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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-10223
ING Senior Income Fund
(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: | February 28 |
|
|
Date of reporting period: | August 31, 2011 |
Item 1. Reports to Stockholders.
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1):
Funds
Semi-Annual Report
August 31, 2011
ING Senior Income Fund
E-Delivery Sign-up – details inside
This report is submitted for general information to shareholders of the ING Funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the fund's investment objectives, risks, charges, expenses and other information. This information should be read carefully.
ING Senior Income Fund
SEMI-ANNUAL REPORT
August 31, 2011
Table of Contents
Portfolio Managers' Report | 2 | ||||||
Statement of Assets and Liabilities | 7 | ||||||
Statement of Operations | 9 | ||||||
Statements of Changes in Net Assets | 10 | ||||||
Statement of Cash Flows | 11 | ||||||
Financial Highlights | 12 | ||||||
Notes to Financial Statements | 14 | ||||||
Portfolio of Investments | 23 | ||||||
Additional Information | 42 | ||||||
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ING Senior Income Fund
PORTFOLIO MANAGERS' REPORT
Dear Shareholders:
ING Senior Income Fund (the "Fund") is a continuously offered, diversified, closed-end management investment company that seeks to provide investors with a high level of monthly income. The Fund seeks to achieve this objective by investing under normal market conditions, at least 80% of its net assets (plus borrowings for investment purposes) in U.S. dollar denominated floating rate secured senior loans.
PORTFOLIO CHARACTERISTICS AS OF AUGUST 31, 2011 | |||||||
Net Assets | $ | 642,397,206 | |||||
Total Assets | $ | 961,238,840 | |||||
Assets Invested in Senior Loans | $ | 841,632,028 | |||||
Senior Loans Represented | 448 | ||||||
Average Amount Outstanding per Loan | $ | 1,878,643 | |||||
Industries Represented | 36 | ||||||
Average Loan Amount per Industry | $ | 23,378,667 | |||||
Portfolio Turnover Rate (YTD) | 40 | % | |||||
Weighted Average Days to Interest Rate Reset | 37 | ||||||
Average Loan Final Maturity | 57 months | ||||||
Total Leverage as a Percentage of Total Assets | 25.18 | % |
PERFORMANCE SUMMARY
During the six months ended August 31, 2011, the Fund's Class A shares distributed total dividends of $0.30, resulting in an average annualized distribution rate(1) of 4.94%. The Fund's Class I and W shares each distributed total dividends of $0.32, resulting in an average annualized distribution rate(1) of 5.22% and 5.21%, respectively. During the same period, the Fund's Class B and Class C shares each distributed total dividends of $0.27, resulting in an average annualized distribution rate(1) of 4.42% and 4.41%, respectively.
The Fund's total return for the six months ended August 31, 2011, excluding sales charges and based on full reinvestment of dividends, for Class A, Class B, Class C, Class I and Class W was (6.91)%, (7.09)%, (7.08)%, (6.80)%, (6.71)%, respectively. For the same period, the S&P/LSTA Leveraged Loan Index (the "Index")(2) had a gross return of (4.11)%.
MARKET AND PORTFOLIO UPDATE
The U.S. leveraged loan market (as represented by the Index) in March reported its first negative monthly total return for 2011. The uptick in volatility was attributable largely to a series of negative developments around the world: specifically, the spread of political turmoil in the Middle East, Japan's natural and nuclear disasters and an increasing flow of data that suggested the U.S. economy might be decelerating (the moribund housing market and a stubbornly high jobless rate being front and center). Despite these headwinds, loan prices remained reasonably firm in the
(1) The distribution rate is calculated by annualizing dividends declared during the period and dividing the resulting annualized dividend by the Fund's average month-end net asset value. The distribution rate is based solely on the actual dividends and distributions, which are made at the discretion of management. The distribution rate may or may not include all investment income and ordinarily will not include capital gains or losses, if any.
(2) The Index is 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 and the Loan Syndications and Trading Association ("LSTA") conceived the Index to establish a performance benchmark for the syndicated leveraged loan industry. An investor cannot invest directly in an index.
2
ING Senior Income Fund
PORTFOLIO MANAGERS' REPORT (continued)
TOP TEN SENIOR LOAN ISSUERS AS OF AUGUST 31, 2011 AS A PERCENTAGE OF: | |||||||||||
TOTAL ASSETS | NET ASSETS | ||||||||||
PBL Media Finance Pty., Ltd. | 2.1 | % | 3.2 | % | |||||||
Univision Communications, Inc. | 1.8 | % | 2.7 | % | |||||||
Texas Competitive Electric Holdings Company, LLC | 1.7 | % | 2.5 | % | |||||||
First Data Corporation | 1.4 | % | 2.1 | % | |||||||
Harrahs Operating Company, Inc | 1.2 | % | 1.9 | % | |||||||
UPC Broadband Holding, B.V. | 1.0 | % | 1.5 | % | |||||||
Asurion, LLC | 0.9 | % | 1.4 | % | |||||||
Delta | 0.8 | % | 1.2 | % | |||||||
Momentive Specialty Chemicals Inc | 0.8 | % | 1.2 | % | |||||||
Dynegy Holdings Inc. | 0.8 | % | 1.1 | % |
Subject to change daily.
early part of the reporting period, supported at that time by expectations that central banks in developed economies were likely to raise interest rates in response to rising inflation.
In August, however, macroeconomic and political conditions worsened. Investors were unnerved by another swell of negativity — most notably the political infighting over the U.S. debt ceiling and the resulting downgrade of America's sovereign credit rating by Standard & Poor's, as well as the persistent escalation of the European debt crisis. In that context, when the U.S. Federal Reserve announced it would keep rates at current levels until at least 2013, the strong demand for floating-rate credit risk that had been evident earlier in the year quickly diminished. As a result, prices for loans and other credit-sensitive fixed income securities retreated, and overall volatility remained elevated throughout the balance of the reporting period.
The Fund's performance for the six months ended August 31, 2011 was impacted by market-wide risk aversion. A large portion of this volatility was directed at loans that are larger in size and more actively traded, a part of the market in which the Fund has historically been significantly positioned. What's more, the use of leverage for investment purposes had an unfavorable impact on performance, due to price declines. Market bellwether issuers such as Univision Communications, First Data Corporation and Texas Competitive Electric Holdings Company, which are among the Fund's largest positions, were among those actively traded loans that experienced disproportionate market value declines during the period. The Fund's allocation to European loans — the vast majority of which are issued by western and northern European corporate issuers — was noticeably beneficial to performance during the first half of the year. These loans became a detractor, however, as a result of the increased volatility and uncertainly emanating from European credit markets.
On the plus side, fundamental credit performance as measured by default activity continued to be positive. The Fund's emphasis on more highly-rated loans did provide a bit of a positive offset, as investors sought quality in the midst of the recent volatility. The Fund incurred only one default during the past six months; there was no material impact on NAV or distribution yield.
TOP TEN INDUSTRY SECTORS AS OF AUGUST 31, 2011 AS A PERCENTAGE OF: | |||||||||||
TOTAL ASSETS | NET ASSETS | ||||||||||
Healthcare, Education and Childcare | 9.9 | % | 14.8 | % | |||||||
Printing & Publishing | 6.6 | % | 9.8 | % | |||||||
Retail Stores | 6.5 | % | 9.7 | % | |||||||
Data and Internet Services | 5.5 | % | 8.2 | % | |||||||
Radio and TV Broadcasting | 4.4 | % | 6.5 | % | |||||||
Utilities | 3.7 | % | 5.5 | % | |||||||
North American Cable | 3.5 | % | 5.3 | % | |||||||
Diversified / Conglomerate Service | 3.3 | % | 5.0 | % | |||||||
Containers, Packaging & Glass | 3.1 | % | 4.6 | % | |||||||
Gaming | 3.0 | % | 4.5 | % |
Subject to change daily.
OUTLOOK
Looking immediately ahead, we believe it's fair to conclude the world has become a riskier
3
ING Senior Income Fund
PORTFOLIO MANAGERS' REPORT (continued)
Ratings Distribution as of August 31, 2011 | |||||||
Baa | 0.1 | % | |||||
Ba | 40.9 | % | |||||
B | 45.3 | % | |||||
Caa and below | 3.5 | % | |||||
Not rated* | 10.2 | % |
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.
place; overall volatility has increased substantially and could remain elevated for some time. The near-term path of the loan market will depend on key factors such as the European Union's response to the region's growing debt problem and, here at home, the U.S. Federal Reserve's attempts to restore investor confidence and stimulate the domestic economy. While downside risks to U.S. and global economic growth are clearly rising and will need to be managed, we do take comfort in the fact that earnings trends across the majority of the issuers in the Fund remain generally positive. During the most recent reporting season, there were few disappointments to the downside. Further, through a multi-year process of balance sheet strengthening (i.e., growing cash and reducing debt leverage), the majority of issuers in the portfolio appear to enjoy a reasonable cushion against what could be (or feel like) a greater than expected decline in economic activity.
The recent pullback in loan prices has made reaching initial full-year 2011 return expectations a difficult task. However, it has created a return profile for loans which looks appealing when weighed against even a reasonably conservative forecast for both global economic growth and company-specific performance.
Jeffrey A. Bakalar Senior Vice President Senior Portfolio Manager ING Investment Management Co. | Daniel A. Norman Senior Vice President Senior Portfolio Manager ING Investment Management Co. | ||||||
ING Senior Income Fund
September 30, 2011
4
ING Senior Income Fund
PORTFOLIO MANAGERS' REPORT (continued)
Average Annual Total Net Returns for the Periods Ended August 31, 2011 | |||||||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | Since Inception of Class I and W April 15, 2008 | |||||||||||||||||||
Including Sales Charge: | |||||||||||||||||||||||
Class A(1) | (0.67 | )% | 1.71 | % | 0.80 | % | 3.32 | % | — | ||||||||||||||
Class B(2) | (1.55 | )% | 1.48 | % | 0.67 | % | 2.79 | % | — | ||||||||||||||
Class C(3) | 0.39 | % | 2.06 | % | 0.83 | % | 2.80 | % | — | ||||||||||||||
Class I | 2.20 | % | 2.91 | % | — | — | 3.24 | % | |||||||||||||||
Class W | 2.12 | % | 2.93 | % | — | — | 3.32 | % | |||||||||||||||
Excluding Sales Charge: | |||||||||||||||||||||||
Class A | 1.86 | % | 2.57 | % | 1.32 | % | 3.32 | % | — | ||||||||||||||
Class B | 1.36 | % | 2.07 | % | 0.83 | % | 2.79 | % | — | ||||||||||||||
Class C | 1.36 | % | 2.06 | % | 0.83 | % | 2.80 | % | — | ||||||||||||||
Class I | 2.20 | % | 2.91 | % | — | — | 3.24 | % | |||||||||||||||
Class W | 2.12 | % | 2.93 | % | — | — | 3.32 | % | |||||||||||||||
S&P/LSTA Leveraged Loan Index(4) | 2.79 | % | 5.86 | % | 3.98 | % | 4.55 | % | 5.35 | % |
Total net returns reflect that ING Investments, LLC (the Fund's "Investment Adviser") may have waived, reimbursed or recouped fees and expenses otherwise payable by the Fund.
Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. The Fund's future performance may be lower or higher than the performance data shown. Please log on to www.ingfunds.com or call (800) 992-0180 to get performance through the most recent month-end.
This report contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers' views are subject to change at any time based on market and other conditions.
Fund holdings are subject to change daily.
(1) Return calculations for the period beginning April 2, 2001 through June 30, 2002, reflect no deduction of a front-end sales charge. Return calculations for the period beginning July 1, 2002 through October 10, 2004, reflect deduction of the maximum Class A sales charge of 4.75%. Return calculations with a starting date after October 11, 2004 are based on a 2.50% sales charge. There is no front-end sales charge if you purchase Class A common shares in an amount of $1 million or more. However, the shares will be subject to a 1.00% Early Withdrawal Charge ("EWC") if they are repurchased by the Fund within one year of purchase.
(2) Class B maximum EWC is 3.00% in the first year, declining to 1.00% in the fifth year and eliminated thereafter.
(3) Class C maximum EWC is 1.00% for the first year.
(4) Source: S&P/Loan Syndications and Trading Association. The S&P/LSTA Leveraged Loan Index is 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 and the LSTA conceived the Index to establish a performance benchmark for the syndicated leveraged loan industry. An investor cannot invest directly in an index. Since inception performance for the index is shown from May 1, 2008 for Class I and Class W common shares.
5
ING Senior Income Fund
PORTFOLIO MANAGERS' REPORT (continued)
YIELDS AND DISTRIBUTION RATES | |||||||||||||||||||||||
30-Day SEC Yields(1) | |||||||||||||||||||||||
Class A | Class B | Class C | Class I | Class W | |||||||||||||||||||
August 31, 2011 | 5.46 | % | 5.15 | % | 5.14 | % | 5.91 | % | 5.86 | % | |||||||||||||
February 28, 2011 | 5.09 | % | 4.69 | % | 4.69 | % | 5.50 | % | 5.49 | % | |||||||||||||
Average Annualized Distribution Rates(2) | |||||||||||||||||||||||
Class A | Class B | Class C | Class I | Class W | |||||||||||||||||||
August 31, 2011 | 4.94 | % | 4.42 | % | 4.41 | % | 5.22 | % | 5.21 | % | |||||||||||||
February 28, 2011 | 4.37 | % | 3.89 | % | 3.88 | % | 4.63 | % | 4.61 | % |
(1) Yield is calculated by dividing the Fund's net investment income per share for the most recent thirty days by the net asset value. Yield calculations do not include any commissions or sales charges, and are compounded for six months and annualized for a twelve-month period to derive the Fund's yield consistent with the Securities Exchange Commission standardized yield formula for open-end investment companies.
(2) Distribution Rates are calculated by annualizing dividends declared during the period (i.e., by dividing the monthly dividend amount by the number of days in the month and multiplying by the number of days in the fiscal year) and then dividing the resulting annualized dividend by the month-ending NAV.
Risk is inherent in all investing. The following are the principal risks associated with investing in the Fund. This is not, and is not intended to be, a description of all risks of investing in the Fund. A more detailed description of the risks of investing in the Fund is contained in the Fund's current prospectus.
Credit Risk: The Fund invests a substantial portion of its assets in below investment grade senior loans and other below investment grade assets. Below investment grade loans involve a greater risk that borrowers may not make timely payment of the interest and principal due on their loans. They also involve a greater risk that the value of such loans could decline significantly. If borrowers do not make timely payments of the interest due on their loans, the yield on the Fund's common shares will decrease. If borrowers do not make timely payment of the principal due on their loans, or if the value of such loans decreases, the value of the Fund's NAV will decrease.
Interest Rate Risk: Changes in short-term market interest rates will directly affect the yield on the Fund's common shares. If short-term market interest rates fall, the yield on the Fund will also fall. To the extent that the credit spreads on loans in the Fund experience a general decline, the yield on the Fund will fall and the value of the Fund's assets may decrease, which will cause the Fund's value to decrease. Conversely, when short-term market interest rates rise, because of the lag between changes in such short-term rates and the resetting of the floating rates on assets in the Fund's portfolio, the impact of rising rates will be delayed to the extent of such lag.
Leverage Risk: The Fund's use of leverage through borrowings or the issuance of preferred shares can adversely affect the yield on the Fund's Common Shares. To the extent that the Fund is unable to invest the proceeds from the use of leverage in assets which pay interest at a rate which exceeds the rate paid on the leverage, the yield on the Fund's Common Shares will decrease. In addition, in the event of a general market decline in the value of assets such as those in which the Fund invests, the effect of that decline will be magnified in the Fund because of the additional assets purchased with the proceeds of the leverage. The Fund also faces the risk that it might have to sell assets at relatively less advantageous times if it were forced to de-leverage if a source of leverage becomes unavailable.
Liquidity Risk: The Fund does not repurchase its shares on a daily basis and no market for the Fund's Common Shares is expected to exist. To provide a measure of liquidity, the Fund will normally make monthly repurchase offers of not more than 10% of its outstanding Common Shares. If more than the respective monthly repurchase offer of Common Shares are tendered, investors may not be able to completely liquidate their holdings in any one month. Shareholders also will not have liquidity between these monthly repurchase dates.
6
ING Senior Income Fund
STATEMENT OF ASSETS AND LIABILITIES as of August 31, 2011 (Unaudited)
ASSETS: | |||||||
Investments in securities at value (Cost $924,821,810) | $ | 863,049,837 | |||||
Foreign currencies at value (Cost $1,083,728) | 1,090,015 | ||||||
Receivables: | |||||||
Investment securities sold | 90,885,584 | ||||||
Fund shares sold | 685,468 | ||||||
Dividends and interest | 5,232,628 | ||||||
Other | 19,296 | ||||||
Unrealized appreciation on foreign currency contracts | 215,934 | ||||||
Reimbursement due from manager | 11,968 | ||||||
Prepaid expenses | 48,110 | ||||||
Total assets | 961,238,840 | ||||||
LIABILITIES: | |||||||
Payable for investment securities purchased | 73,173,964 | ||||||
Notes payable | 242,000,000 | ||||||
Accrued interest payable | 117,898 | ||||||
Payable to affiliates | 970,423 | ||||||
Income distribution payable | 1,587,442 | ||||||
Unrealized depreciation on foreign currency contracts | 332,487 | ||||||
Unrealized depreciation on unfunded commitments | 217,119 | ||||||
Accrued trustees fees | 7,400 | ||||||
Other accrued expenses and liabilities | 434,901 | ||||||
Total liabilities | 318,841,634 | ||||||
NET ASSETS | $ | 642,397,206 | |||||
NET ASSETS WERE COMPRISED OF: | |||||||
Paid-in capital | $ | 972,563,157 | |||||
Undistributed net investment income | 942,568 | ||||||
Accumulated net realized loss | (269,330,590 | ) | |||||
Net unrealized depreciation | (61,777,929 | ) | |||||
NET ASSETS | $ | 642,397,206 |
See Accompanying Notes to Financial Statements
7
ING Senior Income Fund
STATEMENT OF ASSETS AND LIABILITIES as of August 31, 2011 (Unaudited) (continued)
Class A: | |||||||
Net assets | $ | 286,186,118 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.01 | |||||
Shares outstanding | 23,475,536 | ||||||
Net asset value and redemption price per share | $ | 12.19 | |||||
Maximum offering price per share (2.50%)(1) | $ | 12.50 | |||||
Class B: | |||||||
Net assets | $ | 16,195,301 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.01 | |||||
Shares outstanding | 1,332,076 | ||||||
Net asset value and redemption price per share(2) | $ | 12.16 | |||||
Class C: | |||||||
Net assets | $ | 296,562,936 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.01 | |||||
Shares outstanding | 24,355,924 | ||||||
Net asset value and redemption price per share(2) | $ | 12.18 | |||||
Class I: | |||||||
Net assets | $ | 18,692,886 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.01 | |||||
Shares outstanding | 1,536,777 | ||||||
Net asset value and redemption price per share | $ | 12.16 | |||||
Class W: | |||||||
Net assets | $ | 24,759,965 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.01 | |||||
Shares outstanding | 2,030,223 | ||||||
Net asset value and redemption price per share | $ | 12.20 |
(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.
