8.500%, 04/15/21 | 556,250 | 0.3 | |||||||||||||||
250,000 | # | Sequa Corp., 7.000%, 12/15/17 | 254,375 | 0.1 | |||||||||||||||
500,000 | # | Silver II Borrower/Silver II US Holdings, LLC, 7.750%, 12/15/20 | 535,000 | 0.2 | |||||||||||||||
1,000,000 | # | Watco Cos LLC/Watco Finance Corp., 6.375%, 04/01/23 | 1,033,750 | 0.5 | |||||||||||||||
5,264,000 | Other Securities | 5,752,752 | 2.6 | ||||||||||||||||
18,463,814 | 8.5 | ||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Information Technology: 5.6% | |||||||||||||||||||
855,000 | Aspect Software, Inc., 10.625%, 05/15/17 | $ | 863,550 | 0.4 | |||||||||||||||
400,000 | # | Audatex North America, Inc., 6.750%, 06/15/18 | 431,000 | 0.2 | |||||||||||||||
500,000 | # | CyrusOne L.P./ CyrusOne Finance Corp., 6.375%, 11/15/22 | 526,250 | 0.2 | |||||||||||||||
17,000 | First Data Corp., 9.875%, 09/24/15 | 17,595 | 0.0 | ||||||||||||||||
800,000 | # | First Data Corp., 6.750%, 11/01/20 | 838,000 | 0.4 | |||||||||||||||
145,000 | # | First Data Corp., 8.250%, 01/15/21 | 151,525 | 0.1 | |||||||||||||||
146,000 | #, & | First Data Corp., 8.750%, 01/15/22 | 155,125 | 0.1 | |||||||||||||||
1,000,000 | # | First Data Corp., 10.625%, 06/15/21 | 1,016,250 | 0.4 | |||||||||||||||
750,000 | # | IMS Health, Inc., 6.000%, 11/01/20 | 783,750 | 0.4 | |||||||||||||||
855,000 | Infor US, Inc., 9.375%–11.500%, 07/15/18–04/01/19 | 994,256 | 0.5 | ||||||||||||||||
500,000 | # | Interface Security Systems Holdings, Inc./ Interface Security Systems LLC, 9.250%, 01/15/18 | 518,750 | 0.2 | |||||||||||||||
750,000 | # | NXP BV/NXP Funding LLC, 5.750%, 03/15/23 | 766,875 | 0.4 | |||||||||||||||
4,627,000 | Other Securities | 5,047,976 | 2.3 | ||||||||||||||||
12,110,902 | 5.6 | ||||||||||||||||||
Materials: 10.5% | |||||||||||||||||||
1,000,000 | ArcelorMittal, 6.000%, 03/01/21 | 1,053,612 | 0.5 | ||||||||||||||||
250,000 | # | Ardagh Packaging Finance Plc, 9.125%, 10/15/20 | 278,125 | 0.1 | |||||||||||||||
200,000 | # | Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.875%, 11/15/22 | 198,000 | 0.1 | |||||||||||||||
500,000 | # | Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.000%, 11/15/20 | 515,000 | 0.2 | |||||||||||||||
500,000 | # | BC Mountain LLC/BC Mountain Finance, Inc., 7.000%, 02/01/21 | 531,250 | 0.2 | |||||||||||||||
500,000 | # | Boise Cascade, LLC/Boise Cascade Finance Corp., 6.375%, 11/01/20 | 531,875 | 0.2 | |||||||||||||||
500,000 | # | Bombardier, Inc., 4.250%, 01/15/16 | 521,250 | 0.2 | |||||||||||||||
515,000 | # | Bombardier, Inc., 6.125%, 01/15/23 | 536,887 | 0.3 | |||||||||||||||
335,000 | # | Building Materials Corp. of America, 7.500%, 03/15/20 | 367,662 | 0.2 |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Materials: (continued) | |||||||||||||||||||
165,000 | # | Building Materials Corp. of America, 6.750%, 05/01/21 | $ | 180,675 | 0.1 | ||||||||||||||
500,000 | # | Consolidated Container Co., LLC/Consolidated Container Capital, Inc., 10.125%, 07/15/20 | 550,000 | 0.3 | |||||||||||||||
365,000 | # | Eagle Spinco, Inc., 4.625%, 02/15/21 | 372,756 | 0.2 | |||||||||||||||
500,000 | # | FMG Resources August 2006 Pty Ltd., 6.000%, 04/01/17 | 516,250 | 0.3 | |||||||||||||||
250,000 | # | FMG Resources August 2006 Pty Ltd., 6.875%, 04/01/22 | 262,812 | 0.1 | |||||||||||||||
750,000 | # | Gibraltar Industries, Inc., 6.250%, 02/01/21 | 798,750 | 0.4 | |||||||||||||||
250,000 | # | Huntsman International LLC, 4.875%, 11/15/20 | 252,813 | 0.1 | |||||||||||||||
500,000 | # | Ineos Group Holdings PLC, 8.500%, 02/15/16 | 510,000 | 0.2 | |||||||||||||||
500,000 | # | Inmet Mining Corp., 7.500%, 06/01/21 | 542,500 | 0.2 | |||||||||||||||
410,000 | # | Longview Fibre Paper & Packaging, Inc., 8.000%, 06/01/16 | 430,500 | 0.2 | |||||||||||||||
840,000 | LyondellBasell Industries NV, 6.000%, 11/15/21 | 999,600 | 0.5 | ||||||||||||||||
500,000 | # | New Gold, Inc., 7.000%, 04/15/20 | 540,000 | 0.2 | |||||||||||||||
500,000 | #, & | Orion Engineered Carbons Finance & Co. SCA, 9.250%, 08/01/19 | 507,500 | 0.2 | |||||||||||||||
290,000 | # | Plastipak Holdings, Inc., 10.625%, 08/15/19 | 333,500 | 0.2 | |||||||||||||||
200,000 | # | PolyOne Corp., 5.250%, 03/15/23 | 202,500 | 0.1 | |||||||||||||||
750,000 | # | PQ Corp., 8.750%, 05/01/18 | 802,500 | 0.4 | |||||||||||||||
500,000 | # | Prince Mineral Holding Corp., 11.500%, 12/15/19 | 561,250 | 0.3 | |||||||||||||||
307,000 | # | Rain CII Carbon, LLC and CII Carbon Corp., 8.000%, 12/01/18 | 326,188 | 0.2 | |||||||||||||||
500,000 | # | Rain CII Carbon, LLC/ CII Carbon Corp., 8.250%, 01/15/21 | 542,500 | 0.2 | |||||||||||||||
750,000 | # | Roofing Supply Group, LLC/Roofing Supply Finance, Inc., 10.000%, 06/01/20 | 851,250 | 0.4 | |||||||||||||||
250,000 | # | Sealed Air Corp., 5.250%, 04/01/23 | 251,563 | 0.1 | |||||||||||||||
100,000 | # | Steel Dynamics, Inc., 5.250%, 04/15/23 | 101,625 | 0.0 | |||||||||||||||
500,000 | #, & | Taminco Acquisition Corp., 9.125%, 12/15/17 | 507,500 | 0.2 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Materials: (continued) | |||||||||||||||||||
1,000,000 | Taseko Mines Ltd., 7.750%, 04/15/19 | $ | 1,012,500 | 0.5 | |||||||||||||||
500,000 | # | Unifrax I LLC/Unifrax Holding Co., 7.500%, 02/15/19 | 517,500 | 0.2 | |||||||||||||||
750,000 | # | US Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375%, 05/01/21 | 792,188 | 0.4 | |||||||||||||||
4,715,000 | Other Securities | 4,988,950 | 2.3 | ||||||||||||||||
22,789,331 | 10.5 | ||||||||||||||||||
Telecommunication Services: 7.3% | |||||||||||||||||||
1,000,000 | Frontier Communications Corp., 7.625%, 04/15/24 | 1,031,250 | 0.5 | ||||||||||||||||
200,000 | Frontier Communications Corp., 8.250%, 04/15/17 | 236,000 | 0.1 | ||||||||||||||||
250,000 | #, & | Intelsat Bermuda Ltd., 11.500%, 02/04/17 | 265,625 | 0.1 | |||||||||||||||
940,000 | Intelsat Jackson Holdings SA, 7.250%–7.500%, 10/15/20–04/01/21 | 1,042,950 | 0.5 | ||||||||||||||||
500,000 | # | Intelsat Luxembourg SA, 7.750%, 06/01/21 | 510,000 | 0.2 | |||||||||||||||
750,000 | # | Lynx II Corp., 6.375%, 04/15/23 | 789,375 | 0.4 | |||||||||||||||
630,000 | MetroPCS Wireless, Inc., 6.625%, 11/15/20 | 660,712 | 0.3 | ||||||||||||||||
780,000 | # | MetroPCS Wireless, Inc., 6.250%, 04/01/21 | 796,575 | 0.3 | |||||||||||||||
780,000 | # | MetroPCS Wireless, Inc., 6.625%, 04/01/23 | 798,525 | 0.4 | |||||||||||||||
500,000 | # | Sable International Finance Ltd., 8.750%, 02/01/20 | 567,500 | 0.3 | |||||||||||||||
1,400,000 | Sprint Capital Corp., 6.875%, 11/15/28 | 1,438,500 | 0.7 | ||||||||||||||||
500,000 | Sprint Nextel Corp., 6.000%, 11/15/22 | 516,250 | 0.2 | ||||||||||||||||
500,000 | # | Sprint Nextel Corp., 7.000%, 03/01/20 | 583,750 | 0.3 | |||||||||||||||
665,000 | # | Sprint Nextel Corp., 9.000%, 11/15/18 | 823,769 | 0.4 | |||||||||||||||
750,000 | # | Telesat Canada/Telesat, LLC, 6.000%, 05/15/17 | 787,500 | 0.4 | |||||||||||||||
500,000 | # | Wind Acquisition Finance S.A., 7.250%, 02/15/18 | 521,875 | 0.2 | |||||||||||||||
200,000 | # | Wind Acquisition Finance S.A., 7.250%, 02/15/18 | 209,250 | 0.1 | |||||||||||||||
500,000 | #, & | Wind Acquisition Holdings Finance SA, 12.250%, 07/15/17 | 521,875 | 0.2 | |||||||||||||||
3,657,399 | Other Securities | 3,775,577 | 1.7 | ||||||||||||||||
15,876,858 | 7.3 |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Utilities: 2.3% | |||||||||||||||||||
853,000 | # | Calpine Corp., 7.500%, 02/15/21 | $ | 940,432 | 0.4 | ||||||||||||||
410,000 | # | Calpine Corp., 7.875%, 07/31/20 | 451,000 | 0.2 | |||||||||||||||
500,000 | DPL, Inc., 6.500%, 10/15/16 | 530,000 | 0.2 | ||||||||||||||||
1,000,000 | DPL, Inc., 7.250%, 10/15/21 | 1,065,000 | 0.5 | ||||||||||||||||
480,000 | # | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/20 | 542,400 | 0.3 | |||||||||||||||
1,245,000 | Other Securities | 1,400,913 | 0.7 | ||||||||||||||||
4,929,745 | 2.3 | ||||||||||||||||||
Total Corporate Bonds/Notes (Cost $193,093,359) | 205,617,089 | 94.6 | |||||||||||||||||
ASSET-BACKED SECURITIES: 0.5% | |||||||||||||||||||
Other Asset-Backed Securities: 0.5% | |||||||||||||||||||
1,000,000 | # | Castle Garden Funding, 6.560%, 10/27/20 | 1,077,279 | 0.5 | |||||||||||||||
Total Asset-Backed Securities (Cost $997,500) | 1,077,279 | 0.5 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 0.0% | |||||||||||||||||||
Consumer Discretionary: 0.0% | |||||||||||||||||||
6,005 | Other Securities | 2,243 | 0.0 | ||||||||||||||||
Total Common Stock (Cost $136,656) | 2,243 | 0.0 | |||||||||||||||||
Total Long-Term Investments (Cost $194,227,515) | 206,696,611 | 95.1 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 4.5% | |||||||||||||||||||
Mutual Funds: 4.5% | |||||||||||||||||||
9,861,400 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $9,861,400) | $ | 9,861,400 | 4.5 | |||||||||||||||
Total Short-Term Investments (Cost $9,861,400) | 9,861,400 | 4.5 | |||||||||||||||||
Total Investments in Securities (Cost $204,088,915) | $ | 216,558,011 | 99.6 | ||||||||||||||||
Assets in Excess of Other Liabilities | 944,303 | 0.4 | |||||||||||||||||
Net Assets | $ | 217,502,314 | 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 $204,092,266. | |||||||
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 12,944,708 | |||||
Gross Unrealized Depreciation | (478,963 | ) | |||||
Net Unrealized Appreciation | $ | 12,465,745 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 3/31/2013 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | — | $ | — | $ | 2,243 | $ | 2,243 | ||||||||||
Total Common Stock | — | — | 2,243 | 2,243 | ||||||||||||||
Corporate Bonds/Notes | — | 205,617,089 | — | 205,617,089 | ||||||||||||||
Asset-Backed Securities | — | 1,077,279 | — | 1,077,279 | ||||||||||||||
Short-Term Investments | 9,861,400 | — | — | 9,861,400 | ||||||||||||||
Total Investments, at fair value | $ | 9,861,400 | $ | 206,694,368 | $ | 2,243 | $ | 216,558,011 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
ING HIGH YIELD BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Swaps | |||||
Credit contracts | $ | (252,292 | ) | |||
Total | $ | (252,292 | ) |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 27.4% | |||||||||||||||||||
Consumer Discretionary: 1.9% | |||||||||||||||||||
1,125,000 | # | Carlson Wagonlit BV, 6.875%, 06/15/19 | $ | 1,178,437 | 0.1 | ||||||||||||||
1,025,000 | # | CC Holdings GS V LLC, 2.381%, 12/15/17 | 1,033,228 | 0.1 | |||||||||||||||
4,384,000 | DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc., 2.400%–5.150%, 03/15/17–03/15/42 | 4,417,757 | 0.4 | ||||||||||||||||
2,271,000 | # | Hyatt Hotels Corp., 6.875%, 08/15/19 | 2,709,210 | 0.2 | |||||||||||||||
950,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 1,053,313 | 0.1 | |||||||||||||||
10,559,000 | Other Securities(a) | 11,293,916 | 1.0 | ||||||||||||||||
21,685,861 | 1.9 | ||||||||||||||||||
Consumer Staples: 0.8% | |||||||||||||||||||
1,420,000 | # | Hawk Acquisition Sub, Inc., 4.250%, 10/15/20 | 1,423,550 | 0.1 | |||||||||||||||
615,000 | # | JBS USA LLC/JBS USA Finance, Inc., 8.250%, 02/01/20 | 674,963 | 0.1 | |||||||||||||||
6,691,000 | Other Securities | 6,969,863 | 0.6 | ||||||||||||||||
9,068,376 | 0.8 | ||||||||||||||||||
Energy: 3.8% | |||||||||||||||||||
325,000 | # | Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 | 336,375 | 0.0 | |||||||||||||||
1,467,000 | # | Dolphin Energy Ltd., 5.500%, 12/15/21 | 1,699,886 | 0.1 | |||||||||||||||
1,070,000 | Energy Transfer Equity L.P., 7.500%, 10/15/20 | 1,238,525 | 0.1 | ||||||||||||||||
4,535,000 | Energy Transfer Partners L.P., 4.650%–9.700%, 03/15/19–06/01/41 | 5,264,423 | 0.5 | ||||||||||||||||
1,457,000 | Phillips 66, 2.950%, 05/01/17 | 1,546,198 | 0.1 | ||||||||||||||||
2,936,000 | Phillips 66, 4.300%, 04/01/22 | 3,231,282 | 0.3 | ||||||||||||||||
1,000,000 | # | Reliance Holdings USA, Inc., 5.400%, 02/14/22 | 1,117,411 | 0.1 | |||||||||||||||
1,000,000 | # | Sibur Securities Ltd., 3.914%, 01/31/18 | 987,500 | 0.1 | |||||||||||||||
600,000 | # | Thai Oil PCL, 3.625%, 01/23/23 | 606,676 | 0.1 | |||||||||||||||
3,670,000 | Transocean, Inc., 2.500%–3.800%, 10/15/17–10/15/22 | 3,693,756 | 0.3 | ||||||||||||||||
23,354,000 | Other Securities(a),(b) | 24,147,041 | 2.1 | ||||||||||||||||
43,869,073 | 3.8 | ||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: 11.7% | |||||||||||||||||||
3,027,000 | American International Group, Inc., 5.850%–8.175%, 01/16/18–05/15/58 | $ | 3,775,802 | 0.3 | |||||||||||||||
BRL 2,887,000 | # | Banco Votorantim SA, 6.250%, 05/16/16 | 1,669,312 | 0.1 | |||||||||||||||
4,544,000 | Bank of America Corp., 3.300%–8.000%, 01/24/22–12/29/49 | 4,858,683 | 0.4 | ||||||||||||||||
8,686,000 | Citigroup, Inc., 3.375%–5.950%, 06/15/16–12/29/49 | 9,271,030 | 0.8 | ||||||||||||||||
1,660,000 | # | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 11.000%, 12/29/49 | 2,234,076 | 0.2 | |||||||||||||||
1,172,000 | Discover Financial Services, 3.850%–6.450%, 06/12/17–11/21/22 | 1,260,737 | 0.1 | ||||||||||||||||
4,966,000 | General Electric Capital Corp., 3.150%–7.125%, 10/17/16–12/15/49 | 5,507,891 | 0.5 | ||||||||||||||||
5,917,000 | Goldman Sachs Group, Inc., 2.375%–6.750%, 01/22/18–10/01/37 | 6,325,443 | 0.6 | ||||||||||||||||
1,269,000 | # | HBOS PLC, 6.750%, 05/21/18 | 1,417,417 | 0.1 | |||||||||||||||
900,000 | # | Hyundai Capital America, 4.000%, 06/08/17 | 969,949 | 0.1 | |||||||||||||||
3,950,000 | #, L | ICICI Bank Ltd./Dubai, 4.700%, 02/21/18 | 4,180,802 | 0.4 | |||||||||||||||
1,037,000 | # | International Lease Finance Corp., 7.125%, 09/01/18 | 1,223,660 | 0.1 | |||||||||||||||
559,000 | # | IPIC GMTN Ltd., 3.750%, 03/01/17 | 600,925 | 0.0 | |||||||||||||||
800,000 | # | IPIC GMTN Ltd., 5.500%, 03/01/22 | 932,000 | 0.1 | |||||||||||||||
4,345,000 | JPMorgan Chase & Co., 3.250%, 09/23/22 | 4,350,253 | 0.4 | ||||||||||||||||
1,945,000 | JPMorgan Chase & Co., 4.500%–5.400%, 01/24/22–01/06/42 | 2,216,919 | 0.2 | ||||||||||||||||
1,267,000 | # | Metropolitan Life Global Funding I, 1.500%, 01/10/18 | 1,274,571 | 0.1 | |||||||||||||||
2,746,000 | Morgan Stanley, 4.750%, 03/22/17 | 3,032,767 | 0.3 | ||||||||||||||||
3,428,000 | Morgan Stanley, 3.750%–5.500%, 04/29/16–02/25/23 | 3,692,476 | 0.3 | ||||||||||||||||
1,186,000 | # | Pacific LifeCorp, 5.125%, 01/30/43 | 1,155,992 | 0.1 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
1,147,000 | # | RBS Citizens Financial Group, Inc., 4.150%, 09/28/22 | $ | 1,181,023 | 0.1 | ||||||||||||||
1,221,000 | # | Simon Property Group L.P., 1.500%, 02/01/18 | 1,218,717 | 0.1 | |||||||||||||||
4,076,000 | SLM Corp., 4.625%–8.000%, 01/25/17–01/25/23 | 4,340,947 | 0.4 | ||||||||||||||||
2,759,000 | # | Standard Chartered PLC, 3.950%, 01/11/23 | 2,755,317 | 0.2 | |||||||||||||||
2,000,000 | # | Turkiye Vakiflar Bankasi Tao, 6.000%, 11/01/22 | 2,060,000 | 0.2 | |||||||||||||||
3,355,000 | Wells Fargo & Co., 1.500%–3.450%, 01/16/18–02/13/23 | 3,371,962 | 0.3 | ||||||||||||||||
58,206,611 | Other Securities(a) | 59,977,687 | 5.2 | ||||||||||||||||
134,856,358 | 11.7 | ||||||||||||||||||
Health Care: 2.2% | |||||||||||||||||||
3,270,000 | Celgene Corp., 3.250%, 08/15/22 | 3,316,186 | 0.3 | ||||||||||||||||
915,000 | # | Valeant Pharmaceuticals International, 7.250%, 07/15/22 | 999,638 | 0.1 | |||||||||||||||
4,351,000 | WellPoint, Inc., 3.700%–4.625%, 08/15/21–05/15/42 | 4,499,872 | 0.4 | ||||||||||||||||
1,267,000 | # | Zoetis, Inc., 1.875%, 02/01/18 | 1,277,222 | 0.1 | |||||||||||||||
1,774,000 | # | Zoetis, Inc., 3.250%, 02/01/23 | 1,804,002 | 0.1 | |||||||||||||||
636,000 | # | Zoetis, Inc., 4.700%, 02/01/43 | 652,991 | 0.1 | |||||||||||||||
13,300,000 | Other Securities | 12,686,361 | 1.1 | ||||||||||||||||
25,236,272 | 2.2 | ||||||||||||||||||
Industrials: 0.9% | |||||||||||||||||||
1,700,000 | # | Hutchison Whampoa International 12 Ltd., 6.000%, 05/29/49 | 1,819,000 | 0.2 | |||||||||||||||
1,076,000 | # | Turlock Corp., 2.750%, 11/02/22 | 1,072,842 | 0.1 | |||||||||||||||
6,746,000 | Other Securities | 7,095,844 | 0.6 | ||||||||||||||||
9,987,686 | 0.9 | ||||||||||||||||||
Information Technology: 1.1% | |||||||||||||||||||
4,123,000 | L | Hewlett-Packard Co., 2.600%–5.400%, 09/15/16–09/15/17 | 4,298,450 | 0.4 | |||||||||||||||
7,930,000 | Other Securities | 8,222,933 | 0.7 | ||||||||||||||||
12,521,383 | 1.1 | ||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Materials: 1.9% | |||||||||||||||||||
2,564,000 | # | Anglo American Capital PLC, 2.625%, 09/27/17 | $ | 2,608,075 | 0.2 | ||||||||||||||
250,000 | # | Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.375%, 10/15/17 | 274,688 | 0.0 | |||||||||||||||
1,500,000 | # | EuroChem Mineral & Chemical Co. OJSC via EuroChem GI Ltd., 5.125%, 12/12/17 | 1,530,000 | 0.1 | |||||||||||||||
1,649,000 | # | Freeport-McMoRan Copper & Gold, Inc., 2.375%, 03/15/18 | 1,658,586 | 0.1 | |||||||||||||||
1,519,000 | # | Freeport-McMoRan Copper & Gold, Inc., 3.875%, 03/15/23 | 1,527,558 | 0.1 | |||||||||||||||
892,000 | # | Freeport-McMoRan Copper & Gold, Inc., 5.450%, 03/15/43 | 886,210 | 0.1 | |||||||||||||||
1,770,000 | # | Mexichem SAB de CV, 4.875%, 09/19/22 | 1,880,625 | 0.2 | |||||||||||||||
960,000 | # | Sealed Air Corp., 8.375%, 09/15/21 | 1,104,000 | 0.1 | |||||||||||||||
2,017,000 | # | Xstrata Finance Canada Ltd., 4.000%, 10/25/22 | 2,036,944 | 0.2 | |||||||||||||||
827,000 | # | Xstrata Finance Canada Ltd., 4.950%, 11/15/21 | 891,566 | 0.1 | |||||||||||||||
7,913,000 | Other Securities(a) | 7,999,777 | 0.7 | ||||||||||||||||
22,398,029 | 1.9 | ||||||||||||||||||
Telecommunication Services: 1.4% | |||||||||||||||||||
770,000 | # | Sable International Finance Ltd., 8.750%, 02/01/20 | 873,950 | 0.1 | |||||||||||||||
2,600,000 | # | Telefonica Chile SA, 3.875%, 10/12/22 | 2,567,230 | 0.2 | |||||||||||||||
4,455,000 | Verizon Communications, Inc., 1.950%, 03/28/14 | 4,519,700 | 0.4 | ||||||||||||||||
8,270,000 | Other Securities | 8,514,761 | 0.7 | ||||||||||||||||
16,475,641 | 1.4 | ||||||||||||||||||
Utilities: 1.7% | |||||||||||||||||||
600,000 | # | China Resources Gas Group Ltd, 4.500%, 04/05/22 | 653,502 | 0.0 | |||||||||||||||
612,000 | # | Duquesne Light Holdings, Inc., 5.900%, 12/01/21 | 737,389 | 0.1 | |||||||||||||||
1,249,000 | # | Duquesne Light Holdings, Inc., 6.400%, 09/15/20 | 1,521,753 | 0.1 | |||||||||||||||
873,000 | # | Empresa de Energia de Bogota SA, 6.125%, 11/10/21 | 977,760 | 0.1 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Utilities: (continued) | |||||||||||||||||||
314,000 | # | Iberdrola Finance Ireland Ltd., 3.800%, 09/11/14 | $ | 323,433 | 0.0 | ||||||||||||||
88,921 | # | Juniper Generation, LLC, 6.790%, 12/31/14 | 84,025 | 0.0 | |||||||||||||||
596,000 | # | Korea Gas Corp., 6.250%, 01/20/42 | 779,891 | 0.1 | |||||||||||||||
13,076,000 | Other Securities | 14,588,373 | 1.3 | ||||||||||||||||
19,666,126 | 1.7 | ||||||||||||||||||
Total Corporate Bonds/Notes (Cost $302,845,215) | 315,764,805 | 27.4 | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 17.1% | |||||||||||||||||||
1,039,000 | # | American General Mortgage Loan Trust, 5.650%, 03/25/58 | 1,099,181 | 0.1 | |||||||||||||||
900,000 | # | Arkle Master Issuer PLC, 1.990%, 05/17/60 | 924,468 | 0.1 | |||||||||||||||
2,730,197 | Banc of America Alternative Loan Trust 2007-2, 6.000%, 06/25/37 | 2,181,994 | 0.2 | ||||||||||||||||
2,523,359 | Banc of America Funding Corp., 5.500%, 02/25/35 | 2,596,126 | 0.2 | ||||||||||||||||
1,600,413 | # | Banc of America Funding Corp., 5.250%, 08/26/35 | 1,640,682 | 0.1 | |||||||||||||||
684,902 | # | Banc of America Large Loan, Inc., 1.603%, 06/15/18 | 679,495 | 0.1 | |||||||||||||||
1,900,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.188%, 09/10/47 | 2,059,099 | 0.2 | ||||||||||||||||
1,140,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.188%, 09/10/47 | 1,128,853 | 0.1 | ||||||||||||||||
1,030,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.188%, 09/10/47 | 1,083,086 | 0.1 | ||||||||||||||||
860,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.188%, 09/10/47 | 925,191 | 0.1 | ||||||||||||||||
480,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.303%, 03/11/41 | 463,849 | 0.1 | |||||||||||||||
860,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.339%, 07/10/43 | 905,915 | 0.1 | |||||||||||||||
319,819 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 6.850%, 11/15/31 | 322,073 | 0.0 | |||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
650,000 | # | Bank of America-First Union NB Commercial Mortgage, 6.250%, 04/11/37 | $ | 652,791 | 0.0 | ||||||||||||||
960,918 | # | Bank of America-First Union NB Commercial Mortgage, 6.907%, 04/11/37 | 968,058 | 0.1 | |||||||||||||||
1,170,000 | # | Bear Stearns Commercial Mortgage Securities, 5.581%, 04/12/38 | 1,237,626 | 0.1 | |||||||||||||||
240,000 | # | Bear Stearns Commercial Mortgage Securities, 5.640%, 02/14/31 | 239,567 | 0.0 | |||||||||||||||
65,979 | # | Bear Stearns Commercial Mortgage Securities, 6.500%, 02/15/32 | 65,907 | 0.0 | |||||||||||||||
7,700,777 | #, ˆ | Citigroup Commercial Mortgage Trust, 2.259%, 09/10/45 | 1,028,351 | 0.1 | |||||||||||||||
2,811,000 | # | Citigroup Mortgage Loan Trust 2010–7, 6.729%, 12/25/35 | 2,651,623 | 0.2 | |||||||||||||||
3,437,477 | Citicorp Mortgage Securities, Inc., 6.000%, 06/25/36–08/25/36 | 3,523,162 | 0.3 | ||||||||||||||||
4,033,051 | Citimortgage Alternative Loan Trust, 6.000%, 06/25/37 | 3,499,412 | 0.3 | ||||||||||||||||
8,600,424 | ˆ | COMM 2013–LC6 Mortgage Trust, 1.819%, 01/10/46 | 956,678 | 0.1 | |||||||||||||||
7,830,068 | ˆ | Commercial Mortgage Pass Through Certificates, 1.948%, 12/10/45 | 955,262 | 0.1 | |||||||||||||||
5,057,933 | ˆ | Commercial Mortgage Pass Through Certificates, 1.966%, 08/15/45 | 641,914 | 0.0 | |||||||||||||||
6,923,233 | ˆ | Commercial Mortgage Pass Through Certificates, 2.254%, 05/15/45 | 958,282 | 0.1 | |||||||||||||||
27,260,000 | #, ˆ | Commercial Mortgage Pass Through Certificates, 0.600%, 10/15/45 | 1,450,431 | 0.2 | |||||||||||||||
40,123 | Commercial Mortgage Pass Through Certificates, 5.800%, 12/10/49 | 40,076 | 0.0 | ||||||||||||||||
5,812,519 | Countrywide Alternative Loan Trust, 0.324%–5.500%, 12/25/35–06/25/36 | 4,578,876 | 0.4 | ||||||||||||||||
2,387,566 | Countrywide Home Loan Mortgage Pass-Through Trust, 0.524%–5.750%, 04/25/35–06/25/37 | 1,713,725 | 0.1 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
1,285,000 | # | Credit Suisse First Boston Mortgage Securities Corp., 5.575%, 04/12/49 | $ | 1,326,910 | 0.1 | ||||||||||||||
1,800,000 | # | Credit Suisse First Boston Mortgage Securities Corp., 7.309%, 12/15/35 | 1,860,858 | 0.2 | |||||||||||||||
760,894 | Credit Suisse First Boston Mortgage Securities Corp., 5.343%–7.490%, 08/15/36–12/15/39 | 793,806 | 0.0 | ||||||||||||||||
4,250,592 | First Horizon Alternative Mortgage Securities, 6.000%, 05/25/36 | 3,677,302 | 0.3 | ||||||||||||||||
1,986,920 | ˆ | First Horizon Alternative Mortgage Securities, 6.496%, 12/25/36 | 460,864 | 0.1 | |||||||||||||||
6,137,509 | First Horizon Alternative Mortgage Securities, 0.504%–6.250%, 12/25/36–02/25/37 | 4,845,913 | 0.4 | ||||||||||||||||
1,919,000 | # | First Union National Bank Com Mort Pas Thr Cert Ser 2001 C4, 6.000%, 12/12/33 | 1,941,235 | 0.2 | |||||||||||||||
649,731 | # | First Union National Bank Commercial Mortgage, 6.000%, 12/12/33 | 652,756 | 0.0 | |||||||||||||||
1,200,000 | # | Fosse Master PLC, 1.703%, 10/18/54 | 1,224,432 | 0.1 | |||||||||||||||
3,490,273 | Freddie Mac, 5.000%–5.500%, 02/15/35–07/15/37 | 3,926,303 | 0.3 | ||||||||||||||||
2,034,000 | # | GE Capital Commercial Mortgage Corp., 5.496%, 11/10/38 | 1,986,367 | 0.2 | |||||||||||||||
666,465 | # | Gracechurch Mortgage Financing PLC, 1.839%, 11/20/56 | 679,539 | 0.1 | |||||||||||||||
771,000 | GS Mort Sec Corp. II Commercial Mort Ps Thr Cert Ser 2004-GG2, 5.644%, 08/10/38 | 709,571 | 0.1 | ||||||||||||||||
8,822,210 | ˆ | GS Mortgage Securities Corp. II, 2.408%, 11/10/45 | 1,337,721 | 0.1 | |||||||||||||||
3,903,155 | GSR Mortgage Loan Trust, 0.704%–6.000%, 06/25/35–01/25/37 | 3,731,527 | 0.3 | ||||||||||||||||
2,900,000 | # | Holmes Master Issuer PLC, 1.854%, 10/21/54 | 2,949,033 | 0.3 | |||||||||||||||
942,117 | JP Morgan Alternative Loan Trust, 5.500%, 12/25/35 | 809,200 | 0.1 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
1,540,000 | # | JP Morgan Chase Com Mort Sec Corp. Ps Thr Certs Ser 2003–LN1, 5.553%, 10/15/37 | $ | 1,338,837 | 0.1 | ||||||||||||||
13,206,641 | ˆ | JP Morgan Chase Commercial Mortgage Securities Corp., 1.956%, 12/15/47 | 1,606,345 | 0.1 | |||||||||||||||
17,198,846 | ˆ | JP Morgan Chase Commercial Mortgage Securities Corp., 2.044%, 06/16/45 | 1,959,220 | 0.2 | |||||||||||||||
15,265,000 | #, ˆ | JP Morgan Chase Commercial Mortgage Securities Corp., 0.361%, 12/15/47 | 437,434 | 0.0 | |||||||||||||||
508,652 | JP Morgan Commercial Mortgage Finance Corp., 8.476%, 08/15/32 | 525,552 | 0.0 | ||||||||||||||||
1,192,165 | JP Morgan Mortgage Trust 2006–S4, 6.000%, 01/25/37 | 1,061,237 | 0.1 | ||||||||||||||||
1,001,321 | JP Morgan Mortgage Trust 2007–S2, 6.750%, 06/25/37 | 891,168 | 0.1 | ||||||||||||||||
4,095,997 | JP Morgan Mortgage Trust, 6.000%, 01/25/36 | 3,939,483 | 0.4 | ||||||||||||||||
3,953,707 | JP Morgan Mortgage Trust, 6.500%, 08/25/36 | 3,619,102 | 0.3 | ||||||||||||||||
100,640 | JPMorgan Chase Commercial Mortgage Securities Corp., 5.198%, 12/15/44 | 101,247 | 0.0 | ||||||||||||||||
1,259,494 | # | JPMorgan Chase Commercial Mortgage Securities Corp., 6.135%, 07/12/37 | 1,262,626 | 0.1 | |||||||||||||||
247,363 | JP Morgan Chase Commercial Mortgage Securities Corp., 4.903%, 10/15/42 | 247,266 | 0.0 | ||||||||||||||||
5,000,000 | # | Lanark Master Issuer PLC, 1.689%, 12/22/54 | 5,116,175 | 0.4 | |||||||||||||||
1,420,000 | # | LB Commercial Mortgage Trust 2007– C3, 5.864%, 07/15/44 | 1,642,871 | 0.1 | |||||||||||||||
830,000 | LB-UBS Commercial Mortgage Trust 2000– C4, 8.150%, 07/15/32 | 885,945 | 0.1 | ||||||||||||||||
53,905,001 | #, ˆ | LB-UBS Commercial Mortgage Trust, 0.638%, 11/15/38 | 1,148,786 | 0.1 | |||||||||||||||
1,632,000 | # | LB-UBS Commercial Mortgage Trust, 5.224%, 07/15/37 | 1,596,583 | 0.1 | |||||||||||||||
600,000 | # | LB-UBS Commercial Mortgage Trust, 5.231%, 10/15/36 | 604,635 | 0.0 | |||||||||||||||
700,000 | # | LB-UBS Commercial Mortgage Trust, 5.252%, 02/15/40 | 629,732 | 0.1 | |||||||||||||||
1,100,000 | # | LB-UBS Commercial Mortgage Trust, 5.531%, 10/15/36 | 843,018 | 0.1 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
1,830,000 | # | LB-UBS Commercial Mortgage Trust, 5.980%, 09/15/39 | $ | 1,812,343 | 0.2 | ||||||||||||||
1,760,000 | # | LB-UBS Commercial Mortgage Trust, 5.980%, 09/15/39 | 1,776,913 | 0.1 | |||||||||||||||
2,070,000 | # | LB-UBS Commercial Mortgage Trust, 6.890%, 07/15/32 | 1,962,017 | 0.2 | |||||||||||||||
2,010,000 | LB-UBS Commercial Mortgage Trust 2005– C3, 4.954%–5.013%, 07/15/40 | 1,802,191 | 0.1 | ||||||||||||||||
9,250,000 | LB-UBS Commercial Mortgage Trust, 4.895%–5.886%, 06/15/36–11/15/40 | 9,241,873 | 0.8 | ||||||||||||||||
11,504,975 | ˆ | Morgan Stanley Bank of America Merrill Lynch Trust, 1.530%, 12/15/48 | 961,127 | 0.1 | |||||||||||||||
13,946,607 | #, ˆ | Morgan Stanley Bank of America Merrill Lynch Trust, 1.931%, 08/15/45 | 1,551,517 | 0.1 | |||||||||||||||
10,315,535 | #, ˆ | Morgan Stanley Bank of America Merrill Lynch Trust, 2.190%, 11/15/45 | 1,301,853 | 0.1 | |||||||||||||||
410,000 | # | Morgan Stanley Capital I Trust 2004–HQ3, 5.079%, 01/13/41 | 410,941 | 0.1 | |||||||||||||||
420,000 | # | Morgan Stanley Capital I Trust 2004–HQ3, 5.079%, 01/13/41 | 403,407 | 0.0 | |||||||||||||||
1,320,000 | # | Morgan Stanley Capital I Trust 2007–TOP25, 5.614%, 11/12/49 | 842,791 | 0.1 | |||||||||||||||
1,460,000 | Morgan Stanley Capital I, Inc., 5.419%, 06/15/38 | 1,509,597 | 0.1 | ||||||||||||||||
250,000 | # | Morgan Stanley Capital I, Inc., 5.910%, 11/15/31 | 242,337 | 0.0 | |||||||||||||||
3,410,000 | Morgan Stanley Capital I, 5.172%, 08/13/42 | 3,465,377 | 0.3 | ||||||||||||||||
1,000,000 | # | Morgan Stanley Capital I, 5.214%, 01/13/41 | 1,013,103 | 0.1 | |||||||||||||||
1,330,000 | # | Morgan Stanley Capital I, 5.254%, 09/15/47 | 1,436,432 | 0.2 | |||||||||||||||
1,300,000 | # | Morgan Stanley Capital I, 5.254%, 09/15/47 | 1,368,787 | 0.1 | |||||||||||||||
203,143 | # | Morgan Stanley Capital I, 7.350%, 07/15/32 | 211,437 | 0.0 | |||||||||||||||
791,000 | # | Morgan Stanley Dean Witter Capital I, 5.826%, 03/12/35 | 789,648 | 0.1 | |||||||||||||||
600,000 | # | Morgan Stanley Dean Witter Capital I, 7.373%, 07/15/33 | 619,704 | 0.0 | |||||||||||||||
1,044,000 | # | Morgan Stanley Reremic Trust, 5.466%, 12/17/43 | �� | 1,068,215 | 0.1 | ||||||||||||||
6,314,000 | Morgan Stanley Capital I, 5.073%–5.793%, 06/15/40–07/12/44 | 6,461,175 | 0.6 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
1,410,000 | # | Queens Center Mortgage Trust 2013–QC, 3.275%, 01/11/37 | $ | 1,423,264 | 0.1 | ||||||||||||||
1,470,000 | # | Queens Center Mortgage Trust 2013–QC, 3.474%, 01/11/37 | 1,443,325 | 0.1 | |||||||||||||||
19,124,355 | #, ˆ | RBSCF Trust, 0.969%, 04/15/24 | 297,661 | 0.0 | |||||||||||||||
2,680,000 | # | RBSCF Trust, 5.305%, 01/16/49 | 2,722,093 | 0.3 | |||||||||||||||
4,312,212 | Residential Accredit Loans, Inc., 0.374%, 01/25/37 | 3,178,594 | 0.3 | ||||||||||||||||
1,662,502 | Residential Accredit Loans, Inc., 0.654%, 12/25/36 | 849,166 | 0.0 | ||||||||||||||||
2,940,000 | # | Salomon Brothers Mortgage Securities VII, Inc., 7.000%, 05/18/32 | 2,981,087 | 0.3 | |||||||||||||||
2,304,000 | #, L | Silverstone Master Issuer PLC, 1.852%, 01/21/55 | 2,364,959 | 0.2 | |||||||||||||||
2,030,000 | # | Springleaf Mortgage Loan Trust, 4.440%, 12/25/59 | 2,040,527 | 0.2 | |||||||||||||||
8,024,715 | #, ˆ | UBS-Barclays Commercial Mortgage Trust, 1.820%, 05/10/63 | 832,252 | 0.1 | |||||||||||||||
391,973 | WaMu Mortgage Pass Through Certificates, 2.463%, 10/25/35 | 392,019 | 0.0 | ||||||||||||||||
1,064,464 | Washington Mutual Mortgage Pass-through Certificates, 6.000%, 06/25/34 | 1,138,684 | 0.1 | ||||||||||||||||
3,359,989 | Washington Mutual Alternative Mortgage Pass-Through Certificates, 5.500%–6.000%, 10/25/35–11/25/35 | 2,920,587 | 0.3 | ||||||||||||||||
4,227,624 | Wells Fargo Alternative Loan Trust, 6.250%, 07/25/37 | 3,658,521 | 0.3 | ||||||||||||||||
9,597,309 | #, ˆ | Wells Fargo Mortgage Backed Securities Trust, 1.604%, 06/15/45 | 1,049,445 | 0.1 | |||||||||||||||
7,238,495 | #, ˆ | Wells Fargo Mortgage Backed Securities Trust, 2.250%, 08/15/45 | 968,621 | 0.1 | |||||||||||||||
5,864,723 | Wells Fargo Mortgage Backed Securities Trust, 5.500%–6.000%, 11/25/35–03/25/37 | 5,862,834 | 0.5 | ||||||||||||||||
20,736,811 | Other Securities | 19,057,680 | 1.7 | ||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $188,762,511) | 196,976,456 | 17.1 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: 6.6% | |||||||||||||||||||
Automobile Asset-Backed Securities: 0.3% | |||||||||||||||||||
1,000,000 | # | Motor PLC, 1.286%, 02/25/20 | $ | 1,004,094 | 0.1 | ||||||||||||||
1,500,000 | # | SMART Trust, 1.590%, 10/14/16 | 1,517,832 | 0.1 | |||||||||||||||
1,000,000 | Other Securities | 997,626 | 0.1 | ||||||||||||||||
3,519,552 | 0.3 | ||||||||||||||||||
Credit Card Asset-Backed Securities: 0.5% | |||||||||||||||||||
2,500,000 | # | Cards II Trust, 0.653%, 09/15/17 | 2,513,046 | 0.2 | |||||||||||||||
1,250,000 | # | Gracechurch Card Funding PLC, 0.903%, 02/15/17 | 1,263,298 | 0.1 | |||||||||||||||
2,200,000 | # | Penarth Master Issuer PLC, 0.773%, 03/18/14 | 2,211,117 | 0.2 | |||||||||||||||
5,987,461 | 0.5 | ||||||||||||||||||
Home Equity Asset-Backed Securities: 0.4% | |||||||||||||||||||
7,974,349 | GSAA Trust, 0.264%–0.294%, 10/25/36–12/25/36 | 4,199,569 | 0.3 | ||||||||||||||||
1,147,073 | Other Securities | 1,114,340 | 0.1 | ||||||||||||||||
5,313,909 | 0.4 | ||||||||||||||||||
Other Asset-Backed Securities: 5.4% | |||||||||||||||||||
875,883 | # | Aimco CDO, 0.552%, 10/20/19 | 857,415 | 0.1 | |||||||||||||||
500,000 | # | Apidos CDO I Ltd., 1.051%, 07/27/17 | 481,903 | 0.0 | |||||||||||||||
940,000 | # | Apidos CDO II, 1.101%, 12/21/18 | 883,255 | 0.1 | |||||||||||||||
1,180,427 | # | ARES X CLO Ltd., 2.280%, 09/18/17 | 1,172,759 | 0.1 | |||||||||||||||
460,104 | # | Atrium CDO Corp., 0.617%, 10/27/16 | 457,497 | 0.0 | |||||||||||||||
725,000 | # | Atrium III, 2.287%, 10/27/16 | 709,133 | 0.1 | |||||||||||||||
1,750,000 | # | Atrium IV, 1.030%, 06/08/19 | 1,680,161 | 0.1 | |||||||||||||||
750,000 | # | Atrium IV, 2.130%, 06/08/19 | 722,395 | 0.1 | |||||||||||||||
3,416,501 | # | Black Diamond CLO Ltd., 0.550%, 06/20/17 | 3,399,323 | 0.3 | |||||||||||||||
2,076,625 | # | Castle Garden Funding, 0.547%, 10/27/20 | 2,052,817 | 0.2 | |||||||||||||||
600,000 | # | Castle Garden Funding, 5.037%, 10/27/20 | 600,798 | 0.0 | |||||||||||||||
1,000,000 | # | Castle Garden Funding, 6.560%, 10/27/20 | 1,077,279 | 0.1 | |||||||||||||||
2,950,000 | # | Centurion CDO VII Ltd, 1.702%, 01/30/16 | 2,936,548 | 0.3 | |||||||||||||||
2,225,000 | # | Clydesdale CLO 2005 Ltd, 0.755%, 12/06/17 | 2,170,608 | 0.2 | |||||||||||||||
1,250,000 | # | Clydesdale Strategic CLO Ltd., 1.289%, 01/20/17 | 1,245,226 | 0.1 | |||||||||||||||
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
927,017 | # | Credit-Based Asset Servicing and Securitization, LLC, 5.746%, 12/25/37 | $ | 937,709 | 0.1 | ||||||||||||||
2,206,907 | # | Emporia Preferred Funding II Corp., 0.583%, 10/18/18 | 2,185,719 | 0.2 | |||||||||||||||
2,100,000 | # | Emporia Preferred Funding, 0.803%, 10/18/18 | 1,985,199 | 0.2 | |||||||||||||||
493,709 | # | First CLO Ltd., 1.281%, 12/14/16 | 492,634 | 0.0 | |||||||||||||||
625,000 | # | Galaxy CLO Ltd, 0.753%, 04/17/17 | 622,319 | 0.0 | |||||||||||||||
1,274,860 | # | Grayston CLO Ltd., 1.590%, 08/15/16 | 1,274,976 | 0.1 | |||||||||||||||
1,514,000 | # | Gulf Stream-Compass CLO 2005–I Ltd., 1.040%, 05/15/17 | 1,491,301 | 0.1 | |||||||||||||||
3,075,000 | # | Gulf Stream-Compass CLO 2005–I Ltd, 2.190%, 05/15/17 | 2,945,835 | 0.3 | |||||||||||||||
2,250,000 | # | Gulf Stream—Sextant CLO Ltd., 0.629%, 08/21/20 | 2,186,921 | 0.2 | |||||||||||||||
3,100,000 | # | Gulf Stream Compass CLO Ltd., 0.710%, 05/15/17 | 3,078,477 | 0.2 | |||||||||||||||
993,514 | # | Gulf Stream Compass CLO Ltd., 1.554%, 07/15/16 | 987,759 | 0.1 | |||||||||||||||
1,000,000 | # | Hewett’s Island CDO Ltd., 1.480%, 12/15/16 | 978,710 | 0.1 | |||||||||||||||
1,060,000 | # | Hewett’s Island CLO II Ltd., 2.680%, 12/15/16 | 1,059,936 | 0.1 | |||||||||||||||
1,125,000 | # | Integral Funding, Inc., 4.804%, 09/27/17 | 1,124,888 | 0.1 | |||||||||||||||
2,900,000 | # | Landmark IV CDO Ltd, 2.430%, 12/15/16 | 2,865,046 | 0.3 | |||||||||||||||
2,725,000 | # | Landmark VI CDO Ltd, 0.805%, 01/14/18 | 2,647,752 | 0.2 | |||||||||||||||
1,865,681 | # | Lightpoint CLO Ltd., 0.540%, 09/15/17 | 1,840,715 | 0.2 | |||||||||||||||
880,000 | # | Madison Park Funding I Ltd., 2.192%, 05/10/19 | 853,245 | 0.1 | |||||||||||||||
1,425,000 | # | Marathon CLO I Ltd, 2.201%, 07/26/19 | 1,419,712 | 0.1 | |||||||||||||||
1,550,000 | # | Morgan Stanley Investment Management Croton Ltd, 0.754%, 01/15/18 | 1,504,712 | 0.1 | |||||||||||||||
1,000,000 | # | Oak Hill Credit Partners IV Ltd, 1.990%, 05/17/21 | 913,766 | 0.1 | |||||||||||||||
1,075,000 | # | Whitney CLO Ltd, 2.387%, 03/01/17 | 1,065,502 | 0.1 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
285,117 | # | Wind River CLO Ltd., 0.610%, 12/19/16 | $ | 283,043 | 0.0 | ||||||||||||||
6,815,374 | Other Securities | 6,644,903 | 0.6 | ||||||||||||||||
61,837,896 | 5.4 | ||||||||||||||||||
Total Asset-Backed Securities (Cost $75,762,994) | 76,658,818 | 6.6 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 12.8% | |||||||||||||||||||
U.S. Treasury Bonds: 2.2% | |||||||||||||||||||
15,685,000 | 2.750%, due 11/15/42 | 14,572,353 | 1.3 | ||||||||||||||||
10,830,000 | 2.000%, due 02/15/23 | 10,977,223 | 0.9 | ||||||||||||||||
25,549,576 | 2.2 | ||||||||||||||||||
U.S. Treasury Notes: 10.6% | |||||||||||||||||||
28,525,000 | 0.250%, due 02/28/15 | 28,531,703 | 2.5 | ||||||||||||||||
54,953,000 | 0.375%, due 03/15/16 | 55,000,260 | 4.8 | ||||||||||||||||
21,222,000 | 0.750%, due 02/28/18 | 21,230,298 | 1.8 | ||||||||||||||||
11,522,000 | 0.750%, due 03/31/18 | 11,514,799 | 1.0 | ||||||||||||||||
5,256,000 | 1.250%, due 02/29/20 | 5,269,550 | 0.5 | ||||||||||||||||
121,546,610 | 10.6 | ||||||||||||||||||
Total U.S. Treasury Obligations (Cost $146,893,322) | 147,096,186 | 12.8 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 30.9% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 7.1%## | |||||||||||||||||||
3,524,856 | 3.000%, due 02/01/27 | 3,727,452 | 0.3 | ||||||||||||||||
3,263,718 | ˆˆ | 4.000%, due 01/15/36 | 3,113,795 | 0.3 | |||||||||||||||
4,198,836 | 4.000%, due 10/01/41 | 4,464,369 | 0.4 | ||||||||||||||||
5,826,537 | 4.000%, due 12/01/41 | 6,195,005 | 0.5 | ||||||||||||||||
8,293,357 | ˆ | 4.500%, due 12/15/40 | 1,566,652 | 0.1 | |||||||||||||||
2,825,302 | 4.500%, due 08/01/41 | 3,029,135 | 0.3 | ||||||||||||||||
3,233,814 | 4.500%, due 09/01/41 | 3,462,573 | 0.3 | ||||||||||||||||
4,103,520 | 4.500%, due 10/01/41 | 4,399,572 | 0.4 | ||||||||||||||||
1,697,321 | ˆ | 4.788%, due 03/15/33 | 1,831,058 | 0.1 | |||||||||||||||
104,104 | ˆ | 5.000%, due 05/15/17 | 649 | 0.0 | |||||||||||||||
7,992,682 | 5.500%, due 02/15/36 | 8,942,164 | 0.8 | ||||||||||||||||
14,649,836 | ˆ | 5.797%, due 05/15/36 | 2,146,958 | 0.2 | |||||||||||||||
5,400,608 | ˆ | 5.847%, due 07/15/40 | 967,013 | 0.1 | |||||||||||||||
551,424 | ˆ | 6.000%, due 04/15/33 | 97,859 | 0.0 | |||||||||||||||
3,907,190 | 6.000%, due 10/15/37 | 4,424,213 | 0.4 | ||||||||||||||||
8,573,819 | ˆ | 6.282%, due 06/15/36 | 1,502,125 | 0.1 | |||||||||||||||
4,858,042 | ˆ | 6.347%, due 05/15/41 | 1,100,033 | 0.1 | |||||||||||||||
15,740,602 | ˆ | 6.397%, due 09/15/34 | 2,087,407 | 0.2 | |||||||||||||||
25,970,103 | W | 0.553%–7.000%, due 04/01/14–01/15/42 | 28,316,711 | 2.5 | |||||||||||||||
81,374,743 | 7.1 | ||||||||||||||||||
Federal National Mortgage Association: 17.7%## | |||||||||||||||||||
25,000,000 | W | 2.500%, due 11/25/26 | 25,886,720 | 2.2 | |||||||||||||||
19,461,000 | W | 3.000%, due 12/25/26 | 20,466,739 | 1.8 | |||||||||||||||
22,990,000 | W | 3.000%, due 05/01/43 | 23,654,553 | 2.1 | |||||||||||||||
31,385,000 | W | 3.500%, due 09/25/41 | 33,150,406 | 2.9 | |||||||||||||||
13,727,031 | ˆ | 3.500%, due 06/25/42 | 2,224,979 | 0.2 | |||||||||||||||
893,479 | ˆ | 4.000%, due 11/01/18 | 60,109 | 0.0 | |||||||||||||||
8,466,000 | W | 4.000%, due 04/25/39 | 9,028,196 | 0.8 | |||||||||||||||
18,706,000 | W | 4.000%, due 12/15/39 | 20,352,274 | 1.8 | |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Federal National Mortgage Association: (continued) | |||||||||||||||||||
8,507,493 | ˆ | 4.000%, due 04/25/41 | $ | 1,550,717 | 0.1 | ||||||||||||||
5,611,777 | 4.000%, due 07/01/42 | 6,010,915 | 0.5 | ||||||||||||||||
5,610,984 | 4.000%, due 07/01/42 | 6,010,065 | 0.5 | ||||||||||||||||
5,497,394 | 4.500%, due 09/01/41 | 5,935,869 | 0.5 | ||||||||||||||||
17,425,194 | ˆ | 5.946%, due 11/25/39 | 2,194,412 | 0.2 | |||||||||||||||
884,234 | ˆ | 6.000%, due 08/25/33 | 147,738 | 0.0 | |||||||||||||||
1,385,558 | ˆ | 6.496%, due 08/25/26 | 181,865 | 0.0 | |||||||||||||||
4,187,980 | ˆ | 6.536%, due 01/25/37 | 731,701 | 0.1 | |||||||||||||||
14,275,255 | ˆ | 6.546%, due 10/25/35 | 2,509,273 | 0.2 | |||||||||||||||
1,010,705 | ˆ | 7.482%, due 02/17/29 | 195,054 | 0.0 | |||||||||||||||
39,508,807 | 0.603%–32.429%, due 08/01/16–07/01/42 | 43,722,135 | 3.8 | ||||||||||||||||
204,013,720 | 17.7 | ||||||||||||||||||
Government National Mortgage Association: 6.1% | |||||||||||||||||||
15,493,000 | W | 3.000%, due 05/01/43 | 16,156,294 | 1.4 | |||||||||||||||
34,409,000 | W | 3.500%, due 05/15/43 | 36,909,029 | 3.2 | |||||||||||||||
8,780,071 | ˆ | 5.000%, due 06/16/39 | 300,670 | 0.0 | |||||||||||||||
9,269,416 | ˆ | 5.647%, due 06/20/40 | 1,436,087 | 0.1 | |||||||||||||||
4,465,619 | ˆ | 5.997%, due 06/20/38 | 536,671 | 0.0 | |||||||||||||||
6,332,033 | ˆ | 5.997%, due 04/20/39 | 929,805 | 0.1 | |||||||||||||||
4,882,061 | ˆ | 6.097%, due 05/20/39 | 537,027 | 0.0 | |||||||||||||||
4,843,319 | ˆ | 6.197%, due 04/20/38 | 706,803 | 0.1 | |||||||||||||||
1,862,161 | ˆ | 6.297%, due 05/16/38 | 300,001 | 0.0 | |||||||||||||||
5,376,477 | ˆ | 6.347%, due 01/20/38 | 580,166 | 0.1 | |||||||||||||||
3,250,882 | ˆ | 6.567%, due 02/16/35 | 664,525 | 0.1 | |||||||||||||||
209,358 | ˆ | 8.047%, due 06/16/31 | 25,822 | 0.0 | |||||||||||||||
10,805,390 | 1.750%–6.500%, due 04/20/28–10/20/60 | 11,873,351 | 1.0 | ||||||||||||||||
70,956,251 | 6.1 | ||||||||||||||||||
Total U.S. Government Agency Obligations (Cost $345,515,753) | 356,344,714 | 30.9 | |||||||||||||||||
FOREIGN GOVERNMENT BONDS: 11.0% | |||||||||||||||||||
RUB 135,600,000 | # | AHML Finance, 7.750%, 02/13/18 | 4,390,685 | 0.4 | |||||||||||||||
1,200,000 | # | Aruba Government Bond, 4.625%, 09/14/23 | 1,248,000 | 0.1 | |||||||||||||||
400,000 | # | Banco de Reservas de LA Republica Dominicana, 7.000%, 02/01/23 | 402,000 | 0.0 | |||||||||||||||
332,600 | #, ± | Belize Government International Bond, 5.000%, 02/20/38 | 231,988 | 0.0 | |||||||||||||||
BRL 5,850,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/21 | 2,899,562 | 0.3 | ||||||||||||||||
BRL 44,908,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/23 | 22,138,090 | 1.9 | ||||||||||||||||
2,768,000 | L | Brazilian Government International Bond, 2.625%, 01/05/23 | 2,664,200 | 0.2 | |||||||||||||||
500,000 | # | Caixa Economica Federal, 3.500%, 11/07/22 | 480,000 | 0.1 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FOREIGN GOVERNMENT BONDS: (continued) | |||||||||||||||||||
410,000 | # | Comision Federal de Electricidad, 5.750%, 02/14/42 | $ | 451,000 | 0.0 | ||||||||||||||
400,000 | # | Corp Nacional del Cobre de Chile, 4.250%, 07/17/42 | 369,983 | 0.0 | |||||||||||||||
350,000 | # | Costa Rica Government International Bond, 4.250%, 01/26/23 | 351,225 | 0.0 | |||||||||||||||
232,000 | # | El Salvador Government International Bond, 5.875%, 01/30/25 | 244,412 | 0.0 | |||||||||||||||
300,000 | # | Guatemala Government Bond, 4.875%, 02/13/28 | 294,750 | 0.0 | |||||||||||||||
1,000,000 | # | Hrvatska Elektroprivreda, 6.000%, 11/09/17 | 1,037,500 | 0.1 | |||||||||||||||
1,060,000 | Hungary Government International Bond, 5.375%–7.625%, 03/29/21–03/29/41 | 1,080,655 | 0.1 | ||||||||||||||||
HUF1,276,970,000 | Hungary Government International Bond, 6.000%–7.000%, 06/24/22–11/24/23 | 5,450,210 | 0.5 | ||||||||||||||||
1,320,000 | # | Indonesia Government International Bond, 3.750%, 04/25/22 | 1,343,100 | 0.1 | |||||||||||||||
600,000 | # | Kazakhstan Temir Zholy Finance BV, 6.950%, 07/10/42 | 703,500 | 0.1 | |||||||||||||||
264,000 | # | Lithuania Government International Bond, 6.625%, 02/01/22 | 324,390 | 0.0 | |||||||||||||||
900,000 | #,L | Mongolia Government International Bond, 5.125%, 12/05/22 | 843,750 | 0.1 | |||||||||||||||
600,000 | # | Morocco Government International Bond, 4.250%, 12/11/22 | 615,300 | 0.1 | |||||||||||||||
323,000 | # | Petroleos Mexicanos, 3.500%, 01/30/23 | 323,000 | 0.0 | |||||||||||||||
2,798,000 | Philippine Government International Bond, 4.000%, 01/15/21 | 3,098,785 | 0.3 | ||||||||||||||||
1,000,000 | # | Republic of Latvia, 2.750%, 01/12/20 | 966,500 | 0.1 | |||||||||||||||
600,000 | # | Republic of Paraguay, 4.625%, 01/25/23 | 605,400 | 0.1 | |||||||||||||||
136,000 | # | Romanian Government International Bond, 4.375%, 08/22/23 | 133,848 | 0.0 | |||||||||||||||
2,800,000 | Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.298%, 12/27/17 | 2,974,720 | 0.3 | ||||||||||||||||
FOREIGN GOVERNMENT BONDS: (continued) | |||||||||||||||||||
600,000 | # | Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.298%, 12/27/17 | $ | 637,440 | 0.0 | ||||||||||||||
RUB 318,372,000 | Russian Federal Bond — OFZ, 7.050%, 01/19/28 | 10,088,686 | 0.9 | ||||||||||||||||
RUB 186,938,000 | Russian Federal Bond — OFZ, 8.150%, 02/03/27 | 6,500,806 | 0.5 | ||||||||||||||||
658,750 | Russian Foreign Bond — Eurobond, 7.500%, 03/31/30 | 817,344 | 0.1 | ||||||||||||||||
630,000 | # | Republic of Serbia, 5.250%, 11/21/17 | 652,050 | 0.1 | |||||||||||||||
ZAR 65,068,047 | South Africa Government Bond, 6.250%, 03/31/36 | 5,681,476 | 0.5 | ||||||||||||||||
ZAR 12,820,700 | South Africa Government Bond, 6.500%, 02/28/41 | 1,133,295 | 0.1 | ||||||||||||||||
ZAR 37,180,150 | South Africa Government Bond, 8.750%, 02/28/48 | 4,250,072 | 0.4 | ||||||||||||||||
1,600,000 | # | Transnet SOC Ltd., 4.000%, 07/26/22 | 1,540,000 | 0.1 | |||||||||||||||
2,363,000 | Turkey Government Bond, 7.375%, 02/05/25 | 3,024,640 | 0.3 | ||||||||||||||||
878,000 | Turkey Government International Bond, 5.125%–6.250%, 03/25/22–09/26/22 | 984,995 | 0.1 | ||||||||||||||||
300,000 | # | Zambia Government International Bond, 5.375%, 09/20/22 | 298,875 | 0.0 | |||||||||||||||
33,223,293 | Other Securities(a),(b) | 34,973,822 | 3.0 | ||||||||||||||||
Total Foreign Government Bonds (Cost $128,527,225) | 126,250,054 | 11.0 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PREFERRED STOCK: 0.8% | |||||||||||||||||||
Financials: 0.8% | |||||||||||||||||||
92,000 | P | Discover Financial Services | 2,377,280 | 0.2 | |||||||||||||||
237,155 | Other Securities | 6,564,945 | 0.6 | ||||||||||||||||
Total Preferred Stock (Cost $8,293,125) | 8,942,225 | 0.8 | |||||||||||||||||
Total Long-Term Investments (Cost $1,196,600,145) | 1,228,033,258 | 106.6 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 11.1% | |||||||||||||||||||
Securities Lending Collateralcc(1): 0.8% | |||||||||||||||||||
465,998 | BNP Paribas Bank, Repurchase Agreement dated 03/28/13, 0.16%, due 04/01/13 (Repurchase Amount $466,006, collateralized by various U.S. Government Securities, 2.250%, Market Value plus accrued interest $475,318, due 05/31/14) | $ | 465,998 | 0.0 | |||||||||||||||
2,213,693 | Citigroup, Inc., Repurchase Agreement dated 03/28/13, 0.20%, due 04/01/13 (Repurchase Amount $2,213,742, collateralized by various U.S. Government and U.S. Government Agency Obligation, 0.000%–6.000%, Market Value plus accrued interest $2,257,968, due 03/31/13–03/15/53) | 2,213,693 | 0.2 | ||||||||||||||||
2,213,693 | Goldman Sachs & Co., Repurchase Agreement dated 03/28/13, 0.20%, due 04/01/13 (Repurchase Amount $2,213,742, collateralized by various U.S. Government Agency Obligations, 2.500%–7.000%, Market Value plus accrued interest $2,257,967, due 09/01/22–04/01/43) | 2,213,693 | 0.2 | ||||||||||||||||
2,213,693 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 03/28/13, 0.20%, due 04/01/13 (Repurchase Amount $2,213,742, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $2,257,968, due 04/25/13–01/01/47) | 2,213,693 | 0.2 | ||||||||||||||||
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Securities Lending Collateralcc(1): (continued) | |||||||||||||||||||
2,213,693 | Royal Bank of Canada, Repurchase Agreement dated 03/28/13, 0.22%, due 04/01/13 (Repurchase Amount $2,213,746, collateralized by various U.S. Government Agency Obligations, 2.500%–4.000%, Market Value plus accrued interest $2,257,967, due 07/01/27–04/01/43) | $ | 2,213,693 | 0.2 | |||||||||||||||
9,320,770 | 0.8 | ||||||||||||||||||
Foreign Government Bonds: 0.5% | |||||||||||||||||||
MXN 60,000,000 | Z | Mexico Cetes, 4.110%, 09/19/13 (Cost $4,766,816) | 4,764,170 | 0.5 |
Shares | Value | Percentage of Net Assets | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 9.8% | ||||||||||||||||||
113,473,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $113,473,000) | 113,473,000 | 9.8 | |||||||||||||||
Total Short-Term Investments (Cost $127,560,586) | 127,557,940 | 11.1 | ||||||||||||||||
Total Investments in Securities (Cost $1,324,160,731) | $ | 1,355,591,198 | 117.7 | |||||||||||||||
Liabilities in Excess of Other Assets | (203,394,838 | ) | (17.7 | ) | ||||||||||||||
Net Assets | $ | 1,152,196,360 | 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. |
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. |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
L | Loaned security, a portion or all of the security is on loan at March 31, 2013. |
± | Defaulted security |
ˆ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
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 |
HUF | Hungarian Forint |
MXN | Mexican Peso |
RUB | Russian Ruble |
ZAR | South African Rand |
Cost for federal income tax purposes is $1,324,534,441. | |||||||
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 40,244,962 | |||||
Gross Unrealized Depreciation | (9,188,205 | ) | |||||
Net Unrealized Appreciation | $ | 31,056,757 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 3/31/2013 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Preferred Stock | $ | 8,942,225 | $ | — | $ | — | $ | 8,942,225 | ||||||||||
Corporate Bonds/Notes | — | 315,764,805 | — | 315,764,805 | ||||||||||||||
Collateralized Mortgage Obligations | — | 196,976,456 | — | 196,976,456 | ||||||||||||||
Short-Term Investments | 113,473,000 | 14,084,940 | — | 127,557,940 | ||||||||||||||
U.S. Treasury Obligations | — | 147,096,186 | — | 147,096,186 | ||||||||||||||
Foreign Government Bonds | — | 126,250,054 | — | 126,250,054 | ||||||||||||||
Asset-Backed Securities | — | 76,658,818 | — | 76,658,818 | ||||||||||||||
U.S. Government Agency Obligations | — | 356,344,714 | — | 356,344,714 | ||||||||||||||
Total Investments, at fair value | $ | 122,415,225 | $ | 1,233,175,973 | $ | — | $ | 1,355,591,198 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Swaps | — | 52,828 | — | 52,828 | ||||||||||||||
Futures | 18,233 | — | — | 18,233 | ||||||||||||||
Forward Foreign Currency Contracts | — | 2,836,073 | — | 2,836,073 | ||||||||||||||
Total Assets | $ | 122,433,458 | $ | 1,236,064,874 | $ | — | $ | 1,358,498,332 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Swaps | $ | — | $ | (2,673,708 | ) | $ | — | $ | (2,673,708 | ) | ||||||||
Futures | (603,559 | ) | — | — | (603,559 | ) | ||||||||||||
Forward Foreign Currency Contracts | — | (2,786,944 | ) | — | (2,786,944 | ) | ||||||||||||
Total Liabilities | $ | (603,559 | ) | $ | (5,460,652 | ) | $ | — | $ | (6,064,211 | ) |
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. |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank PLC | Hungarian Forint | 754,948,350 | Buy | 04/19/13 | $ | 3,309,000 | $ | 3,172,900 | $ | (136,100 | ) | |||||||||||||||||||
Barclays Bank PLC | Hungarian Forint | 250,708,930 | Buy | 04/19/13 | 1,101,000 | 1,053,681 | (47,319 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Brazilian Real | 3,197,629 | Buy | 04/05/13 | 1,593,000 | 1,581,863 | (11,137 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Singapore Dollar | 1,645 | Buy | 06/14/13 | 1,325 | 1,326 | 1 | |||||||||||||||||||||||
Barclays Bank PLC | South Korean Won | 5,001,704,400 | Buy | 06/14/13 | 4,477,000 | 4,477,601 | 601 | |||||||||||||||||||||||
Barclays Bank PLC | Polish Zloty | 4,546,014 | Buy | 06/14/13 | 1,415,000 | 1,387,754 | (27,246 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Czech Koruna | 168,740,865 | Buy | 06/14/13 | 8,562,375 | 8,396,098 | (166,277 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Peruvian Nuevo Sol | 59,566 | Buy | 06/14/13 | 22,937 | 22,953 | 16 | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 13,015,950 | Buy | 06/14/13 | 1,425,000 | 1,401,414 | (23,586 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Russian Ruble | 92,278,395 | Buy | 04/19/13 | 3,047,000 | 2,958,435 | (88,565 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 2,817,132 | Buy | 04/05/13 | 1,416,000 | 1,393,631 | (22,369 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 2,817,132 | Buy | 04/05/13 | 1,416,000 | 1,393,631 | (22,369 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 2,799,861 | Buy | 04/05/13 | 1,415,000 | 1,385,087 | (29,913 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 476,208 | Buy | 04/05/13 | 239,000 | 235,579 | (3,421 | ) | ||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 1,136,607 | Buy | 04/19/13 | 1,491,380 | 1,457,122 | (34,258 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 5,678,600 | Buy | 04/05/13 | 2,842,000 | 2,809,196 | (32,804 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South Korean Won | 93,729,740 | Buy | 06/14/13 | 83,823 | 83,909 | 86 | |||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 356,101 | Buy | 06/14/13 | 108,656 | 108,707 | 51 | |||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,535,438 | Buy | 06/14/13 | 1,416,000 | 1,384,525 | (31,475 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,124,588 | Buy | 06/14/13 | 1,416,000 | 1,413,111 | (2,889 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,522,435 | Buy | 06/14/13 | 1,409,000 | 1,380,556 | (28,444 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 911,836,380 | Buy | 04/19/13 | 4,051,135 | 3,832,269 | (218,866 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Indian Rupee | 154,880,650 | Buy | 06/14/13 | 2,763,752 | 2,806,389 | 42,637 | |||||||||||||||||||||||
Citigroup, Inc. | Malaysian Ringgit | 4,495,692 | Buy | 06/14/13 | 1,437,241 | 1,444,519 | 7,278 | |||||||||||||||||||||||
Citigroup, Inc. | Romanian New Leu | 9,397,482 | Buy | 06/14/13 | 2,765,999 | 2,701,985 | (64,014 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 16,988,806 | Buy | 06/14/13 | 1,311,000 | 1,365,870 | 54,870 | |||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 7,337,892 | Buy | 06/14/13 | 797,000 | 790,063 | (6,937 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,746,767 | Buy | 06/14/13 | 1,482,000 | 1,449,037 | (32,963 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Indian Rupee | 78,291,678 | Buy | 06/14/13 | 1,426,000 | 1,418,621 | (7,379 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Chinese Yuan | 18,964,505 | Buy | 08/09/13 | 3,010,000 | 3,030,401 | 20,401 | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 54,075,055 | Buy | 04/05/13 | 26,822,944 | 26,750,853 | (72,091 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 2,817,132 | Buy | 04/05/13 | 1,416,000 | 1,393,631 | (22,369 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 34,478,502 | Buy | 04/19/13 | 150,890 | 144,906 | (5,984 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 314,518,466 | Buy | 04/19/13 | 1,386,000 | 1,321,859 | (64,141 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 2,238,029 | Buy | 04/05/13 | 1,086,000 | 1,107,150 | 21,150 | |||||||||||||||||||||||
Deutsche Bank AG | Singapore Dollar | 3,537,443 | Buy | 06/14/13 | 2,842,000 | 2,852,498 | 10,498 | |||||||||||||||||||||||
Deutsche Bank AG | Chilean Peso | 789,994,000 | Buy | 04/19/13 | 1,660,000 | 1,671,301 | 11,301 | |||||||||||||||||||||||
Deutsche Bank AG | Peruvian Nuevo Sol | 9,189,024 | Buy | 06/14/13 | 3,552,000 | 3,540,850 | (11,150 | ) | ||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 13,300,839 | Buy | 06/14/13 | 1,418,000 | 1,432,088 | 14,088 | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 13,790,658 | Buy | 04/05/13 | 6,701,000 | 6,822,219 | 121,219 | |||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 10,025,604 | Buy | 06/14/13 | 1,070,274 | 1,079,447 | 9,173 | |||||||||||||||||||||||
Deutsche Bank AG | Indonesian Rupiah | 623,286,000 | Buy | 06/14/13 | 63,568 | 63,531 | (37 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Polish Zloty | 13,498,002 | Buy | 06/14/13 | 4,206,623 | 4,120,511 | (86,112 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Thai Baht | 24,036,163 | Buy | 06/14/13 | 801,620 | 817,049 | 15,429 | |||||||||||||||||||||||
Deutsche Bank AG | Turkish Lira | 5,198,934 | Buy | 06/14/13 | 2,851,661 | 2,846,487 | (5,174 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Turkish Lira | 4,767,687 | Buy | 06/14/13 | 2,610,000 | 2,610,373 | 373 | |||||||||||||||||||||||
Deutsche Bank AG | Philippine Peso | 345,472,895 | Buy | 07/12/13 | 8,477,862 | 8,470,079 | (7,783 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Colombian Peso | 5,543,210,000 | Buy | 07/12/13 | 3,020,000 | 3,010,950 | (9,050 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 18,242,409 | Buy | 08/09/13 | 2,897,000 | 2,915,015 | 18,015 | |||||||||||||||||||||||
Goldman Sachs & Co. | Brazilian Real | 2,823,238 | Buy | 04/05/13 | 1,418,000 | 1,396,652 | (21,348 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | Polish Zloty | 4,635,523 | Buy | 06/14/13 | 1,418,000 | 1,415,078 | (2,922 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | Polish Zloty | 4,627,926 | Buy | 06/14/13 | 1,420,000 | 1,412,759 | (7,241 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | South African Rand | 13,266,525 | Buy | 06/14/13 | 1,416,000 | 1,428,393 | 12,393 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Brazilian Real | 2,822,813 | Buy | 04/05/13 | 1,418,000 | 1,396,441 | (21,559 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 38,592 | Buy | 04/19/13 | 58,517 | 58,633 | 116 | |||||||||||||||||||||||
JPMorgan Chase & Co. | EU Euro | 13,156,639 | Buy | 04/19/13 | 16,824,000 | 16,866,730 | 42,730 | |||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 3,724,048 | Buy | 04/19/13 | 5,625,000 | 5,657,994 | 32,994 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Chilean Peso | 277,264,800 | Buy | 04/19/13 | 582,000 | 586,578 | 4,578 |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase & Co. | Russian Ruble | 78,542,100 | Buy | 04/19/13 | $ | 2,600,000 | $ | 2,518,051 | $ | (81,949 | ) | |||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 35,826,606 | Buy | 06/14/13 | 2,870,000 | 2,880,397 | 10,397 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 103,599,652 | Buy | 06/14/13 | 8,221,020 | 8,329,231 | 108,211 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Chilean Peso | 734,032,680 | Buy | 04/19/13 | 1,536,115 | 1,552,910 | 16,795 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 17,971,638 | Buy | 01/14/14 | 2,854,000 | 2,853,413 | (587 | ) | ||||||||||||||||||||||
