ING Investors Trust

Gross Unrealized Appreciation

Gross Unrealized Depreciation

(54,462,498

Net Unrealized Appreciation

Shorter cycles and faster turns

Dear Shareholder,

Has the character of financial markets changed over the past few years? Investors seem to react to daily headlines rather than evolving investment fundamentals, producing a herd mentality that can amplify market volatility. Switches into and out of risky assets now occur in days rather than months or years; these “risk-on” and “risk-off” periods can be intense, at times leaving few places to hide.

We think the reasons for volatile investor behavior can be found in current macroeconomic conditions, which are marked by high levels of government debt in most of the developed world and concerns about a global slowdown. Meanwhile, policymakers have a limited range of options with which to combat downturns. With short-term interest rates already near zero, there is little room for central banks to stimulate economic growth via traditional monetary policy. Fiscal policy — spending and taxes — is also hamstrung given elevated sovereign debt levels.

As a result, a number of central banks have resorted to quantitative easing (“QE”), a technique that involves the purchase of financial assets directly from banks rather than the purchase or sale of government bonds. This action increases the banks’ excess reserves and lowers the yield on the assets bought. QE thus can help fuel the economic engine when it starts to sputter, but typically with a minimal inflationary impact since the extra money is not spent in the real economy. The drawback is that the impact of QE is much shorter lived than that of the traditional tools. Nonetheless, given the lack of alternatives, it’s quite possible central banks — including the U.S. Federal Reserve — will undertake new rounds of QE should economic conditions dictate. Anticipation of these measures is likely to increase investor uncertainty and intensify risk-on/risk-off activity.

How should investors respond to these conditions? We think most investors would be best served by focusing on the long term and keeping their investments aligned with their goals. Discuss investment ideas and portfolio changes thoroughly with your investment advisor before taking any action. We appreciate your continued confidence in ING Funds, and we look forward to serving your investment needs in the future.

Sincerely,

Shaun Mathews
President and Chief Executive Officer
ING Funds
July 27, 2012

The views expressed in the President’s Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and ING Funds disclaim any responsibility to update such views. These views may not be relied on as investment advice and because investment decisions for an ING Fund are based on numerous factors, may not be relied on as an indication of investment intent on behalf of any ING Fund. Reference to specific company securities should not be construed as recommendations or investment advice. Consider the fund’s investment objectives, risks, and charges and expenses carefully before investing. The prospectus contains this information and other information about the fund.

International investing poses special risks including currency fluctuation, economic and political risks not found in investments that are solely domestic.

MARKET PERSPECTIVE: SIX MONTHS ENDED JUNE 30, 2012

In the early part of our new fiscal year, improved economic and financial conditions produced the best first quarter performance since 1998 for global equities, represented by the MSCI World Index^SM measured in local currencies including net reinvested dividends. But from there global equities retreated as, for the third straight year, the basis of the earlier optimism was undermined by events. For the first half of the fiscal year, the MSCI World Index^SM Index gained 6.45%. (The MSCI World Index^SM returned 5.91% for the six months ended June 30, 2012, measured in U.S. dollars.)

Much of the first quarter’s upbeat sentiment rested on a sharp improvement in the employment situation, probably the most important driver of economic activity. By March, the Bureau of Labor Statistics had announced a three-month average of 245,000 new jobs created and the unemployment rate down to 8.3%. The deterioration was fast however, culminating in the June report which showed only 69,000 jobs created the prior month with the three month average down to 96,000. While the unemployment rate was pared to 8.2%, the labor force participation rate languished near decades-low levels.

By the end of June, the trend in other economic statistics was mixed to negative. Retail sales and factory orders had fallen for two months. Indices of manufacturing activity in the New York and Philadelphia areas were slumping, although the Chicago region’s index edged up. Personal spending and wages & salaries were practically stagnant. Gross domestic product (“GDP”) growth decelerated to 1.9% (quarter-over-quarter annualized) from 3.0%.

The Federal Reserve seemed to be out of ammunition. Its June announcement that it would extend its “Operation Twist” program left markets unimpressed.

A glimmer of better, or at least less bad news, came from the housing market. New and pending home sales bounced from low levels, while the latest S&P/Case-Shiller 20-City Composite Home Price Index was down 1.9% from the prior year, the smallest decline since November 2010.

Also clearly slowing was China, responsible for much of global GDP growth in recent years. GDP increased by 8.1% in the first quarter of 2012 over the same quarter in 2011, the lowest rise since the second quarter of 2009.

But the euro zone’s enduring sovereign debt crisis continued to move markets the most. The European Central Bank’s €1 trillion in cheap three-year loans to more than 800 banks under its Longer Term Refinancing Operations (“LTRO”) was initially perceived to reduce the risk of bank failures. But disillusionment soon set in, focused on Spain, with its uncompetitive markets, restrictive practices, nearly 25% unemployed and shaky banking system. A growing backlash against fiscal austerity became evident. Inconclusive May elections in Greece presaged further elections in June, from which pro-euro parties were unenthusiastically elected to form a government.

Matters came to a head after a recapitalization bailout for Spanish banks worth up to €100 billion was finally requested in June. This was approved by euro zone leaders, but market relief lasted literally hours, as the unsatisfactory features of the likely operation emerged.

In the last few days of June, leaders held yet another “summit” meeting to address these issues, and this time delivered a package of measures that exceeded admittedly rock-bottom expectations. A single bank supervisory mechanism would be initiated with the first proposals considered by the end of 2012. Thereafter loans from European stability funds would be made directly to Spanish banks and would not have senior status.

Investor approval of these measures sent global equities up 2.40% on the last day of June. The euro zone’s deeper seated problems remain to be solved.

In U.S. fixed-income markets, the Barclays Capital U.S. Aggregate Bond Index of investment grade bonds rose 2.37% in the six months through June, mostly in the later months as conditions deteriorated. The Barclays Capital U.S. Corporate Investment Grade Bond sub-index returned 4.65%, ahead of the Barclays Capital U.S. Treasury sub-index which returned 1.51%, with the Barclays Capital Mortgage-Backed Securities sub-index little better at 1.66%. The Barclays Capital High Yield Bond — 2% Issuer Constrained Composite Index produced an equity-like return of 7.23%.

U.S. equities, represented by the S&P 500^® Index including dividends, rose 9.49% in the first half of the fiscal year, despite Goldman Sachs’ recommendation on June 21^st to sell the index short. Adding to the caution was the likelihood that index companies would record barely positive annual earnings growth in the second quarter. By sector, the order of merit changed markedly over the period, but when it was over, telecommunications stood at the top, returning 16.51%, while the only losing sector was energy, down 2.34%.

In currency markets, after early weakness, the ongoing euro zone crisis drove the U.S. dollar up 3.93% against the euro. The U.S. dollar was little changed against the pound, slipping 0.62%, but gained 2.64% on the yen, amid suspicions of Bank of Japan intervention during periods of yen strength.