See Accompanying Notes to Financial Statements
8
ING Senior Income Fund
STATEMENT OF OPERATIONS for the Six Months Ended August 31, 2011 (Unaudited)
INVESTMENT INCOME: | |||||||
Amendment fees earned | $ | 1,114,457 | |||||
Dividends | 131,018 | ||||||
Interest | 25,136,779 | ||||||
Other | 869,557 | ||||||
Total investment income | 27,251,811 | ||||||
EXPENSES: | |||||||
Investment management fees | 3,903,459 | ||||||
Administration fees | 487,932 | ||||||
Distribution and service fees: | |||||||
Class A | 452,901 | ||||||
Class B | 103,313 | ||||||
Class C | 1,261,195 | ||||||
Transfer agent fees: | |||||||
Class A | 94,833 | ||||||
Class B | 5,366 | ||||||
Class C | 89,014 | ||||||
Class I | 3,622 | ||||||
Class W | 7,665 | ||||||
Interest expense | 1,679,418 | ||||||
Custodian fees | 256,480 | ||||||
Professional fees | 96,842 | ||||||
Trustees' fees | 12,740 | ||||||
Registration fees | 39,678 | ||||||
Shareholder reporting expense | 144,300 | ||||||
Miscellaneous expense | 30,560 | ||||||
Total expenses | 8,669,318 | ||||||
Less: | |||||||
Net waived and recouped fees | (60,961 | ) | |||||
Net expenses | 8,608,357 | ||||||
Net investment income | 18,643,454 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized loss on: | |||||||
Investments | (5,251,165 | ) | |||||
Foreign forward currency contracts | (4,792,350 | ) | |||||
Foreign currency related transactions | (361,684 | ) | |||||
Net realized loss | (10,405,199 | ) | |||||
Net change in unrealized appreciation or depreciation on: | |||||||
Investments | (62,008,278 | ) | |||||
Foreign forward currency contracts | 1,765,967 | ||||||
Foreign currency related transactions | 237,853 | ||||||
Unfunded commitments | (286,407 | ) | |||||
Net change in unrealized appreciation or depreciation | (60,290,865 | ) | |||||
Net realized and unrealized loss | (70,696,064 | ) | |||||
Decrease in net assets resulting from operations | $ | (52,052,610 | ) |
See Accompanying Notes to Financial Statements
9
ING Senior Income Fund
STATEMENTS OF CHANGES IN NET ASSETS (Unaudited)
Six Months Ended August 31, 2011 | Year Ended February 28, 2011 | ||||||||||
FROM OPERATIONS: | |||||||||||
Net investment income | $ | 18,643,454 | $ | 33,797,816 | |||||||
Net realized loss | (10,405,199 | ) | (19,811,919 | ) | |||||||
Net change in unrealized appreciation or depreciation | (60,290,865 | ) | 72,942,734 | ||||||||
Increase (decrease) in net assets resulting from operations | (52,052,610 | ) | 86,928,631 | ||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Net investment income: | |||||||||||
Class A | (8,267,873 | ) | (18,302,572 | ) | |||||||
Class B | (419,845 | ) | (1,182,478 | ) | |||||||
Class C | (6,846,711 | ) | (14,560,816 | ) | |||||||
Class I | (283,697 | ) | (191,949 | ) | |||||||
Class W | (691,750 | ) | (1,304,994 | ) | |||||||
Tax return of capital: | |||||||||||
Class A | — | (1,180,820 | ) | ||||||||
Class B | — | (71,840 | ) | ||||||||
Class C | — | (1,048,262 | ) | ||||||||
Class I | — | (11,758 | ) | ||||||||
Class W | — | (77,702 | ) | ||||||||
Decrease in net assets from distributions to shareholders | (16,509,876 | ) | (37,933,191 | ) | |||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||
Net proceeds from sale of shares | 63,343,228 | 127,537,575 | |||||||||
Reinvestment of distributions | 6,977,476 | 19,868,909 | |||||||||
70,320,704 | 147,406,484 | ||||||||||
Cost of shares repurchased | (169,274,914 | ) | (292,711,539 | ) | |||||||
Net decrease in net assets resulting from capital share transactions | (98,954,210 | ) | (145,305,055 | ) | |||||||
Net decrease in net assets | (167,516,696 | ) | (96,309,615 | ) | |||||||
NET ASSETS: | |||||||||||
Beginning of period | 809,913,902 | 906,223,517 | |||||||||
End of period | $ | 642,397,206 | $ | 809,913,902 | |||||||
Undistributed (distributions in excess of) net investment income at end of period | $ | 942,568 | $ | (1,191,010 | ) |
See Accompanying Notes to Financial Statements
10
ING Senior Income Fund
STATEMENT OF CASH FLOWS for the Six Months Ended August 31, 2011 (Unaudited)
INCREASE (DECREASE) IN CASH Cash Flows From Operating Activities: | |||||||
Interest received | $ | 20,460,900 | |||||
Dividends received | 131,018 | ||||||
Arrangement fees paid | (63,871 | ) | |||||
Other income received | 1,971,459 | ||||||
Interest paid | (1,721,838 | ) | |||||
Other operating expenses paid | (7,251,765 | ) | |||||
Purchases of securities | (407,079,650 | ) | |||||
Proceeds on sale of securities | 434,111,429 | ||||||
Net cash provided by operating activities | 40,557,682 | ||||||
Cash Flows From Financing Activities: | |||||||
Distributions paid to common shareholders | (9,378,437 | ) | |||||
Proceeds from shares sold | 65,223,230 | ||||||
Disbursements for shares repurchased | (169,274,914 | ) | |||||
Net increase in notes payable | 59,000,000 | ||||||
Net cash flows used in financing activities | (54,430,121 | ) | |||||
Cash Impact from Foreign Exchange Fluctuations: | |||||||
Cash Impact from foreign exchange fluctuations | 6,287 | ||||||
Cash | |||||||
Net decrease in cash | (13,866,152 | ) | |||||
Cash and foreign currency at beginning of period | 14,956,167 | ||||||
Cash and foreign currency at end of period | $ | 1,090,015 | |||||
Reconciliation of Increase in Net Assets Resulting From Operations To Net Cash provided by Operating Activities: | |||||||
Decrease in net assets resulting from operations | $ | (52,052,610 | ) | ||||
Adjustments to reconcile increase in net assets resulting from operations to net cash provided by operating activities: | |||||||
Change in unrealized appreciation or depreciation on investments | 62,008,278 | ||||||
Change in unrealized appreciation or depreciation on forward currency contracts | (1,765,967 | ) | |||||
Change in unrealized appreciation or depreciation on unfunded commitments | 286,407 | ||||||
Change in unrealized appreciation or depreciation on other assets and liabilities | (237,853 | ) | |||||
Accretion of discounts on investments | (3,700,274 | ) | |||||
Net amortization of premiums on investments | 173,889 | ||||||
Net realized gain on sale of investments, forward foreign currency contracts and foreign currency related transactions | 10,405,199 | ||||||
Purchases of securities | (407,079,650 | ) | |||||
Proceeds from disposition of securities | 434,111,429 | ||||||
Increase in other assets | (12,555 | ) | |||||
Increase in interest receivable | (1,149,494 | ) | |||||
Increase in reimbursement due from manager | (11,968 | ) | |||||
Increase in prepaid expenses | (27,263 | ) | |||||
Decrease in deferred arrangement fees on senior loans | (63,871 | ) | |||||
Decrease in accrued interest payable | (42,420 | ) | |||||
Decrease in payable to affiliates | (40,940 | ) | |||||
Increase in accrued trustee fees | 2,036 | ||||||
Decrease in accrued expenses | (244,691 | ) | |||||
Total adjustments | 92,610,292 | ||||||
Net cash provided by operating activities | $ | 40,557,682 | |||||
Non Cash Financing Activities | |||||||
Receivable for shares sold | $ | 685,468 | |||||
Reinvestment of distributions | $ | 6,977,476 |
See Accompanying Notes to Financial Statements
11
FINANCIAL HIGHLIGHTS (UNAUDITED)
Selected data for a share of beneficial interest outstanding throughout each year or period.
Per Share Operating Performance | |||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains on investments | Distributions from return of capital | Total distributions | Net asset value, end of year or period | Total Investment Return(1) | ||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | |||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
08-31-11 | 13.40 | 0.34 | (1.26 | ) | (0.92 | ) | (0.30 | ) | — | — | (0.30 | ) | 12.19 | (6.91 | ) | ||||||||||||||||||||||||||||
02-28-11 | 12.60 | 0.52 | 0.89 | 1.41 | (0.57 | ) | — | (0.04 | ) | (0.61 | ) | 13.40 | 11.52 | ||||||||||||||||||||||||||||||
02-28-10 | 8.74 | 0.50 | * | 4.01 | 4.51 | (0.65 | ) | — | — | (0.65 | ) | 12.60 | 52.65 | ||||||||||||||||||||||||||||||
02-28-09 | 13.21 | 0.77 | (4.47 | ) | (3.70 | ) | (0.77 | ) | — | — | (0.77 | ) | 8.74 | (29.08 | )(a) | ||||||||||||||||||||||||||||
02-29-08 | 15.57 | 1.04 | (2.35 | ) | (1.31 | ) | (0.95 | ) | (0.03 | ) | (0.07 | ) | (1.05 | ) | 13.21 | (8.94 | ) | ||||||||||||||||||||||||||
02-28-07 | 15.56 | 1.01 | 0.02 | 1.03 | (1.02 | ) | — | — | (1.02 | ) | 15.57 | 6.84 | |||||||||||||||||||||||||||||||
02-28-06 | 15.59 | 0.78 | (0.03 | ) | 0.75 | (0.78 | ) | — | — | (0.78 | ) | 15.56 | 4.96 | ||||||||||||||||||||||||||||||
02-28-05 | 15.47 | 0.55 | 0.18 | 0.73 | (0.56 | ) | (0.05 | ) | — | (0.61 | ) | 15.59 | 4.80 | ||||||||||||||||||||||||||||||
02-29-04 | 14.83 | 0.61 | 0.69 | 1.30 | (0.64 | ) | (0.02 | ) | — | (0.66 | ) | 15.47 | 8.93 | ||||||||||||||||||||||||||||||
02-28-03 | 14.92 | 0.69 | (0.09 | ) | 0.60 | (0.69 | ) | — | — | (0.69 | ) | 14.83 | 4.15 | ||||||||||||||||||||||||||||||
04-02-01(4)-02-28-02 | 15.00 | 0.81 | (0.09 | ) | 0.72 | (0.80 | ) | — | — | (0.80 | ) | 14.92 | 4.92 | ||||||||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||||||||||
08-31-11 | 13.36 | 0.32 | (1.27 | ) | (0.95 | ) | (0.27 | ) | — | — | (0.27 | ) | 12.16 | (7.09 | ) | ||||||||||||||||||||||||||||
02-28-11 | 12.57 | 0.43 | 0.91 | 1.34 | (0.51 | ) | — | (0.04 | ) | (0.55 | ) | 13.36 | 10.92 | ||||||||||||||||||||||||||||||
02-28-10 | 8.71 | 0.45 | * | 4.00 | 4.45 | (0.59 | ) | — | — | (0.59 | ) | 12.57 | 52.11 | ||||||||||||||||||||||||||||||
02-28-09 | 13.17 | 0.70 | (4.45 | ) | (3.75 | ) | (0.71 | ) | — | — | (0.71 | ) | 8.71 | (29.47 | )(a) | ||||||||||||||||||||||||||||
02-29-08 | 15.53 | 0.96 | (2.34 | ) | (1.38 | ) | (0.94 | ) | (0.03 | ) | (0.01 | ) | (0.98 | ) | 13.17 | (9.43 | ) | ||||||||||||||||||||||||||
02-28-07 | 15.53 | 0.92 | 0.02 | 0.94 | (0.94 | ) | — | — | (0.94 | ) | 15.53 | 6.26 | |||||||||||||||||||||||||||||||
02-28-06 | 15.57 | 0.70 | (0.04 | ) | 0.66 | (0.70 | ) | — | — | (0.70 | ) | 15.53 | 4.37 | ||||||||||||||||||||||||||||||
02-28-05 | 15.45 | 0.47 | * | 0.18 | 0.65 | (0.48 | ) | (0.05 | ) | — | (0.53 | ) | 15.57 | 4.28 | |||||||||||||||||||||||||||||
02-29-04 | 14.82 | 0.53 | 0.69 | 1.22 | (0.57 | ) | (0.02 | ) | — | (0.59 | ) | 15.45 | 8.33 | ||||||||||||||||||||||||||||||
02-28-03 | 14.92 | 0.62 | (0.10 | ) | 0.52 | (0.62 | ) | — | — | (0.62 | ) | 14.82 | 3.57 | ||||||||||||||||||||||||||||||
04-02-01(4)-02-28-02 | 15.00 | 0.75 | (0.10 | ) | 0.65 | (0.73 | ) | — | — | (0.73 | ) | 14.92 | 4.45 | ||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
08-31-11 | 13.38 | 0.32 | (1.25 | ) | (0.93 | ) | (0.27 | ) | — | — | (0.27 | ) | 12.18 | (7.08 | ) | ||||||||||||||||||||||||||||
02-28-11 | 12.58 | 0.48 | 0.87 | 1.35 | (0.51 | ) | — | (0.04 | ) | (0.55 | ) | 13.38 | 10.99 | ||||||||||||||||||||||||||||||
02-28-10 | 8.73 | 0.45 | * | 3.99 | 4.44 | (0.59 | ) | — | — | (0.59 | ) | 12.58 | 51.87 | ||||||||||||||||||||||||||||||
02-28-09 | 13.19 | 0.71 | (4.46 | ) | (3.75 | ) | (0.71 | ) | — | — | (0.71 | ) | 8.73 | (29.42 | )(a) | ||||||||||||||||||||||||||||
02-29-08 | 15.55 | 0.96 | (2.34 | ) | (1.38 | ) | (0.88 | ) | (0.03 | ) | (0.07 | ) | (0.98 | ) | 13.19 | (9.42 | ) | ||||||||||||||||||||||||||
02-28-07 | 15.55 | 0.93 | 0.01 | 0.94 | (0.94 | ) | — | — | (0.94 | ) | 15.55 | 6.25 | |||||||||||||||||||||||||||||||
02-28-06 | 15.58 | 0.70 | (0.03 | ) | 0.67 | (0.70 | ) | — | — | (0.70 | ) | 15.55 | 4.44 | ||||||||||||||||||||||||||||||
02-28-05 | 15.46 | 0.47 | 0.18 | 0.65 | (0.48 | ) | (0.05 | ) | — | (0.53 | ) | 15.58 | 4.28 | ||||||||||||||||||||||||||||||
02-29-04 | 14.82 | 0.53 | 0.70 | 1.23 | (0.57 | ) | (0.02 | ) | — | (0.59 | ) | 15.46 | 8.40 | ||||||||||||||||||||||||||||||
02-28-03 | 14.92 | 0.62 | (0.10 | ) | 0.52 | (0.62 | ) | — | — | (0.62 | ) | 14.82 | 3.57 | ||||||||||||||||||||||||||||||
04-02-01(4)-02-28-02 | 15.00 | 0.75 | (0.10 | ) | 0.65 | (0.73 | ) | — | — | (0.73 | ) | 14.92 | 4.45 | ||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
08-31-11 | 13.37 | 0.33 | (1.22 | ) | (0.89 | ) | (0.32 | ) | — | — | (0.32 | ) | 12.16 | (6.80 | ) | ||||||||||||||||||||||||||||
02-28-11 | 12.54 | 0.63 | 0.84 | 1.47 | (0.60 | ) | — | (0.04 | ) | (0.64 | ) | 13.37 | 12.05 | ||||||||||||||||||||||||||||||
02-28-10 | 8.67 | 0.51 | * | 4.01 | 4.52 | (0.65 | ) | — | — | (0.65 | ) | 12.54 | 53.19 | ||||||||||||||||||||||||||||||
04-15-08(4)-02-28-09 | 13.24 | 0.66 | (4.61 | ) | (3.95 | ) | (0.62 | ) | — | — | (0.62 | ) | 8.67 | (30.38 | )(a) | ||||||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||||||||||
08-31-11 | 13.40 | 0.36 | (1.24 | ) | (0.88 | ) | (0.32 | ) | — | — | (0.32 | ) | 12.20 | (6.71 | ) | ||||||||||||||||||||||||||||
02-28-11 | 12.60 | 0.57 | 0.87 | 1.44 | (0.60 | ) | — | (0.04 | ) | (0.64 | ) | 13.40 | 11.75 | ||||||||||||||||||||||||||||||
02-28-10 | 8.71 | 0.52 | * | 4.02 | 4.54 | (0.65 | ) | — | — | (0.65 | ) | 12.60 | 53.18 | ||||||||||||||||||||||||||||||
04-15-08(4)-02-28-09 | 13.24 | 0.65 | (4.56 | ) | (3.91 | ) | (0.62 | ) | — | — | (0.62 | ) | 8.71 | (30.07 | )(a) |
Ratios to average net assets after reimbursement/ recoupment | Ratios to average net assets before reimbursement/ recoupment | Supplemental data | |||||||||||||||||||||||||||||||||
Expenses (before interest and other fees related to revolving credit facility)(2)(3) | Expenses (with interest and other fees related to revolving credit facility)(2)(3) | Net investment income (loss)(2)(3) | Expenses (before interest and other fees related to revolving credit facility)(3) | Expenses (with interest and other fees related to revolving credit facility)(3) | Net investment income (loss)(3) | Net assets, end of year or period | Portfolio Turnover | ||||||||||||||||||||||||||||
Year or period ended | (%) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
08-31-11 | 1.61 | 2.05 | 5.12 | 1.62 | 2.06 | 5.11 | 286,186 | 40 | |||||||||||||||||||||||||||
02-28-11 | 1.52 | 1.93 | 4.27 | 1.51 | 1.92 | 4.28 | 400,327 | 64 | |||||||||||||||||||||||||||
02-28-10 | 1.46 | 1.82 | 4.44 | 1.61 | (5) | 1.97 | (5) | 4.29 | (5) | 455,482 | 39 | ||||||||||||||||||||||||
02-28-09 | 1.61 | 2.81 | 6.52 | 1.71 | 2.91 | 6.42 | 278,225 | 10 | |||||||||||||||||||||||||||
02-29-08 | 1.53 | 2.81 | 6.85 | 1.53 | 2.81 | 6.85 | 595,017 | 56 | |||||||||||||||||||||||||||
02-28-07 | 1.50 | 2.56 | 6.42 | 1.48 | 2.54 | 6.44 | 998,140 | 57 | |||||||||||||||||||||||||||
02-28-06 | 1.50 | 2.20 | 4.98 | 1.48 | 2.18 | 5.00 | 918,621 | 82 | |||||||||||||||||||||||||||
02-28-05 | 1.34 | 1.45 | 6.49 | 1.35 | 1.46 | 3.48 | 736,740 | 82 | |||||||||||||||||||||||||||
02-29-04 | 1.36 | 1.43 | 3.84 | 1.46 | 1.53 | 3.74 | 172,975 | 72 | |||||||||||||||||||||||||||
02-28-03 | 1.42 | 1.63 | 4.88 | 1.57 | 1.78 | 4.73 | 11,106 | 60 | |||||||||||||||||||||||||||
04-02-01(4)-02-28-02 | 1.47 | 1.73 | 5.58 | 1.82 | 2.07 | 5.26 | 2,411 | 65 | |||||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||
08-31-11 | 2.11 | 2.55 | 4.63 | 2.37 | 2.81 | 4.37 | 16,195 | 40 | |||||||||||||||||||||||||||
02-28-11 | 2.02 | 2.42 | 3.75 | 2.26 | 2.66 | 3.51 | 24,293 | 64 | |||||||||||||||||||||||||||
02-28-10 | 1.96 | 2.32 | 4.04 | 2.36 | (5) | 2.72 | (5) | 3.64 | (5) | 34,655 | 39 | ||||||||||||||||||||||||
02-28-09 | 2.11 | 3.31 | 6.02 | 2.46 | 3.66 | 5.67 | 32,838 | 10 | |||||||||||||||||||||||||||
02-29-08 | 2.04 | 3.35 | 6.36 | 2.29 | 3.60 | 6.11 | 75,885 | 56 | |||||||||||||||||||||||||||
02-28-07 | 2.00 | 3.06 | 5.91 | 2.23 | 3.29 | 5.68 | 111,749 | 57 | |||||||||||||||||||||||||||
02-28-06 | 1.99 | 2.69 | 4.45 | 1.97 | 2.67 | 4.47 | 120,254 | 82 | |||||||||||||||||||||||||||
02-28-05 | 1.87 | 1.94 | 2.93 | 2.13 | 2.19 | 2.67 | 125,200 | 82 | |||||||||||||||||||||||||||
02-29-04 | 1.87 | 1.97 | 3.47 | 2.22 | 2.31 | 3.13 | 62,852 | 72 | |||||||||||||||||||||||||||
02-28-03 | 1.91 | 2.09 | 4.12 | 2.31 | 2.49 | 3.72 | 17,648 | 60 | |||||||||||||||||||||||||||
04-02-01(4)-02-28-02 | 1.96 | 2.23 | 5.19 | 2.29 | 2.54 | 4.89 | 12,776 | 65 | |||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
08-31-11 | 2.11 | 2.55 | 4.64 | 2.12 | 2.56 | 4.63 | 296,563 | 40 | |||||||||||||||||||||||||||
02-28-11 | 2.02 | 2.43 | 3.78 | 2.01 | 2.42 | 3.79 | 354,965 | 64 | |||||||||||||||||||||||||||
02-28-10 | 1.96 | 2.32 | 3.98 | 2.11 | (5) | 2.47 | (5) | 3.83 | (5) | 388,111 | 39 | ||||||||||||||||||||||||
02-28-09 | 2.11 | 3.31 | 6.02 | 2.21 | 3.41 | 5.92 | 280,599 | 10 | |||||||||||||||||||||||||||
02-29-08 | 2.04 | 3.35 | 6.35 | 2.04 | 3.35 | 6.35 | 625,516 | 56 | |||||||||||||||||||||||||||
02-28-07 | 2.00 | 3.06 | 5.92 | 1.98 | 3.04 | 5.93 | 927,950 | 57 | |||||||||||||||||||||||||||
02-28-06 | 1.99 | 2.69 | 4.46 | 1.97 | 2.67 | 4.48 | 923,549 | 82 | |||||||||||||||||||||||||||
02-28-05 | 1.83 | 1.94 | 2.88 | 1.83 | 1.95 | 2.87 | 830,584 | 82 | |||||||||||||||||||||||||||
02-29-04 | 1.86 | 1.94 | 3.38 | 1.96 | 2.04 | 3.28 | 275,849 | 72 | |||||||||||||||||||||||||||
02-28-03 | 1.91 | 2.09 | 4.19 | 2.06 | 2.24 | 4.04 | 32,647 | 60 | |||||||||||||||||||||||||||
04-02-01(4)-02-28-02 | 1.96 | 2.23 | 5.20 | 2.29 | 2.54 | 4.89 | 19,391 | 65 | |||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||
08-31-11 | 1.36 | 1.80 | 5.51 | 1.37 | 1.81 | 5.50 | 18,693 | 40 | |||||||||||||||||||||||||||
02-28-11 | 1.27 | 1.68 | 4.71 | 1.26 | 1.67 | 4.72 | 3,977 | 64 | |||||||||||||||||||||||||||
02-28-10 | 1.21 | 1.57 | 4.42 | 1.36 | (5) | 1.72 | (5) | 4.27 | (5) | 26 | 39 | ||||||||||||||||||||||||
04-15-08(4)-02-28-09 | 1.26 | 2.46 | 6.87 | 1.36 | 2.56 | 6.77 | 2 | 10 | |||||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||
08-31-11 | 1.36 | 1.80 | 5.39 | 1.37 | 1.81 | 5.38 | 24,760 | 40 | |||||||||||||||||||||||||||
02-28-11 | 1.27 | 1.68 | 4.52 | 1.26 | 1.67 | 4.53 | 26,353 | 64 | |||||||||||||||||||||||||||
02-28-10 | 1.21 | 1.57 | 4.47 | 1.36 | (5) | 1.72 | (5) | 4.32 | (5) | 27,950 | 39 | ||||||||||||||||||||||||
04-15-08(4)-02-28-09 | 1.21 | 2.56 | 8.25 | 1.31 | 2.66 | 8.15 | 4,202 | 10 |
(1) Total investment return has been calculated assuming a purchase at the beginning of each period and a sale at the end of each period and assumes reinvestment of dividends, capital gain distributions and return of capital distributions/allocations, if any, on the dividend/distribution date. Total investment return does not include sales load.