$ | (882,427 | ) | ||||||||||||||||||||||||||||
Barclays Bank PLC | Hungarian Forint | 335,569,416 | Sell | 04/19/13 | $ | 1,418,000 | $ | 1,410,332 | $ | 7,668 | ||||||||||||||||||||
Barclays Bank PLC | Russian Ruble | 98,721,180 | Sell | 04/19/13 | 3,240,000 | 3,164,990 | 75,010 | |||||||||||||||||||||||
Barclays Bank PLC | Brazilian Real | 48,846,747 | Sell | 04/05/13 | 23,811,420 | 24,164,417 | (352,997 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Russian Ruble | 138,412,878 | Sell | 04/19/13 | 4,510,252 | 4,437,501 | 72,751 | |||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 17,899,854 | Sell | 06/14/13 | 1,416,000 | 1,439,117 | (23,117 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Russian Ruble | 62,391,298 | Sell | 04/19/13 | 2,025,363 | 2,000,258 | 25,105 | |||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 17,973,949 | Sell | 06/14/13 | 1,393,000 | 1,445,074 | (52,074 | ) | ||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 80,486,273 | Sell | 06/14/13 | 8,746,702 | 8,665,874 | 80,828 | |||||||||||||||||||||||
Barclays Bank PLC | Indian Rupee | 46,629,400 | Sell | 06/14/13 | 830,000 | 844,910 | (14,910 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 2,818,275 | Sell | 04/05/13 | 1,418,000 | 1,394,197 | 23,803 | |||||||||||||||||||||||
Citigroup, Inc. | Chilean Peso | 5,157,880 | Sell | 04/19/13 | 10,896 | 10,912 | (16 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Chilean Peso | 1,360,380,000 | Sell | 04/19/13 | 2,870,000 | 2,878,002 | (8,002 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 331,681,660 | Sell | 04/19/13 | 1,415,000 | 1,393,993 | 21,007 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 7,381,863 | Sell | 04/19/13 | 9,605,000 | 9,463,503 | 141,497 | |||||||||||||||||||||||
Citigroup, Inc. | Russian Ruble | 47,723,048 | Sell | 04/19/13 | 1,541,542 | 1,529,996 | 11,546 | |||||||||||||||||||||||
Citigroup, Inc. | Russian Ruble | 31,808,665 | Sell | 04/19/13 | 1,029,873 | 1,019,782 | 10,091 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 2,470,364 | Sell | 04/19/13 | 3,212,000 | 3,166,992 | 45,008 | |||||||||||||||||||||||
Citigroup, Inc. | Chilean Peso | 435,753,600 | Sell | 04/19/13 | 912,000 | 921,875 | (9,875 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 5,737,293 | Sell | 04/05/13 | 2,878,000 | 2,838,231 | 39,769 | |||||||||||||||||||||||
Citigroup, Inc. | Russian Ruble | 94,929,120 | Sell | 04/19/13 | 3,120,000 | 3,043,417 | 76,583 | |||||||||||||||||||||||
Citigroup, Inc. | Indian Rupee | 4,021,008 | Sell | 06/14/13 | 72,719 | 72,860 | (141 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Czech Koruna | 56,325 | Sell | 06/14/13 | 2,807 | 2,803 | 4 | |||||||||||||||||||||||
Citigroup, Inc. | Peruvian Nuevo Sol | 4,088 | Sell | 06/14/13 | 1,572 | 1,575 | (3 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Malaysian Ringgit | 39,077 | Sell | 06/14/13 | 12,601 | 12,556 | 45 | |||||||||||||||||||||||
Citigroup, Inc. | Indonesian Rupiah | 623,286,000 | Sell | 06/14/13 | 63,441 | 63,532 | (91 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Malaysian Ringgit | 1,769,434 | Sell | 06/14/13 | 568,000 | 568,540 | (540 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 406,436,751 | Sell | 04/19/13 | 1,833,183 | 1,708,174 | 125,009 | |||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,608,358 | Sell | 06/14/13 | 1,418,000 | 1,406,785 | 11,215 | |||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,521,327 | Sell | 06/14/13 | 1,415,000 | 1,380,218 | 34,782 | |||||||||||||||||||||||
Citigroup, Inc. | Singapore Dollar | 1,769,657 | Sell | 06/14/13 | 1,415,000 | 1,427,004 | (12,004 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,205,466 | Sell | 06/14/13 | 1,416,000 | 1,421,819 | (5,819 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,577,477 | Sell | 06/14/13 | 1,415,000 | 1,397,358 | 17,642 | |||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,721,044 | Sell | 06/14/13 | 1,482,000 | 1,477,331 | 4,669 | |||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 17,856,361 | Sell | 06/14/13 | 1,412,000 | 1,435,620 | (23,620 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,086,254 | Sell | 06/14/13 | 1,413,000 | 1,408,983 | 4,017 | |||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 18,581,635 | Sell | 06/14/13 | 1,469,000 | 1,493,931 | (24,931 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,042,540 | Sell | 06/14/13 | 1,416,000 | 1,404,277 | 11,723 | |||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,527,040 | Sell | 06/14/13 | 1,416,000 | 1,381,961 | 34,039 | |||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,024,789 | Sell | 06/14/13 | 1,422,000 | 1,402,366 | 19,634 | |||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 89,346,880 | Sell | 06/14/13 | 6,922,643 | 7,183,333 | (260,690 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Czech Koruna | 168,684,540 | Sell | 06/14/13 | 8,617,579 | 8,393,296 | 224,283 | |||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 17,533,706 | Sell | 06/14/13 | 1,925,625 | 1,887,836 | 37,789 | |||||||||||||||||||||||
Citigroup, Inc. | Colombian Peso | 157,678,780 | Sell | 07/12/13 | 85,444 | 85,648 | (204 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Philippine Peso | 2,634,150 | Sell | 07/12/13 | 64,600 | 64,582 | 18 | |||||||||||||||||||||||
Citigroup, Inc. | Colombian Peso | 5,309,500,000 | Sell | 07/12/13 | 2,870,000 | 2,884,004 | (14,004 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Philippine Peso | 116,024,650 | Sell | 07/12/13 | 2,842,000 | 2,844,617 | (2,617 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Brazilian Real | 6,818,886 | Sell | 04/05/13 | 3,319,000 | 3,373,293 | (54,293 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 17,971,638 | Sell | 01/14/14 | 2,851,057 | 2,853,413 | (2,356 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 17,470,944 | Sell | 04/05/13 | 8,640,000 | 8,642,851 | (2,851 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 2,818,700 | Sell | 04/05/13 | 1,418,000 | 1,394,407 | 23,593 | |||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 353,051,929 | Sell | 04/19/13 | 1,478,000 | 1,483,808 | (5,808 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 348,299,687 | Sell | 04/19/13 | 1,472,940 | 1,463,835 | 9,105 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 3,762,640 | Sell | 04/19/13 | 5,651,000 | 5,716,627 | (65,627 | ) |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG | Russian Ruble | 7,985,439 | Sell | 04/19/13 | $ | 259,347 | $ | 256,012 | $ | 3,335 | ||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 69,622,572 | Sell | 04/19/13 | 2,287,582 | 2,232,091 | 55,491 | |||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 135,600,000 | Sell | 04/19/13 | 4,462,435 | 4,347,321 | 115,114 | |||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 627,267,300 | Sell | 04/19/13 | 2,882,000 | 2,636,282 | 245,718 | |||||||||||||||||||||||
Deutsche Bank AG | Turkish Lira | 77,060 | Sell | 06/14/13 | 42,109 | 42,192 | (83 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Thai Baht | 382,403 | Sell | 06/14/13 | 12,999 | 12,999 | 0 | |||||||||||||||||||||||
Deutsche Bank AG | Peruvian Nuevo Sol | 9,244,503 | Sell | 06/14/13 | 3,559,000 | 3,562,227 | (3,227 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Thai Baht | 23,653,760 | Sell | 06/14/13 | 804,000 | 804,049 | (49 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Romanian New Leu | 9,111,968 | Sell | 06/14/13 | 2,615,000 | 2,619,894 | (4,894 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Indian Rupee | 182,521,920 | Sell | 06/14/13 | 3,297,000 | 3,307,240 | (10,240 | ) | ||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 8,531,404 | Sell | 06/14/13 | 909,000 | 918,567 | (9,567 | ) | ||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 1,787,356,400 | Sell | 06/14/13 | 1,601,000 | 1,600,068 | 932 | |||||||||||||||||||||||
Deutsche Bank AG | Singapore Dollar | 1,769,431 | Sell | 06/14/13 | 1,415,000 | 1,426,821 | (11,821 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Polish Zloty | 4,515,155 | Sell | 06/14/13 | 1,414,000 | 1,378,333 | 35,667 | |||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 37,262,100 | Sell | 06/14/13 | 2,900,000 | 2,995,808 | (95,808 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Turkish Lira | 5,289,869 | Sell | 06/14/13 | 2,911,000 | 2,896,275 | 14,725 | |||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 576,493,056 | Sell | 04/19/13 | 2,560,000 | 2,422,887 | 137,113 | |||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 3,308,077,740 | Sell | 06/14/13 | 3,015,430 | 2,961,441 | 53,989 | |||||||||||||||||||||||
Deutsche Bank AG | Malaysian Ringgit | 2,687,181 | Sell | 06/14/13 | 861,000 | 863,424 | (2,424 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 16,879,369 | Sell | 06/14/13 | 1,311,000 | 1,357,072 | (46,072 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 54,075,055 | Sell | 07/12/13 | 26,494,392 | 26,418,381 | 76,011 | |||||||||||||||||||||||
Deutsche Bank AG | Philippine Peso | 143,989,775 | Sell | 07/12/13 | 3,527,000 | 3,530,248 | (3,248 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Philippine Peso | 82,824,320 | Sell | 07/12/13 | 2,038,000 | 2,030,633 | 7,367 | |||||||||||||||||||||||
Deutsche Bank AG | Colombian Peso | 76,031,220 | Sell | 07/12/13 | 41,840 | 41,298 | 542 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 37,206,914 | Sell | 08/09/13 | 5,918,542 | 5,945,417 | (26,875 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Hungarian Forint | 492,367,950 | Sell | 04/19/13 | 2,205,354 | 2,069,326 | 136,028 | |||||||||||||||||||||||
Credit Suisse Group AG | Hungarian Forint | 327,776,630 | Sell | 04/19/13 | 1,469,124 | 1,377,581 | 91,543 | |||||||||||||||||||||||
Goldman Sachs & Co. | Romanian New Leu | 285,514 | Sell | 06/14/13 | 82,074 | 82,092 | (18 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | Polish Zloty | 18,718,850 | Sell | 06/14/13 | 5,684,000 | 5,714,270 | (30,270 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | EU Euro | 60,839 | Sell | 04/19/13 | 78,110 | 77,994 | 116 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 84,793,472 | Sell | 04/19/13 | 2,728,000 | 2,718,469 | 9,531 | |||||||||||||||||||||||
JPMorgan Chase & Co. | EU Euro | 4,361,736 | Sell | 04/19/13 | 5,662,000 | 5,591,718 | 70,282 | |||||||||||||||||||||||
JPMorgan Chase & Co. | EU Euro | 18,444 | Sell | 04/19/13 | 23,937 | 23,645 | 292 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Turkish Lira | 4,599,692 | Sell | 06/14/13 | 2,501,000 | 2,518,393 | (17,393 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Brazilian Real | 11,842,640 | Sell | 04/05/13 | 5,728,000 | 5,858,537 | (130,537 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 55,812,960 | Sell | 04/19/13 | 1,808,000 | 1,789,357 | 18,643 | |||||||||||||||||||||||
$ | 931,556 |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
U.S. Treasury 2-Year Note | 333 | 06/28/13 | $ | 73,410,889 | $ | (5,637 | ) | |||||||||||
U.S. Treasury 5-Year Note | 132 | 06/28/13 | 16,375,219 | 18,233 | ||||||||||||||
U.S. Treasury Ultra Long Bond | 173 | 06/19/13 | 27,263,719 | (300,523 | ) | |||||||||||||
$ | 117,049,827 | $ | (287,927 | ) | ||||||||||||||
Short Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | (422 | ) | 06/19/13 | $ | (55,697,409 | ) | $ | (190,661 | ) | |||||||||
U.S. Treasury Long Bond | (243 | ) | 06/19/13 | (35,105,906 | ) | (106,738 | ) | |||||||||||
$ | (90,803,315 | ) | $ | (297,399 | ) |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
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 | $ | 7,482 | $ | 40,077 | $ | (32,595 | ) | ||||||||||||||||||||||
Citigroup, Inc. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 640,000 | 3,653 | 20,385 | (16,732 | ) | |||||||||||||||||||||||||
JPMorgan Chase & Co. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 5,079,000 | 28,987 | 84,496 | (55,509 | ) | |||||||||||||||||||||||||
$ | 40,122 | $ | 144,958 | $ | (104,836 | ) |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/Receive Fixed Rate (%) | Termination Date | Implied Credit Spread at 03/31/13 (%) (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 | 79.017 | USD 1,311,000 | $ | (349,873 | ) | $ | (50,685 | ) | $ | (299,188 | ) | |||||||||||||||||||||||
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 79.017 | USD 641,000 | (171,067 | ) | (22,718 | ) | (148,349 | ) | ||||||||||||||||||||||||||
Goldman Sachs & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 79.017 | USD 1,271,000 | (339,198 | ) | (44,475 | ) | (294,723 | ) | ||||||||||||||||||||||||||
JPMorgan Chase & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 79.017 | USD 2,540,000 | (677,863 | ) | (44,604 | ) | (633,259 | ) | ||||||||||||||||||||||||||
$ | (1,538,001 | ) | $ | (162,482 | ) | $ | (1,375,519 | ) |
(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 Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting market values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
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 | $ | (1,135,707 | ) | $ | — | $ | (1,135,707 | ) | ||||||||||||
Receive a fixed rate equal to 5.590% and pay a floating rate based on the 28-day MXN-TIE-BANXICO Counterparty: Deutsche Bank AG | 03/14/23 | MXN 63,599,000 | 12,706 | — | 12,706 | |||||||||||||||||
$ | (1,123,001 | ) | $ | — | $ | (1,123,001 | ) |
ING INTERMEDIATE BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||
---|---|---|---|---|---|---|---|---|
Asset Derivatives | ||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 2,836,073 | |||||
Credit contracts | Upfront payments paid on OTC swap agreements | 144,958 | ||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 12,706 | ||||||
Interest rate contracts | Net Assets — Unrealized appreciation* | 18,233 | ||||||
Total Asset Derivatives | $ | 3,011,970 | ||||||
Liability Derivatives | ||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 2,786,944 | |||||
Credit contracts | Upfront payments received on OTC swap agreements | 162,482 | ||||||
Credit contracts | Unrealized depreciation on OTC swap agreements | 1,480,355 | ||||||
Interest rate contracts | Unrealized depreciation on OTC swap agreements | 1,135,707 | ||||||
Interest rate contracts | Net Assets — Unrealized depreciation* | 603,559 | ||||||
Total Liability Derivatives | $ | 6,169,047 |
* | 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 | $ | (1,256,003 | ) | $ | — | $ | — | $ | (1,164,521 | ) | $ | 137,214 | $ | (2,283,310 | ) | ||||||||||||
Foreign exchange contracts | (585,513 | ) | (1,650,304 | ) | — | — | 148,002 | (2,087,815 | ) | ||||||||||||||||||
Interest rate contracts | (766,038 | ) | — | (1,919,192 | ) | (4,819,426 | ) | 139,783 | (7,364,873 | ) | |||||||||||||||||
Total | $ | (2,607,554 | ) | $ | (1,650,304 | ) | $ | (1,919,192 | ) | $ | (5,983,947 | ) | $ | 424,999 | $ | (11,735,998 | ) | ||||||||||
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 | $ | — | $ | — | $ | (1,126,377 | ) | $ | — | $ | (965,179 | ) | |||||||||||||
Foreign exchange contracts | 92,400 | 1,732,789 | — | — | (126,078 | ) | 1,699,111 | ||||||||||||||||||||
Interest rate contracts | — | — | (501,104 | ) | 1,196,994 | — | 695,890 | ||||||||||||||||||||
Total | $ | 253,598 | $ | 1,732,789 | $ | (501,104 | ) | $ | 70,617 | $ | (126,078 | ) | $ | 1,429,822 |
* | 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 SHORT TERM BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 64.7% | |||||||||||||||||||
Consumer Discretionary: 4.7% | |||||||||||||||||||
682,000 | Home Depot, Inc., 5.250%–5.400%, 12/16/13–03/01/16 | $ | 755,975 | 0.4 | |||||||||||||||
662,000 | NBCUniversal Media, LLC, 3.650%, 04/30/15 | 701,578 | 0.4 | ||||||||||||||||
724,000 | Walt Disney Co., 1.100%, 12/01/17 | 724,654 | 0.4 | ||||||||||||||||
5,752,000 | Other Securities | 6,199,966 | 3.5 | ||||||||||||||||
8,382,173 | 4.7 | ||||||||||||||||||
Consumer Staples: 7.0% | |||||||||||||||||||
856,000 | Coca-Cola Co., 0.750%–1.800%, 03/13/15–09/01/16 | 874,633 | 0.5 | ||||||||||||||||
747,000 | PepsiCo, Inc., 0.700%, 08/13/15 | 748,555 | 0.4 | ||||||||||||||||
420,000 | L | PepsiCo, Inc., 1.250%, 08/13/17 | 421,959 | 0.3 | |||||||||||||||
671,000 | Philip Morris International, Inc., 2.500%, 05/16/16 | 706,795 | 0.4 | ||||||||||||||||
936,000 | Procter & Gamble Co., 0.700%–1.450%, 08/15/14–08/15/16 | 954,326 | 0.5 | ||||||||||||||||
408,000 | # | SABMiller Holdings, Inc., 1.850%, 01/15/15 | 414,760 | 0.2 | |||||||||||||||
7,962,000 | Other Securities | 8,332,907 | 4.7 | ||||||||||||||||
12,453,935 | 7.0 | ||||||||||||||||||
Energy: 4.5% | |||||||||||||||||||
718,000 | ConocoPhillips, 4.600%–5.200%, 01/15/15–05/15/18 | 799,873 | 0.4 | ||||||||||||||||
666,000 | Shell International Finance BV, 3.100%, 06/28/15 | 704,318 | 0.4 | ||||||||||||||||
6,268,000 | Other Securities | 6,517,372 | 3.7 | ||||||||||||||||
8,021,563 | 4.5 | ||||||||||||||||||
Financials: 29.2% | |||||||||||||||||||
450,000 | # | ABN AMRO Bank NV, 1.375%, 01/22/16 | 450,585 | 0.2 | |||||||||||||||
417,000 | # | American Honda Finance Corp., 1.000%, 08/11/15 | 418,737 | 0.2 | |||||||||||||||
200,000 | # | American Honda Finance Corp., 1.850%, 09/19/14 | 203,540 | 0.1 | |||||||||||||||
740,000 | American International Group, Inc., 5.600%, 10/18/16 | 841,683 | 0.5 | ||||||||||||||||
1,076,000 | Bank of America Corp., 1.500%, 10/09/15 | 1,080,219 | 0.6 | ||||||||||||||||
660,000 | Bank of America Corp., 3.750%, 07/12/16 | 702,562 | 0.4 | ||||||||||||||||
805,000 | Bank of New York Mellon Corp., 1.200%, 02/20/15 | 814,475 | 0.4 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
995,000 | Bank of Nova Scotia, 0.750%–2.550%, 10/09/15–01/12/17 | $ | 1,010,804 | 0.6 | |||||||||||||||
870,000 | Barclays Bank PLC, 5.000%, 09/22/16 | 978,031 | 0.5 | ||||||||||||||||
978,000 | BB&T Corp., 1.600%–5.200%, 04/28/14–08/15/17 | 1,011,223 | 0.6 | ||||||||||||||||
500,000 | # | BBVA Banco Continental SA, 2.250%, 07/29/16 | 493,350 | 0.3 | |||||||||||||||
330,000 | Berkshire Hathaway Finance Corp., 1.600%, 05/15/17 | 337,024 | 0.2 | ||||||||||||||||
819,000 | Berkshire Hathaway Finance Corp., 2.450%, 12/15/15 | 859,718 | 0.5 | ||||||||||||||||
200,000 | # | BNP Paribas Home Loan Covered Bonds SA, 2.200%, 11/02/15 | 206,770 | 0.1 | |||||||||||||||
1,062,000 | Caterpillar Financial Services Corp., 0.700%–1.100%, 05/29/15–02/26/16 | 1,065,608 | 0.6 | ||||||||||||||||
698,000 | Citigroup, Inc., 2.650%, 03/02/15 | 717,612 | 0.4 | ||||||||||||||||
1,178,000 | Citigroup, Inc., 1.250%–6.000%, 12/13/13–04/01/16 | 1,182,199 | 0.7 | ||||||||||||||||
744,000 | Credit Suisse/New York NY, 3.500%, 03/23/15 | 784,566 | 0.4 | ||||||||||||||||
700,000 | # | Daimler Finance North America LLC, 1.250%, 01/11/16 | 702,932 | 0.4 | |||||||||||||||
781,000 | Fifth Third Bancorp., 3.625%, 01/25/16 | 835,521 | 0.5 | ||||||||||||||||
920,000 | General Electric Capital Corp., 4.875%, 03/04/15 | 992,898 | 0.5 | ||||||||||||||||
1,025,000 | General Electric Capital Corp., 1.000%–4.750%, 09/15/14–12/11/15 | 1,051,344 | 0.6 | ||||||||||||||||
762,000 | Goldman Sachs Group, Inc., 0.805%, 01/12/15 | 759,022 | 0.4 | ||||||||||||||||
791,000 | Goldman Sachs Group, Inc., 0.702%–3.625%, 02/07/14–02/07/16 | 813,901 | 0.5 | ||||||||||||||||
180,000 | # | Hyundai Capital America, 1.625%, 10/02/15 | 181,340 | 0.1 | |||||||||||||||
541,000 | # | International Lease Finance Corp., 6.500%, 09/01/14 | 578,870 | 0.3 | |||||||||||||||
834,000 | John Deere Capital Corp., 0.750%–1.600%, 03/03/14–01/22/16 | 841,330 | 0.5 | ||||||||||||||||
975,000 | JPMorgan Chase & Co., 3.150%, 07/05/16 | 1,034,678 | 0.6 | ||||||||||||||||
866,000 | JPMorgan Chase & Co., 3.700%, 01/20/15 | 909,585 | 0.5 |
ING SHORT TERM BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
312,000 | # | MassMutual Global Funding II, 3.125%, 04/14/16 | $ | 331,973 | 0.2 | ||||||||||||||
470,000 | # | MetLife Institutional Funding II, 1.625%, 04/02/15 | 477,940 | 0.3 | |||||||||||||||
245,000 | # | Metropolitan Life Global Funding I, 1.700%, 06/29/15 | 250,316 | 0.1 | |||||||||||||||
1,003,000 | Morgan Stanley, 1.750%–6.000%, 01/24/14–01/09/17 | 1,064,673 | 0.6 | ||||||||||||||||
535,000 | National Australia Bank Ltd./New York, 1.600%, 08/07/15 | 544,656 | 0.3 | ||||||||||||||||
300,000 | # | National Australia Bank Ltd., 1.250%, 03/08/18 | 299,581 | 0.2 | |||||||||||||||
294,000 | # | New York Life Global Funding, 1.300%, 01/12/15 | 298,041 | 0.2 | |||||||||||||||
288,000 | # | Principal Life Global Funding II, 0.904%, 07/09/14 | 289,842 | 0.1 | |||||||||||||||
650,000 | Prudential Financial, Inc., 3.875%, 01/14/15 | 684,181 | 0.4 | ||||||||||||||||
1,225,000 | Royal Bank of Canada, 0.850%–1.500%, 03/08/16–01/16/18 | 1,232,936 | 0.7 | ||||||||||||||||
812,000 | US Bancorp, 2.200%, 11/15/16 | 848,139 | 0.5 | ||||||||||||||||
22,959,000 | Other Securities (a) | 23,776,579 | 13.4 | ||||||||||||||||
51,958,984 | 29.2 | ||||||||||||||||||
Health Care: 6.6% | |||||||||||||||||||
550,000 | # | AbbVie, Inc., 1.200%, 11/06/15 | 554,626 | 0.3 | |||||||||||||||
625,000 | Genentech, Inc., 4.750%, 07/15/15 | 681,321 | 0.4 | ||||||||||||||||
689,000 | GlaxoSmithKline Capital PLC, 0.750%, 05/08/15 | 692,430 | 0.4 | ||||||||||||||||
784,000 | Pfizer, Inc., 5.350%, 03/15/15 | 856,551 | 0.5 | ||||||||||||||||
500,000 | # | Valeant Pharmaceuticals International, 6.750%, 10/01/17 | 539,375 | 0.3 | |||||||||||||||
300,000 | # | Zoetis, Inc., 1.150%, 02/01/16 | 301,033 | 0.2 | |||||||||||||||
7,761,000 | Other Securities | 8,033,283 | 4.5 | ||||||||||||||||
11,658,619 | 6.6 | ||||||||||||||||||
Industrials: 1.9% | |||||||||||||||||||
3,306,000 | Other Securities | 3,425,359 | 1.9 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Information Technology: 3.7% | |||||||||||||||||||
1,113,000 | International Business Machines Corp., 0.550%–1.950%, 02/06/15–07/22/16 | $ | 1,131,515 | 0.6 | |||||||||||||||
724,000 | Intel Corp., 1.350%–1.950%, 10/01/16–12/15/17 | 735,592 | 0.4 | ||||||||||||||||
892,000 | Oracle Corp., 1.200%–3.750%, 07/08/14–10/15/17 | 907,788 | 0.5 | ||||||||||||||||
3,732,000 | Other Securities | 3,806,273 | 2.2 | ||||||||||||||||
6,581,168 | 3.7 | ||||||||||||||||||
Materials: 2.5% | |||||||||||||||||||
675,000 | EI du Pont de Nemours & Co., 1.750%, 03/25/14 | 683,744 | 0.4 | ||||||||||||||||
96,000 | # | Xstrata Canada Financial Corp., 2.850%, 11/10/14 | 98,428 | 0.0 | |||||||||||||||
330,000 | # | Xstrata Finance Canada Ltd., 1.800%, 10/23/15 | 333,959 | 0.2 | |||||||||||||||
3,225,000 | Other Securities | 3,359,583 | 1.9 | ||||||||||||||||
4,475,714 | 2.5 | ||||||||||||||||||
Telecommunication Services: 2.2% | |||||||||||||||||||
1,112,000 | L | AT&T, Inc., 0.800%–5.625%, 12/01/15–12/01/17 | 1,145,155 | 0.7 | |||||||||||||||
1,293,000 | Verizon Communications, Inc., 1.950%, 03/28/14 | 1,311,778 | 0.7 | ||||||||||||||||
1,288,000 | Other Securities | 1,359,044 | 0.8 | ||||||||||||||||
3,815,977 | 2.2 | ||||||||||||||||||
Utilities: 2.4% | |||||||||||||||||||
500,000 | # | Calpine Corp., 7.250%, 10/15/17 | 532,500 | 0.3 | |||||||||||||||
690,000 | Georgia Power Co., 0.625%, 11/15/15 | 690,071 | 0.4 | ||||||||||||||||
362,000 | Georgia Power Co., 0.750%, 08/10/15 | 363,512 | 0.2 | ||||||||||||||||
2,568,000 | Other Securities | 2,655,943 | 1.5 | ||||||||||||||||
4,242,026 | 2.4 | ||||||||||||||||||
Total Corporate Bonds/Notes (Cost $114,805,273) | 115,015,518 | 64.7 | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 5.2% | |||||||||||||||||||
290,813 | # | BAMLL-DB Trust, 2.343%, 04/13/29 | 295,310 | 0.2 | |||||||||||||||
447,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.621%, 07/10/43 | 453,998 | 0.2 | ||||||||||||||||
160,000 | # | Commercial Mortgage Pass Through Certificates, 3.424%, 03/10/31 | 164,000 | 0.1 |
ING SHORT TERM BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
45,000 | # | CSMC Series 2009-RR3, 5.342%, 12/15/43 | $ | 51,395 | 0.0 | ||||||||||||||
100,000 | # | Del Coronado Trust, 4.000%, 03/15/26 | 100,000 | 0.1 | |||||||||||||||
150,000 | # | GS Mortgage Securities Trust 2013-NYC5 A, 2.318%, 01/10/30 | 153,809 | 0.1 | |||||||||||||||
170,000 | # | GS MTG, 1.050%, 11/08/29 | 171,119 | 0.1 | |||||||||||||||
192,918 | # | JP Morgan Chase Commercial Mortgage Securities Corp., 4.158%, 01/12/39 | 197,164 | 0.1 | |||||||||||||||
11,283 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.247%, 01/12/43 | 11,380 | 0.0 | ||||||||||||||||
662,538 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.298%–5.792%, 05/15/47–02/15/51 | 678,788 | 0.4 | ||||||||||||||||
774,000 | LB-UBS Commercial Mortgage Trust, 5.347%, 11/15/38 | 878,466 | 0.5 | ||||||||||||||||
454,881 | LB-UBS Commercial Mortgage Trust, 5.150%–5.300%, 04/15/30–11/15/38 | 480,457 | 0.3 | ||||||||||||||||
270,000 | Morgan Stanley Capital I Trust 2006-TOP21, 5.185%, 10/12/52 | 273,559 | 0.2 | ||||||||||||||||
39,000 | Morgan Stanley Capital I Trust 2007-TOP25, 5.514%, 11/12/49 | 44,674 | 0.0 | ||||||||||||||||
296,000 | Morgan Stanley Capital I Trust 2007-TOP27, 5.651%, 06/11/42 | 347,266 | 0.2 | ||||||||||||||||
1,118,954 | Morgan Stanley Capital I, 4.989%–5.649%, 08/13/42–04/12/49 | 1,149,868 | 0.6 | ||||||||||||||||
100,000 | # | Motel 6 Trust, 1.500%, 10/05/25 | 100,765 | 0.1 | |||||||||||||||
273,000 | # | Motel 6 Trust, 1.948%, 10/05/25 | 275,580 | 0.1 | |||||||||||||||
136,619 | # | NorthStar 2012-1 Mortgage Trust, 1.404%, 08/25/29 | 136,796 | 0.1 | |||||||||||||||
3,100,333 | Other Securities | 3,185,546 | 1.8 | ||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $9,152,031) | 9,149,940 | 5.2 | |||||||||||||||||
ASSET-BACKED SECURITIES: 10.0% | |||||||||||||||||||
Automobile Asset-Backed Securities: 2.5% | |||||||||||||||||||
884,000 | CarMax Auto Owner Trust, 0.890%–1.250%, 06/15/17–08/17/18 | 892,819 | 0.5 | ||||||||||||||||
481,000 | # | Hyundai Auto Lease Securitization Trust, 0.660%, 06/15/16 | 481,141 | 0.3 | |||||||||||||||
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Automobile Asset-Backed Securities: (continued) | |||||||||||||||||||
768,000 | Hyundai Auto Receivables Trust, 0.750%, 09/17/18 | $ | 768,254 | 0.4 | |||||||||||||||
700,000 | SMART Trust/Australia, 1.050%, 10/14/18 | 698,338 | 0.4 | ||||||||||||||||
1,622,000 | Other Securities | 1,630,813 | 0.9 | ||||||||||||||||
4,471,365 | 2.5 | ||||||||||||||||||
Credit Card Asset-Backed Securities: 0.6% | |||||||||||||||||||
582,000 | Citibank Credit Card Issuance Trust, 5.650%, 09/20/19 | 697,778 | 0.4 | ||||||||||||||||
418,000 | Other Securities | 417,360 | 0.2 | ||||||||||||||||
1,115,138 | 0.6 | ||||||||||||||||||
Other Asset-Backed Securities: 6.9% | |||||||||||||||||||
437,942 | # | Aimco CDO, 0.552%, 10/20/19 | 428,708 | 0.2 | |||||||||||||||
500,000 | # | Apidos CDO II, 1.101%, 12/21/18 | 469,816 | 0.3 | |||||||||||||||
421,581 | # | ARES X CLO Ltd., 2.280%, 09/18/17 | 418,843 | 0.2 | |||||||||||||||
250,000 | # | Atrium III, 2.287%, 10/27/16 | 244,529 | 0.1 | |||||||||||||||
500,000 | # | Atrium IV, 1.030%, 06/08/19 | 480,046 | 0.3 | |||||||||||||||
371,650 | # | Black Diamond CLO Ltd., 0.550%, 06/20/17 | 369,781 | 0.2 | |||||||||||||||
370,826 | # | Castle Garden Funding, 0.547%, 10/27/20 | 366,575 | 0.2 | |||||||||||||||
250,000 | # | Castle Garden Funding, 1.037%, 10/27/20 | 239,692 | 0.1 | |||||||||||||||
300,000 | # | Castle Garden Funding, 5.037%, 10/27/20 | 300,399 | 0.2 | |||||||||||||||
500,000 | # | Clydesdale CLO 2005 Ltd, 0.755%, 12/06/17 | 487,777 | 0.3 | |||||||||||||||
500,000 | # | Clydesdale Strategic CLO Ltd., 1.289%, 01/20/17 | 498,090 | 0.3 | |||||||||||||||
447,778 | # | Emporia Preferred Funding II Corp., 0.583%, 10/18/18 | 443,479 | 0.3 | |||||||||||||||
575,000 | # | Emporia Preferred Funding, 0.803%, 10/18/18 | 543,567 | 0.3 | |||||||||||||||
404,718 | # | Grayston CLO Ltd., 1.590%, 08/15/16 | 404,754 | 0.2 | |||||||||||||||
375,000 | # | Gulf Stream — Compass CLO 2005-I Ltd, 2.190%, 05/15/17 | 359,248 | 0.2 | |||||||||||||||
500,000 | # | Gulf Stream — Compass CLO 2005-II Ltd, 1.102%, 01/24/20 | 473,682 | 0.3 | |||||||||||||||
300,000 | # | Gulf Stream — Sextant CLO 2006-1 Ltd., 0.989%, 08/21/20 | 277,516 | 0.1 | |||||||||||||||
500,000 | # | Gulf Stream — Sextant CLO Ltd., 0.629%, 08/21/20 | 485,983 | 0.3 |
ING SHORT TERM BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
475,000 | # | Gulf Stream Compass CLO Ltd., 0.710%, 05/15/17 | $ | 471,702 | 0.3 | ||||||||||||||
500,000 | # | Hewett’s Island CLO II Ltd., 2.680%, 12/15/16 | 499,970 | 0.3 | |||||||||||||||
350,000 | # | Integral Funding, Inc., 4.804%, 09/27/17 | 349,965 | 0.2 | |||||||||||||||
500,000 | # | Katonah VI Ltd., 2.480%, 09/20/16 | 500,220 | 0.3 | |||||||||||||||
475,000 | # | Landmark IV CDO Ltd, 2.430%, 12/15/16 | 469,275 | 0.2 | |||||||||||||||
500,000 | # | Landmark VI CDO Ltd, 0.805%, 01/14/18 | 485,826 | 0.3 | |||||||||||||||
392,683 | # | Lightpoint CLO Ltd., 0.540%, 09/15/17 | 387,428 | 0.2 | |||||||||||||||
250,000 | # | Madison Park Funding I Ltd., 2.192%, 05/10/19 | 242,399 | 0.1 | |||||||||||||||
300,000 | # | Marathon CLO I Ltd, 2.201%, 07/26/19 | 298,887 | 0.2 | |||||||||||||||
375,870 | # | Whitney CLO Ltd., 0.737%, 03/01/17 | 374,601 | 0.2 | |||||||||||||||
839,000 | Other Securities | 839,008 | 0.5 | ||||||||||||||||
12,211,766 | 6.9 | ||||||||||||||||||
Total Asset-Backed Securities (Cost $17,803,165) | 17,798,269 | 10.0 | |||||||||||||||||
FOREIGN GOVERNMENT BONDS: 0.6% | |||||||||||||||||||
Foreign Government Securities: 0.6% | |||||||||||||||||||
1,000,000 | Svenska Handelsbanken AB, 0.362%, 05/04/14 | 999,524 | 0.6 | ||||||||||||||||
Total Foreign Government Bonds (Cost $999,500) | 999,524 | 0.6 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 2.8% | |||||||||||||||||||
U.S. Treasury Bonds: 0.3% | |||||||||||||||||||
550,000 | Other Securities | 557,477 | 0.3 | ||||||||||||||||
U.S. Treasury Notes: 2.5% | |||||||||||||||||||
2,317,000 | 0.250%, due 02/28/15 | 2,317,544 | 1.3 | ||||||||||||||||
1,935,000 | 0.375%, due 03/15/16 | 1,936,664 | 1.1 | ||||||||||||||||
226,000 | 0.750%, due 02/28/18–03/31/18 | 226,002 | 0.1 | ||||||||||||||||
4,480,210 | 2.5 | ||||||||||||||||||
Total U.S. Treasury Obligations (Cost $5,026,649) | 5,037,687 | 2.8 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 13.8% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 5.3%## | |||||||||||||||||||
1,802,828 | 4.500%, due 09/01/41 | 1,960,782 | 1.1 | ||||||||||||||||
2,044,222 | 5.000%, due 07/15/39 | 2,184,958 | 1.2 | ||||||||||||||||
2,163,036 | 5.500%, due 07/01/38 | 2,372,397 | 1.4 | ||||||||||||||||
817,596 | 5.500%, due 07/01/38 | 914,236 | 0.5 | ||||||||||||||||
786,766 | 5.500%, due 02/01/39 | 865,994 | 0.5 | ||||||||||||||||
988,295 | 5.500%, due 01/01/37–10/01/38 | 1,096,384 | 0.6 | ||||||||||||||||
9,394,751 | 5.3 | ||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Federal National Mortgage Association: 7.3%## | |||||||||||||||||||
899,170 | 3.000%, due 12/25/39 | $ | 924,320 | 0.5 | |||||||||||||||
1,119,053 | 3.000%, due 04/25/40 | 1,167,267 | 0.7 | ||||||||||||||||
937,050 | 3.000%, due 05/25/40 | 970,384 | 0.5 | ||||||||||||||||
937,000 | W | 3.500%, due 09/25/41 | 989,706 | 0.6 | |||||||||||||||
1,194,755 | 3.500%, due 12/01/42 | 1,262,781 | 0.7 | ||||||||||||||||
1,013,450 | 4.000%, due 10/25/50 | 1,061,400 | 0.6 | ||||||||||||||||
1,055,519 | 4.500%, due 10/25/40 | 1,106,487 | 0.6 | ||||||||||||||||
1,492,735 | 5.000%, due 01/01/23 | 1,612,081 | 0.9 | ||||||||||||||||
731,773 | 5.000%, due 07/01/34 | 797,488 | 0.4 | ||||||||||||||||
317,690 | 5.500%, due 10/25/32 | 319,723 | 0.2 | ||||||||||||||||
2,536,218 | 5.500%, due 08/01/36 | 2,816,682 | 1.6 | ||||||||||||||||
13,028,319 | 7.3 | ||||||||||||||||||
Government National Mortgage Association: 1.2% | |||||||||||||||||||
1,990,483 | 4.000%, due 02/20/43 | 2,154,962 | 1.2 | ||||||||||||||||
Total U.S. Government Agency Obligations (Cost $24,479,384) | 24,578,032 | 13.8 | |||||||||||||||||
Total Long-Term Investments (Cost $172,266,002) | 172,578,970 | 97.1 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 1.7% | |||||||||||||||||||
Commercial Paper: 0.3% | |||||||||||||||||||
500,000 | Vodafone, 4.000%, 01/02/14 (Cost $497,560) | 497,560 | 0.3 | ||||||||||||||||
Securities Lending Collateralcc(1): 0.7% | |||||||||||||||||||
226,857 | Citigroup, Inc., Repurchase Agreement dated 03/28/13, 0.15%, due 04/01/13 (Repurchase Amount $226,861, collateralized by various U.S. Government Securities, 0.250%–6.125%, Market Value plus accrued interest $231,395, due 10/31/13–02/15/43) | 226,857 | 0.1 | ||||||||||||||||
1,000,000 | Mizuho Securities USA Inc., Repurchase Agreement dated 03/28/13, 0.28%, due 04/01/13 (Repurchase Amount $1,000,031, collateralized by various U.S. Government /U.S. Government Agency Obligations, 0.000%–9.000%, Market Value plus accrued interest $1,020,001, due 02/15/14–04/15/54) | 1,000,000 | 0.6 | ||||||||||||||||
1,226,857 | 0.7 |
ING SHORT TERM BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Mutual Funds: 0.7% | |||||||||||||||||||
1,282,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $1,282,000) | $ | 1,282,000 | 0.7 | |||||||||||||||
Total Short-Term Investments (Cost $3,006,417) | 3,006,417 | 1.7 | |||||||||||||||||
Total Investments in Securities (Cost $175,272,419) | $ | 175,585,387 | 98.8 | ||||||||||||||||
Assets in Excess of Other Liabilities | 2,077,854 | 1.2 | |||||||||||||||||
Net Assets | $ | 177,663,241 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. |
cc | Securities purchased with cash collateral for securities loaned. |
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 March 31, 2013. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
(a) | This grouping contains securities on loan. |
Cost for federal income tax purposes is $175,273,366. | |||||||
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 471,565 | |||||
Gross Unrealized Depreciation | (159,544 | ) | |||||
Net Unrealized Appreciation | $ | 312,021 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 3/31/2013 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 115,015,518 | $ | — | $ | 115,015,518 | ||||||||||
Collateralized Mortgage Obligations | — | 9,149,940 | — | 9,149,940 | ||||||||||||||
Short-Term Investments | 1,282,000 | 1,724,417 | — | 3,006,417 | ||||||||||||||
Foreign Government Bonds | — | 999,524 | — | 999,524 | ||||||||||||||
U.S. Treasury Obligations | — | 5,037,687 | — | 5,037,687 | ||||||||||||||
Asset-Backed Securities | — | 17,798,269 | — | 17,798,269 | ||||||||||||||
U.S. Government Agency Obligations | — | 24,578,032 | — | 24,578,032 | ||||||||||||||
Total Investments, at fair value | $ | 1,282,000 | $ | 174,303,387 | $ | — | $ | 175,585,387 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 4,944 | — | — | 4,944 | ||||||||||||||
Total Assets | $ | 1,286,944 | $ | 174,303,387 | $ | — | $ | 175,590,331 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (132,814 | ) | $ | — | $ | — | $ | (132,814 | ) | ||||||||
Total Liabilities | $ | (132,814 | ) | $ | — | $ | — | $ | (132,814 | ) | ||||||||
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. |
ING SHORT TERM BOND FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
U.S. Treasury 2-Year Note | 212 | 06/28/13 | $ | 46,736,061 | $ | (2,687 | ) | |||||||||||
U.S. Treasury Long Bond | 13 | 06/19/13 | 1,878,094 | 4,944 | ||||||||||||||
$ | 48,614,155 | $ | 2,257 | |||||||||||||||
Short Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | (245 | ) | 06/19/13 | $ | (32,336,173 | ) | $ | (126,983 | ) | |||||||||
U.S. Treasury 5-Year Note | (23 | ) | 06/28/13 | (2,853,258 | ) | (3,144 | ) | |||||||||||
$ | (35,189,431 | ) | $ | (130,127 | ) |
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* | $ | 4,944 | |||||||
Total Asset Derivatives | $ | 4,944 | ||||||||
Liability Derivatives | ||||||||||
Interest rate contracts | Net Assets — Unrealized depreciation* | $ | 132,814 | |||||||
Total Liability Derivatives | $ | 132,814 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Interest rate contracts | $ | (78,381 | ) | |||
Total | $ | (78,381 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Interest rate contracts | $ | (127,870 | ) | |||
Total | $ | (127,870 | ) |
ING STRATEGIC INCOME FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT COMPANIES: 80.8% | |||||||||||||||||||
Affiliated Investment Companies: 80.8% | |||||||||||||||||||
99,862 | ING Floating Rate Fund — Class I | $ | 1,026,584 | 20.1 | |||||||||||||||
61,592 | ING Emerging Markets Corporate Debt Fund Class P | 644,257 | 12.6 | ||||||||||||||||
24,994 | ING Emerging Markets Hard Currency Sovereign Debt Fund Class P | 252,438 | 4.9 | ||||||||||||||||
88,932 | ING Emerging Markets Local Currency Debt Fund Class P | 903,545 | 17.6 | ||||||||||||||||
157,428 | ING High Yield Bond Fund — Class I | 1,311,371 | 25.6 | ||||||||||||||||
Total Investment Companies (Cost $4,083,819) | 4,138,195 | 80.8 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: 3.8% | |||||||||||||||||||
10,000 | Banc of America Commercial Mortgage Trust 2007–3, 5.623%, 06/10/49 | 9,882 | 0.2 | ||||||||||||||||
12,798 | Banc of America Alternative Loan Trust 2007–2, 6.000%, 06/25/37 | 10,228 | 0.2 | ||||||||||||||||
10,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.339%, 07/10/43 | 10,320 | 0.2 | |||||||||||||||
10,000 | # | First Union National Bank Com Mort Pas Thr Cert Ser 2001 C4, 6.000%, 12/12/33 | 10,116 | 0.2 | |||||||||||||||
10,000 | GS Mort Sec Corp. II Commercial Mort Ps Thr Cert Ser 2004–GG2, 5.644%, 08/10/38 | 9,203 | 0.2 | ||||||||||||||||
1,000,000 | #, ˆ | JP Morgan Chase Commercial Mortgage Securities Corp., 0.361%, 12/15/47 | 28,656 | 0.5 | |||||||||||||||
16,580 | JP Morgan Mortgage Trust 2006–S4, 6.000%, 01/25/37 | 14,759 | 0.3 | ||||||||||||||||
10,000 | LB Commercial Conduit Mortgage Trust, 5.864%, 07/15/44 | 11,584 | 0.2 | ||||||||||||||||
10,000 | LB Commercial Mortgage Trust 2007– C3, 5.864%, 07/15/44 | 9,858 | 0.2 | ||||||||||||||||
10,000 | LB-UBS Commercial Mortgage Trust 2005– C3, 4.954%, 07/15/40 | 9,704 | 0.2 | ||||||||||||||||
10,000 | LB-UBS Commercial Mortgage Trust 2005– C3, 5.013%, 07/15/40 | 8,508 | 0.2 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
10,000 | LB-UBS Commercial Mortgage Trust 2000–C4, 8.150%, 07/15/32 | $ | 10,674 | 0.2 | |||||||||||||||
10,000 | LB-UBS Commercial Mortgage Trust 2004–C6, 5.206%, 08/15/36 | 9,916 | 0.2 | ||||||||||||||||
99,870 | ˆ | Morgan Stanley Bank of America Merrill Lynch Trust, 1.530%, 12/15/48 | 8,343 | 0.1 | |||||||||||||||
10,000 | # | Morgan Stanley Capital I Trust 2004–HQ3, 5.079%, 01/13/41 | 10,023 | 0.2 | |||||||||||||||
18,160 | Prime Mortgage Trust 2007–1, 5.500%, 03/25/37 | 15,650 | 0.3 | ||||||||||||||||
10,000 | # | Salomon Brothers Mortgage Securities VII, Inc., 7.000%, 05/18/32 | 10,140 | 0.2 | |||||||||||||||
Total Collateralized Mortgage Obligations (Cost $197,407) | 197,564 | 3.8 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 15.7% | |||||||||||||||||||
Federal National Mortgage Association: 10.5%## | |||||||||||||||||||
342,000 | W | 3.000%, due 05/01/43 | 351,886 | 6.9 | |||||||||||||||
145,000 | W | 3.500%, due 09/25/41 | 153,156 | 3.0 | |||||||||||||||
190,441 | ˆ | 3.500%, due 10/20/41 | 29,567 | 0.6 | |||||||||||||||
534,609 | 10.5 | ||||||||||||||||||
Government National Mortgage Association: 5.2% | |||||||||||||||||||
250,000 | W | 3.500%, due 05/15/43 | 268,164 | 5.2 | |||||||||||||||
Total U.S. Government Agency Obligations (Cost $794,777) | 802,773 | 15.7 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 12.2% | |||||||||||||||||||
U.S. Treasury Bonds: 5.4% | |||||||||||||||||||
88,000 | 2.000%, due 02/15/23 | 89,196 | 1.8 | ||||||||||||||||
199,000 | 2.750%, due 11/15/42 | 184,884 | 3.6 | ||||||||||||||||
274,080 | 5.4 | ||||||||||||||||||
U.S. Treasury Notes: 6.8% | |||||||||||||||||||
70,000 | 0.250%, due 02/28/15 | 70,016 | 1.3 | ||||||||||||||||
40,000 | 0.375%, due 03/15/16 | 40,034 | 0.8 | ||||||||||||||||
137,000 | 0.750%, due 02/28/18 | 137,054 | 2.7 | ||||||||||||||||
82,000 | 0.750%, due 03/31/18 | 81,949 | 1.6 | ||||||||||||||||
20,000 | 1.250%, due 02/29/20 | 20,051 | 0.4 | ||||||||||||||||
349,104 | 6.8 | ||||||||||||||||||
Total U.S. Treasury Obligations (Cost $620,559) | 623,184 | 12.2 | |||||||||||||||||
Total Long-Term Investments (Cost $5,696,562) | 5,761,716 | 112.5 |
ING STRATEGIC INCOME FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 0.3% | |||||||||||||||||||
Mutual Funds: 0.3% | |||||||||||||||||||
15,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $15,000) | $ | 15,000 | 0.3 | |||||||||||||||
Total Short-Term Investments (Cost $15,000) | 15,000 | 0.3 | |||||||||||||||||
Total Investments in Securities (Cost $5,711,562) | $ | 5,776,716 | 112.8 | ||||||||||||||||
Liabilities in Excess of Other Assets | (655,862 ) | (12.8 | ) | ||||||||||||||||
Net Assets | $ | 5,120,854 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. |
W | Settlement is on a when-issued or delayed-delivery basis. |
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 $5,711,672. | |||||||
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 70,731 | |||||
Gross Unrealized Depreciation | (5,687 | ) | |||||
Net Unrealized Appreciation | $ | 65,044 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 3/31/2013 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 197,564 | $ | — | $ | 197,564 | ||||||||||
Investment Companies | 4,138,195 | — | — | 4,138,195 | ||||||||||||||
U.S. Treasury Obligations | — | 623,184 | — | 623,184 | ||||||||||||||
U.S. Government Agency Obligations | — | 802,773 | — | 802,773 | ||||||||||||||
Short-Term Investments | 15,000 | — | — | 15,000 | ||||||||||||||
Total Investments, at fair value | $ | 4,153,195 | $ | 1,623,521 | $ | — | $ | 5,776,716 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 1,613 | — | — | 1,613 | ||||||||||||||
Total Assets | $ | 4,154,808 | $ | 1,623,521 | $ | — | $ | 5,778,329 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (8,290 | ) | $ | — | $ | — | $ | (8,290 | ) | ||||||||
Total Liabilities | $ | (8,290 | ) | $ | — | $ | — | $ | (8,290 | ) | ||||||||
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. |
ING STRATEGIC INCOME FUND | SUMMARY PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2013 (CONTINUED) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
U.S. Treasury 2-Year Note | 3 | 06/28/13 | $ | 661,359 | $ | (51 | ) | |||||||||||
U.S. Treasury 5-Year Note | 5 | 06/28/13 | 620,273 | 1,613 | ||||||||||||||
U.S. Treasury Ultra Long Bond | 1 | 06/19/13 | 157,594 | (1,737 | ) | |||||||||||||
$ | 1,439,226 | $ | (175 | ) | ||||||||||||||
Short Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | (5 | ) | 06/19/13 | $ | (659,922 | ) | $ | (4,747 | ) | |||||||||
U.S. Treasury Long Bond | (2 | ) | 06/19/13 | (288,937 | ) | (1,755 | ) | |||||||||||
$ | (948,859 | ) | $ | (6,502 | ) |
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* | $ | 1,613 | |||||||
Total Asset Derivatives | $ | 1,613 | ||||||||
Liability Derivatives | ||||||||||
Interest rate contracts | Net Assets — Unrealized depreciation* | $ | 8,290 | |||||||
Total Liability Derivatives | $ | 8,290 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | Swaps | Total | |||||||||||||||||||||||
Credit Contracts | $ | — | $ | 2,606 | $ | 2,606 | ||||||||||||||||||||
Interest rate contracts | (13,490 | ) | — | (13,490 | ) | |||||||||||||||||||||
Total | $ | (13,490 | ) | $ | 2,606 | $ | (10,884 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Interest rate contracts | $ | (6,677 | ) | |||
Total | $ | (6,677 | ) |
Fund Name | Type | Per Share Amount | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
ING GNMA Income Fund | ||||||||||
Class A | NII | $ | 0.2914 | |||||||
Class B | NII | $ | 0.2222 | |||||||
Class C | NII | $ | 0.2253 | |||||||
Class I | NII | $ | 0.3158 | |||||||
Class W | NII | $ | 0.3139 | |||||||
All Classes | STCG | $ | 0.0359 | |||||||
All Classes | LTCG | $ | 0.0162 | |||||||
All Classes | ROC | $ | 0.0222 | |||||||
ING High Yield Bond Fund | ||||||||||
Class A | NII | $ | 0.4933 | |||||||
Class B | NII | $ | 0.4323 | |||||||
Class C | NII | $ | 0.4336 | |||||||
Class I | NII | $ | 0.5226 | |||||||
Class W | NII | $ | 0.5239 | |||||||
ING Intermediate Bond Fund | ||||||||||
Class A | NII | $ | 0.4790 | |||||||
Class B | NII | $ | 0.4007 | |||||||
Class C | NII | $ | 0.4023 | |||||||
Class I | NII | $ | 0.5090 | |||||||
Class O | NII | $ | 0.4791 | |||||||
Class R | NII | $ | 0.4550 | |||||||
Class W | NII | $ | 0.5077 | |||||||
ING Short Term Bond Fund | ||||||||||
Class A | NII | $ | 0.0025 | |||||||
Class C | NII | $ | — | |||||||
Class I | NII | $ | 0.0216 | |||||||
Class W | NII | $ | 0.0069 | |||||||
ING Strategic Income Fund | ||||||||||
Class A | NII | $ | 0.0612 | |||||||
Class C | NII | $ | 0.0506 | |||||||
Class I | NII | $ | 0.0659 | |||||||
Class R | NII | $ | 0.0581 | |||||||
Class W | NII | $ | 0.0655 |
ING Intermediate Bond Fund | 0.77 | % |
ING Intermediate Bond Fund | 0.77 | % |
ING GNMA Income Fund | 99.36 | % | ||||
ING High Yield Bond Fund | 98.83 | % | ||||
ING Intermediate Bond Fund | 99.51 | % | ||||
ING Short Term Bond Fund | 98.10 | % | ||||
ING Strategic Income Fund | 6.88 | % |
Name, Address and Age | Position(s) Held with the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee(2) | Other Board Positions Held by Trustee | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees: | |||||||||||||||||||||||
Colleen D. Baldwin 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 52 | Trustee | November 2007–Present | President, Glantuam Partners, LLC, a business consulting firm (January 2009– Present). | 142 | None. | ||||||||||||||||||
John V. Boyer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 59 | Trustee | January 2005–Present | President and Chief Executive Officer, Bechtler Arts Foundation, an arts and education foundation (January 2008–Present). | 142 | None. | ||||||||||||||||||
Patricia W. Chadwick 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 64 | Trustee | January 2006–Present | Consultant and President, Ravengate Partners LLC, a consulting firm that provides advice regarding financial markets and the global economy (January 2000–Present). | 142 | Wisconsin Energy Corporation (June 2006–Present) and The Royce Fund, (35 funds) (December 2009–Present). | ||||||||||||||||||
Peter S. Drotch 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 71 | Trustee | November 2007–Present | Retired. | 142 | First Marblehead Corporation (September 2003–Present). | ||||||||||||||||||
J. Michael Earley 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 67 | Trustee | February 2002–Present | Retired. Formerly, Banking President and Chief Executive Officer, Bankers Trust Company, N.A., Des Moines (June 1992–December 2008). | 142 | None. | ||||||||||||||||||
Patrick W. Kenny 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 70 | Trustee | January 2005–Present | Retired. Formerly, President and Chief Executive Officer, International Insurance Society (June 2001– June 2009). | 142 | Assured Guaranty Ltd. (April 2004–Present). | ||||||||||||||||||
Sheryl K. Pressler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 62 | Trustee | January 2006–Present | Consultant (May 2001– Present). | 142 | Stillwater Mining Company (May 2002–Present). | ||||||||||||||||||
Roger B. Vincent 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 67 | Chairperson/ Trustee | February 2002–Present | Retired. Formerly, President, Springwell Corporation, a corporate finance firm (March 1989–August 2011). | 142 | UGI Corporation (February 2006–Present) and UGI Utilities, Inc. (February 2006–Present). |
Name, Address and Age | Position(s) Held with the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee(2) | Other Board Positions Held by Trustee | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Trustees who are “Interested Persons”: | |||||||||||||||||||||||
Robert W. Crispin(3) 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 66 | Trustee | November 2007–Present | Retired. | 142 | Intact Financial Corporation (December 2004–Present) and PFM Group (November 2010– Present). | ||||||||||||||||||
Shaun P. Mathews(3) 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | Trustee | November 2007– Present | President and Chief Executive Officer, ING Investments, LLC (November 2006– Present). | 176 | ING Capital Corporation, LLC (December 2005–Present). |
(1) | Subject to the Board’s retirement policy, Trustees serve until their successors are duly elected and qualified. The Board’s retirement policy states that each duly elected or appointed Trustee who is not an “interested person” of the Trust, as defined in the 1940 Act (“Independent Trustees”), shall retire from service as a Trustee at the close of business on December 31 of the calendar year in which the Trustee reaches the age of 73. A majority vote of the Board’s other Independent Trustees may extend the retirement date of a Trustee if such retirement would trigger a requirement to hold a meeting of shareholders of the Trust under applicable law, whether for purposes of appointing a successor to the Trustee or if otherwise necessary to comply with applicable law, in which case the extension would apply until such time as the shareholder meeting can be held or is no longer required (as determined by a vote of a majority of the other Independent Trustees). |
(2) | Except for Mr. Mathews and for the purposes of this table, “Fund Complex” means the following investment companies: ING Asia Pacific High Dividend Equity Income Fund; ING Emerging Markets High Dividend Equity Fund; ING Emerging Markets Local Bond Fund; ING Equity Trust; ING Funds Trust; ING Global Equity Dividend and Premium Opportunity Fund; ING Global Advantage and Premium Opportunity Fund; ING Global Strategic Income Fund; ING Infrastructure, Industrials and Materials Fund; ING International High Dividend Equity Income Fund; ING Investors Trust; ING Mayflower Trust; ING Mutual Funds; ING Partners, Inc.; ING Prime Rate Trust; ING Risk Managed Natural Resources Fund; ING Senior Income Fund; ING Separate Portfolios Trust; ING Short Duration High Income Fund; ING Variable Insurance Trust; and ING Variable Products Trust. For Mr. Mathews, the ING Fund Complex also includes the following investment companies: ING Balanced Portfolio, Inc.; ING Intermediate Bond Portfolio; ING Money Market Portfolio; ING Series Fund, Inc.; ING Strategic Allocation Portfolios, Inc.; ING Variable Funds; and ING Variable Portfolios, Inc. Therefore, for the purposes of this table with reference to Mr. Mathews, “Fund Complex” includes these investment companies. The number of funds in the ING Fund Complex is as of March 31, 2013. |
(3) | Messrs. Crispin and Mathews are deemed “Interested Persons” of the Trust because of their current or prior affiliation with ING Groep, N.V., the parent corporation of the Investment Adviser(s) and the Distributor. |
Name, Address and Age | Position(s) Held With the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s)— During the Past 5 Years | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shaun P. Mathews 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | President and Chief Executive Officer | November 2006–Present | President and Chief Executive Officer, ING Investments, LLC (November 2006–Present). | |||||||||||
Michael J. Roland 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Executive Vice President | February 2002–Present | Managing Director and Chief Operating Officer, ING Investments, LLC and ING Funds Services, LLC (April 2012–Present) and Chief Compliance Officer, Directed Services LLC and ING Investments, LLC (March 2011– Present). Formerly, Executive Vice President and Chief Operating Officer, ING Investments, LLC and ING Funds Services, LLC (January 2007– April 2012) and Chief Compliance Officer, ING Funds (March 2011– February 2012). | |||||||||||
Stanley D. Vyner 230 Park Avenue New York, New York 10169 Age: 62 | Executive Vice President Chief Investment Risk Officer | October 2000–Present September 2009–Present | Executive Vice President, ING Investments, LLC (July 2000–Present) and Chief Investment Risk Officer, ING Investments, LLC (January 2003– Present). | |||||||||||
Kevin M. Gleason 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 46 | Chief Compliance Officer | February 2012–Present | Senior Vice President, ING Investments, LLC (February 2012– Present). Formerly, Assistant General Counsel and Assistant Secretary, The Northwestern Mutual Life Insurance Company (June 2004–January 2012). | |||||||||||
Todd Modic 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | March 2005–Present | Senior Vice President, ING Funds Services, LLC (March 2005–Present). | |||||||||||
Kimberly A. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 48 | Senior Vice President | November 2003–Present | Senior Vice President, ING Investments, LLC (October 2003– Present). | |||||||||||
Robert Terris 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 42 | Senior Vice President | May 2006–Present | Senior Vice President, Head of Division Operations, ING Funds Services, LLC (January 2006–Present). | |||||||||||
Julius A. Drelick, III 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 46 | Senior Vice President | July 2012–Present | Senior Vice President—Fund Compliance, ING Funds Services, LLC (June 2012–Present). Formerly, Vice President—Platform Product Management & Project Management, ING Investments, LLC (April 2007– June 2012). | |||||||||||
Fred Bedoya 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 40 | Vice President and Treasurer | September 2012–Present | Vice President, ING Funds Services, LLC (March 2012–Present). Formerly, Assistant Vice President—Director, ING Funds Services, LLC (March 2003– March 2012). | |||||||||||
Robyn L. Ichilov 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Vice President | October 2000–Present | Vice President and Treasurer, ING Funds Services, LLC (November 1995– Present) and ING Investments, LLC (August 1997–Present). Formerly, Treasurer, ING Funds (November 1999–February 2012). | |||||||||||
Maria M. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Vice President | September 2004–Present | Vice President, ING Funds Services, LLC (September 2004–Present). |
Name, Address and Age | Position(s) Held With the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s)— During the Past 5 Years | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lauren D. Bensinger 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 59 | Vice President | February 2003–Present | Vice President, ING Investments, LLC and ING Funds Services, LLC (February 1996–Present); Director of Compliance, ING Investments, LLC (October 2004–Present); and Vice President and Money Laundering Reporting Officer, ING Investments Distributor, LLC (April 2010–Present). Formerly, Chief Compliance Officer, ING Investments Distributor, LLC (August 1995–April 2010). | |||||||||||
Jason Kadavy 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 37 | Vice President | September 2012–Present | Vice President, ING Funds Services, LLC (July 2007–Present). | |||||||||||
Kimberly K. Springer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 55 | Vice President | March 2006–Present | Vice President—Platform Product Management & Project Management, ING Investments, LLC (July 2012– Present); Vice President, ING Investment Management—ING Funds (March 2010–Present) and Vice President, ING Funds Services, LLC (March 2006–Present). Formerly Managing Paralegal, Registration Statements (June 2003–July 2012). | |||||||||||
Craig Wheeler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 43 | Assistant Vice President | May 2008–Present | Vice President—Director of Tax, ING Funds Services, LLC (March 2013– Present). Formerly, Assistant Vice President—Director of Tax, ING Funds Services, LLC (March 2008–March 2013). | |||||||||||
Huey P. Falgout, Jr. 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 49 | Secretary | August 2003–Present | Senior Vice President and Chief Counsel, ING Investment Management—ING Funds (March 2010–Present). Formerly, Chief Counsel, ING Americas, U.S. Legal Services (October 2003–March 2010). | |||||||||||
Theresa K. Kelety 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 50 | Assistant Secretary | August 2003–Present | Vice President and Senior Counsel, ING Investment Management—ING Funds (March 2010–Present). Formerly, Senior Counsel, ING Americas, U.S. Legal Services (April 2008–March 2010) and Counsel, ING Americas, U.S. Legal Services (April 2003–April 2008). | |||||||||||
Paul A. Caldarelli 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 61 | Assistant Secretary | June 2010–Present | Vice President and Senior Counsel, ING Investment Management—ING Funds (March 2010–Present). Formerly, Senior Counsel, ING Americas, U.S. Legal Services (April 2008–March 2010) and Counsel, ING Americas, U.S. Legal Services (May 2005–April 2008). |
(1) | The Officers hold office until the next annual meeting of the Board of Trustees and until their successors shall have been elected and qualified. |
committees and the Board as part of the process of approving any new sub-adviser for such Fund.