In international markets, the MSCI Japan^® Index rose 6.96% for the half year, well off its best levels. Early optimism about the Bank of Japan’s newly adopted inflation target and increased asset purchases was eroded by the euro zone crisis and the slowdown in China. The MSCI Europe ex UK^® Index added 3.79%, courtesy of a final-day boost worth 3.80%, pursuant to the events at the end of June described above. Initial relief from LTRO had proved all too short, while sentiment was also depressed by flat to falling GDP and unemployment breaching 11%. The MSCI UK^® Index rose a comparatively muted 2.41% as the U.K.’s more heavily weighted energy and materials companies underperformed their continental European competitors, while the U.K. economy re-entered recession in the face of sagging construction activity and austerity measures aimed at cutting the budget deficit.

Parentheses denote a negative number.

All indices are unmanaged and investors cannot invest directly in an index. Past performance does not guarantee future results. The performance quoted represents past performance. Investment return and principal value of an investment will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. The Portfolios’ performance is subject to change since the period’s end and may be lower or higher than the performance data shown. Please call (800) 992-0180 or log on to www.inginvestment.com to obtain performance data current to the most recent month end.

Market Perspective reflects the views of ING’s Chief Investment Risk Officer only through the end of the period, and is subject to change based on market and other conditions.

BENCHMARK DESCRIPTIONS

Index				Description
MSCI World Index^SM				An unmanaged index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East.
S&P/Case-Shiller 20-City Composite Home Price Index				A composite index of the home price index for the top 20 Metropolitan Statistical Areas in the United States. The index is published monthly by Standard & Poor’s.
Barclays Capital U.S. Aggregate Bond Index				An unmanaged index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities.
Barclays Capital U.S. Corporate Investment Grade Bond Index				An unmanaged index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities.
Barclays Capital Mortgage-Backed Securities Index				An unmanaged index comprising 15- and 30-year fixed-rate securities backed by mortgage pools of the Government National Mortgage Association, Federal National Mortgage Association and the Federal Home Loan Mortgage.
Barclays Capital U.S. Treasury Index				An unmanaged index that includes public obligations of the U.S. Treasury. Treasury bills, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS and STRIPS, are excluded.
Barclays Capital High Yield Bond — 2% Issuer Constrained Composite Index				An unmanaged index that includes all fixed-income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity.
S&P 500^® Index				An unmanaged index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets.
MSCI Japan^® Index				A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan.
MSCI Europe ex UK^® Index				A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK.
MSCI UK^® Index				A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK.

SHAREHOLDER EXPENSE EXAMPLES (UNAUDITED)

As a shareholder of a Portfolio, you incur two types of costs: (1) transaction costs, including redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Portfolio expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2012 to June 30, 2012. The Portfolios’ expenses are shown without the imposition of any charges which are, or may be, imposed under your variable annuity contract, variable life insurance policy, qualified pension, or retirement plan. Expenses would have been higher if such charges were included.

Actual Expenses

The left section of the table shown below, “Actual Portfolio Return,” provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The right section of the table shown below, “Hypothetical (5% return before expenses),” provides information about hypothetical account values and hypothetical expenses based on a Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Portfolio and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees or exchange fees. Therefore, the hypothetical lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different mutual funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual Portfolio Return									Hypothetical (5% return before expenses)
	Beginning Account Value January 1, 2012		Ending Account Value June 30, 2012		Annualized Expense Ratio			Expenses Paid During the Period Ended June 30, 2012**		Beginning Account Value January 1, 2012		Ending Account Value June 30, 2012		Annualized Expense Ratio			Expenses Paid During the Period Ended June 30, 2012**
ING American Funds Asset Allocation Portfolio
	$	1,000.00	$	1,075.90		1.04	%	$	5.37	$	1,000.00	$	1,019.69		1.04	%	$	5.22
ING American Funds Bond Portfolio
		1,000.00		1,028.90		1.02			5.15		1,000.00		1,019.79		1.02			5.12
ING American Funds Global Growth and Income Portfolio
		1,000.00		1,053.20		1.47			7.50		1,000.00		1,017.55		1.47			7.37
ING American Funds Growth Portfolio
		1,000.00		1,079.00		1.13			5.84		1,000.00		1,019.24		1.13			5.67
ING American Funds International Growth and Income Portfolio
		1,000.00		1,059.20		1.59			8.14		1,000.00		1,016.96		1.59			7.97
ING American Funds International Portfolio
		1,000.00		1,041.30		1.32			6.70		1,000.00		1,018.30		1.32			6.62
ING American Funds World Allocation Portfolio*
		1,000.00		1,054.60		0.74			3.78		1,000.00		1,021.18		0.74			3.72

*		Expense ratio does not include expense of underlying funds.

**		Expenses are equal to each Portfolio’s respective annualized expense ratios, including the expenses of the master fund, multiplied by the average account value over the period, multiplied by 182/366 to reflect the most recent fiscal half-year.

STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2012 (UNAUDITED)

	ING American Funds Asset Allocation Portfolio			ING American Funds Bond Portfolio		ING American Funds Global Growth and Income Portfolio			ING American Funds Growth Portfolio
ASSETS:
Investments in master fund at fair value*⁽¹⁾	$	372,938,750		$	478,228,617	$	9,829,543		$	1,953,732,451
Cash		661			85,344		31,252			18,477
Receivables:
Investments in master fund sold		—			—		542			712,071
Fund shares sold		926,389			36,194		—			—
Prepaid expenses		1,831			2,639		30			10,764
Reimbursement due from manager		—			—		1,104			—
Total assets		373,867,631			478,352,794		9,862,471			1,954,473,763
LIABILITIES:
Payable for investments in master fund purchased		911,731			36,194		—			—
Payable for fund shares redeemed		14,658			—		542			712,071
Payable to affiliates		208,617			234,250		5,784			789,144
Payable for trustee fees		1,867			2,360		44			10,302
Other accrued expenses and liabilities		26,733			51,393		3,271			236,050
Total liabilities		1,163,606			324,197		9,641			1,747,567
NET ASSETS	$	372,704,025		$	478,028,597	$	9,852,830		$	1,952,726,196
NET ASSETS WERE COMPRISED OF:
Paid-in capital	$	285,959,298		$	417,515,504	$	9,962,542		$	1,929,972,331
Undistributed net investment income		5,458,187			13,302,236		180,249			1,199,615
Accumulated net realized gain (loss)		(5,373,770	)		11,903,443		(273,024	)		20,117,955
Net unrealized appreciation (depreciation)		86,660,310			35,307,414		(16,937	)		1,436,295
NET ASSETS	$	372,704,025		$	478,028,597	$	9,852,830		$	1,952,726,196
_____________
* Cost of investments in master fund at value	$	286,278,440		$	442,921,204	$	9,846,480		$	1,952,296,156

Net assets	$	372,704,025		$	478,028,597	$	9,852,830		$	1,952,726,196
Shares authorized		unlimited			unlimited		unlimited			unlimited
Par value	$	0.001		$	0.001	$	0.001		$	0.001
Shares outstanding		36,013,955			44,809,692		975,149			37,641,645
Net asset value and redemption price per share	$	10.35		$	10.67	$	10.10		$	51.88

_____________
⁽¹⁾		The master funds for the ING American Funds Asset Allocation, ING American Funds Bond, ING American Funds Global Growth and Income, ING American Funds Growth, ING American Funds International, and ING American Funds International Growth and Income are the Class 1 shares of the American Asset Allocation, American Bond, American Global Growth and Income and American International Growth and Income and Class 2 shares for the American Growth and American International Funds, respectively. These financial statements should be read in conjunction with the master American Funds’ financial statements.