(2) The Investment Adviser has agreed to limit expenses excluding interest, taxes, brokerage commissions, leverage expenses, other investment related costs and extraordinary expenses, subject to possible recoupment by the Investment Adviser within three years to the following: Class A – 0.90% of Managed Assets plus 0.45% of average daily net assets; Class B – 0.90% of Managed Assets plus 1.20% of average daily net assets; Class C – 0.90% of Managed Assets plus 0.95% of average daily net assets; Class I – 0.90% of Managed Assets plus 0.20% of average daily net assets; and Class W – 0.90% of Managed Assets plus 0.20% of average daily net assets.
(3) Annualized for periods less than one year.
(4) Commencement of operations.
(5) Includes excise tax fully reimbursed by the Investment Advisor.
* Calculated using average amount of shares outstanding throughout the period.
(a) There was no impact on total return due to payments by affiliates.
See Accompanying Notes to Financial Statements
12
FINANCIAL HIGHLIGHTS (UNAUDITED) (CONTINUED)
Selected data for a share of beneficial interest outstanding throughout each year or period.
Supplemental data | |||||||||||||||||||
Borrowings at end of year or period | Asset coverage per $1,000 of debt | Average borrowings(1) | Shares outstanding at end of year or period | ||||||||||||||||
Year or period ended | ($000's) | ($) | ($000's) | (000's) | |||||||||||||||
Class A | |||||||||||||||||||
08-31-11 | 242,000 | 3,650 | 215,049 | 23,476 | |||||||||||||||
02-28-11 | 183,000 | 5,430 | 158,805 | 29,876 | |||||||||||||||
02-28-10 | 108,000 | 9,390 | 94,368 | 36,155 | |||||||||||||||
02-28-09 | 152,000 | 5,080 | 288,762 | 31,849 | |||||||||||||||
02-29-08 | 544,000 | 3,484 | 426,164 | 45,039 | |||||||||||||||
02-28-07 | 237,000 | 10,171 | 404,137 | 64,122 | |||||||||||||||
02-28-06 | 389,000 | 6,519 | 325,044 | 59,029 | |||||||||||||||
02-28-05 | 163,000 | 1,251 | 34,767 | 47,252 | |||||||||||||||
02-29-04 | — | — | 20,771 | 11,180 | |||||||||||||||
02-28-03 | 47,000 | 689 | 17,655 | 749 | |||||||||||||||
04-02-01(2)-02-28-02 | 8,000 | 3,220 | 19,797 | 162 | |||||||||||||||
Class B | |||||||||||||||||||
08-31-11 | 242,000 | 3,650 | 215,049 | 1,332 | |||||||||||||||
02-28-11 | 183,000 | 5,430 | 158,805 | 1,818 | |||||||||||||||
02-28-10 | 108,000 | 9,390 | 94,368 | 2,758 | |||||||||||||||
02-28-09 | 152,000 | 5,080 | 288,762 | 3,768 | |||||||||||||||
02-29-08 | 544,000 | 3,484 | 426,164 | 5,760 | |||||||||||||||
02-28-07 | 237,000 | 10,171 | 404,137 | 7,195 | |||||||||||||||
02-28-06 | 389,000 | 6,519 | 325,044 | 7,742 | |||||||||||||||
02-28-05 | 163,000 | 1,251 | 34,767 | 8,043 | |||||||||||||||
02-29-04 | — | — | 20,771 | 4,068 | |||||||||||||||
02-28-03 | 47,000 | 689 | 17,655 | 1,191 | |||||||||||||||
04-02-01(2)-02-28-02 | 8,000 | 3,220 | 19,797 | 856 | |||||||||||||||
Class C | |||||||||||||||||||
08-31-11 | 242,000 | 3,650 | 215,049 | 24,356 | |||||||||||||||
02-28-11 | 183,000 | 5,430 | 158,805 | 26,522 | |||||||||||||||
02-28-10 | 108,000 | 9,390 | 94,368 | 30,843 | |||||||||||||||
02-28-09 | 152,000 | 5,080 | 288,762 | 32,152 | |||||||||||||||
02-29-08 | 544,000 | 3,484 | 426,164 | 47,406 | |||||||||||||||
02-28-07 | 237,000 | 10,171 | 404,137 | 59,679 | |||||||||||||||
02-28-06 | 389,000 | 6,519 | 325,044 | 59,402 | |||||||||||||||
02-28-05 | 163,000 | 1,251 | 34,767 | 53,316 | |||||||||||||||
02-29-04 | — | — | 20,771 | 17,841 | |||||||||||||||
02-28-03 | 47,000 | 689 | 17,655 | 2,202 | |||||||||||||||
04-02-01(2)-02-28-02 | 8,000 | 3,220 | 19,797 | 1,300 | |||||||||||||||
Class I | |||||||||||||||||||
08-31-11 | 242,000 | 3,650 | 215,049 | 1,537 | |||||||||||||||
02-28-11 | 183,000 | 5,430 | 158,805 | 297 | |||||||||||||||
02-28-10 | 108,000 | 9,390 | 94,368 | 2 | |||||||||||||||
04-15-08(2)-02-28-09 | 152,000 | 5,080 | 288,762 | 0 | * | ||||||||||||||
Class W | |||||||||||||||||||
08-31-11 | 242,000 | 3,650 | 215,049 | 2,030 | |||||||||||||||
02-28-11 | 183,000 | 5,430 | 158,805 | 1,966 | |||||||||||||||
02-28-10 | 108,000 | 9,390 | 94,368 | 2,219 | |||||||||||||||
04-15-08(2)-02-28-09 | 152,000 | 5,080 | 288,762 | 482 |
(1) Based on the active days of borrowing.
(2) Commencement of operations.
* Amount is less than 500.
See Accompanying Notes to Financial Statements
13
ING Senior Income Fund
NOTES TO FINANCIAL STATEMENTS as of August 31, 2011 (Unaudited)
NOTE 1 — ORGANIZATION
ING Senior Income Fund (the "Fund"), a Delaware statutory trust, is registered under the Investment Company Act of 1940 as amended, (the "1940 Act"), as a continuously-offered, diversified, closed-end, management investment company. The Fund invests at least 80% of its net assets, plus the amount of any borrowings, for investment purposes, in U.S. dollar denominated, floating rate secured senior loans, which generally are not registered under the Securities Act of 1933 as amended (the "'33 Act"), and 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. Effective April 2, 2001, the Fund commenced the offering of Class A, Class B and Class C shares to the public. Effective April 15, 2008, the Fund commenced the offering of Class I and Class W shares to the public.
The Fund currently has five classes of shares: A, B, C, I and W. Class A shares are subject to a sales charge of up to 2.50%. Class A shares purchased in excess of $1,000,000 are not subject to a sales charge but are subject to an Early Withdrawal Charge ("EWC") of 1.00% within one year of purchase. Class A shares are issued upon conversion of Class B shares eight years after purchase or through an exchange of Class A shares of certain ING Funds. Class B shares are subject to an EWC of up to 3.00% over the five-year period after purchase and Class C shares are subject to an EWC of 1.00% during the first year after purchase.
To maintain a measure of liquidity, the Fund offers to repurchase between 5% and 25% of its outstanding common shares on a monthly basis. This is a fundamental policy that cannot be changed without shareholder approval. The Fund may not repurchase more than 25% of its outstanding common shares in any calendar quarter. Other than these monthly repurchases, no market for the Fund's common shares is expected to exist. The separate classes of shares differ principally in their distribution fees and shareholder servicing fees. All shareholders bear the common expenses of the Fund and earn income and realized gains/losses from the portfolio pro rata on the average daily net assets of each class, without distinction between share classes. Differences in the per share dividend rates generally result from differences in separate class expenses, including distribution fees and shareholder servicing fees.
Class B common shares of the Fund are closed to new investment, provided that: (1) Class B common shares of the Fund may be purchased through the reinvestment of dividends issued by the Fund; and (2) subject to the terms and conditions of relevant exchange privileges and as permitted under their respective prospectuses, Class B common shares of the Fund may be acquired through exchange of Class B shares of other funds in the ING mutual funds complex for the Fund's Class B common shares.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The policies are in conformity with U.S. generally accepted accounting principles.
A. Senior Loan and Other Security Valuation. Senior loans held by the Fund are normally valued at the average of the means of one or more bid and asked quotations obtained from a pricing service or other sources determined by the Board of Trustees (the "Board") to be independent and believed to be reliable. Loans for which reliable market value quotations are not readily available may be valued with reference to another loan or a group of loans for which quotations are more readily available and whose characteristics are comparable to the loan being valued. Under this approach, the comparable loan or loans serve as a proxy for changes in value of the loan being valued. The Fund has engaged an independent pricing service to provide quotations from dealers in loans and to calculate values under the proxy procedure described above.
14
ING Senior Income Fund
NOTES TO FINANCIAL STATEMENTS as of August 31, 2011 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
It is expected that most of the loans held by the Fund will be valued with reference to quotations from the independent pricing service or with reference to the proxy procedure described above. As of August 31, 2011, 99.7% of total loans were valued based on these procedures.
Prices from a pricing service may not be available for all loans and the Investment Adviser may believe that the price for a loan derived from market quotations or the proxy procedure described above is not reliable or accurate. Among other reasons, this may be the result of information about a particular loan or borrower known to the Investment Adviser that the Investment Adviser believes may not be known to the pricing service or reflected in a price quote. In this event, the loan is valued at fair value, as defined by the 1940 Act, as determined in good faith under procedures established by the Fund's Board of Trustees and in accordance with the provisions of the 1940 Act. Under these procedures, fair value is determined by the Investment Adviser and monitored by the Fund's Board through its Compliance Committee.
In fair valuing a loan, consideration is given to several factors, which may include, among others, the following: (i) the characteristics of and fundamental analytical data relating to the loan, including the cost, size, current interest rate, period until the next interest rate reset, maturity and base lending rate of the loan, the terms and conditions of the loan and any related agreements, and the position of the loan in the borrower's debt structure; (ii) the nature, adequacy and value of the collateral, including the Fund's rights, remedies and interests with respect to the collateral; (iii) the creditworthiness of the borrower and the cash flow coverage of outstanding principal and interest, based on an evaluation of its financial condition, financial statements and information about the borrower's business, cash flows, capital structure and future prospects; (iv) information relating to the market for the loan, including price quotations for, and trading in, the loan and interests in similar loans and the market environment and investor attitudes towards the loan and interests in similar loans; (v) the reputation and financial condition of the agent for the loan and any intermediate participants in the loan; (vi) the borrower's management; and (vii) the general economic and market conditions affecting the fair value of the loan. Securities other than senior loans for which reliable market value quotations are not readily available and all other assets will be valued at their respective fair values as determined in good faith by, and under procedures established by, the Board of the Fund. Investments in securities of sufficient credit quality, maturing in 60 days or less from date of acquisition are valued at amortized cost which approximates fair value. To the extent the Fund invests in other 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.
Fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as "Level 1," inputs other than quoted prices for an asset or liability that are observable are classified as "Level 2" and unobservable inputs, including the sub-adviser's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Short-term securities of sufficient credit quality which are valued at amortized cost, which approximates fair value, are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing the Fund's investments under these levels of classification is included following the Portfolio of Investments.
15
ING Senior Income Fund
NOTES TO FINANCIAL STATEMENTS as of August 31, 2011 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
For the six months ended August 31, 2011, there have been no significant changes to the fair valuation methodologies.
B. Security Transactions and Revenue Recognition. Revolver and delayed draw loans are booked on a settlement date basis. Security transactions and senior loans are accounted for on trade date (date the order to buy or sell is executed). Realized gains or losses are reported on the basis of identified cost of securities sold. Interest income is recorded on an accrual basis at the then-current loan rate. The accrual of interest on loans is partially or fully discontinued when, in the opinion of management, there is an indication that the borrower may be unable to meet payments as they become due. If determined to be uncollectible, unpaid accrued interest is also written off. Cash collections on non-accrual senior loans are generally applied as a reduction to the recorded investment of the loan. Loans are generally returned to accrual status only after all past due amounts have been received and the borrower has demonstrated sustained performance. Premium amortization and discount accretion are deferred and recognized over the shorter of four years or the actual term of the loan. Arrangement fees received on revolving credit facilities, which represent non-refundable fees or purchase discounts associated with the acquisition of loans, are deferred and recognized using the effective yield method over the shorter of four years or the actual term of the loan. No such fees are recognized on loans which have been placed on non-accrual status. Arrangement fees associated with all other loans, except revolving credit facilities, are treated as discounts and are accreted as described above. Dividend income is recorded on the ex-dividend date.
C. Distributions to Shareholders. The Fund declares and goes ex-dividend daily and pays dividends monthly from net investment income. Distributions from capital gains, if any, are declared and paid annually. The Fund may make additional distributions to comply with the distribution requirements of the Internal Revenue Code. The character and amounts of income and gains to be distributed are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies. The Fund records distributions to its shareholders on the ex-dividend date.
D. Federal Income Taxes. It is the policy of the Fund to comply with the requirements of subchapter M of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of their net investment income and any net realized capital gains to their shareholders. Therefore, a federal income tax or excise tax provision is not required. Management has considered the sustainability of the Fund's tax positions taken on federal income tax returns for all open tax years in making this determination. No capital gain distributions shall be made until the capital loss carryforwards have been fully utilized or expire.
E. Use of Estimates. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F. Foreign Currency Translation. The books and records of the Fund are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:
(1) Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at the end of the day.
(2) Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets and the market values are presented at the foreign exchange rates at the end of the day, the Fund does not isolate the portion of the results of operations resulting from
16
ING Senior Income Fund
NOTES TO FINANCIAL STATEMENTS as of August 31, 2011 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments. For securities, which are subject to foreign withholding tax upon disposition, liabilities are recorded on the Statement of Assets and Liabilities for the estimated tax withholding based on the securities current market value. Upon disposition, realized gains or losses on such securities are recorded net of foreign withholding tax.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at fiscal year end, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and the U.S. government. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities.
G. Forward Foreign Currency Contracts. The Fund has entered into forward foreign currency contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a currency forward contract, the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and the Fund's net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statement of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statement of Operations. These instruments involve market and/or credit risk in excess of the amount recognized in the Statement of Assets and Liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Open forward foreign currency contracts are presented following the respective Portfolio of Investments.
During the six months ended August 31, 2011, the Fund had an average quarterly contract amount on forward foreign currency contracts to sell of $131,482,270.
NOTE 3 — INVESTMENTS
For the six months ended August 31, 2011, the cost of purchases and the proceeds from principal repayment and sales of investments, excluding short-term investments, totaled $392,419,061 and $513,570,999, respectively. At August 31, 2011, the Fund held senior loans valued at $841,632,028 representing 97.5% of its total investments. The fair value of these assets is established as set forth in Note 2.
The senior loans acquired by the Fund typically take the form of a direct lending relationship with the borrower acquired through an assignment of another lender's interest in a loan. The lead lender in a typical corporate loan syndicate administers the loan and monitors collateral. In the event that the lead lender becomes insolvent, enters Federal Deposit Insurance Corporation ("FDIC") receivership or, if not FDIC insured, enters into bankruptcy, the Fund may incur certain costs and delays in realizing payment, or may suffer a loss of principal and/or interest.
Warrants and shares of common stock held in the portfolio were acquired in conjunction with loans held by the Fund. Certain of these shares and warrants are restricted and may not be publicly sold
17
ING Senior Income Fund
NOTES TO FINANCIAL STATEMENTS as of August 31, 2011 (Unaudited) (continued)
NOTE 3 — INVESTMENTS (continued)
without registration under the '33 Act, or without an exemption under the '33 Act. In some cases, these restrictions expire after a designated period of time after the issuance of the shares or warrants.