Adviser. In this regard, the Board also noted that the Adviser (and not a Fund) pays the sub-advisory fees earned by the Sub-Adviser.
renewal process, different Board members may have given different weight to different individual factors and related conclusions.
Advisory and Sub-Advisory Contracts for the Fund for the year ending November 30, 2013. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
compensation under the Sub-Advisory Contract in light of the services to be provided by ING IM as the Fund’s Sub-Adviser; (7) ING IM’s operations and compliance program, including its policies and procedures intended to assure compliance with Federal securities laws, which had been reviewed and evaluated by the Trust’s Chief Compliance Officer; (8) the appropriateness of the selection of ING IM in light of the Fund’s investment objectives and prospective investor base; and (9) ING IM’s Code of Ethics, which was previously approved by the Board.
and its affiliates that were anticipated to arise from the Adviser’s management of the Fund.
agreements that may become effective upon certain Change of Control Events in the future will permit the Funds to benefit from the continuation of services by the Adviser, Sub-Adviser and their affiliates throughout the Separation Plan without the need for multiple shareholder meetings. The Board was informed by the Adviser and its counsel that the Adviser is seeking to obtain regulatory assurances that the staff of the SEC would not object to approval of future agreements by shareholders at this time.
1. | The Independent Trustees solicited and received ongoing advice regarding the Board’s legal duties from K&L Gates, legal counsel for such Board members, which law firm has extensive experience regarding such matters. |
2. | The Independent Trustees established an Ad Hoc IPO Transaction Committee (the “IPO Committee”), consisting exclusively of Independent Trustees, to help oversee, coordinate, and perform portions of the Board’s due diligence activities. In this connection, the IPO Committee considered, among other matters, relevant legal guidance and the processes followed by certain other investment company boards of directors or trustees when they approved contracts in connection with Change of Control events. |
3. | The Independent Trustees, with assistance from K&L Gates, prepared written inquiries to the Adviser and its affiliates regarding the IPO, including details regarding ING U.S.’s anticipated business plan for continuing operations after the IPO and potential Change of Control Events. |
4. | The Board received and evaluated written responses from the Adviser and its affiliates pursuant to inquiries made on the Board’s behalf. These evaluations were conducted through a series of separate meetings by the Board’s Audit Committee, Compliance Committee, Contracts Committee, Domestic Equity Funds Investment Review Committee, International/Balanced/Fixed Income Funds Investment Review Committee, Nominating and Governance Committee, and IPO Committee (collectively, the “Committees”), and by the Independent Trustees (which, at times, included one or both Board members who are not Independent Trustees). With respect to services to be rendered to the Funds by ING U.S. during implementation of the Separation Plan, each Committee evaluated matters relating to those services typically overseen by such Committee (and, in the case of the IPO Committee, relevant matters not otherwise assigned to a standing Committee). Future references herein to actions taken by the Board or the Independent Trustees may include, in some instances, actions taken by one or more of the Committees. |
5. | The Board requested and participated in a series of in-person and/or telephonic meetings involving presentations from senior management personnel at ING U.S. (including its Chief Executive Officer, Chief Operating Officer, Chief Risk Officer, Head of Corporate Development, Head of Proprietary Investments, and the heads of each proposed primary operating unit of ING U.S.), as well as from senior management of the Adviser and its affiliates, including senior human resources personnel, senior investment personnel, and senior compliance personnel at the Sub-Adviser. The Board also requested and had such meetings with the Fund’s Chief Compliance Officer and Chief Investment Risk Officer who, as a matter of course, report directly to the Board or its Committees. |
6. | The Board received and reviewed the preliminary Form S-1 that contained extensive information relating to, among other matters, ING U.S.’s anticipated business plans and financial structure. In this connection, the Board considered, among other matters: the anticipated arrangements between ING Groep and ING U.S. over the course of the Separation Plan; the anticipated use of potential proceeds of the capital that would be raised through the Form S-1 offering (including that portion of potential proceeds that may be retained by ING Groep and that portion that may be dedicated to the capitalization and operations of ING U.S., including its asset management operations); the potential short-term and long-term financial consequences to ING U.S. of the closed book of variable annuity business that would be maintained by ING U.S.-affiliated insurance companies; and other information provided by the Adviser and its affiliates. |
7. | K&L Gates retained Grail Partners LLC (“Grail”), an independent investment banking firm with extensive experience relating to business operations such as those to be conducted by ING U.S., in order to help K&L Gates evaluate and advise the Board with respect to, among other matters, details of ING U.S.’s anticipated business plan and financial capitalization as set forth in its Form S-1 and related information provided by the Adviser and its affiliates, including the potential implications to the Adviser and its non-insurance affiliates of insurance regulations and related capitalization matters. The Independent Trustees or IPO Committee members attended certain in-person and telephone conference call meetings at which Grail rendered advice to K&L Gates regarding these matters and responded to questions. |
8. | The Independent Trustees, the Board, and many of its Committees held in-person meetings on November 27, 28, and 29, 2012 during which, among other actions, they evaluated the responsive due diligence information provided to date by the Adviser and its affiliates, and considered input from K&L Gates, Grail, and others regarding the Form S-1. At the conclusion of these meetings, the Independent Trustees and the Committees posed to the Adviser and its affiliates a series of follow-up information requests. |
9. | Among the follow-up actions arising from the November 27, 28, and 29 meetings, the Independent Trustees requested and received written assurances that the Adviser and its affiliates: are committed to maintaining appropriate levels of overall staffing, ongoing resources and service quality; and throughout the time period during which the Separation Plan is implemented, will notify and consult with the Board in advance if management proposes to take certain actions with respect to these matters. The Board considered that such services include, but are not limited to, portfolio management services, administrative services, and regulatory compliance services. In this regard, the Board considered representations by the Adviser and its affiliates that their separation from ING Groep as contemplated by the Separation Plan will not lead to a reduction in the quality or scope of these and other services provided by those firms to the Funds. The Board also considered that the importance of the asset management operations to the overall success of ING U.S., as described by the Form S-1 and during presentations by senior ING U.S. management personnel, could provide a strong incentive to ING U.S. to provide appropriate resource allocations to support those asset management operations. |
10. | The Board considered representations by the Adviser and its affiliates that approval of the Proposed Agreements would be necessary for the Funds to continue receiving investment management services from the Adviser and Sub-Adviser following the Change of Control Events contemplated by the Separation Plan. |
11. | The Board considered representations by the Adviser and its affiliates, as well as related supporting documentation, indicating that the Proposed Agreements, including the fees payable thereunder, are substantially similar to and, in any event, are no less favorable to the Funds than, the terms of the corresponding Current Agreements. |
12. | The Board considered that, to the extent that the Proposed Agreements do have changes, those changes are designed to benefit shareholders and/or to provide management, subject to Board supervision, with greater flexibility to manage the Funds in a manner consistent with stated investment objectives. In this connection, the Board considered, among other matters, the Adviser’s representation that no material changes would be made to the Proposed Agreements, as compared to the Current Agreements, with respect to the material contractual terms that were previously negotiated under which the Funds and their Adviser and Sub-Adviser currently operate, including contractual provisions relating to fees and expenses. |
13. | The Board considered representations by the Adviser and its affiliates, including senior investment management personnel, as well as related supporting documentation, indicating that: (a) the Adviser and Sub-Adviser can be expected to provide services of the same nature, extent and quality under the Proposed Agreements as are provided thereby under the Current Agreements; and (b) the Separation Plan is not expected to result in any changes to: (i) the management of the Funds, including the continuity of the Funds’ portfolio managers and other personnel responsible for the management operations of the Funds; or (ii) the investment objective of or the principal investment strategies used to manage any of the Funds. |
14. | The Board considered the steps by the Adviser and its affiliates that have been taken and are planned to be taken to retain the employment of key personnel, including incentive compensation plan arrangements, as well as the overall positive indications by many such personnel regarding the opportunities presented by the Separation Plan to create and grow an investment management operation that is independent from other ING Groep banking and insurance operations that will not be part of ING U.S. |
15. | The Board considered that the Adviser and its affiliates have agreed to bear all expenses associated with obtaining shareholder approval of the Proposed Agreements. |
16. | The Board considered ING U.S.’s preliminary “branding” plans regarding the future name of its asset management operations, as well as its anticipated ability to continue to use the “ING” brand name for such operations for a period of time following the IPO. |
17. | The Board considered the advice provided by Dechert LLP, legal counsel to the Funds and the Adviser, with respect to the Proposed Agreements (including advice relating to the process and timing of seeking shareholder approval of the Proposed Agreements, and whether shareholder approvals would be required in connection with any future aspects of the Separation Plan following the IPO) and regarding the Board’s role and responsibilities with respect to ING Groep’s restructuring. |
18. | The Board considered the legal obligation of ING Groep under the Separation Plan to divest its ownership interest in ING U.S., as well as certain potential advantages and disadvantages to shareholders of the Funds of this divestiture, and certain potential advantages and disadvantages of alternative divestiture actions that ING Groep might be forced to take if the Proposed Agreements are not approved by the Board or by shareholders of the Funds. |
19. | The Board considered peer group and benchmark investment performance comparison data relating to the Fund that was more current than related comparison data considered by it in connection with the November 29, 2012 approvals of the Current Agreements. |
20. | The Board considered actions taken by the Adviser subsequent to the November 29, 2012 approvals of the Current Agreements with respect to certain ING Funds in response to requests made by the Board in connection with those approvals. |
21. | The Board considered the potential benefits to be realized by the Adviser and its affiliates as a result of the Proposed Agreements. |
22. | The Board considered that, if shareholders approve the Proposed Agreements, the Board currently expects to continue to conduct an annual contracts review process consistent with the process it would have conducted had the Current Agreements continued in effect and not been replaced by the Proposed Agreements, notwithstanding the two-year initial term set forth in the Proposed Agreements. For example, if the Proposed Agreements are approved by shareholders in 2013, the Board would not legally be required to review or renew those contracts until 2015. However, the Board currently intends to conduct annual reviews of such contracts in 2013 and 2014, and ING has consented to this process. Thus, the Board emphasized that it would be able to, and intends to, monitor on a regular basis the ability of the Adviser and its affiliates to comply with their undertakings to the Board and to monitor on an ongoing basis the quality of services to, and expenses of, the Funds. In addition, the Board considered that, under the Proposed Agreements, it will continue to have the authority, should the need arise in its view, to terminate any of the Proposed Agreements without penalty upon 60 days’ notice. |
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
Accounting Firm
KPMG LLP
Two Financial Center
60 South Street
Boston, Massachusetts 02111
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Dechert
1900 K Street, N.W.
Washington, D.C. 20006
AR-UFIALL (0313-052413) |
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 | 7 | |||||
Report of Independent Registered Public Accounting Firm | 8 | |||||
Statement of Assets and Liabilities | 9 | |||||
Statement of Operations | 10 | |||||
Statements of Changes in Net Assets | 11 | |||||
Financial Highlights | 12 | |||||
Notes to Financial Statements | 13 | |||||
Portfolio of Investments | 21 | |||||
Tax Information | 28 | |||||
Trustee and Officer Information | 29 | |||||
Advisory Contract Approval Discussion | 33 |
Go Paperless with E-Delivery! | |||||||||||
Sign up now for on-line prospectuses, fund reports, and proxy statements. In less than five minutes, you can help reduce paper mail and lower fund costs. | |||||||||||
Just go to www.inginvestment.com, click on the E-Delivery icon from the home page, follow the directions and complete the quick 5 Steps to Enroll. | |||||||||||
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
May 1, 2013
The views expressed in the President’s Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and 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 | |||||
---|---|---|---|---|---|---|
Barclays High Yield Bond — 2% Issuer Constrained Composite Index | An unmanaged index that includes all fixed income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity. | |||||
Barclays 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 U.S. Corporate Investment Grade Bond Index | An unmanaged index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. | |||||
Barclays U.S. Treasury Index | An unmanaged index that includes public obligations of the U.S. Treasury. Treasury bills, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS and STRIPS, are excluded. | |||||
MSCI Europe ex UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK. | |||||
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. | |||||
MSCI UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. | |||||
MSCI World IndexSM | An unmanaged index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. | |||||
S&P 500® Index | An unmanaged index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. | |||||
S&P/Case-Shiller 20-City Composite Home Price Index | A composite index of the home price index for the top 20 Metropolitan Statistical Areas in the United States. The index is published monthly by Standard & Poor’s. | |||||
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 March 31, 2013 | ||||||||
---|---|---|---|---|---|---|---|---|
Ba | 34.8 | % | ||||||
B | 59.9 | % | ||||||
Caa and below | 4.3 | % | ||||||
Not rated* | 1.0 | % | ||||||
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. | ||||||||
* Not rated includes loans to non-U.S. borrowers (which are typically unrated) and loans for which the rating has been withdrawn. |
TOP TEN LOAN ISSUERS AS OF MARCH 31, 2013 AS A PERCENTAGE OF: | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
TOTAL ASSETS | NET ASSETS | |||||||||||||||
Univision Communications, Inc. | 1.6% | 1.7% | ||||||||||||||
BJs Wholesale Club | 1.5% | 1.6% | ||||||||||||||
Virgin Media Investment Holdings Limited | 1.3% | 1.4% | ||||||||||||||
Asurion, LLC | 1.1% | 1.2% | ||||||||||||||
Party City Holdings Inc. | 1.1% | 1.2% | ||||||||||||||
Delta Airlines, Inc. | 1.1% | 1.1% | ||||||||||||||
Univar Inc. | 1.0% | 1.1% | ||||||||||||||
Reynolds Group Holdings Inc. | 1.0% | 1.0% | ||||||||||||||
West Corp | 0.9% | 1.0% | ||||||||||||||
Avaya Inc. | 0.9% | 0.9% | ||||||||||||||
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 April 19, 2013 |
Average Annual Total Returns for the Period Ended March 31, 2013 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Class A, C, I, R and W August 17, 2010 | |||||||||||
Including Sales Charge: | ||||||||||||
Class A(1) | 4.71 | % | 4.91 | % | ||||||||
Class C(2) | 5.61 | % | 5.17 | % | ||||||||
Class I | 7.67 | % | 6.21 | % | ||||||||
Class R | 7.15 | % | 5.64 | % | ||||||||
Class W | 7.66 | % | 6.28 | % | ||||||||
Excluding Sales Charge: | ||||||||||||
Class A | 7.41 | % | 5.94 | % | ||||||||
Class C | 6.61 | % | 5.17 | % | ||||||||
Class I | 7.67 | % | 6.21 | % | ||||||||
Class R | 7.15 | % | 5.64 | % | ||||||||
Class W | 7.66 | % | 6.28 | % | ||||||||
S&P/LSTA Leveraged Loan(3) | 7.88 | % | 6.96 | % |
(1) | Reflects deduction of the maximum Class A sales charge of 2.50%. |
(2) | Reflects deduction of the Class C deferred sales charge of 1% for the since inception return. |
(3) | Since inception performance for index is shown from September 1, 2010. |
Actual Fund Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value October 1, 2012 | Ending Account Value March 31, 2013 | Annualized Expense Ratio | Expenses Paid During the Period Ended March 31, 2013* | Beginning Account Value October 1, 2012 | Ending Account Value March 31, 2013 | Annualized Expense Ratio | Expenses Paid During the Period Ended March 31, 2013* | ||||||||||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,036.10 | 1.01 | % | $5.13 | $ | 1,000.00 | $ | 1,019.90 | 1.01 | % | $5.09 | |||||||||||||||||||||
Class C | 1,000.00 | 1,032.30 | 1.76 | 8.92 | 1,000.00 | 1,016.16 | 1.76 | 8.85 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,037.40 | 0.76 | 3.86 | 1,000.00 | 1,021.14 | 0.76 | 3.83 | |||||||||||||||||||||||||||
Class R | 1,000.00 | 1,034.90 | 1.26 | 6.39 | 1,000.00 | 1,018.65 | 1.26 | 6.34 | |||||||||||||||||||||||||||
Class W | 1,000.00 | 1,037.30 | 0.76 | 3.86 | 1,000.00 | 1,021.14 | 0.76 | 3.83 |
* | Expenses are equal to the Fund’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 182/365 to reflect the most recent fiscal half-year. |
ING Funds Trust
May 24, 2013
ASSETS: | |||||||
Investments in securities at fair value (Cost $312,121,859) | $ | 316,675,598 | |||||
Short-term investments at fair value (Cost $47,500,000) | 47,500,000 | ||||||
Total Investments at fair value | 364,175,598 | ||||||
Cash | 4,178,923 | ||||||
Receivables: | |||||||
Investment securities sold | 1,216,088 | ||||||
Fund shares sold | 4,402,154 | ||||||
Interest | 964,783 | ||||||
Unrealized appreciation on unfunded commitments | 130 | ||||||
Prepaid expenses | 39,798 | ||||||
Reimbursement due from manager | 22,852 | ||||||
Total assets | 375,000,326 | ||||||
LIABILITIES: | |||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | 26,695,699 | ||||||
Payable for fund shares redeemed | 395,799 | ||||||
Income distribution payable | 96,604 | ||||||
Payable for investment management fees | 154,193 | ||||||
Payable for administrative fees | 28,035 | ||||||
Payable for shareholder service and distribution fees | 39,713 | ||||||
Accrued trustees fees | 2,580 | ||||||
Other accrued expenses and liabilities | 112,140 | ||||||
Total liabilities | 27,524,763 | ||||||
NET ASSETS | $ | 347,475,563 | |||||
NET ASSETS WERE COMPRISED OF: | |||||||
Paid-in capital | $ | 343,020,896 | |||||
Distributions in excess of net investment income | (97,568 | ) | |||||
Accumulated net realized loss | (1,634 | ) | |||||
Net unrealized appreciation | 4,553,869 | ||||||
NET ASSETS | $ | 347,475,563 | |||||
Class A: | |||||||
Net assets | $ | 35,918,470 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 3,493,608 | ||||||
Net asset value and redemption price per share | $ | 10.28 | |||||
Maximum offering price per share (2.50%)(1) | $ | 10.54 | |||||
Class C: | |||||||
Net assets | $ | 26,366,946 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 2,564,267 | ||||||
Net asset value and redemption price per share(2) | $ | 10.28 | |||||
Class I: | |||||||
Net assets | $ | 165,935,519 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 16,144,056 | ||||||
Net asset value and redemption price per share(2) | $ | 10.28 | |||||
Class R: | |||||||
Net assets | $ | 32,370,912 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 3,151,081 | ||||||
Net asset value and redemption price per share | $ | 10.27 | |||||
Class W: | |||||||
Net assets | $ | 86,883,716 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 8,434,002 | ||||||
Net asset value and redemption price per share | $ | 10.30 | |||||
__________________ | |||||||
(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 | $ | 15,020,858 | ||||
Amendment fees | 657,838 | |||||
Other | 325,752 | |||||
Total investment income | 16,004,448 | |||||
EXPENSES: | ||||||
Investment Management fees | 1,444,496 | |||||
Administration fees | 262,636 | |||||
Distribution and service fees: | ||||||
Class A | 42,857 | |||||
Class C | 118,177 | |||||
Class R | 112,518 | |||||
Transfer agent fees: | ||||||
Class A | 12,919 | |||||
Class C | 8,876 | |||||
Class I | 111,764 | |||||
Class R | 17,118 | |||||
Class W | 49,364 | |||||
Shareholder reporting expense | 16,480 | |||||
Custody and accounting expense | 142,965 | |||||
Registration fees | 80,282 | |||||
Professional fees | 57,193 | |||||
Trustees fees | 8,179 | |||||
Commitment fee | 24,928 | |||||
Miscellaneous expense | 16,418 | |||||
Interest Expense | 1,026 | |||||
Total expenses | 2,528,196 | |||||
Net waived and reimbursed fees | (258,001 | ) | ||||
Net expenses | 2,270,195 | |||||
Net investment income | 13,734,253 | |||||
REALIZED AND UNREALIZED GAIN: | ||||||
Net realized gain on investments | 1,442,191 | |||||
Net change in unrealized appreciation or depreciation on: | ||||||
Investments | 3,967,311 | |||||
Unfunded commitments | 43 | |||||
Net change in unrealized appreciation or depreciation | 3,967,354 | |||||
Net realized and unrealized gain | 5,409,545 | |||||
Increase in net assets resulting from operations | $ | 19,143,798 |
Year Ended March 31, 2013 | Year Ended March 31, 2012 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
FROM OPERATIONS: | ||||||||||
Net investment income | $ | 13,734,253 | $ | 10,875,221 | ||||||
Net realized gain (loss) | 1,442,191 | (767,770 | ) | |||||||
Net change in unrealized appreciation or depreciation | 3,967,354 | (1,397,199 | ) | |||||||
Net increase in net assets resulting from operations | 19,143,798 | 8,710,252 | ||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||
Net investment income: | ||||||||||
Class A | (871,877 | ) | (639,356 | ) | ||||||
Class C | (508,857 | ) | (203,884 | ) | ||||||
Class I | (7,906,748 | ) | (7,478,743 | ) | ||||||
Class R | (1,105,555 | ) | (561,087 | ) | ||||||
Class W | (3,482,103 | ) | (2,211,548 | ) | ||||||
Net realized gains: | ||||||||||
Class A | (57,784 | ) | (37,398 | ) | ||||||
Class C | (45,743 | ) | (30,562 | ) | ||||||
Class I | (339,006 | ) | (922,011 | ) | ||||||
Class R | (63,420 | ) | (87,338 | ) | ||||||
Class W | (167,918 | ) | (296,000 | ) | ||||||
Total distributions | (14,549,011 | ) | (12,467,927 | ) | ||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||
Net proceeds from sale of shares | 157,742,423 | 148,313,137 | ||||||||
Reinvestment of distributions | 13,381,586 | 11,355,771 | ||||||||
171,124,009 | 159,668,908 | |||||||||
Cost of shares redeemed | (88,506,704 | ) | (99,290,003 | ) | ||||||
Net increase in net assets resulting from capital share transactions | 82,617,305 | 60,378,905 | ||||||||
Net increase in net assets | 87,212,092 | 56,621,230 | ||||||||
NET ASSETS: | ||||||||||
Beginning of year | 260,263,471 | 203,642,241 | ||||||||
End of year | $ | 347,475,563 | $ | 260,263,471 | ||||||
Undistributed (distributions in excess of) net investment income at end of year | $ | (97,568 | ) | $ | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 10.10 | 0.52 | * | 0.21 | 0.73 | 0.53 | 0.02 | — | 0.55 | 10.28 | 7.41 | 1.11 | 1.01 | 1.01 | 5.08 | 35,918 | 101 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 10.10 | 0.44 | * | 0.21 | 0.65 | 0.45 | 0.02 | — | 0.47 | 10.28 | 6.61 | 1.86 | 1.76 | 1.76 | 4.33 | 26,367 | 101 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 10.10 | 0.54 | * | 0.21 | 0.75 | 0.55 | 0.02 | — | 0.57 | 10.28 | 7.67 | 0.86 | 0.76 | 0.76 | 5.33 | 165,936 | 101 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 10.09 | 0.49 | * | 0.21 | 0.70 | 0.50 | 0.02 | — | 0.52 | 10.27 | 7.15 | 1.36 | 1.26 | 1.26 | 4.84 | 32,371 | 101 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-13 | 10.12 | 0.54 | * | 0.21 | 0.75 | 0.55 | 0.02 | — | 0.57 | 10.30 | 7.66 | 0.86 | 0.76 | 0.76 | 5.34 | 86,844 | 101 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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. |
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.
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. |
Class A | Class C | Class R | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
0.25% | 1.00% | 0.50% |
upon certain redemptions for Class A and Class C shares. For the year ended March 31, 2013, the Distributor retained the following amounts in sales charges:
Class A | Class C | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Initial Sales Charges | $ | 25,907 | — | |||||||
Contingent Deferred Sales Charge | — | $ | 579 |
(as a percentage of average daily net assets)
Class C — 1.75%
Class I — 0.75%
Class R — 1.25%
Class W — 0.75%
March 31, | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2014 | 2015 | 2016 | Total | |||||||||||
$236,318 | $254,672 | $258,001 | $748,991 |
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 | 9.35 | % | ||||
ING Solution 2015 Portfolio | 6.51 | % | ||||
ING Solution 2025 Portfolio | 11.23 | % | ||||
ING Solution 2035 Portfolio | 9.78 | % |
Principal Amount | ||||||
---|---|---|---|---|---|---|
Leslie’s Poolmart, Inc. | $ | 8,000 |
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 | ||||||||||||||||||||||||||||||||||
3-31-13 | 2,722,982 | 81,409 | (327,508 | ) | 2,476,883 | 27,791,758 | 829,471 | (3,333,210 | ) | 25,288,019 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
3-31-13 | 2,059,895 | 36,736 | (266,013 | ) | 1,830,618 | 21,046,713 | 374,437 | (2,705,134 | ) | 18,716,016 | ||||||||||||||||||||||||
03-31-12 | 693,794 | 13,157 | (300,251 | ) | 406,700 | 7,013,924 | 131,384 | (2,975,715 | ) | 4,169,593 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
3-31-13 | 5,248,615 | 767,169 | (7,075,274 | ) | (1,059,490 | ) | 53,494,091 | 7,796,350 | (71,396,295 | ) | (10,105,854 | ) | ||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
3-31-13 | 1,619,269 | 114,941 | (219,259 | ) | 1,514,951 | 16,483,646 | 1,168,975 | (2,222,800 | ) | 15,429,821 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
3-31-13 | 3,813,346 | 315,035 | (868,891 | ) | 3,259,490 | 38,926,215 | 3,212,353 | (8,849,265 | ) | 33,289,303 | ||||||||||||||||||||||||
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 |
Year Ended March 31, 2013 | Year Ended March 31, 2012 | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Long-term Capital Gains | Ordinary Income | Long-term Capital Gains | ||||||||||||
$14,210,876 | $338,135 | $12,464,242 | $3,685 |
Undistributed Ordinary Income | Unrealized Appreciation/ (Depreciation) | |||||
---|---|---|---|---|---|---|
$6,047 | $4,546,188 |
end of 2013. In November 2012, the Restructuring Plan was amended to permit ING Groep additional time to complete the divestment. Pursuant to the amended Restructuring Plan, ING Groep must divest at least 25% of ING U.S. by the end of 2013, more than 50% by the end of 2014, and the remaining interest by the end of 2016 (such divestment, the “Separation Plan”).
Per Share Amount | Payable Date | Record Date | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class A | $0.0459 | May 1, 2013 | Daily | |||||||||||
Class C | $0.0395 | May 1, 2013 | Daily | |||||||||||
Class I | $0.0480 | May 1, 2013 | Daily | |||||||||||
Class R | $0.0438 | May 1, 2013 | Daily | |||||||||||
Class W | $0.0480 | May 1, 2013 | Daily |
These nominations are, in part, the result of an effort on the part of the Board, another board in the ING Fund complex, and the Investment Adviser to the Fund to consolidate the membership of the boards so that the same members serve on each board in the ING Fund complex. The result is that all ING Funds will be governed by a board made up of the same individuals.
AS OF MARCH 31, 2013
Principal Amount† | | | Borrower/Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Loans*: 91.1% | |||||||||||||||||||||||
Aerospace & Defense: 1.4% | |||||||||||||||||||||||
397,000 | Data Device Corp. (DDC), 1st Lien Term Loan, 7.500%, 06/15/18 | $ | 396,504 | 0.1 | |||||||||||||||||||
1,500,000 | Delta Airlines, Inc., Term Loan B-1, 5.250%, 10/15/18 | 1,525,782 | 0.4 | ||||||||||||||||||||
2,462,500 | Delta Airlines, Inc., New Term Loan, 4.500%, 04/20/17 | 2,496,359 | 0.7 | ||||||||||||||||||||
500,000 | DigitalGlobe Inc., Term Loan, 3.750%, 01/31/20 | 506,446 | 0.2 | ||||||||||||||||||||
4,925,091 | 1.4 | ||||||||||||||||||||||
Automotive: 3.1% | |||||||||||||||||||||||
500,000 | (1) | Avis Budget Car Rental, LLC, Term Loan B, 03/15/19 | 506,246 | 0.1 | |||||||||||||||||||
2,947,500 | Chrysler Group LLC, Term Loan B, 6.000%, 05/24/17 | 3,009,344 | 0.9 | ||||||||||||||||||||
1,246,875 | FleetPride Corporation, First Lien Term Loan, 5.250%, 12/31/19 | 1,264,799 | 0.3 | ||||||||||||||||||||
1,591,397 | Fram Group Holdings Inc., First Lien Term Loan, 6.500%, 07/28/17 | 1,614,604 | 0.5 | ||||||||||||||||||||
498,690 | Fram Group Holdings Inc., Second Lien Term Loan, 10.500%, 01/29/18 | 508,664 | 0.1 | ||||||||||||||||||||
1,001,239 | (1) | KAR Auction Services, Inc., Term Loan B, 05/15/17 | 1,013,128 | 0.3 | |||||||||||||||||||
1,396,500 | Metaldyne, LLC, Term Loan B, 5.000%, 12/15/18 | 1,420,939 | 0.4 | ||||||||||||||||||||
296,575 | Schrader International, Lux Term Loan, 6.250%, 04/30/18 | 302,507 | 0.1 | ||||||||||||||||||||
228,139 | Schrader International, US Term Loan, 6.250%, 04/30/18 | 232,702 | 0.1 | ||||||||||||||||||||
248,750 | Transtar Holding Company, 1st Lien Term Loan, 5.500%, 09/30/18 | 253,725 | 0.1 | ||||||||||||||||||||
733,860 | UCI International, Inc., Term Loan B, 5.500%, 07/26/17 | 740,740 | 0.2 | ||||||||||||||||||||
10,867,398 | 3.1 | ||||||||||||||||||||||
Beverage & Tobacco: 0.9% | |||||||||||||||||||||||
3,000,000 | ARAMARK, Term Loan D, 4.000%, 08/15/19 | 3,036,150 | 0.9 | ||||||||||||||||||||
Brokers, Dealers & Investment Houses: 0.7% | |||||||||||||||||||||||
1,750,000 | Nuveen Investments, Inc., First Lien Term Loan, 5.204%, 05/13/17 | 1,783,906 | 0.5 | ||||||||||||||||||||
500,000 | Nuveen Investments, Inc., 2nd Lien, 8.250%, 05/12/19 | 516,250 | 0.2 | ||||||||||||||||||||
2,300,156 | 0.7 | ||||||||||||||||||||||
Building & Development: 1.8% | |||||||||||||||||||||||
1,661,045 | Capital Automotive L.P., Term Loan, 5.250%, 03/11/17 | 1,672,724 | 0.5 | ||||||||||||||||||||
1,205,282 | Custom Building Products, Inc., Term Loan B, 6.000%, 12/14/19 | 1,226,374 | 0.4 | ||||||||||||||||||||
810,475 | NCI Building Systems, Inc., Term Loan, 8.000%, 06/21/18 | 823,139 | 0.2 | ||||||||||||||||||||
891,023 | Roofing Supply Group, Term Loan B, 5.000%, 05/31/19 | 904,667 | 0.3 | ||||||||||||||||||||
1,446,375 | Wilsonart LLC, Term Loan B, 5.500%, 10/31/19 | 1,469,427 | 0.4 | ||||||||||||||||||||
6,096,331 | 1.8 | ||||||||||||||||||||||
Business Equipment & Services: 12.1% | |||||||||||||||||||||||
1,198,682 | Acosta, Inc., Term Loan D, 5.000%, 03/02/18 | 1,215,164 | 0.4 | ||||||||||||||||||||
428,571 | Advantage Sales & Marketing, Inc., 2nd Lien Term Loan, 8.250%, 06/18/18 | 436,071 | 0.1 | ||||||||||||||||||||
1,208,970 | Advantage Sales & Marketing, Inc., Term Loan, 4.250%, 12/18/17 | 1,227,609 | 0.4 | ||||||||||||||||||||
1,985,025 | AlixPartners LLP, Term Loan B-2, 4.500%, 06/15/19 | 2,008,184 | 0.6 | ||||||||||||||||||||
500,000 | AlixPartners LLP, Second Lien Term Loan, 10.750%, 12/15/19 | 512,500 | 0.2 | ||||||||||||||||||||
1,750,000 | (1) | Avaya Inc., Term Loan B-5 Loan, 03/31/18 | 1,798,125 | 0.5 | |||||||||||||||||||
1,630,763 | Avaya Inc., Term Loan B-3, 4.812%, 10/26/17 | 1,541,637 | 0.4 | ||||||||||||||||||||
1,975,748 | Catalent Pharma Solutions, Inc., Incremental USD Term Loan B-2, 5.250%, 09/15/17 | 1,997,152 | 0.6 | ||||||||||||||||||||
623,438 | Corporate Executive Board, Term Loan B, 5.000%, 08/02/19 | 629,672 | 0.2 | ||||||||||||||||||||
2,232,003 | CorpSource Finance Holdings, LLC, 1st Lien Term Loan, 6.628%, 04/28/17 | 2,237,583 | 0.6 | ||||||||||||||||||||
613,882 | CorpSource Finance Holdings, LLC, 2nd Lien Term Loan, 10.500%, 04/29/18 | 620,021 | 0.2 | ||||||||||||||||||||
822,938 | First American Payment Systems, 1st Lien Term Loan, 5.750%, 09/30/18 | 831,167 | 0.2 | ||||||||||||||||||||
375,000 | First American Payment Systems, 2nd Lien, 10.750%, 03/30/19 | 380,156 | 0.1 | ||||||||||||||||||||
1,000,000 | (1) | First Data Corporation, Extended 2017 US Term Loan, 03/23/17 | 1,008,672 | 0.3 | |||||||||||||||||||
1,500,000 | First Data Corporation, Extended 2018 Dollar Term Loan, 4.211%, 03/23/18 | 1,497,937 | 0.4 | ||||||||||||||||||||
498,750 | Garda World Security Corp., Term Loan B, 4.500%, 10/31/19 | 505,764 | 0.2 | ||||||||||||||||||||
414,042 | GCA Services, Term Loan B, 5.250%, 10/31/19 | 416,113 | 0.1 | ||||||||||||||||||||
522,375 | Genpact International, Inc., Term Loan B, 4.250%, 08/31/19 | 530,646 | 0.2 | ||||||||||||||||||||
3,225,392 | Go Daddy Operating Company, LLC, Term Loan, 4.250%, 12/17/18 | 3,248,237 | 0.9 | ||||||||||||||||||||
500,000 | Interactive Data Corporation, Term Loan B, 3.750%, 02/11/18 | 506,407 | 0.2 | ||||||||||||||||||||
450,000 | (1) | Intertrust Group, Term Loan B, 02/04/20 | 451,687 | 0.1 | |||||||||||||||||||
1,480,000 | Mercury Payment Systems LLC, Term Loan B Inc, 5.500%, 07/01/17 | 1,505,900 | 0.4 | ||||||||||||||||||||
1,200,938 | Property Data I, Inc., Term Loan B, 7.000%, 12/21/16 | 1,213,698 | 0.4 | ||||||||||||||||||||
498,750 | SGS International, Term Loan, 5.000%, 10/15/19 | 502,802 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | Borrower/Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Business Equipment & Services: (continued) | |||||||||||||||||||
725,000 | Sungard Data Systems Inc, Term Loan B, Tranche D, 4.500%, 12/15/19 | $ | 734,964 | 0.2 | |||||||||||||||
1,375,000 | Sungard Data Systems Inc, Term Loan B, Tranche E, 4.000%, 03/15/20 | 1,393,906 | 0.4 | ||||||||||||||||
1,820,000 | SurveyMonkey.com, LLC, Term Loan B, 5.500%, 02/05/19 | 1,851,850 | 0.5 | ||||||||||||||||
311,111 | Sutherland Global Services, Term Loan Cayman, 7.250%, 03/15/19 | 308,778 | 0.1 | ||||||||||||||||
688,889 | Sutherland Global Services, Term Loan US, 7.250%, 03/15/19 | 683,722 | 0.2 | ||||||||||||||||
363,553 | Trans Union LLC, Term Loan, 4.250%, 02/15/19 | 368,551 | 0.1 | ||||||||||||||||
498,750 | Transfirst Holdings, Inc., 1st Lien Term Loan B, 6.250%, 12/31/17 | 507,790 | 0.2 | ||||||||||||||||
143,903 | U.S. Security Associates Holdings, Inc., Delayed Draw Term Loan, 6.000%, 07/28/17 | 145,432 | 0.0 | ||||||||||||||||
830,148 | U.S. Security Associates Holdings, Inc., New Term Loan, 6.000%, 07/28/17 | 838,968 | 0.2 | ||||||||||||||||
111,112 | Verifone, Inc., Term Loan B, 4.250%, 12/31/18 | 111,622 | 0.0 | ||||||||||||||||
333,333 | Vestcom International, Inc., Term Loan, 7.005%, 12/26/18 | 337,083 | 0.1 | ||||||||||||||||
400,000 | Wash Multi-Family Services, Term Loan, 5.250%, 01/31/19 | 406,000 | 0.1 | ||||||||||||||||
2,224,915 | Web.com Group, Inc., 1st Lien Term Loan, 5.500%, 10/27/17 | 2,247,860 | 0.7 | ||||||||||||||||
1,000,000 | Weight Watchers International, Inc., Term Loan F, 4.000%, 03/27/19 | 1,006,688 | 0.3 | ||||||||||||||||
3,465,083 | (1) | West Corp, Term Loan B-8, 4.250%, 07/15/18 | 3,525,722 | 1.0 | |||||||||||||||
365,000 | WIS International, First Lien, 5.753%, 12/01/18 | 368,422 | 0.1 | ||||||||||||||||
250,000 | WIS International, Second Lien, 10.250%, 06/01/19 | 256,250 | 0.1 | ||||||||||||||||
41,916,512 | 12.1 | ||||||||||||||||||
Cable & Satellite Television: 3.4% | |||||||||||||||||||
696,138 | Atlantic Broadband, Term Loan B, 4.500%, 12/31/19 | 707,886 | 0.2 | ||||||||||||||||
1,280,680 | RCN Cable, Term Loan B, 6.250%, 02/25/20 | 1,294,287 | 0.4 | ||||||||||||||||
874,425 | San Juan Cable LLC, ’1st Lien, 6.000%, 06/09/17 | 891,913 | 0.3 | ||||||||||||||||
5,000,000 | (1) | Virgin Media Investment Holdings Limited, Term Loan B, 02/13/20 | 4,981,250 | 1.4 | |||||||||||||||
850,000 | WaveDivision Holdings LLC, Term Loan B, 4.000%, 10/01/19 | 859,563 | 0.3 | ||||||||||||||||
2,885,500 | Wideopenwest Finance, LLC, Term Loan, 6.250%, 07/05/18 | 2,925,897 | 0.8 | ||||||||||||||||
11,660,796 | 3.4 | ||||||||||||||||||
Chemicals & Plastics: 4.8% | |||||||||||||||||||
990,000 | Ascend Performance Materials Operations LLC, Term Loan, 6.750%, 04/09/18 | 1,012,275 | 0.3 | ||||||||||||||||
740,176 | AZ Chem US Inc., Term Loan B, 5.256%, 12/19/17 | 753,746 | 0.2 | ||||||||||||||||
850,000 | Chemtura Corporation, Term Loan, 5.500%, 08/27/16 | 862,750 | 0.2 | ||||||||||||||||
2,425,000 | DuPont Performance Coatings, Term Loan B, 4.750%, 02/01/20 | 2,459,998 | 0.7 | ||||||||||||||||
325,000 | Houghton International, Inc., 2nd Lien Term Loan, 9.500%, 12/20/20 | 331,094 | 0.1 | ||||||||||||||||
249,375 | Houghton International, Inc., US 1st Lien Term Loan, 5.250%, 12/20/19 | 253,479 | 0.1 | ||||||||||||||||
2,972,481 | Ineos US Finance LLC, Cash Dollar Term Loan, 6.500%, 04/27/18 | 3,023,572 | 0.9 | ||||||||||||||||
550,909 | KLEOPATRA LUX 2 S.À. R.L, New Term Loan B, 5.750%, 12/21/16 | 560,894 | 0.2 | ||||||||||||||||
329,196 | (1) | Monarch, First lien Term Loan B-1, 10/01/19 | 330,430 | 0.1 | |||||||||||||||
170,804 | (1) | Monarch, First lien Term Loan B-2, 10/01/19 | 171,445 | 0.0 | |||||||||||||||
250,000 | (1) | Monarch, Second lien Term Loan, 04/01/20 | 256,562 | 0.1 | |||||||||||||||
1,750,000 | (1) | Tronox Pigments (Netherlands) BV, Term Loan, 03/20/20 | 1,775,937 | 0.5 | |||||||||||||||
3,743,082 | Univar Inc., Term Loan B, 5.000%, 06/30/17 | 3,784,859 | 1.1 | ||||||||||||||||
1,148,400 | Vantage Specialties Inc., Term Loan B, 5.000%, 02/10/18 | 1,154,860 | 0.3 | ||||||||||||||||
16,731,901 | 4.8 | ||||||||||||||||||
Clothing/Textiles: 0.2% | |||||||||||||||||||
223,572 | (1) | Targus Group, Inc., New Senior Secured Term Loan, 11.002%, 05/16/16 | 224,689 | 0.1 | |||||||||||||||
44,027 | Totes Isotoner Corporation, Delayed Draw 1st Ln Term Loan, 7.268%, 07/07/17 | 44,178 | 0.0 | ||||||||||||||||
424,603 | Totes Isotoner Corporation, First Ln Term Loan, 7.252%, 07/07/17 | 426,063 | 0.1 | ||||||||||||||||
694,930 | 0.2 | ||||||||||||||||||
Conglomerates: 1.7% | |||||||||||||||||||
1,947,465 | Affinion Group, Inc., First Lien Term Loan, 6.500%, 10/10/16 | 1,907,299 | 0.6 | ||||||||||||||||
423,000 | Jason Incorporated, Term Loan, 5.000%, 03/01/19 | 425,115 | 0.1 | ||||||||||||||||
1,995,000 | ServiceMaster Company, Term Loan, 4.250%, 02/28/17 | 2,016,197 | 0.6 | ||||||||||||||||
723,188 | Spectrum Brands, Inc., Term Loan, 4.500%, 10/31/19 | 733,206 | 0.2 | ||||||||||||||||
492,500 | Waterpik, Term Loan, 6.753%, 08/10/17 | 493,116 | 0.1 | ||||||||||||||||
398,000 | WireCo WorldGroup, Inc., Term Loan B, 6.000%, 02/15/17 | 403,970 | 0.1 | ||||||||||||||||
5,978,903 | 1.7 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | Borrower/Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Containers & Glass Products: 3.0% | |||||||||||||||||||
2,500,000 | Berry Plastics Corporation, Incremental Term Loan, 3.500%, 02/01/20 | $ | 2,498,885 | 0.7 | |||||||||||||||
299,250 | Bway Holding Corporation, Term Loan B, 4.500%, 08/06/17 | 303,178 | 0.1 | ||||||||||||||||
2,161,169 | Husky Injection Molding Systems, Ltd, New Term Loan B, 5.750%, 06/30/18 | 2,190,211 | 0.6 | ||||||||||||||||
586,846 | Pro Mach, Inc, Term Loan, 5.000%, 07/06/17 | 594,182 | 0.2 | ||||||||||||||||
350,000 | (1) | Pro Mach, Inc, Term Loan, 07/06/17 | 354,375 | 0.1 | |||||||||||||||
3,565,654 | Reynolds Group Holdings Inc., USD Term Loan, 4.750%, 09/26/18 | 3,621,684 | 1.0 | ||||||||||||||||
895,500 | TricorBraun, Term Loan, 5.503%, 04/30/18 | 908,187 | 0.3 | ||||||||||||||||
10,470,702 | 3.0 | ||||||||||||||||||
Drugs: 0.4% | |||||||||||||||||||
962,500 | Jazz Pharmaceuticals Inc., Term Loan, 5.250%, 05/30/18 | 974,933 | 0.3 | ||||||||||||||||
337,121 | Prestige Brands, Term B-1, 3.750%, 01/31/19 | 342,515 | 0.1 | ||||||||||||||||
1,317,448 | 0.4 | ||||||||||||||||||
Ecological Services & Equipment: 1.0% | |||||||||||||||||||
1,456,235 | 4L Holdings Inc., Term Loan, 6.751%, 05/06/18 | 1,456,235 | 0.4 | ||||||||||||||||
1,770,563 | ADS Waste Holdings, Inc., Term Loan B, 4.250%, 10/01/19 | 1,792,473 | 0.5 | ||||||||||||||||
297,000 | WCA Waste Corporation, Term Loan B, 5.500%, 02/28/18 | 299,785 | 0.1 | ||||||||||||||||
3,548,493 | 1.0 | ||||||||||||||||||
Electronics/Electrical: 6.4% | |||||||||||||||||||
1,510,000 | Attachmate Corporation, 1st Lien Term Loan, 7.272%, 11/15/17 | 1,527,931 | 0.4 | ||||||||||||||||
2,470,103 | Blackboard Inc., Term Loan B-2, 6.250%, 10/01/18 | 2,504,067 | 0.7 | ||||||||||||||||
500,000 | Blackboard Inc., 2nd Lien Term Loan B, 11.500%, 10/01/19 | 498,334 | 0.1 | ||||||||||||||||
1,476,275 | Epicor Software Corporation, Term Loan B, 5.000%, 05/16/18 | 1,496,574 | 0.4 | ||||||||||||||||
500,000 | (1) | Eze Castle Software, Inc., 1st Lien Term Loan, 03/18/20 | 506,875 | 0.2 | |||||||||||||||
2,785,000 | Freescale Semiconductor, Inc., Tranche B-4 Term Loan, 5.000%, 03/01/20 | 2,806,759 | 0.8 | ||||||||||||||||
685,000 | Greeneden U.S. Holdings II, L.L.C., Term Loan, 4.000%, 02/08/20 | 690,138 | 0.2 | ||||||||||||||||
467,578 | Hyland Software, Inc., 1st Lien Term Loan, 5.500%, 10/24/19 | 471,669 | 0.1 | ||||||||||||||||
538,994 | Kronos Incorporated, First Lien Term Loan, 4.500%, 10/30/19 | 545,900 | 0.2 | ||||||||||||||||
1,985,025 | Lawson Software, Inc., Term Loan B, 5.250%, 04/05/18 | 2,021,831 | 0.6 | ||||||||||||||||
425,000 | Microsemi Corporation, Term Loan, 3.750%, 02/19/20 | 428,984 | 0.1 | ||||||||||||||||
872,950 | Open Link Financial, Inc., Term Loan, 7.750%, 10/28/17 | 876,951 | 0.3 | ||||||||||||||||
2,687,749 | RedPrairie Corporation, 1st Lien Term Loan, 6.750%, 12/14/18 | 2,744,863 | 0.8 | ||||||||||||||||
500,000 | RedPrairie Corporation, 2nd Lien Term Loan, 11.250%, 12/14/19 | 523,750 | 0.2 | ||||||||||||||||
456,508 | Riverbed Technology, Inc., Term Loan, 4.000%, 12/18/19 | 462,214 | 0.1 | ||||||||||||||||
1,988,251 | Sabre Inc., Term B Facility, 5.253%, 02/15/19 | 2,016,823 | 0.6 | ||||||||||||||||
731,144 | Spansion LLC, Term Loan, 5.250%, 12/15/18 | 739,979 | 0.2 | ||||||||||||||||
1,388,009 | SS&C Technologies Inc., Term Loan B-1, 5.000%, 06/01/19 | 1,405,359 | 0.4 | ||||||||||||||||
143,587 | SS&C Technologies Inc., Term Loan B-2, 5.000%, 06/01/19 | 145,921 | 0.0 | ||||||||||||||||
22,414,922 | 6.4 | ||||||||||||||||||
Equipment Leasing: 0.3% | |||||||||||||||||||
250,000 | Brock Holdings, Inc., New 2nd Lien Term Loan, 10.000%, 03/16/18 | 253,438 | 0.1 | ||||||||||||||||
747,922 | Brock Holdings, Inc., New Term Loan B, 6.006%, 03/16/17 | 758,205 | 0.2 | ||||||||||||||||
1,011,643 | 0.3 | ||||||||||||||||||
Financial Intermediaries: 0.6% | |||||||||||||||||||
300,000 | (1) | Duff & Phelps, Term Loan, 03/15/20 | 303,562 | 0.1 | |||||||||||||||
700,000 | (1) | MIP Delaware, LLC, Term Loan, 03/05/20 | 706,125 | 0.2 | |||||||||||||||
1,009,091 | MIP Delaware, LLC, Term Loan, 5.500%, 07/12/18 | 1,011,614 | 0.3 | ||||||||||||||||
2,021,301 | 0.6 | ||||||||||||||||||
Food Products: 0.9% | |||||||||||||||||||
1,496,250 | Advance Pierre Foods, 1st Lien Term Loan B, 5.750%, 06/30/17 | 1,520,564 | 0.4 | ||||||||||||||||
1,000,000 | Advance Pierre Foods, 2nd Lien Term Loan, 9.500%, 09/30/17 | 1,037,500 | 0.3 | ||||||||||||||||
710,701 | NPC International, Term Loan B, 4.500%, 12/28/18 | 722,694 | 0.2 | ||||||||||||||||
3,280,758 | 0.9 | ||||||||||||||||||
Food Service: 1.3% | |||||||||||||||||||
870,625 | Burger King Corporation, Term Loan B, 3.750%, 09/24/19 | 883,590 | 0.2 | ||||||||||||||||
499,249 | Hearthside Food Solutions, LLC, Term Loan, 6.503%, 06/07/18 | 504,242 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | Borrower/Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Food Service: (continued) | |||||||||||||||||||
990,000 | Landry’s Restaurants, Term Loan B, 4.750%, 04/30/18 | $ | 999,075 | 0.3 | |||||||||||||||
1,657,500 | OSI Restaurant Partners, Inc., Term Loan, 4.750%, 10/31/19 | 1,683,047 | 0.5 | ||||||||||||||||
547,250 | P.F. Chang’s China Bistro, Inc., Term Loan B, 5.250%, 06/30/19 | 554,775 | 0.2 | ||||||||||||||||
4,624,729 | 1.3 | ||||||||||||||||||
Food/Drug Retailers: 1.5% | |||||||||||||||||||
900,000 | (1) | Albertsons LLC, Real Estate Term Loan, 03/21/16 | 916,474 | 0.2 | |||||||||||||||
1,600,000 | Rite Aid Corporation, Tranche 6 Term Loan, 4.000%, 02/28/20 | 1,618,833 | 0.5 | ||||||||||||||||
1,684,095 | Roundys Supermarkets, Inc., Term Loan B, 5.750%, 02/14/19 | 1,683,043 | 0.5 | ||||||||||||||||
1,100,000 | (1) | Supervalu, Real Estate Term Loan, 03/31/19 | 1,120,723 | 0.3 | |||||||||||||||
5,339,073 | 1.5 | ||||||||||||||||||
Health Care: 6.2% | |||||||||||||||||||
423,938 | ATI Physical Therapy, Term Loan B, 5.750%, 01/31/20 | 431,091 | 0.1 | ||||||||||||||||
2,233,125 | Bausch & Lomb, Inc., US Term Loan, 5.250%, 04/30/19 | 2,257,243 | 0.7 | ||||||||||||||||
656,934 | Bright Horizons Family Solutions Inc., Term Loan B, 4.003%, 01/31/20 | 662,956 | 0.2 | ||||||||||||||||
450,000 | BSN Medical, Term Loan B1A, 5.000%, 08/28/19 | 455,250 | 0.1 | ||||||||||||||||
518,161 | CHG Medical Staffing, Inc., 1st lien Term Loan, 5.000%, 11/20/19 | 525,610 | 0.2 | ||||||||||||||||
250,000 | CHG Medical Staffing, Inc., Second lien Term Loan, 9.000%, 11/20/20 | 256,953 | 0.1 | ||||||||||||||||
676,681 | ConvaTec, Dollar Term Loan, 5.000%, 12/22/16 | 688,735 | 0.2 | ||||||||||||||||
1,449,084 | DJO Finance LLC, Tranche B-3 Term Loan, 6.250%, 09/15/17 | 1,472,994 | 0.4 | ||||||||||||||||
1,663,164 | Emergency Medical Services Corporation, Term Loan B, 4.000%, 05/25/18 | 1,686,033 | 0.5 | ||||||||||||||||
1,078,048 | Iasis Healthcare LLC, Term B-2, 4.500%, 05/03/18 | 1,094,556 | 0.3 | ||||||||||||||||
985,069 | Immucor, Inc., Term B-2 loan, 5.000%, 08/17/18 | 994,150 | 0.3 | ||||||||||||||||
797,178 | inVentiv Health Inc., Original Term Loan B, 7.500%, 08/04/16 | 791,200 | 0.2 | ||||||||||||||||
146,643 | inVentiv Health Inc., Term B-3, 7.750%, 05/15/18 | 145,726 | 0.0 | ||||||||||||||||
2,030,010 | Kinetic Concepts, Inc., C-1, 5.500%, 05/04/18 | 2,069,342 | 0.6 | ||||||||||||||||
1,741,261 | Par Pharmaceutical Companies, Term Loan B, 4.250%, 09/28/19 | 1,762,839 | 0.5 | ||||||||||||||||
1,017,151 | Pharmaceutical Product Development, Inc., Term Loan B-1, 4.250%, 11/01/17 | 1,031,455 | 0.3 | ||||||||||||||||
861,300 | Press Ganey, 1st Lien, 5.250%, 04/30/18 | 868,477 | 0.3 | ||||||||||||||||
250,000 | Press Ganey, 2nd Lien, 8.250%, 08/31/18 | 255,625 | 0.1 | ||||||||||||||||
744,375 | Select Medical Corporation, Incremental Term Loan, 5.500%, 06/01/18 | 749,027 | 0.2 | ||||||||||||||||
442,125 | Surgical Care Affiliates LLC, Incremental Term Loan, 5.500%, 06/29/18 | 444,336 | 0.1 | ||||||||||||||||
725,000 | (1) | United Surgical Partners International, Inc., Incremental Term Loan, 04/01/19 | 727,416 | 0.2 | |||||||||||||||
990,025 | United Surgical Partners International, Inc., New Tranche B, 7.000%, 04/01/19 | 1,000,544 | 0.3 | ||||||||||||||||
997,500 | VWR International Inc., New Extended Term Loan B, 4.204%, 04/03/17 | 1,009,969 | 0.3 | ||||||||||||||||
21,381,527 | 6.2 | ||||||||||||||||||
Home Furnishings: 1.8% | |||||||||||||||||||
3,000,000 | AOT Bedding Super Holdings, LLC, Term Loan B, 5.003%, 10/01/19 | 3,045,624 | 0.9 | ||||||||||||||||
495,500 | Hillman Group (The), Inc., First Lien Term Loan, 4.250%, 05/31/17 | 500,455 | 0.1 | ||||||||||||||||
843,627 | Monitronics International, Inc., Term Loan B, 5.500%, 03/28/18 | 849,823 | 0.3 | ||||||||||||||||
694,750 | Protection One, Inc., Term Loan B, 5.750%, 03/31/19 | 701,119 | 0.2 | ||||||||||||||||
997,500 | Tempur-Pedic International, Inc., Term Loan B, 5.000%, 12/31/19 | 1,012,730 | 0.3 | ||||||||||||||||
6,109,751 | 1.8 | ||||||||||||||||||
Industrial Equipment: 3.5% | |||||||||||||||||||
547,215 | Alliance Laundry Systems LLC, First Lien Term Loan, 4.500%, 12/10/18 | 554,056 | 0.2 | ||||||||||||||||
673,313 | Ameriforge Group Inc., 1st Lien Term Loan, 6.000%, 01/30/20 | 682,991 | 0.2 | ||||||||||||||||
295,000 | Ameriforge Group Inc., 2nd Lien Term Loan, 9.750%, 01/30/21 | 303,850 | 0.1 | ||||||||||||||||
1,375,000 | Apex Tool Group, Term Loan B, 4.500%, 02/01/20 | 1,396,484 | 0.4 | ||||||||||||||||
457,483 | Edwards (Cayman Islands II) Limited (aka BOC Edwards), New Term Loan, 5.500%, 05/31/16 | 458,341 | 0.1 | ||||||||||||||||
2,301,522 | Generac Power Systems, Inc., Term Loan B, 6.250%, 05/30/18 | 2,361,937 | 0.7 | ||||||||||||||||
1,695,750 | Hamilton Sundstrand Industrial, Term Loan, 4.000%, 12/14/19 | 1,709,225 | 0.5 | ||||||||||||||||
2,630,000 | Schaeffler AG, Term Loan B2, 6.000%, 01/31/17 | 2,667,259 | 0.8 | ||||||||||||||||
1,861,745 | Terex Corporation, Term Loan, 4.500%, 04/28/17 | 1,890,136 | 0.5 | ||||||||||||||||
12,024,279 | 3.5 | ||||||||||||||||||
Insurance: 1.7% | |||||||||||||||||||
2,000,000 | Alliant Holdings, I, LLC, Term Loan B, 5.000%, 12/20/19 | 2,024,376 | 0.6 | ||||||||||||||||
1,941,384 | AmWINS Group, Inc., Term Loan, 5.000%, 09/30/19 | 1,966,461 | 0.6 | ||||||||||||||||
430,650 | Applied Systems Inc., First Lien Incremental, 5.500%, 12/08/16 | 433,342 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | Borrower/Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Insurance: (continued) | |||||||||||||||||||
249,611 | Sedgwick Holdings, Inc., Term Loan B-2, 4.000%, 12/30/13 | $ | 253,355 | 0.1 | |||||||||||||||
1,197,000 | USI, Inc., Term Loan B, 5.250%, 12/31/19 | 1,209,469 | 0.3 | ||||||||||||||||
5,887,003 | 1.7 | ||||||||||||||||||
Leisure Good/Activities/Movies: 3.2% | |||||||||||||||||||
1,464,950 | 24 Hour Fitness Worldwide, Inc, Term Loan B, 7.500%, 04/22/16 | 1,481,126 | 0.4 | ||||||||||||||||
990,025 | Delta2 Sarl Luxembourg (Formula One World Championship), Term Loan B, 6.000%, 04/30/19 | 1,004,169 | 0.3 | ||||||||||||||||
825,000 | Equinox Holdings, Inc., First Lien Term Loan, 5.500%, 12/31/19 | 839,953 | 0.2 | ||||||||||||||||
250,000 | Equinox Holdings, Inc., Second Lien Term Loan, 9.750%, 06/30/20 | 256,250 | 0.1 | ||||||||||||||||
764,581 | FGI Operating, Add-On Term Loan, 5.500%, 04/30/19 | 769,360 | 0.2 | ||||||||||||||||
2,892,750 | Getty Images, Inc, Term Loan B, 4.750%, 10/31/19 | 2,940,015 | 0.8 | ||||||||||||||||
82,857 | NEP/NCP Holdco, Inc, 2nd Lien, 9.500%, 07/23/20 | 85,964 | 0.0 | ||||||||||||||||
249,375 | NEP/NCP Holdco, Inc, Term Loan B, 4.750%, 01/22/20 | 252,180 | 0.1 | ||||||||||||||||
185,000 | SRAM, LLC, Second Lien Term Loan, 8.500%, 12/07/18 | 188,700 | 0.1 | ||||||||||||||||
345,625 | Warner Music Group, 1st Lien Term Loan, 5.250%, 11/01/18 | 352,105 | 0.1 | ||||||||||||||||
906,750 | Wilton Brands, Inc., Term Loan, 7.500%, 08/31/18 | 922,618 | 0.3 | ||||||||||||||||
1,995,000 | Zuffa, LLC, Term Loan, 5.750%, 02/15/20 | 2,024,925 | 0.6 | ||||||||||||||||
11,117,365 | 3.2 | ||||||||||||||||||
Lodging & Casinos: 3.9% | |||||||||||||||||||
1,893,750 | Boyd Gaming Corporation, Incremental Term Loan, 6.000%, 12/17/15 | 1,916,070 | 0.5 | ||||||||||||||||
633,333 | (1) | Caesars Entertainment Operating Company, Inc., Term Loan B5, 01/28/18 | 581,241 | 0.2 | |||||||||||||||
2,308,577 | (1) | Caesars Entertainment Operating Company, Inc., Term Loan B6, 5.460%, 01/28/18 | 2,144,668 | 0.6 | |||||||||||||||
700,000 | Caesars Octavius, LLC, Term Loan, 9.250%, 02/24/17 | 715,750 | 0.2 | ||||||||||||||||
1,874,580 | Cannery Casino Resorts, LLC, 1st Lien Term Loan, 6.000%, 10/01/18 | 1,911,487 | 0.5 | ||||||||||||||||
675,000 | Centaur Acquisition, LLC, 1st Lien Term Loan, 5.250%, 02/21/19 | 678,797 | 0.2 | ||||||||||||||||
250,000 | Centaur Acquisition, LLC, 2nd Lien Term Loan, 8.750%, 02/21/20 | 254,844 | 0.1 | ||||||||||||||||
997,500 | MGM Resorts International, Term Loan B, 4.250%, 12/20/19 | 1,015,491 | 0.3 | ||||||||||||||||
1,246,875 | Peppermill Casinos, Inc., Term Loan B, 7.250%, 10/31/19 | 1,277,267 | 0.4 | ||||||||||||||||
3,000,000 | (1) | Station Casinos LLC, Term Loan, 02/28/20 | 3,037,500 | 0.9 | |||||||||||||||
13,533,115 | 3.9 | ||||||||||||||||||
Nonferrous Metals/Minerals: 0.6% | |||||||||||||||||||
910,000 | (1) | Constellium Holdco BV, Term Loan B, 03/18/20 | 935,025 | 0.2 | |||||||||||||||
1,028,828 | Fairmount Minerals, Ltd., Term Loan B, 5.250%, 03/15/17 | 1,036,758 | 0.3 | ||||||||||||||||
249,370 | Noranda Aluminum Acquisition Corp., Term Loan, 5.750%, 02/28/19 | 253,579 | 0.1 | ||||||||||||||||
2,225,362 | 0.6 | ||||||||||||||||||
Oil & Gas: 1.5% | |||||||||||||||||||
469,888 | Crestwood Holdings LLC, Term Loan B, 9.750%, 03/30/18 | 479,285 | 0.1 | ||||||||||||||||
2,221,533 | FTS International, Inc. (fka FracTech), Term Loan (HoldCo), 8.500%, 05/06/16 | 2,116,937 | 0.6 | ||||||||||||||||
1,255,000 | Plains Exploration & Production Company, Term Loan B, 4.000%, 11/30/19 | 1,259,706 | 0.4 | ||||||||||||||||
350,000 | Samson Investment Company, 2nd Lien Term Loan, 6.000%, 09/28/18 | 355,075 | 0.1 | ||||||||||||||||
900,000 | Tervita Corporation (fka CCS Inc.), Term Loan, 7.250%, 05/15/18 | 911,953 | 0.3 | ||||||||||||||||
5,122,956 | 1.5 | ||||||||||||||||||
Publishing: 1.1% | |||||||||||||||||||
1,361,318 | Cengage Learning, Inc., Extended Term Loan B, 5.710%, 07/31/17 | 1,010,779 | 0.3 | ||||||||||||||||
1,051,496 | Cenveo Corporation, Term Loan B, 7.000%, 12/21/16 | 1,057,411 | 0.3 | ||||||||||||||||
1,000,000 | (1) | McGraw Hill Global Education, Term Loan B, 03/29/19 | 970,000 | 0.3 | |||||||||||||||
400,000 | Merrill Communications, LLC, Term Loan B, 7.250%, 03/30/18 | 402,000 | 0.1 | ||||||||||||||||
768,977 | R.H. Donnelley Corporation, Term Loan, 9.000%, 10/24/14 | 546,695 | 0.1 | ||||||||||||||||
3,986,885 | 1.1 | ||||||||||||||||||
Radio & Television: 5.1% | |||||||||||||||||||
731,022 | Barrington Broadcasting Group, Term Loan B, 7.588%, 06/30/17 | 737,418 | 0.2 | ||||||||||||||||
2,476,399 | Clear Channel Communications, Inc., Term Loan B, 3.862%, 01/28/16 | 2,200,900 | 0.6 | ||||||||||||||||
1,973,479 | Cumulus Media Holdings Inc., First Lien Term Loan B, 4.500%, 12/09/18 | 2,001,355 | 0.6 | ||||||||||||||||
1,000,000 | Cumulus Media Holdings Inc., Second Lien Term Loan B, 7.500%, 02/11/19 | 1,040,000 | 0.3 | ||||||||||||||||
429,026 | Entercom Communications Corporation, B-1, 5.000%, 11/22/18 | 438,143 | 0.1 | ||||||||||||||||
622,499 | FoxCo Acquisition, LLC, Term Loan B, 5.500%, 07/31/17 | 634,690 | 0.2 | ||||||||||||||||
867,568 | Gray Television, Inc., Term Loan B, 4.750%, 10/31/19 | 881,665 | 0.3 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | Borrower/Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Radio & Television: (continued) | |||||||||||||||||||
250,000 | Hubbard Radio LLC, Tranche 1 Term Loan, 4.500%, 04/28/17 | $ | 254,687 | 0.1 | |||||||||||||||
208,000 | Nexstar Broadcasting, Inc., Mission Term B Facility, 4.500%, 11/30/19 | 211,900 | 0.1 | ||||||||||||||||
492,000 | Nexstar Broadcasting, Inc., Nexstar Term B Facility, 4.500%, 11/30/19 | 501,225 | 0.1 | ||||||||||||||||
1,875,000 | (1) | Nine Entertainment, Term Loan, 02/06/20 | 1,882,911 | 0.5 | |||||||||||||||
343,875 | Raycom TV Broadcasting, LLC, Term Loan B, 4.250%, 05/31/17 | 349,033 | 0.1 | ||||||||||||||||
750,000 | (1) | Salem Communications Corporation, Term Loan B, 03/31/20 | 761,250 | 0.2 | |||||||||||||||
5,000,000 | Univision Communications, Inc., Term Loan C2, 4.750%, 02/13/20 | 5,035,625 | 1.5 | ||||||||||||||||
813,127 | Univision Communications, Inc., Extended Term Loan, 4.462%, 03/31/17 | 818,920 | 0.2 | ||||||||||||||||
17,749,722 | 5.1 | ||||||||||||||||||
Retailers (Except Food & Drug): 8.6% | |||||||||||||||||||
1,580,060 | Academy Ltd., Term Loan (2012 refi), 4.750%, 08/03/18 | 1,602,522 | 0.5 | ||||||||||||||||
1,995,000 | Bass Pro Group, LLC, Term Loan B, 4.042%, 11/20/19 | 2,018,276 | 0.6 | ||||||||||||||||
4,089,750 | BJs Wholesale Club, First Lien Term Loan, 4.250%, 09/27/18 | 4,133,204 | 1.2 | ||||||||||||||||
1,363,364 | BJs Wholesale Club, Second Lien Term Loan, 9.750%, 03/27/19 | 1,418,751 | 0.4 | ||||||||||||||||
499,865 | Guitar Center, Inc., Extended Term Loan maturing 04/17, 5.560%, 04/10/17 | 496,741 | 0.1 | ||||||||||||||||
1,492,500 | Harbor Freight Tools USA, Inc., Senior Secured Term Loan, 5.500%, 05/15/19 | 1,513,022 | 0.4 | ||||||||||||||||
489,700 | Leslies Poolmart, Inc., Term Loan, 5.230%, 10/15/19 | 497,658 | 0.1 | ||||||||||||||||
537,088 | Lord & Taylor, Term Loan Facility, 5.750%, 01/09/18 | 543,578 | 0.2 | ||||||||||||||||
1,550,000 | Michaels Stores, Inc., Term Loan B, 3.750%, 01/30/20 | 1,568,722 | 0.4 | ||||||||||||||||
571,429 | Northern Tool & Equipment Company, Inc., Term Loan, 7.018%, 12/10/19 | 580,000 | 0.2 | ||||||||||||||||
965,696 | Ollie’s Holdings, Inc., Term Loan, 6.250%, 09/25/19 | 975,353 | 0.3 | ||||||||||||||||
1,750,000 | OneStopPlus, Term Loan B, 5.500%, 02/01/20 | 1,766,406 | 0.5 | ||||||||||||||||
3,990,000 | Party City Holdings Inc., Term Loan B, 4.250%, 07/27/19 | 4,024,913 | 1.2 | ||||||||||||||||
917,056 | Pep Boys, Term Loan B, 5.000%, 10/01/18 | 933,082 | 0.3 | ||||||||||||||||
1,143,006 | Savers, Term Loan B, 5.000%, 07/09/19 | 1,161,580 | 0.3 | ||||||||||||||||
727,650 | Sleepy’s Holdings, LLC, Term Loan, 7.250%, 03/19/19 | 734,017 | 0.2 | ||||||||||||||||
798,000 | Sportsman’s Warehouse, Inc., Term Loan, 8.500%, 11/15/18 | 805,980 | 0.2 | ||||||||||||||||
1,326,933 | The Gymboree Corporation, Term Loan B, 5.000%, 02/23/18 | 1,291,769 | 0.4 | ||||||||||||||||
1,711,174 | Toys “R” Us, Inc., Term Loan B-1, 6.000%, 09/01/16 | 1,679,518 | 0.5 | ||||||||||||||||
343,875 | Toys “R” Us, Inc., Term Loan B-2, 5.250%, 05/25/18 | 329,260 | 0.1 | ||||||||||||||||
496,250 | Toys “R” Us, Inc., Term Loan B-3, 5.250%, 05/25/18 | 474,952 | 0.1 | ||||||||||||||||
1,241,056 | Yankee Candle Company, Inc., Term Loan B, 5.250%, 04/02/19 | 1,255,406 | 0.4 | ||||||||||||||||
29,804,710 | 8.6 | ||||||||||||||||||
Steel: 0.5% | |||||||||||||||||||
1,890,500 | FMG Resources (August 2006) Pty Ltd, Term Loan, 5.250%, 10/16/17 | 1,915,144 | 0.5 | ||||||||||||||||
Surface Transport: 0.5% | |||||||||||||||||||
500,000 | Baker Tanks, Inc., Term Loan, 4.250%, 02/15/20 | 503,334 | 0.1 | ||||||||||||||||
1,237,500 | Wabash National Corporation, Term Loan, 6.000%, 05/15/19 | 1,256,062 | 0.4 | ||||||||||||||||
1,759,396 | 0.5 | ||||||||||||||||||
Telecommunications: 5.8% | |||||||||||||||||||
1,000,000 | Alcatel-Lucent, Asset Sale Loan, 6.250%, 07/23/16 | 1,015,938 | 0.3 | ||||||||||||||||
1,346,625 | Alcatel-Lucent, US Term Loan, 7.250%, 01/23/19 | 1,370,051 | 0.4 | ||||||||||||||||
4,079,850 | Asurion, LLC, Incremental Tranche B-1 Term Loan, 4.500%, 05/24/19 | 4,117,674 | 1.2 | ||||||||||||||||
2,026,006 | Consolidated Communications, Inc., Term Loan B-3, 5.250%, 12/31/18 | 2,054,708 | 0.6 | ||||||||||||||||
575,000 | (1) | Cricket Communications, Inc., Term Loan C, 04/16/20 | 579,402 | 0.1 | |||||||||||||||
2,159,622 | Global Tel*Link Corporation, First Lien Term Loan, 6.000%, 12/15/17 | 2,173,119 | 0.6 | ||||||||||||||||
2,000,000 | Level 3 Financing, Inc, Tranche B-II 2019 Term Loan, 4.750%, 08/01/19 | 2,025,208 | 0.6 | ||||||||||||||||
250,000 | Level 3 Financing, Inc, 2019 Term Loan, 5.250%, 08/01/19 | 253,469 | 0.1 | ||||||||||||||||
623,438 | SBA Senior Finance II LLC, Incremental Term Loan, 3.750%, 09/25/19 | 632,789 | 0.2 | ||||||||||||||||
1,488,750 | Syniverse Holdings, Inc., Term Loan B, 5.000%, 04/20/19 | 1,500,382 | 0.4 | ||||||||||||||||
1,302,349 | U.S. Telepacific Corp, First Lien Term Loan, 5.750%, 02/23/17 | 1,302,756 | 0.4 | ||||||||||||||||
798,000 | Windstream Corporation, Term Loan B-4, 3.500%, 01/23/20 | 806,978 | 0.2 | ||||||||||||||||
2,407,870 | Zayo Group, LLC, Term Loan B, 5.250%, 07/02/19 | 2,430,658 | 0.7 | ||||||||||||||||
20,263,132 | 5.8 | ||||||||||||||||||
Utilities: 1.6% | |||||||||||||||||||
995,000 | Calpine Corp, New Term Loan, 4.500%, 10/10/19 | 1,009,552 | 0.3 | ||||||||||||||||
1,228,380 | Dynegy Midwest Generation, LLC (CoalCo)., Term Loan, 9.250%, 08/04/16 | 1,284,681 | 0.4 | ||||||||||||||||
834,719 | Dynegy Power (GasCo), Term Loan, 9.250%, 08/04/16 | 871,760 | 0.2 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | Borrower/Tranche Description | | Fair Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Utilities: (continued) | |||||||||||||||||||
749,052 | EquiPower Resources Holdings, LLC, Term Loan, 5.500%, 12/21/18 | $ | 762,628 | 0.2 | |||||||||||||||
1,787,818 | Texas Competitive Electric Holdings Company LLC, Extended Term Loans, 4.746%, 10/10/17 | 1,273,812 | 0.4 | ||||||||||||||||
481,940 | Texas Competitive Electric Holdings Company LLC, Term Loans, 3.746%, 10/10/14 | 355,581 | 0.1 | ||||||||||||||||
5,558,014 | 1.6 | ||||||||||||||||||
Total Loans | |||||||||||||||||||
(Cost $312,121,859) | 316,675,598 | 91.1 | |||||||||||||||||
Shares | Value | Percentage of Net Assets | |||||||||||||||||
Short-Term Investments: 13.7% | |||||||||||||||||||
Short-Term Investments: 13.7% | |||||||||||||||||||
47,500,000 | State Street Institutional Liquid Reserves Fund — Institutional Class | ||||||||||||||||||
(Cost $47,500,000) | $ | 47,500,000 | 13.7 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $47,500,000) | 47,500,000 | 13.7 | |||||||||||||||||
Total Investments | |||||||||||||||||||
(Cost $359,621,859) | $ | 364,175,598 | 104.8 | ||||||||||||||||
Liabilities in Excess of Other Assets | (16,700,035 | ) | (4.8 | ) | |||||||||||||||
Net Assets | $ | 347,475,563 | 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 $359,629,540. | |||||||||||||||||||
Net unrealized appreciation consists of: | |||||||||||||||||||
Gross Unrealized Appreciation | $ | 5,762,347 | |||||||||||||||||
Gross Unrealized Depreciation | (1,216,289 | ) | |||||||||||||||||
Net Unrealized Appreciation | $ | 4,546,058 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at March 31, 2013 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Loans | $ | — | $ | 316,675,598 | $ | — | $ | 316,675,598 | ||||||||||
Short-Term Investments | 47,500,000 | — | — | 47,500,000 | ||||||||||||||
Total Investments, at fair value | $ | 47,500,000 | $ | 316,675,598 | $ | — | $ | 364,175,598 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Unfunded commitments | — | 130 | — | 130 | ||||||||||||||
Total Assets | $ | 47,500,000 | $ | 316,675,728 | $ | — | $ | 364,175,728 |
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 and unfunded commitments which are fair valued at the unrealized gain (loss) on the instrument. |
Fund Name | Type | Per Share Amount | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
ING Floating Rate Fund | ||||||||||
Class A | NII | $ | 0.5262 | |||||||
Class C | NII | $ | 0.4507 | |||||||
Class I | NII | $ | 0.5514 | |||||||
Class R | NII | $ | 0.5010 | |||||||
Class W | NII | $ | 0.5514 | |||||||
All Classes | STCG | $ | 0.0109 | |||||||
All Classes | LTCG | $ | 0.0110 |
Name, Address and Age | Position(s) Held with the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) —During the Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee(2) | Other Board Positions Held by Trustee | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees: | ||||||||||||||||||||||
Colleen D. Baldwin 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 52 | Trustee | November 2007–Present | President, Glantuam Partners, LLC, a business consulting firm (January 2009–Present). | 142 | None. | |||||||||||||||||
John V. Boyer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 59 | Trustee | January 2005–Present | President and Chief Executive Officer, Bechtler Arts Foundation, an arts and education foundation (January 2008–Present). | 142 | None. | |||||||||||||||||
Patricia W. Chadwick 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 64 | Trustee | January 2006–Present | Consultant and President, Ravengate Partners LLC, a consulting firm that provides advice regarding financial markets and the global economy (January 2000–Present). | 142 | Wisconsin Energy Corporation (June 2006–Present) and The Royce Fund, (35 funds) (December 2009–Present). | |||||||||||||||||
Peter S. Drotch 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 71 | Trustee | November 2007–Present | Retired. | 142 | First Marblehead Corporation (September 2003–Present). | |||||||||||||||||
J. Michael Earley 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 67 | Trustee | February 2002–Present | Retired. Formerly, Banking President and Chief Executive Officer, Bankers Trust Company, N.A., Des Moines (June 1992–December 2008). | 142 | None. | |||||||||||||||||
Patrick W. Kenny 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 70 | Trustee | January 2005–Present | Retired. Formerly, President and Chief Executive Officer, International Insurance Society (June 2001–June 2009). | 142 | Assured Guaranty Ltd. (April 2004–Present). | |||||||||||||||||
Sheryl K. Pressler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 62 | Trustee | January 2006–Present | Consultant (May 2001–Present). | 142 | Stillwater Mining Company (May 2002–Present). | |||||||||||||||||
Roger B. Vincent 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 67 | Chairperson/ Trustee | February 2002–Present | Retired. Formerly, President, Springwell Corporation, a corporate finance firm (March 1989–August 2011). | 142 | UGI Corporation (February 2006–Present) and UGI Utilities, Inc. (February 2006–Present). |
Name, Address and Age | Position(s) Held with the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) —During the Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee(2) | Other Board Positions Held by Trustee | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Trustees who are “Interested Persons”: | |||||||||||||||||||||||
Robert W. Crispin(3) 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 66 | Trustee | November 2007–Present | Retired. | 142 | Intact Financial Corporation (December 2004–Present) and PFM Group (November 2010–Present). | ||||||||||||||||||
Shaun P. Mathews(3) 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | Trustee | November 2007–Present | President and Chief Executive Officer, ING Investments, LLC (November 2006–Present). | 176 | ING Capital Corporation, LLC (December 2005–Present). |
(1) | Subject to the Board’s retirement policy, Trustees serve until their successors are duly elected and qualified. The Board’s retirement policy states that each duly elected or appointed Trustee who is not an “interested person” of the Trust, as defined in the 1940 Act, as amended (“Independent Trustees”), shall retire from service as a Trustee at the close of business on December 31 of the calendar year in which the Trustee reaches the age of 73. A majority vote of the Board may extend the retirement date of a Trustee if such retirement would trigger a requirement to hold a meeting of shareholders of the Trust under applicable law, whether for purposes of appointing a successor to the Trustee or if otherwise necessary under applicable law, in which case the extension would apply until such time as the shareholder meeting can be held or is no longer needed. |
(2) | Except for Mr. Mathews and for the purposes of this table “Fund Complex” means the following investment companies: ING Asia Pacific High Dividend Equity Income Fund; ING Emerging Markets High Dividend Equity Fund; ING Emerging Markets Local Bond Fund; ING Equity Trust; ING Funds Trust; ING Global Equity Dividend and Premium Opportunity Fund; ING Global Advantage and Premium Opportunity Fund; ING Global Strategic Income Fund; ING Infrastructure, Industrials and Materials Fund; ING International High Dividend Equity Income Fund; ING Investors Trust; ING Mayflower Trust; ING Mutual Funds; ING Partners, Inc.; ING Prime Rate Trust; ING Risk Managed Natural Resources Fund; ING Senior Income Fund; ING Separate Portfolios Trust; ING Short Duration High Income Fund; ING Variable Insurance Trust; and ING Variable Products Trust. For Mr. Mathews, the ING Fund Complex also includes the following investment companies: ING Balanced Portfolio, Inc.; ING Intermediate Bond Portfolio; ING Money Market Portfolio; ING Series Fund, Inc.; ING Strategic Allocation Portfolios, Inc.; ING Variable Funds; and ING Variable Portfolios, Inc. Therefore, for the purposes of this table with reference to Mr. Mathews, “Fund Complex” includes these investment companies. The number of funds in the ING Fund Complex is as of March 31, 2013. |
(3) | Messrs. Crispin and Mathews are deemed “Interested Persons” of the Trust because of their current or prior affiliation with ING Groep, N.V., the parent corporation of the Investment Adviser(s) and the Distributor. |
Name, Address and Age | Position(s) Held With the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s)— During the Past 5 Years | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shaun P. Mathews 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | President and Chief Executive Officer | November 2006–Present | President and Chief Executive Officer, ING Investments, LLC (November 2006–Present). | |||||||||||
Michael J. Roland 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Executive Vice President | February 2002–Present | Managing Director and Chief Operating Officer, ING Investments, LLC and ING Funds Services, LLC (April 2012–Present) and Chief Compliance Officer, Directed Services LLC and ING Investments, LLC (March 2011–Present). Formerly, Executive Vice President and Chief Operating Officer, ING Investments, LLC and ING Funds Services, LLC (January 2007–April 2012) and Chief Compliance Officer, ING Funds (March 2011–February 2012). | |||||||||||
Stanley D. Vyner 230 Park Avenue New York, New York 10169 Age: 62 | Executive Vice President Chief Investment Risk Officer | October 2000–Present September 2009–Present | Executive Vice President, ING Investments, LLC (July 2000–Present) and Chief Investment Risk Officer, ING Investments, LLC (January 2003–Present). | |||||||||||
Kevin M. Gleason 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 46 | Chief Compliance Officer | February 2012–Present | Senior Vice President, ING Investments, LLC (February 2012–Present). Formerly, Assistant General Counsel and Assistant Secretary, The Northwestern Mutual Life Insurance Company (June 2004–January 2012). | |||||||||||
Todd Modic 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | March 2005–Present | Senior Vice President, ING Funds Services, LLC (March 2005–Present). | |||||||||||
Kimberly A. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 48 | Senior Vice President | November 2003–Present | Senior Vice President, ING Investments, LLC (October 2003–Present). | |||||||||||
Robert Terris 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 42 | Senior Vice President | May 2006–Present | Senior Vice President, Head of Division Operations, ING Funds Services, LLC (January 2006–Present). | |||||||||||
Julius A. Drelick, III 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 46 | Senior Vice President | July 2012–Present | Senior Vice President — Fund Compliance, ING Funds Services, LLC (June 2012–Present). Formerly, Vice President — Platform Product Management & Project Management, ING Investments, LLC (April 2007–June 2012). | |||||||||||
Fred Bedoya 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 40 | Vice President and Treasurer | September 2012–Present | Vice President, ING Funds Services, LLC (March 2012–Present). Formerly, Assistant Vice President — Director, ING Funds Services, LLC (March 2003–March 2012). | |||||||||||
Robyn L. Ichilov 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Vice President | October 2000–Present | Vice President and Treasurer, ING Funds Services, LLC (November 1995–Present) and ING Investments, LLC (August 1997–Present). Formerly, Treasurer, ING Funds (November 1999–February 2012). | |||||||||||
Maria M. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Vice President | September 2004–Present | Vice President, ING Funds Services, LLC (September 2004–Present). | |||||||||||
Lauren D. Bensinger 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 59 | Vice President | February 2003–Present | Vice President, ING Investments, LLC and ING Funds Services, LLC (February 1996–Present); Director of Compliance, ING Investments, LLC (October 2004–Present); and Vice President and Money Laundering Reporting Officer, ING Investments Distributor, LLC (April 2010–Present). Formerly, Chief Compliance Officer, ING Investments Distributor, LLC (August 1995–April 2010). |
Name, Address and Age | Position(s) Held With the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s)— During the Past 5 Years | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jason Kadavy 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 37 | Vice President | September 2012–Present | Vice President, ING Funds Services, LLC (July 2007–Present). | |||||||||||
Kimberly K. Springer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 55 | Vice President | March 2006–Present | Vice President — Platform Product Management & Project Management, ING Investments, LLC (July 2012–Present); Vice President, ING Investment Management — ING Funds (March 2010–Present) and Vice President, ING Funds Services, LLC (March 2006–Present). Formerly Managing Paralegal, Registration Statements (June 2003–July 2012). | |||||||||||
Craig Wheeler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 43 | Assistant Vice President | May 2008–Present | Vice President — Director of Tax, ING Funds Services, LLC (March 2013–Present). Formerly, Assistant Vice President — Director of Tax, ING Funds Services, LLC (March 2008–March 2013). | |||||||||||
Huey P. Falgout, Jr. 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 49 | Secretary | August 2003–Present | Senior Vice President and Chief Counsel, ING Investment Management — ING Funds (March 2010–Present). Formerly, Chief Counsel, ING Americas, U.S. Legal Services (October 2003–March 2010). | |||||||||||
Theresa K. Kelety 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 50 | Assistant Secretary | August 2003–Present | Vice President and Senior Counsel, ING Investment Management — ING Funds (March 2010–Present). Formerly, Senior Counsel, ING Americas, U.S. Legal Services (April 2008–March 2010) and Counsel, ING Americas, U.S. Legal Services (April 2003–April 2008). | |||||||||||
Paul A. Caldarelli 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 61 | Assistant Secretary | June 2010–Present | Vice President and Senior Counsel, ING Investment Management — ING Funds (March 2010–Present). Formerly, Senior Counsel, ING Americas, U.S. Legal Services (April 2008–March 2010) and Counsel, ING Americas, U.S. Legal Services (May 2005–April 2008). |
(1) | The Officers hold office until the next annual meeting of the Board of Trustees and until their successors shall have been elected and qualified. |
which meet independently and, at times, jointly, and a Contracts Committee. Among other matters, the Contracts Committee provides oversight with respect to the Contract Review Process, and the Fund is assigned jointly to both IRCs, which provide oversight regarding, among other matters, the investment performance of the Adviser and Sub-Adviser, as well as the oversight by the Adviser of the performance of the Sub-Adviser. The IRCs may apply a heightened level of scrutiny in cases where performance has lagged the Fund’s relevant benchmark, Lipper, Inc. (“Lipper”) category median, and/or Morningstar, Inc. (“Morningstar”) category median, as applicable.