See Accompanying Notes to Financial Statements

STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2012 (UNAUDITED)

	ING American Funds International Growth and Income Portfolio			ING American Funds International Portfolio			ING American Funds World Allocation Portfolio
ASSETS:
Investments in master fund at fair value*⁽¹⁾	$	6,616,024		$	992,843,344		$	—
Investments in underlying funds at fair value**		—			—			182,864,959
Total Investments at fair value	$	6,616,024		$	992,843,344		$	182,864,959
Cash		33,251			38,664			—
Receivables:
Investments in master fund sold		466			563,133			—
Investments in underlying funds sold		—			—			71,824,824
Fund shares sold		—			—			17,296
Prepaid expenses		19			5,732			1,177
Reimbursement due from manager		1,918			—			16,034
Total assets		6,651,678			993,450,873			254,724,290
LIABILITIES:
Payable for investments in underlying funds purchased		—			—			71,382,275
Payable for fund shares redeemed		466			563,133			87
Payable to affiliates		3,904			394,595			118,497
Payable for trustee fees		29			5,284			956
Other accrued expenses and liabilities		3,670			126,831			32,335
Total liabilities		8,069			1,089,843			71,534,150
NET ASSETS	$	6,643,609		$	992,361,030		$	183,190,140
NET ASSETS WERE COMPRISED OF:
Paid-in capital	$	6,918,481		$	1,260,656,929		$	166,004,242
Undistributed net investment income		100,515			11,652,804			2,697,799
Accumulated net realized gain (loss)		(184,979	)		(45,992,328	)		15,177,164
Net unrealized depreciation		(190,408	)		(233,956,375	)		(689,065	)
NET ASSETS	$	6,643,609		$	992,361,030		$	183,190,140
_____________
* Cost of investments in master fund at value	$	6,806,432		$	1,226,799,718		$	—
** Cost of investments in underlying funds at value	$	—		$	—		$	183,554,025

Net assets	$	6,643,609		$	992,361,030		$	183,190,140
Shares authorized		unlimited			unlimited			unlimited
Par value	$	0.001		$	0.001		$	0.001
Shares outstanding		688,031			67,897,096			16,348,543
Net asset value and redemption price per share	$	9.66		$	14.62		$	11.21

_____________
⁽¹⁾		The master funds for the ING American Funds Asset Allocation, ING American Funds Bond, ING American Funds Global Growth and Income, ING American Funds Growth, ING American Funds International, and ING American Funds International Growth and Income are the Class 1 shares of the American Asset Allocation, American Bond, American Global Growth and Income and American International Growth and Income and Class 2 shares for the American Growth and American International Funds, respectively. These financial statements should be read in conjunction with the master American Funds’ financial statements.

See Accompanying Notes to Financial Statements

STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2012 (UNAUDITED)

	ING American Funds Asset Allocation Portfolio		ING American Funds Bond Portfolio		ING American Funds Global Growth and Income Portfolio			ING American Funds Growth Portfolio

INVESTMENT INCOME:
Dividends from master fund⁽¹⁾	$	1,815,630	$	2,444,453	$	59,791		$	5,297,088
Total investment income		1,815,630		2,444,453		59,791			5,297,088
EXPENSES:
Distribution and service fees		1,299,574		1,408,043		30,588			5,122,825
Transfer agent fees		224		298		78			1,074
Administrative service fees		—		—		4,370			—
Shareholder reporting expense		13,832		21,071		2,880			112,000
Professional fees		17,581		24,036		2,411			90,735
Custody and accounting expense		7,870		7,551		141			48,284
Trustee fees		11,200		14,158		264			61,812
Miscellaneous expense		6,074		8,216		1,108			29,444
Total expenses		1,356,355		1,483,373		41,840			5,466,174
Net waived and reimbursed fees		—		—		(4,634	)		—
Net expenses		1,356,355		1,483,373		37,206			5,466,174
Net investment income (loss)		459,275		961,080		22,585			(169,086	)
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		1,472,309		6,283,776		(95,528	)		14,472,784
Net realized gain (loss)		1,472,309		6,283,776		(95,528	)		14,472,784
Net change in unrealized appreciation on:
Master fund		24,788,306		5,980,295		438,893			141,894,768
Net change in unrealized appreciation		24,788,306		5,980,295		438,893			141,894,768
Net realized and unrealized gain		26,260,615		12,264,071		343,365			156,367,552
Increase in net assets resulting from operations	$	26,719,890	$	13,225,151	$	365,950		$	156,198,466

_____________
⁽¹⁾		The master funds for the ING American Funds Asset Allocation, ING American Funds Bond, ING American Funds Global Growth and Income, ING American Funds Growth, ING American Funds International, and ING American Funds International Growth and Income are the Class 1 shares of the American Asset Allocation, American Bond, American Global Growth and Income and American International Growth and Income and Class 2 shares for the American Growth and American International Funds, respectively. These financial statements should be read in conjunction with the master American Funds’ financial statements.

See Accompanying Notes to Financial Statements

STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2012 (UNAUDITED)

	ING American Funds International Growth and Income Portfolio			ING American Funds International Portfolio			ING American Funds World Allocation Portfolio
INVESTMENT INCOME:
Dividends from master fund⁽¹⁾	$	—		$	503,950		$	—
Dividends from underlying funds, net of foreign taxes withheld*		—			—			724,787
Total investment income		—			503,950			724,787
EXPENSES:
Investment management fees		—			—			95,112
Distribution and service fees		20,424			2,627,624			570,680
Transfer agent fees		64			569			146
Administrative service fees		2,918			—			95,112
Shareholder reporting expense		2,912			30,608			8,771
Professional fees		2,413			57,290			12,875
Custody and accounting expense		159			19,202			6,243
Trustee fees		176			31,705			5,738
Miscellaneous expense		1,851			15,788			4,354
Total expenses		30,917			2,782,786			799,031
Net waived and reimbursed fees		(6,113	)		—			(93,865	)
Net expenses		24,804			2,782,786			705,166
Net investment income (loss)		(24,804	)		(2,278,836	)		19,621
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(64,262	)		(20,572,652	)		1,035,737
Net realized gain (loss)		(64,262	)		(20,572,652	)		1,035,737
Net change in unrealized appreciation (depreciation) on:
Master fund		333,531			66,969,128			—
Underlying funds		—			—			9,082,374
Net change in unrealized appreciation (depreciation)		333,531			66,969,128			9,082,374
Net realized and unrealized gain		269,269			46,396,476			10,118,111
Increase in net assets resulting from operations	$	244,465		$	44,117,640		$	10,137,732
_____________
* Foreign taxes withheld	$	—		$	—		$	103

⁽¹⁾

The master funds for the ING American Funds Asset Allocation, ING American Funds Bond, ING American Funds Global Growth and Income, ING American Funds Growth, ING American Funds International, and ING American Funds International Growth and Income are the Class 1 shares of the American Asset Allocation, American Bond, American Global Growth and Income and American International Growth and Income and Class 2 shares for the American Growth and American International Funds, respectively. These financial statements should be read in conjunction with the master American Funds’ financial statements.