Dates of acquisition and cost or assigned basis of restricted securities are as follows:
Date of Acquisition | Cost or Assigned Basis | ||||||||||
Ascend Media (Residual Interest) | 01/05/10 | $ | — | ||||||||
Ferretti SPA (Warrants for 0.161% Participation Interest) | 09/23/09 | — | |||||||||
Gainey Corporation (Residual Interest) | 12/31/09 | — | |||||||||
Safelite Realty Corporation (30,003 Common Shares) | 06/21/01 | — | |||||||||
Supermedia, Inc. (42,369 Common Shares) | 01/05/10 | — | |||||||||
Total Restricted Securities excluding senior loans (fair value $248,238 was 0.03% of net assets at August 31, 2011) | $ | — |
NOTE 4 — MANAGEMENT AND ADMINISTRATION AGREEMENTS
The Fund has entered into an investment management agreement ("Management Agreement") with the Investment Adviser to provide advisory and management services. The Management Agreement compensates the Investment Adviser with a fee, computed daily and payable monthly, at an annual rate of 0.80% of the Fund's average daily gross asset value, minus the sum of the Fund's accrued and unpaid dividends on any outstanding preferred shares and accrued liabilities (other than liabilities for the principal amount of any borrowings incurred, commercial paper or notes issued by the Fund) ("Managed Assets"). The Fund is sub-advised by ING Investment Management Co. ("ING IM"). Under the sub-advisory agreement, ING IM is responsible for managing the assets of the Fund in accordance with its investment objective and policies, subject to oversight by the Investment Adviser. Both ING IM and the Investment Adviser are indirect, wholly-owned subsidiaries of ING Groep N.V. ("ING Groep") and affiliates of each other. ING Groep is a global financial institution of Dutch origin offering banking, investments, life insurance, and retirement services.
ING Groep has adopted a formal restructuring plan that was approved by the European Commission in November 2009 under which the ING life insurance businesses, including the retirement services and investment management businesses, which include the Investment Adviser and its affiliates, would be separated from ING Groep by the end of 2013. To achieve this goal, ING Groep announced in November 2010 that it plans to pursue two separate initial public offerings: one a U.S. focused offering that would include U.S. based insurance, retirement services, and investment management operations; and the other a European based offering for European and Asian based insurance and investment management operations. There can be no assurance that the restructuring plan will be carried out through two offerings or at all.
The restructuring plan and the uncertainty about its implementation, whether implemented through the planned public offerings or through other means, in whole or in part, may be disruptive to the businesses of ING entities, including the ING entities that service the Fund, and may cause, among other things, interruption or reduction of business and services, diversion of management's attention from day-to day operations, and loss of key employees or customers. A failure to complete the offerings or other means of implementation on favorable terms could have a material adverse impact on the operations of the businesses subject to the restructuring plan. The restructuring plan may result in the Investment Adviser's loss of access to services and resources of ING Groep, which could adversely affect its businesses and profitability. In addition, the divestment of ING businesses, including the Investment Adviser, may potentially be deemed a "change of control" of each entity. A change of control would result in the termination of the Fund's advisory
18
ING Senior Income Fund
NOTES TO FINANCIAL STATEMENTS as of August 31, 2011 (Unaudited) (continued)
NOTE 4 — MANAGEMENT AND ADMINISTRATION AGREEMENTS (continued)
and sub-advisory agreements, which would trigger the necessity for new agreements that would require approval of the board, and may trigger the need for shareholder approval. Currently, the Investment Adviser does not anticipate that the restructuring will have a material adverse impact on the Fund or its operations and administration.
The Fund has also entered into an Administration Agreement with ING Funds Services, LLC (the "Administrator"), an indirect, wholly-owned subsidiary of ING Groep N.V., to provide administrative services. The Administrator is compensated with a fee, computed daily and payable monthly, at an annual rate of 0.10% of the Fund's Managed Assets.
NOTE 5 — DISTRIBUTION AND SERVICE FEES
Each share class of the Fund, except Class I and Class W, has adopted a Plan pursuant to Rule 12b-1 under the 1940 Act (the "12b-1 Plans"), whereby ING Investments Distributor, LLC (the "Distributor") is compensated by the Fund for expenses incurred in the distribution of the Fund's shares ("Distribution Fees"). Pursuant to the 12b-1 Plans, the Distributor is entitled to a payment each month for actual expenses incurred in the distribution and promotion of the Fund's shares, including expenses incurred in printing prospectuses and reports used for sales purposes, expenses incurred in preparing and printing sales literature and other such distribution related expenses, including any distribution or Shareholder Servicing Fees ("Service Fees") paid to securities dealers who executed a distribution agreement with the Distributor. Under the 12b-1 plans, each class of shares of the Fund pays the Distributor a combined Distribution and/or Service Fee based on average daily net assets at the following annual rates:
Class A | Class B | Class C | |||||||||
0.25 | % | 1.00 | % | 0.75 | % |
During the six months ended August 31, 2011, the Distributor waived 0.25% of the Service Fee on Class B shares only.
NOTE 6 — EXPENSE LIMITATIONS
The Investment Adviser has voluntarily agreed to limit expenses, excluding interest, taxes, brokerage commissions, leverage expenses, other investment-related costs and extraordinary expenses, to the following:
Class A — 0.90% of Managed Assets plus 0.45% of average daily net assets | |||
Class B — 0.90% of Managed Assets plus 1.20% of average daily net assets | |||
Class C — 0.90% of Managed Assets plus 0.95% of average daily net assets | |||
Class I — 0.90% of Managed Assets plus 0.20% of average daily net assets | |||
Class W — 0.90% of Managed Assets plus 0.20% of average daily net assets | |||
The Investment Adviser may at a later date recoup from the Fund management fees waived and other expenses assumed by the Investment Adviser during the previous 36 months, but only if, after such recoupment, the Fund's expense ratio does not exceed the percentage described above. Waived and reimbursed fees and any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statement of Operations for the Fund.
The Expense Limitation Agreement is contractual and shall renew automatically for one-year terms unless ING Investments provides written notice of the termination of the Expense Limitation Agreement within 90 days of the end of the then current term.
19
ING Senior Income Fund
NOTES TO FINANCIAL STATEMENTS as of August 31, 2011 (Unaudited) (continued)
NOTE 6 — EXPENSE LIMITATIONS (continued)
As of August 31, 2011, the amount of reimbursed fees that are subject to recoupment by the Investment Adviser, and the related expiration dates are as follows:
August 31, | |||||||||||||||
2012 | 2013 | 2014 | Total | ||||||||||||
$ | 995,184 | $ | — | $ | 35,133 | $ | 1,030,317 |
NOTE 7 — COMMITMENTS
The Fund has entered into a 364-day revolving credit agreement, collateralized by assets of the Fund, to borrow up to $300 million maturing May 18, 2012. Borrowing rates under this agreement are based on a fixed spread over LIBOR, and a commitment fee is charged on the unused portion. There was $242 million of borrowings outstanding at August 31, 2011. Weighted average interest rate on outstanding borrowings was 1.32%, excluding fees related to the unused portion of the facilities, and other fees. The amount of borrowings represented 25.18% of total assets at August 31, 2011. Prepaid arrangement fees are amortized over the term of the agreement. Average borrowings for the six months ended August 31, 2011 were $215,048,913 and the average annualized interest rate was 1.55%.
NOTE 8 — SENIOR LOAN COMMITMENTS
As of August 31, 2011, the Fund had unfunded loan commitments pursuant to the terms of the following loan agreements:
Reynolds Group Holdings, Inc. | $ | 5,500,000 | |||||
Totes Isotoner Corp | 173,438 | ||||||
$ | 5,673,438 |
The unrealized depreciation on these commitments of $217,119 as of August 31, 2011 is reported as such on the Statement of Assets and Liabilities.
NOTE 9 — TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
At August 31, 2011, the Fund had the following amounts recorded in payable to affiliates on the accompanying Statement of Assets and Liabilities (see Notes 4 and 5):
Accrued Investment Management Fees | Accrued Administrative Fees | Accrued Distribution and Service Fees | Total | ||||||||||||
$ | 623,344 | $ | 77,918 | $ | 269,161 | $ | 970,423 |
The Fund has adopted a Deferred Compensation Plan (the "Plan"), which allows eligible non-affiliated trustees as described in the Plan to defer the receipt of all or a portion of the trustees fees payable. Amounts deferred are treated as though invested in various "notional" funds advised by ING Investments until distribution in accordance with the Plan.
NOTE 10 — CUSTODIAL AGREEMENT
State Street Bank and Trust Company ("SSB") serves as the Fund's custodian and recordkeeper. Custody fees paid to SSB may be reduced by earnings credits based on the cash balances held by SSB for the Fund. There were no earnings credits for the six months ended August 31, 2011.
20
ING Senior Income Fund
NOTES TO FINANCIAL STATEMENTS as of August 31, 2011 (Unaudited) (continued)
NOTE 11 — SUBORDINATED LOANS AND UNSECURED LOANS
The primary risk arising from investing in subordinated loans or in unsecured loans is the potential loss in the event of default by the issuer of the loans. The Fund may invest up to 20% of its total assets, measured at the time of investment, in subordinated loans, unsecured debt instruments and other investments, as directed by the Prospectus. As of August 31, 2011, the Fund held 0.6% of its total assets in subordinated loans and unsecured loans.
NOTE 12 — CAPITAL SHARES
Transactions in capital shares and dollars were as follows:
Year or | Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||
period ended | # | # | # | # | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
08-31-11 | 2,191,134 | 292,489 | (8,884,339 | ) | (6,400,716 | ) | 29,029,777 | 3,818,087 | (114,769,474 | ) | (81,921,610 | ) | |||||||||||||||||||||||
02-28-11 | 5,880,562 | 805,354 | (12,964,912 | ) | (6,278,996 | ) | 76,052,741 | 10,308,427 | (165,466,310 | ) | (79,105,142 | ) | |||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||
08-31-11 | 24,192 | 14,960 | (524,711 | ) | (485,559 | ) | 317,706 | 194,966 | (6,897,515 | ) | (6,384,843 | ) | |||||||||||||||||||||||
02-28-11 | 41,929 | 53,014 | (1,035,358 | ) | (940,415 | ) | 533,050 | 675,764 | (13,197,317 | ) | (11,988,503 | ) | |||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
08-31-11 | 760,341 | 184,519 | (3,111,305 | ) | (2,166,445 | ) | 10,017,146 | 2,403,541 | (40,545,509 | ) | (28,124,822 | ) | |||||||||||||||||||||||
02-28-11 | 2,485,998 | 597,542 | (7,404,016 | ) | (4,320,476 | ) | 32,015,668 | 7,631,919 | (94,531,520 | ) | (54,883,933 | ) | |||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||
08-31-11 | 1,390,667 | 5,260 | (156,630 | ) | 1,239,297 | 18,295,863 | 68,737 | (2,011,100 | ) | 16,353,500 | |||||||||||||||||||||||||
02-28-11 | 883,136 | 10,589 | (598,302 | ) | 295,423 | 11,253,956 | 132,879 | (7,529,141 | ) | 3,857,694 | |||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||
08-31-11 | 427,600 | 37,747 | (401,093 | ) | 64,254 | 5,682,736 | 492,145 | (5,051,316 | ) | 1,123,565 | |||||||||||||||||||||||||
02-28-11 | 597,120 | 87,451 | (937,530 | ) | (252,959 | ) | 7,682,160 | 1,119,920 | (11,987,251 | ) | (3,185,171 | ) |
NOTE 13 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.
Dividends paid by the Fund from net investment income and distributions of net realized short-term capital gains are, for federal income tax purposes, taxable as ordinary income to shareholders. Under certain conditions, federal tax regulations may also cause some or all of the return of capital to be taxed as ordinary income.
The tax composition of dividends and distributions to shareholders was as follows:
Six Months Ended August 31, 2011Year Ended February 28, 2011 | |||||||||||
Ordinary Income | Ordinary Income | Return of Capital | |||||||||
$ | 16,509,876 | $ | 35,542,809 | $ | 2,390,382 |
21
ING Senior Income Fund
NOTES TO FINANCIAL STATEMENTS as of August 31, 2011 (Unaudited) (continued)
NOTE 13 — FEDERAL INCOME TAXES (continued)
The tax-basis components of distributable earnings and the expiration dates of the capital loss carryforwards which may be used to offset future realized capital gains for federal income tax purposes as of February 28, 2011 were:
Unrealized Depreciation | Post-October Capital Losses Deferred | Post-October Currency Losses Deferred | Capital Loss Carryforwards | Expiration Dates | |||||||||||||||
$ | (696,321 | ) | $ | (12,298,017 | ) | $ | (1,640,051 | ) | $ | (80,562,079 | ) | 2017 | |||||||
(133,167,631 | ) | 2018 | |||||||||||||||||
(31,805,887 | ) | 2019 | |||||||||||||||||
$ | (245,535,597 | ) |
The Fund's major tax jurisdictions are federal and Arizona. The earliest tax year that remains subject to examination by these jurisdictions is 2006.
As of August 31, 2011, no provision for income tax is required in the Fund's financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue.
The Regulated Investment Company Modernization Act of 2010 (the "Act") was enacted on December 22, 2010. The Act makes changes to several tax rules impacting the Fund. In general, the provisions of the Act will be effective for the Fund's tax year ending February 29, 2012. Although the Act provides several benefits, including the unlimited carryforward of future capital losses, there may be a greater likelihood that all or a portion of the Fund's pre-enactment capital loss carryforwards may expire without being utilized due to the fact that post-enactment capital losses are required to be utilized before pre-enactment capital loss carryforwards. Relevant information regarding the impact of the Act on the Fund, if any, will be contained within the "Federal Income Taxes" section of the financial statement notes for the fiscal year ending February 29, 2012.
NOTE 14 — SUBSEQUENT EVENTS
DIVIDENDS DECLARED
Subsequent to August 31, 2011, the Fund declared the following dividends:
Class | Per Share Amount | Type | Declaration Date | Record Date | Payable Date | ||||||||||||||||||
A | $ | 0.04951 | NII | Daily | Daily | October 3, 2011 | |||||||||||||||||
B | $ | 0.04415 | NII | Daily | Daily | October 3, 2011 | |||||||||||||||||
C | $ | 0.04414 | NII | Daily | Daily | October 3, 2011 | |||||||||||||||||
I | $ | 0.05220 | NII | Daily | Daily | October 3, 2011 | |||||||||||||||||
W | $ | 0.05220 | NII | Daily | Daily | October 3, 2011 |
NII — Net Investment Income
The Fund has evaluated events occurring after the Statement of Assets and Liabilities date (subsequent events) to determine whether any subsequent events necessitated adjustment to or disclosure in the financial statements. Other than the above, no such subsequent events were identified.