ING U.S., Inc. (“ING U.S.”), its U.S.-based insurance, retirement services and investment management operations, which include the Adviser and Sub-Adviser, into an independent, standalone company by the end of 2016 (such divestment, the “Separation Plan”). ING U.S. is a wholly owned, indirect subsidiary of ING Groep and a parent company of the Adviser and the Sub-Adviser. The Board further noted that the Separation Plan may result in the Adviser and Sub-Adviser’s loss of access to the services and resources of their current ultimate parent company, which could adversely affect its businesses and profitability. The Board recognized that the Separation Plan contemplates one or more public offerings and each may be deemed to be a change of control. If a change of control is deemed to take place, the investment advisory and sub-advisory agreements for the ING Funds, including the Fund, would terminate and trigger the necessity for new agreements, which would require the approval of the Board and, potentially, the shareholders of an ING Fund. The Board also recognized that there can be no assurance that the Separation Plan will be carried out. The Board considered the potential effects of the separation on the Fund, Adviser and Sub-Adviser, including their ability prior to, during and after the separation to perform the same level of service to the Fund as the Adviser and Sub-Adviser currently provide. In this regard, the Board noted that the Adviser and Sub-Adviser do not currently anticipate that the separation would have a material adverse impact on the Fund or their operations and administration. The Separation Plan is discussed in more detail below under “Approval of Investment Advisory and Sub-Advisory Contracts in Connection with Separation Plan.”
Lipper category median, and/or primary benchmark. The Board also recognized that the MR&S group provides the IRCs with regular updates on the Fund and alerts the IRCs to potential issues as they arise. The Board noted that the Adviser regularly monitors performance, personnel, compliance and a myriad of other issues that may arise on a day-to-day basis with regards to the Sub-Adviser and noted that, if issues are identified either through formal or informal processes, they are brought before the IRCs and the Board for consideration and action and the Adviser consistently makes its resources available to the Board and the IRCs to assist with addressing any issues that arise.
FACT sheets prepared for the Fund included its investment performance compared to the Fund’s Morningstar category median, Lipper category median and/or primary benchmark. The FACT sheets performance data was as of June 30, 2012. In addition, the Board also considered at its November 29, 2012 meeting certain additional data regarding performance and Fund asset levels as of September 30 and October 31, 2012.
nature, extent and quality of the services that each has performed and is expected to perform.
anticipated that one or more of the transactions contemplated by the Separation Plan would be deemed a Change of Control Event.
Adviser and its affiliates that render investment sub-advisory, administrative, distribution, compliance and other services to the Fund. When making its decisions on January 10, 2013, the Board took into account that, commencing in early 2011, it had posed ongoing inquiries to, and received regular updates from, management relating to the Separation Plan.
1. | The Independent Trustees solicited and received ongoing advice regarding the Board’s legal duties from K&L Gates, legal counsel for such Board members, which law firm has extensive experience regarding such matters. |
2. | The Independent Trustees established an Ad Hoc IPO Transaction Committee (the “IPO Committee”), consisting exclusively of Independent Trustees, to help oversee, coordinate, and perform portions of the Board’s due diligence activities. In this connection, the IPO Committee considered, among other matters, relevant legal guidance and the processes followed by certain other investment company boards of directors or trustees when they approved contracts in connection with Change of Control events. |
3. | The Independent Trustees, with assistance from K&L Gates, prepared written inquiries to the Adviser and its affiliates regarding the IPO, including details regarding ING U.S.’s anticipated business plan for continuing operations after the IPO and potential Change of Control Events. |
4. | The Board received and evaluated written responses from the Adviser and its affiliates pursuant to inquiries made on the Board’s behalf. These evaluations were conducted through a series of separate meetings by the Board’s Audit Committee, Compliance Committee, Contracts Committee, Domestic Equity Funds Investment Review Committee, International/Balanced/Fixed Income Funds Investment Review Committee, Nominating and Governance Committee, and IPO Committee (collectively, the “Committees”), and by the Independent Trustees (which, at times, included one or both Board members who are not Independent Trustees). With respect to services to be rendered to the Fund by ING U.S. during implementation of the Separation Plan, each Committee evaluated matters relating to those services typically overseen by such Committee (and, in the case of the IPO Committee, relevant matters not otherwise assigned to a standing Committee). Future references herein to actions taken by the Board or the Independent Trustees may include, in some instances, actions taken by one or more of the Committees. |
5. | The Board requested and participated in a series of in-person and/or telephonic meetings involving presentations from senior management personnel at ING U.S. (including its Chief Executive Officer, Chief Operating Officer, Chief Risk Officer, Head of Corporate Development, Head of Proprietary Investments, and the heads of each proposed primary operating unit of ING U.S.), as well as from senior management of the Adviser and its affiliates, including senior human resources personnel, senior investment personnel, and senior compliance personnel at the Sub-Adviser. The Board also requested and had such meetings with the Fund’s Chief Compliance Officer and Chief Investment Risk Officer who, as a matter of course, report directly to the Board or its Committees. |
6. | The Board received and reviewed the preliminary Form S-1 that contained extensive information relating to, among other matters, ING U.S.’s anticipated business plans and financial structure. In this connection, the Board considered, among other matters: the anticipated arrangements between ING Groep and ING U.S. over the course |
of the Separation Plan; the anticipated use of potential proceeds of the capital that would be raised through the Form S-1 offering (including that portion of potential proceeds that may be retained by ING Groep and that portion that may be dedicated to the capitalization and operations of ING U.S., including its asset management operations); the potential short-term and long-term financial consequences to ING U.S. of the closed book of variable annuity business that would be maintained by ING U.S.-affiliated insurance companies; and other information provided by the Adviser and its affiliates. |
7. | K&L Gates retained Grail Partners LLC (“Grail”), an independent investment banking firm with extensive experience relating to business operations such as those to be conducted by ING U.S., in order to help K&L Gates evaluate and advise the Board with respect to, among other matters, details of ING U.S.’s anticipated business plan and financial capitalization as set forth in its Form S-1 and related information provided by the Adviser and its affiliates, including the potential implications to the Adviser and its non-insurance affiliates of insurance regulations and related capitalization matters. The Independent Trustees or IPO Committee members attended certain in-person and telephone conference call meetings at which Grail rendered advice to K&L Gates regarding these matters and responded to questions. |
8. | The Independent Trustees, the Board, and many of its Committees held in-person meetings on November 27, 28, and 29, 2012 during which, among other actions, they evaluated the responsive due diligence information provided to date by the Adviser and its affiliates, and considered input from K&L Gates, Grail, and others regarding the Form S-1. At the conclusion of these meetings, the Independent Trustees and the Committees posed to the Adviser and its affiliates a series of follow-up information requests. |
9. | Among the follow-up actions arising from the November 27, 28, and 29 meetings, the Independent Trustees requested and received written assurances that the Adviser and its affiliates: are committed to maintaining appropriate levels of overall staffing, ongoing resources and service quality; and throughout the time period during which the Separation Plan is implemented, will notify and consult with the Board in advance if management proposes to take certain actions with respect to these matters. The Board considered that such services include, but are not limited to, portfolio management services, administrative services, and regulatory compliance services. In this regard, the Board considered representations by the Adviser and its affiliates that their separation from ING Groep as contemplated by the Separation Plan will not lead to a reduction in the quality or scope of these and other services provided by those firms to the Fund. The Board also considered that the importance of the asset management operations to the overall success of ING U.S., as described by the Form S-1 and during presentations by senior ING U.S. management personnel, could provide a strong incentive to ING U.S. to provide appropriate resource allocations to support those asset management operations. |
10. | The Board considered representations by the Adviser and its affiliates that approval of the Proposed Agreements would be necessary for the Fund to continue receiving investment management services from the Adviser and Sub-Adviser following the Change of Control Events contemplated by the Separation Plan. |
11. | The Board considered representations by the Adviser and its affiliates, as well as related supporting documentation, indicating that the Proposed Agreements, including the fees payable thereunder, are substantially similar to and, in any event, are no less favorable to the Fund than, the terms of the corresponding Current Agreements. |
12. | The Board considered that, to the extent that the Proposed Agreements do have changes, those changes are designed to benefit shareholders and/or to provide management, subject to Board supervision, with greater flexibility to manage the Fund in a manner consistent with stated investment objectives. In this connection, the Board considered, among other matters, the Adviser’s representation that no material changes would be made to the Proposed Agreements, as compared to the Current Agreements, with respect to the material contractual terms that were previously negotiated under which the Fund and its Adviser and Sub-Adviser currently operate, including contractual provisions relating to fees and expenses. |
13. | The Board considered representations by the Adviser and its affiliates, including senior investment management personnel, as well as related supporting documentation, indicating that: (a) the Adviser and Sub-Adviser can be expected to provide services of the same nature, |
extent, and quality under the Proposed Agreements as are provided thereby under the Current Agreements; and (b) the Separation Plan is not expected to result in any changes to: (i) the management of the Fund, including the continuity of the Fund’s portfolio managers and other personnel responsible for the management operations of the Fund; or (ii) the investment objective of or the principal investment strategies used to manage any of the Fund. |
14. | The Board considered the steps by the Adviser and its affiliates that have been taken and are planned to be taken to retain the employment of key personnel, including incentive compensation plan arrangements, as well as the overall positive indications by many such personnel regarding the opportunities presented by the Separation Plan to create and grow an investment management operation that is independent from other ING Groep banking and insurance operations that will not be part of ING U.S. |
15. | The Board considered that the Adviser and its affiliates have agreed to bear all expenses associated with obtaining shareholder approval of the Proposed Agreements. |
16. | The Board considered ING U.S.’s preliminary “branding” plans regarding the future name of its asset management operations, as well as its anticipated ability to continue to use the “ING” brand name for such operations for a period of time following the IPO. |
17. | The Board considered the advice provided by Dechert LLP, legal counsel to the Fund and the Adviser, with respect to the Proposed Agreements (including advice relating to the process and timing of seeking shareholder approval of the Proposed Agreements, and whether shareholder approvals would be required in connection with any future aspects of the Separation Plan following the IPO) and regarding the Board’s role and responsibilities with respect to ING Groep’s restructuring. |
18. | The Board considered the legal obligation of ING Groep under the Separation Plan to divest its ownership interest in ING U.S., as well as certain potential advantages and disadvantages to shareholders of the Fund of this divestiture, and certain potential advantages and disadvantages of alternative divestiture actions that ING Groep might be forced to take if the Proposed Agreements are not approved by the Board or by shareholders of the Fund. |
19. | The Board considered peer group and benchmark investment performance comparison data relating to the Fund that was more current than related comparison data considered by it in connection with the November 29, 2012 approvals of the Current Agreements. |
20. | The Board considered actions taken by the Adviser subsequent to the November 29, 2012 approvals of the Current Agreements with respect to certain ING Funds in response to requests made by the Board in connection with those approvals. |
21. | The Board considered the potential benefits to be realized by the Adviser and its affiliates as a result of the Proposed Agreements. |
22. | The Board considered that, if shareholders approve the Proposed Agreements, the Board currently expects to continue to conduct an annual contracts review process consistent with the process it would have conducted had the Current Agreements continued in effect and not been replaced by the Proposed Agreements, notwithstanding the two-year initial term set forth in the Proposed Agreements. For example, if the Proposed Agreements are approved by shareholders in 2013, the Board would not legally be required to review or renew those contracts until 2015. However, the Board currently intends to conduct annual reviews of such contracts in 2013 and 2014, and ING has consented to this process. Thus, the Board emphasized that it would be able to, and intends to, monitor on a regular basis the ability of the Adviser and its affiliates to comply with their undertakings to the Board and to monitor on an ongoing basis the quality of services to, and expenses of, the Fund. In addition, the Board considered that, under the Proposed Agreements, it will continue to have the authority, should the need arise in its view, to terminate any of the Proposed Agreements without penalty upon 60 days’ notice. |
provided by the current service providers pursuant to the Current Agreements. In this connection, the Board noted that no one factor was determinative of its decisions which, instead, were premised upon the totality of factors considered. In this connection, the Board also noted that different Board members likely placed emphasis on different factors in reaching their individual conclusions to vote in favor of the Proposed Agreements and to recommend approval of the Proposed Agreements to shareholders.
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
Accounting Firm
KPMG LLP
Two Financial Center
60 South Street
Boston, Massachusetts 02111
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, Missouri 64105
Dechert LLP
1900 K 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.
As of the end of the period covered by this report, Registrant had adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the Code during the period covered by the report. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code during the period covered by this report. The code of ethics is filed herewith pursuant to Item 10(a)(1), Exhibit 99.CODE ETH.
Item 3. Audit Committee Financial Expert.
The Board of Trustees has determined that J. Michael Early, Peter S. Drotch and Colleen Baldwin are an audit committee financial experts, as defined in Item 3 of Form N-CSR. Mr. Early, Mr. Drotch and Ms. Baldwin are “independent” for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees: The aggregate fees billed for each of the last two fiscal years for professional services rendered by KPMG LLP (“KPMG”), the principal accountant for the audit of the registrant’s annual financial statements, for services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $120,420 for year ended March 31, 2013 and $96,300 for year ended March 31, 2012. |
(b) | Audit-Related Fees: The aggregate fees billed in the last fiscal year for assurance and related services by KPMG that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $9,600 for the year ended March 31, 2013 and $9,600 for year ended March 31, 2012. |
(c) | Tax Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by KPMG for tax compliance, tax advice, and tax planning were $25,894 in the year ended March 31, 2013 and $36,957 in the year ended March 31, 2012. Such services included review of excise distribution calculations (if applicable), preparation of the Funds’ federal, state and excise tax returns, tax services related to mergers and routine consulting. |
(d) | All Other Fees: The aggregate fees billed in each of the last two fiscal years for all other fees were $2,500 for the year ended March 31, 2013 and $0 for the year ended March 31, 2012. |
(e) (1) | Audit Committee Pre-Approval Policies and Procedures |
AUDIT AND NON-AUDIT SERVICES
PRE-APPROVAL POLICY
I. Statement of Principles
Under the Sarbanes-Oxley Act of 2002 (the “Act”), the Audit Committee of the Board of Directors or Trustees (the “Committee”) of the ING Funds (each a “Fund,” collectively, the “Funds”) set out on Exhibit A to this Audit and Non-Audit Services Pre-Approval Policy (“Policy”) is responsible for the oversight of the work of the Funds’ independent auditors. As part of its responsibilities, the Committee must pre-approve the audit and non-audit services performed by the auditors in order to assure that the provision of these services does not impair the auditors’ independence from the Funds. The Committee has adopted, and the Board has ratified, this Policy, which sets out the procedures and conditions under which the services of the independent auditors may be pre-approved.
Under Securities and Exchange Commission (“SEC”) rules promulgated in accordance with the Act, the Funds may establish two different approaches to pre-approving audit and non-audit services. The Committee may approve services without consideration of specific case-by-case services (“general pre-approval”) or it may pre-approve specific services (“specific pre-approval”). The Committee believes that the combination of these approaches contemplated in this Policy results in an effective and efficient method for pre-approving audit and non-audit services to be performed by the Funds’ independent auditors. Under this Policy, services that are not of a type that may receive general pre-approval require specific pre-approval by the Committee. Any proposed services that exceed pre-approved cost levels or budgeted amounts will also require the Committee’s specific pre-approval.
For both types of approval, the Committee considers whether the subject services are consistent with the SEC’s rules on auditor independence and that such services are compatible with maintaining the auditors independence. The Committee also considers whether a particular audit firm is in the best position to provide effective and efficient services to the Funds. Reasons that the auditors are in the best position include the auditors’ familiarity with the Funds’ business, personnel, culture, accounting systems, risk profile, and other factors, and whether the services will enhance the Funds’ ability to manage and control risk or improve audit quality. Such factors will be considered as a whole, with no one factor being determinative.
The appendices attached to this Policy describe the audit, audit-related, tax-related, and other services that have the Committee’s general pre-approval. For any service that has been approved through general pre-approval, the general pre-approval will remain in place for a period 12 months from the date of pre-approval, unless the Committee determines that a different period is appropriate. The Committee will annually review and pre-approve the services that may be provided by the independent auditors without specific pre-approval. The Committee will revise the list of services subject to general pre-approval as appropriate. This Policy does not serve as a delegation to Fund management of the Committee’s duty to pre-approve services performed by the Funds’ independent auditors.
II. Audit Services
The annual audit services engagement terms and fees are subject to the Committee’s specific pre-approval. Audit services are those services that are normally provided by auditors in connection with statutory and regulatory filings or engagements or those that generally only independent auditors can reasonably provide. They include the Funds’ annual financial statement audit and procedures that the independent auditors must perform in order to form an opinion on the Funds’ financial statements (e.g., information systems and procedural reviews and testing). The Committee will monitor the audit services engagement and approve any changes in terms, conditions or fees deemed by the Committee to be necessary or appropriate.
The Committee may grant general pre-approval to other audit services, such as statutory audits and services associated with SEC registration statements, periodic reports and other documents filed with the SEC or issued in connection with securities offerings.
The Committee has pre-approved the audit services listed on Appendix A. The Committee must specifically approve all audit services not listed on Appendix A.
III. Audit-related Services
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or the review of the Funds’ financial statements or are traditionally performed by the independent auditors. The Committee believes that the provision of audit-related services will not impair the independent auditors’ independence, and therefore may grant pre-approval to audit-related services. Audit-related services include accounting consultations related to accounting, financial reporting or disclosure matters not classified as “audit services;” assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; agreed-upon or expanded audit procedures relating to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters; and assistance with internal control reporting requirements under Form N-SAR or Form N-CSR.
The Committee has pre-approved the audit-related services listed on Appendix B. The Committee must specifically approve all audit-related services not listed on Appendix B.
IV. Tax Services
The Committee believes the independent auditors can provide tax services to the Funds, including tax compliance, tax planning, and tax advice, without compromising the auditors’ independence. Therefore, the Committee may grant general pre-approval with respect to tax services historically provided by the Funds’ independent auditors that do not, in the Committee’s view, impair auditor independence and that are consistent with the SEC’s rules on auditor independence.
The Committee will not grant pre-approval if the independent auditors initially recommends a transaction the sole business purpose of which is tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Committee may consult
2
outside counsel to determine that tax planning and reporting positions are consistent with this Policy.
The Committee has pre-approved the tax-related services listed on Appendix C. The Committee must specifically approve all tax-related services not listed on Appendix C.
V. Other Services
The Committee believes it may grant approval of non-audit services that are permissible services for independent auditors to a Fund. The Committee has determined to grant general pre-approval to other services that it believes are routine and recurring, do not impair auditor independence, and are consistent with SEC rules on auditor independence.
The Committee has pre-approved the non-audit services listed on Appendix D. The Committee must specifically approve all non-audit services not listed on Appendix D.
A list of the SEC’s prohibited non-audit services is attached to this Policy as Appendix E. The SEC’s rules and relevant guidance should be consulted to determine the precise definitions of these impermissible services and the applicability of exceptions to certain of the SEC’s prohibitions.
VI. Pre-approval of Fee levels and Budgeted Amounts
The Committee will annually establish pre-approval fee levels or budgeted amounts for audit, audit-related, tax and non-audit services to be provided to the Funds by the independent auditors. Any proposed services exceeding these levels or amounts require the Committee’s specific pre-approval. The Committee considers fees for audit and non-audit services when deciding whether to pre-approve services. The Committee may determine, for a pre-approval period of 12 months, the appropriate ratio between the total amount of fees for the Fund’s audit, audit-related, and tax services (including fees for services provided to Fund affiliates that are subject to pre-approval), and the total amount of fees for certain permissible non-audit services for the Fund classified as other services (including any such services provided to Fund affiliates that are subject to pre-approval).
VII. Procedures
Requests or applications for services to be provided by the independent auditors will be submitted to management. If management determines that the services do not fall within those services generally pre-approved by the Committee and set out in the appendices to these procedures, management will submit the services to the Committee or its delagee. Any such submission will include a detailed description of the services to be rendered. Notwithstanding this paragraph, the Committee will, on a quarterly basis, receive from the independent auditors a list of services provided for the previous calendar quarter on a cumulative basis by the auditors during the Pre-Approval Period.
3
VIII. Delegation
The Committee may delegate pre-approval authority to one or more of the Committee’s members. Any member or members to whom such pre-approval authority is delegated must report any pre-approval decisions, including any pre-approved services, to the Committee at its next scheduled meeting. The Committee will identify any member to whom pre-approval authority is delegated in writing. The member will retain such authority for a period of 12 months from the date of pre-approval unless the Committee determines that a different period is appropriate. The period of delegated authority may be terminated by the Committee or at the option of the member.
IX. Additional Requirements
The Committee will take any measures the Committee deems necessary or appropriate to oversee the work of the independent auditors and to assure the auditors’ independence from the Funds. This may include reviewing a formal written statement from the independent auditors delineating all relationships between the auditors and the Funds, consistent with Independence Standards Board No. 1, and discussing with the auditors their methods and procedures for ensuring independence.
Effective April 23, 2008, the KPMG LLP (“KPMG”) audit team for the ING Funds accepted the global responsibility for monitoring the auditor independence for KPMG relative to the ING Funds. Using a proprietary system called Sentinel, the audit team is able to identify and manage potential conflicts of interest across the member firms of the KPMG International Network and prevent the provision of prohibited services to the ING entities that would impair KPMG independence with the respect to the ING Funds. In addition to receiving pre-approval from the ING Funds Audit Committee for services provided to the ING Funds and for services for ING entities in the Investment Company Complex, the audit team has developed a process for periodic notification via email to the ING Funds’ Audit Committee Chairpersons regarding requests to provide services to ING Groep NV and its affiliates from KPMG offices worldwide. Additionally, KPMG provides a quarterly summary of the fees for services that have commenced for ING Groep NV and Affiliates at each Audit Committee Meeting.
4
Last Approved: November 29, 2012
5
Appendix A
Pre-Approved Audit Services for the Pre-Approval Period January 1, 2013 through December 31, 2013
Service | ||
The Fund(s) | Fee Range | |
Statutory audits or financial audits (including tax services associated with audit services) | √ | As presented to Audit Committee1 |
Services associated with SEC registration statements, periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., consents), and assistance in responding to SEC comment letters. | √ | Not to exceed $9,750 per filing |
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. | √ | Not to exceed $8,000 during the Pre-Approval Period |
Seed capital audit and related review and issuance of consent on the N-2 registration statement | √ | Not to exceed $13,000 per audit |
__________
1 | For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, pro-rated in accordance with inception dates as provided in the auditors’ Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling. |
6
Appendix B
Pre-Approved Audit-Related Services for the Pre-Approval Period January 1, 2013 through December 31, 2013
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Services related to Fund mergers (Excludes tax services - See Appendix C for tax services associated with Fund mergers) | √ | √ | Not to exceed $10,000 per merger |
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. [Note: Under SEC rules some consultations may be “audit” services and others may be “audit-related” services.] | √ | Not to exceed $5,000 per occurrence during the Pre-Approval Period | |
Review of the Funds’ semi-annual and quarterly financial statements | √ | Not to exceed $2,400 per set of financial statements per fund | |
Reports to regulatory or government agencies related to the annual engagement | √ | Up to $5,000 per occurrence during the Pre-Approval Period | |
Regulatory compliance assistance | √ | √ | Not to exceed $5,000 per quarter |
Training courses | √ | Not to exceed $2,000 per course | |
For Prime Rate Trust, agreed upon procedures for quarterly reports to rating agencies | √ | Not to exceed $9,450 per quarter | |
7
Appendix C
Pre-Approved Tax Services for the Pre-Approval Period January 1, 2013 through December 31, 2013
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Preparation of federal and state income tax returns and federal excise tax returns for the Funds including assistance and review with excise tax distributions | √ | As presented to Audit Committee2 | |
Review of IRC Sections 851(b) and 817(h) diversification testing on a real-time basis | √ | As presented to Audit Committee2 | |
Assistance and advice regarding year-end reporting for 1099’s | √ | As presented to Audit Committee2 | |
Tax assistance and advice regarding statutory, regulatory or administrative developments | √ | √ | Not to exceed $5,000 for the Funds or for the Funds’ investment adviser during the Pre-Approval Period |
__________
2 | For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, pro-rated in accordance with inception dates as provided in the auditors’ Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling. |
8
Appendix C, continued
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Tax training courses | √ | Not to exceed $2,000 per course during the Pre-Approval Period | |
Tax services associated with Fund mergers | √ | √ | Not to exceed $4,000 per fund per merger during the Pre-Approval Period |
Other tax-related assistance and consultation, including, without limitation, assistance in evaluating derivative financial instruments and international tax issues, qualification and distribution issues, and similar routine tax consultations. | √ | Not to exceed $120,000 during the Pre-Approval Period |
9
Appendix D
Pre-Approved Other Services for the Pre-Approval Period January 1, 2013 through December 31, 2013
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Agreed-upon procedures for Class B share 12b-1 programs | √ | Not to exceed $60,000 during the Pre-Approval Period | |
Security counts performed pursuant to Rule 17f-2 of the 1940 Act (i.e., counts for Funds holding securities with affiliated sub-custodians) Cost to be borne 50% by the Funds and 50% by ING Investments, LLC. | √ | √ | Not to exceed $5,000 per Fund during the Pre-Approval Period |
Agreed upon procedures for 15 (c) FACT Books | √ | Not to exceed $35,000 during the Pre-Approval Period |
10
Appendix E
Prohibited Non-Audit Services
Dated: January 1, 2013 to December 31, 2013
· | Bookkeeping or other services related to the accounting records or financial statements of the Funds |
· | Financial information systems design and implementation |
· | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports |
· | Actuarial services |
· | Internal audit outsourcing services |
· | Management functions |
· | Human resources |
· | Broker-dealer, investment adviser, or investment banking services |
· | Legal services |
· | Expert services unrelated to the audit |
· | Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible |
11
EXHIBIT A
ING ASIA PACIFIC HIGH DIVIDEND EQUITY INCOME FUND
ING EMERGING MARKETS LOCAL BOND FUND
ING EMERING MARKETS HIGH DIVIDEND EQUITY FUND
ING EQUITY TRUST
ING FUNDS TRUST
ING GLOBAL ADVANTAGE AND PREMIUM OPPORTUNITY FUND
ING GLOBAL EQUITY DIVIDEND AND PREMIUM OPPORTUNITY FUND
ING GLOBAL STRATEGIC INCOME FUND
ING INFRASTRUCTURE, INDUSTRIALS, AND MATERIALS FUND
ING INTERNATIONAL HIGH DIVIDEND EQUITY INCOME FUND
ING INVESTORS TRUST
ING MAYFLOWER TRUST
ING MUTUAL FUNDS
ING PARTNERS, INC.
ING PRIME RATE TRUST
ING RISK MANAGED NATURAL RESOURCES FUNDING INVESTORS TRUST
ING SENIOR INCOME FUND
ING SEPARATE PORTFOLIOS TRUST
ING VARIABLE INSURANCE TRUST
ING VARIABLE PRODUCTS TRUST
(e)(2) | Percentage of services referred to in (4)(b)-(4)(d) that were approved by the audit committee | |
100% of the services were approved by the audit committee. | ||
(f) | Percentage of hours expended attributable to work performed by other than full time employees of KPMG if greater than 50% | |
Not applicable | ||
(g) | Non-Audit Fees: The non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were $496,971 for year ended March 31, 2013 and $1,214,165 for fiscal year ended March 31, 2012. | |
(h) | Principal Accountants Independence: the Registrant’s Audit committee has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2.01(c)(7)(ii) of Regulation S-X is compatible with maintaining KPMG’s independence. |
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Summary schedule or complete schedule of investments, if applicable, is included as part of the report to shareholders filed under Item 1 of this Form.
13
Report of Independent Registered Public Accounting Firm
The Shareholders and Board of Trustees
ING Funds Trust
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statements of assets and liabilities, including the summary portfolios of investments, of ING GNMA Income Fund, ING High Yield Bond Fund, ING Intermediate Bond Fund, ING Short Term Bond Fund, and ING Strategic Income Fund, each a series of ING Funds Trust, as of March 31, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended and have issued our unqualified report thereon dated May 24, 2013 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). In connection with our audits of the aforementioned financial statements and financial highlights, we also audited the related portfolios of investments included in Item 6 of this Form N-CSR. The portfolios of investments are the responsibility of management. Our responsibility is to express an opinion on the portfolios of investments based on our audits.
In our opinion, the portfolios of investments, when considered in relation to the basic financial statements taken as a whole, present fairly, in all material respects, the information set forth therein.
Boston, Massachusetts
May 24, 2013
AS OF MARCH 31, 2013
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.1% | |||||||||||||||||||||||
970,116 | Vendee Mortgage Trust, 3.750%, 10/15/41 | $ | 1,052,898 | 0.1 | |||||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $1,035,519) | 1,052,898 | 0.1 | |||||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 107.8% | |||||||||||||||||||||||
Federal Home Loan Mortgage Corporation: 3.3%## | |||||||||||||||||||||||
18,311,789 | ˆ | 0.500%, due 07/15/36 | 405,793 | 0.0 | |||||||||||||||||||
5,528,904 | ˆ | 4.500%, due 12/15/40 | 1,044,435 | 0.1 | |||||||||||||||||||
1,423,581 | 5.000%, due 08/15/36 | 1,556,017 | 0.2 | ||||||||||||||||||||
172,524 | 5.450%, due 03/01/37 | 186,749 | 0.0 | ||||||||||||||||||||
145,059 | 5.450%, due 07/01/37 | 156,172 | 0.0 | ||||||||||||||||||||
164,791 | 5.450%, due 12/01/37 | 178,379 | 0.0 | ||||||||||||||||||||
126,754 | 5.450%, due 12/01/37 | 137,206 | 0.0 | ||||||||||||||||||||
147,079 | 5.450%, due 05/01/38 | 159,206 | 0.0 | ||||||||||||||||||||
1,987,584 | ˆ | 5.500%, due 09/15/35 | 372,150 | 0.0 | |||||||||||||||||||
595,275 | 5.625%, due 12/01/36 | 653,731 | 0.1 | ||||||||||||||||||||
105,790 | 5.625%, due 01/01/37 | 115,165 | 0.0 | ||||||||||||||||||||
635,383 | 5.625%, due 01/01/37 | 701,070 | 0.1 | ||||||||||||||||||||
64,022 | 5.625%, due 01/01/37 | 69,427 | 0.0 | ||||||||||||||||||||
41,107 | 5.625%, due 02/01/37 | 45,518 | 0.0 | ||||||||||||||||||||
560,249 | 5.625%, due 03/01/37 | 617,731 | 0.1 | ||||||||||||||||||||
83,088 | 5.625%, due 03/01/37 | 91,915 | 0.0 | ||||||||||||||||||||
189,512 | 5.625%, due 03/01/37 | 205,510 | 0.0 | ||||||||||||||||||||
92,500 | 5.625%, due 04/01/37 | 100,257 | 0.0 | ||||||||||||||||||||
178,312 | 5.625%, due 06/01/37 | 193,592 | 0.0 | ||||||||||||||||||||
227,817 | 5.625%, due 07/01/37 | 248,007 | 0.0 | ||||||||||||||||||||
342,594 | 5.625%, due 07/01/37 | 375,808 | 0.0 | ||||||||||||||||||||
31,829 | 5.625%, due 12/01/37 | 35,230 | 0.0 | ||||||||||||||||||||
494,545 | 5.625%, due 02/01/38 | 542,067 | 0.1 | ||||||||||||||||||||
130,770 | 5.650%, due 02/01/37 | 142,055 | 0.0 | ||||||||||||||||||||
174,484 | 5.650%, due 02/01/37 | 189,950 | 0.0 | ||||||||||||||||||||
382,297 | 5.700%, due 06/01/37 | 413,411 | 0.1 | ||||||||||||||||||||
160,053 | 5.700%, due 09/01/37 | 173,080 | 0.0 | ||||||||||||||||||||
163,427 | 5.700%, due 12/01/37 | 177,698 | 0.0 | ||||||||||||||||||||
156,738 | 5.700%, due 01/01/38 | 170,425 | 0.0 | ||||||||||||||||||||
162,697 | 5.790%, due 12/01/37 | 177,207 | 0.0 | ||||||||||||||||||||
3,818,554 | ˆ | 5.897%, due 06/15/40 | 390,948 | 0.0 | |||||||||||||||||||
856,627 | 6.000%, due 03/15/34 | 953,624 | 0.1 | ||||||||||||||||||||
10,482,586 | 6.000%, due 04/15/36 | 12,145,181 | 1.1 | ||||||||||||||||||||
4,139,518 | 6.000%, due 05/15/36 | 4,656,413 | 0.4 | ||||||||||||||||||||
151,936 | 6.050%, due 04/01/38 | 166,394 | 0.0 | ||||||||||||||||||||
564,047 | 6.090%, due 12/01/37 | 625,600 | 0.1 | ||||||||||||||||||||
3,717 | 7.000%, due 11/01/14 | 3,844 | 0.0 | ||||||||||||||||||||
31,284 | 7.500%, due 12/01/14 | 32,461 | 0.0 | ||||||||||||||||||||
33,706 | 7.500%, due 01/01/30 | 41,065 | 0.0 | ||||||||||||||||||||
890,095 | ˆ | 7.750%, due 10/25/23 | 191,923 | 0.0 | |||||||||||||||||||
11,617 | 8.000%, due 01/01/30 | 11,814 | 0.0 | ||||||||||||||||||||
23,000 | 9.500%, due 07/01/20 | 24,247 | 0.0 | ||||||||||||||||||||
991,423 | 19.250%, due 03/15/35 | 1,530,546 | 0.1 | ||||||||||||||||||||
735,053 | 21.229%, due 04/15/35 | 1,190,568 | 0.1 | ||||||||||||||||||||
4,712,157 | 27.787%, due 04/15/32 | 6,420,111 | 0.6 | ||||||||||||||||||||
38,019,700 | 3.3 | ||||||||||||||||||||||
Federal National Mortgage Association 10.8%## | |||||||||||||||||||||||
5,045,119 | 3.500%, due 06/25/41 | 5,256,714 | 0.5 | ||||||||||||||||||||
3,457,000 | 3.500%, due 09/25/42 | 3,653,529 | 0.3 | ||||||||||||||||||||
11,500,000 | W | 4.000%, due 12/15/39 | 12,512,090 | 1.1 | |||||||||||||||||||
9,137,989 | ˆ | 4.000%, due 05/25/42 | 1,766,110 | 0.2 | |||||||||||||||||||
21,500,000 | 4.000%, due 03/15/43 | 23,472,793 | 2.0 | ||||||||||||||||||||
14,053,651 | 4.500%, due 09/01/41 | 15,174,577 | 1.3 | ||||||||||||||||||||
25,071,936 | 4.500%, due 09/01/41 | 27,071,686 | 2.4 | ||||||||||||||||||||
15,002,104 | 4.593%, due 11/25/33 | 16,288,286 | 1.4 | ||||||||||||||||||||
1,700,883 | 5.000%, due 10/25/35 | 1,992,405 | 0.2 | ||||||||||||||||||||
343,242 | 5.300%, due 09/01/36 | 377,469 | 0.0 | ||||||||||||||||||||
134,776 | 5.300%, due 10/01/36 | 147,950 | 0.0 | ||||||||||||||||||||
112,236 | 5.300%, due 10/01/36 | 122,926 | 0.0 | ||||||||||||||||||||
475,394 | 5.300%, due 12/01/36 | 520,715 | 0.1 | ||||||||||||||||||||
429,929 | 5.300%, due 12/01/36 | 474,839 | 0.0 | ||||||||||||||||||||
237,317 | 5.300%, due 02/01/37 | 258,423 | 0.0 | ||||||||||||||||||||
439,427 | 5.300%, due 04/01/37 | 481,635 | 0.1 | ||||||||||||||||||||
344,764 | 5.300%, due 05/01/37 | 377,995 | 0.0 | ||||||||||||||||||||
129,932 | 5.300%, due 06/01/37 | 141,488 | 0.0 | ||||||||||||||||||||
717,584 | 5.300%, due 08/01/37 | 786,285 | 0.1 | ||||||||||||||||||||
75,007 | 5.300%, due 10/01/37 | 81,945 | 0.0 | ||||||||||||||||||||
353,907 | 5.500%, due 05/25/34 | 418,492 | 0.0 | ||||||||||||||||||||
2,682,362 | 6.000%, due 10/25/37 | 3,181,228 | 0.3 | ||||||||||||||||||||
615,355 | 6.000%, due 01/25/44 | 726,281 | 0.1 | ||||||||||||||||||||
2,928 | 6.500%, due 06/01/14 | 2,994 | 0.0 | ||||||||||||||||||||
218,349 | 6.500%, due 02/01/29 | 251,025 | 0.0 | ||||||||||||||||||||
267,521 | 6.600%, due 07/01/27 | �� | 302,585 | 0.0 | |||||||||||||||||||
115,865 | 6.600%, due 09/01/27 | 131,524 | 0.0 | ||||||||||||||||||||
49,832 | 6.600%, due 11/01/27 | 56,566 | 0.0 | ||||||||||||||||||||
40,520 | 6.600%, due 03/01/28 | 45,996 | 0.0 | ||||||||||||||||||||
100,162 | 6.600%, due 06/01/28 | 114,072 | 0.0 | ||||||||||||||||||||
4,979 | 7.000%, due 03/01/15 | 5,039 | 0.0 | ||||||||||||||||||||
54,886 | 7.500%, due 05/01/28 | 58,886 | 0.0 | ||||||||||||||||||||
1,817,962 | 8.000%, due 12/25/45 | 2,241,933 | 0.2 | ||||||||||||||||||||
8,859 | 8.500%, due 08/01/15 | 8,904 | 0.0 | ||||||||||||||||||||
12,968 | 8.500%, due 09/01/15 | 13,768 | 0.0 | ||||||||||||||||||||
4,715,985 | 16.365%, due 05/25/35 | 6,140,446 | 0.5 | ||||||||||||||||||||
124,659,599 | 10.8 | ||||||||||||||||||||||
Government National Mortgage Association 93.7% | |||||||||||||||||||||||
4,575,620 | ˆ | 0.209%, due 02/16/48 | 98,779 | 0.0 | |||||||||||||||||||
50,076,283 | ˆ | 0.250%, due 06/20/36 | 334,920 | 0.0 | |||||||||||||||||||
13,214,908 | 0.352%, due 09/20/59 | 13,175,918 | 1.2 | ||||||||||||||||||||
16,636,939 | 0.593%, due 07/20/41 | 16,737,385 | 1.5 | ||||||||||||||||||||
13,383,683 | 0.603%, due 07/20/41 | 13,472,109 | 1.2 | ||||||||||||||||||||
11,013,529 | 0.723%, due 04/20/40 | 11,142,635 | 1.0 | ||||||||||||||||||||
51,383,575 | ˆ | 0.802%, due 01/16/50 | 1,829,173 | 0.2 | |||||||||||||||||||
4,768,525 | 0.853%, due 04/20/40 | 4,848,691 | 0.4 | ||||||||||||||||||||
17,786,682 | 0.853%, due 06/20/40 | 17,806,630 | 1.6 | ||||||||||||||||||||
13,914,161 | 0.903%, due 01/16/40 | 14,145,707 | 1.2 | ||||||||||||||||||||
86,353,363 | ˆ | 0.917%, due 01/16/51 | 3,690,915 | 0.3 | |||||||||||||||||||
1,778,501 | ˆ | 1.000%, due 06/16/37 | 51,650 | 0.0 | |||||||||||||||||||
3,564,213 | 1.123%, due 06/20/39 | 3,637,926 | 0.3 | ||||||||||||||||||||
4,197,823 | 1.153%, due 09/20/38 | 4,297,569 | 0.4 | ||||||||||||||||||||
12,935,041 | 1.243%, due 03/20/39 | 13,205,952 | 1.2 | ||||||||||||||||||||
18,290,494 | ˆ | 2.427%, due 10/16/52 | 1,671,848 | 0.2 | |||||||||||||||||||
7,260,815 | 3.000%, due 03/20/43 | 7,240,394 | 0.6 | ||||||||||||||||||||
122,000,000 | 3.000%, due 05/01/43 | 127,127,806 | 11.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
64,844,086 | 3.500%, due 02/20/43 | $ | 69,437,887 | 6.0 | ||||||||||||||
113,900,000 | W | 3.500%, due 05/15/43 | 122,175,547 | 10.6 | ||||||||||||||
363,289 | 4.000%, due 05/20/33 | 399,916 | 0.0 | |||||||||||||||
498,925 | 4.000%, due 08/15/33 | 552,813 | 0.1 | |||||||||||||||
506,208 | 4.000%, due 01/15/34 | 554,317 | 0.1 | |||||||||||||||
218,657 | 4.000%, due 03/15/34 | 238,731 | 0.0 | |||||||||||||||
479,341 | 4.000%, due 08/20/35 | 524,373 | 0.1 | |||||||||||||||
6,067,090 | ˆ | 4.000%, due 04/20/38 | 745,983 | 0.1 | ||||||||||||||
3,038,615 | ˆ | 4.000%, due 08/20/39 | 912,741 | 0.1 | ||||||||||||||
1,592,845 | 4.000%, due 05/15/40 | 1,746,965 | 0.2 | |||||||||||||||
2,157,333 | 4.000%, due 09/20/40 | 2,282,475 | 0.2 | |||||||||||||||
2,237,320 | 4.000%, due 12/16/40 | 2,476,856 | 0.2 | |||||||||||||||
1,641,016 | 4.000%, due 12/20/40 | 1,807,124 | 0.2 | |||||||||||||||
5,146,430 | ˆ | 4.000%, due 04/20/41 | 1,016,749 | 0.1 | ||||||||||||||
13,998,558 | 4.000%, due 07/20/41 | 15,408,068 | 1.3 | |||||||||||||||
2,522,879 | 4.000%, due 10/20/41 | 2,635,889 | 0.2 | |||||||||||||||
15,900,000 | 4.000%, due 10/20/41 | 17,204,918 | 1.5 | |||||||||||||||
2,639,908 | ˆ | 4.000%, due 03/20/42 | 482,933 | 0.1 | ||||||||||||||
4,103,237 | 4.000%, due 04/20/42 | 4,389,426 | 0.4 | |||||||||||||||
1,607,227 | 4.000%, due 09/15/42 | 1,777,304 | 0.2 | |||||||||||||||
32,938,109 | 4.000%, due 09/20/42 | 35,659,878 | 3.1 | |||||||||||||||
4,772,953 | 4.000%, due 10/20/42 | 5,167,356 | 0.5 | |||||||||||||||
10,657,071 | 4.000%, due 11/20/42 | 11,537,695 | 1.0 | |||||||||||||||
9,952,415 | 4.000%, due 02/20/43 | 10,774,810 | 0.9 | |||||||||||||||
13,600,619 | ˆ | 4.500%, due 08/20/33 | 502,535 | 0.1 | ||||||||||||||
763,235 | 4.500%, due 10/20/33 | 829,334 | 0.1 | |||||||||||||||
350,633 | 4.500%, due 01/20/34 | 381,083 | 0.0 | |||||||||||||||
506,300 | 4.500%, due 01/20/34 | 550,269 | 0.1 | |||||||||||||||
588,014 | 4.500%, due 03/20/34 | 646,576 | 0.1 | |||||||||||||||
165,752 | 4.500%, due 05/20/34 | 180,147 | 0.0 | |||||||||||||||
343,501 | 4.500%, due 06/20/34 | 373,332 | 0.0 | |||||||||||||||
2,218,583 | ˆ | 4.500%, due 02/20/35 | 111,747 | 0.0 | ||||||||||||||
786,110 | 4.500%, due 10/20/35 | 859,046 | 0.1 | |||||||||||||||
1,829,251 | ˆ | 4.500%, due 02/20/36 | 114,065 | 0.0 | ||||||||||||||
42,700 | 4.500%, due 07/20/36 | 46,979 | 0.0 | |||||||||||||||
138,592 | 4.500%, due 08/20/36 | 152,482 | 0.0 | |||||||||||||||
626,662 | ˆ | 4.500%, due 12/20/37 | 75,928 | 0.0 | ||||||||||||||
3,786,644 | ˆ | 4.500%, due 02/20/38 | 158,022 | 0.0 | ||||||||||||||
393,449 | 4.500%, due 07/20/38 | 419,035 | 0.0 | |||||||||||||||
683,684 | 4.500%, due 07/20/38 | 746,023 | 0.1 | |||||||||||||||
2,002,047 | 4.500%, due 07/20/38 | 2,184,596 | 0.2 | |||||||||||||||
3,619,644 | ˆ | 4.500%, due 04/20/39 | 651,054 | 0.1 | ||||||||||||||
4,761,000 | 4.500%, due 05/20/39 | 5,464,402 | 0.5 | |||||||||||||||
300,272 | 4.500%, due 06/20/39 | 319,799 | 0.0 | |||||||||||||||
3,391,057 | 4.500%, due 10/15/39 | 3,765,239 | 0.3 | |||||||||||||||
3,153,012 | 4.500%, due 11/15/39 | 3,500,927 | 0.3 | |||||||||||||||
2,798,089 | 4.500%, due 11/15/39 | 3,106,841 | 0.3 | |||||||||||||||
779,709 | 4.500%, due 12/15/39 | 865,745 | 0.1 | |||||||||||||||
2,587,534 | 4.500%, due 01/15/40 | 2,839,899 | 0.3 | |||||||||||||||
9,752,309 | 4.500%, due 02/15/40 | 10,703,463 | 0.9 | |||||||||||||||
1,042,971 | 4.500%, due 06/15/40 | 1,144,693 | 0.1 | |||||||||||||||
3,674,610 | 4.500%, due 08/20/40 | 3,979,423 | 0.4 | |||||||||||||||
4,877,941 | ˆ | 4.500%, due 06/16/41 | 939,861 | 0.1 | ||||||||||||||
6,378,004 | 4.500%, due 09/20/41 | 7,057,126 | 0.6 | |||||||||||||||
1,025,688 | 4.500%, due 11/15/41 | 1,121,878 | 0.1 | |||||||||||||||
21,680,074 | ˆ | 4.500%, due 12/16/42 | 4,430,150 | 0.4 | ||||||||||||||
8,306,673 | 4.500%, due 01/20/43 | 9,191,073 | 0.8 | |||||||||||||||
2,044,499 | 4.546%, due 07/20/62 | 2,340,615 | 0.2 | |||||||||||||||
1,335,560 | 4.639%, due 08/20/42 | 1,535,712 | 0.1 | |||||||||||||||
11,874,014 | 4.660%, due 09/20/61 | 13,836,385 | 1.2 | |||||||||||||||
1,999,961 | 4.850%, due 05/20/40 | 2,200,395 | 0.2 | |||||||||||||||
4,471,859 | 4.861%, due 06/20/61 | 5,054,734 | 0.4 | |||||||||||||||
196,478 | 5.000%, due 05/15/18 | 211,021 | 0.0 | |||||||||||||||
569,767 | 5.000%, due 02/15/23 | 621,052 | 0.1 | |||||||||||||||
612,885 | 5.000%, due 02/15/24 | 669,927 | 0.1 | |||||||||||||||
339,714 | 5.000%, due 02/15/24 | 372,075 | 0.0 | |||||||||||||||
515,053 | 5.000%, due 02/15/24 | 562,990 | 0.1 | |||||||||||||||
306,010 | 5.000%, due 02/15/24 | 335,160 | 0.0 | |||||||||||||||
677,209 | 5.000%, due 03/15/24 | 740,238 | 0.1 | |||||||||||||||
322,705 | 5.000%, due 03/15/24 | 351,429 | 0.0 | |||||||||||||||
1,207,410 | 5.000%, due 03/15/24 | 1,319,786 | 0.1 | |||||||||||||||
268,839 | 5.000%, due 03/15/24 | 291,821 | 0.0 | |||||||||||||||
541,087 | 5.000%, due 03/15/24 | 593,475 | 0.1 | |||||||||||||||
181,475 | 5.000%, due 03/20/24 | 197,640 | 0.0 | |||||||||||||||
797,529 | 5.000%, due 04/15/24 | 871,432 | 0.1 | |||||||||||||||
537,632 | 5.000%, due 04/15/29 | 595,613 | 0.1 | |||||||||||||||
370,527 | 5.000%, due 04/15/30 | 412,686 | 0.0 | |||||||||||||||
5,176,527 | 5.000%, due 04/20/30 | 5,573,017 | 0.5 | |||||||||||||||
599,224 | 5.000%, due 10/15/30 | 665,626 | 0.1 | |||||||||||||||
439,774 | 5.000%, due 07/15/33 | 488,506 | 0.1 | |||||||||||||||
554,655 | 5.000%, due 10/20/33 | 604,432 | 0.1 | |||||||||||||||
522,281 | 5.000%, due 12/20/33 | 569,153 | 0.1 | |||||||||||||||
206,368 | 5.000%, due 12/20/33 | 224,888 | 0.0 | |||||||||||||||
263,417 | 5.000%, due 12/20/33 | 287,057 | 0.0 | |||||||||||||||
143,968 | 5.000%, due 02/20/34 | 156,057 | 0.0 | |||||||||||||||
300,067 | 5.000%, due 03/15/34 | 328,864 | 0.0 | |||||||||||||||
976,701 | 5.000%, due 04/15/34 | 1,074,707 | 0.1 | |||||||||||||||