See Accompanying Notes to Financial Statements

STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)

	ING American Funds Asset Allocation Portfolio						ING American Funds Bond Portfolio
	Six Months Ended June 30, 2012			Year Ended December 31, 2011			Six Months Ended June 30, 2012			Year Ended December 31, 2011
FROM OPERATIONS:
Net investment income	$	459,275		$	5,001,985		$	961,080		$	12,345,845
Net realized gain		1,472,309			777,627			6,283,776			13,220,968
Net change in unrealized appreciation (depreciation)		24,788,306			(2,772,399	)		5,980,295			1,399,284
Increase in net assets resulting from operations		26,719,890			3,007,213			13,225,151			26,966,097
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income		—			(5,053,489	)		—			(13,303,676	)
Net realized gains		—			(33,077	)		—			(1,625,799	)
Total distributions		—			(5,086,566	)		—			(14,929,475	)
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares		14,933,218			18,383,850			27,083,181			52,520,978
Reinvestment of distributions		—			5,086,566			—			14,929,475
		14,933,218			23,470,416			27,083,181			67,450,453
Cost of shares redeemed		(20,193,702	)		(31,581,232	)		(42,227,340	)		(119,016,400	)
Net decrease in net assets resulting from capital share transactions		(5,260,484	)		(8,110,816	)		(15,144,159	)		(51,565,947	)
Net increase (decrease) in net assets		21,459,406			(10,190,169	)		(1,919,008	)		(39,529,325	)
NET ASSETS:
Beginning of year or period		351,244,619			361,434,788			479,947,605			519,476,930
End of year or period	$	372,704,025		$	351,244,619		$	478,028,597		$	479,947,605
Undistributed net investment income at end of year or period	$	5,458,187		$	4,998,912		$	13,302,236		$	12,341,156

See Accompanying Notes to Financial Statements

STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)

	ING American Funds Global Growth and Income Portfolio						ING American Funds Growth Portfolio
	Six Months Ended June 30, 2012			Year Ended December 31, 2011			Six Months Ended June 30, 2012			Year Ended December 31, 2011
FROM OPERATIONS:
Net investment income (loss)	$	22,585		$	156,339		$	(169,086	)	$	1,392,078
Net realized gain (loss)		(95,528	)		(177,496	)		14,472,784			38,400,568
Net change in unrealized appreciation (depreciation)		438,893			(455,873	)		141,894,768			(135,576,206	)
Increase (decrease) in net assets resulting from operations		365,950			(477,030	)		156,198,466			(95,783,560	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income		—			—			—			(4,248,626	)
Net realized gains		—			—			—			(166,613	)
Total distributions		—			—			—			(4,415,239	)
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares		3,925,212			9,430,577			7,642,155			28,472,198
Reinvestment of distributions		—			—			—			4,415,239
		3,925,212			9,430,577			7,642,155			32,887,437
Cost of shares redeemed		(1,513,706	)		(1,881,225	)		(154,388,262	)		(361,074,464	)
Net increase (decrease) in net assets resulting from capital share transactions		2,411,506			7,549,352			(146,746,107	)		(328,187,027	)
Net increase (decrease) in net assets		2,777,456			7,072,322			9,452,359			(428,385,826	)
NET ASSETS:
Beginning of year or period		7,075,374			3,052			1,943,273,837			2,371,659,663
End of year or period	$	9,852,830		$	7,075,374		$	1,952,726,196		$	1,943,273,837
Undistributed net investment income at end of year or period	$	180,249		$	157,664		$	1,199,615		$	1,368,701

See Accompanying Notes to Financial Statements

STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)

	ING American Funds International Growth and Income Portfolio						ING American Funds International Portfolio
	Six Months Ended June 30, 2012			Year Ended December 31, 2011			Six Months Ended June 30, 2012			Year Ended December 31, 2011
FROM OPERATIONS:
Net investment income (loss)	$	(24,804	)	$	118,910		$	(2,278,836	)	$	13,955,479
Net realized (loss)		(64,262	)		(115,593	)		(20,572,652	)		(14,886,323	)
Net change in unrealized appreciation (depreciation)		333,531			(523,953	)		66,969,128			(177,213,867	)
Increase (decrease) in net assets resulting from operations		244,465			(520,636	)		44,117,640			(178,144,711	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income		—			—			—			(19,919,516	)
Net realized gains		—			—			—			(6,550,353	)
Total distributions		—			—			—			(26,469,869	)
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares		2,658,511			6,373,528			18,435,679			11,724,787
Reinvestment of distributions		—			—			—			26,469,869
		2,658,511			6,373,528			18,435,679			38,194,656
Cost of shares redeemed		(777,570	)		(1,337,712	)		(82,856,827	)		(225,778,191	)
Net increase (decrease) in net assets resulting from capital share transactions		1,880,941			5,035,816			(64,421,148	)		(187,583,535	)
Net increase (decrease) in net assets		2,125,406			4,515,180			(20,303,508	)		(392,198,115	)
NET ASSETS:
Beginning of year or period		4,518,203			3,023			1,012,664,538			1,404,862,653
End of year or period	$	6,643,609		$	4,518,203		$	992,361,030		$	1,012,664,538
Undistributed net investment income at end of year or period	$	100,515		$	125,319		$	11,652,804		$	13,931,640

See Accompanying Notes to Financial Statements

STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)

	ING American Funds World Allocation Portfolio
	Six Months Ended June 30, 2012			Year Ended December 31, 2011
FROM OPERATIONS:
Net investment income	$	19,621		$	2,655,449
Net realized gain		1,035,737			14,143,103
Net change in unrealized appreciation (depreciation)		9,082,374			(30,987,591	)
Increase (decrease) in net assets resulting from operations		10,137,732			(14,189,039	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income		—			(2,007,528	)
Net realized gains		—			(5,611,953	)
Total distributions		—			(7,619,481	)
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares		1,781,920			14,694,531
Proceeds from shares issued in merger (Note 12)		—			80,131,553
Reinvestment of distributions		—			7,619,481
		1,781,920			102,445,565
Cost of shares redeemed		(15,286,198	)		(76,161,080	)
Net increase (decrease) in net assets resulting from capital share transactions		(13,504,278	)		26,284,485
Net increase (decrease) in net assets		(3,366,546	)		4,475,965
NET ASSETS:
Beginning of year or period		186,556,686			182,080,721
End of year or period	$	183,190,140		$	186,556,686
Undistributed net investment income at end of year or period	$	2,697,799		$	2,678,178

See Accompanying Notes to Financial Statements

FINANCIAL HIGHLIGHTS (UNAUDITED)

Selected data for a share of beneficial interest outstanding throughout each year or period.