22
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited)
Senior Loans*: 131.0% | |||||||||||||||
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Aerospace & Defense: 2.1% | |||||||||||||||
$ | 8,000,000 | Delta, New Term Loan B, 5.500%, due 04/20/17 | $ | 7,473,335 | |||||||||||
498,750 | Delta, Term Loan B, 4.250%, due 03/07/16 | 476,722 | |||||||||||||
473,684 | Forgings International Ltd., Tranche B Dollar Term Loan, 4.746%, due 12/18/15 | 438,158 | |||||||||||||
473,684 | Forgings International Ltd., Tranche C Dollar Term Loan, 5.246%, due 12/20/16 | 438,158 | |||||||||||||
2,311,713 | United Airlines, Inc., Term Loan B, 2.250%, due 02/03/14 | 2,132,556 | |||||||||||||
2,958,333 | US Airways, Term Loan, 2.721%, due 03/21/14 | 2,492,396 | |||||||||||||
13,451,325 | |||||||||||||||
Automobile: 4.0% | |||||||||||||||
2,562,678 | Avis Budget Car Rental, LLC, New Term Loan, 5.750%, due 04/19/14 | 2,524,237 | |||||||||||||
6,000,000 | (4 | ) | Chrysler Group LLC, Term Loan, 6.000%, due 05/24/17 | 5,430,000 | |||||||||||
4,600,000 | (4 | ) | Fram Group Holdings Inc., 1st Lien Term Loan, 0.000%, due 07/28/17 | 4,536,750 | |||||||||||
997,380 | (4 | ) | Fram Group Holdings Inc., 2nd Lien Term Loan, | ||||||||||||
0.000%, due 01/29/18 | 989,900 | ||||||||||||||
5,000,000 | KAR Auction Services, Inc., Term Loan B, 5.000%, due 05/19/17 | 4,800,000 | |||||||||||||
2,693,250 | Metaldyne, LLC, New Term Loan B, 5.250%, due 05/18/17 | 2,585,519 | |||||||||||||
1,940,250 | Remy International, Inc., Term Loan B, 6.250%, due 12/16/16 | 1,882,043 | |||||||||||||
1,687,563 | (4 | ) | Tomkins, Inc., New Term Loan B, 4.250%, due 09/29/16 | 1,645,374 | |||||||||||
714,410 | Transtar Holding Company, Term Loan B, 4.500%, due 12/21/16 | 682,262 | |||||||||||||
497,500 | UCI International, Inc., New Term Loan B, 5.500%, due 07/26/17 | 486,306 | |||||||||||||
25,562,391 | |||||||||||||||
Beverage, Food & Tobacco: 3.8% | |||||||||||||||
2,977,500 | Advance Pierre Foods, 1st Lien Term Loan, 7.000%, due 09/30/16 | 2,917,950 | |||||||||||||
1,866,036 | ARAMARK, Canadian Term Loan, 2.121%, due 01/24/14 | 1,749,409 | |||||||||||||
920,539 | Bolthouse Farms, Inc, New 1st Lien Term Loan, 5.500%, due 02/11/16 | 903,279 | |||||||||||||
1,200,000 | Clement Pappas, Term Loan B, 7.500%, due 08/14/17 | 1,182,000 | |||||||||||||
159,919 | Darling International Inc., Term Loan, 5.000%, due 12/16/16 | 158,719 | |||||||||||||
1,000,000 | Del Monte Corporation, Term Loan, 4.500%, due 03/08/18 | 953,750 | |||||||||||||
875,000 | Dole Food Company, Inc., Tranche B2, 5.048%, due 07/06/18 | 848,750 | |||||||||||||
1,625,000 | Dole Food Company, Inc., Tranche C2, 5.060%, due 07/06/18 | 1,576,250 | |||||||||||||
GBP | 1,250,000 | Iglo Birds Eye, GBP Term Loan E, 5.264%, due 04/29/16 | 2,002,841 | ||||||||||||
$ | 3,000,000 | JBS USA, Inc. (FKA Swift), Term Loan, 4.250%, due 05/25/18 | 2,850,000 | ||||||||||||
4,383,951 | Pinnacle Foods Holding Corporation, Tranche B Term Loan, 2.691%, due 04/02/14 | 4,148,313 | |||||||||||||
EUR | 666,192 | Selecta, EUR Facility B4, 4.147%, due 06/28/15 | 817,507 | ||||||||||||
SEK | 4,375,000 | Selecta, SEK Senior Term Loan B, 4.981%, due 02/07/15 | 564,581 | ||||||||||||
EUR | 536,842 | United Biscuits Holdco Limited, EUR Term Loan B2, 4.319%, due 12/15/14 | 717,194 | ||||||||||||
GBP | 2,243,816 | United Biscuits Holdco Limited, GBP Term Loan B1, 3.161%, due 12/15/14 | 3,316,408 | ||||||||||||
24,706,951 |
See Accompanying Notes to Financial Statements
23
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Buildings & Real Estate: 2.5% | |||||||||||||||
$ | 5,872,256 | Capital Automotive L.P., New Term Loan B, 5.000%, due 03/10/17 | $ | 5,519,921 | |||||||||||
1,800,000 | CB Richard Ellis, New Term Loan C, 3.471%, due 03/05/18 | 1,723,500 | |||||||||||||
3,200,000 | CB Richard Ellis, New Term Loan D, 3.705%, due 09/04/19 | 3,058,665 | |||||||||||||
892,203 | Custom Building Products, Inc., Term Loan B, 5.750%, due 03/19/15 | 843,132 | |||||||||||||
1,627,750 | Goodman Global Inc., 1st Lien Term Loan, 5.750%, due 10/28/16 | 1,603,334 | |||||||||||||
952,885 | JMC Steel Group, Term Loan, 4.750%, due 04/03/17 | 899,881 | |||||||||||||
1,600,000 | LNR Property Corporation, Term Loan B, 4.750%, due 04/29/16 | 1,540,000 | |||||||||||||
698,715 | Realogy Corporation, Extended Term Loan, 4.522%, due 10/10/16 | 578,187 | |||||||||||||
15,766,620 | |||||||||||||||
Cargo Transport: 1.6% | |||||||||||||||
1,465,000 | Baker Tanks, Inc., Term Loan B, 5.000%, due 06/01/18 | 1,400,906 | |||||||||||||
869,298 | Ceva Group PLC, Extended Syn. Letter of Credit, 5.246%, due 08/31/16 | 811,345 | |||||||||||||
702,710 | Ceva Group PLC, Extended Tranche B EGL Term Loan, 5.253%, due 08/31/16 | 655,863 | |||||||||||||
2,168,551 | Ceva Group PLC, Extended Tranche B Term Loan, 5.253%, due 08/31/16 | 2,023,980 | |||||||||||||
550,088 | Dockwise Transport N.V., Tranche B-1 Term Loan, 1.996%, due 04/10/15 | 506,768 | |||||||||||||
392,670 | Dockwise Transport N.V., Tranche B-2 Term Loan, 1.996%, due 01/11/15 | 361,747 | |||||||||||||
463,435 | Dockwise Transport N.V., Tranche C-1 Term Loan, 2.871%, due 04/10/16 | 426,939 | |||||||||||||
392,670 | Dockwise Transport N.V., Tranche C-2 Term Loan, 2.871%, due 01/11/16 | 361,747 | |||||||||||||
2,750,000 | (4 | ) | Inmar, Inc., New Term Loan B, 0.000%, due 08/11/17 | 2,732,814 | |||||||||||
1,012,069 | US Shipping Partners L.P., Restated Term Loan, 9.200%, due 08/07/13 | 888,723 | |||||||||||||
10,170,832 | |||||||||||||||
Cellular: 0.1% | |||||||||||||||
750,000 | Cellular South, Inc., New Term Loan B, 4.500%, due 07/27/17 | 736,875 | |||||||||||||
736,875 | |||||||||||||||
Chemicals, Plastics & Rubber: 4.1% | |||||||||||||||
595,666 | AZ Chem US Inc., New Term Loan B, 4.750%, due 11/21/16 | 575,934 | |||||||||||||
765,000 | Chemtura Corporation, Exit Term Loan B, 5.500%, due 08/27/16 | 754,800 | |||||||||||||
1,449,956 | Diversey Inc, New Term Loan B, 4.000%, due 11/24/15 | 1,424,582 | |||||||||||||
1,579,937 | (4 | ) | Houghton International, Inc., New Term Loan B, 6.750%, due 01/29/16 | 1,564,138 | |||||||||||
2,760,155 | (4 | ) | Huntsman International LLC, Term Loan C, 2.470%, due 06/30/16 | 2,556,594 | |||||||||||
3,712,374 | Momentive Specialty Chemicals Inc (a.k.a Hexion Specialty Chemicals Inc), Extended Term Loan C1, 4.000%, due 05/05/15 | 3,435,108 | |||||||||||||
1,664,082 | Momentive Specialty Chemicals Inc (a.k.a Hexion Specialty Chemicals Inc), Extended Term Loan C2, 4.000%, due 05/05/15 | 1,539,796 | |||||||||||||
461,075 | Momentive Specialty Chemicals Inc (a.k.a Hexion Specialty Chemicals Inc), Extended Term Loan C4, 4.062%, due 05/05/15 | 421,884 | |||||||||||||
994,819 | Momentive Specialty Chemicals Inc (a.k.a Hexion Specialty Chemicals Inc), Extended Term Loan C7, 4.000%, due 05/05/15 | 905,286 |
See Accompanying Notes to Financial Statements
24
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Chemicals, Plastics & Rubber: (continued) | |||||||||||||||
$ | 1,692,000 | Momentive Specialty Chemicals Inc (a.k.a Hexion Specialty Chemicals Inc), Term Loan C3 Credit Linked Deposit, 2.493%, due 05/03/13 | $ | 1,641,240 | |||||||||||
EUR | 500,000 | OM Group, Inc, EUR Term Loan B, 6.250%, due 08/02/17 | 718,126 | ||||||||||||
$ | 2,830,000 | (4 | ) | OM Group, Inc, Term Loan B, 5.750%, due 08/02/17 | 2,808,775 | ||||||||||
297,750 | Omnova Solutions Inc, Term Loan B, 5.750%, due 05/31/17 | 289,562 | |||||||||||||
3,383,000 | Styron S.A.R.L., New Term Loan B, 6.000%, due 08/02/17 | 3,129,275 | |||||||||||||
666,667 | Taminco, Term Loan B2, 2.221%, due 08/31/15 | 650,000 | |||||||||||||
666,667 | Taminco, Term Loan C2, 3.471%, due 08/31/16 | 650,000 | |||||||||||||
3,285,994 | Univar Inc., Term Loan B, 5.000%, due 06/30/17 | 3,064,188 | |||||||||||||
26,129,288 | |||||||||||||||
Containers, Packaging & Glass: 4.6% | |||||||||||||||
4,627,779 | Berry Plastics Corporation, Term Loan C, 2.208%, due 04/03/15 | 4,183,804 | |||||||||||||
262,880 | Bway Holding Corporation, Canadian Term Loan C, 4.503%, due 02/23/18 | 249,079 | |||||||||||||
2,960,920 | Bway Holding Corporation, New Term Loan B, 4.503%, due 02/23/18 | 2,805,472 | |||||||||||||
2,355,213 | Graham Packaging Company, L.P, Term Loan C, 6.750%, due 04/04/14 | 2,339,511 | |||||||||||||
992,500 | Graham Packaging Company, L.P, Term Loan D, 6.000%, due 09/23/16 | 984,642 | |||||||||||||
3,375,000 | Husky Injection Molding Systems, Ltd, Senior Debt B, 6.500%, due 06/30/18 | 3,294,844 | |||||||||||||
6,078,679 | KLEOPATRA LUX 2 S.À. R.L, Senior Term Facility 1, 2.899%, due 01/04/16 | 4,479,986 | |||||||||||||
1,500,000 | Pro Mach, Inc, Term Loan B, 6.250%, due 07/06/17 | 1,485,000 | |||||||||||||
EUR | 997,500 | Reynolds Group Holdings Inc, Euro Term Loan, 6.750%, due 02/09/18 | 1,359,146 | ||||||||||||
$ | 6,084,750 | Reynolds Group Holdings Inc, Tranche B Term Loan, 6.500%, due 02/09/18 | 5,876,852 | ||||||||||||
EUR | 318,824 | Xerium Technologies, Inc., EUR Term Loan B, 5.789%, due 05/22/17 | 445,304 | ||||||||||||
$ | 1,914,860 | Xerium Technologies, Inc., New Term Loan B, 5.500%, due 05/22/17 | 1,823,904 | ||||||||||||
29,327,544 | |||||||||||||||
Data and Internet Services: 8.2% | |||||||||||||||
1,234,375 | Aspect Software, Inc., New Term Loan B, 6.250%, due 05/06/16 | 1,197,344 | |||||||||||||
1,650,000 | Attachmate Corporation, New Term Loan B, 6.500%, due 04/27/17 | 1,611,844 | |||||||||||||
2,089,513 | AutoTrader.com, Inc., New Term Loan B, 4.000%, due 12/15/16 | 2,058,170 | |||||||||||||
3,320,789 | Avaya Inc., Extended Term Loan B3, 4.814%, due 10/26/17 | 2,901,539 | |||||||||||||
653,198 | Avaya Inc., Term Loan, 3.064%, due 10/24/14 | 591,144 | |||||||||||||
2,466,456 | Carlson Wagonlit Holdings B.V., Term Loan B2, 4.003%, due 08/04/14 | 2,350,533 | |||||||||||||
497,500 | CCC Information Services Group, Inc., New Term Loan B, 5.500%, due 11/11/15 | 485,684 | |||||||||||||
3,100,000 | Dealer Computer Services Inc., New Term Loan B, 3.750%, due 04/20/18 | 2,960,500 | |||||||||||||
895,506 | Fifth Third Processing Solutions, Term Loan B1, 4.500%, due 11/03/16 | 855,208 |
See Accompanying Notes to Financial Statements
25
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Data and Internet Services: (continued) | |||||||||||||||
$ | 1,644,028 | First American Payment Systems, Term Loan B, 6.750%, due 10/04/16 | $ | 1,619,367 | |||||||||||
5,000,000 | (4 | ) | First Data Corporation, Extended TL B, 0.000%, due 03/23/18 | 4,220,836 | |||||||||||
1,889,328 | (4 | ) | First Data Corporation, Term Loan B1, 2.967%, due 09/24/14 | 1,675,008 | |||||||||||
411,298 | (4 | ) | First Data Corporation, Term Loan B2, 2.967%, due 09/24/14 | 364,856 | |||||||||||
7,978,436 | (4 | ) | First Data Corporation, Term Loan B3, 2.967%, due 09/24/14 | 7,077,534 | |||||||||||
3,000,000 | Mercury Payment Systems LLC, Term Loan B, 6.500%, due 07/03/17 | 2,985,000 | |||||||||||||
3,402,687 | Orbitz Worldwide, Inc., Term Loan, 3.257%, due 07/25/14 | 3,028,391 | |||||||||||||
1,768,889 | Property Data I, Inc., Term Loan, 7.000%, due 12/21/16 | 1,662,756 | |||||||||||||
7,591,816 | Sabre Inc., Term Loan B, 2.230%, due 09/30/14 | 6,538,451 | |||||||||||||
1,400,000 | (4 | ) | Ship US Bidco, Inc. (RBS Worldpay), Term Loan B2, 5.250%, due 10/15/17 | 1,339,100 | |||||||||||
1,440,000 | (4 | ) | Sungard Data Systems Inc, Add on Term Loan, 3.705%, due 02/28/14 | 1,353,600 | |||||||||||
3,411,450 | Trans Union LLC, New Term Loan B, 4.750%, due 02/12/18 | 3,260,776 | |||||||||||||
1,542,204 | Transfirst Holdings, Inc., Term Loan B, 3.000%, due 06/15/14 | 1,372,561 | |||||||||||||
676,705 | Travelport, Inc., Extended Delayed Draw Term Loan, 4.746%, due 08/21/15 | 625,952 | |||||||||||||
499,179 | Travelport, Inc., Extended Term Loan B, 4.746%, due 08/21/15 | 461,741 | |||||||||||||
158,600 | Travelport, Inc., Tranche S Term Loan, 4.746%, due 08/21/15 | 146,705 | |||||||||||||
52,744,600 | |||||||||||||||
Diversified / Conglomerate Manufacturing: 2.0% | |||||||||||||||
2,614,653 | Brand Services, Inc., New Term Loan, 2.500%, due 02/07/14 | 2,385,871 | |||||||||||||
1,143,354 | Brand Services, Inc., Term Loan B 2, 3.617%, due 02/07/14 | 1,026,160 | |||||||||||||
2,885,851 | Edwards (Cayman Islands II) Limited (aka BOC Edwards), Extended 1st Lien Term Loan, 5.500%, due 05/31/16 | 2,669,413 | |||||||||||||
172,091 | EPD, Inc., Delayed Draw Term Loan, 2.730%, due 07/31/14 | 152,301 | |||||||||||||
1,201,512 | EPD, Inc., Initial Term Loan, 2.730%, due 07/31/14 | 1,063,338 | |||||||||||||
EUR | 586,473 | (3 | )(4) | Ferretti S.p.A, EUR Term Loan B, 0.000%, due 01/31/15 | 527,111 | ||||||||||
EUR | 581,949 | (3 | )(4) | Ferretti S.p.A, EUR Term Loan C, 0.000%, due 01/31/16 | 523,045 | ||||||||||
EUR | 101,240 | (3 | )(4) | Ferretti S.p.A, EUR Term Loan G, 0.000%, due 01/31/17 | 92,448 | ||||||||||
$ | 420,000 | Manitowoc Company, Inc. (The), New Term Loan B, 4.250%, due 11/13/17 | 404,775 | ||||||||||||
2,290,202 | (4 | ) | Sensus Metering Systems Inc., 1st Lien Term Loan, 4.755%, due 05/09/17 | 2,212,907 | |||||||||||
900,000 | (4 | ) | Sensus Metering Systems Inc., 2nd Lien Term Loan, 8.500%, due 05/09/18 | 888,750 | |||||||||||
1,200,000 | (4 | ) | Waterpik, Term Loan B, 0.000%, due 08/10/17 | 1,182,000 | |||||||||||
13,128,119 | |||||||||||||||
Diversified / Conglomerate Service: 5.0% | |||||||||||||||
4,558,209 | Affinion Group, Inc., Tranche B Term Loan, 5.000%, due 10/10/16 | 4,170,761 | |||||||||||||
250,000 | Brock Holdings, Inc., New 2nd Lien Term Loan, 10.000%, due 03/16/18 | 233,750 | |||||||||||||
1,197,000 | Brock Holdings, Inc., New Term Loan B, 6.000%, due 03/16/17 | 1,095,255 | |||||||||||||
1,176,073 | Catalina Marketing Corporation, Term Loan, 2.971%, due 10/01/14 | 1,084,927 |
See Accompanying Notes to Financial Statements
26
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Diversified / Conglomerate Service: (continued) | |||||||||||||||
$ | 1,084,880 | Coach America Holdings, Inc., 1st Lien Term Loan, 7.250%, due 04/18/14 | $ | 819,085 | |||||||||||
233,071 | Coach America Holdings, Inc., Synthetic Letter of Credit, 5.913%, due 04/20/14 | 175,969 | |||||||||||||
2,000,000 | (4 | ) | CorpSource Finance Holdings, LLC, 1st Lien Term Loan, 0.000%, due 04/28/17 | 1,730,000 | |||||||||||
3,275,250 | Fidelity National Information Services, Inc., Term Loan B, 5.250%, due 07/18/16 | 3,242,497 | |||||||||||||
EUR | 176,891 | (4 | ) | ISS Holding A/S, EUR Extended TL B10, 4.971%, due 04/30/15 | 243,930 | ||||||||||
EUR | 239,210 | ISS Holding A/S, EUR Extended TL B5, 4.971%, due 04/30/15 | 329,868 | ||||||||||||
EUR | 42,682 | ISS Holding A/S, EUR Extended TL B6, 4.971%, due 04/30/15 | 58,858 | ||||||||||||
EUR | 31,958 | ISS Holding A/S, EUR Extended TL B7, 4.971%, due 04/30/15 | 44,070 | ||||||||||||
EUR | 225,927 | ISS Holding A/S, EUR Extended TL B8, 4.971%, due 04/30/15 | 311,551 | ||||||||||||
EUR | 1,263,504 | (4 | ) | ISS Holding A/S, EUR Extended TL B9, 4.971%, due 04/30/15 | 1,742,357 | ||||||||||
EUR | 1,599,441 | ISTA International GMBH, EUR Term loan B1 — BankDeal(11138) merge duplicat, 3.771%, due 05/14/15 | 2,112,236 | ||||||||||||
EUR | 377,847 | ISTA International GMBH, EUR Term Loan B2 — BankDeal(11138) merge duplicat, 3.771%, due 05/14/15 | 498,988 | ||||||||||||
$ | 2,615,385 | MoneyGram International, Inc., Term Loan B, 4.500%, due 11/17/17 | 2,514,038 | ||||||||||||
2,992,500 | NDS Treasury (Americas), New Term Loan B, 4.000%, due 03/12/18 | 2,797,988 | |||||||||||||
178,987 | ServiceMaster Company, Delayed Draw Term Loan, 2.720%, due 07/24/14 | 166,905 | |||||||||||||
1,797,325 | ServiceMaster Company, Term Loan, 2.705%, due 07/24/14 | 1,676,006 | |||||||||||||
1,652,189 | Valleycrest Companies, LLC, Extended Term Loan, 6.500%, due 10/05/15 | 1,586,101 | |||||||||||||
830,000 | Vertafore, Inc., Add on Term Loan, 5.250%, due 07/29/16 | 796,800 | |||||||||||||
796,000 | Vertafore, Inc., Term Loan, 5.250%, due 07/29/16 | 764,160 | |||||||||||||
2,571,757 | West Corp, Term Loan B4, 4.501%, due 07/15/16 | 2,462,457 | |||||||||||||
1,278,658 | West Corp, Term Loan B5, 4.500%, due 07/15/16 | 1,222,717 | |||||||||||||
31,881,274 | |||||||||||||||
Ecological: 0.6% | |||||||||||||||
590,000 | Synagro Technologies, Inc., 2nd Lien Term Loan, 4.960%, due 10/02/14 | 495,600 | |||||||||||||
950,069 | Synagro Technologies, Inc., Term Loan B, 2.210%, due 04/02/14 | 836,061 | |||||||||||||
2,395,563 | (4 | ) | Waste Industries USA, Inc., Term Loan B, 4.750%, due 03/17/17 | 2,251,828 | |||||||||||
3,583,489 | |||||||||||||||
Electronics: 4.2% | |||||||||||||||