284,303 | 5.000%, due 04/15/34 | 316,651 | 0.0 | |||||||||||||||
290,531 | 5.000%, due 04/20/34 | 314,927 | 0.0 | |||||||||||||||
162,365 | 5.000%, due 06/20/34 | 175,998 | 0.0 | |||||||||||||||
215,007 | 5.000%, due 07/20/34 | 233,061 | 0.0 | |||||||||||||||
5,022,267 | 5.000%, due 10/20/34 | 5,942,901 | 0.5 | |||||||||||||||
145,746 | 5.000%, due 12/20/34 | 157,984 | 0.0 | |||||||||||||||
534,725 | 5.000%, due 12/20/34 | 579,626 | 0.1 | |||||||||||||||
206,878 | 5.000%, due 01/15/35 | 226,085 | 0.0 | |||||||||||||||
661,785 | 5.000%, due 03/15/35 | 724,758 | 0.1 | |||||||||||||||
159,022 | 5.000%, due 03/15/35 | 173,786 | 0.0 | |||||||||||||||
2,830,621 | 5.000%, due 03/20/35 | 3,314,889 | 0.3 | |||||||||||||||
231,775 | 5.000%, due 04/15/35 | 253,294 | 0.0 | |||||||||||||||
992,394 | 5.000%, due 04/15/35 | 1,084,516 | 0.1 | |||||||||||||||
416,425 | 5.000%, due 04/15/35 | 462,570 | 0.0 | |||||||||||||||
189,685 | 5.000%, due 04/15/35 | 206,722 | 0.0 | |||||||||||||||
76,644 | 5.000%, due 05/15/35 | 86,060 | 0.0 | |||||||||||||||
12,749,591 | ˆ | 5.000%, due 05/20/35 | 591,522 | 0.1 | ||||||||||||||
428,150 | 5.000%, due 05/20/35 | 470,845 | 0.0 | |||||||||||||||
97,155 | 5.000%, due 06/15/35 | 105,885 | 0.0 | |||||||||||||||
306,753 | 5.000%, due 09/15/35 | 337,534 | 0.0 | |||||||||||||||
911,371 | ˆ | 5.000%, due 09/16/35 | 62,809 | 0.0 | ||||||||||||||
1,303,043 | 5.000%, due 10/20/35 | 1,533,192 | 0.1 | |||||||||||||||
2,208,333 | 5.000%, due 11/20/35 | 2,425,785 | 0.2 | |||||||||||||||
325,579 | 5.000%, due 12/15/35 | 354,748 | 0.0 | |||||||||||||||
1,316,901 | 5.000%, due 04/20/36 | 1,444,928 | 0.1 | |||||||||||||||
243,756 | 5.000%, due 05/20/37 | 263,584 | 0.0 | |||||||||||||||
288,682 | 5.000%, due 09/20/37 | 305,229 | 0.0 | |||||||||||||||
286,898 | 5.000%, due 12/20/37 | 310,235 | 0.0 | |||||||||||||||
727,010 | 5.000%, due 12/20/37 | 786,148 | 0.1 | |||||||||||||||
5,835,951 | ˆ | 5.000%, due 01/20/38 | 940,133 | 0.1 | ||||||||||||||
262,654 | 5.000%, due 01/20/38 | 283,494 | 0.0 | |||||||||||||||
796,510 | 5.000%, due 01/20/38 | 859,708 | 0.1 | |||||||||||||||
175,309 | 5.000%, due 02/15/38 | 190,709 | 0.0 | |||||||||||||||
193,076 | 5.000%, due 05/20/38 | 204,516 | 0.0 | |||||||||||||||
498,597 | 5.000%, due 06/20/38 | 527,204 | 0.1 | |||||||||||||||
1,009,967 | 5.000%, due 06/20/38 | 1,069,807 | 0.1 | |||||||||||||||
600,004 | 5.000%, due 06/20/38 | 634,429 | 0.1 | |||||||||||||||
307,794 | 5.000%, due 08/20/38 | 326,031 | 0.0 | |||||||||||||||
819,131 | 5.000%, due 10/20/38 | 867,664 | 0.1 | |||||||||||||||
641,185 | 5.000%, due 11/20/38 | 679,175 | 0.1 | |||||||||||||||
876,617 | 5.000%, due 12/20/38 | 928,556 | 0.1 | |||||||||||||||
2,491,441 | 5.000%, due 01/20/39 | 2,639,058 | 0.2 | |||||||||||||||
712,588 | 5.000%, due 02/15/39 | 789,436 | 0.1 | |||||||||||||||
765,756 | 5.000%, due 03/15/39 | 859,824 | 0.1 | |||||||||||||||
1,029,000 | 5.000%, due 05/20/39 | 1,186,469 | 0.1 | |||||||||||||||
2,952,848 | ˆ | 5.000%, due 07/16/39 | 517,553 | 0.1 | ||||||||||||||
270,510 | 5.000%, due 07/20/39 | 286,537 | 0.0 | |||||||||||||||
1,689,367 | 5.000%, due 10/20/39 | 1,851,494 | 0.2 | |||||||||||||||
2,020,785 | 5.000%, due 11/15/39 | 2,250,713 | 0.2 | |||||||||||||||
708,289 | 5.000%, due 11/15/39 | 787,041 | 0.1 | |||||||||||||||
4,052,221 | 5.000%, due 11/15/39 | 4,513,288 | 0.4 | |||||||||||||||
2,471,713 | 5.000%, due 12/20/39 | 2,708,920 | 0.2 | |||||||||||||||
3,881,193 | 5.000%, due 12/20/39 | 4,369,496 | 0.4 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
11,534,330 | ˆ | 5.000%, due 03/20/40 | $ | 2,098,494 | 0.2 | |||||||||||||
1,167,331 | 5.000%, due 04/15/40 | 1,276,440 | 0.1 | |||||||||||||||
1,656,431 | 5.000%, due 05/15/40 | 1,835,066 | 0.2 | |||||||||||||||
37,217,537 | 5.000%, due 05/20/40 | 43,714,993 | 3.8 | |||||||||||||||
2,964,160 | 5.000%, due 09/15/40 | 3,251,406 | 0.3 | |||||||||||||||
1,637,566 | 5.000%, due 09/15/40 | 1,796,256 | 0.2 | |||||||||||||||
1,582,264 | ˆ | 5.000%, due 05/20/41 | 333,855 | 0.0 | ||||||||||||||
4,863,719 | 5.000%, due 07/20/41 | 5,375,960 | 0.5 | |||||||||||||||
382,166 | 5.100%, due 04/20/32 | 421,840 | 0.0 | |||||||||||||||
8,100,000 | 5.250%, due 01/20/38 | 9,441,834 | 0.8 | |||||||||||||||
6,274,756 | 5.360%, due 02/20/38 | 7,101,903 | 0.6 | |||||||||||||||
13,334 | 5.450%, due 12/15/28 | 14,543 | 0.0 | |||||||||||||||
1,772,140 | 5.454%, due 04/16/39 | 1,975,127 | 0.2 | |||||||||||||||
13,914,443 | 5.473%, due 01/20/60 | 15,825,049 | 1.4 | |||||||||||||||
18,569,154 | ˆ | 5.477%, due 04/20/40 | 2,983,963 | 0.3 | ||||||||||||||
363,851 | 5.490%, due 02/15/37 | 395,813 | 0.0 | |||||||||||||||
288,362 | 5.490%, due 03/15/37 | 313,693 | 0.0 | |||||||||||||||
258,264 | 5.500%, due 08/20/24 | 284,002 | 0.0 | |||||||||||||||
6,797 | 5.500%, due 04/20/29 | 7,460 | 0.0 | |||||||||||||||
176,403 | 5.500%, due 12/20/32 | 194,489 | 0.0 | |||||||||||||||
1,115,998 | 5.500%, due 01/16/33 | 1,322,545 | 0.1 | |||||||||||||||
2,152,147 | 5.500%, due 01/17/33 | 2,528,091 | 0.2 | |||||||||||||||
3,512,801 | 5.500%, due 02/20/33 | 3,962,048 | 0.4 | |||||||||||||||
41,426 | 5.500%, due 04/15/33 | 45,666 | 0.0 | |||||||||||||||
75,174 | 5.500%, due 06/15/33 | 82,870 | 0.0 | |||||||||||||||
588,440 | 5.500%, due 08/20/33 | 648,774 | 0.1 | |||||||||||||||
1,676,542 | 5.500%, due 10/20/33 | 1,937,278 | 0.2 | |||||||||||||||
940,042 | ˆ | 5.500%, due 11/20/33 | 27,339 | 0.0 | ||||||||||||||
91,154 | 5.500%, due 11/20/33 | 99,720 | 0.0 | |||||||||||||||
182,065 | 5.500%, due 12/20/33 | 201,470 | 0.0 | |||||||||||||||
259,313 | 5.500%, due 01/15/34 | 293,964 | 0.0 | |||||||||||||||
225,000 | 5.500%, due 02/20/34 | 269,255 | 0.0 | |||||||||||||||
4,293,247 | 5.500%, due 03/16/34 | 5,181,801 | 0.5 | |||||||||||||||
359,757 | 5.500%, due 03/20/34 | 393,651 | 0.0 | |||||||||||||||
544,513 | 5.500%, due 04/15/34 | 613,360 | 0.1 | |||||||||||||||
318,962 | 5.500%, due 04/20/34 | 386,189 | 0.0 | |||||||||||||||
1,845,008 | 5.500%, due 04/20/34 | 2,018,831 | 0.2 | |||||||||||||||
1,057,798 | 5.500%, due 04/20/34 | 1,173,756 | 0.1 | |||||||||||||||
75,756 | 5.500%, due 04/20/34 | 83,523 | 0.0 | |||||||||||||||
304,440 | 5.500%, due 06/15/34 | 337,890 | 0.0 | |||||||||||||||
490,179 | 5.500%, due 06/20/34 | 538,370 | 0.1 | |||||||||||||||
221,457 | 5.500%, due 06/20/34 | 242,321 | 0.0 | |||||||||||||||
148,087 | 5.500%, due 07/20/34 | 163,271 | 0.0 | |||||||||||||||
451,926 | 5.500%, due 07/20/34 | 498,192 | 0.1 | |||||||||||||||
309,564 | 5.500%, due 08/20/34 | 338,729 | 0.0 | |||||||||||||||
455,115 | 5.500%, due 09/15/34 | 505,121 | 0.1 | |||||||||||||||
308,119 | 5.500%, due 09/15/34 | 338,334 | 0.0 | |||||||||||||||
1,041,710 | 5.500%, due 09/15/34 | 1,146,727 | 0.1 | |||||||||||||||
161,626 | 5.500%, due 10/15/34 | 182,062 | 0.0 | |||||||||||||||
99,317 | 5.500%, due 12/15/34 | 109,076 | 0.0 | |||||||||||||||
434,464 | 5.500%, due 01/15/35 | 482,200 | 0.1 | |||||||||||||||
552,428 | 5.500%, due 01/15/35 | 607,792 | 0.1 | |||||||||||||||
262,274 | 5.500%, due 01/20/35 | 287,079 | 0.0 | |||||||||||||||
254,248 | 5.500%, due 02/15/35 | 282,183 | 0.0 | |||||||||||||||
72,485 | 5.500%, due 02/15/35 | 80,766 | 0.0 | |||||||||||||||
320,398 | 5.500%, due 03/15/35 | 351,897 | 0.0 | |||||||||||||||
763,017 | 5.500%, due 03/15/35 | 839,486 | 0.1 | |||||||||||||||
376,812 | 5.500%, due 03/15/35 | 418,214 | 0.0 | |||||||||||||||
545,473 | 5.500%, due 04/15/35 | 600,463 | 0.1 | |||||||||||||||
504,971 | 5.500%, due 04/15/35 | 560,455 | 0.1 | |||||||||||||||
153,776 | 5.500%, due 04/15/35 | 168,899 | 0.0 | |||||||||||||||
1,100,779 | 5.500%, due 05/15/35 | 1,221,727 | 0.1 | |||||||||||||||
161,523 | 5.500%, due 05/15/35 | 177,406 | 0.0 | |||||||||||||||
1,033,790 | 5.500%, due 05/15/35 | 1,136,232 | 0.1 | |||||||||||||||
592,955 | 5.500%, due 05/20/35 | 652,733 | 0.1 | |||||||||||||||
649,974 | 5.500%, due 06/15/35 | 721,390 | 0.1 | |||||||||||||||
287,002 | 5.500%, due 06/20/35 | 319,900 | 0.0 | |||||||||||||||
2,047,654 | 5.500%, due 07/15/35 | 2,258,562 | 0.2 | |||||||||||||||
1,575,956 | 5.500%, due 08/15/35 | 1,733,355 | 0.2 | |||||||||||||||
55,226 | 5.500%, due 08/20/35 | 60,750 | 0.0 | |||||||||||||||
679,515 | 5.500%, due 09/20/35 | 747,594 | 0.1 | |||||||||||||||
9,711,430 | 5.500%, due 12/16/35 | 11,737,079 | 1.0 | |||||||||||||||
2,507,588 | 5.500%, due 02/20/36 | 3,081,028 | 0.3 | |||||||||||||||
192,925 | 5.500%, due 04/15/36 | 211,637 | 0.0 | |||||||||||||||
354,327 | 5.500%, due 06/20/36 | 388,885 | 0.0 | |||||||||||||||
1,250,000 | 5.500%, due 08/16/36 | 1,497,557 | 0.1 | |||||||||||||||
4,038,399 | 5.500%, due 10/20/37 | 4,671,991 | 0.4 | |||||||||||||||
5,619,046 | 5.500%, due 11/20/37 | 6,447,130 | 0.6 | |||||||||||||||
208,534 | 5.500%, due 06/20/38 | 220,010 | 0.0 | |||||||||||||||
195,455 | 5.500%, due 08/20/38 | 206,211 | 0.0 | |||||||||||||||
480,964 | 5.500%, due 09/20/38 | 507,432 | 0.1 | |||||||||||||||
58,876 | 5.500%, due 10/20/38 | 62,116 | 0.0 | |||||||||||||||
775,002 | 5.500%, due 11/20/38 | 817,651 | 0.1 | |||||||||||||||
71,728 | 5.500%, due 12/20/38 | 75,676 | 0.0 | |||||||||||||||
13,468,039 | 5.500%, due 01/15/39 | 15,648,991 | 1.4 | |||||||||||||||
324,592 | 5.500%, due 01/15/39 | 357,112 | 0.0 | |||||||||||||||
217,251 | 5.500%, due 01/20/39 | 229,207 | 0.0 | |||||||||||||||
2,091,739 | 5.500%, due 03/20/39 | 2,206,850 | 0.2 | |||||||||||||||
362,019 | 5.500%, due 06/15/39 | 401,796 | 0.0 | |||||||||||||||
185,988 | 5.500%, due 06/20/39 | 196,223 | 0.0 | |||||||||||||||
2,423,487 | 5.500%, due 09/16/39 | 2,960,063 | 0.3 | |||||||||||||||
207,085 | 5.500%, due 10/20/39 | 227,282 | 0.0 | |||||||||||||||
856,130 | 5.500%, due 09/15/40 | 939,228 | 0.1 | |||||||||||||||
1,233,270 | ˆ | 5.500%, due 09/16/40 | 202,509 | 0.0 | ||||||||||||||
186,338 | 5.600%, due 12/20/36 | 204,278 | 0.0 | |||||||||||||||
422,933 | 5.600%, due 12/20/36 | 464,116 | 0.0 | |||||||||||||||
175,672 | 5.600%, due 01/20/37 | 192,805 | 0.0 | |||||||||||||||
113,080 | 5.600%, due 01/20/37 | 123,967 | 0.0 | |||||||||||||||
108,327 | 5.600%, due 03/20/37 | 118,756 | 0.0 | |||||||||||||||
245,736 | 5.600%, due 04/20/37 | 269,396 | 0.0 | |||||||||||||||
85,566 | 5.600%, due 07/20/37 | 93,697 | 0.0 | |||||||||||||||
114,493 | 5.600%, due 07/20/37 | 125,660 | 0.0 | |||||||||||||||
31,288 | 5.600%, due 10/20/37 | 34,261 | 0.0 | |||||||||||||||
93,108 | 5.600%, due 01/20/38 | 101,956 | 0.0 | |||||||||||||||
107,626 | 5.600%, due 02/20/38 | 117,854 | 0.0 | |||||||||||||||
79,788 | 5.600%, due 02/20/38 | 87,371 | 0.0 | |||||||||||||||
178,270 | 5.650%, due 12/15/37 | 195,183 | 0.0 | |||||||||||||||
628,468 | 5.700%, due 07/15/36 | 688,093 | 0.1 | |||||||||||||||
452,228 | 5.700%, due 10/15/36 | 495,133 | 0.1 | |||||||||||||||
52,635 | 5.700%, due 08/15/37 | 57,628 | 0.0 | |||||||||||||||
164,787 | 5.750%, due 12/20/27 | 181,991 | 0.0 | |||||||||||||||
109,474 | 5.750%, due 03/20/28 | 120,904 | 0.0 | |||||||||||||||
61,826 | 5.750%, due 03/20/28 | 65,943 | 0.0 | |||||||||||||||
171,234 | 5.750%, due 04/20/28 | 189,219 | 0.0 | |||||||||||||||
115,867 | 5.750%, due 07/20/28 | 127,132 | 0.0 | |||||||||||||||
132,266 | 5.750%, due 10/20/28 | 145,952 | 0.0 | |||||||||||||||
55,975 | 5.750%, due 01/20/29 | 61,767 | 0.0 | |||||||||||||||
96,897 | 5.750%, due 04/20/29 | 107,014 | 0.0 | |||||||||||||||
369,493 | 5.750%, due 07/20/29 | 407,724 | 0.0 | |||||||||||||||
102,876 | 5.750%, due 04/15/37 | 112,637 | 0.0 | |||||||||||||||
51,525 | 5.750%, due 05/15/37 | 56,413 | 0.0 | |||||||||||||||
1,065,916 | 5.750%, due 05/15/37 | 1,196,014 | 0.1 | |||||||||||||||
47,382 | 5.750%, due 08/15/37 | 51,878 | 0.0 | |||||||||||||||
303,761 | 5.750%, due 05/15/38 | 332,581 | 0.0 | |||||||||||||||
10,800,000 | 5.750%, due 07/20/38 | 12,039,845 | 1 .1 | |||||||||||||||
13,745,276 | ˆ | 5.797%, due 12/20/40 | 2,751,362 | 0.2 | ||||||||||||||
1,023,201 | 5.800%, due 07/15/37 | 1,149,626 | 0.1 | |||||||||||||||
77,248 | 5.800%, due 09/15/37 | 84,577 | 0.0 | |||||||||||||||
1,052,787 | 5.800%, due 09/15/37 | 1,204,049 | 0.1 | |||||||||||||||
903,688 | 5.800%, due 09/15/37 | 989,425 | 0.1 | |||||||||||||||
101,268 | 5.800%, due 11/15/37 | 110,875 | 0.0 | |||||||||||||||
158,190 | 5.800%, due 07/15/38 | 173,199 | 0.0 | |||||||||||||||
269,966 | 5.800%, due 07/15/38 | 295,579 | 0.0 | |||||||||||||||
6,953,486 | ˆ | 5.847%, due 12/20/40 | 1,248,741 | 0.1 | ||||||||||||||
41,744 | 5.875%, due 05/15/37 | 45,704 | 0.0 | |||||||||||||||
8,071,003 | ˆ | 5.897%, due 05/20/32 | 928,165 | 0.1 | ||||||||||||||
5,745,036 | ˆ | 5.947%, due 09/16/39 | 784,945 | 0.1 | ||||||||||||||
5,425,519 | 5.950%, due 02/15/44 | 5,814,540 | 0.5 | |||||||||||||||
1,767,874 | 5.970%, due 11/15/31 | 1,868,001 | 0.2 | |||||||||||||||
227,727 | 6.000%, due 01/20/24 | 252,876 | 0.0 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
347,494 | 6.000%, due 10/15/25 | $ | 397,218 | 0.0 | ||||||||||||||
777,189 | 6.000%, due 04/15/26 | 879,535 | 0.1 | |||||||||||||||
237,557 | 6.000%, due 10/20/27 | 269,100 | 0.0 | |||||||||||||||
244,068 | 6.000%, due 07/15/28 | 276,209 | 0.0 | |||||||||||||||
53,131 | 6.000%, due 07/15/28 | 60,725 | 0.0 | |||||||||||||||
226,587 | 6.000%, due 08/15/28 | 258,974 | 0.0 | |||||||||||||||
61,742 | 6.000%, due 09/15/28 | 70,567 | 0.0 | |||||||||||||||
201,841 | 6.000%, due 09/15/28 | 228,736 | 0.0 | |||||||||||||||
120,908 | 6.000%, due 02/15/29 | 136,847 | 0.0 | |||||||||||||||
38,521 | 6.000%, due 04/15/29 | 43,954 | 0.0 | |||||||||||||||
272,980 | 6.000%, due 05/15/29 | 311,999 | 0.0 | |||||||||||||||
817,204 | 6.000%, due 07/15/32 | 932,481 | 0.1 | |||||||||||||||
51,934 | 6.000%, due 08/15/32 | 59,065 | 0.0 | |||||||||||||||
185,309 | 6.000%, due 09/15/32 | 210,458 | 0.0 | |||||||||||||||
696,775 | 6.000%, due 11/15/32 | 792,451 | 0.1 | |||||||||||||||
510,931 | 6.000%, due 12/15/32 | 584,042 | 0.1 | |||||||||||||||
2,015,450 | 6.000%, due 01/15/33 | 2,303,848 | 0.2 | |||||||||||||||
2,433,024 | 6.000%, due 01/15/33 | 2,781,174 | 0.3 | |||||||||||||||
642,298 | 6.000%, due 01/15/33 | 729,771 | 0.1 | |||||||||||||||
99,111 | 6.000%, due 02/15/33 | 112,579 | 0.0 | |||||||||||||||
93,393 | 6.000%, due 03/15/33 | 106,757 | 0.0 | |||||||||||||||
455,533 | 6.000%, due 03/15/33 | 519,942 | 0.1 | |||||||||||||||
143,388 | 6.000%, due 04/15/33 | 162,719 | 0.0 | |||||||||||||||
419,362 | 6.000%, due 05/15/33 | 477,417 | 0.0 | |||||||||||||||
257,963 | 6.000%, due 05/15/33 | 294,029 | 0.0 | |||||||||||||||
108,597 | 6.000%, due 09/15/33 | 123,237 | 0.0 | |||||||||||||||
74,805 | 6.000%, due 09/15/33 | 84,889 | 0.0 | |||||||||||||||
260,099 | 6.000%, due 09/15/33 | 296,465 | 0.0 | |||||||||||||||
816,663 | 6.000%, due 09/15/33 | 930,333 | 0.1 | |||||||||||||||
174,959 | 6.000%, due 10/15/33 | 198,983 | 0.0 | |||||||||||||||
242,105 | 6.000%, due 10/15/33 | 275,349 | 0.0 | |||||||||||||||
239,572 | 6.000%, due 10/15/33 | 273,854 | 0.0 | |||||||||||||||
184,384 | 6.000%, due 10/15/33 | 210,768 | 0.0 | |||||||||||||||
917,541 | 6.000%, due 12/15/33 | 1,043,531 | 0.1 | |||||||||||||||
1,739,534 | 6.000%, due 12/16/33 | 1,996,104 | 0.2 | |||||||||||||||
361,732 | 6.000%, due 01/15/34 | 413,494 | 0.0 | |||||||||||||||
1,560,262 | ˆ | 6.000%, due 01/20/34 | 338,506 | 0.0 | ||||||||||||||
146,674 | 6.000%, due 01/20/34 | 164,766 | 0.0 | |||||||||||||||
156,962 | 6.000%, due 02/20/34 | 176,323 | 0.0 | |||||||||||||||
251,514 | 6.000%, due 03/20/34 | 282,538 | 0.0 | |||||||||||||||
811,823 | 6.000%, due 03/20/34 | 911,962 | 0.1 | |||||||||||||||
104,219 | 6.000%, due 03/20/34 | 117,075 | 0.0 | |||||||||||||||
1,713,700 | 6.000%, due 03/20/34 | 2,324,880 | 0.2 | |||||||||||||||
126,140 | 6.000%, due 04/20/34 | 141,699 | 0.0 | |||||||||||||||
210,926 | 6.000%, due 05/20/34 | 236,944 | 0.0 | |||||||||||||||
291,869 | 6.000%, due 05/20/34 | 327,871 | 0.0 | |||||||||||||||
256,234 | 6.000%, due 06/20/34 | 287,840 | 0.0 | |||||||||||||||
27,622 | 6.000%, due 06/20/34 | 31,029 | 0.0 | |||||||||||||||
4,789,016 | 6.000%, due 07/20/34 | 5,379,741 | 0.5 | |||||||||||||||
231,109 | 6.000%, due 07/20/34 | 259,617 | 0.0 | |||||||||||||||
692,693 | 6.000%, due 08/20/34 | 778,136 | 0.1 | |||||||||||||||
170,168 | 6.000%, due 09/15/34 | 194,173 | 0.0 | |||||||||||||||
376,531 | 6.000%, due 10/15/34 | 429,769 | 0.0 | |||||||||||||||
89,999 | 6.000%, due 10/20/34 | 101,100 | 0.0 | |||||||||||||||
198,914 | 6.000%, due 10/20/34 | 223,450 | 0.0 | |||||||||||||||
308,327 | 6.000%, due 10/20/34 | 349,941 | 0.0 | |||||||||||||||
310,365 | 6.000%, due 10/20/34 | 350,083 | 0.0 | |||||||||||||||
203,085 | 6.000%, due 10/20/34 | 228,135 | 0.0 | |||||||||||||||
64,541 | 6.000%, due 10/20/34 | 72,730 | 0.0 | |||||||||||||||
70,629 | 6.000%, due 10/20/34 | 79,341 | 0.0 | |||||||||||||||
317,338 | 6.000%, due 10/20/34 | 356,482 | 0.0 | |||||||||||||||
381,015 | 6.000%, due 10/20/34 | 428,013 | 0.0 | |||||||||||||||
315,808 | 6.000%, due 11/20/34 | 354,763 | 0.0 | |||||||||||||||
612,683 | 6.000%, due 11/20/34 | 688,257 | 0.1 | |||||||||||||||
108,999 | 6.000%, due 11/20/34 | 122,444 | 0.0 | |||||||||||||||
61,786 | 6.000%, due 11/20/34 | 69,407 | 0.0 | |||||||||||||||
1,269,015 | 6.000%, due 11/20/34 | 1,425,548 | 0.1 | |||||||||||||||
111,134 | 6.000%, due 12/20/34 | 124,842 | 0.0 | |||||||||||||||
1,796,444 | 6.000%, due 12/20/34 | 2,018,035 | 0.2 | |||||||||||||||
489,530 | 6.000%, due 12/20/34 | 549,913 | 0.1 | |||||||||||||||
623,653 | 6.000%, due 12/20/34 | 700,580 | 0.1 | |||||||||||||||
89,680 | 6.000%, due 01/20/35 | 101,520 | 0.0 | |||||||||||||||
196,855 | 6.000%, due 01/20/35 | 222,845 | 0.0 | |||||||||||||||
121,038 | 6.000%, due 01/20/35 | 137,018 | 0.0 | |||||||||||||||
458,658 | 6.000%, due 02/20/35 | 519,212 | 0.1 | |||||||||||||||
236,419 | 6.000%, due 03/20/35 | 267,632 | 0.0 | |||||||||||||||
150,717 | 6.000%, due 04/20/35 | 170,615 | 0.0 | |||||||||||||||
555,000 | 6.000%, due 04/20/36 | 676,513 | 0.1 | |||||||||||||||
207,753 | 6.000%, due 01/20/37 | 234,462 | 0.0 | |||||||||||||||
1,018,746 | 6.000%, due 03/15/37 | 1,147,171 | 0.1 | |||||||||||||||
7,589,000 | 6.000%, due 07/20/37 | 9,013,615 | 0.8 | |||||||||||||||
363,150 | 6.000%, due 09/20/37 | 409,894 | 0.0 | |||||||||||||||
3,579,634 | 6.000%, due 10/20/37 | 4,488,202 | 0.4 | |||||||||||||||
305,589 | 6.000%, due 12/20/37 | 344,876 | 0.0 | |||||||||||||||
1,928,856 | 6.000%, due 03/20/38 | 2,277,977 | 0.2 | |||||||||||||||
53,903 | 6.000%, due 05/20/38 | 59,056 | 0.0 | |||||||||||||||
366,463 | 6.000%, due 08/20/38 | 398,059 | 0.0 | |||||||||||||||
431,827 | 6.000%, due 09/20/38 | 469,059 | 0.0 | |||||||||||||||
617,569 | 6.000%, due 10/20/38 | 654,819 | 0.1 | |||||||||||||||
339,852 | 6.000%, due 11/15/38 | 385,456 | 0.0 | |||||||||||||||
437,901 | 6.000%, due 12/15/38 | 493,104 | 0.1 | |||||||||||||||
327,755 | 6.000%, due 12/15/38 | 370,712 | 0.0 | |||||||||||||||
2,032,883 | 6.000%, due 07/16/39 | 2,287,088 | 0.2 | |||||||||||||||
1,485,406 | 6.000%, due 08/15/39 | 1,684,729 | 0.2 | |||||||||||||||
1,108,400 | 6.000%, due 08/15/39 | 1,257,133 | 0.1 | |||||||||||||||
2,123,551 | ˆ | 6.000%, due 01/16/40 | 993,614 | 0.1 | ||||||||||||||
78,592 | 6.050%, due 06/15/38 | 88,499 | 0.0 | |||||||||||||||
277,632 | 6.050%, due 09/15/38 | 312,631 | 0.0 | |||||||||||||||
107,329 | 6.050%, due 10/15/38 | 120,859 | 0.0 | |||||||||||||||
131,494 | 6.090%, due 05/15/38 | 148,070 | 0.0 | |||||||||||||||
187,208 | 6.090%, due 11/15/38 | 210,808 | 0.0 | |||||||||||||||
53,886 | 6.125%, due 02/15/39 | 60,679 | 0.0 | |||||||||||||||
154,642 | 6.125%, due 04/15/39 | 174,137 | 0.0 | |||||||||||||||
29,150,302 | ˆ | 6.147%, due 04/16/39 | 3,983,637 | 0.4 | ||||||||||||||
216,572 | 6.150%, due 12/15/37 | 243,873 | 0.0 | |||||||||||||||
1,172,142 | 6.150%, due 01/15/38 | 1,319,905 | 0.1 | |||||||||||||||
2,611,516 | 6.150%, due 02/15/38 | 2,940,730 | 0.3 | |||||||||||||||
275,524 | 6.150%, due 03/15/38 | 310,257 | 0.0 | |||||||||||||||
297,879 | 6.250%, due 09/15/27 | 340,643 | 0.0 | |||||||||||||||
19,474 | 6.250%, due 03/15/28 | 22,258 | 0.0 | |||||||||||||||
16,194 | 6.250%, due 04/15/28 | 18,508 | 0.0 | |||||||||||||||
145,940 | 6.250%, due 09/15/29 | 166,527 | 0.0 | |||||||||||||||
10,434,365 | ˆ | 6.297%, due 09/20/37 | 1,485,787 | 0.1 | ||||||||||||||
5,390,956 | ˆ | 6.297%, due 05/16/38 | 868,503 | 0.1 | ||||||||||||||
12,800,138 | ˆ | 6.297%, due 09/20/38 | 1,748,048 | 0.2 | ||||||||||||||
5,435,332 | 6.419%, due 04/20/37 | 6,200,534 | 0.5 | |||||||||||||||
263,875 | 6.490%, due 01/15/28 | 301,593 | 0.0 | |||||||||||||||
112,674 | 6.500%, due 07/20/29 | 128,336 | 0.0 | |||||||||||||||
92,931 | 6.500%, due 04/20/32 | 98,086 | 0.0 | |||||||||||||||
85,312 | 6.500%, due 07/20/32 | 95,832 | 0.0 | |||||||||||||||
123,477 | 6.500%, due 10/20/33 | 140,091 | 0.0 | |||||||||||||||
404,624 | 6.500%, due 11/15/33 | 460,297 | 0.0 | |||||||||||||||
105,778 | 6.500%, due 11/20/33 | 120,010 | 0.0 | |||||||||||||||
122,204 | 6.500%, due 02/20/34 | 138,491 | 0.0 | |||||||||||||||
207,594 | 6.500%, due 08/20/34 | 235,262 | 0.0 | |||||||||||||||
209,342 | 6.500%, due 08/20/34 | 237,244 | 0.0 | |||||||||||||||
564,375 | 6.500%, due 08/20/34 | 649,857 | 0.1 | |||||||||||||||
238,309 | 6.500%, due 09/20/34 | 270,072 | 0.0 | |||||||||||||||
5,634 | 6.500%, due 09/20/34 | 6,385 | 0.0 | |||||||||||||||
87,783 | 6.500%, due 09/20/34 | 99,483 | 0.0 | |||||||||||||||
336,469 | 6.500%, due 10/20/34 | 381,315 | 0.0 | |||||||||||||||
185,721 | 6.500%, due 11/20/34 | 210,474 | 0.0 | |||||||||||||||
138,973 | 6.500%, due 12/20/34 | 157,496 | 0.0 | |||||||||||||||
153,097 | 6.500%, due 12/20/34 | 173,503 | 0.0 | |||||||||||||||
108,698 | 6.500%, due 03/20/35 | 124,054 | 0.0 | |||||||||||||||
363,601 | 6.500%, due 05/15/36 | 416,707 | 0.0 | |||||||||||||||
284,205 | 6.500%, due 09/15/36 | 333,088 | 0.0 | |||||||||||||||
102,034 | 6.500%, due 12/20/37 | 115,066 | 0.0 | |||||||||||||||
213,966 | 6.500%, due 05/20/38 | 235,929 | 0.0 | |||||||||||||||
1,715,665 | 6.500%, due 09/16/38 | 2,009,130 | 0.2 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2,971,621 | 6.500%, due 01/20/39 | $ | 3,431,435 | 0.3 | |||||||||||||||
4,342,027 | ˆ | 6.567%, due 02/16/35 | 887,570 | 0.1 | |||||||||||||||
3,921 | 6.750%, due 08/15/28 | 4,640 | 0.0 | ||||||||||||||||
70,209 | 6.750%, due 10/15/28 | 83,075 | 0.0 | ||||||||||||||||
130,838 | 6.750%, due 10/15/28 | 154,813 | 0.0 | ||||||||||||||||
31,660 | 7.000%, due 03/15/32 | 37,601 | 0.0 | ||||||||||||||||
658,498 | 7.000%, due 05/16/32 | 756,025 | 0.1 | ||||||||||||||||
112,492 | 7.000%, due 06/20/34 | 131,449 | 0.0 | ||||||||||||||||
59,230 | 7.000%, due 09/20/34 | 69,211 | 0.0 | ||||||||||||||||
337,924 | 7.000%, due 09/20/34 | 394,869 | 0.0 | ||||||||||||||||
131,905 | 7.000%, due 08/20/36 | 153,335 | 0.0 | ||||||||||||||||
20,695 | 7.250%, due 01/15/29 | 24,873 | 0.0 | ||||||||||||||||
3,770,163 | ˆ | 7.297%, due 05/16/31 | 791,903 | 0.1 | |||||||||||||||
3,954,620 | 7.350%, due 03/15/43 | 4,143,514 | 0.4 | ||||||||||||||||
2,067,976 | ˆ | 7.397%, due 10/16/29 | 443,730 | 0.0 | |||||||||||||||
34,949 | 7.500%, due 08/20/27 | 43,619 | 0.0 | ||||||||||||||||
27,758 | 7.500%, due 10/15/31 | 32,126 | 0.0 | ||||||||||||||||
2,122,527 | 7.500%, due 02/20/34 | 2,290,183 | 0.2 | ||||||||||||||||
5,862,013 | ˆ | 7.500%, due 04/16/37 | 1,817,422 | 0.2 | |||||||||||||||
743,983 | 7.500%, due 10/15/38 | 895,529 | 0.1 | ||||||||||||||||
1,136,892 | 7.500%, due 08/20/39 | 1,477,180 | 0.1 | ||||||||||||||||
2,365,222 | ˆ | 7.797%, due 05/16/32 | 578,830 | 0.1 | |||||||||||||||
15,480 | 7.800%, due 05/15/19 | 15,563 | 0.0 | ||||||||||||||||
2,707 | 8.000%, due 03/20/24 | 2,721 | 0.0 | ||||||||||||||||
23,599 | 8.000%, due 11/15/25 | 27,577 | 0.0 | ||||||||||||||||
37,867 | 8.000%, due 07/15/26 | 44,152 | 0.0 | ||||||||||||||||
14,359 | 8.000%, due 07/15/26 | 16,965 | 0.0 | ||||||||||||||||
98,722 | 8.000%, due 09/15/26 | 114,510 | 0.0 | ||||||||||||||||
26,583 | 8.000%, due 09/20/26 | 33,784 | 0.0 | ||||||||||||||||
22,727 | 8.000%, due 12/15/26 | 26,478 | �� | 0.0 | |||||||||||||||
13,402 | 8.000%, due 04/15/27 | 15,618 | 0.0 | ||||||||||||||||
6,348 | 8.000%, due 06/15/27 | 6,383 | 0.0 | ||||||||||||||||
43,151 | 8.000%, due 07/15/27 | 49,709 | 0.0 | ||||||||||||||||
13,584 | 8.000%, due 03/15/28 | 13,825 | 0.0 | ||||||||||||||||
22,095 | 8.050%, due 07/15/19 | 22,219 | 0.0 | ||||||||||||||||
150,683 | 8.797%, due 04/20/34 | 165,465 | 0.0 | ||||||||||||||||
19,562 | 9.000%, due 05/15/16 | 19,683 | 0.0 | ||||||||||||||||
4,152 | 9.500%, due 11/15/21 | 4,625 | 0.0 | ||||||||||||||||
1,892,169 | 13.894%, due 09/16/31 | 2,350,040 | 0.2 | ||||||||||||||||
97,805 | 15.594%, due 01/20/32 | 126,466 | 0.0 | ||||||||||||||||
264,982 | 19.595%, due 09/20/37 | 381,387 | 0.0 | ||||||||||||||||
562,655 | 20.390%, due 02/16/32 | 805,048 | 0.1 | ||||||||||||||||
597,611 | 24.555%, due 04/16/37 | 884,575 | 0.1 | ||||||||||||||||
44,706,144 | ˆ | 0.583%, due 11/16/46 | 1,222,463 | 0.1 | |||||||||||||||
1,077,460,342 | 93.7 | ||||||||||||||||||
Total U.S. Government Agency Obligations (Cost $1,205,998,309) | 1,240,139,641 | 107.8 | |||||||||||||||||
Total Long-Term Investments (Cost $1,207,033,828) | 1,241,192,539 | 107.9 | |||||||||||||||||
SHORT-TERM INVESTMENTS 7.0% | |||||||||||||||||||
U.S. Treasury Bills 7.0% | |||||||||||||||||||
80,000,000 | United States Treasury Bill, 0.070%, 04/18/13 (Cost $79,996,730) | 79,996,730 | 7.0 | ||||||||||||||||
Total Short-Term Investments (Cost $79,996,730) | 79,996,730 | 7.0 | |||||||||||||||||
Total Investments in Securities (Cost $1,287,030,558) | $ | 1,321,189,269 | 114.9 | ||||||||||||||||
Liabilities in Excess of Other Assets | (171,344,079 | ) | (14.9 | ) | |||||||||||||||
Net Assets | $ | 1,149,845,190 | 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 $1,287,620,782. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 37,531,140 | ||||
Gross Unrealized Depreciation | (3,962,653 | ) | ||||
Net Unrealized Appreciation | $ | 33,568,487 |
AS OF MARCH 31, 2013 (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 March 31, 2013 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 1,052,898 | $ | — | $ | 1,052,898 | ||||||||||
Short-Term Investments | — | 79,996,730 | — | 79,996,730 | ||||||||||||||
U.S. Government Agency Obligations | — | 1,240,139,641 | — | 1,240,139,641 | ||||||||||||||
Total Investments, at fair value | $ | — | $ | 1,321,189,269 | $ | — | $ | 1,321,189,269 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (591,914 | ) | $ | — | $ | — | $ | (591,914 | ) | ||||||||
Total Liabilities | $ | (591,914 | ) | $ | — | $ | — | $ | (591,914 | ) |
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 | (936 | ) | 06/19/13 | $ | (123,537,380 | ) | $ | (384,901 | ) | |||||||||
U.S. Treasury 5-Year Note | (204 | ) | 06/28/13 | (25,307,157 | ) | (32,191 | ) | |||||||||||
U.S. Treasury Long Bond | (398 | ) | 06/19/13 | (57,498,562 | ) | (174,822 | ) | |||||||||||
$ | (206,343,099 | ) | $ | (591,914 | ) |
AS OF MARCH 31, 2013
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES 94.6% | |||||||||||||||||||
Consumer Discretionary 20.7% | |||||||||||||||||||
400,000 | 99 Cents Only Stores, 11.000%, 12/15/19 | $ | 461,000 | 0.2 | |||||||||||||||
355,000 | Affinia Group, Inc., 9.000%, 11/30/14 | 356,779 | 0.2 | ||||||||||||||||
195,000 | # | Affinia Group, Inc., 10.750%, 08/15/16 | 212,062 | 0.1 | |||||||||||||||
585,000 | # | Affinity Gaming, LLC/Affinity Gaming Finance Corp., 9.000%, 05/15/18 | 627,412 | 0.3 | |||||||||||||||
370,000 | Allbritton Communications Co., 8.000%, 05/15/18 | 402,375 | 0.2 | ||||||||||||||||
950,000 | AMC Entertainment, Inc., 9.750%, 12/01/20 | 1,100,812 | 0.5 | ||||||||||||||||
34,781 | # | American Media, Inc., 13.500%, 06/15/18 | 28,694 | 0.0 | |||||||||||||||
750,000 | Asbury Automotive Group, Inc., 8.375%, 11/15/20 | 843,750 | 0.4 | ||||||||||||||||
1,000,000 | # | Ashton Woods USA LLC, 6.875%, 02/15/21 | 1,017,500 | 0.5 | |||||||||||||||
665,000 | # | Block Communications, Inc., 7.250%, 02/01/20 | 726,512 | 0.3 | |||||||||||||||
310,000 | # | Boyd Gaming Corp., 9.000%, 07/01/20 | 323,950 | 0.1 | |||||||||||||||
500,000 | # | Bresnan Broadband Holdings, LLC, 8.000%, 12/15/18 | 547,500 | 0.2 | |||||||||||||||
431,000 | Burlington Coat Factory Warehouse Corp., 10.000%, 02/15/19 | 480,565 | 0.2 | ||||||||||||||||
970,000 | Cablevision Systems Corp., 7.750%, 04/15/18 | 1,092,462 | 0.5 | ||||||||||||||||
1,000,000 | Caesars Entertainment Operating Co., Inc., 8.500%, 02/15/20 | 990,625 | 0.5 | ||||||||||||||||
535,000 | # | Carlson Wagonlit BV, 6.875%, 06/15/19 | 560,412 | 0.3 | |||||||||||||||
250,000 | # | CCO Holdings, LLC / CCO Holdings Capital Corp., 5.250%, 03/15/21 | 249,687 | 0.1 | |||||||||||||||
650,000 | CCO Holdings, LLC / CCO Holdings Capital Corp., 6.500%, 04/30/21 | 690,625 | 0.3 | ||||||||||||||||
460,000 | CCO Holdings, LLC / CCO Holdings Capital Corp., 7.250%, 10/30/17 | 497,375 | 0.2 | ||||||||||||||||
750,000 | # | CDR DB Sub, Inc., 7.750%, 10/15/20 | 774,375 | 0.4 | |||||||||||||||
500,000 | # | Cequel Communications Holdings I, LLC / Cequel Capital Corp., 6.375%, 09/15/20 | 521,250 | 0.2 | |||||||||||||||
500,000 | # | Ceridian Corp., 11.000%, 03/15/21 | 538,750 | 0.2 | |||||||||||||||
450,000 | Chrysler Group, LLC/CG Co-Issuer, Inc., 8.000%, 06/15/19 | 495,562 | 0.2 | ||||||||||||||||
185,000 | CityCenter Holdings, LLC / CityCenter Finance Corp., 7.625%, 01/15/16 | 199,569 | 0.1 | ||||||||||||||||
688,533 | & | CityCenter Holdings, LLC / CityCenter Finance Corp., 10.750%, 01/15/17 | 766,854 | 0.4 | |||||||||||||||
513,000 | Clear Channel Communications, Inc., 9.000%, 03/01/21 | 481,579 | 0.2 | ||||||||||||||||
270,000 | # | Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/22 | 282,825 | 0.1 | |||||||||||||||
730,000 | # | Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/22 | 773,800 | 0.4 | |||||||||||||||
105,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 03/15/20 | 109,069 | 0.0 | ||||||||||||||||
530,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 03/15/20 | 555,837 | 0.3 | ||||||||||||||||
500,000 | # | Coinstar, Inc., 6.000%, 03/15/19 | 512,500 | 0.2 | |||||||||||||||
130,000 | Crown Media Holdings, Inc., 10.500%, 07/15/19 | 147,225 | 0.1 | ||||||||||||||||
960,000 | Cumulus Media Holdings, Inc., 7.750%, 05/01/19 | 991,200 | 0.5 | ||||||||||||||||
430,000 | DineEquity, Inc., 9.500%, 10/30/18 | 492,350 | 0.2 | ||||||||||||||||
800,000 | DISH DBS Corp., 5.875%, 07/15/22 | 843,000 | 0.4 | ||||||||||||||||
480,000 | DISH DBS Corp., 7.875%, 09/01/19 | 571,200 | 0.3 | ||||||||||||||||
578,000 | Emergency Medical Services Corp., 8.125%, 06/01/19 | 637,245 | 0.3 | ||||||||||||||||
700,000 | Gray Television, Inc., 7.500%, 10/01/20 | 750,750 | 0.3 | ||||||||||||||||
750,000 | # | Griffey Intermediate, Inc. / Griffey Finance Sub, LLC, 7.000%, 10/15/20 | 768,750 | 0.4 | |||||||||||||||
600,000 | Harrah’s Operating Co., Inc., 10.000%, 12/15/18 | 412,500 | 0.2 | ||||||||||||||||
825,000 | # | Harron Communications L.P./Harron Finance Corp., 9.125%, 04/01/20 | 919,875 | 0.4 | |||||||||||||||
450,000 | Isle of Capri Casinos, Inc., 8.875%, 06/15/20 | 490,500 | 0.2 | ||||||||||||||||
500,000 | # | Jaguar Holding Co. II / Jaguar Merger Sub, Inc., 9.500%, 12/01/19 | 576,250 | 0.3 | |||||||||||||||
400,000 | # | K Hovnanian Enterprises, Inc., 7.250%, 10/15/20 | 445,000 | 0.2 | |||||||||||||||
400,000 | # | K Hovnanian Enterprises, Inc., 9.125%, 11/15/20 | 447,500 | 0.2 | |||||||||||||||
250,000 | KB Home, 5.875%, 01/15/15 | 265,625 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
750,000 | KB Home, 6.250%, 06/15/15 | $ | 808,125 | 0.4 | |||||||||||||||
650,000 | # | LIN Television Corp., 6.375%, 01/15/21 | 695,500 | 0.3 | |||||||||||||||
250,000 | # | Mediacom Broadband, LLC / Mediacom Broadband Corp., 6.375%, 04/01/23 | 260,625 | 0.1 | |||||||||||||||
285,000 | Mediacom, LLC / Mediacom Capital Corp., 9.125%, 08/15/19 | 319,556 | 0.1 | ||||||||||||||||
125,000 | Meritage Homes Corp., 7.000%, 04/01/22 | 139,844 | 0.1 | ||||||||||||||||
500,000 | MGM Mirage, 7.500%, 06/01/16 | 556,250 | 0.3 | ||||||||||||||||
1,000,000 | MGM Resorts International, 7.750%, 03/15/22 | 1,115,000 | 0.5 | ||||||||||||||||
500,000 | MGM Resorts International, 8.625%, 02/01/19 | 585,000 | 0.3 | ||||||||||||||||
500,000 | # | NCL Corp. Ltd., 5.000%, 02/15/18 | 511,875 | 0.2 | |||||||||||||||
— | NCL Corp. Ltd., 9.500%, 11/15/18 | — | — | ||||||||||||||||
750,000 | #,& | New Academy Finance Co., LLC / New Academy Finance Corp., 8.000%, 06/15/18 | 780,000 | 0.4 | |||||||||||||||
650,000 | # | Nielsen Finance, LLC / Nielsen Finance Co., 4.500%, 10/01/20 | 652,438 | 0.3 | |||||||||||||||
500,000 | #,& | Nord Anglia Education, Inc., 8.500%, 02/15/18 | 505,000 | 0.2 | |||||||||||||||
625,000 | # | PC Merger Sub, Inc., 8.875%, 08/01/20 | 689,063 | 0.3 | |||||||||||||||
400,000 | # | Penske Automotive Group, Inc., 5.750%, 10/01/22 | 419,000 | 0.2 | |||||||||||||||
650,000 | #,& | Petco Holdings, Inc., 8.500%, 10/15/17 | 673,563 | 0.3 | |||||||||||||||
500,000 | PulteGroup, Inc., 7.875%, 06/15/32 | 555,000 | 0.3 | ||||||||||||||||
500,000 | Royal Caribbean Cruises Ltd., 5.250%, 11/15/22 | 508,750 | 0.2 | ||||||||||||||||
750,000 | RR Donnelley & Sons Co., 7.875%, 03/15/21 | 785,625 | 0.4 | ||||||||||||||||
645,000 | Ryland Group, Inc., 5.375%, 10/01/22 | 661,125 | 0.3 | ||||||||||||||||
450,000 | Sally Holdings, LLC / Sally Capital, Inc., 5.750%, 06/01/22 | 471,938 | 0.2 | ||||||||||||||||
1,000,000 | # | Shearer’s Foods, LLC / Chip Fin Corp., 9.000%, 11/01/19 | 1,100,000 | 0.5 | |||||||||||||||
200,000 | Sonic Automotive, Inc., 7.000%, 07/15/22 | 221,750 | 0.1 | ||||||||||||||||
300,000 | Sonic Automotive, Inc., 9.000%, 03/15/18 | 331,500 | 0.1 | ||||||||||||||||
850,000 | Standard Pacific Corp., 8.375%, 01/15/21 | 1,010,438 | 0.5 | ||||||||||||||||
290,000 | Star Gas Partners L.P./Star Gas Finance Co., 8.875%, 12/01/17 | 298,700 | 0.1 | ||||||||||||||||
570,000 | Starz LLC / Starz Finance Corp., 5.000%, 09/15/19 | 589,950 | 0.3 | ||||||||||||||||
750,000 | # | Viking Cruises Ltd., 8.500%, 10/15/22 | 828,750 | 0.4 | |||||||||||||||
485,000 | Visant Corp., 10.000%, 10/01/17 | 444,988 | 0.2 | ||||||||||||||||
750,000 | # | Wolverine Healthcare Analytics, 10.625%, 06/01/20 | 858,750 | 0.4 | |||||||||||||||
725,000 | # | Wolverine World Wide, Inc., 6.125%, 10/15/20 | 773,031 | 0.4 | |||||||||||||||
790,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 875,913 | 0.4 | |||||||||||||||
45,008,084 | 20.7 | ||||||||||||||||||
Consumer Staples 8.3% | |||||||||||||||||||
750,000 | # | Albea Beauty Holdings SA, 8.375%, 11/01/19 | 802,500 | 0.4 | |||||||||||||||
865,000 | # | American Rock Salt Co., LLC/American Rock Capital Corp., 8.250%, 05/01/18 | 826,075 | 0.4 | |||||||||||||||
1,000,000 | # | ARAMARK Corp., 5.750%, 03/15/20 | 1,027,500 | 0.5 | |||||||||||||||
150,000 | Avis Budget Car Rental, LLC / Avis Budget Finance, Inc., 8.250%, 01/15/19 | 167,062 | 0.1 | ||||||||||||||||
445,000 | Avis Budget Car Rental, LLC / Avis Budget Finance, Inc., 9.625%, 03/15/18 | 504,523 | 0.2 | ||||||||||||||||
750,000 | # | Chiquita Brands International, Inc. / LLC, 7.875%, 02/01/21 | 788,437 | 0.4 | |||||||||||||||
485,000 | Cott Beverages, Inc., 8.375%, 11/15/17 | 521,981 | 0.2 | ||||||||||||||||
285,000 | Darling International, Inc., 8.500%, 12/15/18 | 324,900 | 0.1 | ||||||||||||||||
645,000 | Eliz Arden, 7.375%, 03/15/21 | 719,981 | 0.3 | ||||||||||||||||
500,000 | # | FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 02/01/20 | 556,250 | 0.3 | |||||||||||||||
1,000,000 | # | Hawk Acquisition Sub, Inc., 4.250%, 10/15/20 | 1,002,500 | 0.5 | |||||||||||||||
375,000 | HDTFS, Inc., 6.250%, 10/15/22 | 408,750 | 0.2 | ||||||||||||||||
500,000 | Hertz Corp., 6.750%, 04/15/19 | 548,125 | 0.2 | ||||||||||||||||
450,000 | # | JBS USA, LLC/JBS USA Finance, Inc., 7.250%, 06/01/21 | 473,625 | 0.2 | |||||||||||||||
750,000 | #,& | Michael Foods Holding, Inc., 8.500%, 07/15/18 | 776,250 | 0.4 | |||||||||||||||
545,000 | # | Neff Rental, LLC/Neff Finance Corp., 9.625%, 05/15/16 | 581,788 | 0.3 | |||||||||||||||
430,000 | Prestige Brands, Inc., 8.125%, 02/01/20 | 487,513 | 0.2 | ||||||||||||||||
1,000,000 | # | Revlon Consumer Products Corp., 5.750%, 02/15/21 | 1,007,500 | 0.5 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer, LLC / Reynolds Group Issuer Lu, 8.250%, 02/15/21 | $ | 516,875 | 0.2 | |||||||||||||||
500,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer, LLC / Reynolds Group Issuer Lu, 9.875%, 08/15/19 | 549,375 | 0.3 | ||||||||||||||||
240,000 | # | Rite Aid Corp., 6.875%, 12/15/28 | 213,600 | 0.1 | |||||||||||||||
190,000 | RSC Equipment Rental, Inc./RSC Holdings III, LLC, 8.250%, 02/01/21 | 216,125 | 0.1 | ||||||||||||||||
750,000 | # | RSI Home Products, Inc., 6.875%, 03/01/18 | 765,000 | 0.3 | |||||||||||||||
300,000 | ServiceMaster Co., 8.000%, 02/15/20 | 323,250 | 0.1 | ||||||||||||||||
420,000 | ServiceMaster Co., 7.450%, 08/15/27 | 365,400 | 0.2 | ||||||||||||||||
635,000 | Smithfield Foods, Inc., 6.625%, 08/15/22 | 693,738 | 0.3 | ||||||||||||||||
500,000 | # | Spectrum Brands Escrow Corp., 6.375%, 11/15/20 | 538,125 | 0.2 | |||||||||||||||
500,000 | # | Sun Products Corp./The, 7.750%, 03/15/21 | 506,250 | 0.2 | |||||||||||||||
750,000 | # | US Foodservice, 8.500%, 06/30/19 | 799,688 | 0.4 | |||||||||||||||
1,000,000 | # | Wells Enterprises, Inc., 6.750%, 02/01/20 | 1,057,500 | 0.5 | |||||||||||||||
18,070,186 | 8.3 | ||||||||||||||||||
Energy 15.1% | |||||||||||||||||||
550,000 | Alpha Natural Resources, Inc., 6.250%, 06/01/21 | 497,750 | 0.2 | ||||||||||||||||
555,000 | Alta Mesa Holdings / Alta Mesa Finance Services Corp., 9.625%, 10/15/18 | 588,300 | 0.3 | ||||||||||||||||
535,000 | Arch Coal, Inc., 7.250%, 06/15/21 | 482,837 | 0.2 | ||||||||||||||||
500,000 | # | Atlas Pipeline Partners L.P. / Atlas Pipeline Finance Corp., 5.875%, 08/01/23 | 500,000 | 0.2 | |||||||||||||||
295,000 | # | Atlas Pipeline Partners L.P. / Atlas Pipeline Finance Corp., 6.625%, 10/01/20 | 309,012 | 0.1 | |||||||||||||||
750,000 | # | Aurora USA Oil & Gas, Inc., 7.500%, 04/01/20 | 759,375 | 0.4 | |||||||||||||||
421,000 | Berry Petroleum Co., 10.250%, 06/01/14 | 460,995 | 0.2 | ||||||||||||||||
500,000 | BreitBurn Energy Partners L.P. / BreitBurn Finance Corp., 7.875%, 04/15/22 | 537,500 | 0.3 | ||||||||||||||||
175,000 | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.375%, 05/01/19 | 196,875 | 0.1 | ||||||||||||||||
325,000 | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.375%, 05/01/19 | 365,625 | 0.2 | ||||||||||||||||
400,000 | # | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.625%, 08/01/20 | 453,000 | 0.2 | |||||||||||||||
250,000 | Chaparral Energy, Inc., 7.625%, 11/15/22 | 274,375 | 0.1 | ||||||||||||||||
145,000 | Chaparral Energy, Inc., 8.250%, 09/01/21 | 164,937 | 0.1 | ||||||||||||||||
205,000 | Chaparral Energy, Inc., 9.875%, 10/01/20 | 237,800 | 0.1 | ||||||||||||||||
200,000 | Chesapeake Energy Corp., 6.625%, 08/15/20 | 219,500 | 0.1 | ||||||||||||||||
825,000 | Chesapeake Energy Corp., 6.125%, 02/15/21 | 881,719 | 0.4 | ||||||||||||||||
500,000 | Cimarex Energy Co., 5.875%, 05/01/22 | 538,750 | 0.3 | ||||||||||||||||
415,000 | Concho Resources, Inc./Midland TX, 7.000%, 01/15/21 | 458,575 | 0.2 | ||||||||||||||||
500,000 | Crosstex Energy L.P. / Crosstex Energy Finance Corp., 8.875%, 02/15/18 | 543,750 | 0.3 | ||||||||||||||||
665,000 | Eagle Rock Energy Partners L.P. / Eagle Rock Energy Finance Corp., 8.375%, 06/01/19 | 704,900 | 0.3 | ||||||||||||||||
625,000 | El Paso Corp., 7.250%, 06/01/18 | 720,542 | 0.3 | ||||||||||||||||
400,000 | Energy Transfer Equity L.P., 7.500%, 10/15/20 | 463,000 | 0.2 | ||||||||||||||||
750,000 | # | EPL Oil & Gas, Inc., 8.250%, 02/15/18 | 798,750 | 0.4 | |||||||||||||||
750,000 | # | Foresight Energy, LLC / Foresight Energy Corp., 9.625%, 08/15/17 | 815,625 | 0.4 | |||||||||||||||
1,000,000 | # | Genesis Energy L.P. / Genesis Energy Finance Corp., 5.750%, 02/15/21 | 1,034,375 | 0.5 | |||||||||||||||
1,250,000 | # | Halcon Resources Corp., 8.875%, 05/15/21 | 1,353,125 | 0.6 | |||||||||||||||
875,000 | # | Hilcorp Energy I L.P./Hilcorp Finance Co., 8.000%, 02/15/20 | 964,687 | 0.4 | |||||||||||||||
750,000 | # | Kodiak Oil & Gas Corp., 5.500%, 01/15/21 | 786,563 | 0.4 | |||||||||||||||
500,000 | # | Legacy Reserves L.P. / Legacy Reserves Finance Corp., 8.000%, 12/01/20 | 520,000 | 0.2 | |||||||||||||||
545,000 | # | Linn Energy, LLC/Linn Energy Finance Corp., 6.250%, 11/01/19 | 559,988 | 0.3 | |||||||||||||||
525,000 | Linn Energy, LLC/Linn Energy Finance Corp., 7.750%, 02/01/21 | 565,688 | 0.3 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
284,000 | MarkWest Energy Partners L.P. / MarkWest Energy Finance Corp., 6.500%, 08/15/21 | $ | 308,140 | 0.1 | |||||||||||||||
625,000 | # | Midstates Petroleum Co., Inc. / Midstates Petroleum Co., LLC, 10.750%, 10/01/20 | 696,875 | 0.3 | |||||||||||||||
800,000 | Northern Oil and Gas, Inc., 8.000%, 06/01/20 | 838,000 | 0.4 | ||||||||||||||||
215,000 | Oasis Petroleum, Inc., 6.500%, 11/01/21 | 235,425 | 0.1 | ||||||||||||||||
405,000 | Oasis Petroleum, Inc., 7.250%, 02/01/19 | 441,450 | 0.2 | ||||||||||||||||
925,000 | # | PetroBakken Energy Ltd., 8.625%, 02/01/20 | 948,125 | 0.4 | |||||||||||||||
750,000 | Plains Exploration & Production Co., 6.125%, 06/15/19 | 825,000 | 0.4 | ||||||||||||||||
200,000 | Plains Exploration & Production Co., 6.625%, 05/01/21 | 221,000 | 0.1 | ||||||||||||||||
450,000 | QR Energy L.P. / QRE Finance Corp., 9.250%, 08/01/20 | 479,250 | 0.2 | ||||||||||||||||
350,000 | Range Resources Corp., 5.750%, 06/01/21 | 377,125 | 0.2 | ||||||||||||||||
1,105,000 | # | Resolute Energy Corp., 8.500%, 05/01/20 | 1,149,200 | 0.5 | |||||||||||||||
1,000,000 | # | Rex Energy Corp., 8.875%, 12/01/20 | 1,062,500 | 0.5 | |||||||||||||||
400,000 | SandRidge Energy, Inc., 7.500%, 02/15/23 | 417,000 | 0.2 | ||||||||||||||||
500,000 | SandRidge Energy, Inc., 7.500%, 03/15/21 | 522,500 | 0.2 | ||||||||||||||||
600,000 | SM Energy Co., 6.500%, 01/01/23 | 660,000 | 0.3 | ||||||||||||||||
750,000 | Stone Energy Corp., 7.500%, 11/15/22 | 823,125 | 0.4 | ||||||||||||||||
500,000 | # | SunCoke Energy Partners L.P. / SunCoke Energy Partners Finance Corp., 7.375%, 02/01/20 | 528,750 | 0.2 | |||||||||||||||
390,000 | SunCoke Energy, Inc., 7.625%, 08/01/19 | 421,200 | 0.2 | ||||||||||||||||
500,000 | # | Talos Production LLC / Talos Production Finance, Inc., 9.750%, 02/15/18 | 497,500 | 0.2 | |||||||||||||||
420,000 | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 6.875%, 02/01/21 | 462,000 | 0.2 | ||||||||||||||||
800,000 | Vanguard Natural Resources, LLC, 7.875%, 04/01/20 | 862,000 | 0.4 | ||||||||||||||||
719,000 | W&T Offshore, Inc., 8.500%, 06/15/19 | 785,508 | 0.4 | ||||||||||||||||
1,000,000 | # | Western Refining, Inc., 6.250%, 04/01/21 | 1,023,750 | 0.5 | |||||||||||||||
480,000 | Westmoreland Coal Co/Westmoreland Partners, 10.750%, 02/01/18 | 505,200 | 0.2 | ||||||||||||||||
32,848,541 | 15.1 | ||||||||||||||||||
Financials 7.9% | |||||||||||||||||||
500,000 | Ally Financial, Inc., 3.125%, 01/15/16 | 506,627 | 0.2 | ||||||||||||||||
500,000 | Ally Financial, Inc., 7.500%, 09/15/20 | 611,875 | 0.3 | ||||||||||||||||
735,000 | Ally Financial, Inc., 8.000%, 03/15/20 | 916,912 | 0.4 | ||||||||||||||||
455,000 | Ally Financial, Inc., 8.300%, 02/12/15 | 506,187 | 0.2 | ||||||||||||||||
750,000 | #,& | Alphabet Holding Co., Inc., 7.750%, 11/01/17 | 783,750 | 0.4 | |||||||||||||||
540,000 | American General Finance Corp., 5.400%, 12/01/15 | 557,550 | 0.3 | ||||||||||||||||
750,000 | # | Ashtead Capital, Inc., 6.500%, 07/15/22 | 818,438 | 0.4 | |||||||||||||||
200,000 | # | Boyd Acquisition Sub, LLC/Boyd Acquisition Finance Corp., 8.375%, 02/15/18 | 212,500 | 0.1 | |||||||||||||||
520,000 | CIT Group, Inc., 4.250%, 08/15/17 | 546,000 | 0.2 | ||||||||||||||||
500,000 | CIT Group, Inc., 5.250%, 03/15/18 | 542,500 | 0.2 | ||||||||||||||||
250,000 | CIT Group, Inc., 5.375%, 05/15/20 | 275,625 | 0.1 | ||||||||||||||||
250,000 | CIT Group, Inc., 5.000%, 05/15/17 | 269,375 | 0.1 | ||||||||||||||||
310,000 | CIT Group, Inc., 5.000%, 08/15/22 | 332,777 | 0.2 | ||||||||||||||||
290,000 | # | CIT Group, Inc., 6.625%, 04/01/18 | 332,050 | 0.1 | |||||||||||||||
650,000 | # | CNG Holdings, Inc./OH, 9.375%, 05/15/20 | 641,063 | 0.3 | |||||||||||||||
400,000 | # | Felcor Lodging L.P., 5.625%, 03/01/23 | 408,500 | 0.2 | |||||||||||||||
189,000 | Felcor Lodging L.P., 10.000%, 10/01/14 | 212,153 | 0.1 | ||||||||||||||||
500,000 | Fifth Third Capital Trust IV, 6.500%, 04/15/37 | 503,125 | 0.2 | ||||||||||||||||
500,000 | # | Geo Group, Inc./The, 5.125%, 04/01/23 | 506,250 | 0.2 | |||||||||||||||
515,000 | International Lease Finance Corp., 5.875%, 08/15/22 | 556,443 | 0.3 | ||||||||||||||||
510,000 | International Lease Finance Corp., 6.250%, 05/15/19 | 561,000 | 0.3 | ||||||||||||||||
470,000 | International Lease Finance Corp., 8.250%, 12/15/20 | 576,925 | 0.3 | ||||||||||||||||
710,000 | Kemet Corp., 10.500%, 05/01/18 | 743,725 | 0.3 | ||||||||||||||||
500,000 | # | Realogy Corp., 7.625%, 01/15/20 | 566,250 | 0.3 | |||||||||||||||
770,000 | # | Realogy Corp., 7.875%, 02/15/19 | 847,000 | 0.4 | |||||||||||||||
500,000 | Regions Bank/Birmingham AL, 6.450%, 06/26/37 | 543,750 | 0.2 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1,000,000 | # | RHP Hotel Properties L.P. / RHP Finance Corp., 5.000%, 04/15/21 | $ | 1,005,000 | 0.5 | ||||||||||||||
500,000 | # | Rivers Pittsburgh Borrower L.P./Rivers Pittsburgh Finance Corp., 9.500%, 06/15/19 | 548,750 | 0.2 | |||||||||||||||
750,000 | Shea Homes L.P. / Shea Homes Funding Corp., 8.625%, 05/15/19 | 845,625 | 0.4 | ||||||||||||||||
395,000 | Springleaf Finance Corp., 6.900%, 12/15/17 | 400,431 | 0.2 | ||||||||||||||||
500,000 | # | Tops Holding Corp. / Tops Markets, LLC, 8.875%, 12/15/17 | 551,250 | 0.3 | |||||||||||||||
17,229,406 | 7.9 | ||||||||||||||||||
Health Care 8.4% | |||||||||||||||||||
500,000 | # | Acadia Healthcare Co., Inc., 6.125%, 03/15/21 | 518,750 | 0.2 | |||||||||||||||
1,000,000 | # | Amsurg Corp., 5.625%, 11/30/20 | 1,057,500 | 0.5 | |||||||||||||||
475,000 | # | Biomet, Inc., 6.500%, 08/01/20 | 505,875 | 0.2 | |||||||||||||||
495,000 | #,& | CDRT Holding Corp., 9.250%, 10/01/17 | 516,037 | 0.2 | |||||||||||||||
600,000 | CHS/Community Health Systems, Inc., 5.125%, 08/15/18 | 630,000 | 0.3 | ||||||||||||||||
190,000 | CHS/Community Health Systems, Inc., 7.125%, 07/15/20 | 206,387 | 0.1 | ||||||||||||||||
250,000 | CHS/Community Health Systems, Inc., 8.000%, 11/15/19 | 278,125 | 0.1 | ||||||||||||||||
145,000 | DaVita, Inc., 6.375%, 11/01/18 | 154,606 | 0.1 | ||||||||||||||||
745,000 | DaVita, Inc., 6.625%, 11/01/20 | 810,653 | 0.4 | ||||||||||||||||
650,000 | Grifols, Inc., 8.250%, 02/01/18 | 718,250 | 0.3 | ||||||||||||||||
1,405,000 | HCA Holdings, Inc., 7.750%, 05/15/21 | 1,568,331 | 0.7 | ||||||||||||||||
360,000 | HCA, Inc., 7.250%, 09/15/20 | 399,150 | 0.2 | ||||||||||||||||
1,300,000 | HCA, Inc., 7.500%, 02/15/22 | 1,498,250 | 0.7 | ||||||||||||||||
105,000 | HCA, Inc., 7.875%, 02/15/20 | 116,287 | 0.1 | ||||||||||||||||
445,000 | Health Management Associates, Inc., 7.375%, 01/15/20 | 490,613 | 0.2 | ||||||||||||||||
353,000 | Healthsouth Corp., 7.250%, 10/01/18 | 382,123 | 0.2 | ||||||||||||||||
260,000 | Healthsouth Corp., 8.125%, 02/15/20 | 287,950 | 0.1 | ||||||||||||||||
400,000 | Hologic, Inc., 6.250%, 08/01/20 | 427,500 | 0.2 | ||||||||||||||||
450,000 | IASIS Healthcare, LLC / IASIS Capital Corp., 8.375%, 05/15/19 | 475,965 | 0.2 | ||||||||||||||||
480,000 | Immucor, Inc., 11.125%, 08/15/19 | 549,600 | 0.3 | ||||||||||||||||
420,000 | MedAssets, Inc., 8.000%, 11/15/18 | 460,950 | 0.2 | ||||||||||||||||
620,000 | Omnicare, Inc., 7.750%, 06/01/20 | 689,750 | 0.3 | ||||||||||||||||
750,000 | # | Physio-Control International, Inc., 9.875%, 01/15/19 | 849,375 | 0.4 | |||||||||||||||
555,000 | Radnet Management, Inc., 10.375%, 04/01/18 | 581,363 | 0.3 | ||||||||||||||||
280,000 | # | STHI Holding Corp., 8.000%, 03/15/18 | 307,300 | 0.1 | |||||||||||||||
395,000 | Tenet Healthcare Corp., 6.250%, 11/01/18 | 439,931 | 0.2 | ||||||||||||||||
225,000 | X | U.S. Oncology Escrow, 87.500%, 12/31/49 | — | — | |||||||||||||||
875,000 | United Surgical Partners International, Inc., 9.000%, 04/01/20 | 995,313 | 0.5 | ||||||||||||||||
750,000 | # | Universal Hospital Services, Inc., 7.625%, 08/15/20 | 810,000 | 0.4 | |||||||||||||||
525,000 | # | Valeant Pharmaceuticals International, 6.750%, 08/15/21 | 561,750 | 0.3 | |||||||||||||||
450,000 | Vanguard Health Holding Co. II, LLC / Vanguard Holding Co. II, Inc., 7.750%, 02/01/19 | 483,750 | 0.2 | ||||||||||||||||
490,000 | # | VPI Escrow Corp., 6.375%, 10/15/20 | 518,788 | 0.2 | |||||||||||||||
18,290,222 | 8.4 | ||||||||||||||||||
Industrials 8.5% | |||||||||||||||||||
700,000 | # | ADS Waste Holdings, Inc., 8.250%, 10/01/20 | 757,750 | 0.3 | |||||||||||||||
500,000 | # | Ainsworth Lumber Co. Ltd., 7.500%, 12/15/17 | 546,875 | 0.3 | |||||||||||||||
455,000 | # | Amsted Industries, Inc., 8.125%, 03/15/18 | 491,400 | 0.2 | |||||||||||||||
665,000 | Anixter, Inc., 5.625%, 05/01/19 | 709,887 | 0.3 | ||||||||||||||||
600,000 | # | Belden, Inc., 5.500%, 09/01/22 | 618,000 | 0.3 | |||||||||||||||
750,000 | #,& | BOE Merger Corp., 9.500%, 11/01/17 | 810,937 | 0.4 | |||||||||||||||
800,000 | Chrysler Group, LLC/CG Co-Issuer, Inc., 8.250%, 06/15/21 | 897,000 | 0.4 | ||||||||||||||||
500,000 | # | Cleaver-Brooks, Inc., 8.750%, 12/15/19 | 540,625 | 0.2 | |||||||||||||||
280,000 | Coleman Cable, Inc., 9.000%, 02/15/18 | 304,500 | 0.1 | ||||||||||||||||
670,000 | Covanta Holding Corp., 7.250%, 12/01/20 | 741,488 | 0.3 | ||||||||||||||||
750,000 | # | Dematic SA / DH Services Luxembourg Sarl, 7.750%, 12/15/20 | 783,750 | 0.4 | |||||||||||||||
360,000 | Ducommun, Inc., 9.750%, 07/15/18 | 397,800 | 0.2 | ||||||||||||||||
605,000 | Florida East Coast Railway Corp., 8.125%, 02/01/17 | 651,887 | 0.3 | ||||||||||||||||
600,000 | # | H&E Equipment Services, Inc., 7.000%, 09/01/22 | 663,000 | 0.3 | |||||||||||||||
500,000 | # | HD Supply, Inc., 7.500%, 07/15/20 | 527,500 | 0.2 | |||||||||||||||
500,000 | HD Supply, Inc., 10.500%, 01/15/21 | 521,875 | 0.2 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
110,000 | Interface, Inc., 7.625%, 12/01/18 | $ | 119,625 | 0.1 | |||||||||||||||
500,000 | #,& | Isabelle Acquisition Sub, Inc., 10.000%, 11/15/18 | 556,250 | 0.3 | |||||||||||||||
880,000 | # | JM Huber Corp., 9.875%, 11/01/19 | 1,001,000 | 0.5 | |||||||||||||||
750,000 | # | Logo Merger Sub Corp., 8.375%, 10/15/20 | 780,000 | 0.4 | |||||||||||||||
509,000 | Martin Midstream Partners L.P. / Martin Midstream Finance Corp., 8.875%, 04/01/18 | 549,720 | 0.3 | ||||||||||||||||
285,000 | # | Mcron Finance Sub, LLC / Mcron Finance Corp., 8.375%, 05/15/19 | 316,350 | 0.1 | |||||||||||||||
500,000 | # | Milacron LLC / Mcron Finance Corp., 7.750%, 02/15/21 | 519,375 | 0.2 | |||||||||||||||
500,000 | # | Nortek, Inc., 8.500%, 04/15/21 | 556,250 | 0.3 | |||||||||||||||
445,000 | Polymer Group, Inc., 7.750%, 02/01/19 | 487,275 | 0.2 | ||||||||||||||||
