N-Q 1 a08-29525_5nq.htm N-Q

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

Quarterly Schedule of Portfolio Holdings of Registered

Management Investment Company

 

Investment Company Act file number:   811-21938

 

ING Risk Managed Natural Resources Fund

(Exact name of registrant as specified in charter)

 

7337 East Doubletree Ranch Rd., Scottsdale, AZ 85258

(Address of principal executive offices)          (Zip code)

 

 

Huey P. Falgout, Jr., 7337 East Doubletree Ranch Road, Scottsdale, AZ 85258 

(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:

November 30, 2008

 



 

Item 1. Schedule of Investments

 

The schedules of investments as of the close of the reporting period are set forth below for:

 

ING Risk Managed Natural Resources Fund

 

The schedules are not audited.

 



 

 

 

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

 

as of November 30, 2008 (Unaudited)

 

Shares

 

 

 

 

 

Value

COMMON STOCK: 77.0%

 

 

 

 

 

 

 

 

Chemicals: 5.7%

 

 

28,950

 

 

 

Air Products & Chemicals, Inc.

 

$

1,382,652

14,107

 

 

 

Ashland, Inc.

 

134,722

8,100

 

 

 

CF Industries Holdings, Inc.

 

426,303

133,650

 

 

 

Dow Chemical Co.

 

2,479,208

14,450

 

 

 

Eastman Chemical Co.

 

475,405

30,750

 

 

 

Ecolab, Inc.

 

1,180,493

130,350

 

 

 

EI Du Pont de Nemours & Co.

 

3,266,571

17,100

 

 

 

International Flavors & Fragrances, Inc.

 

522,234

79,500

 

 

 

Monsanto Co.

 

6,296,400

27,850

 

 

 

PPG Industries, Inc.

 

1,223,172

30,050

 

 

 

Praxair, Inc.

 

1,774,453

22,800

 

 

 

Rohm & Haas Co.

 

1,559,748

22,400

 

 

 

Sigma-Aldrich Corp.

 

965,664

 

 

 

 

 

 

21,687,025

 

 

 

 

Coal: 1.1%

 

 

21,315

 

 

 

Arch Coal, Inc.

 

327,825

72,834

 

 

 

Consol Energy, Inc.

 

2,110,001

13,350

 

 

 

Massey Energy Co.

 

208,527

63,704

 

 

 

Peabody Energy Corp.

 

1,492,585

171,659

 

@, @@

 

White Energy Co., Ltd.

 

168,860

 

 

 

 

 

 

4,307,798

 

 

 

 

Forest Products & Paper: 0.7%

 

 

71,700

 

 

 

International Paper Co.

 

892,665

34,500

 

 

 

MeadWestvaco Corp.

 

402,270

35,100

 

 

 

Weyerhaeuser Co.

 

1,320,462

 

 

 

 

 

 

2,615,397

 

 

 

 

Iron/Steel: 0.7%

 

 

14,450

 

 

 

AK Steel Holding Corp.

 

113,866

18,400

 

 

 

Allegheny Technologies, Inc.

 

422,280

201,784

 

@, @@

 

Consolidated Thompson Iron Mines Ltd.

 

216,395

38,350

 

 

 

Nucor Corp.

 

1,368,328

15,250

 

 

 

United States Steel Corp.

 

463,600

 

 

 

 

 

 

2,584,469

 

 

 

 

Mining: 4.0%

 

 

20,122

 

@@

 

Agnico-Eagle Mines Ltd.

 

757,795

79,300

 

 

 

Alcoa, Inc.

 

853,268

1

 

@@

 

Aquarius Platinum Ltd.

 

2

71,608

 

@@

 

Barrick Gold Corp.

 

2,109,572

14,952

 

@@

 

BHP Billiton Ltd. ADR

 

598,379

358,451

 

@, @@

 

Centamin Egypt Ltd.

 

210,990

80,868

 

@, @@

 

Eldorado Gold Corp. (Canadian Denominated Security)

 

488,390

275,904

 

@, @@

 

European Goldfields Ltd.

 

496,102

79,525

 

 

 

Freeport-McMoRan Copper & Gold, Inc.

 

1,907,805

61,695

 

@@

 

GoldCorp, Inc.

 

1,663,914

75,965

 

@@

 

Iamgold Corp.

 

357,036

45,977

 

@@

 

Kinross Gold Corp.

 

678,161

37,645

 

@, @@

 

MAG Silver Corp.

 

179,392

22,094

 

@@

 

Major Drilling Group International

 

256,534

72,949

 

 

 

Newmont Mining Corp.

 

2,454,734

148,978

 

@, @@

 

Premier Gold Mines Ltd.

 

210,217

9,208

 

@@

 

Randgold Resources Ltd. ADR

 

352,022

103,332

 

@, @@

 

Sino Gold Ltd.