921,076 | CDW LLC, Extended TL, 4.250%, due 07/14/17 | 840,482 | |||||||||||||
2,900,000 | Eagle Parent, Inc., New Term Loan, 5.000%, due 05/16/18 | 2,704,250 | |||||||||||||
278,624 | FCI International S.A.S., Term Loan A1, 2.790%, due 09/30/12 | 267,479 | |||||||||||||
254,772 | FCI International S.A.S., Term Loan A2, 2.790%, due 09/30/12 | 244,581 | |||||||||||||
7,102,893 | Freescale Semiconductor, Inc., Extended Term Loan B, 4.438%, due 12/01/16 | 6,493,230 | |||||||||||||
EUR | 500,000 | Infor Enterprise Solutions Holdings, Inc., EUR 2nd Lien Term Loan — BankDeal(10752) merge, 7.599%, due 03/03/14 | 557,244 | ||||||||||||
$ | 216,249 | Infor Enterprise Solutions Holdings, Inc., Extended Delayed Draw Term Loan, 5.980%, due 07/28/15 | 206,248 |
See Accompanying Notes to Financial Statements
27
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Electronics: (continued) | |||||||||||||||
$ | 480,000 | Infor Enterprise Solutions Holdings, Inc., Extended Dollar Tranche B1, 4.980%, due 07/28/15 | $ | 434,400 | |||||||||||
EUR | 955,000 | Infor Enterprise Solutions Holdings, Inc., Extended EUR Initial Term Loan, 7.100%, due 07/28/15 | 1,242,871 | ||||||||||||
$ | 456,632 | Infor Enterprise Solutions Holdings, Inc., Extended Initial Term Loan, 5.980%, due 07/28/15 | 420,102 | ||||||||||||
463,658 | Intersil Corporation, Term Loan, 4.750%, due 04/27/16 | 448,879 | |||||||||||||
2,000,000 | Kronos Incorporated, 2nd Lien Term Loan, 5.996%, due 06/11/15 | 1,941,666 | |||||||||||||
2,528,876 | Kronos Incorporated, Initial Term Loan, 1.996%, due 06/11/14 | 2,434,043 | |||||||||||||
4,250,000 | Lawson Software, Inc., 1st Lien Term Loan, 6.750%, due 07/05/17 | 3,986,500 | |||||||||||||
696,500 | Microsemi Corporation, New Term Loan B, 4.000%, due 11/02/17 | 673,864 | |||||||||||||
2,400,000 | Open Link Financial, Inc., New Term Loan B, 5.250%, due 04/27/18 | 2,256,000 | |||||||||||||
623,438 | Rovi Corporation, Tranche B Term Loan, 4.000%, due 02/07/18 | 609,800 | |||||||||||||
1,041,052 | Spansion LLC, Term Loan, 4.750%, due 02/09/15 | 1,015,026 | |||||||||||||
26,776,665 | |||||||||||||||
Finance: 2.6% | |||||||||||||||
377,059 | BNY ConvergEx Group, LLC, Eze Term Loan, 5.250%, due 12/19/16 | 378,944 | |||||||||||||
898,606 | BNY ConvergEx Group, LLC, Top Borrower Term Loan, 5.250%, due 12/19/16 | 903,099 | |||||||||||||
4,962,563 | Interactive Data Corporation, New Term Loan B, 4.500%, due 02/12/18 | 4,702,028 | |||||||||||||
1,153,982 | LPL Holdings, Inc., 2015 Extended Term Loan, 4.250%, due 06/25/15 | 1,138,115 | |||||||||||||
1,917,739 | LPL Holdings, Inc., 2017 Term Loan — Add on, 5.250%, due 06/28/17 | 1,898,562 | |||||||||||||
3,250,000 | MIP Delaware, LLC, Term Loan, 5.500%, due 07/12/18 | 3,144,375 | |||||||||||||
2,636,835 | Nuveen Investments, Inc., Extended Term Loan, 5.752%, due 05/12/17 | 2,465,441 | |||||||||||||
2,150,000 | (4 | ) | OCWEN Financial Corp., Term Loan B, 0.000%, due 08/05/16 | 2,080,125 | |||||||||||
16,710,689 | |||||||||||||||
Gaming: 4.5% | |||||||||||||||
1,179,544 | Ameristar Casinos Inc., Term Loan B, 4.000%, due 04/13/18 | 1,133,345 | |||||||||||||
1,275,000 | Caesars Octavius, LLC, Term Loan, 9.250%, due 02/24/17 | 1,230,375 | |||||||||||||
361,895 | Cannery Casino Resorts, LLC, Delayed Draw Term Loan, 4.471%, due 05/20/13 | 338,372 | |||||||||||||
437,595 | Cannery Casino Resorts, LLC, Term Loan B, 4.471%, due 05/17/13 | 409,151 | |||||||||||||
845,005 | (2 | )(3) | Fontainebleau Las Vegas, LLC, Delayed Draw Term Loan, 3.250%, due 06/06/14 | 249,276 | |||||||||||
1,690,010 | (2 | )(3) | Fontainebleau Las Vegas, LLC, Term Loan B, 3.250%, due 06/06/14 | 498,553 | |||||||||||
771,429 | Global Cash Access, Inc., Term Loan B, 7.000%, due 03/01/16 | 756,000 | |||||||||||||
1,312,196 | Golden Nugget, Inc., New Delayed Draw Term Loan, 3.230%, due 06/30/14 | 1,141,610 | |||||||||||||
2,305,311 | Golden Nugget, Inc., Term Loan B, 3.230%, due 06/30/14 | 2,005,621 | |||||||||||||
1,532,222 | (3 | ) | Harrahs Operating Company, Inc, Incremental Term Loan B4, 9.500%, due 10/31/16 | 1,539,883 | |||||||||||
4,602,900 | Harrahs Operating Company, Inc, Term Loan B1, 3.253%, due 01/28/15 | 3,983,428 | |||||||||||||
4,771,982 | Harrahs Operating Company, Inc, Term Loan B2, 3.241%, due 01/28/15 | 4,129,755 |
See Accompanying Notes to Financial Statements
28
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Gaming: (continued) | |||||||||||||||
$ | 2,609,871 | Harrahs Operating Company, Inc, Term Loan B3, 3.253%, due 01/28/15 | $ | 2,258,627 | |||||||||||
995,000 | Isle Of Capri Casinos, Inc., New Term Loan B, 4.750%, due 11/01/13 | 956,859 | |||||||||||||
1,093,633 | Las Vegas Sands, LLC, Extended Delayed Draw Term Loan, 2.720%, due 11/23/16 | 1,019,813 | |||||||||||||
4,456,132 | Las Vegas Sands, LLC, Extended Term Loan B, 2.720%, due 11/23/16 | 4,145,598 | |||||||||||||
19,781 | Seminole Tribe Of Florida, Delayed Draw Term Loan B2, 1.750%, due 03/05/14 | 18,643 | |||||||||||||
443,457 | VML US FINANCE LLC, Delayed Draw Term Loan B, 4.730%, due 05/25/12 | 441,054 | |||||||||||||
3,004,806 | VML US FINANCE LLC, New Project Term Loan, 4.730%, due 05/27/13 | 2,986,025 | |||||||||||||
29,241,988 | |||||||||||||||
Healthcare, Education and Childcare: 14.8% | |||||||||||||||
4,000,000 | Alere US Holdings, LLC, Term Loan B, 4.500%, due 06/30/17 | 3,780,000 | |||||||||||||
2,591 | (4 | ) | Biomet Inc., Term Loan B, 3.239%, due 03/25/15 | 2,427 | |||||||||||
4,900,000 | (4 | ) | Capsugel Holdings US, Inc., Term Loan, 0.000%, due 08/01/18 | 4,750,550 | |||||||||||
4,525,333 | (4 | ) | Catalent Pharma Solutions, Inc., Dollar Term Loan, 2.471%, due 04/10/14 | 3,925,726 | |||||||||||
1,416,033 | CHG Medical Staffing, Inc., New Term Loan B, 5.500%, due 10/03/16 | 1,373,552 | |||||||||||||
2,023,583 | CHS/Community Health Systems, Inc., Extended Term Loan B, 3.819%, due 01/25/17 | 1,859,167 | |||||||||||||
4,973,836 | (4 | ) | CHS/Community Health Systems, Inc., Non Extended Term Loan, 2.569%, due 07/25/14 | 4,644,318 | |||||||||||
94,050 | (4 | ) | CHS/Community Health Systems, Inc., Non-Extended Delayed Draw, 2.569%, due 07/25/14 | 87,819 | |||||||||||
1,039,775 | ConvaTec, Term Loan, 5.750%, due 12/22/16 | 973,489 | |||||||||||||
5,000,000 | Drumm Investors LLC, Term Loan, 5.000%, due 05/04/18 | 4,500,000 | |||||||||||||
534,423 | Emdeon Business Services LLC, Incremental Term Loan, 4.500%, due 11/18/13 | 530,081 | |||||||||||||
3,291,750 | Emergency Medical Services Corporation, Term Loan, 5.250%, due 05/25/18 | 3,091,503 | |||||||||||||
1,825,000 | Endo Pharmaceuticals Holdings Inc., Term Loan B, 4.000%, due 06/18/18 | 1,789,413 | |||||||||||||
SEK | 41,155 | Gambro Holding AB, SEK Term Loan B4, 4.321%, due 06/05/14 | 6,367 | ||||||||||||
SEK | 41,842 | Gambro Holding AB, SEK Term Loan B5, 4.321%, due 06/05/14 | 6,473 | ||||||||||||
SEK | 41,842 | Gambro Holding AB, SEK Term Loan C3, 5.309%, due 06/08/15 | 6,473 | ||||||||||||
SEK | 41,155 | Gambro Holding AB, SEK Term Loan C4, 5.321%, due 06/05/15 | 6,367 | ||||||||||||
$ | 32,575 | Gambro Holding AB, Term Loan B, 2.187%, due 06/05/14 | 31,924 | ||||||||||||
32,575 | Gambro Holding AB, Term Loan C2, 3.213%, due 06/05/15 | 31,924 | |||||||||||||
2,750,000 | Grifols S.A, Term Loan B, 6.000%, due 06/01/17 | 2,712,188 | |||||||||||||
2,385,977 | Harlan Sprague Dawley, Inc., Term Loan B, 3.770%, due 07/11/14 | 2,135,449 | |||||||||||||
4,835,778 | (4 | ) | HCA, Inc., Extended Term Loan B2, 3.496%, due 03/31/17 | 4,496,268 | |||||||||||
1,537,292 | HGI Holding, Inc., Term Loan B, 6.750%, due 09/29/16 | 1,505,585 | |||||||||||||
2,344,125 | Iasis Healthcare LLC, Term Loan, 5.000%, due 05/03/18 | 2,182,966 | |||||||||||||
1,875,000 | (4 | ) | Immucor, Inc., Term Loan B, 0.000%, due 08/17/18 | 1,825,781 | |||||||||||
4,667,581 | (4 | ) | IMS Health Incorporated, New Term Loan B, 4.500%, due 08/25/17 | 4,469,208 |
See Accompanying Notes to Financial Statements
29
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Healthcare, Education and Childcare: (continued) | |||||||||||||||
$ | 3,414,336 | inVentiv Health Inc., Combined Term Loan, 6.500%, due 08/04/16 | $ | 3,239,351 | |||||||||||
555,000 | inVentiv Health Inc., Incremental Term Loan B3, 6.750%, due 05/15/18 | 524,475 | |||||||||||||
687,195 | Medassets, Inc., New Term Loan, 5.250%, due 11/16/16 | 656,271 | |||||||||||||
1,000,000 | Medpace IntermediateCo, Inc., Term Loan, 6.500%, due 06/22/17 | 960,000 | |||||||||||||
EUR | 504,944 | Nyco Holdings 3 ApS, EUR Term Loan B1 I, 5.192%, due 12/29/14 | 719,236 | ||||||||||||
EUR | 81,310 | Nyco Holdings 3 ApS, EUR Term Loan B1 III, 5.192%, due 12/29/14 | 115,817 | ||||||||||||
EUR | 1,317,855 | Nyco Holdings 3 ApS, EUR Term Loan B1 II, 5.192%, due 12/29/14 | 1,877,138 | ||||||||||||
EUR | 51,795 | Nyco Holdings 3 ApS, EUR Term Loan B1 IV, 5.192%, due 12/29/14 | 73,776 | ||||||||||||
EUR | 366,234 | Nyco Holdings 3 ApS, EUR Term Loan B1 V, 5.192%, due 12/29/14 | 521,660 | ||||||||||||
EUR | 504,819 | Nyco Holdings 3 ApS, EUR Term Loan C1 I, 5.942%, due 12/29/15 | 719,059 | ||||||||||||
EUR | 1,317,531 | Nyco Holdings 3 ApS, EUR Term Loan C1 II, 5.942%, due 12/29/15 | 1,876,677 | ||||||||||||
EUR | 81,290 | Nyco Holdings 3 ApS, EUR Term Loan C1 III, 5.942%, due 12/29/15 | 115,788 | ||||||||||||
EUR | 51,782 | Nyco Holdings 3 ApS, EUR Term Loan C1 IV, 5.942%, due 12/29/15 | 73,758 | ||||||||||||
EUR | 366,144 | Nyco Holdings 3 ApS, EUR Term Loan C1 V, 5.942%, due 12/29/15 | 521,532 | ||||||||||||
$ | 6,483,750 | Onex Carestream Finance LP, Term Loan B, 5.000%, due 02/25/17 | 5,324,779 | ||||||||||||
76,531 | Physicians Oncology Services, L.P., New Delayed Draw Term Loan, 6.250%, due 01/31/17 | 75,383 | |||||||||||||
629,941 | Physicians Oncology Services, L.P., New Term Loan B, 6.250%, due 01/31/17 | 620,492 | |||||||||||||
3,575,000 | Quintiles Transnational Corp., New Term Loan B, 5.000%, due 06/08/18 | 3,333,688 | |||||||||||||
1,750,000 | Rural/Metro Corporation, Term Loan, 5.750%, due 06/29/18 | 1,662,500 | |||||||||||||
1,234,375 | Skilled Healthcare Group, Inc., Term Loan B, 5.250%, due 04/08/16 | 1,146,426 | |||||||||||||
1,305,000 | Sun Healthcare Group Inc., New Term Loan B, 7.500%, due 10/15/16 | 1,115,775 | |||||||||||||
1,995,000 | Sunquest Information Systems, Inc., Term Loan, 6.250%, due 12/16/16 | 1,965,075 | |||||||||||||
890,000 | Surgical Care Affiliates LLC, Incremental Term Loan B, 5.500%, due 06/29/18 | 818,800 | |||||||||||||
1,902,901 | Surgical Care Affiliates LLC, Term Loan, 2.246%, due 12/29/14 | 1,724,504 | |||||||||||||
1,400,000 | U.S. Healthworks Holding Company, Inc., Term Loan B, 6.250%, due 06/15/16 | 1,358,000 | |||||||||||||
7,360 | United Surgical Partners International, Inc., Delayed Draw Term Loan, 2.230%, due 04/21/14 | 6,937 | |||||||||||||
1,231,232 | United Surgical Partners International, Inc., Term Loan B, 2.190%, due 04/18/14 | 1,160,436 | |||||||||||||
2,865,234 | Universal Health Services, Inc., New Term Loan B, 4.000%, due 11/15/16 | 2,752,058 | |||||||||||||
987,562 | Vanguard Health Holdings Company Ii, LLC, Term Loan B, 5.000%, due 01/29/16 | 942,299 | |||||||||||||
EUR | 1,000,000 | Vitalia, EUR Term Loan B, 6.115%, due 06/29/18 | 1,415,282 | ||||||||||||
EUR | 2,450,000 | VWR International Inc., EUR Term Loan B, 3.849%, due 06/27/14 | 3,349,264 | ||||||||||||
$ | 1,450,259 | VWR International Inc., Term Loan, 2.721%, due 06/30/14 | 1,347,533 | ||||||||||||
1,026,000 | Warner Chilcott Company LLC, New Term Loan B1, 4.250%, due 03/15/18 | 987,525 |
See Accompanying Notes to Financial Statements
30
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Healthcare, Education and Childcare: (continued) | |||||||||||||||
$ | 513,000 | Warner Chilcott Company LLC, New Term Loan B2, 4.250%, due 03/15/18 | $ | 493,763 | |||||||||||
705,375 | Warner Chilcott Company LLC, New Term Loan B3, 4.250%, due 03/15/18 | 678,923 | |||||||||||||
94,998,998 | |||||||||||||||
Home & Office Furnishings: 1.1% | |||||||||||||||
EUR | 745,552 | Global Garden Products Italy S.P.A., EUR Term Loan 1, 3.741%, due 08/31/16 | 943,485 | ||||||||||||
EUR | 745,552 | Global Garden Products Italy S.P.A., EUR Term Loan 2, 3.741%, due 08/31/17 | 943,485 | ||||||||||||
EUR | 364,373 | Hilding Anders, EUR Term Loan B — BankDeal(10956) merge duplicate, 4.781%, due 04/24/15 | 429,014 | ||||||||||||
SEK | 20,054,121 | Hilding Anders, SEK Term Loan B, 5.770%, due 03/31/15 | 2,374,243 | ||||||||||||
$ | 2,500,000 | Springs Window Fashions, LLC, New Term Loan B, 6.000%, due 05/31/17 | 2,431,249 | ||||||||||||
7,121,476 | |||||||||||||||
Insurance: 2.9% | |||||||||||||||
2,352,520 | AmWINS Group, Inc., 1st Lien Term Loan, 6.500%, due 06/08/13 | 2,234,894 | |||||||||||||
1,129,325 | Applied Systems Inc., 1st Lien Term Loan, 5.500%, due 12/08/16 | 1,106,739 | |||||||||||||
350,000 | Applied Systems Inc., 2nd Lien Term Loan, 9.250%, due 06/07/17 | 339,500 | |||||||||||||
1,022,087 | C.G. JCF CORP., Term Loan, 3.230%, due 08/01/14 | 976,093 | |||||||||||||
EUR | 1,675,000 | CEP Group (Financiere CEP), EUR Term Loan B, 5.848%, due 06/29/18 | 2,330,450 | ||||||||||||
$ | 3,060,732 | HMSC Corporation, 1st Lien Term Loan, 2.471%, due 04/03/14 | 2,219,031 | ||||||||||||
346,440 | (4 | ) | Hub International Limited, Delayed Draw Term Loan, 2.746%, due 06/13/14 | 318,725 | |||||||||||
1,541,189 | (4 | ) | Hub International Limited, Initial Term Loan, 2.746%, due 06/13/14 | 1,417,894 | |||||||||||
4,984,615 | Sedgwick Holdings, Inc., New Term Loan, 5.000%, due 12/30/16 | 4,660,614 | |||||||||||||
589,500 | USI Holdings Corp., Term Loan C, 7.000%, due 04/15/14 | 568,868 | |||||||||||||
2,646,076 | USI Holdings Corp., Term Loan, 2.730%, due 05/05/14 | 2,553,463 | |||||||||||||
18,726,271 | |||||||||||||||
Leisure, Amusement, Entertainment: 3.1% | |||||||||||||||
2,724,987 | 24 Hour Fitness Worldwide, Inc, New Term Loan, 6.750%, due 04/22/16 | 2,588,738 | |||||||||||||
1,506,081 | Alpha D2 Limited (Formula One World Championship Limited), Term Loan B, 2.651%, due 12/31/13 | 1,421,992 | |||||||||||||
957,502 | Alpha D2 Limited (Formula One World Championship Limited), Term Loan B2, 2.652%, due 12/31/13 | 904,042 | |||||||||||||
1,810,649 | AMF Bowling Worldwide, Inc., Term Loan B, 2.721%, due 06/07/13 | 1,466,625 | |||||||||||||
3,014,966 | Cedar Fair, L.P., New Term Loan B, 4.000%, due 12/15/17 | 2,932,054 | |||||||||||||
3,351,504 | HIT Entertainment, Inc., Term Loan, 5.514%, due 06/01/12 | 3,259,338 | |||||||||||||
GBP | 2,000,000 | London Arena & Waterfront Finance LLC (a.k.a. "The O2"), GBP Term Loan, 4.500%, due 06/29/18 | 3,215,915 | ||||||||||||
$ | 4,184,553 | NEP II, INC, Extended Term Loan B2, 3.496%, due 02/16/17 | 3,881,172 | ||||||||||||
19,669,876 |
See Accompanying Notes to Financial Statements
31
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Lodging: 0.2% | |||||||||||||||
$ | 1,443,750 | Audio Visual Services Corporation, New Term Loan, 2.500%, due 02/28/14 | $ | 1,241,625 | |||||||||||
1,241,625 | |||||||||||||||
Machinery: 1.9% | |||||||||||||||
466,667 | Alliance Laundry Systems LLC, Term Loan B, 6.250%, due 09/30/16 | 455,000 | |||||||||||||
EUR | 1,055,996 | Kion Group GMBH, EUR Term Loan B1, 4.942%, due 12/23/14 | 1,293,826 | ||||||||||||
EUR | 992,454 | Kion Group GMBH, EUR Term Loan C1, 5.192%, due 12/23/15 | 1,215,973 | ||||||||||||
$ | 762,803 | (4 | ) | Kion Group GMBH, Term Loan B2, 3.687%, due 12/23/14 | 635,033 | ||||||||||
762,803 | (4 | ) | Kion Group GMBH, Term Loan C2, 3.937%, due 12/23/15 | 635,033 | |||||||||||
1,931,912 | NACCO Materials Handling Group, Inc., Term Loan, 2.076%, due 03/22/13 | 1,873,955 | |||||||||||||
EUR | 2,000,000 | (4 | ) | Terex Corporation, EUR Term Loan, 0.000%, due 04/28/17 | 2,876,100 | ||||||||||
$ | 3,000,000 | (4 | ) | Terex Corporation, Term Loan B, 0.000%, due 04/28/17 | 2,942,500 | ||||||||||
11,927,420 | |||||||||||||||
Mining, Steel, Iron & Nonprecious Metals: 2.0% | |||||||||||||||
3,348,000 | Fairmount Minerals, Ltd., New Term Loan B, 5.250%, due 03/15/17 | 3,201,525 | |||||||||||||
3,656,625 | Novelis Inc., Term Loan, 3.750%, due 03/10/17 | 3,514,931 | |||||||||||||
1,816,222 | Oxbow Carbon LLC, Extended Term Loan B, 3.744%, due 05/08/16 | 1,739,033 | |||||||||||||
500,000 | U.S. Silica Company, Incremental Term Loan, 6.000%, due 06/01/17 | 500,938 | |||||||||||||
4,239,375 | Walter Energy, Inc., Term Loan B, 4.000%, due 04/02/18 | 4,090,996 | |||||||||||||
13,047,423 | |||||||||||||||
Non-North American Cable: 1.8% | |||||||||||||||
EUR | 225,161 | Numericable (YPSO France SAS), EUR Term Loan C Acq, 5.692%, due 12/31/15 | 269,108 | ||||||||||||