250,000 | # | Sequa Corp., 7.000%, 12/15/17 | 254,375 | 0.1 | |||||||||||||||
375,000 | Severstal, 10.250%, 02/15/18 | 407,813 | 0.2 | ||||||||||||||||
500,000 | # | Silver II Borrower / Silver II US Holdings, LLC, 7.750%, 12/15/20 | 535,000 | 0.2 | |||||||||||||||
310,000 | SPX Corp., 6.875%, 09/01/17 | 346,425 | 0.2 | ||||||||||||||||
100,000 | United Rentals North America, Inc., 6.125%, 06/15/23 | 107,500 | 0.1 | ||||||||||||||||
165,000 | United Rentals North America, Inc., 5.750%, 07/15/18 | 179,644 | 0.1 | ||||||||||||||||
385,000 | United Rentals North America, Inc., 7.375%, 05/15/20 | 429,275 | 0.2 | ||||||||||||||||
285,000 | United Rentals North America, Inc., 7.625%, 04/15/22 | 319,913 | 0.1 | ||||||||||||||||
1,000,000 | # | Watco Cos LLC / Watco Finance Corp., 6.375%, 04/01/23 | 1,033,750 | 0.5 | |||||||||||||||
18,463,814 | 8.5 | ||||||||||||||||||
Information Technology 5.6% | |||||||||||||||||||
855,000 | Aspect Software, Inc., 10.625%, 05/15/17 | 863,550 | 0.4 | ||||||||||||||||
400,000 | # | Audatex North America, Inc., 6.750%, 06/15/18 | 431,000 | 0.2 | |||||||||||||||
525,000 | CDW, LLC / CDW Finance Corp., 8.500%, 04/01/19 | 588,656 | 0.3 | ||||||||||||||||
192,000 | CDW, LLC / CDW Finance Corp., 12.535%, 10/12/17 | 207,120 | 0.1 | ||||||||||||||||
500,000 | # | CyrusOne L.P. / CyrusOne Finance Corp., 6.375%, 11/15/22 | 526,250 | 0.2 | |||||||||||||||
545,000 | Emdeon, Inc., 11.000%, 12/31/19 | 630,837 | 0.3 | ||||||||||||||||
750,000 | Epicor Software Corp., 8.625%, 05/01/19 | 815,625 | 0.4 | ||||||||||||||||
450,000 | Equinix, Inc., 4.875%, 04/01/20 | 455,625 | 0.2 | ||||||||||||||||
800,000 | # | First Data Corp., 6.750%, 11/01/20 | 838,000 | 0.4 | |||||||||||||||
145,000 | # | First Data Corp., 8.250%, 01/15/21 | 151,525 | 0.1 | |||||||||||||||
146,000 | #,& | First Data Corp., 8.750%, 01/15/22 | 155,125 | 0.1 | |||||||||||||||
17,000 | First Data Corp., 9.875%, 09/24/15 | 17,595 | 0.0 | ||||||||||||||||
1,000,000 | # | First Data Corp., 10.625%, 06/15/21 | 1,016,250 | 0.5 | |||||||||||||||
505,000 | Freescale Semiconductor, Inc., 8.050%, 02/01/20 | 536,563 | 0.2 | ||||||||||||||||
750,000 | # | IMS Health, Inc., 6.000%, 11/01/20 | 783,750 | 0.4 | |||||||||||||||
355,000 | Infor US, Inc., 9.375%, 04/01/19 | 404,256 | 0.2 | ||||||||||||||||
500,000 | Infor US, Inc., 11.500%, 07/15/18 | 590,000 | 0.3 | ||||||||||||||||
500,000 | # | Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.250%, 01/15/18 | 518,750 | 0.2 | |||||||||||||||
750,000 | # | NXP BV / NXP Funding LLC, 5.750%, 03/15/23 | 766,875 | 0.3 | |||||||||||||||
250,000 | Seagate HDD Cayman, 6.875%, 05/01/20 | 270,000 | 0.1 | ||||||||||||||||
35,000 | Seagate HDD Cayman, 7.750%, 12/15/18 | 38,544 | 0.0 | ||||||||||||||||
525,000 | SSI Investments II/SSI Co-Issuer, LLC, 11.125%, 06/01/18 | 585,375 | 0.3 | ||||||||||||||||
395,000 | SunGard Data Systems, Inc., 7.375%, 11/15/18 | 424,625 | 0.2 | ||||||||||||||||
155,000 | SunGard Data Systems, Inc., 7.625%, 11/15/20 | 168,756 | 0.1 | ||||||||||||||||
300,000 | Unisys Corp., 6.250%, 08/15/17 | 326,250 | 0.1 | ||||||||||||||||
12,110,902 | 5.6 | ||||||||||||||||||
Materials 10.5% | |||||||||||||||||||
650,000 | Aleris International, Inc., 7.875%, 11/01/20 | 700,375 | 0.3 | ||||||||||||||||
1,000,000 | ArcelorMittal, 6.000%, 03/01/21 | 1,053,612 | 0.5 | ||||||||||||||||
250,000 | # | Ardagh Packaging Finance Plc, 9.125%, 10/15/20 | 278,125 | 0.1 | |||||||||||||||
200,000 | # | Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc., 4.875%, 11/15/22 | 198,000 | 0.1 | |||||||||||||||
500,000 | # | Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc., 7.000%, 11/15/20 | 515,000 | 0.2 | |||||||||||||||
500,000 | # | BC Mountain LLC / BC Mountain Finance, Inc., 7.000%, 02/01/21 | 531,250 | 0.2 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500,000 | # | Boise Cascade, LLC/Boise Cascade Finance Corp., 6.375%, 11/01/20 | $ | 531,875 | 0.2 | ||||||||||||||
500,000 | # | Bombardier, Inc., 4.250%, 01/15/16 | 521,250 | 0.2 | |||||||||||||||
515,000 | # | Bombardier, Inc., 6.125%, 01/15/23 | 536,887 | 0.2 | |||||||||||||||
335,000 | # | Building Materials Corp. of America, 7.500%, 03/15/20 | 367,662 | 0.2 | |||||||||||||||
165,000 | # | Building Materials Corp. of America, 6.750%, 05/01/21 | 180,675 | 0.1 | |||||||||||||||
420,000 | Chemtura Corp., 7.875%, 09/01/18 | 455,700 | 0.2 | ||||||||||||||||
500,000 | # | Consolidated Container Co., LLC/Consolidated Container Capital, Inc., 10.125%, 07/15/20 | 550,000 | 0.3 | |||||||||||||||
365,000 | # | Eagle Spinco, Inc., 4.625%, 02/15/21 | 372,756 | 0.2 | |||||||||||||||
500,000 | # | FMG Resources August 2006 Pty Ltd., 6.000%, 04/01/17 | 516,250 | 0.2 | |||||||||||||||
250,000 | # | FMG Resources August 2006 Pty Ltd., 6.875%, 04/01/22 | 262,812 | 0.1 | |||||||||||||||
750,000 | # | Gibraltar Industries, Inc., 6.250%, 02/01/21 | 798,750 | 0.4 | |||||||||||||||
450,000 | Hexion US Finance Corp., 6.625%, 04/15/20 | 453,375 | 0.2 | ||||||||||||||||
500,000 | Huntsman International LLC, 4.875%, 11/15/20 | 505,625 | 0.2 | ||||||||||||||||
250,000 | # | Huntsman International LLC, 4.875%, 11/15/20 | 252,813 | 0.1 | |||||||||||||||
500,000 | # | Ineos Group Holdings PLC, 8.500%, 02/15/16 | 510,000 | 0.2 | |||||||||||||||
500,000 | # | Inmet Mining Corp., 7.500%, 06/01/21 | 542,500 | 0.3 | |||||||||||||||
370,000 | Kraton Polymers, LLC/Kraton Polymers Capital Corp., 6.750%, 03/01/19 | 388,500 | 0.2 | ||||||||||||||||
750,000 | Lender Processing Services, Inc., 5.750%, 04/15/23 | 785,625 | 0.4 | ||||||||||||||||
410,000 | # | Longview Fibre Paper & Packaging, Inc., 8.000%, 06/01/16 | 430,500 | 0.2 | |||||||||||||||
400,000 | Louisiana-Pacific Corp., 7.500%, 06/01/20 | 456,000 | 0.2 | ||||||||||||||||
840,000 | LyondellBasell Industries NV, 6.000%, 11/15/21 | 999,600 | 0.5 | ||||||||||||||||
500,000 | Momentive Performance Materials, Inc., 8.875%, 10/15/20 | 517,500 | 0.2 | ||||||||||||||||
500,000 | # | New Gold, Inc., 7.000%, 04/15/20 | 540,000 | 0.3 | |||||||||||||||
500,000 | #,& | Orion Engineered Carbons Finance & Co. SCA, 9.250%, 08/01/19 | 507,500 | 0.2 | |||||||||||||||
400,000 | PH Glatfelter Co., 5.375%, 10/15/20 | 421,000 | 0.2 | ||||||||||||||||
290,000 | # | Plastipak Holdings, Inc., 10.625%, 08/15/19 | 333,500 | 0.2 | |||||||||||||||
200,000 | # | PolyOne Corp., 5.250%, 03/15/23 | 202,500 | 0.1 | |||||||||||||||
275,000 | PolyOne Corp., 7.375%, 09/15/20 | 305,250 | 0.1 | ||||||||||||||||
750,000 | # | PQ Corp., 8.750%, 05/01/18 | 802,500 | 0.4 | |||||||||||||||
500,000 | # | Prince Mineral Holding Corp., 11.500%, 12/15/19 | 561,250 | 0.3 | |||||||||||||||
307,000 | # | Rain CII Carbon, LLC and CII Carbon Corp., 8.000%, 12/01/18 | 326,188 | 0.2 | |||||||||||||||
500,000 | # | Rain CII Carbon, LLC / CII Carbon Corp., 8.250%, 01/15/21 | 542,500 | 0.3 | |||||||||||||||
750,000 | # | Roofing Supply Group, LLC / Roofing Supply Finance, Inc., 10.000%, 06/01/20 | 851,250 | 0.4 | |||||||||||||||
250,000 | # | Sealed Air Corp., 5.250%, 04/01/23 | 251,563 | 0.1 | |||||||||||||||
100,000 | # | Steel Dynamics, Inc., 5.250%, 04/15/23 | 101,625 | 0.0 | |||||||||||||||
500,000 | #,& | Taminco Acquisition Corp., 9.125%, 12/15/17 | 507,500 | 0.2 | |||||||||||||||
1,000,000 | Taseko Mines Ltd., 7.750%, 04/15/19 | 1,012,500 | 0.5 | ||||||||||||||||
500,000 | # | Unifrax I LLC / Unifrax Holding Co., 7.500%, 02/15/19 | 517,500 | 0.2 | |||||||||||||||
750,000 | # | US Coatings Acquisition, Inc. / Flash Dutch 2 BV, 7.375%, 05/01/21 | 792,188 | 0.4 | |||||||||||||||
22,789,331 | 10.5 | ||||||||||||||||||
Telecommunication Services 7.3% | |||||||||||||||||||
750,000 | CenturyLink, Inc., 5.625%, 04/01/20 | 768,374 | 0.3 | ||||||||||||||||
178,000 | Cincinnati Bell, Inc., 8.375%, 10/15/20 | 186,010 | 0.1 | ||||||||||||||||
300,000 | Cincinnati Bell, Inc., 8.750%, 03/15/18 | 299,250 | 0.1 | ||||||||||||||||
500,000 | Cricket Communications, Inc., 7.750%, 10/15/20 | 501,250 | 0.2 | ||||||||||||||||
310,000 | Cricket Communications, Inc., 7.750%, 05/15/16 | 323,950 | 0.1 | ||||||||||||||||
— | Frontier Communications Corp., 8.500%, 04/15/20 | — | — | ||||||||||||||||
1,000,000 | Frontier Communications Corp., 7.625%, 04/15/24 | 1,031,250 | 0.5 | ||||||||||||||||
200,000 | Frontier Communications Corp., 8.250%, 04/15/17 | 236,000 | 0.1 | ||||||||||||||||
531,375 | & | Intelsat Bermuda Ltd., 11.500%, 02/04/17 | 564,586 | 0.3 | |||||||||||||||
400,000 | Intelsat Bermuda Ltd., 11.250%, 02/04/17 | 426,500 | 0.2 | ||||||||||||||||
250,000 | #,& | Intelsat Bermuda Ltd., 11.500%, 02/04/17 | 265,625 | 0.1 | |||||||||||||||
500,000 | Intelsat Jackson Holdings SA, 7.250%, 10/15/20 | 551,250 | 0.3 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
440,000 | Intelsat Jackson Holdings SA, 7.500%, 04/01/21 | $ | 491,700 | 0.2 | |||||||||||||||
500,000 | # | Intelsat Luxembourg SA, 7.750%, 06/01/21 | 510,000 | 0.2 | |||||||||||||||
18,024 | & | iPCS, Inc., 3.549%, 05/01/14 | 18,069 | 0.0 | |||||||||||||||
750,000 | # | Lynx II Corp., 6.375%, 04/15/23 | 789,375 | 0.4 | |||||||||||||||
780,000 | # | MetroPCS Wireless, Inc., 6.250%, 04/01/21 | 796,575 | 0.4 | |||||||||||||||
630,000 | MetroPCS Wireless, Inc., 6.625%, 11/15/20 | 660,712 | 0.3 | ||||||||||||||||
780,000 | # | MetroPCS Wireless, Inc., 6.625%, 04/01/23 | 798,525 | 0.4 | |||||||||||||||
500,000 | # | Sable International Finance Ltd., 8.750%, 02/01/20 | 567,500 | 0.3 | |||||||||||||||
1,400,000 | Sprint Capital Corp., 6.875%, 11/15/28 | 1,438,500 | 0.7 | ||||||||||||||||
500,000 | Sprint Nextel Corp., 6.000%, 11/15/22 | 516,250 | 0.2 | ||||||||||||||||
500,000 | # | Sprint Nextel Corp., 7.000%, 03/01/20 | 583,750 | 0.3 | |||||||||||||||
665,000 | # | Sprint Nextel Corp., 9.000%, 11/15/18 | 823,769 | 0.4 | |||||||||||||||
750,000 | # | Telesat Canada / Telesat, LLC, 6.000%, 05/15/17 | 787,500 | 0.4 | |||||||||||||||
200,000 | # | Wind Acquisition Finance S.A., 7.250%, 02/15/18 | 209,250 | 0.1 | |||||||||||||||
500,000 | # | Wind Acquisition Finance S.A., 7.250%, 02/15/18 | 521,875 | 0.2 | |||||||||||||||
500,000 | #,& | Wind Acquisition Holdings Finance SA, 12.250%, 07/15/17 | 521,875 | 0.2 | |||||||||||||||
670,000 | Windstream Corp., 7.000%, 03/15/19 | 687,588 | 0.3 | ||||||||||||||||
15,876,858 | 7.3 | ||||||||||||||||||
Utilities 2.3% | |||||||||||||||||||
310,000 | AES Corp., 7.375%, 07/01/21 | 361,150 | 0.2 | ||||||||||||||||
853,000 | # | Calpine Corp., 7.500%, 02/15/21 | 940,432 | 0.4 | |||||||||||||||
410,000 | # | Calpine Corp., 7.875%, 07/31/20 | 451,000 | 0.2 | |||||||||||||||
500,000 | DPL, Inc., 6.500%, 10/15/16 | 530,000 | 0.2 | ||||||||||||||||
1,000,000 | DPL, Inc., 7.250%, 10/15/21 | 1,065,000 | 0.5 | ||||||||||||||||
480,000 | # | Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc., 10.000%, 12/01/20 | 542,400 | 0.3 | |||||||||||||||
475,000 | Mirant Americas Generation, LLC, 9.125%, 05/01/31 | 533,188 | 0.3 | ||||||||||||||||
230,000 | NRG Energy, Inc., 7.625%, 05/15/19 | 249,550 | 0.1 | ||||||||||||||||
230,000 | NRG Energy, Inc., 7.875%, 05/15/21 | 257,025 | 0.1 | ||||||||||||||||
4,929,745 | 2.3 | ||||||||||||||||||
Total Corporate Bonds/Notes (Cost $193,093,359) | 205,617,089 | 94.6 | |||||||||||||||||
ASSET-BACKED SECURITIES 0.5% | |||||||||||||||||||
Other Asset-Backed Securities 0.5% | |||||||||||||||||||
1,000,000 | # | Castle Garden Funding, 6.560%, 10/27/20 | 1,077,279 | 0.5 | |||||||||||||||
Total Asset-Backed Securities (Cost $997,500) | 1,077,279 | 0.5 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK 0.0% | |||||||||||||||||||
Consumer Discretionary 0.0% | |||||||||||||||||||
195 | @ | American Media, Inc. | 2,243 | 0 .0 | |||||||||||||||
5,810 | @,X | American Media, Inc., Stock Certificates | — | — | |||||||||||||||
Total Common Stock (Cost $136,656) | 2,243 | 0.0 | |||||||||||||||||
Total Long-Term Investments (Cost $194,227,515) | 206,696,611 | 95.1 | |||||||||||||||||
SHORT-TERM INVESTMENTS 4.5% | |||||||||||||||||||
Mutual Funds 4.5% | |||||||||||||||||||
9,861,400 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $9,861,400) | 9,861,400 | 4.5 | ||||||||||||||||
Total Short-Term Investments (Cost $9,861,400) | 9,861,400 | 4.5 | |||||||||||||||||
Total Investments in Securities (Cost $204,088,915) | $ | 216,558,011 | 99 .6 | ||||||||||||||||
Assets in Excess of Other Liabilities | 944,303 | 0.4 | |||||||||||||||||
Net Assets | $ | 217,502,314 | 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 |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. |
AS OF MARCH 31, 2013 (CONTINUED)
Cost for federal income tax purposes is $204,092,266. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 12,944,708 | ||||
Gross Unrealized Depreciation | (478,963 | ) | ||||
Net Unrealized Appreciation | $ | 12,465,745 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at March 31, 2013 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | — | $ | — | $ | 2,243 | $ | 2,243 | ||||||||||
Total Common Stock | — | — | 2,243 | 2,243 | ||||||||||||||
Corporate Bonds/Notes | — | 205,617,089 | — | 205,617,089 | ||||||||||||||
Asset-Backed Securities | — | 1,077,279 | — | 1,077,279 | ||||||||||||||
Short-Term Investments | 9,861,400 | — | — | 9,861,400 | ||||||||||||||
Total Investments, at fair value | $ | 9,861,400 | $ | 206,694,368 | $ | 2,243 | $ | 216,558,011 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
AS OF MARCH 31, 2013
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES 27.4% | |||||||||||||||||||
Consumer Discretionary 1.9% | |||||||||||||||||||
740,000 | Cablevision Systems Corp., 8.625%, 09/15/17 | $ | 865,800 | 0.1 | |||||||||||||||
1,125,000 | # | Carlson Wagonlit BV, 6.875%, 06/15/19 | 1,178,437 | 0.1 | |||||||||||||||
1,025,000 | # | CC Holdings GS V LLC, 2.381%, 12/15/17 | 1,033,228 | 0.1 | |||||||||||||||
2,214,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 2.400%, 03/15/17 | 2,273,811 | 0.2 | ||||||||||||||||
670,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.800%, 03/15/22 | 686,617 | 0.1 | ||||||||||||||||
1,500,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.150%, 03/15/42 | 1,457,329 | 0.1 | ||||||||||||||||
2,271,000 | # | Hyatt Hotels Corp., 6.875%, 08/15/19 | 2,709,210 | 0.2 | |||||||||||||||
1,681,000 | Macy’s Retail Holdings, Inc., 2.875%, 02/15/23 | 1,631,579 | 0.2 | ||||||||||||||||
1,263,000 | Macy’s Retail Holdings, Inc., 4.300%, 02/15/43 | 1,160,655 | 0.1 | ||||||||||||||||
1,025,000 | L | Mediacom LLC / Mediacom Capital Corp., 7.250%, 02/15/22 | 1,132,625 | 0.1 | |||||||||||||||
1,150,000 | NBCUniversal Media, LLC, 4.450%, 01/15/43 | 1,141,667 | 0.1 | ||||||||||||||||
926,000 | News America, Inc., 6.650%, 11/15/37 | 1,149,438 | 0.1 | ||||||||||||||||
367,000 | Suburban Propane Partners L.P./Suburban Energy Finance Corp., 7.375%, 08/01/21 | 406,452 | 0.0 | ||||||||||||||||
1,251,000 | Time Warner, Inc., 6.500%, 11/15/36 | 1,514,434 | 0.1 | ||||||||||||||||
863,000 | Toll Brothers Finance Corp., 6.750%, 11/01/19 | 1,011,696 | 0.1 | ||||||||||||||||
1,293,000 | WPP Finance 2010, 5.125%, 09/07/42 | 1,279,570 | 0.1 | ||||||||||||||||
950,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 1,053,313 | 0.1 | |||||||||||||||
21,685,861 | 1.9 | ||||||||||||||||||
Consumer Staples 0.8% | |||||||||||||||||||
1,279,000 | Avon Products, Inc., 4.600%, 03/15/20 | 1,331,589 | 0.1 | ||||||||||||||||
1,279,000 | Avon Products, Inc., 5.000%, 03/15/23 | 1,315,833 | 0.1 | ||||||||||||||||
1,240,000 | Constellation Brands, Inc., 7.250%, 05/15/17 | 1,432,975 | 0.1 | ||||||||||||||||
1,420,000 | # | Hawk Acquisition Sub, Inc., 4.250%, 10/15/20 | 1,423,550 | 0.1 | |||||||||||||||
615,000 | # | JBS USA LLC/JBS USA Finance, Inc., 8.250%, 02/01/20 | 674,962 | 0.1 | |||||||||||||||
813,000 | Kraft Foods Group, Inc., 5.000%, 06/04/42 | 876,675 | 0.1 | ||||||||||||||||
— | Molson Coors Brewing Co., 5.000%, 05/01/42 | — | — | ||||||||||||||||
566,000 | Reynolds American, Inc., 4.750%, 11/01/42 | 550,722 | 0.1 | ||||||||||||||||
1,514,000 | Walgreen Co., 4.400%, 09/15/42 | 1,462,070 | 0.1 | ||||||||||||||||
9,068,376 | 0.8 | ||||||||||||||||||
Energy 3.8% | |||||||||||||||||||
825,000 | Alpha Natural Resources, Inc., 6.250%, 06/01/21 | 746,625 | 0.1 | ||||||||||||||||
200,000 | L | Alpha Natural Resources, Inc., 6.000%, 06/01/19 | 185,500 | 0.0 | |||||||||||||||
870,000 | Anadarko Petroleum Corp., 6.375%, 09/15/17 | 1,039,882 | 0.1 | ||||||||||||||||
375,000 | Chesapeake Energy Corp., 6.625%, 08/15/20 | 411,563 | 0.0 | ||||||||||||||||
325,000 | # | Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 | 336,375 | 0.0 | |||||||||||||||
1,467,000 | # | Dolphin Energy Ltd., 5.500%, 12/15/21 | 1,699,886 | 0.1 | |||||||||||||||
533,000 | Enbridge Energy Partners L.P., 4.200%, 09/15/21 | 563,078 | 0.1 | ||||||||||||||||
1,523,000 | Enbridge Energy Partners, 9.875%, 03/01/19 | 2,081,266 | 0.2 | ||||||||||||||||
1,070,000 | Energy Transfer Equity L.P., 7.500%, 10/15/20 | 1,238,525 | 0.1 | ||||||||||||||||
1,217,000 | Energy Transfer Partners L.P., 4.650%, 06/01/21 | 1,327,743 | 0.1 | ||||||||||||||||
2,074,000 | Energy Transfer Partners L.P., 6.050%, 06/01/41 | 2,256,981 | 0.2 | ||||||||||||||||
1,244,000 | Energy Transfer Partners, 9.700%, 03/15/19 | 1,679,699 | 0.1 | ||||||||||||||||
1,000,000 | Enterprise Products Operating, LLC, 4.450%, 02/15/43 | 967,210 | 0.1 | ||||||||||||||||
1,810,000 | FMC Technologies, Inc., 3.450%, 10/01/22 | 1,842,376 | 0.2 | ||||||||||||||||
1,250,000 | Gazprom OAO Via Gaz Capital SA, 6.212%, 11/22/16 | 1,395,375 | 0.1 | ||||||||||||||||
1,800,000 | ±,X | Greater Ohio Ethanol, LLC, 6.301%, 12/31/13 | — | — | |||||||||||||||
2,254,000 | Marathon Petroleum Corp., 6.500%, 03/01/41 | 2,816,934 | 0.2 | ||||||||||||||||
1,156,000 | Murphy Oil Corp., 2.500%, 12/01/17 | 1,162,575 | 0.1 | ||||||||||||||||
1,542,000 | Nexen, Inc., 7.500%, 07/30/39 | 2,253,147 | 0.2 | ||||||||||||||||
650,000 | ONEOK Partners L.P., 2.000%, 10/01/17 | 657,839 | 0.1 | ||||||||||||||||
1,440,000 | ONEOK Partners L.P., 3.375%, 10/01/22 | 1,434,204 | 0.1 | ||||||||||||||||
1,495,000 | Petrobras International Finance Co.—Pifco, 3.500%, 02/06/17 | 1,547,868 | 0.1 | ||||||||||||||||
1,457,000 | Phillips 66, 2.950%, 05/01/17 | 1,546,198 | 0.1 | ||||||||||||||||
2,936,000 | Phillips 66, 4.300%, 04/01/22 | 3,231,282 | 0.3 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
830,000 | Plains Exploration & Production Co., 8.625%, 10/15/19 | $ | 946,200 | 0.1 | |||||||||||||||
1,000,000 | # | Reliance Holdings USA, Inc., 5.400%, 02/14/22 | 1,117,411 | 0.1 | |||||||||||||||
1,000,000 | # | Sibur Securities Ltd., 3.914%, 01/31/18 | 987,500 | 0.1 | |||||||||||||||
600,000 | # | Thai Oil PCL, 3.625%, 01/23/23 | 606,676 | 0.1 | |||||||||||||||
790,000 | Transcontinental Gas Pipe Line Corp., 6.400%, 04/15/16 | 907,513 | 0.1 | ||||||||||||||||
2,600,000 | Transocean, Inc., 2.500%, 10/15/17 | 2,636,839 | 0.2 | ||||||||||||||||
1,070,000 | Transocean, Inc., 3.800%, 10/15/22 | 1,056,917 | 0.1 | ||||||||||||||||
2,042,000 | Weatherford International Ltd., 5.950%, 04/15/42 | 2,115,263 | 0.2 | ||||||||||||||||
969,000 | Weatherford International Ltd., 6.750%, 09/15/40 | 1,072,623 | 0.1 | ||||||||||||||||
43,869,073 | 3.8 | ||||||||||||||||||
Financials 11.7% | |||||||||||||||||||
1,164,000 | ACE INA Holdings, Inc., 4.150%, 03/13/43 | 1,179,201 | 0.1 | ||||||||||||||||
3,513,600 | Aegon NV, 2.040%, 07/29/49 | 2,215,764 | 0.2 | ||||||||||||||||
1,770,000 | American International Group, Inc., 5.850%, 01/16/18 | 2,077,281 | 0.2 | ||||||||||||||||
1,257,000 | American International Group, Inc., 8.175%, 05/15/58 | 1,698,521 | 0.1 | ||||||||||||||||
617,000 | Allstate Corp., 5.200%, 01/15/42 | 714,448 | 0.1 | ||||||||||||||||
1,410,000 | American Tower Corp., 4.500%, 01/15/18 | 1,553,066 | 0.1 | ||||||||||||||||
1,765,000 | Assurant, Inc., 2.500%, 03/15/18 | 1,755,232 | 0.2 | ||||||||||||||||
2,205,000 | AvalonBay Communities, Inc., 2.950%, 09/15/22 | 2,175,391 | 0.2 | ||||||||||||||||
BRL 2,887,000 | # | Banco Votorantim SA, 6.250%, 05/16/16 | 1,705,127 | 0.1 | |||||||||||||||
2,268,000 | Bank of America Corp., 3.300%, 01/11/23 | 2,242,687 | 0.2 | ||||||||||||||||
962,000 | Bank of America Corp., 5.700%, 01/24/22 | 1,129,547 | 0.1 | ||||||||||||||||
1,314,000 | Bank of America Corp., 8.000%, 12/29/49 | 1,486,449 | 0.1 | ||||||||||||||||
1,996,000 | L | Barclays Bank PLC, 7.625%, 11/21/22 | 1,978,535 | 0.2 | |||||||||||||||
2,580,000 | BBVA US Senior SAU, 4.664%, 10/09/15 | 2,647,284 | 0.2 | ||||||||||||||||
436,000 | Berkshire Hathaway Finance Corp., 4.400%, 05/15/42 | 436,408 | 0.0 | ||||||||||||||||
1,522,000 | Berkshire Hathaway, Inc., 3.000%, 02/11/23 | 1,548,684 | 0.1 | ||||||||||||||||
1,611,000 | BioMed Realty L.P., 4.250%, 07/15/22 | 1,687,956 | 0.1 | ||||||||||||||||
777,000 | Boston Properties L.P., 3.700%, 11/15/18 | 853,456 | 0.1 | ||||||||||||||||
886,000 | Citigroup, Inc., 3.375%, 03/01/23 | 895,665 | 0.1 | ||||||||||||||||
1,046,000 | Citigroup, Inc., 3.953%, 06/15/16 | 1,128,038 | 0.1 | ||||||||||||||||
1,703,000 | Citigroup, Inc., 4.050%, 07/30/22 | 1,763,881 | 0.2 | ||||||||||||||||
1,025,000 | Citigroup, Inc., 4.450%, 01/10/17 | 1,129,842 | 0.1 | ||||||||||||||||
841,000 | Citigroup, Inc., 4.500%, 01/14/22 | 937,368 | 0.1 | ||||||||||||||||
624,000 | Citigroup, Inc., 5.875%, 01/30/42 | 747,571 | 0.1 | ||||||||||||||||
1,603,000 | Citigroup, Inc., 5.900%, 12/29/49 | 1,673,543 | 0.1 | ||||||||||||||||
958,000 | Citigroup, Inc., 5.950%, 12/29/49 | 995,122 | 0.1 | ||||||||||||||||
1,216,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.950%, 11/09/22 | 1,227,626 | 0.1 | ||||||||||||||||
1,660,000 | # | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 11.000%, 12/29/49 | 2,234,076 | 0.2 | |||||||||||||||
1,133,000 | Digital Realty Trust L.P., 3.625%, 10/01/22 | 1,128,492 | 0.1 | ||||||||||||||||
251,000 | Discover Bank/Greenwood DE, 8.700%, 11/18/19 | 336,009 | 0.0 | ||||||||||||||||
367,000 | Discover Financial Services, 6.450%, 06/12/17 | 430,562 | 0.0 | ||||||||||||||||
2,049,000 | Discover Bank/Greenwood DE, 2.000%, 02/21/18 | 2,058,495 | 0.2 | ||||||||||||||||
805,000 | Discover Financial Services, 3.850%, 11/21/22 | 830,175 | 0.1 | ||||||||||||||||
1,137,000 | Equity One, Inc., 3.750%, 11/15/22 | 1,136,499 | 0.1 | ||||||||||||||||
1,036,000 | Federal Realty Investment Trust, 3.000%, 08/01/22 | 1,025,564 | 0.1 | ||||||||||||||||
1,706,000 | Fifth Third Bank/Cincinnati OH, 1.450%, 02/28/18 | 1,708,409 | 0.2 | ||||||||||||||||
573,000 | Ford Motor Credit Co. LLC, 3.000%, 06/12/17 | 588,466 | 0.1 | ||||||||||||||||
1,065,000 | Ford Motor Credit Co., LLC, 8.125%, 01/15/20 | 1,349,334 | 0.1 | ||||||||||||||||
849,000 | General Electric Capital Corp., 3.150%, 09/07/22 | 845,898 | 0.1 | ||||||||||||||||
525,000 | General Electric Capital Corp., 3.350%, 10/17/16 | 564,257 | 0.1 | ||||||||||||||||
692,000 | General Electric Capital Corp., 5.300%, 02/11/21 | 795,055 | 0.1 | ||||||||||||||||
1,200,000 | General Electric Capital Corp., 6.250%, 12/15/49 | 1,320,533 | 0.1 | ||||||||||||||||
1,700,000 | General Electric Capital Corp., 7.125%, 12/15/49 | 1,982,147 | 0.2 | ||||||||||||||||
1,073,000 | L | Genworth Financial, Inc., 7.625%, 09/24/21 | 1,293,116 | 0.1 | |||||||||||||||
1,238,000 | Goldman Sachs Group, Inc., 2.375%, 01/22/18 | 1,256,865 | 0.1 | ||||||||||||||||
2,217,000 | Goldman Sachs Group, Inc., 3.625%, 01/22/23 | 2,238,826 | 0.2 | ||||||||||||||||
1,464,000 | Goldman Sachs Group, Inc., 5.750%, 01/24/22 | 1,706,318 | 0.1 | ||||||||||||||||
998,000 | Goldman Sachs Group, Inc., 6.750%, 10/01/37 | 1,123,434 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1,058,000 | Hartford Financial Services Group, Inc., 5.125%, 04/15/22 | $ | 1,223,407 | 0.1 | |||||||||||||||
593,000 | Hartford Financial Services Group, Inc., 6.625%, 03/30/40 | 761,795 | 0.1 | ||||||||||||||||
930,000 | Hartford Financial Services Group, Inc., 8.125%, 06/15/38 | 1,107,862 | 0.1 | ||||||||||||||||
1,269,000 | # | HBOS PLC, 6.750%, 05/21/18 | 1,417,417 | 0.1 | |||||||||||||||
1,530,000 | Health Care REIT, Inc., 2.250%, 03/15/18 | 1,546,405 | 0.1 | ||||||||||||||||
1,007,000 | Healthcare Realty Trust, Inc., 3.750%, 04/15/23 | 1,004,053 | 0.1 | ||||||||||||||||
1,301,000 | HSBC Finance Corp., 6.676%, 01/15/21 | 1,542,782 | 0.1 | ||||||||||||||||
418,000 | HSBC Holdings PLC, 4.875%, 01/14/22 | 478,609 | 0.0 | ||||||||||||||||
1,179,000 | HSBC USA, Inc., 1.625%, 01/16/18 | 1,179,796 | 0.1 | ||||||||||||||||
900,000 | # | Hyundai Capital America, 4.000%, 06/08/17 | 969,949 | 0.1 | |||||||||||||||
3,950,000 | #,L | ICICI Bank Ltd./Dubai, 4.700%, 02/21/18 | 4,180,802 | 0.4 | |||||||||||||||
1,037,000 | # | International Lease Finance Corp., 7.125%, 09/01/18 | 1,223,660 | 0.1 | |||||||||||||||
794,000 | Intesa Sanpaolo SpA, 3.125%, 01/15/16 | 776,742 | 0.1 | ||||||||||||||||
559,000 | # | IPIC GMTN Ltd., 3.750%, 03/01/17 | 600,925 | 0.1 | |||||||||||||||
800,000 | # | IPIC GMTN Ltd., 5.500%, 03/01/22 | 932,000 | 0.1 | |||||||||||||||
326,000 | Itau Unibanco Holding SA/Cayman Island, 5.750%, 01/22/21 | 347,581 | 0.0 | ||||||||||||||||
4,345,000 | JPMorgan Chase & Co., 3.250%, 09/23/22 | 4,350,253 | 0.4 | ||||||||||||||||
506,000 | JPMorgan Chase & Co., 4.500%, 01/24/22 | 555,920 | 0.0 | ||||||||||||||||
1,439,000 | JPMorgan Chase & Co., 5.400%, 01/06/42 | 1,660,999 | 0.1 | ||||||||||||||||
2,275,000 | Merrill Lynch & Co., Inc., 6.050%, 05/16/16 | 2,531,338 | 0.2 | ||||||||||||||||
905,000 | MetLife, Inc., 4.125%, 08/13/42 | 852,209 | 0.1 | ||||||||||||||||
1,267,000 | # | Metropolitan Life Global Funding I, 1.500%, 01/10/18 | 1,274,572 | 0.1 | |||||||||||||||
789,000 | Morgan Stanley, 3.750%, 02/25/23 | 799,742 | 0.1 | ||||||||||||||||
1,600,000 | Morgan Stanley, 3.800%, 04/29/16 | 1,698,862 | 0.1 | ||||||||||||||||
2,746,000 | Morgan Stanley, 4.750%, 03/22/17 | 3,032,768 | 0.3 | ||||||||||||||||
1,039,000 | Morgan Stanley, 5.500%, 07/28/21 | 1,193,871 | 0.1 | ||||||||||||||||
435,000 | MPT Operating Partnership L.P./MPT Finance Corp., 6.375%, 02/15/22 | 469,800 | 0.0 | ||||||||||||||||
1,630,000 | Murray Street Investment Trust I, 4.647%, 03/09/17 | 1,784,661 | 0.2 | ||||||||||||||||
DKK 11 | X | Nordea Kredit Realkreditaktieselskab, 6.000%, 07/01/29 | — | — | |||||||||||||||
1,186,000 | # | Pacific LifeCorp, 5.125%, 01/30/43 | 1,155,992 | 0.1 | |||||||||||||||
1,177,000 | PNC Bank NA, 2.950%, 01/30/23 | 1,173,483 | 0.1 | ||||||||||||||||
1,544,000 | Post Apartment Homes L.P., 3.375%, 12/01/22 | 1,563,901 | 0.1 | ||||||||||||||||
1,462,000 | Principal Financial Group, Inc., 3.125%, 05/15/23 | 1,468,284 | 0.1 | ||||||||||||||||
1,007,000 | Prudential Financial, Inc., 5.200%, 03/15/44 | 1,016,327 | 0.1 | ||||||||||||||||
1,539,000 | Prudential Financial, Inc., 5.625%, 06/15/43 | 1,600,560 | 0.1 | ||||||||||||||||
1,147,000 | # | RBS Citizens Financial Group, Inc., 4.150%, 09/28/22 | 1,181,023 | 0.1 | |||||||||||||||
506,000 | Regions Bank/Birmingham AL, 6.450%, 06/26/37 | 550,275 | 0.0 | ||||||||||||||||
1,764,000 | Regions Bank/Birmingham AL, 7.500%, 05/15/18 | 2,169,720 | 0.2 | ||||||||||||||||
2,309,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/22 | 2,398,501 | 0.2 | ||||||||||||||||
1,221,000 | # | Simon Property Group L.P., 1.500%, 02/01/18 | 1,218,717 | 0.1 | |||||||||||||||
682,000 | Simon Property Group L.P., 4.750%, 03/15/42 | 712,108 | 0.1 | ||||||||||||||||
923,000 | SLM Corp., 4.625%, 09/25/17 | 960,122 | 0.1 | ||||||||||||||||
1,391,000 | SLM Corp., 5.500%, 01/25/23 | 1,384,091 | 0.1 | ||||||||||||||||
755,000 | SLM Corp., 6.000%, 01/25/17 | 824,837 | 0.1 | ||||||||||||||||
1,007,000 | SLM Corp., 8.000%, 03/25/20 | 1,171,896 | 0.1 | ||||||||||||||||
2,759,000 | # | Standard Chartered PLC, 3.950%, 01/11/23 | 2,755,317 | 0.2 | |||||||||||||||
2,000,000 | # | Turkiye Vakiflar Bankasi Tao, 6.000%, 11/01/22 | 2,060,000 | 0.2 | |||||||||||||||
1,000,000 | UBS AG/Stamford CT, 7.625%, 08/17/22 | 1,120,054 | 0.1 | ||||||||||||||||
1,508,000 | Wells Fargo & Co., 1.500%, 01/16/18 | 1,507,290 | 0.1 | ||||||||||||||||
1,847,000 | Wells Fargo & Co., 3.450%, 02/13/23 | 1,864,672 | 0.2 | ||||||||||||||||
134,892,173 | 11.7 | ||||||||||||||||||
Health Care 2.2% | |||||||||||||||||||
692,000 | Aetna, Inc., 1.500%, 11/15/17 | 694,724 | 0.1 | ||||||||||||||||
929,000 | Aetna, Inc., 2.750%, 11/15/22 | 911,611 | 0.1 | ||||||||||||||||
785,000 | Amgen, Inc., 3.875%, 11/15/21 | 858,898 | 0.1 | ||||||||||||||||
366,000 | Amgen, Inc., 5.150%, 11/15/41 | 394,891 | 0.0 | ||||||||||||||||
3,270,000 | Celgene Corp., 3.250%, 08/15/22 | 3,316,185 | 0.3 | ||||||||||||||||
1,018,000 | Express Scripts Holding Co., 2.650%, 02/15/17 | 1,067,687 | 0.1 | ||||||||||||||||
1,395,000 | HCA, Inc., 7.250%, 09/15/20 | 1,546,706 | 0.1 | ||||||||||||||||
884,000 | Healthsouth Corp., 7.250%, 10/01/18 | 956,930 | 0.1 | ||||||||||||||||
1,153,000 | Humana, Inc., 3.150%, 12/01/22 | 1,142,062 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
637,000 | Kaiser Foundation Hospitals, 4.875%, 04/01/42 | $ | 699,164 | 0.1 | |||||||||||||||
870,000 | Medtronic, Inc., 2.750%, 04/01/23 | 869,617 | 0.1 | ||||||||||||||||
763,000 | Medtronic, Inc., 4.000%, 04/01/43 | 746,792 | 0.1 | ||||||||||||||||
1,434,000 | St Jude Medical, Inc., 3.250%, 04/15/23 | 1,444,206 | 0.1 | ||||||||||||||||
1,320,000 | St Jude Medical, Inc., 4.750%, 04/15/43 | 1,353,074 | 0.1 | ||||||||||||||||
1,054,000 | X | U.S. Oncology Escrow, 87.500%, 12/31/49 | — | — | |||||||||||||||
915,000 | # | Valeant Pharmaceuticals International, 7.250%, 07/15/22 | 999,638 | 0.1 | |||||||||||||||
2,180,000 | WellPoint, Inc., 3.700%, 08/15/21 | 2,307,755 | 0.2 | ||||||||||||||||
2,171,000 | WellPoint, Inc., 4.625%, 05/15/42 | 2,192,117 | 0.2 | ||||||||||||||||
1,267,000 | # | Zoetis, Inc., 1.875%, 02/01/18 | 1,277,222 | 0.1 | |||||||||||||||
1,774,000 | # | Zoetis, Inc., 3.250%, 02/01/23 | 1,804,002 | 0.1 | |||||||||||||||
636,000 | # | Zoetis, Inc., 4.700%, 02/01/43 | 652,991 | 0.0 | |||||||||||||||
25,236,272 | 2.2 | ||||||||||||||||||
Industrials 0.9% | |||||||||||||||||||
1,230,000 | BE Aerospace, Inc., 6.875%, 10/01/20 | 1,366,837 | 0.1 | ||||||||||||||||
1,175,000 | Case New Holland, Inc., 7.875%, 12/01/17 | 1,380,625 | 0.1 | ||||||||||||||||
585,000 | Ford Motor Co., 4.750%, 01/15/43 | 548,306 | 0.0 | ||||||||||||||||
564,000 | General Electric Co., 4.125%, 10/09/42 | 568,910 | 0.1 | ||||||||||||||||
1,700,000 | # | Hutchison Whampoa International 12 Ltd., 6.000%, 05/29/49 | 1,819,000 | 0.2 | |||||||||||||||
900,000 | Lennar Corp., 4.750%, 12/15/17 | 947,250 | 0.1 | ||||||||||||||||
2,292,000 | MDC Holdings, Inc., 6.000%, 01/15/43 | 2,283,916 | 0.2 | ||||||||||||||||
1,076,000 | # | Turlock Corp., 2.750%, 11/02/22 | 1,072,842 | 0.1 | |||||||||||||||
9,987,686 | 0.9 | ||||||||||||||||||
Information Technology 1.1% | |||||||||||||||||||
1,120,000 | Brocade Communications Systems, Inc., 6.875%, 01/15/20 | 1,232,000 | 0.1 | ||||||||||||||||
2,391,000 | eBay, Inc., 4.000%, 07/15/42 | 2,206,888 | 0.2 | ||||||||||||||||
825,000 | L | Hewlett-Packard Co., 2.600%, 09/15/17 | 832,615 | 0.1 | |||||||||||||||
2,673,000 | Hewlett-Packard Co., 3.000%, 09/15/16 | 2,769,271 | 0.2 | ||||||||||||||||
625,000 | Hewlett-Packard Co., 5.400%, 03/01/17 | 696,565 | 0.1 | ||||||||||||||||
1,163,000 | Jabil Circuit, Inc., 7.750%, 07/15/16 | 1,344,719 | 0.1 | ||||||||||||||||
1,455,000 | Motorola Solutions, Inc., 3.750%, 05/15/22 | 1,494,017 | 0.1 | ||||||||||||||||
835,000 | Seagate Technology HDD Holdings, 6.800%, 10/01/16 | 947,725 | 0.1 | ||||||||||||||||
966,000 | Symantec Corp., 2.750%, 06/15/17 | 997,583 | 0.1 | ||||||||||||||||
12,521,383 | 1.1 | ||||||||||||||||||
Materials 1.9% | |||||||||||||||||||
2,564,000 | # | Anglo American Capital PLC, 2.625%, 09/27/17 | 2,608,075 | 0.2 | |||||||||||||||
200,000 | AngloGold Ashanti Holdings PLC, 5.125%, 08/01/22 | 203,248 | 0.0 | ||||||||||||||||
250,000 | # | Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc., 7.375%, 10/15/17 | 274,687 | 0.0 | |||||||||||||||
2,570,000 | Cabot Corp., 3.700%, 07/15/22 | 2,615,448 | 0.2 | ||||||||||||||||
1,500,000 | # | EuroChem Mineral & Chemical Co. OJSC via EuroChem GI Ltd., 5.125%, 12/12/17 | 1,530,000 | 0.1 | |||||||||||||||
1,649,000 | # | Freeport-McMoRan Copper & Gold, Inc., 2.375%, 03/15/18 | 1,658,586 | 0.1 | |||||||||||||||
1,519,000 | # | Freeport-McMoRan Copper & Gold, Inc., 3.875%, 03/15/23 | 1,527,558 | 0.1 | |||||||||||||||
892,000 | # | Freeport-McMoRan Copper & Gold, Inc., 5.450%, 03/15/43 | 886,210 | 0.1 | |||||||||||||||
1,126,000 | Goldcorp, Inc., 3.700%, 03/15/23 | 1,133,932 | 0.1 | ||||||||||||||||
1,770,000 | # | Mexichem SAB de CV, 4.875%, 09/19/22 | 1,880,625 | 0.2 | |||||||||||||||
730,000 | Rio Tinto Finance USA PLC, 1.625%, 08/21/17 | 737,578 | 0.1 | ||||||||||||||||
284,000 | RPM International, Inc., 3.450%, 11/15/22 | 282,265 | 0.0 | ||||||||||||||||
960,000 | # | Sealed Air Corp., 8.375%, 09/15/21 | 1,104,000 | 0.1 | |||||||||||||||
1,975,000 | L | Teck Resources Ltd., 3.750%, 02/01/23 | 1,932,761 | 0.2 | |||||||||||||||
1,028,000 | Vale Overseas Ltd., 4.625%, 09/15/20 | 1,094,546 | 0.1 | ||||||||||||||||
2,017,000 | # | Xstrata Finance Canada Ltd., 4.000%, 10/25/22 | 2,036,944 | 0.2 | |||||||||||||||
827,000 | # | Xstrata Finance Canada Ltd., 4.950%, 11/15/21 | 891,566 | 0.1 | |||||||||||||||
22,398,029 | 1.9 | ||||||||||||||||||
Telecommunication Services 1.4% | |||||||||||||||||||
1,608,000 | AT&T, Inc., 5.350%, 09/01/40 | 1,730,663 | 0.2 | ||||||||||||||||
425,000 | Intelsat Jackson Holdings SA, 7.250%, 10/15/20 | 468,562 | 0.0 | ||||||||||||||||
450,000 | Intelsat Jackson Holdings SA, 7.500%, 04/01/21 | 502,875 | 0.0 | ||||||||||||||||
699,000 | Motorola Solutions, Inc., 3.500%, 03/01/23 | 705,116 | 0.1 | ||||||||||||||||
770,000 | # | Sable International Finance Ltd., 8.750%, 02/01/20 | 873,950 | 0.1 | |||||||||||||||
2,600,000 | # | Telefonica Chile SA, 3.875%, 10/12/22 | 2,567,230 | 0.2 | |||||||||||||||
1,428,000 | Telefonica Emisiones SAU, 3.992%, 02/16/16 | 1,492,153 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
4,455,000 | Verizon Communications, Inc., 1.950%, 03/28/14 | $ | 3,885,828 | 0.3 | |||||||||||||||||||
571,000 | Vodafone Group PLC, 2.950%, 02/19/23 | 570,745 | 0.1 | ||||||||||||||||||||
1,889,000 | Vodafone Group PLC, 4.375%, 02/19/43 | 1,813,147 | 0.2 | ||||||||||||||||||||
1,200,000 | Windstream Corp., 7.000%, 03/15/19 | 1,231,500 | 0.1 | ||||||||||||||||||||
15,841,769 | 1.4 | ||||||||||||||||||||||
Utilities 1.7% | |||||||||||||||||||||||
855,000 | AES Corp., 8.000%, 10/15/17 | 1,009,969 | 0.1 | ||||||||||||||||||||
1,191,000 | Ameren Corp., 8.875%, 05/15/14 | 1,286,325 | 0.1 | ||||||||||||||||||||
771,000 | American Electric Power Co., Inc., 1.650%, 12/15/17 | 774,824 | 0.1 | ||||||||||||||||||||
566,000 | CenterPoint Energy Houston Electric LLC, 3.550%, 08/01/42 | 529,290 | 0.0 | ||||||||||||||||||||
600,000 | # | China Resources Gas Group Ltd, 4.500%, 04/05/22 | 653,502 | 0.0 | |||||||||||||||||||
612,000 | # | Duquesne Light Holdings, Inc., 5.900%, 12/01/21 | 737,390 | 0.1 | |||||||||||||||||||
1,249,000 | # | Duquesne Light Holdings, Inc., 6.400%, 09/15/20 | 1,521,753 | 0.1 | |||||||||||||||||||
873,000 | # | Empresa de Energia de Bogota SA, 6.125%, 11/10/21 | 977,760 | 0.1 | |||||||||||||||||||
782,000 | Entergy Texas, Inc., 7.125%, 02/01/19 | 971,216 | 0.1 | ||||||||||||||||||||
1,019,000 | FirstEnergy Corp., 2.750%, 03/15/18 | 1,032,201 | 0.1 | ||||||||||||||||||||
1,519,000 | FirstEnergy Corp., 4.250%, 03/15/23 | 1,540,505 | 0.1 | ||||||||||||||||||||
314,000 | # | Iberdrola Finance Ireland Ltd., 3.800%, 09/11/14 | 323,433 | 0.0 | |||||||||||||||||||
88,921 | # | Juniper Generation, LLC, 6.790%, 12/31/14 | 84,025 | 0.0 | |||||||||||||||||||
596,000 | # | Korea Gas Corp., 6.250%, 01/20/42 | 779,891 | 0.1 | |||||||||||||||||||
618,000 | Metropolitan Edison, 7.700%, 01/15/19 | 795,009 | 0.1 | ||||||||||||||||||||
709,000 | Nevada Power Co., 7.125%, 03/15/19 | 917,864 | 0.1 | ||||||||||||||||||||
521,000 | Nisource Finance Corp., 5.950%, 06/15/41 | 595,253 | 0.0 | ||||||||||||||||||||
645,000 | Nisource Finance Corp., 6.125%, 03/01/22 | 773,907 | 0.1 | ||||||||||||||||||||
701,000 | Oncor Electric Delivery Co. LLC, 4.100%, 06/01/22 | 766,752 | 0.1 | ||||||||||||||||||||
980,000 | Oncor Electric Delivery Co. LLC, 6.800%, 09/01/18 | 1,221,799 | 0.1 | ||||||||||||||||||||
1,169,000 | Southwestern Electric Power, 5.550%, 01/15/17 | 1,325,390 | 0.1 | ||||||||||||||||||||
1,030,000 | TransAlta Corp., 4.500%, 11/15/22 | 1,048,068 | 0.1 | ||||||||||||||||||||
19,666,126 | 1.7 | ||||||||||||||||||||||
Total Corporate Bonds/Notes (Cost $302,845,215) | 315,166,748 | 27.4 | |||||||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 17.1% | |||||||||||||||||||||||
1,039,000 | # | American General Mortgage Loan Trust, 5.650%, 03/25/58 | 1,099,181 | 0.1 | |||||||||||||||||||
900,000 | # | Arkle Master Issuer PLC, 1.990%, 05/17/60 | 924,468 | 0.1 | |||||||||||||||||||
1,320,000 | Banc of America Commercial Mortgage Trust 2007-3, 5.623%, 06/10/49 | 1,304,417 | 0.1 | ||||||||||||||||||||
2,730,197 | Banc of America Alternative Loan Trust 2007-2, 6.000%, 06/25/37 | 2,181,994 | 0.2 | ||||||||||||||||||||
1,600,413 | # | Banc of America Funding Corp., 5.250%, 08/26/35 | 1,640,682 | 0.1 | |||||||||||||||||||
2,523,359 | Banc of America Funding Corp., 5.500%, 02/25/35 | 2,596,126 | 0.2 | ||||||||||||||||||||
684,902 | # | Banc of America Large Loan, Inc., 1.603%, 06/15/18 | 679,495 | 0.1 | |||||||||||||||||||
860,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.188%, 09/10/47 | 925,191 | 0.1 | ||||||||||||||||||||
1,030,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.188%, 09/10/47 | 1,083,086 | 0.1 | ||||||||||||||||||||
1,900,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.188%, 09/10/47 | 2,059,098 | 0.2 | ||||||||||||||||||||
1,140,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.188%, 09/10/47 | 1,128,853 | 0.1 | ||||||||||||||||||||
480,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.303%, 03/11/41 | 463,849 | 0.0 | |||||||||||||||||||
860,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.339%, 07/10/43 | 905,915 | 0.1 | |||||||||||||||||||
319,819 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 6.850%, 11/15/31 | 322,073 | 0.0 | |||||||||||||||||||
650,000 | # | Bank of America-First Union NB Commercial Mortgage, 6.250%, 04/11/37 | 652,791 | 0.1 | |||||||||||||||||||
960,918 | # | Bank of America-First Union NB Commercial Mortgage, 6.907%, 04/11/37 | 968,058 | 0.1 | |||||||||||||||||||
464,170 | Bear Stearns Alternative-A Trust, 0.844%, 07/25/34 | 435,345 | 0.0 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1,170,000 | # | Bear Stearns Commercial Mortgage Securities, 5.581%, 04/12/38 | $ | 1,237,627 | 0.1 | |||||||||||||
240,000 | # | Bear Stearns Commercial Mortgage Securities, 5.640%, 02/14/31 | 239,567 | 0.0 | ||||||||||||||
550,000 | Bear Stearns Commercial Mortgage Securities, 6.500%, 02/15/32 | 526,221 | 0.0 | |||||||||||||||
65,979 | # | Bear Stearns Commercial Mortgage Securities, 6.500%, 02/15/32 | 65,907 | 0.0 | ||||||||||||||
1,087,545 | Chase Mortgage Finance Corp., 5.159%, 12/25/35 | 1,070,182 | 0.1 | |||||||||||||||
1,380,941 | Chase Mortgage Finance Corp., 6.000%, 05/25/37 | 1,225,754 | 0.1 | |||||||||||||||
2,554,354 | Citicorp Mortgage Securities, Inc., 6.000%, 06/25/36 | 2,613,913 | 0.2 | |||||||||||||||
883,122 | Citicorp Mortgage Securities, Inc., 6.000%, 08/25/36 | 909,250 | 0.1 | |||||||||||||||
7,700,777 | #,ˆ | Citigroup Commercial Mortgage Trust, 2.259%, 09/10/45 | 1,028,351 | 0.1 | ||||||||||||||
2,811,000 | # | Citigroup Mortgage Loan Trust 2010-7, 6.729%, 12/25/35 | 2,651,623 | 0.2 | ||||||||||||||
4,033,051 | Citimortgage Alternative Loan Trust, 6.000%, 06/25/37 | 3,499,412 | 0.3 | |||||||||||||||
1,215,000 | COMM 2007-C9 Mortgage Trust, 5.650%, 12/10/49 | 1,290,362 | 0.1 | |||||||||||||||
8,600,424 | ˆ | COMM 2013-LC6 Mortgage Trust, 1.819%, 01/10/46 | 956,678 | 0.1 | ||||||||||||||
27,260,000 | #,ˆ | Commercial Mortgage Pass Through Certificates, 0.600%, 10/15/45 | 1,450,431 | 0.1 | ||||||||||||||
7,830,068 | ˆ | Commercial Mortgage Pass Through Certificates, 1.948%, 12/10/45 | 955,261 | 0.1 | ||||||||||||||
5,057,933 | ˆ | Commercial Mortgage Pass Through Certificates, 1.966%, 08/15/45 | 641,914 | 0.1 | ||||||||||||||
6,923,233 | ˆ | Commercial Mortgage Pass Through Certificates, 2.254%, 05/15/45 | 958,282 | 0.1 | ||||||||||||||
40,123 | Commercial Mortgage Pass Through Certificates, 5.800%, 12/10/49 | 40,076 | 0.0 | |||||||||||||||
2,417,552 | Countrywide Alternative Loan Trust, 5.500%, 12/25/35 | 2,160,977 | 0.2 | |||||||||||||||
1,650,399 | Countrywide Home Loan Mortgage Pass Through Trust, 5.750%, 06/25/37 | 1,534,064 | 0.1 | |||||||||||||||
737,167 | Countrywide Home Loan Mortgage Pass-through Trust, 0.524%, 04/25/35 | 179,661 | 0.0 | |||||||||||||||
3,394,967 | Countrywide Alternative Loan Trust, 0.324%, 06/25/36 | 2,417,899 | 0.2 | |||||||||||||||
310,000 | Credit Suisse First Boston Mortgage Securities Corp., 5.343%, 12/15/39 | 342,278 | 0.0 | |||||||||||||||
1,285,000 | # | Credit Suisse First Boston Mortgage Securities Corp., 5.575%, 04/12/49 | 1,326,910 | 0.1 | ||||||||||||||
1,800,000 | # | Credit Suisse First Boston Mortgage Securities Corp., 7.309%, 12/15/35 | 1,860,858 | 0.2 | ||||||||||||||
450,894 | Credit Suisse First Boston Mortgage Securities Corp., 7.490%, 08/15/36 | 451,527 | 0.0 | |||||||||||||||
1,842,393 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, 0.324%, 08/25/36 | 1,210,208 | 0.1 | |||||||||||||||
2,405,271 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, 0.394%, 10/25/36 | 1,315,729 | 0.1 | |||||||||||||||
1,986,920 | First Horizon Alternative Mortgage Securities, 0.504%, 12/25/36 | 1,217,552 | 0.1 | |||||||||||||||
2,726,728 | First Horizon Alternative Mortgage Securities, 6.250%, 02/25/37 | 2,397,905 | 0.2 | |||||||||||||||
1,986,920 | ˆ | First Horizon Alternative Mortgage Securities, 6.496%, 12/25/36 | 460,864 | 0.0 | ||||||||||||||
4,250,592 | First Horizon Alternative Mortgage Securities, 6.000%, 05/25/36 | 3,677,302 | 0.3 | |||||||||||||||
1,423,860 | First Horizon Alternative Mortgage Securities Trust 2006-FA8, 6.000%, 02/25/37 | 1,230,456 | 0.1 | |||||||||||||||
1,919,000 | # | First Union National Bank Com Mort Pas Thr Cert Ser 2001 C4, 6.000%, 12/12/33 | 1,941,234 | 0.2 | ||||||||||||||
649,731 | # | First Union National Bank Commercial Mortgage, 6.000%, 12/12/33 | 652,756 | 0.1 | ||||||||||||||
1,200,000 | # | Fosse Master PLC, 1.703%, 10/18/54 | 1,224,432 | 0.1 | ||||||||||||||
1,776,176 | Freddie Mac, 5.000%, 02/15/35 | 1,947,292 | 0.2 | |||||||||||||||
1,714,097 | Freddie Mac, 5.500%, 07/15/37 | 1,979,011 | 0.2 | |||||||||||||||
2,034,000 | # | GE Capital Commercial Mortgage Corp., 5.496%, 11/10/38 | 1,986,367 | 0.2 | ||||||||||||||
666,465 | # | Gracechurch Mortgage Financing PLC, 1.839%, 11/20/56 | 679,539 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
950,000 | Greenwich Capital Commercial Funding Corp., 4.894%, 08/10/42 | $ | 988,451 | 0.1 | ||||||||||||||
8,822,210 | ˆ | GS Mortgage Securities Corp. II, 2.408%, 11/10/45 | 1,337,721 | 0.1 | ||||||||||||||
771,000 | GS Mort Sec Corp. II Commercial Mort Ps Thr Cert Ser 2004-GG2, 5.644%, 08/10/38 | 709,571 | 0.1 | |||||||||||||||
39,392 | GSR Mortgage Loan Trust, 0.704%, 06/25/35 | 37,055 | 0.0 | |||||||||||||||
1,892,979 | GSR Mortgage Loan Trust, 5.500%, 05/25/36 | 1,729,883 | 0.1 | |||||||||||||||
809,783 | GSR Mortgage Loan Trust, 5.500%, 07/25/35 | 830,846 | 0.1 | |||||||||||||||
1,161,000 | GSR Mortgage Loan Trust, 6.000%, 01/25/37 | 1,133,743 | 0.1 | |||||||||||||||
2,900,000 | # | Holmes Master Issuer PLC, 1.854%, 10/21/54 | 2,949,033 | 0.3 | ||||||||||||||
256,395 | Homebanc Mortgage Trust, 1.064%, 08/25/29 | 231,882 | 0.0 | |||||||||||||||
1,540,000 | # | JP Morgan Chase Com Mort Sec Corp. Ps Thr Certs Ser 2003-LN1, 5.553%, 10/15/37 | 1,338,837 | 0.1 | ||||||||||||||
942,117 | JP Morgan Alternative Loan Trust, 5.500%, 12/25/35 | 809,200 | 0.1 | |||||||||||||||
15,265,000 | #,ˆ | JP Morgan Chase Commercial Mortgage Securities Corp., 0.361%, 12/15/47 | 437,434 | 0.0 | ||||||||||||||
13,206,641 | ˆ | JP Morgan Chase Commercial Mortgage Securities Corp., 1.956%, 12/15/47 | 1,606,345 | 0.1 | ||||||||||||||
17,198,846 | ˆ | JP Morgan Chase Commercial Mortgage Securities Corp., 2.044%, 06/16/45 | 1,959,220 | 0.2 | ||||||||||||||
247,363 | JP Morgan Chase Commercial Mortgage Securities Corp., 4.903%, 10/15/42 | 247,266 | 0.0 | |||||||||||||||
508,652 | JP Morgan Commercial Mortgage Finance Corp., 8.476%, 08/15/32 | 525,552 | 0.0 | |||||||||||||||
1,192,165 | JP Morgan Mortgage Trust 2006-S4, 6.000%, 01/25/37 | 1,061,237 | 0.1 | |||||||||||||||
1,001,321 | JP Morgan Mortgage Trust 2007-S2, 6.750%, 06/25/37 | 891,168 | 0.1 | |||||||||||||||
4,095,997 | JP Morgan Mortgage Trust, 6.000%, 01/25/36 | 3,939,483 | 0.3 | |||||||||||||||
3,953,707 | JP Morgan Mortgage Trust, 6.500%, 08/25/36 | 3,619,102 | 0.3 | |||||||||||||||
100,640 | JPMorgan Chase Commerical Mortgage Securities Corp., 5.198%, 12/15/44 | 101,247 | 0.0 | |||||||||||||||
1,259,494 | # | JPMorgan Chase Commerical Mortgage Securities Corp., 6.135%, 07/12/37 | 1,262,626 | 0.1 | ||||||||||||||
5,000,000 | # | Lanark Master Issuer PLC, 1.689%, 12/22/54 | 5,116,175 | 0.4 | ||||||||||||||
500,000 | LB Commercial Conduit Mortgage Trust, 5.864%, 07/15/44 | 579,182 | 0.1 | |||||||||||||||
1,080,000 | LB Commercial Mortgage Trust 2007-C3, 5.864%, 07/15/44 | 1,064,621 | 0.1 | |||||||||||||||
1,420,000 | # | LB Commercial Mortgage Trust 2007-C3, 5.864%, 07/15/44 | 1,642,871 | 0.1 | ||||||||||||||
770,000 | LB-UBS Commercial Mortgage Trust 2005-C3, 4.954%, 07/15/40 | 747,224 | 0.1 | |||||||||||||||
1,240,000 | LB-UBS Commercial Mortgage Trust 2005-C3, 5.013%, 07/15/40 | 1,054,967 | �� | 0.1 | ||||||||||||||
53,905,001 | #,ˆ | LB-UBS Commercial Mortgage Trust, 0.638%, 11/15/38 | 1,148,786 | 0.1 | ||||||||||||||
1,600,000 | LB-UBS Commercial Mortgage Trust, 4.895%, 07/15/40 | 1,652,434 | 0.1 | |||||||||||||||
1,470,000 | LB-UBS Commercial Mortgage Trust, 4.943%, 10/15/36 | 1,501,451 | 0.1 | |||||||||||||||
670,000 | LB-UBS Commercial Mortgage Trust, 4.983%, 07/15/40 | 630,763 | 0.1 | |||||||||||||||
1,632,000 | # | LB-UBS Commercial Mortgage Trust, 5.224%, 07/15/37 | 1,596,583 | 0.1 | ||||||||||||||
600,000 | # | LB-UBS Commercial Mortgage Trust, 5.231%, 10/15/36 | 604,635 | 0.1 | ||||||||||||||
700,000 | # | LB-UBS Commercial Mortgage Trust, 5.252%, 02/15/40 | 629,732 | 0.1 | ||||||||||||||
820,000 | LB-UBS Commercial Mortgage Trust, 5.350%, 11/15/40 | 812,602 | 0.1 | |||||||||||||||
1,180,000 | LB-UBS Commercial Mortgage Trust, 5.350%, 11/15/40 | 1,036,467 | 0.1 | |||||||||||||||
1,020,000 | LB-UBS Commercial Mortgage Trust, 5.513%, 06/15/36 | 1,050,343 | 0.1 | |||||||||||||||
1,100,000 | # | LB-UBS Commercial Mortgage Trust, 5.531%, 10/15/36 | 843,018 | 0.1 | ||||||||||||||
2,490,000 | LB-UBS Commercial Mortgage Trust, 5.886%, 06/15/38 | 2,557,813 | 0.2 | |||||||||||||||
1,760,000 | # | LB-UBS Commercial Mortgage Trust, 5.980%, 09/15/39 | 1,776,912 | 0.2 | ||||||||||||||
1,830,000 | # | LB-UBS Commercial Mortgage Trust, 5.980%, 09/15/39 | 1,812,343 | 0.2 | ||||||||||||||
2,070,000 | # | LB-UBS Commercial Mortgage Trust, 6.890%, 07/15/32 | 1,962,017 | 0.2 | ||||||||||||||
830,000 | LB-UBS Commercial Mortgage Trust 2000-C4, 8.150%, 07/15/32 | 885,945 | 0.1 | |||||||||||||||
294,875 | Merrill Lynch Mortgage Investors, Inc., 6.250%, 12/10/29 | 295,235 | 0.0 | |||||||||||||||
2,220,000 | Merrill Lynch Mortgage Investors, Inc., 6.750%, 11/15/26 | 2,314,187 | 0.2 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
11,504,975 | ˆ | Morgan Stanley Bank of America Merrill Lynch Trust, 1.530%, 12/15/48 | $ | 961,127 | 0.1 | |||||||||||||
13,946,607 | #,ˆ | Morgan Stanley Bank of America Merrill Lynch Trust, 1.931%, 08/15/45 | 1,551,517 | 0.1 | ||||||||||||||
10,315,535 | #,ˆ | Morgan Stanley Bank of America Merrill Lynch Trust, 2.190%, 11/15/45 | 1,301,854 | 0.1 | ||||||||||||||
410,000 | # | Morgan Stanley Capital I Trust 2004-HQ3, 5.079%, 01/13/41 | 410,941 | 0.0 | ||||||||||||||
420,000 | # | Morgan Stanley Capital I Trust 2004-HQ3, 5.079%, 01/13/41 | 403,407 | 0.0 | ||||||||||||||
1,320,000 | # | Morgan Stanley Capital I Trust 2007-TOP25, 5.614%, 11/12/49 | 842,791 | 0.1 | ||||||||||||||
1,460,000 | Morgan Stanley Capital I, Inc., 5.419%, 06/15/38 | 1,509,597 | 0.1 | |||||||||||||||
250,000 | # | Morgan Stanley Capital I, Inc., 5.910%, 11/15/31 | 242,337 | 0.0 | ||||||||||||||
1,246,000 | Morgan Stanley Capital I, 5.073%, 08/13/42 | 1,306,623 | 0.1 | |||||||||||||||
3,410,000 | Morgan Stanley Capital I, 5.172%, 08/13/42 | 3,465,377 | 0.3 | |||||||||||||||
850,000 | Morgan Stanley Capital I, 5.202%, 08/13/42 | 801,615 | 0.1 | |||||||||||||||
1,000,000 | # | Morgan Stanley Capital I, 5.214%, 01/13/41 | 1,013,103 | 0.1 | ||||||||||||||
1,300,000 | # | Morgan Stanley Capital I, 5.254%, 09/15/47 | 1,368,787 | 0.1 | ||||||||||||||
1,330,000 | # | Morgan Stanley Capital I, 5.254%, 09/15/47 | 1,436,432 | 0.1 | ||||||||||||||
1,477,000 | Morgan Stanley Capital I, 5.302%, 01/14/42 | 1,509,709 | 0.1 | |||||||||||||||
1,080,000 | Morgan Stanley Capital I, 5.336%, 01/14/42 | 1,079,511 | 0.1 | |||||||||||||||
850,000 | Morgan Stanley Capital I, 5.300%, 06/15/40 | 874,919 | 0.1 | |||||||||||||||
811,000 | Morgan Stanley Capital I, 5.793%, 07/12/44 | 888,798 | 0.1 | |||||||||||||||
203,143 | # | Morgan Stanley Capital I, 7.350%, 07/15/32 | 211,437 | 0.0 | ||||||||||||||
791,000 | # | Morgan Stanley Dean Witter Capital I, 5.826%, 03/12/35 | 789,648 | 0.1 | ||||||||||||||
600,000 | # | Morgan Stanley Dean Witter Capital I, 7.373%, 07/15/33 | 619,704 | 0.1 | ||||||||||||||
1,044,000 | # | Morgan Stanley Reremic Trust, 5.466%, 12/17/43 | 1,068,215 | 0.1 | ||||||||||||||
635,604 | Prime Mortgage Trust 2007-1, 5.500%, 03/25/37 | 547,763 | 0.0 | |||||||||||||||
1,410,000 | # | Queens Center Mortgage Trust 2013-QC, 3.275%, 01/11/37 | 1,423,265 | 0.1 | ||||||||||||||
1,470,000 | # | Queens Center Mortgage Trust 2013-QC, 3.474%, 01/11/37 | 1,443,325 | 0.1 | ||||||||||||||
1,252,120 | RALI Trust, 6.000%, 09/25/35 | 1,206,973 | 0.1 | |||||||||||||||
19,124,355 | #,ˆ | RBSCF Trust, 0.969%, 04/15/24 | 297,661 | 0.0 | ||||||||||||||
2,680,000 | # | RBSCF Trust, 5.305%, 01/16/49 | 2,722,093 | 0.2 | ||||||||||||||
4,312,212 | Residential Accredit Loans, Inc., 0.374%, 01/25/37 | 3,178,594 | 0.3 | |||||||||||||||
1,662,502 | Residential Accredit Loans, Inc., 0.654%, 12/25/36 | 849,166 | 0.1 | |||||||||||||||
2,940,000 | # | Salomon Brothers Mortgage Securities VII, Inc., 7.000%, 05/18/32 | 2,981,086 | 0.3 | ||||||||||||||
2,304,000 | #,L | Silverstone Master Issuer PLC, 1.852%, 01/21/55 | 2,364,959 | 0.2 | ||||||||||||||
2,030,000 | # | Springleaf Mortgage Loan Trust, 4.440%, 12/25/59 | 2,040,527 | 0.2 | ||||||||||||||
424,327 | Structured Adjustable Rate Mortgage Loan Trust, 2.792%, 09/25/34 | 426,772 | 0.0 | |||||||||||||||
567,089 | Structured Asset Mortgage Investments, Inc., 0.683%, 04/19/35 | 545,267 | 0.0 | |||||||||||||||