			Income (loss) from investment operations									Less distributions																Ratios to average net assets						Supplemental data					Ratios and supplemental data including the master fund

	Net asset value, beginning of year or period		Net investment income (loss)			Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			From return of capital		Total distributions			Net asset value, end of year or period		Total Return ⁽¹⁾			Expenses excluding expenses of the master fund ⁽²⁾⁽³⁾			Net investment income (loss) excluding expenses of the master fund ⁽²⁾⁽³⁾			Net assets, end of year or period		Portfolio turnover rate ⁽⁴⁾			Expenses including gross expenses of the master fund ⁽²⁾⁽³⁾		Expenses including expenses net of voluntary waivers, if any, of the master fund ⁽²⁾⁽³⁾		Expenses including expenses net of all reductions of the master fund ⁽²⁾⁽³⁾		Portfolio turnover rate of the master fund
Year or period ended	($)		($)			($)			($)			($)			($)			($)		($)			($)		(%)			(%)			(%)			($000’s)		(%)			(%)		(%)		(%)		(%)

ING American Funds Asset Allocation Portfolio
06-30-12		9.62		0.01			0.72			0.73			—			—			—		—			10.35		7.59			0.73			0.25			372,704		4			1.04		1.04		1.04		31
12-31-11		9.67		0.14			(0.05	)		0.09			0.14			0.00	*		—		0.14			9.62		0.87			0.73			1.38			351,245		7			1.04		1.04		1.04		43
12-31-10		8.78		0.13			0.90			1.03			0.14			—			—		0.14			9.67		11.96			0.73			1.53			361,435		7			1.04		1.04		1.04		46
12-31-09		7.26		0.17	^•		1.50			1.67			0.12			0.03			—		0.15			8.78		23.37			0.74			2.18			314,087		4			1.06		1.06		1.06		41
04-28-08⁽⁵⁾–12-31-08		10.00		0.44	^•		(3.18	)		(2.74	)		—			—			—		—			7.26		(27.40	)		0.78			8.32			150,323		9			1.1		1.07		1.07		36
ING American Funds Bond Portfolio
06-30-12		10.37		0.03			0.27			0.30			—			—			—		—			10.67		2.89			0.63			0.41			478,029		6			1.02		1.02		1.02		134
12-31-11		10.12		0.26	^•		0.32			0.58			0.29			0.04			—		0.33			10.37		5.72			0.63			2.53			479,948		14			1.01		1.01		1.01		163
12-31-10		9.78		0.25			0.34			0.59			0.25			—			—		0.25			10.12		6.05			0.63			2.48			519,477		26			1.01		1.01		1.01		187
12-31-09		9.02		0.29	^•		0.79			1.08			0.32			0.00	*		—		0.32			9.78		12.15			0.63			3.11			501,980		12			1.02		1.02		1.02		125
12-31-08		9.99		1.06	^•		(2.03	)		(0.97	)		0.00	*		—			—		0.00	*		9.02		(9.71	)		0.68			11.45			263,131		19			1.08		1.04		1.04		63
11-12-07⁽⁵⁾–12-31-07		10.00		0.41	^•		(0.42	)		(0.01	)		—			—			—		—			9.99		(0.10	)		0.52			30.48			1		0	*		0.93		0.89		0.89		57
ING American Funds Global Growth and Income Portfolio
06-30-12		9.59		0.03	^•		0.48			0.51			—			—			—		—			10.10		5.32			0.85	^†		0.52			9,853		17			1.47		1.47		1.47		12
12-31-11		10.14		0.35	^•		(0.90	)		(0.55	)		—			—			—		—			9.59		(5.42	)		0.86	^††		3.60			7,075		43			1.47		1.47		1.47		25
12-15-10⁽⁵⁾–12-31-10		10.00		(0.00	)*		0.14			0.14			—			—			—		—			10.14		1.40			0.97	^†††		(0.97	)		3		—			1.58		1.58		1.58		30
ING American Funds Growth Portfolio
06-30-12		48.08		(0.00	)^•		3.80			3.80			—			—			—		—			51.88		7.90			0.53			(0.02	)		1,952,726		1			1.13		1.13		1.13		9
12-31-11		50.59		0.03			(2.44	)		(2.41	)		0.10			0.00	*		—		0.10			48.08		(4.78	)		0.53			0.06			1,943,274		2			1.12		1.12		1.12		19
12-31-10		42.90		0.09			7.65			7.74			0.05			—			—		0.05			50.59		18.07			0.53			0.20			2,371,660		5			1.12		1.12		1.12		28
12-31-09		36.46		0.05			12.68			12.73			0.80			5.49			—		6.29			42.90		38.70			0.53			0.13			2,171,272		6			1.13		1.13		1.13		37
12-31-08		71.12		0.18	^•		(29.93	)		(29.75	)		0.47			4.44			—		4.91			36.46		(44.29	)		0.53			0.33			1,593,903		16			1.11		1.08		1.08		26
12-31-07		64.29		0.19			7.37			7.56			0.18			0.55			—		0.73			71.12		11.76			0.52			0.31			2,532,008		3			1.1		1.07		1.07		40
ING American Funds International Growth and Income Portfolio
06-30-12		9.12		(0.04	)^•		0.58			0.54			—			—			—		—			9.66		5.92			0.85	^†		(0.85	)		6,644		13			1.59		1.59		1.59		17
12-31-11		10.04		0.38	^•		(1.30	)		(0.92	)		—			—			—		—			9.12		(9.16	)		0.85	^††		3.97			4,518		46			1.58		1.58		1.58		48
12-15-10⁽⁵⁾–12-31-10		10.00		(0.00	)*		0.04			0.04			—			—			—		—			10.04		0.40			0.97	^†††		(0.97	)		3		—			1.71		1.71		1.71		31
ING American Funds International Portfolio
06-30-12		14.04		(0.02	)		0.60			0.58			—			—			—		—			14.62		4.13			0.53			(0.43	)		992,361		2			1.32		1.32		1.32		9
12-31-11		16.74		0.18	^•		(2.53	)		(2.35	)		0.26			0.09			—		0.35			14.04		(14.38	)		0.53			1.12			1,012,665		2			1.31		1.31		1.31		24
12-31-10		15.87		0.24			0.79			1.03			0.14			0.02			—		0.16			16.74		6.66			0.53			1.49			1,404,863		6			1.31		1.31		1.31		25
12-31-09		13.99		0.15			5.04			5.19			0.59			2.72			—		3.31			15.87		42.36			0.53			1.08			1,438,513		8			1.32		1.32		1.32		46
12-31-08		26.26		0.29	^•		(10.94	)		(10.65	)		0.38			1.24			—		1.62			13.99		(42.46	)		0.54			1.44			990,692		23			1.31		1.26		1.26		52
12-31-07		22.56		0.28	^•		4.07			4.35			0.23			0.42			—		0.65			26.26		19.41			0.52			1.15			1,608,774		6			1.29		1.24		1.24		41