EUR | 422,901 | Numericable (YPSO France SAS), EUR Term Loan C Recap, 5.692%, due 12/31/15 | 505,443 | ||||||||||||
EUR | 157,416 | Numericable (YPSO France SAS), EUR Tranche Acquisition B1, 5.192%, due 06/16/14 | 189,020 | ||||||||||||
EUR | 256,837 | Numericable (YPSO France SAS), EUR Tranche Acquisition B2, 5.192%, due 06/16/14 | 308,403 | ||||||||||||
EUR | 383,760 | Numericable (YPSO France SAS), EUR Tranche Recap B1, 5.192%, due 06/16/14 | 460,809 | ||||||||||||
EUR | 500,000 | Telenet Finance IV Luxembourg, Euro Note, 5.346%, due 06/15/21 | 703,746 | ||||||||||||
EUR | 3,441,622 | UPC Broadband Holding B.V, EUR Term Loan S, 5.188%, due 12/31/16 | 4,633,712 | ||||||||||||
EUR | 1,490,144 | UPC Broadband Holding B.V, EUR Term Loan U, 5.438%, due 12/31/17 | 2,019,017 | ||||||||||||
$ | 341,625 | UPC Broadband Holding B.V, Term Loan T, 3.688%, due 12/30/16 | 321,127 | ||||||||||||
2,593,151 | UPC Broadband Holding B.V, Term Loan X, 3.688%, due 12/29/17 | 2,427,838 | |||||||||||||
11,838,223 | |||||||||||||||
North American Cable: 5.3% | |||||||||||||||
954,698 | Atlantic Broadband, New Term Loan B, 4.000%, due 03/08/16 | 918,101 | |||||||||||||
1,181,250 | (4 | ) | Block Communications, Inc., Term Loan, 0.000%, due 12/21/12 | 1,163,531 | |||||||||||
1,293,500 | Bresnan Communications, LLC, Term Loan B, 4.500%, due 12/14/17 | 1,246,611 | |||||||||||||
2,389,545 | (4 | ) | Cequel Communications, LLC, New Term Loan, 2.205%, due 11/05/13 | 2,301,131 |
See Accompanying Notes to Financial Statements
32
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
North American Cable: (continued) | |||||||||||||||
$ | 7,370,313 | (4 | ) | Charter Communications Operating, LLC, Extended Term Loan, 3.500%, due 09/06/16 | $ | 7,009,168 | |||||||||
1,293,500 | Knology Inc, New Term Loan B, 4.000%, due 08/18/17 | 1,238,526 | |||||||||||||
4,802,335 | (4 | ) | Mediacom Broadband LLC, Tranche D-1 Term Loan, 0.000%, due 01/30/15 | 4,226,055 | |||||||||||
1,980,000 | Mediacom Broadband LLC, Tranche F Term Loan, 4.500%, due 10/23/17 | 1,871,100 | |||||||||||||
5,242,224 | Mediacom LLC Group, Tranche C Term Loan, 1.940%, due 01/30/15 | 4,547,629 | |||||||||||||
1,768,500 | Mediacom LLC Group, Tranche D Term Loan, 5.500%, due 03/31/17 | 1,697,760 | |||||||||||||
2,670,000 | San Juan Cable LLC, New Term Loan B, 6.000%, due 06/09/17 | 2,569,875 | |||||||||||||
5,665,966 | Wideopenwest Finance, LLC, Term Loan B, 2.710%, due 06/27/14 | 5,269,349 | |||||||||||||
34,058,836 | |||||||||||||||
Oil & Gas: 1.6% | |||||||||||||||
3,000,000 | (4 | ) | CCS Inc., Term Loan B, 0.000%, due 11/14/14 | 2,698,125 | |||||||||||
4,051,076 | Frac Tech International, LLC, Term Loan B, 6.250%, due 05/06/16 | 3,902,535 | |||||||||||||
1,109,450 | Hercules Offshore, LLC, Term Loan B, 7.500%, due 07/11/13 | 1,065,072 | |||||||||||||
2,650,000 | MEG Energy Corp., New Term Loan B, 4.000%, due 03/16/18 | 2,547,313 | |||||||||||||
10,213,045 | |||||||||||||||
Other Broadcasting and Entertainment: 1.6% | |||||||||||||||
1,618,137 | Getty Images, Inc, New Term Loan, 5.250%, due 11/07/16 | 1,597,910 | |||||||||||||
1,995,000 | The Weather Channel, New Term Loan B, 4.250%, due 02/13/17 | 1,927,669 | |||||||||||||
214,737 | VNU, Class A Term Loan, 2.206%, due 08/09/13 | 205,288 | |||||||||||||
4,592,859 | VNU, Class B Term loan, 3.956%, due 05/02/16 | 4,403,403 | |||||||||||||
2,538,854 | VNU, Class C Term Loan, 3.456%, due 05/02/16 | 2,405,565 | |||||||||||||
10,539,835 | |||||||||||||||
Other Telecommunications: 3.8% | |||||||||||||||
1,492,500 | Alaska Communications Systems Holdings, Inc., Term Loan B, 5.500%, due 10/21/16 | 1,424,405 | |||||||||||||
6,515,973 | Asurion, LLC, New 1st Lien Term Loan, 5.500%, due 05/24/18 | 6,125,015 | |||||||||||||
2,700,000 | Asurion, LLC, New 2nd Lien Term Loan, 9.000%, due 05/24/19 | 2,608,875 | |||||||||||||
EUR | 1,312,967 | BCM Ireland Holdings Ltd (Eircom), EUR Term Loan B, 3.223%, due 09/30/14 | 1,363,488 | ||||||||||||
EUR | 1,313,237 | BCM Ireland Holdings Ltd (Eircom), EUR Term Loan C, 3.473%, due 09/30/15 | 1,363,768 | ||||||||||||
$ | 938,165 | (2 | ) | Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, due 11/01/15 | 942,074 | ||||||||||
3,391,493 | MetroPCS Wireless, Inc., Incremental Term Loan B3, 4.000%, due 03/16/18 | 3,149,849 | |||||||||||||
997,500 | PAETEC Holding Corp, Term Loan, 5.000%, due 05/31/18 | 992,513 | |||||||||||||
555 | tw telecom inc., Extended Term Loan B, 3.480%, due 12/29/16 | 537 | |||||||||||||
3,093,049 | U.S. Telepacific Corp, New Term Loan B, 5.750%, due 02/23/17 | 3,004,124 | |||||||||||||
EUR | 2,500,000 | (4 | ) | Wind Telecommunicazioni S.P.A., EUR Term Loan B1, 5.599%, due 12/15/17 | 3,367,434 | ||||||||||
24,342,082 |
See Accompanying Notes to Financial Statements
33
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Personal & Nondurable Consumer Products: 3.2% | |||||||||||||||
$ | 365,000 | Advantage Sales & Marketing, Inc., 2nd Lien Term Loan, 9.250%, due 06/18/18 | $ | 353,822 | |||||||||||
1,990,000 | Advantage Sales & Marketing, Inc., Term Loan B, 5.250%, due 12/18/17 | 1,893,817 | |||||||||||||
2,441,336 | Bushnell, Inc., 1st Lien Term Loan, 4.496%, due 08/23/13 | 2,416,923 | |||||||||||||
997,386 | Fender Musical Instruments Corp., Delayed Draw Term Loan, 2.480%, due 06/09/14 | 922,582 | |||||||||||||
1,974,172 | Fender Musical Instruments Corp., Term Loan B, 2.480%, due 06/09/14 | 1,826,109 | |||||||||||||
990,748 | �� | Hillman Group (The), Inc., Term Loan B, 5.000%, due 05/27/16 | 965,979 | ||||||||||||
1,200,000 | Information Resources, Inc., New Term Loan B, 5.000%, due 12/01/17 | 1,155,000 | |||||||||||||
1,490,913 | Jarden Corporation, New Term Loan B, 3.246%, due 03/30/18 | 1,471,035 | |||||||||||||
1,668,445 | KIK Custom Products, Inc., 1st Lien Term Loan, 2.510%, due 06/02/14 | 1,380,638 | |||||||||||||
286,019 | KIK Custom Products, Inc., Canadian Term Loan, 2.510%, due 06/02/14 | 236,681 | |||||||||||||
1,000,000 | KIK Custom Products, Inc., Incremental 1st Lien Term Loan, 8.500%, due 05/30/14 | 975,000 | |||||||||||||
1,200,000 | Revlon Consumer Products Corporation, New Term Loan B, 4.750%, due 11/17/17 | 1,161,000 | |||||||||||||
1,017,529 | Spectrum Brands, Inc., New Term Loan B, 5.000%, due 06/17/16 | 980,220 | |||||||||||||
357,500 | SRAM, LLC, 2nd Lien Term Loan, 8.500%, due 12/07/18 | 352,138 | |||||||||||||
3,265,000 | SRAM, LLC, New Term Loan B, 4.767%, due 06/07/18 | 3,118,075 | |||||||||||||
1,672,371 | Totes Isotoner Corporation, 1st Lien Term Loan, 7.258%, due 07/07/17 | 1,611,748 | |||||||||||||
20,820,767 | |||||||||||||||
Personal, Food & Miscellaneous: 4.3% | |||||||||||||||
3,052,350 | Acosta, Inc., Term Loan, 4.750%, due 03/01/18 | 2,876,840 | |||||||||||||
EUR | 1,616,875 | Burger King Corporation, New EUR Term Loan B, 4.781%, due 10/19/16 | 2,264,112 | ||||||||||||
$ | 3,423,656 | Burger King Corporation, New Term Loan B, 4.500%, due 10/19/16 | 3,265,313 | ||||||||||||
1,760,000 | Dennys, Inc, New Term Loan B, 5.284%, due 09/30/16 | 1,724,800 | |||||||||||||
1,811,760 | DineEquity Inc., New Term Loan B, 4.250%, due 10/19/17 | 1,755,142 | |||||||||||||
2,011,160 | Dunkin Brands, Inc., Add on Term Loan B, 4.000%, due 11/23/17 | 1,944,958 | |||||||||||||
2,250,000 | N.E.W. Customer Services Companies, Inc., Secured Term Loan, 6.000%, due 03/23/16 | 2,176,875 | |||||||||||||
2,985,000 | NBTY, Inc., New Term Loan B, 4.250%, due 10/02/17 | 2,863,734 | |||||||||||||
239,782 | OSI Restaurant Partners, Inc., Revolver, 2.380%, due 06/14/13 | 221,998 | |||||||||||||
2,203,754 | OSI Restaurant Partners, Inc., Term Loan B, 2.563%, due 06/14/14 | 2,040,308 | |||||||||||||
1,000,000 | (4 | ) | Seminole Hard Rock Entertainment, Inc., Floating/Variable — 03/2014 — 816752AA7, 0.000%, due 03/15/14 | 905,000 | |||||||||||
651,962 | (4 | ) | U.S. Security Associates Holdings, Inc., Delayed Draw Term Loan, 0.000%, due 07/28/17 | 646,529 | |||||||||||
3,347,806 | (4 | ) | U.S. Security Associates Holdings, Inc., New Term Loan, 0.000%, due 07/28/17 | 3,319,911 | |||||||||||
1,410,753 | Wendys/Arbys Restaurants, LLC, Term Loan B, 5.000%, due 05/24/17 | 1,396,645 | |||||||||||||
27,402,165 |
See Accompanying Notes to Financial Statements
34
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Printing & Publishing: 9.8% | |||||||||||||||
$ | 1,122,976 | Black Press, Ltd., Term Loan B1, 2.323%, due 08/02/13 | $ | 1,038,753 | |||||||||||
681,807 | Black Press, Ltd., Term Loan B2, 2.323%, due 08/02/13 | 630,671 | |||||||||||||
2,609,637 | (2 | )(4) | Caribe Information Investments Inc., Term Loan, 0.000%, due 03/29/13 | 730,698 | |||||||||||
7,652,264 | Cengage Learning, Inc., Term Loan, 2.500%, due 07/03/14 | 6,393,467 | |||||||||||||
1,572,100 | Cenveo Corporation, Term Loan B, 6.250%, due 12/21/16 | 1,526,902 | |||||||||||||
1,687,291 | CW Acquisition Limited Partnership, Tranche C Term Loan, 6.250%, due 07/13/16 | 1,624,018 | |||||||||||||
1,967,257 | Dex Media East, LLC, New Term Loan, 2.789%, due 10/24/14 | 1,259,044 | |||||||||||||
1,903,861 | Dex Media West, LLC, New Term Loan, 7.000%, due 10/24/14 | 1,412,031 | |||||||||||||
841,151 | Flint Group Holdings S.A.R.L., Term Loan B7 AEB, 4.711%, due 12/31/14 | 755,459 | |||||||||||||
353,279 | Flint Group Holdings S.A.R.L., Term Loan B7 AFB, 4.711%, due 12/31/14 | 317,289 | |||||||||||||
2,333,333 | Flint Group Holdings S.A.R.L., Term Loan B9, 4.711%, due 05/29/15 | 2,095,625 | |||||||||||||
1,277,104 | Flint Group Holdings S.A.R.L., Term Loan C7, 4.711%, due 12/31/15 | 1,146,999 | |||||||||||||
1,641,520 | Hanley Wood, LLC, New Term Loan B, 2.563%, due 03/07/14 | 849,487 | |||||||||||||
1,518,467 | Intermedia Outdoor, Inc., 1st Lien Term Loan, 2.996%, due 01/31/13 | 1,427,359 | |||||||||||||
EUR | 1,554,297 | Mediannuaire Holding, EUR Term Loan B3, 4.219%, due 10/12/15 | 1,242,996 | ||||||||||||
EUR | 1,686,673 | Mediannuaire Holding, EUR Term Loan C2, 4.219%, due 10/12/15 | 1,348,859 | ||||||||||||
$ | 4,527,710 | Merrill Communications, LLC, Term Loan, 3.230%, due 12/24/12 | 4,391,878 | ||||||||||||
1,788,300 | Nelson Canada, Term Loan, 2.746%, due 07/03/14 | 1,475,348 | |||||||||||||
EUR | 733,370 | PagesJaunes Groupe SA, EUR Term Loan A3, 4.880%, due 09/11/15 | 778,161 | ||||||||||||
AUD | 22,320,730 | PBL Media, AUD Term Loan B, 7.237%, due 02/05/13 | 20,439,866 | ||||||||||||
$ | 2,135,923 | Penton Media, Inc, New Term Loan B, 5.006%, due 08/01/14 | 1,623,301 | ||||||||||||
4,295,651 | R.H. Donnelley Corporation, New Term Loan, 9.000%, due 10/24/14 | 2,469,999 | |||||||||||||
2,255,172 | Source Media Inc., New Term Loan B — Accuity, 6.500%, due 01/21/17 | 2,215,707 | |||||||||||||
703,448 | Source Media Inc., New Term Loan B — Source, 6.500%, due 01/21/17 | 691,138 | |||||||||||||
7,629,251 | SuperMedia, Inc., Exit Term Loan, 11.000%, due 12/31/15 | 3,752,638 | |||||||||||||
988,030 | Thomas Nelson Publishers, New Term Loan, 9.000%, due 06/14/16 | 932,454 | |||||||||||||
1,569,928 | Yell Group PLC, New Term Loan B1, 3.971%, due 07/31/14 | 518,076 | |||||||||||||
63,088,223 | |||||||||||||||
Radio and TV Broadcasting: 6.5% | |||||||||||||||
694,657 | Citadel Broadcasting Corporation, New Term Loan B, 4.250%, due 12/30/16 | 689,447 | |||||||||||||
5,000,000 | Clear Channel Communications, Inc., Term Loan B, 3.871%, due 01/28/16 | 3,800,000 | |||||||||||||
2,007,994 | (4 | ) | CMP KC, LLC, Term Loan, 0.000%, due 10/03/11 | 142,568 | |||||||||||
2,192,112 | CMP Susquehanna Corporation, Term Loan, 2.250%, due 05/03/13 | 2,173,617 | |||||||||||||
2,000,000 | (4 | ) | Cumulus Media Holdings Inc., 2nd Lien Term Loan, 0.000%, due 02/11/19 | 1,880,000 | |||||||||||
5,000,000 | (4 | ) | Cumulus Media Holdings Inc., Term Loan, 0.000%, due 08/30/18 | 4,675,000 | |||||||||||
1,880,819 | FoxCo Acquisition, LLC, Term Loan B, 4.750%, due 07/14/15 | 1,767,970 | |||||||||||||
285,714 | Hubbard Radio LLC, 2nd Lien Term Loan, 8.750%, due 04/30/18 | 277,143 | |||||||||||||
850,000 | Hubbard Radio LLC, Term Loan B, 5.250%, due 04/28/17 | 811,750 | |||||||||||||
1,951,904 | Local TV Finance, LLC, Term Loan B, 2.230%, due 05/07/13 | 1,831,130 | |||||||||||||
627,413 | Nexstar Broadcasting, Inc., Mission Term Loan B, | ||||||||||||||
5.000%, due 09/30/16 | 605,453 |
See Accompanying Notes to Financial Statements
35
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Radio and TV Broadcasting: (continued) | |||||||||||||||
$ | 1,480,091 | Nexstar Broadcasting, Inc., Term Loan B, 5.000%, due 09/30/16 | $ | 1,428,288 | |||||||||||
725,000 | Raycom TV Broadcasting, LLC, Term Loan B, 4.500%, due 05/31/17 | 686,938 | |||||||||||||
1,709,112 | Regent Communications, Secured Cash Term Loan, 5.250%, due 04/27/14 | 1,637,543 | |||||||||||||
2,302,852 | Spanish Broadcasting Systems, 1st Lien Term Loan, 2.000%, due 06/11/12 | 2,038,024 | |||||||||||||
20,287,182 | Univision Communications, Inc., Extended Term Loan, 4.471%, due 03/31/17 | 17,472,336 | |||||||||||||
41,917,207 | |||||||||||||||
Retail Stores: 9.7% | |||||||||||||||
4,200,000 | (4 | ) | Academy Ltd., Term Loan, 6.000%, due 08/03/18 | 4,028,501 | |||||||||||
1,885,750 | Amscan Holdings, Inc., Term Loan B, 6.750%, due 12/04/17 | 1,810,320 | |||||||||||||
3,000,000 | Bass Pro Group, LLC, Term Loan, 5.250%, due 06/13/17 | 2,857,500 | |||||||||||||
5,431,250 | Burlington Coat Factory, Term Loan B, 6.250%, due 02/23/17 | 5,122,347 | |||||||||||||
2,824,681 | Claires Stores, Inc., Term Loan B, 2.997%, due 05/29/14 | 2,471,596 | |||||||||||||
1,950,000 | General Nutrition Centers, Inc., New Term Loan B, 4.250%, due 03/02/18 | 1,862,250 | |||||||||||||
3,974,096 | Guitar Center, Inc., Extended Term Loan, 5.500%, due 04/10/17 | 3,504,656 | |||||||||||||
1,990,000 | Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 6.500%, due 12/22/17 | 1,957,663 | |||||||||||||
4,239,375 | J. Crew, New Term Loan B, 4.750%, due 03/07/18 | 3,810,138 | |||||||||||||
3,790,500 | Jo-Ann Stores, Inc., Term Loan, 4.750%, due 03/16/18 | 3,525,165 | |||||||||||||
995,000 | Leslies Poolmart, Inc., Term Loan B, 4.500%, due 11/21/16 | 940,275 | |||||||||||||
EUR | 212,105 | Maxeda DIY Group B.V., EUR Term Loan B, 4.183%, due 06/29/15 | 284,811 | ||||||||||||
EUR | 287,895 | Maxeda DIY Group B.V., EUR Term Loan B2, 4.118%, due 08/01/15 | 386,579 | ||||||||||||
EUR | 212,105 | Maxeda DIY Group B.V., EUR Term Loan C, 4.697%, due 06/27/16 | 284,811 | ||||||||||||
EUR | 287,895 | Maxeda DIY Group B.V., EUR Term Loan C2, 4.652%, due 08/01/16 | 386,579 | ||||||||||||
$ | 1,802,365 | Michaels Stores, Inc., Term Loan B2, 4.750%, due 07/31/16 | 1,716,753 | ||||||||||||
375,000 | Nebraska Book Company, Inc, DIP Term Loan B, 7.250%, due 07/27/12 | 376,875 | |||||||||||||
6,785,033 | Neiman Marcus Group, Inc, New Term Loan, 4.750%, due 05/16/18 | 6,306,687 | |||||||||||||
GBP | 2,462,962 | Pets at Home Group Limited, GBP Term Loan B, 5.634%, due 01/24/17 | 3,983,672 | ||||||||||||
$ | 1,100,000 | Pilot Travel Centers LLC, New Term Loan B, 4.250%, due 03/30/18 | 1,049,125 | ||||||||||||
3,744,247 | Rite Aid Corporation, Term Loan B, 1.969%, due 06/04/14 | 3,449,388 | |||||||||||||
474,298 | Rite Aid Corporation, Tranche 5, 4.500%, due 03/02/18 | 443,468 | |||||||||||||
1,496,250 | Savers, New Term Loan B, 4.250%, due 03/03/17 | 1,447,622 | |||||||||||||
2,625,301 | The Gymboree Corporation, New Term Loan, 5.000%, due 02/23/18 | 2,353,583 | |||||||||||||
698,250 | Toys "R" Us, Inc., Incremental Term Loan B2, 5.250%, due 05/25/18 | 638,899 | |||||||||||||
2,816,550 | Toys "R" Us, Inc., New Term Loan, 6.000%, due 09/01/16 | 2,668,681 | |||||||||||||
EUR | 1,863,011 | Vivarte S.A.S., EUR Facility B1, 3.275%, due 03/09/15 | 2,255,318 | ||||||||||||
EUR | 1,863,011 | Vivarte S.A.S., EUR Facility C1, 3.900%, due 03/08/16 | 2,255,318 | ||||||||||||
62,178,580 | |||||||||||||||
Satellite: 0.3% | |||||||||||||||
$ | 1,995,000 | Intelsat Jackson Holdings S.A., Tranche B Term Loan, 5.250%, due 04/02/18 | 1,916,862 | ||||||||||||
1,916,862 |
See Accompanying Notes to Financial Statements
36
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Telecommunications Equipment: 1.6% | |||||||||||||||
$ | 1,213,103 | CommScope, Inc., New Term Loan B, 5.000%, due 01/14/18 | $ | 1,170,644 | |||||||||||
GBP | 3,357,312 | Macquarie UK Broadcast Ventures Limited, GBP Term Loan A2, 2.913%, due 12/01/14 | 4,457,782 | ||||||||||||
$ | 1,263,650 | Syniverse Holdings, Inc., Term Loan B, 5.250%, due 12/21/17 | 1,227,847 | ||||||||||||
EUR | 1,500,000 | TDF SA, EUR Term Loan C, 5.348%, due 01/29/16 | 1,775,812 | ||||||||||||
EUR | 1,500,000 | TDF SA, New Extended EUR TL B2, 5.348%, due 01/29/16 | 1,775,812 | ||||||||||||