671,081 | Structured Asset Securities Corp., 5.500%, 05/25/35 | 692,990 | 0.1 | |||||||||||||||
8,024,715 | #,ˆ | UBS-Barclays Commercial Mortgage Trust, 1.820%, 05/10/63 | 832,252 | 0.1 | ||||||||||||||
1,620,000 | Wachovia Bank Commercial Mortgage Trust, 5.383%, 12/15/43 | 1,786,141 | 0.2 | |||||||||||||||
391,973 | WaMu Mortgage Pass Through Certificates, 2.463%, 10/25/35 | 392,019 | 0.0 | |||||||||||||||
1,071,298 | Washington Mutual Alternative Mortgage Pass-Through Certificates, 5.500%, 10/25/35 | 973,964 | 0.1 | |||||||||||||||
2,288,690 | Washington Mutual Alternative Mortgage Pass-Through Certificates, 6.000%, 11/25/35 | 1,946,623 | 0.2 | |||||||||||||||
1,064,464 | Washington Mutual Mortgage Pass-through Certificates, 6.000%, 06/25/34 | 1,138,684 | 0.1 | |||||||||||||||
4,227,624 | Wells Fargo Alternative Loan Trust, 6.250%, 07/25/37 | 3,658,520 | 0.3 | |||||||||||||||
9,597,309 | #,ˆ | Wells Fargo Mortgage Backed Securities Trust, 1.604%, 06/15/45 | 1,049,446 | 0.1 | ||||||||||||||
7,238,495 | #,ˆ | Wells Fargo Mortgage Backed Securities Trust, 2.250%, 08/15/45 | 968,621 | 0.1 | ||||||||||||||
1,799,064 | Wells Fargo Mortgage Backed Securities Trust, 5.500%, 11/25/35 | 1,858,032 | 0.2 | |||||||||||||||
2,614,754 | Wells Fargo Mortgage Backed Securities Trust, 5.582%, 04/25/36 | 2,581,237 | 0.2 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1,450,905 | Wells Fargo Mortgage Backed Securities Trust, 6.000%, 03/25/37 | $ | 1,423,565 | 0 .1 | |||||||||||||||
Total Collateralized Mortgage Obligations (Cost $188,762,511) | 196,976,456 | 17.1 | |||||||||||||||||
ASSET-BACKED SECURITIES 6.6% | |||||||||||||||||||
Automobile Asset-Backed Securities 0.3% | |||||||||||||||||||
1,000,000 | # | Motor PLC, 1.286%, 02/25/20 | 1,004,094 | 0.1 | |||||||||||||||
1,500,000 | # | SMART Trust, 1.590%, 10/14/16 | 1,517,832 | 0.1 | |||||||||||||||
1,000,000 | SMART Trust/Australia, 1.050%, 10/14/18 | 997,626 | 0.1 | ||||||||||||||||
3,519,552 | 0.3 | ||||||||||||||||||
Credit Card Asset-Backed Securities 0.5% | |||||||||||||||||||
2,500,000 | # | Cards II Trust, 0.653%, 09/15/17 | 2,513,046 | 0.2 | |||||||||||||||
1,250,000 | # | Gracechurch Card Funding PLC, 0.903%, 02/15/17 | 1,263,298 | 0.1 | |||||||||||||||
2,200,000 | # | Penarth Master Issuer PLC, 0.773%, 03/18/14 | 2,211,117 | 0.2 | |||||||||||||||
5,987,461 | 0.5 | ||||||||||||||||||
Home Equity Asset-Backed Securities 0.4% | |||||||||||||||||||
1,049,330 | Freddie Mac Structured Pass-Through Securities, 0.454%, 05/25/31 | 1,033,509 | 0.1 | ||||||||||||||||
44,282 | Freddie Mac Structured Pass-Through Securities, 0.504%, 01/25/32 | 42,901 | 0.0 | ||||||||||||||||
4,186,095 | GSAA Trust, 0.264%, 10/25/36 | 2,219,386 | 0.2 | ||||||||||||||||
3,788,254 | GSAA Trust, 0.294%, 12/25/36 | 1,980,183 | 0.1 | ||||||||||||||||
53,461 | Residential Asset Securities Corp., 0.804%, 06/25/32 | 37,930 | 0.0 | ||||||||||||||||
5,313,909 | 0.4 | ||||||||||||||||||
Other Asset-Backed Securities 5.4% | |||||||||||||||||||
875,883 | # | Aimco CDO, 0.552%, 10/20/19 | 857,415 | 0.1 | |||||||||||||||
500,000 | # | Apidos CDO I Ltd., 1.051%, 07/27/17 | 481,903 | 0.0 | |||||||||||||||
940,000 | # | Apidos CDO II, 1.101%, 12/21/18 | 883,255 | 0.1 | |||||||||||||||
1,180,427 | # | ARES X CLO Ltd., 2.280%, 09/18/17 | 1,172,759 | 0.1 | |||||||||||||||
460,104 | # | Atrium CDO Corp., 0.617%, 10/27/16 | 457,497 | 0.0 | |||||||||||||||
725,000 | # | Atrium III, 2.287%, 10/27/16 | 709,133 | 0.1 | |||||||||||||||
1,750,000 | # | Atrium IV, 1.030%, 06/08/19 | 1,680,161 | 0.1 | |||||||||||||||
750,000 | # | Atrium IV, 2.130%, 06/08/19 | 722,395 | 0.1 | |||||||||||||||
3,416,501 | # | Black Diamond CLO Ltd., 0.550%, 06/20/17 | 3,399,323 | 0.3 | |||||||||||||||
2,076,625 | # | Castle Garden Funding, 0.547%, 10/27/20 | 2,052,817 | 0.2 | |||||||||||||||
600,000 | # | Castle Garden Funding, 5.037%, 10/27/20 | 600,798 | 0.0 | |||||||||||||||
1,000,000 | # | Castle Garden Funding, 6.560%, 10/27/20 | 1,077,279 | 0.1 | |||||||||||||||
2,950,000 | # | Centurion CDO VII Ltd, 1.702%, 01/30/16 | 2,936,548 | 0.3 | |||||||||||||||
76,239 | Chase Funding Trust Series 2003-5, 0.804%, 07/25/33 | 70,181 | 0.0 | �� | |||||||||||||||
2,225,000 | # | Clydesdale CLO 2005 Ltd, 0.755%, 12/06/17 | 2,170,608 | 0.2 | |||||||||||||||
1,250,000 | # | Clydesdale Strategic CLO Ltd., 1.289%, 01/20/17 | 1,245,226 | 0.1 | |||||||||||||||
2,080,000 | CNH Equipment Trust, 0.870%, 11/15/19 | 2,075,711 | 0.2 | ||||||||||||||||
2,859,000 | Countrywide Asset-Backed Certificates, 5.530%, 04/25/47 | 2,712,934 | 0.2 | ||||||||||||||||
700,857 | Credit-Based Asset Servicing and Securitization, LLC, 4.670%, 08/25/35 | 709,929 | 0.1 | ||||||||||||||||
927,017 | # | Credit-Based Asset Servicing and Securitization, LLC, 5.746%, 12/25/37 | 937,709 | 0.1 | |||||||||||||||
2,206,907 | # | Emporia Preferred Funding II Corp., 0.583%, 10/18/18 | 2,185,718 | 0.2 | |||||||||||||||
2,100,000 | # | Emporia Preferred Funding, 0.803%, 10/18/18 | 1,985,199 | 0.2 | |||||||||||||||
493,709 | # | First CLO Ltd., 1.281%, 12/14/16 | 492,634 | 0.0 | |||||||||||||||
625,000 | # | Galaxy CLO Ltd, 0.753%, 04/17/17 | 622,319 | 0.0 | |||||||||||||||
1,274,860 | # | Grayston CLO Ltd., 1.590%, 08/15/16 | 1,274,976 | 0.1 | |||||||||||||||
1,514,000 | # | Gulf Stream—Compass CLO 2005-I Ltd., 1.040%, 05/15/17 | 1,491,301 | 0.1 | |||||||||||||||
3,075,000 | # | Gulf Stream—Compass CLO 2005-I Ltd, 2.190%, 05/15/17 | 2,945,835 | 0.3 | |||||||||||||||
2,250,000 | # | Gulf Stream—Sextant CLO Ltd., 0.629%, 08/21/20 | 2,186,921 | 0.2 | |||||||||||||||
3,100,000 | # | Gulf Stream Compass CLO Ltd., 0.710%, 05/15/17 | 3,078,477 | 0.3 | |||||||||||||||
993,514 | # | Gulf Stream Compass CLO Ltd., 1.554%, 07/15/16 | 987,759 | 0.1 | |||||||||||||||
1,000,000 | # | Hewett’s Island CDO Ltd., 1.480%, 12/15/16 | 978,710 | 0.1 | |||||||||||||||
1,060,000 | # | Hewett’s Island CLO II Ltd., 2.680%, 12/15/16 | 1,059,936 | 0.1 | |||||||||||||||
1,125,000 | # | Integral Funding, Inc., 4.804%, 09/27/17 | 1,124,888 | 0.1 | |||||||||||||||
2,900,000 | # | Landmark IV CDO Ltd, 2.430%, 12/15/16 | 2,865,046 | 0.2 | |||||||||||||||
2,725,000 | # | Landmark VI CDO Ltd, 0.805%, 01/14/18 | 2,647,752 | 0.2 | |||||||||||||||
419,278 | Lehman XS Trust, 0.484%, 08/25/35 | 395,601 | 0.0 | ||||||||||||||||
1,865,681 | # | Lightpoint CLO Ltd., 0.540%, 09/15/17 | 1,840,715 | 0.2 | |||||||||||||||
880,000 | # | Madison Park Funding I Ltd., 2.192%, 05/10/19 | 853,245 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
680,000 | Madison Park Funding I Ltd., 5.042%, 05/10/19 | $ | 680,548 | 0.1 | |||||||||||||||
1,425,000 | # | Marathon CLO I Ltd, 2.201%, 07/26/19 | 1,419,712 | 0.1 | |||||||||||||||
1,550,000 | # | Morgan Stanley Investment Management Croton Ltd, 0.754%, 01/15/18 | 1,504,712 | 0.1 | |||||||||||||||
1,000,000 | # | Oak Hill Credit Partners IV Ltd, 1.990%, 05/17/21 | 913,766 | 0.1 | |||||||||||||||
1,075,000 | # | Whitney CLO Ltd, 2.387%, 03/01/17 | 1,065,502 | 0.1 | |||||||||||||||
285,117 | # | Wind River CLO Ltd., 0.610%, 12/19/16 | 283,043 | 0.0 | |||||||||||||||
61,837,896 | 5.4 | ||||||||||||||||||
Total Asset-Backed Securities (Cost $75,762,994) | 76,658,818 | 6.6 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS 12.8% | |||||||||||||||||||
U.S. Treasury Bonds 2.2% | |||||||||||||||||||
10,830,000 | 2.000%, due 02/15/23 | 10,977,223 | 0.9 | ||||||||||||||||
15,685,000 | 2.750%, due 11/15/42 | 14,572,353 | 1.3 | ||||||||||||||||
25,549,576 | 2.2 | ||||||||||||||||||
U.S. Treasury Notes 10.6% | |||||||||||||||||||
28,525,000 | 0.250%, due 02/28/15 | 28,531,703 | 2.5 | ||||||||||||||||
54,953,000 | 0.375%, due 03/15/16 | 55,000,260 | 4.8 | ||||||||||||||||
21,222,000 | 0.750%, due 02/28/18 | 21,230,298 | 1.8 | ||||||||||||||||
11,522,000 | 0.750%, due 03/31/18 | 11,514,799 | 1.0 | ||||||||||||||||
5,256,000 | 1.250%, due 02/29/20 | 5,269,550 | 0.5 | ||||||||||||||||
121,546,610 | 10.6 | ||||||||||||||||||
Total U.S. Treasury Obligations (Cost $146,893,322) | 147,096,186 | 12.8 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS 30.9% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation 7.1%## | |||||||||||||||||||
126,254 | 0.553%, due 02/15/32 | 126,513 | 0.0 | ||||||||||||||||
1,756,000 | W | 3.000%, due 11/15/26 | 1,840,782 | 0.2 | |||||||||||||||
3,524,856 | 3.000%, due 02/01/27 | 3,727,452 | 0.3 | ||||||||||||||||
1,842,587 | 3.000%, due 02/01/27 | 1,948,492 | 0.2 | ||||||||||||||||
673,210 | 3.303%, due 03/15/38 | 716,073 | 0.1 | ||||||||||||||||
1,459,000 | W | 3.500%, due 08/15/41 | 1,532,121 | 0.1 | |||||||||||||||
3,263,718 | ˆˆ | 4.000%, due 01/15/36 | 3,113,795 | 0.3 | |||||||||||||||
4,198,836 | 4.000%, due 10/01/41 | 4,464,369 | 0.4 | ||||||||||||||||
1,784,520 | 4.000%, due 10/01/41 | 1,897,372 | 0.2 | ||||||||||||||||
5,826,537 | 4.000%, due 12/01/41 | 6,195,004 | 0.5 | ||||||||||||||||
8,293,357 | ˆ | 4.500%, due 12/15/40 | 1,566,652 | 0.1 | |||||||||||||||
2,825,302 | 4.500%, due 08/01/41 | 3,029,135 | 0.3 | ||||||||||||||||
938,218 | 4.500%, due 08/01/41 | 1,005,907 | 0.1 | ||||||||||||||||
3,233,814 | 4.500%, due 09/01/41 | 3,462,573 | 0.3 | ||||||||||||||||
4,103,520 | 4.500%, due 10/01/41 | 4,399,572 | 0.4 | ||||||||||||||||
1,903,041 | 4.500%, due 01/15/42 | 2,010,180 | 0.2 | ||||||||||||||||
1,697,321 | ˆ | 4.788%, due 03/15/33 | 1,831,058 | 0.2 | |||||||||||||||
248,468 | 4.841%, due 04/01/35 | 267,309 | 0.0 | ||||||||||||||||
104,104 | ˆ | 5.000%, due 05/15/17 | 649 | 0.0 | |||||||||||||||
858,008 | 5.000%, due 12/15/17 | 918,109 | 0.1 | ||||||||||||||||
62,170 | 5.000%, due 02/15/32 | 62,590 | 0.0 | ||||||||||||||||
1,496,796 | 5.000%, due 02/15/35 | 1,673,291 | 0.1 | ||||||||||||||||
592,611 | 5.000%, due 02/15/35 | 619,120 | 0.0 | ||||||||||||||||
599,033 | 5.000%, due 01/01/41 | 650,019 | 0.0 | ||||||||||||||||
1,501,328 | 5.500%, due 11/15/22 | 1,637,101 | 0.1 | ||||||||||||||||
136,029 | 5.500%, due 07/15/32 | 136,537 | 0.0 | ||||||||||||||||
1,990,515 | 5.500%, due 12/15/32 | 2,245,501 | 0.2 | ||||||||||||||||
832,027 | 5.500%, due 09/15/34 | 926,231 | 0.1 | ||||||||||||||||
7,992,682 | 5.500%, due 02/15/36 | 8,942,164 | 0.8 | ||||||||||||||||
1,485,739 | 5.500%, due 08/15/36 | 1,741,249 | 0.1 | ||||||||||||||||
964,184 | 5.500%, due 05/15/37 | 1,069,760 | 0.1 | ||||||||||||||||
2,691,391 | 5.500%, due 06/15/37 | 2,995,630 | 0.3 | ||||||||||||||||
24,737 | 5.608%, due 05/01/37 | 26,693 | 0.0 | ||||||||||||||||
14,649,836 | ˆ | 5.797%, due 05/15/36 | 2,146,958 | 0.2 | |||||||||||||||
5,400,608 | ˆ | 5.847%, due 07/15/40 | 967,013 | 0.1 | |||||||||||||||
2,200 | 6.000%, due 04/01/14 | 2,247 | 0.0 | ||||||||||||||||
9,253 | 6.000%, due 12/01/28 | 10,336 | 0.0 | ||||||||||||||||
22,860 | 6.000%, due 01/01/29 | �� | 25,534 | 0.0 | |||||||||||||||
600,578 | 6.000%, due 01/15/29 | 672,215 | 0.1 | ||||||||||||||||
586,182 | 6.000%, due 01/15/29 | 665,976 | 0.0 | ||||||||||||||||
707,394 | 6.000%, due 07/15/32 | 806,385 | 0.1 | ||||||||||||||||
551,424 | ˆ | 6.000%, due 04/15/33 | 97,859 | 0.0 | |||||||||||||||
3,907,190 | 6.000%, due 10/15/37 | 4,424,213 | 0.4 | ||||||||||||||||
8,573,819 | ˆ | 6.282%, due 06/15/36 | 1,502,125 | 0.1 | |||||||||||||||
4,858,042 | ˆ | 6.347%, due 05/15/41 | 1,100,033 | 0.1 | |||||||||||||||
15,740,602 | ˆ | 6.397%, due 09/15/34 | 2,087,407 | 0.2 | |||||||||||||||
21,847 | 6.500%, due 01/01/24 | 24,468 | 0.0 | ||||||||||||||||
24,553 | 6.500%, due 12/01/31 | 28,450 | 0.0 | ||||||||||||||||
19,843 | 7.000%, due 11/01/31 | 23,364 | 0.0 | ||||||||||||||||
9,527 | 7.000%, due 03/01/32 | 11,157 | 0.0 | ||||||||||||||||
81,374,743 | 7.1 | ||||||||||||||||||
Federal National Mortgage Association 17.7%## | |||||||||||||||||||
214,465 | 0.603%, due 04/18/28 | 215,307 | 0.0 | ||||||||||||||||
108,396 | 0.700%, due 10/25/33 | 109,171 | 0.0 | ||||||||||||||||
130,186 | 0.754%, due 01/25/32 | 131,387 | 0.0 | ||||||||||||||||
25,000,000 | W | 2.500%, due 11/25/26 | 25,886,720 | 2.2 | |||||||||||||||
19,461,000 | W | 3.000%, due 12/25/26 | 20,466,739 | 1.8 | |||||||||||||||
2,586,516 | 3.000%, due 10/01/27 | 2,722,146 | 0.2 | ||||||||||||||||
22,990,000 | W | 3.000%, due 05/01/43 | 23,654,554 | 2.1 | |||||||||||||||
31,385,000 | W | 3.500%, due 09/25/41 | 33,150,406 | 2.9 | |||||||||||||||
13,727,031 | ˆ | 3.500%, due 06/25/42 | 2,224,979 | 0.2 | |||||||||||||||
893,479 | ˆ | 4.000%, due 11/01/18 | 60,109 | 0.0 | |||||||||||||||
8,466,000 | W | 4.000%, due 04/25/39 | 9,028,196 | 0.8 | |||||||||||||||
18,706,000 | W | 4.000%, due 12/15/39 | 20,352,274 | 1.8 | |||||||||||||||
8,507,493 | ˆ | 4.000%, due 04/25/41 | 1,550,717 | 0.1 | |||||||||||||||
2,154,928 | 4.000%, due 02/01/42 | 2,299,779 | 0.2 | ||||||||||||||||
1,992,462 | 4.000%, due 03/01/42 | 2,134,176 | 0.2 | ||||||||||||||||
886,355 | 4.000%, due 03/01/42 | 949,397 | 0.1 | ||||||||||||||||
744,689 | 4.000%, due 06/01/42 | 797,655 | 0.1 | ||||||||||||||||
1,755,059 | 4.000%, due 07/01/42 | 1,879,887 | 0.2 | ||||||||||||||||
1,063,335 | 4.000%, due 07/01/42 | 1,138,965 | 0.1 | ||||||||||||||||
5,611,777 | 4.000%, due 07/01/42 | 6,010,915 | 0.5 | ||||||||||||||||
906,558 | 4.000%, due 07/01/42 | 971,037 | 0.1 | ||||||||||||||||
5,610,984 | 4.000%, due 07/01/42 | 6,010,065 | 0.5 | ||||||||||||||||
1,032,979 | 4.500%, due 11/01/40 | 1,114,724 | 0.1 | ||||||||||||||||
1,559,200 | 4.500%, due 11/01/40 | 1,682,588 | 0.1 | ||||||||||||||||
15,090 | 4.500%, due 12/01/40 | 16,284 | 0.0 | ||||||||||||||||
24,038 | 4.500%, due 12/01/40 | 25,940 | 0.0 | ||||||||||||||||
24,466 | 4.500%, due 01/01/41 | 26,402 | 0.0 | ||||||||||||||||
30,559 | 4.500%, due 01/01/41 | 32,978 | 0.0 | ||||||||||||||||
5,497,394 | 4.500%, due 09/01/41 | 5,935,869 | 0.5 | ||||||||||||||||
2,217,354 | 4.500%, due 10/01/41 | 2,394,212 | 0.2 | ||||||||||||||||
736,126 | 4.500%, due 11/01/41 | 794,840 | 0.1 | ||||||||||||||||
198,569 | 5.000%, due 05/25/32 | 200,460 | 0.0 | ||||||||||||||||
613,817 | 5.000%, due 06/01/33 | 668,939 | 0.1 | ||||||||||||||||
877,480 | 5.000%, due 07/25/34 | 903,362 | 0.1 | ||||||||||||||||
540,931 | 5.000%, due 07/01/35 | 582,710 | 0.1 | ||||||||||||||||
1,466,093 | 5.000%, due 07/01/35 | 1,594,879 | 0.1 | ||||||||||||||||
1,666,620 | 5.000%, due 08/01/35 | 1,810,036 | 0.2 | ||||||||||||||||
197,638 | 5.000%, due 10/01/35 | 214,645 | 0.0 | ||||||||||||||||
809,443 | 5.000%, due 01/01/36 | 879,051 | 0.1 | ||||||||||||||||
531,585 | 5.000%, due 02/01/36 | 577,300 | 0.1 | ||||||||||||||||
1,162,689 | 5.000%, due 07/01/36 | 1,267,101 | 0.1 | ||||||||||||||||
1,494,996 | 5.000%, due 07/01/37 | 1,629,250 | 0.1 | ||||||||||||||||
655,413 | 5.000%, due 11/01/40 | 736,391 | 0.1 | ||||||||||||||||
496,914 | 5.000%, due 02/01/41 | 539,674 | 0.0 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
307,857 | 5.000%, due 05/01/41 | $ | 338,967 | 0.0 | |||||||||||||||
1,226,067 | 5.000%, due 06/01/41 | 1,349,964 | 0.1 | ||||||||||||||||
816,589 | 5.000%, due 06/01/41 | 899,107 | 0.1 | ||||||||||||||||
41,300 | 5.500%, due 02/01/18 | 45,229 | 0.0 | ||||||||||||||||
574,000 | 5.500%, due 08/25/34 | 631,144 | 0.1 | ||||||||||||||||
1,054,485 | 5.500%, due 03/01/37 | 1,156,924 | 0.1 | ||||||||||||||||
17,425,194 | ˆ | 5.946%, due 11/25/39 | 2,194,412 | 0.2 | |||||||||||||||
57,688 | 6.000%, due 08/01/16 | 61,140 | 0.0 | ||||||||||||||||
561 | 6.000%, due 12/01/16 | 594 | 0.0 | ||||||||||||||||
27,129 | 6.000%, due 03/01/17 | 28,753 | 0.0 | ||||||||||||||||
3,169 | 6.000%, due 07/01/17 | 3,401 | 0.0 | ||||||||||||||||
239,261 | 6.000%, due 09/01/17 | 256,750 | 0.0 | ||||||||||||||||
15,070 | 6.000%, due 11/01/17 | 15,972 | 0.0 | ||||||||||||||||
16,906 | 6.000%, due 10/01/18 | 18,225 | 0.0 | ||||||||||||||||
321,807 | 6.000%, due 07/25/29 | 362,436 | 0.0 | ||||||||||||||||
757,646 | 6.000%, due 07/25/29 | 853,302 | 0.1 | ||||||||||||||||
599,184 | 6.000%, due 04/25/31 | 680,441 | 0.1 | ||||||||||||||||
884,234 | ˆ | 6.000%, due 08/25/33 | 147,738 | 0.0 | |||||||||||||||
398,533 | 6.000%, due 09/01/36 | 437,622 | 0.0 | ||||||||||||||||
382,002 | 6.000%, due 12/01/37 | 423,070 | 0.0 | ||||||||||||||||
756,662 | 6.000%, due 02/01/38 | 845,586 | 0.1 | ||||||||||||||||
1,385,558 | ˆ | 6.496%, due 08/25/26 | 181,865 | 0.0 | |||||||||||||||
6,692 | 6.500%, due 02/01/28 | 7,478 | 0.0 | ||||||||||||||||
6,500 | 6.500%, due 07/01/29 | 7,636 | 0.0 | ||||||||||||||||
352 | 6.500%, due 06/01/31 | 415 | 0.0 | ||||||||||||||||
154,277 | 6.500%, due 07/01/31 | 180,198 | 0.0 | ||||||||||||||||
493 | 6.500%, due 09/01/31 | 561 | 0.0 | ||||||||||||||||
1,377 | 6.500%, due 09/01/31 | 1,623 | 0.0 | ||||||||||||||||
47,960 | 6.500%, due 11/01/31 | 56,537 | 0.0 | ||||||||||||||||
22,979 | 6.500%, due 04/01/32 | 27,124 | 0.0 | ||||||||||||||||
5,644 | 6.500%, due 08/01/32 | 6,662 | 0.0 | ||||||||||||||||
2,477 | 6.500%, due 08/01/32 | 2,924 | 0.0 | ||||||||||||||||
28,710 | 6.500%, due 01/01/33 | 33,888 | 0.0 | ||||||||||||||||
59,314 | 6.500%, due 02/01/33 | 70,086 | 0.0 | ||||||||||||||||
168,042 | 6.500%, due 12/01/33 | 198,560 | 0.0 | ||||||||||||||||
4,187,980 | ˆ | 6.536%, due 01/25/37 | 731,701 | 0.1 | |||||||||||||||
14,275,255 | ˆ | 6.546%, due 10/25/35 | 2,509,273 | 0.2 | |||||||||||||||
25,789 | 7.000%, due 12/01/27 | 30,645 | 0.0 | ||||||||||||||||
19,573 | 7.000%, due 01/01/30 | 23,359 | 0.0 | ||||||||||||||||
12,405 | 7.000%, due 10/01/31 | 14,794 | 0.0 | ||||||||||||||||
6,460 | 7.000%, due 03/01/32 | 7,704 | 0.0 | ||||||||||||||||
1,010,705 | ˆ | 7.482%, due 02/17/29 | 195,054 | 0.0 | |||||||||||||||
4,538 | 7.500%, due 09/01/30 | 5,537 | 0.0 | ||||||||||||||||
4,049 | 7.500%, due 10/01/30 | 4,669 | 0.0 | ||||||||||||||||
15,707 | 7.500%, due 10/01/30 | 17,352 | 0.0 | ||||||||||||||||
9,697 | 7.500%, due 09/01/31 | 11,879 | 0.0 | ||||||||||||||||
36,297 | 7.500%, due 02/01/32 | 42,723 | 0.0 | ||||||||||||||||
1,254,093 | 22.219%, due 01/25/35 | 1,705,851 | 0.2 | ||||||||||||||||
89,546 | 27.783%, due 02/25/34 | 127,836 | 0.0 | ||||||||||||||||
1,034,969 | 32.429%, due 11/25/36 | 1,686,793 | 0.1 | ||||||||||||||||
204,013,720 | 17.7 | ||||||||||||||||||
Government National Mortgage Association 6.1% | |||||||||||||||||||
5,440 | 1.750%, due 04/20/28 | 5,723 | 0.0 | ||||||||||||||||
15,493,000 | W | 3.000%, due 05/01/43 | 16,156,294 | 1.4 | |||||||||||||||
34,409,000 | W | 3.500%, due 05/15/43 | 36,909,029 | 3.2 | |||||||||||||||
1,287,405 | 4.000%, due 11/20/40 | 1,403,442 | 0.1 | ||||||||||||||||
2,680,559 | 4.000%, due 10/20/41 | 2,800,632 | 0.2 | ||||||||||||||||
1,427,303 | 4.500%, due 10/15/39 | 1,584,796 | 0.1 | ||||||||||||||||
1,333,928 | 4.500%, due 11/15/39 | 1,481,119 | 0.1 | ||||||||||||||||
1,214,409 | 4.500%, due 11/15/39 | 1,348,411 | 0.1 | ||||||||||||||||
320,379 | 4.500%, due 12/15/39 | 355,731 | 0.0 | ||||||||||||||||
394,386 | 4.500%, due 08/20/41 | 434,652 | 0.0 | ||||||||||||||||
8,780,071 | ˆ | 5.000%, due 06/16/39 | 300,670 | 0.0 | |||||||||||||||
1,230,291 | 5.140%, due 10/20/60 | 1,407,959 | 0.1 | ||||||||||||||||
779,644 | 5.288%, due 10/20/60 | 896,721 | 0.1 | ||||||||||||||||
9,269,416 | ˆ | 5.647%, due 06/20/40 | 1,436,087 | 0.1 | |||||||||||||||
4,465,619 | ˆ | 5.997%, due 06/20/38 | 536,671 | 0.1 | |||||||||||||||
6,332,033 | ˆ | 5.997%, due 04/20/39 | 929,805 | 0.1 | |||||||||||||||
4,882,061 | ˆ | 6.097%, due 05/20/39 | 537,027 | 0.1 | |||||||||||||||
4,843,319 | ˆ | 6.197%, due 04/20/38 | 706,803 | 0.1 | |||||||||||||||
1,862,161 | ˆ | 6.297%, due 05/16/38 | 300,001 | 0.0 | |||||||||||||||
5,376,477 | ˆ | 6.347%, due 01/20/38 | 580,167 | 0.1 | |||||||||||||||
131,646 | 6.500%, due 09/16/38 | 154,164 | 0.0 | ||||||||||||||||
3,250,882 | ˆ | 6.567%, due 02/16/35 | 664,525 | 0.1 | |||||||||||||||
209,358 | ˆ | 8.047%, due 06/16/31 | 25,822 | 0.0 | |||||||||||||||
70,956,251 | 6.1 | ||||||||||||||||||
Total U.S. Government Agency Obligations (Cost $345,515,754) | 356,344,714 | 30.9 | |||||||||||||||||
FOREIGN GOVERNMENT BONDS 11.0% | |||||||||||||||||||
RUB��135,600,000 | # | AHML Finance, 7.750%, 02/13/18 | 4,390,685 | 0.4 | |||||||||||||||
939,784 | Argentina Government International Bond, 2.500%, 12/31/38 | 298,381 | 0.0 | ||||||||||||||||
943,642 | Argentina Government International Bond, 8.280%, 12/31/33 | 514,285 | 0.0 | ||||||||||||||||
600,000 | City of Buenos Aires, 9.950%, 03/01/17 | 513,000 | 0.0 | ||||||||||||||||
1,200,000 | # | Aruba Government Bond, 4.625%, 09/14/23 | 1,248,000 | 0.1 | |||||||||||||||
400,000 | # | Banco de Reservas de LA Republica Dominicana, 7.000%, 02/01/23 | 402,000 | 0.0 | |||||||||||||||
332,600 | #,± | Belize Government International Bond, 5.000%, 02/20/38 | 231,988 | 0.0 | |||||||||||||||
BRL 5,850,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/21 | 2,968,489 | 0.3 | ||||||||||||||||
BRL 44,908,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/23 | 22,667,219 | 2.0 | ||||||||||||||||
2,768,000 | L | Brazilian Government International Bond, 2.625%, 01/05/23 | 2,664,200 | 0.2 | |||||||||||||||
500,000 | # | Caixa Economica Federal, 3.500%, 11/07/22 | 480,000 | 0.0 | |||||||||||||||
1,200,000 | L | Colombia Government International Bond, 2.625%, 03/15/23 | 1,155,000 | 0.1 | |||||||||||||||
500,000 | Colombia Government International Bond, 7.375%, 03/18/19 | 646,250 | 0.1 | ||||||||||||||||
760,000 | Colombia Government International Bond, 8.125%, 05/21/24 | 1,097,820 | 0.1 | ||||||||||||||||
410,000 | # | Comision Federal de Electricidad, 5.750%, 02/14/42 | 451,000 | 0.0 | |||||||||||||||
400,000 | # | Corp Nacional del Cobre de Chile, 4.250%, 07/17/42 | 369,983 | 0.0 | |||||||||||||||
350,000 | # | Costa Rica Government International Bond, 4.250%, 01/26/23 | 351,225 | 0.0 | |||||||||||||||
400,000 | Costa Rica Government International Bond, 9.995%, 08/01/20 | 546,000 | 0.1 | ||||||||||||||||
272,000 | Croatia Government International Bond, 6.375%, 03/24/21 | 293,896 | 0.0 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
232,000 | # | El Salvador Government International Bond, 5.875%, 01/30/25 | $ | 244,412 | 0.0 | |||||||||||||
600,000 | Empresa Nacional del Petroleo, 5.250%, 08/10/20 | 638,573 | 0.1 | |||||||||||||||
400,000 | Financing of Infrastrucural Projects State Enterprise, 9.000%, 12/07/17 | 416,000 | 0.0 | |||||||||||||||
691,000 | Gabonese Republic, 8.200%, 12/12/17 | 843,020 | 0.1 | |||||||||||||||
300,000 | # | Guatemala Government Bond, 4.875%, 02/13/28 | 294,750 | 0.0 | ||||||||||||||
1,000,000 | # | Hrvatska Elektroprivreda, 6.000%, 11/09/17 | 1,037,500 | 0.1 | ||||||||||||||
156,000 | Hungary Government International Bond, 5.375%, 02/21/23 | 147,615 | 0.0 | |||||||||||||||
HUF 666,600,000 | Hungary Government International Bond, 6.000%, 11/24/23 | 2,748,519 | 0.2 | |||||||||||||||
644,000 | Hungary Government International Bond, 6.375%, 03/29/21 | 666,540 | 0.1 | |||||||||||||||
HUF 610,370,000 | Hungary Government International Bond, 7.000%, 06/24/22 | 2,701,691 | 0.2 | |||||||||||||||
260,000 | Hungary Government International Bond, 7.625%, 03/29/41 | 266,500 | 0.0 | |||||||||||||||
1,759,000 | Indonesia Government International Bond, 3.750%, 04/25/22 | 1,789,783 | 0.2 | |||||||||||||||
1,320,000 | # | Indonesia Government International Bond, 3.750%, 04/25/22 | 1,343,100 | 0.1 | ||||||||||||||
1,246,000 | ± | Ivory Coast Government International Bond, 5.750%, 12/31/32 | 1,161,895 | 0.1 | ||||||||||||||
600,000 | # | Kazakhstan Temir Zholy Finance BV, 6.950%, 07/10/42 | 703,500 | 0.1 | ||||||||||||||
1,079,000 | Lebanon Government International Bond, 6.100%, 10/04/22 | 1,092,488 | 0.1 | |||||||||||||||
228,000 | Lebanon Government International Bond, 8.250%, 04/12/21 | 262,200 | 0.0 | |||||||||||||||
1,100,000 | Lithuania Government International Bond, 6.625%, 02/01/22 | 1,351,625 | 0.1 | |||||||||||||||
264,000 | # | Lithuania Government International Bond, 6.625%, 02/01/22 | 324,390 | 0.0 | ||||||||||||||
900,000 | #,L | Mongolia Government International Bond, 5.125%, 12/05/22 | 843,750 | 0.1 | ||||||||||||||
500,000 | Morocco Government International Bond, 4.250%, 12/11/22 | 512,750 | 0.0 | |||||||||||||||
600,000 | # | Morocco Government International Bond, 4.250%, 12/11/22 | 615,300 | 0.1 | ||||||||||||||
850,000 | Namibia International Bonds, 5.500%, 11/03/21 | 943,500 | 0.1 | |||||||||||||||
350,000 | Nigeria Government International Bond, 6.750%, 01/28/21 | 406,000 | 0.0 | |||||||||||||||
144,000 | Panama Government International Bond, 5.200%, 01/30/20 | 168,624 | 0.0 | |||||||||||||||
693,000 | Panama Government International Bond, 6.700%, 01/26/36 | 926,887 | 0.1 | |||||||||||||||
818,000 | Peruvian Government International Bond, 5.625%, 11/18/50 | 982,418 | 0.1 | |||||||||||||||
229,400 | Petroleos de Venezuela SA, 4.900%, 10/28/14 | 221,371 | 0.0 | |||||||||||||||
456,000 | Petroleos de Venezuela SA, 8.500%, 11/02/17 | 444,600 | 0.0 | |||||||||||||||
2,701,900 | L | Petroleos de Venezuela SA, 9.000%, 11/17/21 | 2,573,560 | 0.2 | ||||||||||||||
323,000 | # | Petroleos Mexicanos, 3.500%, 01/30/23 | 323,000 | 0.0 | ||||||||||||||
1,073,000 | Petroleos Mexicanos, 5.500%, 01/21/21 | 1,236,633 | 0.1 | |||||||||||||||
310,000 | Petroleos Mexicanos, 5.500%, 06/27/44 | 320,540 | 0.0 | |||||||||||||||
350,000 | Petroleos Mexicanos, 8.000%, 05/03/19 | 449,750 | 0.0 | |||||||||||||||
530,417 | Petroleum Co. of Trinidad & Tobago Ltd., 6.000%, 05/08/22 | 583,458 | 0.1 | |||||||||||||||
2,798,000 | Philippine Government International Bond, 4.000%, 01/15/21 | 3,098,785 | 0.3 | |||||||||||||||
706,000 | Poland Government International Bond, 3.000%, 03/17/23 | 685,526 | 0.1 | |||||||||||||||
418,000 | Poland Government International Bond, 5.000%, 03/23/22 | 478,581 | 0.0 | |||||||||||||||
1,400,000 | Republic of Angola Via Northern Lights III BV, 7.000%, 08/16/19 | 1,552,250 | 0.1 | |||||||||||||||
1,689,000 | Republic of Belarus, 8.750%, 08/03/15 | 1,765,005 | 0.2 | |||||||||||||||
332,000 | Republic of Ghana, 8.500%, 10/04/17 | 380,970 | 0.0 | |||||||||||||||
600,000 | Republic of Iraq, 5.800%, 01/15/28 | 553,500 | 0.1 | |||||||||||||||
1,000,000 | # | Republic of Latvia, 2.750%, 01/12/20 | 966,500 | 0.1 | ||||||||||||||
600,000 | # | Republic of Paraguay, 4.625%, 01/25/23 | 605,400 | 0.1 | ||||||||||||||
136,000 | # | Romanian Government International Bond, 4.375%, 08/22/23 | 133,848 | 0.0 | ||||||||||||||
524,000 | Romanian Government International Bond, 6.750%, 02/07/22 | 611,770 | 0.1 | |||||||||||||||
2,800,000 | Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.298%, 12/27/17 | 2,974,720 | 0.3 | |||||||||||||||
600,000 | # | Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.298%, 12/27/17 | 637,440 | 0.1 | ||||||||||||||
RUB 186,938,000 | Russian Federal Bond—OFZ, 8.150%, 02/03/27 | 6,500,806 | 0.6 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
658,750 | Russian Foreign Bond—Eurobond, 7.500%, 03/31/30 | $ | 817,344 | 0.1 | ||||||||||||||
RUB 318,372,000 | Russian Federal Bond—OFZ, 7.050%, 01/19/28 | 10,088,686 | 0.9 | |||||||||||||||
800,000 | Russian Railways via RZD Capital PLC, 5.700%, 04/05/22 | 884,000 | 0.1 | |||||||||||||||
630,000 | # | Republic of Serbia, 5.250%, 11/21/17 | 652,050 | 0.1 | ||||||||||||||
350,000 | Republic of Serbia, 7.250%, 09/28/21 | 388,938 | 0.0 | |||||||||||||||
ZAR 65,068,047 | South Africa Government Bond, 6.250%, 03/31/36 | 5,681,476 | 0.5 | |||||||||||||||
ZAR 12,820,700 | South Africa Government Bond, 6.500%, 02/28/41 | 1,133,295 | 0.1 | |||||||||||||||
ZAR 37,180,150 | South Africa Government Bond, 8.750%, 02/28/48 | 4,250,072 | 0.4 | |||||||||||||||
500,000 | Sri Lanka Government International Bond, 5.875%, 07/25/22 | 521,250 | 0.0 | |||||||||||||||
700,000 | State Oil Co. of the Azerbaijan Republic, 5.450%, 02/09/17 | 749,000 | 0.1 | |||||||||||||||
1,600,000 | # | Transnet SOC Ltd., 4.000%, 07/26/22 | 1,540,000 | 0.1 | ||||||||||||||
678,000 | Turkey Government International Bond, 5.125%, 03/25/22 | 747,495 | 0.1 | |||||||||||||||
200,000 | Turkey Government International Bond, 6.250%, 09/26/22 | 237,500 | 0.0 | |||||||||||||||
2,363,000 | Turkey Government International Bond, 7.375%, 02/05/25 | 3,024,640 | 0.3 | |||||||||||||||
2,237,000 | Ukraine Government International Bond, 9.250%, 07/24/17 | 2,432,961 | 0.2 | |||||||||||||||
253,970 | Uruguay Government International Bond, 7.625%, 03/21/36 | 368,130 | 0.0 | |||||||||||||||
189,180 | &,L | Uruguay Government International Bond, 7.875%, 01/15/33 | 275,635 | 0.0 | ||||||||||||||
800,000 | Vietnam Government International Bond, 6.750%, 01/29/20 | 936,000 | 0.1 | |||||||||||||||
300,000 | # | Zambia Government International Bond, 5.375%, 09/20/22 | 298,875 | 0 .0 | ||||||||||||||
Total Foreign Government Bonds (Cost $128,527,225) | 126,848,111 | 11 .0 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PREFERRED STOCK 0.8% | |||||||||||||||||||
Financials 0.8% | |||||||||||||||||||
56,000 | P | The Bank of New York Mellon Corp. | 1,416,240 | 0.1 | |||||||||||||||
23,000 | P | Citigroup Capital XIII | 657,570 | 0.1 | |||||||||||||||
92,000 | P | Discover Financial Services | 2,377,280 | 0.2 | |||||||||||||||
64,000 | P | PNC Financial Services Group, Inc. | 1,770,880 | 0.2 | |||||||||||||||
45,155 | P | US Bancorp | 1,257,115 | 0.1 | |||||||||||||||
49,000 | P | US Bancorp | 1,463,140 | 0.1 | |||||||||||||||
Total Preferred Stock (Cost $8,293,125) | 8,942,225 | 0.8 | |||||||||||||||||
Total Long-Term Investments (Cost $1,196,600,146) | 1,228,033,258 | 106.6 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS 11.1% | |||||||||||||||||||
Securities Lending Collateralcc(1) 0.8% | |||||||||||||||||||
465,998 | BNP Paribas Bank, Repurchase Agreement dated 03/28/13, 0.16%, due 04/01/13 (Repurchase Amount $466,006, collateralized by various U.S. Government Securities, 2.250%, Market Value plus accrued interest $475,318, due 05/31/14) | 465,998 | 0.0 | ||||||||||||||||
2,213,693 | Citigroup, Inc., Repurchase Agreement dated 03/28/13, 0.20%, due 04/01/13 (Repurchase Amount $2,213,742, collateralized by various U.S. Government and U.S. Government Agency Obligation, 0.000%–6.000%, Market Value plus accrued interest $2,257,968, due 03/31/13–03/15/53) | 2,213,693 | 0.2 | ||||||||||||||||
2,213,693 | Goldman Sachs & Co., Repurchase Agreement dated 03/28/13, 0.20%, due 04/01/13 (Repurchase Amount $2,213,742, collateralized by various U.S. Government Agency Obligations, 2.500%–7.000%, Market Value plus accrued interest $2,257,967, due 09/01/22–04/01/43) | 2,213,693 | 0.2 | ||||||||||||||||
2,213,693 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 03/28/13, 0.20%, due 04/01/13 (Repurchase Amount $2,213,742, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $2,257,968, due 04/25/13–01/01/47) | 2,213,693 | 0.2 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2,213,693 | Royal Bank of Canada, Repurchase Agreement dated 03/28/13, 0.22%, due 04/01/13 (Repurchase Amount $2,213,746, collateralized by various U.S. Government Agency Obligations, 2.500%–4.000%, Market Value plus accrued interest $2,257,967, due 07/01/27–04/01/43) | $ | 2,213,693 | 0.2 | |||||||||||||||
9,320,770 | 0.8 | ||||||||||||||||||
Foreign Government Bonds 0.5% | |||||||||||||||||||
MXN 60,000,000 | Z | Mexico Cetes, 4.110%, 09/19/13 (Cost $4,766,815) | 4,764,170 | 0.5 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds 9.8% | ||||||||||||||||||
113,473,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $113,473,000) | 113,473,000 | 9 .8 | |||||||||||||||
Total Short-Term Investments (Cost $127,560,585) | 127,557,940 | 11.1 | ||||||||||||||||
Total Investments in Securities (Cost $1,324,160,731) | $ | 1,355,591,198 | 117.7 | |||||||||||||||
Liabilities in Excess of Other Assets | (203,394,838 | ) | (17 .7 | ) | ||||||||||||||
Net Assets | $ | 1,152,196,360 | 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. |
& | Payment-in-kind |
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 March 31, 2013. |
± | Defaulted security |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. |
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. |
BRL | Brazilian Real |
DKK | Danish Krone |
HUF | Hungarian Forint |
MXN | Mexican Peso |
RUB | Russian Ruble |
ZAR | South African Rand |
Cost for federal income tax purposes is $1,324,534,441. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 40,244,962 | ||||
Gross Unrealized Depreciation | (9,188,205 | ) | ||||
Net Unrealized Appreciation | $ | 31,056,757 |
AS OF MARCH 31, 2013 (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 March 31, 2013 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Preferred Stock | $ | 8,942,225 | $ | — | $ | — | $ | 8,942,225 | ||||||||||
Corporate Bonds/Notes | — | 315,166,748 | — | 315,166,748 | ||||||||||||||
Collateralized Mortgage Obligations | — | 196,976,456 | — | 196,976,456 | ||||||||||||||
Short-Term Investments | 113,473,000 | 14,084,940 | — | 127,557,940 | ||||||||||||||
U.S. Treasury Obligations | — | 147,096,186 | — | 147,096,186 | ||||||||||||||
Foreign Government Bonds | — | 126,848,111 | — | 126,848,111 | ||||||||||||||
Asset-Backed Securities | — | 76,658,818 | — | 76,658,818 | ||||||||||||||
U.S. Government Agency Obligations | — | 356,344,714 | — | 356,344,714 | ||||||||||||||
Total Investments, at fair value | $ | 122,415,225 | $ | 1,233,175,973 | $ | — | $ | 1,355,591,198 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Swaps | — | 52,828 | — | 52,828 | ||||||||||||||
Futures | 18,233 | — | — | 18,233 | ||||||||||||||
Forward Foreign Currency Contracts | — | 2,836,073 | — | 2,836,073 | ||||||||||||||
Total Assets | $ | 122,433,458 | $ | 1,236,064,874 | $ | — | $ | 1,358,498,332 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Swaps | $ | — | $ | (2,673,708 | ) | $ | — | $ | (2,673,708 | ) | ||||||||
Futures | (603,559 | ) | — | — | (603,559 | ) | ||||||||||||
Forward Foreign Currency Contracts | — | (2,786,944 | ) | — | (2,786,944 | ) | ||||||||||||
Total Liabilities | $ | (603,559 | ) | $ | (5,460,652 | ) | $ | — | $ | (6,064,211 | ) |
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 | Hungarian Forint | 754,948,350 | Buy | 04/19/13 | $ | 3,309,000 | $ | 3,172,900 | $ | (136,100 | ) | |||||||||||||||||||
Barclays Bank PLC | Hungarian Forint | 250,708,930 | Buy | 04/19/13 | 1,101,000 | 1,053,681 | (47,319 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Brazilian Real | 3,197,629 | Buy | 04/05/13 | 1,593,000 | 1,581,863 | (11,137 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Singapore Dollar | 1,645 | Buy | 06/14/13 | 1,325 | 1,326 | 1 | |||||||||||||||||||||||
Barclays Bank PLC | South Korean Won | 5,001,704,400 | Buy | 06/14/13 | 4,477,000 | 4,477,601 | 601 | |||||||||||||||||||||||
Barclays Bank PLC | Polish Zloty | 4,546,014 | Buy | 06/14/13 | 1,415,000 | 1,387,754 | (27,246 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Czech Koruna | 168,740,865 | Buy | 06/14/13 | 8,562,375 | 8,396,098 | (166,277 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Peruvian Nuevo Sol | 59,566 | Buy | 06/14/13 | 22,937 | 22,953 | 16 | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 13,015,950 | Buy | 06/14/13 | 1,425,000 | 1,401,414 | (23,586 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Russian Ruble | 92,278,395 | Buy | 04/19/13 | 3,047,000 | 2,958,435 | (88,565 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 2,817,132 | Buy | 04/05/13 | 1,416,000 | 1,393,631 | (22,369 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 2,817,132 | Buy | 04/05/13 | 1,416,000 | 1,393,631 | (22,369 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 2,799,861 | Buy | 04/05/13 | 1,415,000 | 1,385,087 | (29,913 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 476,208 | Buy | 04/05/13 | 239,000 | 235,579 | (3,421 | ) | ||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 1,136,607 | Buy | 04/19/13 | 1,491,380 | 1,457,122 | (34,258 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 5,678,600 | Buy | 04/05/13 | 2,842,000 | 2,809,196 | (32,804 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South Korean Won | 93,729,740 | Buy | 06/14/13 | 83,823 | 83,909 | 86 | |||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 356,101 | Buy | 06/14/13 | 108,656 | 108,707 | 51 | |||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,535,438 | Buy | 06/14/13 | 1,416,000 | 1,384,525 | (31,475 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,124,588 | Buy | 06/14/13 | 1,416,000 | 1,413,111 | (2,889 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,522,435 | Buy | 06/14/13 | 1,409,000 | 1,380,556 | (28,444 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 911,836,380 | Buy | 04/19/13 | 4,051,135 | 3,832,269 | (218,866 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Indian Rupee | 154,880,650 | Buy | 06/14/13 | 2,763,752 | 2,806,389 | 42,637 | |||||||||||||||||||||||
Citigroup, Inc. | Malaysian Ringgit | 4,495,692 | Buy | 06/14/13 | 1,437,241 | 1,444,519 | 7,278 | |||||||||||||||||||||||
Citigroup, Inc. | Romanian New Leu | 9,397,482 | Buy | 06/14/13 | 2,765,999 | 2,701,985 | (64,014 | ) |
AS OF MARCH 31, 2013 (CONTINUED)
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup, Inc. | Mexican Peso | 16,988,806 | Buy | 06/14/13 | $ | 1,311,000 | $ | 1,365,870 | $ | 54,870 | ||||||||||||||||||||
Citigroup, Inc. | South African Rand | 7,337,892 | Buy | 06/14/13 | 797,000 | 790,063 | (6,937 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,746,767 | Buy | 06/14/13 | 1,482,000 | 1,449,037 | (32,963 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Indian Rupee | 78,291,678 | Buy | 06/14/13 | 1,426,000 | 1,418,621 | (7,379 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Chinese Yuan | 18,964,505 | Buy | 08/09/13 | 3,010,000 | 3,030,401 | 20,401 | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 54,075,055 | Buy | 04/05/13 | 26,822,944 | 26,750,853 | (72,091 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 2,817,132 | Buy | 04/05/13 | 1,416,000 | 1,393,631 | (22,369 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 34,478,502 | Buy | 04/19/13 | 150,890 | 144,906 | (5,984 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 314,518,466 | Buy | 04/19/13 | 1,386,000 | 1,321,859 | (64,141 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 2,238,029 | Buy | 04/05/13 | 1,086,000 | 1,107,150 | 21,150 | |||||||||||||||||||||||
Deutsche Bank AG | Singapore Dollar | 3,537,443 | Buy | 06/14/13 | 2,842,000 | 2,852,498 | 10,498 | |||||||||||||||||||||||
Deutsche Bank AG | Chilean Peso | 789,994,000 | Buy | 04/19/13 | 1,660,000 | 1,671,301 | 11,301 | |||||||||||||||||||||||
Deutsche Bank AG | Peruvian Nuevo Sol | 9,189,024 | Buy | 06/14/13 | 3,552,000 | 3,540,850 | (11,150 | ) | ||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 13,300,839 | Buy | 06/14/13 | 1,418,000 | 1,432,088 | 14,088 | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 13,790,658 | Buy | 04/05/13 | 6,701,000 | 6,822,219 | 121,219 | |||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 10,025,604 | Buy | 06/14/13 | 1,070,274 | 1,079,447 | 9,173 | |||||||||||||||||||||||
Deutsche Bank AG | Indonesian Rupiah | 623,286,000 | Buy | 06/14/13 | 63,568 | 63,531 | (37 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Polish Zloty | 13,498,002 | Buy | 06/14/13 | 4,206,623 | 4,120,511 | (86,112 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Thai Baht | 24,036,163 | Buy | 06/14/13 | 801,620 | 817,049 | 15,429 | |||||||||||||||||||||||
Deutsche Bank AG | Turkish Lira | 5,198,934 | Buy | 06/14/13 | 2,851,661 | 2,846,487 | (5,174 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Turkish Lira | 4,767,687 | Buy | 06/14/13 | 2,610,000 | 2,610,373 | 373 | |||||||||||||||||||||||
Deutsche Bank AG | Philippine Peso | 345,472,895 | Buy | 07/12/13 | 8,477,862 | 8,470,079 | (7,783 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Colombian Peso | 5,543,210,000 | Buy | 07/12/13 | 3,020,000 | 3,010,950 | (9,050 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 18,242,409 | Buy | 08/09/13 | 2,897,000 | 2,915,015 | 18,015 | |||||||||||||||||||||||
Goldman Sachs & Co. | Brazilian Real | 2,823,238 | Buy | 04/05/13 | 1,418,000 | 1,396,652 | (21,348 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | Polish Zloty | 4,635,523 | Buy | 06/14/13 | 1,418,000 | 1,415,078 | (2,922 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | Polish Zloty | 4,627,926 | Buy | 06/14/13 | 1,420,000 | 1,412,759 | (7,241 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | South African Rand | 13,266,525 | Buy | 06/14/13 | 1,416,000 | 1,428,393 | 12,393 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Brazilian Real | 2,822,813 | Buy | 04/05/13 | 1,418,000 | 1,396,441 | (21,559 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 38,592 | Buy | 04/19/13 | 58,517 | 58,633 | 116 | |||||||||||||||||||||||
JPMorgan Chase & Co. | EU Euro | 13,156,639 | Buy | 04/19/13 | 16,824,000 | 16,866,730 | 42,730 | |||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 3,724,048 | Buy | 04/19/13 | 5,625,000 | 5,657,994 | 32,994 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Chilean Peso | 277,264,800 | Buy | 04/19/13 | 582,000 | 586,578 | 4,578 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 78,542,100 | Buy | 04/19/13 | 2,600,000 | 2,518,051 | (81,949 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 35,826,606 | Buy | 06/14/13 | 2,870,000 | 2,880,397 | 10,397 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 103,599,652 | Buy | 06/14/13 | 8,221,020 | 8,329,231 | 108,211 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Chilean Peso | 734,032,680 | Buy | 04/19/13 | 1,536,115 | 1,552,910 | 16,795 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 17,971,638 | Buy | 01/14/14 | 2,854,000 | 2,853,413 | (587 | ) | ||||||||||||||||||||||
$ | (882,427 | ) | ||||||||||||||||||||||||||||
Barclays Bank PLC | Hungarian Forint | 335,569,416 | Sell | 04/19/13 | $ | 1,418,000 | $ | 1,410,332 | $ | 7,668 | ||||||||||||||||||||
Barclays Bank PLC | Russian Ruble | 98,721,180 | Sell | 04/19/13 | 3,240,000 | 3,164,990 | 75,010 | |||||||||||||||||||||||
Barclays Bank PLC | Brazilian Real | 48,846,747 | Sell | 04/05/13 | 23,811,420 | 24,164,417 | (352,997 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Russian Ruble | 138,412,878 | Sell | 04/19/13 | 4,510,252 | 4,437,501 | 72,751 | |||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 17,899,854 | Sell | 06/14/13 | 1,416,000 | 1,439,117 | (23,117 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Russian Ruble | 62,391,298 | Sell | 04/19/13 | 2,025,363 | 2,000,258 | 25,105 | |||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 17,973,949 | Sell | 06/14/13 | 1,393,000 | 1,445,074 | (52,074 | ) | ||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 80,486,273 | Sell | 06/14/13 | 8,746,702 | 8,665,874 | 80,828 | |||||||||||||||||||||||
Barclays Bank PLC | Indian Rupee | 46,629,400 | Sell | 06/14/13 | 830,000 | 844,910 | (14,910 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 2,818,275 | Sell | 04/05/13 | 1,418,000 | 1,394,197 | 23,803 | |||||||||||||||||||||||
Citigroup, Inc. | Chilean Peso | 5,157,880 | Sell | 04/19/13 | 10,896 | 10,912 | (16 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Chilean Peso | 1,360,380,000 | Sell | 04/19/13 | 2,870,000 | 2,878,002 | (8,002 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 331,681,660 | Sell | 04/19/13 | 1,415,000 | 1,393,993 | 21,007 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 7,381,863 | Sell | 04/19/13 | 9,605,000 | 9,463,503 | 141,497 | |||||||||||||||||||||||
Citigroup, Inc. | Russian Ruble | 47,723,048 | Sell | 04/19/13 | 1,541,542 | 1,529,996 | 11,546 | |||||||||||||||||||||||
Citigroup, Inc. | Russian Ruble | 31,808,665 | Sell | 04/19/13 | 1,029,873 | 1,019,782 | 10,091 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 2,470,364 | Sell | 04/19/13 | 3,212,000 | 3,166,992 | 45,008 |
AS OF MARCH 31, 2013 (CONTINUED)
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup, Inc. | Chilean Peso | 435,753,600 | Sell | 04/19/13 | $ | 912,000 | $ | 921,875 | $ | (9,875 | ) | |||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 5,737,293 | Sell | 04/05/13 | 2,878,000 | 2,838,231 | 39,769 | |||||||||||||||||||||||
Citigroup, Inc. | Russian Ruble | 94,929,120 | Sell | 04/19/13 | 3,120,000 | 3,043,417 | 76,583 | |||||||||||||||||||||||
Citigroup, Inc. | Indian Rupee | 4,021,008 | Sell | 06/14/13 | 72,719 | 72,860 | (141 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Czech Koruna | 56,325 | Sell | 06/14/13 | 2,807 | 2,803 | 4 | |||||||||||||||||||||||
Citigroup, Inc. | Peruvian Nuevo Sol | 4,088 | Sell | 06/14/13 | 1,572 | 1,575 | (3 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Malaysian Ringgit | 39,077 | Sell | 06/14/13 | 12,601 | 12,556 | 45 | |||||||||||||||||||||||
Citigroup, Inc. | Indonesian Rupiah | 623,286,000 | Sell | 06/14/13 | 63,441 | 63,532 | (91 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Malaysian Ringgit | 1,769,434 | Sell | 06/14/13 | 568,000 | 568,540 | (540 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 406,436,751 | Sell | 04/19/13 | 1,833,183 | 1,708,174 | 125,009 | |||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,608,358 | Sell | 06/14/13 | 1,418,000 | 1,406,785 | 11,215 | |||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,521,327 | Sell | 06/14/13 | 1,415,000 | 1,380,218 | 34,782 | |||||||||||||||||||||||
Citigroup, Inc. | Singapore Dollar | 1,769,657 | Sell | 06/14/13 | 1,415,000 | 1,427,004 | (12,004 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,205,466 | Sell | 06/14/13 | 1,416,000 | 1,421,819 | (5,819 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,577,477 | Sell | 06/14/13 | 1,415,000 | 1,397,358 | 17,642 | |||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,721,044 | Sell | 06/14/13 | 1,482,000 | 1,477,331 | 4,669 | |||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 17,856,361 | Sell | 06/14/13 | 1,412,000 | 1,435,620 | (23,620 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,086,254 | Sell | 06/14/13 | 1,413,000 | 1,408,983 | 4,017 | |||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 18,581,635 | Sell | 06/14/13 | 1,469,000 | 1,493,931 | (24,931 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,042,540 | Sell | 06/14/13 | 1,416,000 | 1,404,277 | 11,723 | |||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 4,527,040 | Sell | 06/14/13 | 1,416,000 | 1,381,961 | 34,039 | |||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 13,024,789 | Sell | 06/14/13 | 1,422,000 | 1,402,366 | 19,634 | |||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 89,346,880 | Sell | 06/14/13 | 6,922,643 | 7,183,333 | (260,690 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Czech Koruna | 168,684,540 | Sell | 06/14/13 | 8,617,579 | 8,393,296 | 224,283 | |||||||||||||||||||||||
Citigroup, Inc. | South African Rand | 17,533,706 | Sell | 06/14/13 | 1,925,625 | 1,887,836 | 37,789 | |||||||||||||||||||||||
Citigroup, Inc. | Colombian Peso | 157,678,780 | Sell | 07/12/13 | 85,444 | 85,648 | (204 | ) | ||||||||||||||||||||||
Citigroup, Inc. | �� | Philippine Peso | 2,634,150 | Sell | 07/12/13 | 64,600 | 64,582 | 18 | ||||||||||||||||||||||
Citigroup, Inc. | Colombian Peso | 5,309,500,000 | Sell | 07/12/13 | 2,870,000 | 2,884,004 | (14,004 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Philippine Peso | 116,024,650 | Sell | 07/12/13 | 2,842,000 | 2,844,617 | (2,617 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Brazilian Real | 6,818,886 | Sell | 04/05/13 | 3,319,000 | 3,373,293 | (54,293 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 17,971,638 | Sell | 01/14/14 | 2,851,057 | 2,853,413 | (2,356 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 17,470,944 | Sell | 04/05/13 | 8,640,000 | 8,642,851 | (2,851 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 2,818,700 | Sell | 04/05/13 | 1,418,000 | 1,394,407 | 23,593 | |||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 353,051,929 | Sell | 04/19/13 | 1,478,000 | 1,483,808 | (5,808 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 348,299,687 | Sell | 04/19/13 | 1,472,940 | 1,463,835 | 9,105 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 3,762,640 | Sell | 04/19/13 | 5,651,000 | 5,716,627 | (65,627 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 7,985,439 | Sell | 04/19/13 | 259,347 | 256,012 | 3,335 | |||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 69,622,572 | Sell | 04/19/13 | 2,287,582 | 2,232,091 | 55,491 | |||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 135,600,000 | Sell | 04/19/13 | 4,462,435 | 4,347,321 | 115,114 | |||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 627,267,300 | Sell | 04/19/13 | 2,882,000 | 2,636,282 | 245,718 | |||||||||||||||||||||||
Deutsche Bank AG | Turkish Lira | 77,060 | Sell | 06/14/13 | 42,109 | 42,192 | (83 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Thai Baht | 382,403 | Sell | 06/14/13 | 12,999 | 12,999 | 0 | |||||||||||||||||||||||
Deutsche Bank AG | Peruvian Nuevo Sol | 9,244,503 | Sell | 06/14/13 | 3,559,000 | 3,562,227 | (3,227 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Thai Baht | 23,653,760 | Sell | 06/14/13 | 804,000 | 804,049 | (49 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Romanian New Leu | 9,111,968 | Sell | 06/14/13 | 2,615,000 | 2,619,894 | (4,894 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Indian Rupee | 182,521,920 | Sell | 06/14/13 | 3,297,000 | 3,307,240 | (10,240 | ) | ||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 8,531,404 | Sell | 06/14/13 | 909,000 | 918,567 | (9,567 | ) | ||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 1,787,356,400 | Sell | 06/14/13 | 1,601,000 | 1,600,068 | 932 | |||||||||||||||||||||||
Deutsche Bank AG | Singapore Dollar | 1,769,431 | Sell | 06/14/13 | 1,415,000 | 1,426,821 | (11,821 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Polish Zloty | 4,515,155 | Sell | 06/14/13 | 1,414,000 | 1,378,333 | 35,667 | |||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 37,262,100 | Sell | 06/14/13 | 2,900,000 | 2,995,808 | (95,808 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Turkish Lira | 5,289,869 | Sell | 06/14/13 | 2,911,000 | 2,896,275 | 14,725 | |||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 576,493,056 | Sell | 04/19/13 | 2,560,000 | 2,422,887 | 137,113 | |||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 3,308,077,740 | Sell | 06/14/13 | 3,015,430 | 2,961,441 | 53,989 | |||||||||||||||||||||||
Deutsche Bank AG | Malaysian Ringgit | 2,687,181 | Sell | 06/14/13 | 861,000 | 863,424 | (2,424 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 16,879,369 | Sell | 06/14/13 | 1,311,000 | 1,357,072 | (46,072 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 54,075,055 | Sell | 07/12/13 | 26,494,392 | 26,418,381 | 76,011 | |||||||||||||||||||||||
Deutsche Bank AG | Philippine Peso | 143,989,775 | Sell | 07/12/13 | 3,527,000 | 3,530,248 | (3,248 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Philippine Peso | 82,824,320 | Sell | 07/12/13 | 2,038,000 | 2,030,633 | 7,367 | |||||||||||||||||||||||