 

244,592

28,050

 

 

 

Titanium Metals Corp.

 

237,023

19,700

 

 

 

Vulcan Materials Co.

 

1,181,606

 

 

 

 

 

 

15,237,534

 

 

 

 

Oil & Gas: 54.8%

 

 

142,741

 

 

 

Anadarko Petroleum Corp.

 

5,859,518

115,749

 

 

 

Apache Corp.

 

8,947,398

12,345

 

@@

 

BP PLC ADR

 

601,078

16,350

 

 

 

Cabot Oil & Gas Corp.

 

490,010

25,058

 

@@

 

Canadian Natural Resources Ltd.

 

1,036,148

128,200

 

 

 

Chesapeake Energy Corp.

 

2,202,476

448,090

 

S

 

Chevron Corp.

 

35,403,591

31,662

 

 

 

Cimarex Energy Co.

 

898,251

334,360

 

 

 

ConocoPhillips

 

17,560,573

131,197

 

 

 

Devon Energy Corp.

 

9,490,791

84,432

 

@@, S

 

Encana Corp.

 

3,952,262

22,698

 

@@

 

ENI S.p.A. ADR

 

1,041,838

22,600

 

 

 

ENSCO International, Inc.

 

732,466

61,123

 

 

 

EOG Resources, Inc.

 

5,196,677

670,149

 

S

 

ExxonMobil Corp.

 

53,712,442

97,926

 

 

 

Hess Corp.

 

5,291,921

252,776

 

 

 

Marathon Oil Corp.

 

6,617,676

50,900

 

 

 

Murphy Oil Corp.

 

2,242,145

130,646

 

@, @@

 

Nabors Industries Ltd.

 

1,894,367

63,328

 

@@

 

Nexen, Inc.

 

1,224,764

 



 

 

 

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

 

as of November 30, 2008 (Unaudited) (continued)

 

Shares

 

 

 

 

 

Value

 

 

 

 

Oil & Gas (continued)

 

 

71,500

 

 

 

Noble Corp.

 

$

1,915,485

27,250

 

 

 

Noble Energy, Inc.

 

1,424,630

56

 

@, @@

 

OAO Gazprom ADR

 

984

221,891

 

 

 

Occidental Petroleum Corp.

 

12,013,179

115,533

 

 

 

Patterson-UTI Energy, Inc.

 

1,443,007

12,157

 

@@

 

Petroleo Brasileiro SA ADR

 

254,568

18,900

 

 

 

Pioneer Natural Resources Co.

 

379,512

24,450

 

 

 

Range Resources Corp.

 

1,013,942

16,300

 

@@

 

Repsol YPF SA ADR

 

315,242

49,050

 

 

 

Rowan Cos., Inc.

 

851,018

45,897

 

@@

 

Royal Dutch Shell PLC ADR - Class A

 

2,453,195

54,200

 

@

 

Southwestern Energy Co.

 

1,862,854

20,167

 

@

 

Stone Energy Corp.

 

335,176

47,464

 

@@

 

Suncor Energy, Inc.

 

1,017,628

109,513

 

 

 

Sunoco, Inc.

 

4,352,047

192,451

 

@@

 

Talisman Energy, Inc.

 

1,782,096

19,000

 

 

 

Tesoro Petroleum Corp.

 

174,610

29,746

 

@@

 

Total SA ADR

 

1,569,102

98,553

 

@

 

Transocean, Inc.

 

6,591,225

18,951

 

 

 

W&T Offshore, Inc.

 

265,314

141,903

 

 

 

XTO Energy, Inc.

 

5,426,371

 

 

 

 

 

 

209,837,577

 

 

 

 

Oil & Gas Services: 7.4%

 

 

235,249

 

 

 

BJ Services Co.

 

2,820,636

34,350

 

@

 

Cameron International Corp.

 

724,785

275,801

 

 

 

Halliburton Co.

 

4,854,098

119,574

 

@

 

Key Energy Services, Inc.

 

567,977

105,000

 

@

 

National Oilwell Varco, Inc.

 

2,970,450

264,280

 

 

 

Schlumberger Ltd.

 

13,409,567

38,978

 

 

 

Smith International, Inc.

 

1,139,717

153,350

 

@

 

Weatherford International Ltd.

 

1,958,280

 

 

 

 

 

 

28,445,510

 

 

 

 

Packaging & Containers: 0.7%

 

 

18,750

 

 

 

Ball Corp.

 

683,438

24,600

 

 

 

Bemis Co.

 

664,692

29,600

 

@

 

Pactiv Corp.

 

739,704

34,400

 

 

 

Sealed Air Corp.

 

544,552

 

 

 

 

 

 

2,632,386

 

 

 

 

Pipelines: 1.3%

 

 

182,050

 

 

 

El Paso Corp.

 

1,345,350

97,079

 

 

 

Spectra Energy Corp.