⁽¹⁾		Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
⁽²⁾		Annualized for periods less than one year.
⁽³⁾		Expense ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy.
⁽⁴⁾		Portfolio turnover rate is calculated based on the Portfolio’s purchases or sales of the master fund.
⁽⁵⁾		Commencement of operations.
^•		Calculated using average number of shares outstanding throughout the period.
*		Amount is less than $0.005 or 0.005% or more than $(0.005) or (0.005)%.
^†		The gross expense ratios, excluding expenses of the master fund, for ING American Funds Global Growth and Income Portfolio and ING American Funds International Growth and Income Portfolio were .96% and 1.06%, respectively.
††		The gross expense ratios, excluding expenses of the master fund, for ING American Funds Global Growth and Income Portfolio and ING American Funds International Growth and Income Portfolio were 1.59% and 1.90%, respectively.
†††		The gross expense ratios, excluding expenses of the master fund, for ING American Funds Global Growth and Income Portfolio and ING American Funds International Growth and Income Portfolio were 2.25% and 2.26%, respectively.

See Accompanying Notes to Financial Statements

FINANCIAL HIGHLIGHTS (UNAUDITED) (CONTINUED)

Selected data for a share of beneficial interest outstanding throughout each year or period.

			Income (loss) from investment operations								Less distributions													Ratios to average net assets								Supplemental data

	Net asset value, beginning of year or period		Net investment income (loss)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income		From net realized gains		From return of capital		Total distributions		Net asset value, end of year or period		Total Return ⁽¹⁾			Expenses before reductions/ additions ^(2)(3)(4)		Expenses net of fee waivers and/ or recoupments, if any ^(2)(3)(4)		Expenses net of all reductions/ additions ^(2)(3)(4)		Net investment income (loss) ^(2)(3)(4)		Net assets, end of year or period		Portfolio turnover rate
Year or period ended	($)		($)		($)			($)			($)		($)		($)		($)		($)		(%)			(%)		(%)		(%)		(%)		($100’s)		(%)
ING American Funds World Allocation Portfolio
06-30-12		10.63		0.01		0.57			0.58			—		—		—		—		11.21		5.46			0.84		0.74		0.74		0.02		183,190		44
12-31-11		11.65		0.12		(0.77	)		(0.65	)		0.10		0.27		—		0.37		10.63		(5.87	)		0.84		0.74		0.74		1.15		186,557		39
12-31-10		10.75		0.17		1.14			1.31			0.10		0.31		—		0.41		11.65		12.67			0.83		0.79		0.79		1.56		182,081		14
12-31-09		8.02		0.20		2.58			2.78			0.05		—		—		0.05		10.75		34.73			0.91		0.79		0.79		2.13		103,212		28
09-29-08⁽⁵⁾–12-31-08		10.00		0.43		(2.41	)		(1.98	)		—		—		—		—		8.02		(19.80	)		4.56		0.79		0.79		22.00		13,124		7

⁽¹⁾		Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
⁽²⁾		Annualized for periods less than one year.
⁽³⁾		Expense ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy.
⁽⁴⁾		Expense ratios reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed by the Investment Adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Portfolio during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the Investment Adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions.
⁽⁵⁾		Commencement of operations.

See Accompanying Notes to Financial Statements

NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2012 (UNAUDITED)

NOTE 1 — ORGANIZATION

ING Investors Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was organized as a Massachusetts business trust on August 3, 1988. The Trust currently consists of forty-six active separate investment series. The seven portfolios included in this report are: ING American Funds Asset Allocation Portfolio (“Asset Allocation”), ING American Funds Bond Portfolio (“Bond”), ING American Funds Global Growth and Income Portfolio (“Global Growth and Income”), ING American Funds Growth Portfolio (“Growth”), ING American Funds International Portfolio (“International”), ING American Funds International Growth and Income Portfolio (“International Growth and Income”), and ING American Funds World Allocation Portfolio (“World Allocation”) (each, a “Portfolio” and collectively, the “Portfolios”). Each Portfolio is a diversified series of the Trust.

Each Portfolio (except World Allocation) operates as a “feeder fund” and seeks to achieve its investment objective by investing all its investable assets in a separate mutual fund (“Master Fund”). Each Master Fund is a series of American Funds Insurance Series^® (“American Funds”), a registered open-end management investment company that has the same investment objective and substantially similar policies as each corresponding Portfolio. As of June 30, 2012 Asset Allocation, Bond, Global Growth and Income, Growth, International Growth and Income, and International held 3.2%, 5.3%, 0.5%, 8.1%, 2.5%, and 11.5% of the American Asset Allocation Fund, American Bond Fund, American Global Growth and Income Fund, American Growth Fund, American International Growth and Income Fund, and American International Fund, respectively. Each Master Fund directly acquires securities and a Portfolio investing in the Master Fund acquires an indirect interest in those securities.

ING Investments, LLC (“ING Investments”) serves as the investment adviser to Asset Allocation, Bond, Global Growth and Income, Growth, International and International Growth and Income. Directed Services LLC (“DSL”) serves as the investment adviser to World Allocation (collectively, the “Investment Advisers”). ING Funds Services, LLC serves as the administrator (“IFS” or the “Administrator”) for the Portfolios. ING Investments Distributor, LLC (“IID” or the “Distributor”) serves as the principal underwriter to the Portfolios.

ING Investments, DSL, IFS and IID are indirect, wholly-owned subsidiaries of ING Groep N.V. (“ING Groep”). ING Groep is a global financial institution of Dutch origin offering banking, investments, life insurance and retirement services.

ING Groep has adopted a formal restructuring plan that was approved by the European Commission in November 2009 under which the ING life insurance businesses, including the retirement services and investment management businesses, which include the Investment Advisers and their immediate affiliates, would be separated from ING Groep by the end of 2013. To achieve this goal, in a series of announcements beginning November 2010, ING Groep announced that it plans to pursue transactions to restructure certain businesses, including an initial public offering for its U.S. based insurance, retirement services, and investment management operations; and other transactions, which could include an initial public offering or other type of transaction, for its European based insurance and investment management operations and Asian based insurance and investment management operations. There can be no assurance that all or part of the restructuring plan will be carried out.

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 Portfolios, 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 an Investment Adviser’s loss of access to services and resources of ING Groep, which could adversely affect their 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 Portfolios’ advisory 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 Advisers do not anticipate that the restructuring will have a material adverse impact on the Portfolios or their operations and administration.

NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies are consistently followed by the Portfolios in the preparation of their financial statements. Such policies are in conformity with U.S. generally accepted accounting principles (“GAAP”) for investment companies.