Deutsche Bank AG | Colombian Peso | 76,031,220 | Sell | 07/12/13 | 41,840 | 41,298 | 542 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 37,206,914 | Sell | 08/09/13 | 5,918,542 | 5,945,417 | (26,875 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Hungarian Forint | 492,367,950 | Sell | 04/19/13 | 2,205,354 | 2,069,326 | 136,028 | |||||||||||||||||||||||
Credit Suisse Group AG | Hungarian Forint | 327,776,630 | Sell | 04/19/13 | 1,469,124 | 1,377,581 | 91,543 | |||||||||||||||||||||||
Goldman Sachs & Co. | Romanian New Leu | 285,514 | Sell | 06/14/13 | 82,074 | 82,092 | (18 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | Polish Zloty | 18,718,850 | Sell | 06/14/13 | 5,684,000 | 5,714,270 | (30,270 | ) |
AS OF MARCH 31, 2013 (CONTINUED)
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase & Co. | EU Euro | 60,839 | Sell | 04/19/13 | $ | 78,110 | $ | 77,994 | $ | 116 | ||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 84,793,472 | Sell | 04/19/13 | 2,728,000 | 2,718,469 | 9,531 | |||||||||||||||||||||||
JPMorgan Chase & Co. | EU Euro | 4,361,736 | Sell | 04/19/13 | 5,662,000 | 5,591,718 | 70,282 | |||||||||||||||||||||||
JPMorgan Chase & Co. | EU Euro | 18,444 | Sell | 04/19/13 | 23,937 | 23,645 | 292 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Turkish Lira | 4,599,692 | Sell | 06/14/13 | 2,501,000 | 2,518,393 | (17,393 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Brazilian Real | 11,842,640 | Sell | 04/05/13 | 5,728,000 | 5,858,537 | (130,537 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 55,812,960 | Sell | 04/19/13 | 1,808,000 | 1,789,357 | 18,643 | |||||||||||||||||||||||
$ | 931,556 |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
U.S. Treasury 2-Year Note | 333 | 06/28/13 | $ | 73,410,889 | $ | (5,637 | ) | |||||||||||
U.S. Treasury 5-Year Note | 132 | 06/28/13 | 16,375,219 | 18,233 | ||||||||||||||
U.S. Treasury Ultra Long Bond | 173 | 06/19/13 | 27,263,719 | (300,523 | ) | |||||||||||||
$ | 117,049,827 | $ | (287,927 | ) | ||||||||||||||
Short Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | (422 | ) | 06/19/13 | (55,697,409 | ) | (190,661 | ) | |||||||||||
U.S. Treasury Long Bond | (243 | ) | 06/19/13 | (35,105,906 | ) | (106,738 | ) | |||||||||||
$ | (90,803,315 | ) | $ | (297,399 | ) |
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 | $ | 7,482 | $ | 40,077 | $ | (32,595 | ) | ||||||||||||||||||||||
Citigroup, Inc. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 640,000 | 3,653 | 20,385 | (16,732 | ) | |||||||||||||||||||||||||
JPMorgan Chase & Co. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 5,079,000 | 28,987 | 84,496 | (55,509 | ) | |||||||||||||||||||||||||
$ | 40,122 | $ | 144,958 | $ | (104,836 | ) |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Implied Credit Spread at 03/31/13 (%) (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 | USD 1,311,000 | $ | (349,873 | ) | $ | (50,685 | ) | $ | (299,188 | ) | ||||||||||||||||||||||||
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | USD 641,000 | (171,067 | ) | (22,718 | ) | (148,349 | ) | |||||||||||||||||||||||||||
Goldman Sachs & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | USD 1,271,000 | (339,198 | ) | (44,475 | ) | (294,723 | ) | |||||||||||||||||||||||||||
JPMorgan Chase & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | USD 2,540,000 | (677,863 | ) | (44,604 | ) | (633,259 | ) | |||||||||||||||||||||||||||
$ | (1,538,001 | ) | (162,482 | ) | $ | (1,375,519 | ) |
(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. |
AS OF MARCH 31, 2013 (CONTINUED)
(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 Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting market values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
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 | $(1,135,707 | ) | $ | — | $ | (1,135,707 | ) | |||||||||||||||||
Receive a fixed rate equal to 5.590% and pay a floating rate based on the 28-day MXN-TIE-BANXICO Counterparty: Deutsche Bank AG | 03/14/23 | MXN 63,599,000 | 12,706 | — | 12,706 | |||||||||||||||||||||
$(1,123,001 | ) | $ | — | $ | (1,123,001 | ) |
AS OF MARCH 31, 2013
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES 64.7% | |||||||||||||||||||
Consumer Discretionary 4.7% | |||||||||||||||||||
423,000 | Amazon.com, Inc., 0.650%, 11/27/15 | $ | 422,767 | 0.3 | |||||||||||||||
200,000 | Amazon.com, Inc., 1.200%, 11/29/17 | 199,278 | 0.1 | ||||||||||||||||
500,000 | Cablevision Systems Corp., 8.625%, 09/15/17 | 585,000 | 0.3 | ||||||||||||||||
342,000 | Comcast Corp., 6.300%, 11/15/17 | 417,688 | 0.2 | ||||||||||||||||
74,000 | COX Communications, Inc., 5.450%, 12/15/14 | 79,954 | 0.1 | ||||||||||||||||
365,000 | COX Communications, Inc., 5.500%, 10/01/15 | 407,082 | 0.2 | ||||||||||||||||
500,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 1.750%, 01/15/18 | 494,997 | 0.3 | ||||||||||||||||
235,000 | Discovery Communications LLC, 3.700%, 06/01/15 | 249,096 | 0.2 | ||||||||||||||||
500,000 | DISH DBS Corp., 7.125%, 02/01/16 | 558,125 | 0.3 | ||||||||||||||||
171,000 | Home Depot, Inc., 5.250%, 12/16/13 | 176,936 | 0.1 | ||||||||||||||||
511,000 | Home Depot, Inc., 5.400%, 03/01/16 | 579,039 | 0.3 | ||||||||||||||||
500,000 | Jarden Corp., 7.500%, 05/01/17 | 568,125 | 0.3 | ||||||||||||||||
500,000 | McDonald’s Corp., 0.750%, 05/29/15 | 503,096 | 0.3 | ||||||||||||||||
500,000 | MGM Mirage, 7.500%, 06/01/16 | 556,250 | 0.3 | ||||||||||||||||
662,000 | NBCUniversal Media, LLC, 3.650%, 04/30/15 | 701,578 | 0.4 | ||||||||||||||||
383,000 | Time Warner Cable, Inc., 7.500%, 04/01/14 | 408,561 | 0.2 | ||||||||||||||||
313,000 | Time Warner, Inc., 3.150%, 07/15/15 | 329,819 | 0.2 | ||||||||||||||||
417,000 | Viacom, Inc., 1.250%, 02/27/15 | 420,128 | 0.2 | ||||||||||||||||
724,000 | Walt Disney Co., 1.100%, 12/01/17 | 724,654 | 0.4 | ||||||||||||||||
8,382,173 | 4.7 | ||||||||||||||||||
Consumer Staples 7.0% | |||||||||||||||||||
455,000 | Altria Group, Inc., 4.125%, 09/11/15 | 491,224 | 0.3 | ||||||||||||||||
553,000 | Anheuser-Busch InBev Worldwide, Inc., 0.800%, 07/15/15 | 554,362 | 0.3 | ||||||||||||||||
84,000 | Anheuser-Busch InBev Worldwide, Inc., 5.375%, 11/15/14 | 90,286 | 0.1 | ||||||||||||||||
208,000 | Archer-Daniels-Midland Co., 5.450%, 03/15/18 | 248,479 | 0.1 | ||||||||||||||||
329,000 | Beam, Inc., 1.875%, 05/15/17 | 335,494 | 0.2 | ||||||||||||||||
239,000 | Campbell Soup Co., 0.599%, 08/01/14 | 239,714 | 0.1 | ||||||||||||||||
381,000 | Coca-Cola Co., 0.750%, 03/13/15 | 383,129 | 0.2 | ||||||||||||||||
475,000 | Coca-Cola Co., 1.800%, 09/01/16 | 491,504 | 0.3 | ||||||||||||||||
147,000 | Colgate-Palmolive Co., 1.250%, 05/01/14 | 148,484 | 0.1 | ||||||||||||||||
329,000 | Colgate-Palmolive Co., 1.300%, 01/15/17 | 334,870 | 0.2 | ||||||||||||||||
600,000 | ConAgra Foods, Inc., 1.300%, 01/25/16 | 605,209 | 0.4 | ||||||||||||||||
454,000 | Costco Wholesale Corp., 1.125%, 12/15/17 | 456,180 | 0.3 | ||||||||||||||||
417,000 | Diageo Capital PLC, 1.500%, 05/11/17 | 423,340 | 0.2 | ||||||||||||||||
475,000 | Kellogg Co., 1.125%, 05/15/15 | 479,724 | 0.3 | ||||||||||||||||
202,000 | Kimberly-Clark Corp., 6.125%, 08/01/17 | 244,591 | 0.1 | ||||||||||||||||
450,000 | Kraft Foods Group, Inc., 1.625%, 06/04/15 | 457,177 | 0.3 | ||||||||||||||||
204,000 | Kroger Co/The, 6.400%, 08/15/17 | 243,991 | 0.1 | ||||||||||||||||
304,000 | Lorillard Tobacco Co., 3.500%, 08/04/16 | 321,913 | 0.2 | ||||||||||||||||
200,000 | Molson Coors Brewing Co., 2.000%, 05/01/17 | 204,980 | 0.1 | ||||||||||||||||
747,000 | PepsiCo, Inc., 0.700%, 08/13/15 | 748,555 | 0.4 | ||||||||||||||||
420,000 | L | PepsiCo, Inc., 1.250%, 08/13/17 | 421,958 | 0.2 | |||||||||||||||
200,000 | PepsiCo, Inc., 0.700%, 02/26/16 | 200,195 | 0.1 | ||||||||||||||||
671,000 | Philip Morris International, Inc., 2.500%, 05/16/16 | 706,794 | 0.4 | ||||||||||||||||
278,000 | Procter & Gamble Co., 0.700%, 08/15/14 | 279,626 | 0.2 | ||||||||||||||||
658,000 | Procter & Gamble Co., 1.450%, 08/15/16 | 674,701 | 0.4 | ||||||||||||||||
523,000 | Reynolds American, Inc., 1.050%, 10/30/15 | 523,516 | 0.3 | ||||||||||||||||
408,000 | # | SABMiller Holdings, Inc., 1.850%, 01/15/15 | 414,760 | 0.2 | |||||||||||||||
500,000 | Smithfield Foods, Inc., 7.750%, 07/01/17 | 581,875 | 0.3 | ||||||||||||||||
280,000 | Target Corp., 5.875%, 07/15/16 | 327,187 | 0.2 | ||||||||||||||||
414,000 | Walgreen Co., 1.800%, 09/15/17 | 419,684 | 0.2 | ||||||||||||||||
395,000 | Wal-Mart Stores, Inc., 1.625%, 04/15/14 | 400,433 | 0.2 | ||||||||||||||||
12,453,935 | 7.0 | ||||||||||||||||||
Energy 4.5% | |||||||||||||||||||
500,000 | Afren PLC, 11.500%, 02/01/16 | 595,000 | 0.3 | ||||||||||||||||
300,000 | Alliance Oil Co. Ltd., 9.875%, 03/11/15 | 328,125 | 0.2 | ||||||||||||||||
541,000 | BP Capital Markets PLC, 0.700%, 11/06/15 | 540,431 | 0.3 | ||||||||||||||||
200,000 | BP Capital Markets PLC, 2.248%, 11/01/16 | 208,276 | 0.1 | ||||||||||||||||
467,000 | Cameron International Corp., 1.600%, 04/30/15 | 471,574 | 0.3 | ||||||||||||||||
248,000 | Canadian Natural Resources Ltd., 1.450%, 11/14/14 | 250,855 | 0.1 | ||||||||||||||||
420,000 | Chevron Corp., 1.104%, 12/05/17 | 421,013 | 0.2 | ||||||||||||||||
436,000 | ConocoPhillips, 4.600%, 01/15/15 | 467,282 | 0.3 | ||||||||||||||||
282,000 | ConocoPhillips, 5.200%, 05/15/18 | 332,591 | 0.2 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
140,000 | Enterprise Products Operating L.P., 5.600%, 10/15/14 | $ | 150,129 | 0.1 | |||||||||||||||
358,000 | Enterprise Products Operating, LLC, 1.250%, 08/13/15 | 360,827 | 0.2 | ||||||||||||||||
500,000 | Marathon Oil Corp., 0.900%, 11/01/15 | 499,098 | 0.3 | ||||||||||||||||
123,000 | Petrobras International Finance Co.—Pifco, 2.875%, 02/06/15 | 125,868 | 0.1 | ||||||||||||||||
500,000 | Petrobras International Finance Co.—Pifco, 3.500%, 02/06/17 | 517,682 | 0.3 | ||||||||||||||||
200,000 | Phillips 66, 1.950%, 03/05/15 | 204,490 | 0.1 | ||||||||||||||||
666,000 | Shell International Finance BV, 3.100%, 06/28/15 | 704,318 | 0.4 | ||||||||||||||||
500,000 | TNK-BP Finance SA, 6.625%, 03/20/17 | 567,500 | 0.3 | ||||||||||||||||
421,000 | Total Capital International SA, 0.750%, 01/25/16 | 422,335 | 0.2 | ||||||||||||||||
250,000 | Total Capital International SA, 1.550%, 06/28/17 | 254,434 | 0.2 | ||||||||||||||||
600,000 | TransCanada PipeLines Ltd., 0.750%, 01/15/16 | 599,735 | 0.3 | ||||||||||||||||
8,021,563 | 4.5 | ||||||||||||||||||
Financials 29.2% | |||||||||||||||||||
450,000 | # | ABN AMRO Bank NV, 1.375%, 01/22/16 | 450,585 | 0.3 | |||||||||||||||
280,000 | ACE INA Holdings, Inc., 5.700%, 02/15/17 | 327,232 | 0.2 | ||||||||||||||||
500,000 | Alfa Bank OJSC Via Alfa Bond Issuance PLC, 7.875%, 09/25/17 | 565,600 | 0.3 | ||||||||||||||||
375,000 | Allstate Corp., 6.200%, 05/16/14 | 397,994 | 0.2 | ||||||||||||||||
401,000 | American Express Credit Corp., 1.750%, 06/12/15 | 409,955 | 0.2 | ||||||||||||||||
286,000 | American Express Credit Corp., 2.800%, 09/19/16 | 303,108 | 0.2 | ||||||||||||||||
417,000 | # | American Honda Finance Corp., 1.000%, 08/11/15 | 418,737 | 0.2 | |||||||||||||||
200,000 | # | American Honda Finance Corp., 1.850%, 09/19/14 | 203,540 | 0.1 | |||||||||||||||
740,000 | American International Group, Inc., 5.600%, 10/18/16 | 841,683 | 0.5 | ||||||||||||||||
600,000 | Australia & New Zealand Banking Group Ltd., 0.900%, 02/12/16 | 602,098 | 0.3 | ||||||||||||||||
500,000 | Banco BTG Pactual SA/Cayman Islands, 4.875%, 07/08/16 | 530,000 | 0.3 | ||||||||||||||||
500,000 | Bancolombia SA, 4.250%, 01/12/16 | 529,400 | 0.3 | ||||||||||||||||
1,076,000 | Bank of America Corp., 1.500%, 10/09/15 | 1,080,219 | 0.6 | ||||||||||||||||
660,000 | Bank of America Corp., 3.750%, 07/12/16 | 702,562 | 0.4 | ||||||||||||||||
600,000 | Bank of America Corp., 1.250%, 01/11/16 | 598,110 | 0.3 | ||||||||||||||||
675,000 | Bank of Montreal, 0.800%, 11/06/15 | 674,464 | 0.4 | ||||||||||||||||
805,000 | Bank of New York Mellon Corp., 1.200%, 02/20/15 | 814,475 | 0.5 | ||||||||||||||||
675,000 | Bank of Nova Scotia, 0.750%, 10/09/15 | 675,151 | 0.4 | ||||||||||||||||
320,000 | Bank of Nova Scotia, 2.550%, 01/12/17 | 335,652 | 0.2 | ||||||||||||||||
870,000 | Barclays Bank PLC, 5.000%, 09/22/16 | 978,031 | 0.6 | ||||||||||||||||
550,000 | BB&T Corp., 1.600%, 08/15/17 | 556,158 | 0.3 | ||||||||||||||||
218,000 | BB&T Corp., 2.050%, 04/28/14 | 221,686 | 0.1 | ||||||||||||||||
210,000 | BB&T Corp., 5.200%, 12/23/15 | 233,378 | 0.1 | ||||||||||||||||
500,000 | # | BBVA Banco Continental SA, 2.250%, 07/29/16 | 493,350 | 0.3 | |||||||||||||||
481,000 | BBVA US Senior SAU, 4.664%, 10/09/15 | 493,544 | 0.3 | ||||||||||||||||
330,000 | Berkshire Hathaway Finance Corp., 1.600%, 05/15/17 | 337,024 | 0.2 | ||||||||||||||||
819,000 | Berkshire Hathaway Finance Corp., 2.450%, 12/15/15 | 859,718 | 0.5 | ||||||||||||||||
425,000 | BlackRock, Inc., 1.375%, 06/01/15 | 432,512 | 0.2 | ||||||||||||||||
200,000 | # | BNP Paribas Home Loan Covered Bonds SA, 2.200%, 11/02/15 | 206,770 | 0.1 | |||||||||||||||
401,000 | Boeing Capital Corp., 2.125%, 08/15/16 | 417,175 | 0.2 | ||||||||||||||||
584,000 | Canadian Imperial Bank of Commerce/Canada, 0.900%, 10/01/15 | 586,290 | 0.3 | ||||||||||||||||
587,000 | Caterpillar Financial Services Corp., 0.700%, 11/06/15 | 587,888 | 0.3 | ||||||||||||||||
250,000 | Caterpillar Financial Services Corp., 0.700%, 02/26/16 | 250,028 | 0.1 | ||||||||||||||||
225,000 | Caterpillar Financial Services Corp., 1.100%, 05/29/15 | 227,691 | 0.1 | ||||||||||||||||
470,000 | Charles Schwab Corp., 0.850%, 12/04/15 | 472,221 | 0.3 | ||||||||||||||||
500,000 | CIT Group, Inc., 5.000%, 05/15/17 | 538,750 | 0.3 | ||||||||||||||||
524,000 | Citigroup, Inc., 1.250%, 01/15/16 | 523,768 | 0.3 | ||||||||||||||||
544,000 | Citigroup, Inc., 1.300%, 04/01/16 | 544,382 | 0.3 | ||||||||||||||||
698,000 | Citigroup, Inc., 2.650%, 03/02/15 | 717,612 | 0.4 | ||||||||||||||||
6,000 | Citigroup, Inc., 5.125%, 05/05/14 | 6,276 | 0.0 | ||||||||||||||||
104,000 | Citigroup, Inc., 6.000%, 12/13/13 | 107,773 | 0.1 | ||||||||||||||||
187,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 1.850%, 01/10/14 | 189,176 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
359,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 2.125%, 10/13/15 | $ | 369,957 | 0.2 | ||||||||||||||
250,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 1.700%, 03/19/18 | 249,290 | 0.1 | |||||||||||||||
744,000 | Credit Suisse/New York NY, 3.500%, 03/23/15 | 784,566 | 0.4 | |||||||||||||||
700,000 | # | Daimler Finance North America LLC, 1.250%, 01/11/16 | 702,932 | 0.4 | ||||||||||||||
474,000 | Deutsche Bank AG/London, 3.250%, 01/11/16 | 502,735 | 0.3 | |||||||||||||||
500,000 | Discover Bank/Greenwood DE, 2.000%, 02/21/18 | 502,317 | 0.3 | |||||||||||||||
781,000 | Fifth Third Bancorp., 3.625%, 01/25/16 | 835,521 | 0.5 | |||||||||||||||
600,000 | Ford Motor Credit Co., LLC, 2.750%, 05/15/15 | 612,773 | 0.3 | |||||||||||||||
605,000 | General Electric Capital Corp., 1.000%, 12/11/15 | 609,163 | 0.3 | |||||||||||||||
300,000 | General Electric Capital Corp., 3.750%, 11/14/14 | 315,148 | 0.2 | |||||||||||||||
120,000 | General Electric Capital Corp., 4.750%, 09/15/14 | 127,033 | 0.1 | |||||||||||||||
920,000 | General Electric Capital Corp., 4.875%, 03/04/15 | 992,898 | 0.6 | |||||||||||||||
250,000 | Goldman Sachs Group, Inc., 0.702%, 07/22/15 | 247,583 | 0.1 | |||||||||||||||
762,000 | Goldman Sachs Group, Inc., 0.805%, 01/12/15 | 759,022 | 0.4 | |||||||||||||||
150,000 | Goldman Sachs Group, Inc., 1.296%, 02/07/14 | 150,763 | 0.1 | |||||||||||||||
391,000 | Goldman Sachs Group, Inc., 3.625%, 02/07/16 | 415,555 | 0.2 | |||||||||||||||
499,000 | Goldman Sachs Group, Inc./The, 1.600%, 11/23/15 | 503,894 | 0.3 | |||||||||||||||
237,000 | Hartford Financial Services Group, Inc., 4.750%, 03/01/14 | 245,213 | 0.1 | |||||||||||||||
141,000 | HCP, Inc., 2.700%, 02/01/14 | 143,239 | 0.1 | |||||||||||||||
500,000 | HCP, Inc., 3.750%, 02/01/16 | 534,098 | 0.3 | |||||||||||||||
252,000 | Health Care REIT, Inc., 2.250%, 03/15/18 | 254,702 | 0.1 | |||||||||||||||
312,000 | Health Care REIT, Inc., 3.625%, 03/15/16 | 330,819 | 0.2 | |||||||||||||||
580,000 | HSBC USA, Inc., 2.375%, 02/13/15 | 597,046 | 0.3 | |||||||||||||||
180,000 | # | Hyundai Capital America, 1.625%, 10/02/15 | 181,340 | 0.1 | ||||||||||||||
541,000 | # | International Lease Finance Corp., 6.500%, 09/01/14 | 578,870 | 0.3 | ||||||||||||||
200,000 | Intesa Sanpaolo SpA, 3.125%, 01/15/16 | 195,653 | 0.1 | |||||||||||||||
413,000 | John Deere Capital Corp., 1.250%, 12/02/14 | 418,803 | 0.2 | |||||||||||||||
300,000 | John Deere Capital Corp., 0.750%, 01/22/16 | 301,115 | 0.2 | |||||||||||||||
534,000 | John Deere Capital Corp., 1.600%, 03/03/14 | 540,215 | 0.3 | |||||||||||||||
975,000 | JPMorgan Chase & Co., 3.150%, 07/05/16 | 1,034,678 | 0.6 | |||||||||||||||
866,000 | JPMorgan Chase & Co., 3.700%, 01/20/15 | 909,585 | 0.5 | |||||||||||||||
500,000 | Manufacturers & Traders Trust Co., 1.450%, 03/07/18 | 501,399 | 0.3 | |||||||||||||||
312,000 | # | MassMutual Global Funding II, 3.125%, 04/14/16 | 331,973 | 0.2 | ||||||||||||||
419,000 | MetLife, Inc., 1.756%, 12/15/17 | 424,814 | 0.2 | |||||||||||||||
470,000 | # | MetLife Institutional Funding II, 1.625%, 04/02/15 | 477,940 | 0.3 | ||||||||||||||
245,000 | # | Metropolitan Life Global Funding I, 1.700%, 06/29/15 | 250,316 | 0.1 | ||||||||||||||
142,000 | Morgan Stanley, 1.750%, 02/25/16 | 143,219 | 0.1 | |||||||||||||||
336,000 | Morgan Stanley, 2.875%, 01/24/14 | 341,584 | 0.2 | |||||||||||||||
250,000 | Morgan Stanley, 5.450%, 01/09/17 | 280,170 | 0.2 | |||||||||||||||
275,000 | Morgan Stanley, 6.000%, 04/28/15 | 299,701 | 0.2 | |||||||||||||||
535,000 | National Australia Bank Ltd./New York, 1.600%, 08/07/15 | 544,656 | 0.3 | |||||||||||||||
300,000 | # | National Australia Bank Ltd., 1.250%, 03/08/18 | 299,582 | 0.2 | ||||||||||||||
195,000 | National Rural Utilities Cooperative Finance Corp., 1.125%, 11/01/13 | 195,853 | 0.1 | |||||||||||||||
294,000 | # | New York Life Global Funding, 1.300%, 01/12/15 | 298,041 | 0.2 | ||||||||||||||
550,000 | PNC Funding Corp., 5.625%, 02/01/17 | 628,999 | 0.4 | |||||||||||||||
315,000 | PNC Funding Corp., 2.700%, 09/19/16 | 331,925 | 0.2 | |||||||||||||||
332,000 | Principal Financial Group, Inc., 1.850%, 11/15/17 | 335,974 | 0.2 | |||||||||||||||
288,000 | # | Principal Life Global Funding II, 0.904%, 07/09/14 | 289,842 | 0.2 | ||||||||||||||
153,000 | ProLogis L.P., 7.625%, 08/15/14 | 165,449 | 0.1 | |||||||||||||||
650,000 | Prudential Financial, Inc., 3.875%, 01/14/15 | 684,181 | 0.4 | |||||||||||||||
418,000 | Realty Income Corp., 2.000%, 01/31/18 | 421,386 | 0.2 | |||||||||||||||
450,000 | Regions Financial Corp., 5.750%, 06/15/15 | 488,550 | 0.3 | |||||||||||||||
240,000 | Regions Financial Corp., 7.750%, 11/10/14 | 264,697 | 0.1 | |||||||||||||||
625,000 | Royal Bank of Canada, 0.850%, 03/08/16 | 625,433 | 0.4 | |||||||||||||||
600,000 | Royal Bank of Canada, 1.500%, 01/16/18 | 607,504 | 0.3 | |||||||||||||||
425,000 | Royal Bank of Scotland Group PLC, 2.550%, 09/18/15 | 437,071 | 0.2 | |||||||||||||||
613,000 | Santander Holdings USA, Inc./PA, 3.000%, 09/24/15 | 628,910 | 0.4 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
311,000 | Simon Property Group L.P., 4.200%, 02/01/15 | $ | 328,197 | 0.2 | |||||||||||||||
400,000 | SLM Corp., 3.875%, 09/10/15 | 416,758 | 0.2 | ||||||||||||||||
255,000 | SouthTrust Corp., 5.800%, 06/15/14 | 266,982 | 0.2 | ||||||||||||||||
545,000 | State Street Corp., 2.875%, 03/07/16 | 580,666 | 0.3 | ||||||||||||||||
680,000 | L | Sumitomo Mitsui Banking Corp., 1.500%, 01/18/18 | 680,622 | 0.4 | |||||||||||||||
500,000 | SunTrust Bank/Atlanta GA, 0.578%, 08/24/15 | 492,597 | 0.3 | ||||||||||||||||
330,000 | SunTrust Bank/Atlanta GA, 0.584%, 04/01/15 | 326,583 | 0.2 | ||||||||||||||||
210,000 | UBS AG, 5.875%, 07/15/16 | 235,899 | 0.1 | ||||||||||||||||
250,000 | UBS AG/Stamford CT, 3.875%, 01/15/15 | 264,036 | 0.1 | ||||||||||||||||
812,000 | US Bancorp, 2.200%, 11/15/16 | 848,139 | 0.5 | ||||||||||||||||
250,000 | Wachovia Bank NA, 4.800%, 11/01/14 | 265,846 | 0.2 | ||||||||||||||||
644,000 | Wells Fargo & Co., 2.100%, 05/08/17 | 665,011 | 0.4 | ||||||||||||||||
422,000 | Wells Fargo & Co., 1.500%, 01/16/18 | 421,801 | 0.2 | ||||||||||||||||
270,000 | Westpac Banking Corp., 1.125%, 09/25/15 | 272,208 | 0.2 | ||||||||||||||||
200,000 | Westpac Banking Corp., 2.000%, 08/14/17 | 206,178 | 0.1 | ||||||||||||||||
51,958,984 | 29.2 | ||||||||||||||||||
Health Care 6.6% | |||||||||||||||||||
550,000 | # | AbbVie, Inc., 1.200%, 11/06/15 | 554,626 | 0.3 | |||||||||||||||
502,000 | Aetna, Inc., 1.500%, 11/15/17 | 503,976 | 0.3 | ||||||||||||||||
330,000 | Amgen, Inc., 1.875%, 11/15/14 | 336,646 | 0.2 | ||||||||||||||||
477,000 | Cigna Corp., 2.750%, 11/15/16 | 504,027 | 0.3 | ||||||||||||||||
575,000 | Covidien International Finance SA, 1.350%, 05/29/15 | 583,588 | 0.3 | ||||||||||||||||
530,000 | Eli Lilly & Co., 4.200%, 03/06/14 | 548,866 | 0.3 | ||||||||||||||||
625,000 | Genentech, Inc., 4.750%, 07/15/15 | 681,321 | 0.4 | ||||||||||||||||
689,000 | GlaxoSmithKline Capital PLC, 0.750%, 05/08/15 | 692,430 | 0.4 | ||||||||||||||||
500,000 | �� | HCA, Inc., 6.500%, 02/15/16 | 548,750 | 0.3 | |||||||||||||||
425,000 | Johnson & Johnson, 1.200%, 05/15/14 | 429,399 | 0.2 | ||||||||||||||||
664,000 | McKesson Corp., 0.950%, 12/04/15 | 666,256 | 0.4 | ||||||||||||||||
500,000 | Medtronic, Inc., 3.000%, 03/15/15 | 524,016 | 0.3 | ||||||||||||||||
547,000 | Novartis Capital Corp., 2.900%, 04/24/15 | 573,953 | 0.3 | ||||||||||||||||
784,000 | Pfizer, Inc., 5.350%, 03/15/15 | 856,551 | 0.5 | ||||||||||||||||
332,000 | Sanofi, 1.200%, 09/30/14 | 335,710 | 0.2 | ||||||||||||||||
292,000 | Sanofi-Aventis SA, 1.625%, 03/28/14 | 295,795 | 0.2 | ||||||||||||||||
575,000 | St. Jude Medical, Inc., 2.500%, 01/15/16 | 596,905 | 0.3 | ||||||||||||||||
322,000 | Thermo Fisher Scientific, Inc., 2.250%, 08/15/16 | 333,705 | 0.2 | ||||||||||||||||
671,000 | UnitedHealth Group, Inc., 0.850%, 10/15/15 | 673,455 | 0.4 | ||||||||||||||||
500,000 | # | Valeant Pharmaceuticals International, 6.750%, 10/01/17 | 539,375 | 0.3 | |||||||||||||||
519,000 | WellPoint, Inc., 5.250%, 01/15/16 | 578,236 | 0.3 | ||||||||||||||||
300,000 | # | Zoetis, Inc., 1.150%, 02/01/16 | 301,033 | 0.2 | |||||||||||||||
11,658,619 | 6.6 | ||||||||||||||||||
Industrials 1.9% | |||||||||||||||||||
419,000 | 3M Co., 1.000%, 06/26/17 | 421,257 | 0.2 | ||||||||||||||||
500,000 | Brunswick Rail Finance Ltd., 6.500%, 11/01/17 | 531,250 | 0.3 | ||||||||||||||||
433,000 | CSX Corp., 6.250%, 04/01/15 | 479,682 | 0.3 | ||||||||||||||||
440,000 | General Electric Co., 0.850%, 10/09/15 | 441,742 | 0.2 | ||||||||||||||||
279,000 | United Parcel Service, Inc., 1.125%, 10/01/17 | 281,266 | 0.2 | ||||||||||||||||
171,000 | United Parcel Service, Inc., 3.875%, 04/01/14 | 176,813 | 0.1 | ||||||||||||||||
664,000 | United Technologies Corp., 1.200%, 06/01/15 | 673,675 | 0.4 | ||||||||||||||||
400,000 | Waste Management, Inc., 2.600%, 09/01/16 | 419,674 | 0.2 | ||||||||||||||||
3,425,359 | 1.9 | ||||||||||||||||||
Information Technology 3.7% | |||||||||||||||||||
527,000 | Cisco Systems, Inc., 1.625%, 03/14/14 | 533,594 | 0.3 | ||||||||||||||||
127,000 | Computer Sciences Corp., 2.500%, 09/15/15 | 130,505 | 0.1 | ||||||||||||||||
300,000 | Dell, Inc., 2.100%, 04/01/14 | 302,153 | 0.2 | ||||||||||||||||
414,000 | eBay, Inc., 1.350%, 07/15/17 | 419,187 | 0.2 | ||||||||||||||||
663,000 | International Business Machines Corp., 0.550%, 02/06/15 | 664,323 | 0.4 | ||||||||||||||||
450,000 | International Business Machines Corp., 1.950%, 07/22/16 | 467,192 | 0.3 | ||||||||||||||||
474,000 | Intel Corp., 1.350%, 12/15/17 | 476,371 | 0.3 | ||||||||||||||||
250,000 | Intel Corp., 1.950%, 10/01/16 | 259,221 | 0.1 | ||||||||||||||||
597,000 | Microsoft Corp., 2.950%, 06/01/14 | 615,527 | 0.3 | ||||||||||||||||
375,000 | NetApp, Inc., 2.000%, 12/15/17 | 377,685 | 0.2 | ||||||||||||||||
550,000 | Oracle Corp., 1.200%, 10/15/17 | 551,454 | 0.3 | ||||||||||||||||
342,000 | Oracle Corp., 3.750%, 07/08/14 | 356,335 | 0.2 | ||||||||||||||||
425,000 | Symantec Corp., 2.750%, 09/15/15 | 439,905 | 0.2 | ||||||||||||||||
488,000 | Texas Instruments, Inc., 0.450%, 08/03/15 | 486,971 | 0.3 | ||||||||||||||||
179,000 | Xerox Corp., 2.950%, 03/15/17 | 184,600 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
300,000 | Xerox Corp., 4.250%, 02/15/15 | $ | 316,145 | 0.2 | |||||||||||||||||||
6,581,168 | 3.7 | ||||||||||||||||||||||
Materials 2.5% | |||||||||||||||||||||||
273,000 | Barrick Gold Corp., 1.750%, 05/30/14 | 276,075 | 0.1 | ||||||||||||||||||||
134,000 | BHP Billiton Finance USA Ltd., 5.500%, 04/01/14 | 140,857 | 0.1 | ||||||||||||||||||||
500,000 | Cemex Finance, LLC, 9.500%, 12/14/16 | 543,750 | 0.3 | ||||||||||||||||||||
515,000 | Dow Chemical Co., 5.900%, 02/15/15 | 563,148 | 0.3 | ||||||||||||||||||||
489,000 | Eastman Chemical Co., 2.400%, 06/01/17 | 508,292 | 0.3 | ||||||||||||||||||||
588,000 | Ecolab, Inc., 1.000%, 08/09/15 | 589,896 | 0.3 | ||||||||||||||||||||
675,000 | EI du Pont de Nemours & Co., 1.750%, 03/25/14 | 683,744 | 0.4 | ||||||||||||||||||||
401,000 | Freeport-McMoRan Copper & Gold, Inc., 1.400%, 02/13/15 | 404,090 | 0.2 | ||||||||||||||||||||
325,000 | Rio Tinto Finance USA Ltd., 1.875%, 11/02/15 | 333,476 | 0.2 | ||||||||||||||||||||
96,000 | # | Xstrata Canada Financial Corp., 2.850%, 11/10/14 | 98,428 | 0.1 | |||||||||||||||||||
330,000 | # | Xstrata Finance Canada Ltd., 1.800%, 10/23/15 | 333,958 | 0.2 | |||||||||||||||||||
4,475,714 | 2.5 | ||||||||||||||||||||||
Telecommunication Services 2.2% | |||||||||||||||||||||||
525,000 | AT&T, Inc., 0.800%, 12/01/15 | 524,296 | 0.3 | ||||||||||||||||||||
337,000 | L | AT&T, Inc., 1.400%, 12/01/17 | 335,185 | 0.2 | |||||||||||||||||||
250,000 | AT&T, Inc., 5.625%, 06/15/16 | 285,674 | 0.2 | ||||||||||||||||||||
150,000 | Cellco Partnership / Verizon Wireless Capital, LLC, 5.550%, 02/01/14 | 155,901 | 0.1 | ||||||||||||||||||||
500,000 | Sprint Nextel Corp., 6.000%, 12/01/16 | 543,750 | 0.3 | ||||||||||||||||||||
1,293,000 | Verizon Communications, Inc., 1.950%, 03/28/14 | 1,311,778 | 0.8 | ||||||||||||||||||||
395,000 | Vodafone, 2.875%, 03/16/16 | 416,779 | 0.2 | ||||||||||||||||||||
243,000 | Vodafone Group PLC, 0.900%, 02/19/16 | 242,614 | 0.1 | ||||||||||||||||||||
3,815,977 | 2.2 | ||||||||||||||||||||||
Utilities 2.4% | |||||||||||||||||||||||
500,000 | # | Calpine Corp., 7.250%, 10/15/17 | 532,500 | 0.3 | |||||||||||||||||||
404,000 | Commonwealth Edison Co., 1.625%, 01/15/14 | 407,700 | 0.2 | ||||||||||||||||||||
112,000 | Dominion Resources, Inc., 1.800%, 03/15/14 | 113,269 | 0.1 | ||||||||||||||||||||
200,000 | Dominion Resources, Inc., 2.250%, 09/01/15 | 207,052 | 0.1 | ||||||||||||||||||||
100,000 | Entergy Louisiana, LLC, 1.875%, 12/15/14 | 102,083 | 0.1 | ||||||||||||||||||||
581,000 | NextEra Energy Capital Holdings, Inc., 1.200%, 06/01/15 | 585,705 | 0.3 | ||||||||||||||||||||
690,000 | Georgia Power Co., 0.625%, 11/15/15 | 690,071 | 0.4 | ||||||||||||||||||||
362,000 | Georgia Power Co., 0.750%, 08/10/15 | 363,512 | 0.2 | ||||||||||||||||||||
323,000 | Progress Energy, Inc., 5.625%, 01/15/16 | 363,557 | 0.2 | ||||||||||||||||||||
252,000 | PSEG Power, LLC, 2.750%, 09/15/16 | 262,327 | 0.1 | ||||||||||||||||||||
265,000 | Sempra Energy, 2.000%, 03/15/14 | 268,251 | 0.2 | ||||||||||||||||||||
236,000 | Southern California Edison Co., 5.750%, 03/15/14 | 247,329 | 0.1 | ||||||||||||||||||||
95,000 | Southern Co., 4.150%, 05/15/14 | 98,670 | 0.1 | ||||||||||||||||||||
4,242,026 | 2.4 | ||||||||||||||||||||||
Total Corporate Bonds/Notes (Cost $114,805,273) | 115,015,518 | 64.7 | |||||||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 5.2% | |||||||||||||||||||||||
290,813 | # | BAMLL-DB Trust, 2.343%, 04/13/29 | 295,310 | 0.2 | |||||||||||||||||||
447,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.621%, 07/10/43 | 453,998 | 0.3 | ||||||||||||||||||||
320,000 | Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18, 5.957%, 06/11/50 | 338,263 | 0.2 | ||||||||||||||||||||
227,061 | CD 2007-CD4 Commercial Mortgage Trust, 5.205%, 12/11/49 | 229,984 | 0.1 | ||||||||||||||||||||
160,000 | # | Commercial Mortgage Pass Through Certificates, 3.424%, 03/10/31 | 164,000 | 0.1 | |||||||||||||||||||
269,523 | Commercial Mortgage Pass-Through Certificates Series 2006-C5, 5.308%, 12/15/39 | 271,838 | 0.1 | ||||||||||||||||||||
162,229 | Commercial Mortgage Trust 2005-GG3, 4.619%, 08/10/42 | 165,559 | 0.1 | ||||||||||||||||||||
45,000 | # | CSMC Series 2009-RR3, 5.342%, 12/15/43 | 51,395 | 0.0 | |||||||||||||||||||
24,165 | CW Capital Cobalt Ltd., 5.731%, 05/15/46 | 24,191 | 0.0 | ||||||||||||||||||||
100,000 | # | Del Coronado Trust, 4.000%, 03/15/26 | 100,000 | 0.1 | |||||||||||||||||||
257,354 | GE Capital Commercial Mortgage Corp., 5.306%, 11/10/45 | 258,356 | 0.1 | ||||||||||||||||||||
368,397 | Greenwich Capital Commercial Funding Corp., 5.381%, 03/10/39 | 379,525 | 0.2 | ||||||||||||||||||||
97,675 | GS Mortgage Securities Corp. II, 5.479%, 11/10/39 | 99,189 | 0.1 | ||||||||||||||||||||
194,816 | GS Mortgage Securities Corp. II, 5.506%, 04/10/38 | 201,930 | 0.1 | ||||||||||||||||||||
150,000 | # | GS Mortgage Securities Trust 2013-NYC5 A, 2.318%, 01/10/30 | 153,809 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
170,000 | # | GS MTG, 1.050%, 11/08/29 | $ | 171,119 | 0.1 | ||||||||||||||
192,918 | # | JP Morgan Chase Commercial Mortgage Securities Corp., 4.158%, 01/12/39 | 197,164 | 0.1 | |||||||||||||||
332,649 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.298%, 05/15/47 | 337,784 | 0.2 | ||||||||||||||||
209,889 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.792%, 06/15/49 | 216,444 | 0.1 | ||||||||||||||||
120,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.790%, 02/15/51 | 124,559 | 0.1 | ||||||||||||||||
11,283 | JP Morgan Chase Commerical Mortgage Securities Corp., 5.247%, 01/12/43 | 11,380 | 0.0 | ||||||||||||||||
165,000 | JPMorgan Chase Commercial Mortgage Securities Corp. Series 2005-CIBC13, 5.298%, 01/12/43 | 169,335 | 0.1 | ||||||||||||||||
120,000 | LB-UBS Commercial Mortgage Trust, 5.150%, 04/15/30 | 129,888 | 0.1 | ||||||||||||||||
334,881 | LB-UBS Commercial Mortgage Trust, 5.300%, 11/15/38 | 350,569 | 0.2 | ||||||||||||||||
774,000 | LB-UBS Commercial Mortgage Trust, 5.347%, 11/15/38 | 878,466 | 0.5 | ||||||||||||||||
245,755 | ML-CFC Commercial Mortgage Trust 2007-9, 5.644%, 09/12/49 | 256,913 | 0.1 | ||||||||||||||||
270,000 | Morgan Stanley Capital I Trust 2006-TOP21, 5.185%, 10/12/52 | 273,559 | 0.1 | ||||||||||||||||
39,000 | Morgan Stanley Capital I Trust 2007-TOP25, 5.514%, 11/12/49 | 44,675 | 0.0 | ||||||||||||||||
296,000 | Morgan Stanley Capital I Trust 2007-TOP27, 5.651%, 06/11/42 | 347,266 | 0.2 | ||||||||||||||||
126,000 | Morgan Stanley Capital I, 4.989%, 08/13/42 | 135,839 | 0.1 | ||||||||||||||||
293,243 | Morgan Stanley Capital I, 5.187%, 11/14/42 | 293,253 | 0.2 | ||||||||||||||||
312,695 | Morgan Stanley Capital I, 5.575%, 04/12/49 | 319,449 | 0.2 | ||||||||||||||||
387,016 | Morgan Stanley Capital I, 5.649%, 12/15/44 | 401,327 | 0.2 | ||||||||||||||||
140,000 | Morgan Stanley Bank of America Merrill Lynch Trust, 3.134%, 12/15/48 | 144,992 | 0.1 | ||||||||||||||||
559,756 | Morgan Stanley Capital I Trust 2005-HQ6, 4.973%, 08/13/42 | 576,947 | 0.3 | ||||||||||||||||
100,000 | # | Motel 6 Trust, 1.500%, 10/05/25 | 100,765 | 0.1 | |||||||||||||||
273,000 | # | Motel 6 Trust, 1.948%, 10/05/25 | 275,579 | 0.2 | |||||||||||||||
136,619 | # | NorthStar 2012-1 Mortgage Trust, 1.404%, 08/25/29 | 136,796 | 0.1 | |||||||||||||||
68,603 | Wachovia Bank Commercial Mortgage Trust, 5.230%, 07/15/41 | 68,525 | 0.0 | ||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $9,152,031) | 9,149,940 | 5 .2 | |||||||||||||||||
ASSET-BACKED SECURITIES 10.0% | |||||||||||||||||||
Automobile Asset-Backed Securities 2.5% | |||||||||||||||||||
389,000 | Capital Auto Receivables Asset Trust 2013-1, 0.790%, 06/20/17 | 389,756 | 0.2 | ||||||||||||||||
326,000 | CarMax Auto Owner Trust, 0.890%, 08/17/18 | 326,145 | 0.2 | ||||||||||||||||
558,000 | CarMax Auto Owner Trust, 1.250%, 06/15/17 | 566,674 | 0.3 | ||||||||||||||||
486,000 | Honda Auto Receivables Owner Trust, 0.620%, 03/21/19 | 486,921 | 0.3 | ||||||||||||||||
481,000 | # | Hyundai Auto Lease Securitization Trust, 0.660%, 06/15/16 | 481,141 | 0.3 | |||||||||||||||
768,000 | Hyundai Auto Receivables Trust, 0.750%, 09/17/18 | 768,254 | 0.4 | ||||||||||||||||
649,000 | Nissan Auto Receivables Owner Trust, 1.000%, 07/16/18 | 655,773 | 0.4 | ||||||||||||||||
700,000 | SMART Trust/Australia, 1.050%, 10/14/18 | 698,338 | 0.4 | ||||||||||||||||
98,000 | Toyota Auto Receivables Owner Trust, 0.750%, 02/16/16 | 98,363 | 0.0 | ||||||||||||||||
4,471,365 | 2.5 | ||||||||||||||||||
Credit Card Asset-Backed Securities 0.6% | |||||||||||||||||||
582,000 | Citibank Credit Card Issuance Trust, 5.650%, 09/20/19 | 697,778 | 0.4 | ||||||||||||||||
418,000 | Dryrock Issuance Trust, 0.640%, 08/15/18 | 417,360 | 0.2 | ||||||||||||||||
1,115,138 | 0.6 | ||||||||||||||||||
Other Asset-Backed Securities 6.9% | |||||||||||||||||||
437,942 | # | Aimco CDO, 0.552%, 10/20/19 | 428,708 | 0.2 | |||||||||||||||
500,000 | # | Apidos CDO II, 1.101%, 12/21/18 | 469,816 | 0.3 | |||||||||||||||
421,581 | # | ARES X CLO Ltd., 2.280%, 09/18/17 | 418,843 | 0.2 | |||||||||||||||
250,000 | # | Atrium III, 2.287%, 10/27/16 | 244,529 | 0.1 | |||||||||||||||
500,000 | # | Atrium IV, 1.030%, 06/08/19 | 480,046 | 0.3 | |||||||||||||||
371,650 | # | Black Diamond CLO Ltd., 0.550%, 06/20/17 | 369,781 | 0.2 | |||||||||||||||
370,826 | # | Castle Garden Funding, 0.547%, 10/27/20 | 366,574 | 0.2 | |||||||||||||||
250,000 | # | Castle Garden Funding, 1.037%, 10/27/20 | 239,692 | 0.1 | |||||||||||||||
300,000 | # | Castle Garden Funding, 5.037%, 10/27/20 | 300,399 | 0.2 | |||||||||||||||
500,000 | # | Clydesdale CLO 2005 Ltd, 0.755%, 12/06/17 | 487,777 | 0.3 | |||||||||||||||
500,000 | # | Clydesdale Strategic CLO Ltd., 1.289%, 01/20/17 | 498,091 | 0.3 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
589,000 | CNH Equipment Trust, 0.650%, 04/16/18 | $ | 588,806 | 0.3 | |||||||||||||||
447,778 | # | Emporia Preferred Funding II Corp., 0.583%, 10/18/18 | 443,479 | 0.2 | |||||||||||||||
575,000 | # | Emporia Preferred Funding, 0.803%, 10/18/18 | 543,566 | 0.3 | |||||||||||||||
404,718 | # | Grayston CLO Ltd., 1.590%, 08/15/16 | 404,754 | 0.2 | |||||||||||||||
375,000 | # | Gulf Stream—Compass CLO 2005-I Ltd, 2.190%, 05/15/17 | 359,248 | 0.2 | |||||||||||||||
500,000 | # | Gulf Stream—Compass CLO 2005-II Ltd, 1.102%, 01/24/20 | 473,683 | 0.3 | |||||||||||||||
300,000 | # | Gulf Stream—Sextant CLO 2006-1 Ltd., 0.989%, 08/21/20 | 277,516 | 0.2 | |||||||||||||||
500,000 | # | Gulf Stream—Sextant CLO Ltd., 0.629%, 08/21/20 | 485,983 | 0.3 | |||||||||||||||
475,000 | # | Gulf Stream Compass CLO Ltd., 0.710%, 05/15/17 | 471,702 | 0.3 | |||||||||||||||
500,000 | # | Hewett’s Island CLO II Ltd., 2.680%, 12/15/16 | 499,970 | 0.3 | |||||||||||||||
350,000 | # | Integral Funding, Inc., 4.804%, 09/27/17 | 349,965 | 0.2 | |||||||||||||||
500,000 | # | Katonah VI Ltd., 2.480%, 09/20/16 | 500,220 | 0 .3 | |||||||||||||||
475,000 | # | Landmark IV CDO Ltd, 2.430%, 12/15/16 | 469,275 | 0.3 | |||||||||||||||
500,000 | # | Landmark VI CDO Ltd, 0.805%, 01/14/18 | 485,826 | 0.3 | |||||||||||||||
392,683 | # | Lightpoint CLO Ltd., 0.540%, 09/15/17 | 387,428 | 0.2 | |||||||||||||||
250,000 | # | Madison Park Funding I Ltd., 2.192%, 05/10/19 | 242,399 | 0.1 | |||||||||||||||
250,000 | Madison Park Funding I Ltd., 5.042%, 05/10/19 | 250,202 | 0.1 | ||||||||||||||||
300,000 | # | Marathon CLO I Ltd, 2.201%, 07/26/19 | 298,887 | 0.2 | |||||||||||||||
375,870 | # | Whitney CLO Ltd., 0.737%, 03/01/17 | 374,601 | 0.2 | |||||||||||||||
12,211,766 | 6.9 | ||||||||||||||||||
Total Asset-Backed Securities (Cost $17,803,165) | 17,798,269 | 10.0 | |||||||||||||||||
FOREIGN GOVERNMENT BONDS 0.6% | |||||||||||||||||||
Foreign Government Securities 0.6% | |||||||||||||||||||
1,000,000 | Svenska Handelsbanken AB, 0.362%, 05/04/14 | 999,524 | 0.6 | ||||||||||||||||
Total Foreign Government Bonds (Cost $999,500) | 999,524 | 0.6 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS 2.8% | |||||||||||||||||||
U.S. Treasury Bonds 0.3% | |||||||||||||||||||
550,000 | 2.000%, due 02/15/23 | 557,477 | 0.3 | ||||||||||||||||
U.S. Treasury Notes 2.5% | |||||||||||||||||||
2,317,000 | 0.250%, due 02/28/15 | 2,317,544 | 1.3 | ||||||||||||||||
1,935,000 | 0.375%, due 03/15/16 | 1,936,664 | 1.1 | ||||||||||||||||
141,000 | 0.750%, due 02/28/18 | 141,055 | 0.1 | ||||||||||||||||
85,000 | 0.750%, due 03/31/18 | 84,947 | 0.0 | ||||||||||||||||
4,480,210 | 2.5 | ||||||||||||||||||
Total U.S. Treasury Obligations (Cost $5,026,649) | 5,037,687 | 2.8 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS 13.8% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation 5.3%## | |||||||||||||||||||
1,802,828 | 4.500%, due 09/01/41 | 1,960,782 | 1.1 | ||||||||||||||||
2,044,222 | 5.000%, due 07/15/39 | 2,184,958 | 1.2 | ||||||||||||||||
298,925 | 5.500%, due 01/01/37 | 331,027 | 0.2 | ||||||||||||||||
2,163,036 | 5.500%, due 07/01/38 | 2,372,397 | 1.3 | ||||||||||||||||
817,596 | 5.500%, due 07/01/38 | 914,236 | 0.5 | ||||||||||||||||
558,878 | 5.500%, due 08/01/38 | 621,724 | 0.4 | ||||||||||||||||
66,787 | 5.500%, due 10/01/38 | 73,512 | 0.1 | ||||||||||||||||
63,706 | 5.500%, due 10/01/38 | 70,121 | 0.0 | ||||||||||||||||
786,766 | 5.500%, due 02/01/39 | 865,994 | 0.5 | ||||||||||||||||
9,394,751 | 5.3 | ||||||||||||||||||
Federal National Mortgage Association 7.3%## | |||||||||||||||||||
899,170 | 3.000%, due 12/25/39 | 924,320 | 0.5 | ||||||||||||||||
1,119,053 | 3.000%, due 04/25/40 | 1,167,267 | 0.7 | ||||||||||||||||
937,050 | 3.000%, due 05/25/40 | 970,384 | 0.5 | ||||||||||||||||
937,000 | W | 3.500%, due 09/25/41 | 989,706 | 0.6 | |||||||||||||||
1,194,755 | 3.500%, due 12/01/42 | 1,262,781 | 0.7 | ||||||||||||||||
1,013,450 | 4.000%, due 10/25/50 | 1,061,400 | 0.6 | ||||||||||||||||
1,055,519 | 4.500%, due 10/25/40 | 1,106,487 | 0.6 | ||||||||||||||||
1,492,735 | 5.000%, due 01/01/23 | 1,612,081 | 0.9 | ||||||||||||||||
731,773 | 5.000%, due 07/01/34 | 797,488 | 0.4 | ||||||||||||||||
317,690 | 5.500%, due 10/25/32 | 319,723 | 0.2 | ||||||||||||||||
2,536,218 | 5.500%, due 08/01/36 | 2,816,682 | 1.6 | ||||||||||||||||
13,028,319 | 7.3 | ||||||||||||||||||
Government National Mortgage Association 1.2% | |||||||||||||||||||
1,990,483 | 4.000%, due 02/20/43 | 2,154,962 | 1.2 | ||||||||||||||||
Total U.S. Government Agency Obligations (Cost $24,479,384) | 24,578,032 | 13 .8 | |||||||||||||||||
Total Long-Term Investments (Cost $172,266,002) | 172,578,970 | 97.1 | |||||||||||||||||
SHORT-TERM INVESTMENTS 1.7% | |||||||||||||||||||
Commercial Paper 0.3% | |||||||||||||||||||
500,000 | Vodafone, 4.000%, 01/02/14 (Cost $497,560) | 497,560 | 0.3 | ||||||||||||||||
Securities Lending Collateralcc(1) 0.7% | |||||||||||||||||||
226,857 | Citigroup, Inc., Repurchase Agreement dated 03/28/13, 0.15%, due 04/01/13 (Repurchase Amount $226,861, collateralized by various U.S. Government Securities, 0.250%-6.125%, Market Value plus accrued interest $231,395, due 10/31/13-02/15/43) | 226,857 | 0.1 |
AS OF MARCH 31, 2013 (CONTINUED)
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1,000,000 | Mizuho Securities USA Inc., Repurchase Agreement dated 03/28/13, 0.28%, due 04/01/13 (Repurchase Amount $1,000,031, collateralized by various U.S. Government /U.S. Government Agency Obligations, 0.000%-9.000%, Market Value plus accrued interest $1,020,001, due 02/15/14-04/15/54) | $ | 1,000,000 | 0.6 | ||||||||||||||
1,226,857 | 0.7 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds 0.7% | ||||||||||||||||||
1,282,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $1,282,000) | 1,282,000 | 0.7 | |||||||||||||||
Total Short-Term Investments (Cost $3,006,417) | 3,006,417 | 1 .7 | ||||||||||||||||
Total Investments in Securities (Cost $175,272,419) | $ | 175,585,387 | 98.8 | |||||||||||||||
Assets in Excess of Other Liabilities | 2,077,854 | 1.2 | ||||||||||||||||
Net Assets | $ | 177,663,241 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. |
cc | Securities purchased with cash collateral for securities loaned. |
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 March 31, 2013. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $175,273,366. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 471,565 | ||||
Gross Unrealized Depreciation | (159,544 | ) | ||||
Net Unrealized Appreciation | $ | 312,021 |
AS OF MARCH 31, 2013 (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 March 31, 2013 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 115,015,518 | $ | — | $ | 115,015,518 | ||||||||||
Collateralized Mortgage Obligations | — | 9,149,940 | — | 9,149,940 | ||||||||||||||
Short-Term Investments | 1,282,000 | 1,724,417 | — | 3,006,417 | ||||||||||||||
Foreign Government Bonds | — | 999,524 | — | 999,524 | ||||||||||||||
U.S. Treasury Obligations | — | 5,037,687 | — | 5,037,687 | ||||||||||||||
Asset-Backed Securities | — | 17,798,269 | — | 17,798,269 | ||||||||||||||
U.S. Government Agency Obligations | — | 24,578,032 | — | 24,578,032 | ||||||||||||||
Total Investments, at fair value | $ | 1,282,000 | $ | 174,303,387 | $ | — | $ | 175,585,387 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 4,944 | — | — | 4,944 | ||||||||||||||
Total Assets | $ | 1,286,944 | $ | 174,303,387 | $ | — | $ | 175,590,331 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (132,814 | ) | $ | — | $ | — | $ | (132,814 | ) | ||||||||
Total Liabilities | $ | (132,814 | ) | $ | — | $ | — | $ | (132,814 | ) |
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) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
U.S. Treasury 2-Year Note | 212 | 06/28/13 | $ | 46,736,061 | $ | (2,687 | ) | |||||||||||
U.S. Treasury Long Bond | 13 | 06/19/13 | 1,878,094 | 4,944 | ||||||||||||||
$ | 48,614,155 | $ | 2,257 | |||||||||||||||
Short Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | (245 | ) | 06/19/13 | (32,336,173 | ) | (126,983 | ) | |||||||||||
U.S. Treasury 5-Year Note | (23 | ) | 06/28/13 | (2,853,258 | ) | (3,144 | ) | |||||||||||
$ | (35,189,431 | ) | $ | (130,127 | ) |
AS OF MARCH 31, 2013
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT COMPANIES 80.8% | |||||||||||||||||||
Affiliated Investment Companies 80.8% | |||||||||||||||||||
99,862 | ING Floating Rate Fund — Class I | $ | 1,026,584 | 20.1 | |||||||||||||||
61,592 | ING Emerging Markets Corporate Debt Fund Class P | 644,257 | 12.6 | ||||||||||||||||
24,994 | ING Emerging Markets Hard Currency Sovereign Debt Fund Class P | 252,438 | 4.9 | ||||||||||||||||
88,932 | ING Emerging Markets Local Currency Debt Fund Class P | 903,545 | 17.6 | ||||||||||||||||
157,428 | ING High Yield Bond Fund — Class I | 1,311,371 | 25.6 | ||||||||||||||||
Total Investment Companies (Cost $4,083,819) | 4,138,195 | 80.8 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS 3.8% | |||||||||||||||||||||||
10,000 | Banc of America Commercial Mortgage Trust 2007-3, 5.623%, 06/10/49 | 9,882 | 0.2 | ||||||||||||||||||||
12,798 | Banc of America Alternative Loan Trust 2007-2, 6.000%, 06/25/37 | 10,228 | 0.2 | ||||||||||||||||||||
10,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.339%, 07/10/43 | 10,320 | 0.2 | |||||||||||||||||||
10,000 | # | First Union National Bank Com Mort Pas Thr Cert Ser 2001 C4, 6.000%, 12/12/33 | 10,116 | 0.2 | |||||||||||||||||||
10,000 | GS Mort Sec Corp. II Commercial Mort Ps Thr Cert Ser 2004-GG2, 5.644%, 08/10/38 | 9,203 | 0.2 | ||||||||||||||||||||
1,000,000 | #,ˆ | JP Morgan Chase Commercial Mortgage Securities Corp., 0.361%, 12/15/47 | 28,656 | 0.5 | |||||||||||||||||||
16,580 | JP Morgan Mortgage Trust 2006-S4, 6.000%, 01/25/37 | 14,759 | 0.3 | ||||||||||||||||||||
10,000 | LB Commercial Conduit Mortgage Trust, 5.864%, 07/15/44 | 11,584 | 0.2 | ||||||||||||||||||||
10,000 | LB Commercial Mortgage Trust 2007-C3, 5.864%, 07/15/44 | 9,858 | 0.2 | ||||||||||||||||||||
10,000 | LB-UBS Commercial Mortgage Trust 2005-C3, 4.954%, 07/15/40 | 9,704 | 0.2 | ||||||||||||||||||||
10,000 | LB-UBS Commercial Mortgage Trust 2005-C3, 5.013%, 07/15/40 | 8,508 | 0.2 | ||||||||||||||||||||
10,000 | LB-UBS Commercial Mortgage Trust 2000-C4, 8.150%, 07/15/32 | 10,674 | 0.2 | ||||||||||||||||||||
10,000 | LB-UBS Commercial Mortgage Trust 2004-C6, 5.206%, 08/15/36 | 9,916 | 0.2 | ||||||||||||||||||||
99,870 | ˆ | Morgan Stanley Bank of America Merrill Lynch Trust, 1.530%, 12/15/48 | 8,343 | 0.1 | |||||||||||||||||||
10,000 | # | Morgan Stanley Capital I Trust 2004-HQ3, 5.079%, 01/13/41 | 10,023 | 0.2 | |||||||||||||||||||
18,160 | Prime Mortgage Trust 2007-1, 5.500%, 03/25/37 | 15,650 | 0.3 | ||||||||||||||||||||
10,000 | # | Salomon Brothers Mortgage Securities VII, Inc., 7.000%, 05/18/32 | 10,140 | 0.2 | |||||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $197,407) | 197,564 | 3.8 | |||||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS 15.7% | |||||||||||||||||||||||
Federal National Mortgage Association 10.5%## | |||||||||||||||||||||||
342,000 | W | 3.000%, due 05/01/43 | 351,886 | 6.9 | |||||||||||||||||||
145,000 | W | 3.500%, due 09/25/41 | 153,156 | 3.0 | |||||||||||||||||||
190,441 | ˆ | 3.500%, due 10/20/41 | 29,567 | 0.6 | |||||||||||||||||||
534,609 | 10.5 | ||||||||||||||||||||||
Government National Mortgage Association 5.2% | |||||||||||||||||||||||
250,000 | W | 3.500%, due 05/15/43 | 268,164 | 5.2 | |||||||||||||||||||
Total U.S. Government Agency Obligations (Cost $794,777) | 802,773 | 15.7 | |||||||||||||||||||||
U.S. TREASURY OBLIGATIONS 12.2% | |||||||||||||||||||||||
U.S. Treasury Bonds 5.4% | |||||||||||||||||||||||
88,000 | 2.000%, due 02/15/23 | 89,196 | 1.8 | ||||||||||||||||||||
199,000 | 2.750%, due 11/15/42 | 184,884 | 3.6 | ||||||||||||||||||||
274,080 | 5.4 | ||||||||||||||||||||||
U.S. Treasury Notes 6.8% | |||||||||||||||||||||||
70,000 | 0.250%, due 02/28/15 | 70,016 | 1.3 | ||||||||||||||||||||
40,000 | 0.375%, due 03/15/16 | 40,034 | 0.8 | ||||||||||||||||||||
137,000 | 0.750%, due 02/28/18 | 137,054 | 2.7 | ||||||||||||||||||||
82,000 | 0.750%, due 03/31/18 | 81,949 | 1.6 | ||||||||||||||||||||
20,000 | 1.250%, due 02/29/20 | 20,051 | 0.4 | ||||||||||||||||||||
349,104 | 6.8 | ||||||||||||||||||||||
Total U.S. Treasury Obligations (Cost $620,559) | 623,184 | 12.2 | |||||||||||||||||||||
Total Long-Term Investments (Cost $5,696,562) | 5,761,716 | 112.5 | |||||||||||||||||||||
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||||||
SHORT-TERM INVESTMENTS 0.3% | |||||||||||||||||||||||
Mutual Funds 0.3% | |||||||||||||||||||||||
15,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $15,000) | 15,000 | 0.3 | ||||||||||||||||||||
Total Short-Term Investments (Cost $15,000) | 15,000 | 0.3 | |||||||||||||||||||||
Total Investments in Securities (Cost $5,711,562) | $ | 5,776,716 | 112.8 | ||||||||||||||||||||
Liabilities in Excess of Other Assets | (655,862 | ) | (12.8 | ) | |||||||||||||||||||
Net Assets | $ | 5,120,854 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. |
W | Settlement is on a when-issued or delayed-delivery basis. |
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 $5,711,672. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 70,731 | ||||
Gross Unrealized Depreciation | (5,687 | ) | ||||
Net Unrealized Appreciation | $ | 65,044 |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Nominating Committee. The Nominating Committee operates pursuant to a Charter approved by the Board. The primary purpose of the Nominating Committee is to consider, evaluate and make recommendations to the Board with respect to the nomination and selection of Independent Trustees. In evaluating candidates, the Nominating Committee may consider a variety of factors, but specific qualifications of candidates for Board membership will be based on the needs of the Board at the time of nomination.
The Nominating Committee is willing to consider nominations received from shareholders and shall assess shareholder nominees in the same manner as it reviews nominees it identifies. A shareholder nominee for director should be submitted in writing to the Fund’s Secretary. Any such shareholder nomination should include sufficient background information concerning the candidate and should be received in a timely manner. At a minimum, the following information as to each individual proposed for nomination as director should be included: the individual’s written consent to be named in the proxy statement as a nominee (if nominated) and to serve as a director (if elected), and all information relating to such individual that is required to be disclosed in a solicitation of proxies for election of directors, or is otherwise required, in each case under applicable federal securities laws, rules and regulations.
The Secretary shall submit all nominations received in a timely manner to the Nominating Committee. To be timely, any such submission must be delivered to the Fund’s Secretary not earlier than the 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 SEC.
In evaluating a candidate for the position of Independent Trustee, including any candidate recommended by
1
shareholders of the Fund, the Nominating Committee shall consider the following: (i) the candidate’s knowledge in matters relating to the mutual fund industry; (ii) any experience possessed by the candidate as a director or senior officer of other public companies; (iii) the candidate’s educational background, reputation for high ethical standards and professional integrity; (iv) any specific financial, technical or other expertise possessed by the candidate, and the extent to which such expertise would complement the Board’s existing mix of skills, core competencies and qualifications; (v) the candidate’s perceived ability to contribute to the ongoing functions of the Board, including the candidate’s ability and commitment to attend meetings regularly and work collaboratively with other members of the Board; (vi) the candidate’s ability to qualify as an Independent Trustee for purposes of the 1940 Act; and (vii) such other factors as the Committee determines to be relevant in light of the existing composition of the Board and any anticipated vacancies. Prior to making a final recommendation to the Board, the Committee shall conduct personal interviews with those candidates it concludes are the most qualified candidates.
ITEM 10. 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 11. EXHIBITS.
(a)(1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(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. |
(b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT |
(3) | Not applicable. |
2
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: June 6, 2013 |
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: June 6, 2013 |
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer | ||
Date: June 6, 2013 |