10,407,897 | |||||||||||||||
Textiles & Leather: 0.1% | |||||||||||||||
EUR | 623,436 | Phillips-Van Heusen Corporation, New EUR Term Loan B, 4.400%, due 02/26/16 | 895,411 | ||||||||||||
895,411 | |||||||||||||||
Utilities: 5.5% | |||||||||||||||
$ | 2,194,500 | AES Corporation, New Term Loan, 4.250%, due 06/01/18 | 2,122,264 | ||||||||||||
3,391,500 | Calpine Corp, New Term Loan, 4.500%, due 04/02/18 | 3,154,095 | |||||||||||||
2,000,000 | Calpine Corp, Term Loan B2, 4.500%, due 04/02/18 | 1,860,000 | |||||||||||||
3,700,000 | (4 | ) | Dynegy Holdings Inc., CoalCo Term Loan, 0.000%, due 08/04/16 | 3,600,563 | |||||||||||
3,700,000 | (4 | ) | Dynegy Holdings Inc., GasCo Term Loan, 0.000%, due 08/04/16 | 3,638,332 | |||||||||||
610,514 | FirstLight Power Resources, Inc. (aka NE Energy, Inc.), 2nd Lien | ||||||||||||||
Term Loan, 4.750%, due 05/01/14 | 560,655 | ||||||||||||||
800,714 | Great Point Power, LLC, Term Loan B1, 4.250%, due 03/10/17 | 758,676 | |||||||||||||
1,909,091 | Race Point Power, Term Loan, 7.750%, due 01/11/18 | 1,866,136 | |||||||||||||
21,593,810 | (4 | ) | Texas Competitive Electric Holdings Company LLC, Extended | ||||||||||||
Term Loan, 4.740%, due 10/10/17 | 15,925,435 | ||||||||||||||
2,000,000 | TPF Generation Holdings, LLC, 2nd Lien Term Loan C, | ||||||||||||||
4.496%, due 12/15/14 | 1,875,000 | ||||||||||||||
35,361,156 | |||||||||||||||
Total Senior Loans (Cost $903,455,841) | 841,632,028 | ||||||||||||||
Other Corporate Debt: 1.0% | |||||||||||||||
Cargo Transport: 0.0% | |||||||||||||||
297,646 | US Shipping Partners L.P., Subordinated Term Loan, | ||||||||||||||
2.500%, due 08/07/13 | 76,396 | ||||||||||||||
76,396 | |||||||||||||||
Chemicals, Plastics & Rubber: 0.9% | |||||||||||||||
5,246,158 | (4 | ) | Lyondell Chemical Company, 11.000% — 05/2018 — 552078BB2, | ||||||||||||
0.000%, due 05/01/18 | 5,882,254 | ||||||||||||||
5,882,254 | |||||||||||||||
Diversified / Conglomerate Manufacturing: 0.0% | |||||||||||||||
5,609 | Flextronics International, Ltd., Delayed Draw A-1A Term Loan, | ||||||||||||||
2.471%, due 10/01/14 | 5,551 | ||||||||||||||
4,727 | Flextronics International, Ltd., Term Loan A, 2.440%, due 10/01/14 | 4,508 | |||||||||||||
10,059 |
See Accompanying Notes to Financial Statements
37
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
Principal Amount | Borrower/Tranche Description | Fair Value | |||||||||||||
Radio and TV Broadcasting: 0.1% | |||||||||||||||
$ | 541,732 | Regent Communications, Subordinated PIK Term Loan, 12.000%, due 10/27/14 | $ | 487,558 | |||||||||||
487,558 | |||||||||||||||
Total Other Corporate Debt (Cost $6,409,728) | 6,456,267 | ||||||||||||||
Equities and Other Assets: 2.3% | |||||||||||||||
Description | Market Value | ||||||||||||||
(@), (R) | Ascend Media (Residual Interest) | $ | — | ||||||||||||
(@) | Carador Placing (2,923,549 Common Shares) | 2,645,812 | |||||||||||||
(@) | Citadel (31,086 Class B Shares) | 994,752 | |||||||||||||
(@) | Citadel (37,804 Class A Shares) | 1,207,838 | |||||||||||||
(@) | Cumulus Media Inc (5,094 Class A Common Shares) | 13,703 | |||||||||||||
(@) | Faith Media Holdings, Inc. (7,725 Class A-1 Shares) | 397,817 | |||||||||||||
(@), (R) | Ferretti SPA (Warrants for 0.161% Participation Interest) | — | |||||||||||||
(1), (@), (R) | Gainey Corporation (Residual Interest) | — | |||||||||||||
(@) | Global Garden (138,579 Class A3 Shares) | — | |||||||||||||
(@) | Global Garden (14,911 Class A1 Shares) | — | |||||||||||||
(@) | Glodyne Technoserve, Ltd. (24,471 Common Shares) | 146,754 | |||||||||||||
(@) | Glodyne Technoserve, Ltd. (Escrow Account) | 40,225 | |||||||||||||
(@) | Hawaiian Telcom (29,687 Common Shares) | 601,162 | |||||||||||||
(@) | Mega Brands Inc (9,788 Common Shares) | 78,864 | |||||||||||||
(@) | Metro-Goldwyn-Mayer, Inc. (372,090 Common Shares) | 7,472,795 | |||||||||||||
(@) | Northeast Biofuels (Residual Interest) | — | |||||||||||||
(@), (R) | Safelite Realty Corporation (30,003 Common Shares) | 158,416 | |||||||||||||
(1), (@), (R) | Supermedia, Inc. (42,369 Common Shares) | 89,822 | |||||||||||||
(@) | Townsquare Media, LLC (385,269 Common Shares) | 1,113,582 | |||||||||||||
(@) | Townsquare Media, LLC (385,269 Preferred Shares) | — | |||||||||||||
(@) | US Shipping Partners, L.P. (19,404 Common Shares) | — | |||||||||||||
(@) | US Shipping Partners, L.P. (275,292 Contingency Rights) | — | |||||||||||||
Total for Equities and Other Assets (Cost $14,956,241) | 14,961,542 | ||||||||||||||
Total Investments (Cost $924,821,810)** | 134.3 | % | $ | 863,049,837 | |||||||||||
Other Assets and Liabilities — Net | (34.3 | ) | (220,652,631 | ) | |||||||||||
Net Assets | 100.0 | % | $ | 642,397,206 |
* Senior loans, while exempt from registration under the Securities Act of 1933, as amended, contain certain restrictions on resale and cannot be sold publicly. These senior 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.
(1) The borrower filed for protection under Chapter 7 of the U.S. Federal Bankruptcy code.
(2) The borrower filed for protection under Chapter 11 of the U.S. Federal Bankruptcy code.
See Accompanying Notes to Financial Statements
38
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
(3) Loan is on non-accrual basis.
(4) Trade pending settlement. Contract rates do not take effect until settlement date.
(@) Non-income producing security.
(R) Restricted security.
AUD Australian Dollar
GBP British Pound
EUR Euro
SEK Swedish Kronor
** For Federal Income Tax purposes cost of investments is $925,495,935.
Net unrealized depreciation consists of the following:
Gross Unrealized Appreciation | $ | 5,001,726 | |||||
Gross Unrealized Depreciation | (67,447,824 | ) | |||||
Net Unrealized Depreciation | $ | (62,446,098 | ) |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of August 31, 2011 in valuing the Fund's assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 8/31/11 | ||||||||||||||||
Asset Table | |||||||||||||||||||
Investments, at value | |||||||||||||||||||
Senior Loans | $ | — | $ | 839,602,490 | $ | 2,029,538 | $ | 841,632,028 | |||||||||||
Other Corporate Debt | — | 5,968,709 | 487,558 | 6,456,267 | |||||||||||||||
Equities and Other Assets | 5,631,954 | 7,472,795 | 1,856,793 | 14,961,542 | |||||||||||||||
Total Investments, at value | $ | 5,631,954 | $ | 853,043,994 | $ | 4,373,889 | $ | 863,049,837 | |||||||||||
Other Financial Instruments+ | |||||||||||||||||||
Forward foreign currency contracts | — | 215,934 | — | 215,934 | |||||||||||||||
Total Assets | $ | 5,631,954 | $ | 853,259,928 | $ | 4,373,889 | $ | 863,265,771 | |||||||||||
Liabilities Table | |||||||||||||||||||
Other Financial Instruments+ | |||||||||||||||||||
Forward foreign currency contracts | $ | — | $ | (332,487 | ) | $ | — | $ | (332,487 | ) | |||||||||
Unfunded Commitments | $ | (217,119 | ) | ||||||||||||||||
Total Liabilities | $ | — | $ | (332,487 | ) | $ | — | $ | (332,487 | ) |
See Accompanying Notes to Financial Statements
39
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund's assets and liabilities during the year ended August 31, 2011:
Beginning Balance at 02/28/11 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Senior Loans | $ | 3,550,214 | $ | — | $ | — | $ | — | $ | — | $ | (25,701 | ) | ||||||||||||||
Other Corporate Debt | 445,752 | 41,806 | — | — | — | — | |||||||||||||||||||||
Equities and Other Assets | 1,858,085 | — | — | — | — | (1,292 | ) | ||||||||||||||||||||
Total | $ | 5,854,051 | $ | 41,806 | $ | — | $ | — | $ | — | $ | (26,993 | ) |
Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance at 8/31/11 | |||||||||||||
Senior Loans | $ | 142,568 | $ | (1,637,543 | ) | $ | 3,524,513 | ||||||||
Other Corporate Debt | — | — | 487,558 | ||||||||||||
Equities and Other Assets | — | — | 1,856,793 | ||||||||||||
Total | $ | 142,568 | $ | (1,637,543 | ) | $ | 5,868,864 |
As of August 31, 2011, total change in unrealized gain (loss) on Level 3 securities still held at year end and included in the change in net assets was $74,486.
^ See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information.
+ Other Financial Instruments are securities or derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, unfunded committments and written options. Forward foreign currency contracts, futures and unfunded commitments are reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Fund. Swaps and written options are reported at their fair value at measurement date.
Transfers in or out of Level 3 represents either the beginning value (for transfer in), or the ending value (for transfers out) of any security or derivative instrument where a change in the pricing level occurred fom the beginning to the end of the period. The Fund's policy is to recognize transfers between levels at the end of the reporting period.
See Accompanying Notes to Financial Statements
40
ING Senior Income Fund
PORTFOLIO OF INVESTMENTS as of August 31, 2011 (Unaudited) (continued)
At August 31, 2011 the following forward foreign currency contracts were outstanding for ING Senior Income Fund:
Counterparty | Currency | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
State Street Bank | Australian Dollar AUD 19,845,000 | Sell | 09/15/11 | $ | 21,052,599 | $ | 21,178,168 | $ | (125,569 | ) | |||||||||||||||||
State Street Bank | British Pound Sterling GBP 8,905,000 | Sell | 09/15/11 | 14,615,243 | 14,461,403 | 153,840 | |||||||||||||||||||||
State Street Bank | British Pound Sterling GBP 1,219,000 | Sell | 10/14/11 | 1,954,008 | 1,978,970 | (24,962 | ) | ||||||||||||||||||||
State Street Bank | British Pound Sterling GBP 788,000 | Sell | 11/14/11 | 1,293,195 | 1,278,815 | 14,380 | |||||||||||||||||||||
State Street Bank | Euro EUR 44,355,000 | Sell | 09/15/11 | 63,602,562 | 63,774,300 | (171,738 | ) | ||||||||||||||||||||
State Street Bank | Euro EUR 9,000,000 | Sell | 10/14/11 | 12,936,690 | 12,935,861 | 829 | |||||||||||||||||||||
State Street Bank | Euro EUR 1,300,000 | Sell | 11/14/11 | 1,857,648 | 1,867,866 | (10,218 | ) | ||||||||||||||||||||
State Street Bank | Sweden Kronor SEK 8,535,000 | Sell | 09/15/11 | 1,385,144 | 1,346,329 | 38,815 | |||||||||||||||||||||
State Street Bank | Sweden Kronor SEK 12,000,000 | Sell | 10/14/11 | 1,897,962 | 1,889,892 | 8,070 | |||||||||||||||||||||
$ | 120,595,051 | $ | 120,711,604 | $ | (116,553 | ) |
See Accompanying Notes to Financial Statements
41
ING Senior Income Fund
ADDITIONAL INFORMATION (Unaudited)
PROXY VOTING INFORMATION
A description of the policies and procedures that the Registrant uses to determine how to vote proxies related to portfolio securities is available (1) without charge, upon request, by calling Shareholder Services toll-free at (800) 992-0180; (2) on the Registrant's website at www.ingfunds.com; and (3) on the SEC's website at www.sec.gov. Information regarding how the Registrant voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available without charge on the Registrant's website at www.ingfunds.com and on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS
The Registrant files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Registrant's Forms N-Q are available on the SEC's website at www.sec.gov. The Registrant's Forms N-Q may be reviewed and copied at the Commissions Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330; and is available upon request from the Registrant by calling Shareholder Services toll-free at (800) 992-0180.
42
Investment Adviser
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Sub-Adviser
ING Investment Management Co.
230 Park Avenue
New York, New York 10169
Administrator
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Institutional Investors and Analysts
Call ING Senior Income Fund
1-800-336-3436
Written Requests
Please mail all account inquiries and other comments to:
ING Senior Income Fund
c/o ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Distributor
ING Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
Custodian
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, Missouri 64105
Legal Counsel
Dechert LLP
1775 I Street, N.W.
Washington, D.C. 20006
Toll-Free Shareholder Information
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
For more complete information, or to obtain a prospectus on any ING fund, please call your Investment Professional or ING Funds Distributor, LLC at (800) 992-0180 or log on to www.ingfunds.com. The prospectus should be read carefully before investing. Consider the fund's investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this information and other information about the fund.
SAR-USIF
(0811-102411)
ITEM 2. CODE OF ETHICS.
Not required for semi-annual filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not required for semi-annual filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not required for semi-annual filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not required for semi-annual filing.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not required for semi-annual filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
None.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Board has a Nominating Committee for the purpose of considering and presenting to the Board candidates it proposes for nomination to fill Independent Trustee vacancies on the Board. The Committee currently consists of all Independent Trustees of the Board (6 individuals). The Nominating Committee operates pursuant to a Charter approved by the Board. The primary purpose of the Nominating Committee is to consider and present to the Board the candidates it proposes for nomination to fill vacancies on the Board. In evaluating candidates, the Nominating Committee may consider a variety of factors, but it has not at this time set any specific minimum qualifications that must be met. Specific qualifications of candidates for Board membership will be based on the needs of the Board at the time of nomination.
The Nominating Committee is willing to consider nominations received from shareholders and shall assess shareholder nominees in the same manner as it reviews its own nominees. A shareholder nominee for director should be submitted in writing to the Fund’s Secretary. Any such shareholder nomination should include at a minimum the following information as to each individual proposed for nomination as trustee: such individual’s written consent to be named in the proxy statement as a nominee (if nominated) and to serve as a trustee (if elected), and all information relating to such individual that is required to be disclosed in the solicitation of proxies for election of trustees, or is otherwise required, in each case under applicable federal securities laws, rules and regulations.
The Secretary shall submit all nominations received in a timely manner to the Nominating Committee. To be timely, any such submission must be delivered to the Fund’s Secretary not earlier than the 90th day prior to such meeting and not later than the close of business on the later of the 60th day prior to such meeting or the 10th day following the day on which public announcement of the date of the meeting is first made, by either disclosure in a press release or in a document publicly filed by the Fund with the Securities and Exchange Commission.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR.
(b) There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) The Code of Ethics is not required for the semi-annual filing.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT.
(a)(3) Not required for semi-annual filing.
(b) The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): ING Senior Income Fund
By | /s/ | Shaun P. Mathews |
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| Shaun P. Mathews | |
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| President and Chief Executive Officer | |
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Date: | November 3, 2011 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ | Shaun P. Mathews |
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| Shaun P. Mathews | |
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| President and Chief Executive Officer | |
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Date: | November 3, 2011 |
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By | /s/ | Todd Modic |
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| Todd Modic | |
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| Senior Vice President and Chief Financial Officer | |
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Date: | November 3, 2011 |
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