A. Security Valuation. Each Portfolio’s investments in Master Funds or underlying funds (“Underlying Funds”) are recorded at their estimated fair value, as described below. The valuation of each Portfolio’s (except World Allocation) investment in its corresponding Master Fund is based on the net asset value of that Master Fund each business day. Valuation of the investments by the Master Funds is discussed in the Master Funds’ notes to financial statements, which accompany this report. The valuation of the World Allocation’s investments in its Underlying Funds is based on the net asset value of the Underlying Funds each business day.

Fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each investment asset or liability of the Portfolio is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than quoted prices for an asset or liability that are observable are classified as “Level 2” and unobservable inputs, including the sub-adviser’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Securities valued at amortized cost are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing the Portfolio’s investments under these levels of classification is included following the Portfolio of Investments.

The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to the “Pricing Committee” as established by the fund’s administrator. The Pricing Committee considers all facts they deem relevant that are reasonably available, through either public information or information available to the Investment Adviser or sub-adviser, when determining the fair value of the security. In the event that a security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the fair value of the security or asset will be determined in good faith by the Pricing Committee. When a Portfolio uses these fair valuation methods that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Pricing Committee believes accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. The methodologies used for valuing securities are not necessarily an indication of the risks of investing in those securities valued in good faith at fair value nor can it be assured a Portfolio can obtain the fair value assigned to a security if they were to sell the security.

To assess the continuing appropriateness of security valuations, the Pricing Committee may compare prior day prices, prices on comparable securities, and traded prices to the prior or current day prices and the Pricing Committee challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued in good faith at fair value, the Pricing Committee reviews and affirms the reasonableness of the valuation on a regular basis after considering all relevant information that is reasonably available.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The end of period timing recognition is used for the transfers between Levels of a Portfolio’s assets and liabilities. A reconciliation of Level 3 investments is presented only when a Portfolio had a significant amount of Level 3 investments at the end of the period in relation to net assets.

For the period ended June 30, 2012, there have been no significant changes to the fair valuation methodologies.

The Portfolios classify each of their investments in the Master Funds or Underlying Funds as Level 1, without consideration as to the classification level of the specific investments held by the Master Funds or Underlying Funds.

B. Security Transactions and Revenue Recognition. Security transactions are accounted for on trade date. Dividend income received from the master fund or underlying funds is recognized on the ex-dividend date and is recorded as dividends in the Statement of Operations. Capital gain distributions received from

NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

the master fund or underlying funds are recognized on ex-dividend date and are recorded on the Statement of Operations as such. Costs used in determining realized gains and losses on the sales of investment securities are on the basis of specific identification.

C. Distributions to Shareholders. The Portfolios record distributions to their shareholders on the ex-dividend date. Each Portfolio distributes dividends and capital gains, if any, annually. The Portfolios may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code. The characteristics of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies.

D. Federal Income Taxes. It is the policy of the Portfolios to comply with the requirements of subchapter M of the Internal Revenue Code that are applicable to regulated investment companies and related excise tax provisions and to distribute substantially all of their net investment income and any net realized capital gains to their shareholders. Therefore, no federal income tax provision is required. Management has considered the sustainability of the Portfolios’ tax positions taken on federal Income tax returns for all open tax years in making this determination. No capital gain distributions shall be made until any capital loss carryforwards have been fully utilized or expired.

E. Use of Estimates. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

F. Indemnifications. In the normal course of business, the Trust may enter into contracts that provide certain indemnifications. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the portfolios and, therefore, cannot be estimated; however, based on experience, management considers the risk of loss from such claims remote.

NOTE 3 — INVESTMENT MANAGEMENT, ADMINISTRATIVE FEES AND MASTER FUNDS EXPENSES

ING Investments provides Asset Allocation, Bond, Global Growth and Income, Growth, International and International Growth and Income with advisory services, respectively, under a management agreement. Under the terms of the management agreement, during periods when Asset Allocation, Bond, Global Growth and Income, Growth, International and International Growth and Income invests all or substantially all of their assets in another investment company, each respective Portfolio pays no management fee. During periods when Asset Allocation, Bond, Global Growth and Income, Growth, International and International Growth and Income has not invested all or substantially all of their assets in another investment company, each respective Portfolio pays ING Investments a monthly management fee based on the following annual rates of the average daily net assets:

Portfolio				Fee
Asset Allocation				0.50% of the first $600 million; 0.42% on the next $600 million; 0.36% on the next $800 million; 0.32% on the next $1 billion; 0.28% on the next $2 billion; 0.26% on the next $3 billion; and 0.25% of the amount in excess of $8 billion
Bond				0.48% of the first $600 million; 0.44% of the next $400 million; 0.40% of the next $1 billion; 0.38% of the next $1 billion; and 0.36% of the amount in excess of $3 billion
Global Growth and Income				0.69% of the first $600 million; 0.59% on the next $600 million; 0.53% on the next $800 million; 0.50% on the next $1 billion; and 0.48% of the amount in excess of $3 billion.
Growth				0.50% of the first $600 million of net assets, plus 0.45% on net assets greater than $600 million but not exceeding $1.0 billion, plus 0.42% on net assets greater than $1.0 billion but not exceeding $2.0 billion, plus 0.37% on net assets greater than $2.0 billion but not exceeding $3.0 billion, plus 0.35% on net assets greater than $3.0 billion but not exceeding $5.0 billion, plus 0.33% on net assets greater than $5.0 billion but not exceeding $8.0 billion, plus 0.315% on net assets greater than $8.0 but not exceeding $13.0 billion, plus 0.30% on net assets in excess of $13.0 billion.
International Growth and Income				0.69% of the first $500 million; 0.59% on the next $500 million; and 0.53% of the amount in excess of $1 billion.
International				0.69% of the first $500 million of net assets, plus 0.59% on net assets greater than $500 million but not exceeding $1.0 billion, plus 0.53% on net assets greater than $1.0 billion but not exceeding $1.5 billion, plus 0.50% on net assets greater than $1.5 billion but not exceeding $2.5 billion, plus 0.48% on net assets greater than $2.5 billion but not exceeding $4.0 billion, plus 0.47% on net assets greater than $4.0 billion but not exceeding $6.5 billion, plus 0.46% on net assets greater than $6.5 billion but not exceeding $10.5 billion, plus 0.45% on net assets in excess of $10.5 billion

NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

NOTE 3 — INVESTMENT MANAGEMENT, ADMINISTRATIVE FEES AND MASTER FUNDS EXPENSES (continued)

Because each of Asset Allocation, Bond, Global Growth and Income, Growth, International and International Growth and Income invests all of their assets in a Master Fund, each respective Portfolio and its shareholders will bear the fees and expenses of each respective Portfolio and the Master Fund in which it invests, with the result that the respective Portfolio’s expenses may be higher than those of other mutual funds which invest directly in securities.