 

1,578,505

130,450

 

 

 

Williams Cos., Inc.

 

2,115,899

 

 

 

 

 

 

5,039,754

 

 

 

 

Transportation: 0.6%

 

 

13,899

 

 

 

Diana Shipping, Inc.

 

122,867

18,707

 

@@

 

Nordic American Tanker Shipping

 

546,806

39,394

 

 

 

Tidewater, Inc.

 

1,555,275

 

 

 

 

 

 

2,224,948

 

 

 

 

Total Common Stock

 

 

 

 

 

 

(Cost $346,536,873)

 

294,612,398

 

No. of
Contracts

 

 

 

 

 

Value

POSITIONS IN PURCHASED OPTIONS: 12.7%

 

 

64,400

 

 

 

Put Option OTC - JP Morgan Chase

 

 

 

 

 

 

Basic Industries Select Sector Index

 

 

 

 

 

 

Strike 377.82, exp 12/19/08

 

$

8,972,544

92,250

 

 

 

Put Option OTC - Goldman Sachs

 

 

 

 

 

 

Basic Industries Select Sector Index

 

 

 

 

 

 

Strike 250.50, exp 01/16/09

 

2,581,958

117,912

 

 

 

Put Option OTC - UBS AG

 

 

 

 

 

 

Basic Industries Select Sector Index

 

 

 

 

 

 

Strike 192.72, exp 02/20/09

 

1,108,373

144,200

 

 

 

Put Option OTC - JP Morgan Chase

 

 

 

 

 

 

Energy Select Sector Index

 

 

 

 

 

 

Strike 675.10, exp 12/19/08

 

24,831,218

195,750

 

 

 

Put Option OTC - Goldman Sachs

 

 

 

 

 

 

Energy Select Sector Index

 

 

 

 

 

 

Strike 437.50, exp 01/16/09

 

4,765,201

221,368

 

 

 

Put Option OTC - UBS AG

 

 

 

 

 

 

Energy Select Sector Index

 

 

 

 

 

 

Strike 410.61, exp 02/20/09

 

6,229,296

 

 

 

 

Total Purchased Options

 

 

 

 

 

 

(Cost $34,147,201)

 

48,488,590

 

 

 

 

Total Long-Term Investments

 

 

 

 

 

 

(Cost $380,684,074)

 

343,100,988

 



 

 

 

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

 

as of November 30, 2008 (Unaudited) (continued)

 

Principal Amount

 

 

 

 

 

Value

SHORT-TERM INVESTMENTS: 9.6%

 

 

 

 

 

 

Repurchase Agreement: 9.6%

 

 

$

36,634,000

 

S

 

Morgan Stanley Repurchase Agreement dated 11/28/08, 0.200%, due 12/01/08, $36,634,611 to be received upon repurchase (Collateralized by $34,609,000 FCSB, 4.300%-5.450%, Market Value plus accrued interest $37,367,729, due 03/12/14-06/20/16)

 

$

36,634,000

 

 

 

 

Total Short-Term Investments
(Cost $36,634,000)

 

36,634,000

 

 

 

 

Total Investments in Securities

(Cost $417,318,074)*

 

99.3%

 

$

379,734,988

 

 

 

 

Other Assets and Liabilities - Net

 

0.7

 

2,725,075

 

 

 

 

Net Assets

 

100.0%

 

$

382,460,063

 

 

 

 

 

 

 

 

 

@

 

Non-income producing security

 

 

 

 

@@

 

Foreign Issuer

 

 

 

 

ADR

 

American Depositary Receipt

 

 

 

 

S

 

All or a portion of this security is segregated to cover collateral requirements for applicable futures, options, swaps, foreign forward currency contracts and/or when-issued or delayed-delivery securities.

 

 

 

 

*

 

Cost for federal income tax purposes is $427,315,791.

 

 

 

 

 

 

Net unrealized depreciation consists of:

 

 

 

 

 

 

Gross Unrealized Appreciation

 

$

33,477,867

 

 

 

 

Gross Unrealized Depreciation

 

(81,058,670)

 

 

 

 

Net Unrealized Depreciation

 

$

(47,580,803)

 



 

 

 

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

 

as of November 30, 2008 (Unaudited) (continued)

 

Fair Value Measurements - Effective March 1, 2008, the Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157 (“SFAS 157”), “Fair Value Measurements.” This new accounting statement defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles (“GAAP”), and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are as follows:

 

·                  Level 1 - quoted prices in active markets for identical investments

·                  Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

·                  Level 3 - significant unobservable inputs (including the Fund’s own assumption in determining the fair value of investments)

 

The inputs or methodology used in valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following table summarizes the inputs used as of November 30, 2008 in determining the Fund’s investments at fair value for purposes of SFAS 157:

 

 

 

Investments in

 

Other Financial

 

 

Securities

 

Instruments*

Level 1- Quoted Prices

 

$

293,882,718

 

$

Level 2- Other Significant Observable Inputs

 

37,363,680

 

5,600,897

Level 3- Significant Unobservable Inputs

 

48,488,590

 

(3,753,978)

Total

 

$

379,734,988

 

$

1,846,919

 

“Fair value” for purposes of SFAS 157 is different from “fair value” as used in the 1940 Act. The former generally implies market value, and can include market quotations as a source of value, and the latter refers to determinations of actual value in absence of available market quotations.

 

*Other financial instruments may include forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts and futures are reported at their unrealized gain/loss at period end. Swaps and written options are reported at their market value at period end.

 

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended November 30, 2008, was as follows:

 

 

 

Investments in

 

Other Financial

 

 

Securities

 

Instruments*

Balance at 02/29/08

 

$

(7,441,616)

 

$

Net purchases/sales

 

25,428,336

 

(8,288,665)

Total realized and unrealized gain (loss)

 

30,501,870

 

4,534,687

Amortization of premium/discount

 

 

Transfers in and/or out of Level 3

 

 

Balance at 11/30/08

 

$

48,488,590

 

$

(3,753,978)

 

*Other financial instruments may include forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts and futures are reported at their unrealized gain/loss at period end. Swaps and written options are reported at their market value at period end.

 



 

 

 

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

 

as of November 30, 2008 (Unaudited) (continued)

 

At November 30, 2008 the following forward foreign currency contracts were outstanding for the ING Risk Managed Natural Resources:

 

Currency

 

 

 

Buy/Sell

 

Settlement
Date

 

In
Exchange
For

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

 

 

 

 

 

 

 

USD

 

 

 

 

Australian Dollar

 

 

 

 

 

 

 

 

 

 

 

 

AUD

 

535,000

 

SELL

 

1/28/09

 

333,613

 

349,704

 

$

(16,091)

Canadian Dollar

 

 

 

 

 

 

 

 

 

 

 

 

CAD

 

1,900,000

 

SELL

 

1/26/09

 

1,477,335

 

1,532,911

 

(55,576)

 

 

 

 

 

 

 

 

 

 

 

 

$

(71,667)

 



 

 

 

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

 

as of November 30, 2008 (Unaudited) (continued)

 

ING Risk Managed Natural Resources Fund Written Options Outstanding on November 30, 2008:

 

 

 

 

 

Exercise

 

Expiration

 

# of

 

 

 

 

Description/Name of Issuer

 

Counterparty

 

Price

 

Date

 

Contracts

 

Premium

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Call Option OTC - Energy Select Sector Index

 

UBS AG

 

550.00

 

12/19/08

 

364,818

 

$

8,288,665

 

$

(3,753,977)

 

 

 

 

 

 

 

 

 

 

$

8,288,665

 

$

(3,753,977)

 

 

Total Premiums Received:

 

$ 8,288,665

 

 

 

 

 

 

 

Total Liabilities for Options Written:

 

$ 3,753,977

 

 

 

 

 

 



 

 

 

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

 

as of November 30, 2008 (Unaudited) (continued)

 

ING Risk Managed Natural Resources Fund Total Return Swap Agreements Outstanding on November 30, 2008:

 

 

 

 

 

Notional

 

Unrealized

 

 

Termination

 

Principal

 

Appreciation/

 

 

Date

 

Amount

 

(Depreciation)

Receive total return on IXB - Basic Industries Select Sector Index, if positive (34,506 units).

 

 

 

 

 

 

 

 

Pay 2-month USD-LIBOR minus 80 bps and, if negative, the absolute value of the IXB - Basic industries Select Sector Index return. Counterparty: UBS AG

 

01/21/09

 

USD

 

7,001,267

 

$

1,098,726

 

 

 

 

 

 

 

 

 

Receive total return on IXE - Energy Select Sector Index, if positive (64,781 units).

 

 

 

 

 

 

 

 

Pay 2-month USD-LIBOR minus 60 bps and, if negative, the absolute value of the IXE - Energy Select Sector Index return. Counterparty: UBS AG

 

01/21/09

 

USD

 

28,005,474

 

4,573,838

 

 

 

 

 

 

 

 

$

5,672,564

 



 

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 Risk Managed Natural Resources Fund

 

By

/s/ Shaun P. Mathews

 

 

Shaun P. Mathews

 

 

President and Chief Executive Officer

 

 

 

 

Date:

January 29, 2009

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By

/s/ Shaun P. Mathews

 

 

Shaun P. Mathews

 

 

President and Chief Executive Officer

 

 

 

 

Date:

January 29, 2009

 

 

 

 

By

/s/ Todd Modic

 

 

Todd Modic

 

 

Senior Vice President and Chief Financial Officer

 

 

 

 

Date:

January 29, 2009