World Allocation has entered into an investment management agreement (“Investment Management Agreement”) with DSL. The Investment Management Agreement compensates DSL in the amount equal to 0.10% of the Portfolio’s average daily net assets.

IFS acts as administrator and provides certain administrative and shareholder services necessary for the Portfolios’ operations and is responsible for the supervision of other service providers. During periods when Asset Allocation, Bond, Growth and International invest all or substantially all of their assets in another investment company, each respective Portfolio pays no administration fee. During periods when Asset Allocation, Bond, Growth, and International invest directly in investment securities, each respective Portfolio pays the Administrator a monthly administration fee of 0.10% of its average daily net assets.

Investors in Asset Allocation, Bond, Global Growth and Income, Growth, International and International Growth and Income should recognize that an investment in each respective Portfolio bears not only a proportionate share of the expenses of such Portfolio (including operating costs and management fees) but also indirectly similar expenses of the Master Funds in which the respective Portfolio invests. These investors also bear the proportionate share of any sales charges incurred by each Portfolio related to the purchase of shares of the mutual fund investments.

For the period ended June 30, 2012, Asset Allocation, Bond, Global Growth and Income, Growth, International and International Growth and Income invested substantially all of their assets in their respective master Funds.

For Global Growth and Income, International Growth and Income, and World Allocation, the Administrator receives compensation in the amount equal to 0.10% of the Portfolio’s average daily net assets. IFS has contractually agreed to waive 0.05% of the administrative fee for Global Growth and Income and International Growth and Income. Amounts waived shall not be eligible for recoupment. There is no guarantee that the waiver will continue.

NOTE 4 — INVESTMENTS IN MASTER FUNDS AND UNDERLYING FUNDS

For the period ended June 30, 2012, the cost of purchases and the proceeds from the sales of the Master Funds or Underlying Funds, were as follows:

	Purchases		Sales
Asset Allocation	$	15,583,710	$	20,388,888
Bond		28,628,455		42,830,532
Global Growth and Income		3,945,929		1,511,073
Growth		12,401,313		159,335,742
International Growth and Income		2,639,059		783,659
International		18,724,630		85,482,196
World Allocation		84,534,559		98,502,744

NOTE 5 — DISTRIBUTION AND SERVICE FEES

Each of the Portfolios has entered into a Rule 12b-1 distribution plan (the “Distribution Plan”) with IID. The Distribution Plan provides that each Portfolio shall pay a 12b-1 distribution fee, for distribution services including payments to IID, at an annual rate not to exceed 0.35% of the average daily net assets of Bond and World Allocation, 0.45% of the average daily net assets of Asset Allocation, Global Growth and Income and International Growth and Income, and 0.50% of Growth, and International. In addition, each Master Fund pays 0.25% of average assets annually to ING North America Insurance Company pursuant to a plan of distribution which fees are indirectly borne by Asset Allocation, Bond, Growth, and International.

The Trust has entered into a shareholder service plan (“Shareholder Service Plan”) on behalf of Asset Allocation, Bond, Global Growth and Income, International Growth and Income and World Allocation. The Agreement compensates IID for the provision of shareholder services and/or account maintenance services to direct or indirect beneficial owners. Under the Shareholder Service Plan, Asset Allocation, Bond, Global Growth and Income, International Growth and Income and World Allocation make payments to the Distributor at an annual rate of 0.25% of each respective Portfolio’s average daily net assets.

In addition, Class 2 of each Master Fund has adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act (the “Master Fund Plan”). Under the Master Fund Plan, Class 2 of each Master Fund is authorized to pay a 12b-1 (service) fee as compensation for providing support services that benefit variable

NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

NOTE 5 — DISTRIBUTION AND SERVICE FEES (continued)

product owners. Amounts paid under the Master Fund Plan are used by insurance company contract issuers (including ING affiliated insurance companies) to cover the expenses of certain contract owner services. Shareholders of Growth and International, which invest in Class 2 shares of its corresponding Master Fund, pay only their proportionate share of the Master Fund 12b-1 Plan expenses.

NOTE 6 — EXPENSE LIMITATIONS AGREEMENT

For Global Growth and Income and International Growth and Income, ING Investments has agreed to limit expenses, excluding interest, taxes, brokerage commissions, extraordinary expenses and Master Fund fees and expenses to 0.85%. The operating expense limit applies only at the Portfolio level and does not limit fees payable by the Master Funds in which each Portfolio invests.

ING Investments may at a later date recoup from each Portfolio management fees waived and other expenses assumed by ING Investments during the previous 36 months, but only if, after such recoupment, the Portfolio’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by ING Investments of such waived and reimbursed fees are reflected on the accompanying Statement of Operations for each Portfolio. Outstanding reimbursement lances due to each Portfolio, if any, under its respective expense limitation agreement are reflected in Reimbursement Due from ING Investments on the accompanying Statement of Assets and Liabilities. The expense limitation agreement for each Portfolio is contractual and shall renew automatically for one-year terms unless ING Investments provides written termination of the expense limitation agreement within 90 days of the end of the then current term.

As of June 30, 2012, the cumulative amounts of reimbursed fees that are subject to possible recoupment by ING Investments, and the related expiration dates are as follows:

	June 30,
	2013		2014		2015		Total
International Growth and Income	$	—	$	15,437	$	19,177	$	34,614
Global Growth and Income		—		16,434		15,912		32,346

For World Allocation, DSL has agreed to limit expenses, excluding interest, taxes, brokerage commissions, extraordinary expenses and acquired fund fees and expenses to 0.79%. The operating expense limit applies only at the Portfolio level and does not limit fees payable by the underlying investment companies in which World Allocation invests. DSL has agreed to limit expenses, including fees payable by the underlying investment companies in which World Allocation invests, to 1.21%. There is no guarantee that this expense limit will continue. Fees waived pursuant to this side agreement are not eligible for recoupment.

DSL may at a later date recoup from World Allocation’s management fees waived and other expenses assumed by DSL during the previous 36 months, but only if, after such recoupment, that World Allocation’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by DSL of such waived and reimbursed fees are reflected on the accompanying Statement of Operations for the Portfolio. Outstanding reimbursement balances due to World Allocation, if any, under its respective expense limitation agreements are reflected in Reimbursement Due from DSL on the accompanying Statement of Assets and Liabilities.

The expense limitation agreement is contractual and shall renew automatically for one-year terms unless DSL provides written termination of the expense limitation agreement within 90 days of the end of the then current term.

As of June 30, 2012, the cumulative amounts of reimbursed fees that are subject to possible recoupment by DSL, and the related expiration dates are as follows:

				June 30,
				2013				2014				2015				Total
World Allocation				$	37,544			$	159,402			$	186,513			$	383,459

NOTE 7 — OTHER TRANSACTIONS WITH AFFILIATED AND RELATED PARTIES

The Trust has adopted a Deferred Compensation Plan (the “Plan”), which allows eligible non-affiliated trustees as described in the Plan to defer the receipt of all or a portion of the trustees fees payable. Amounts deferred are treated as though invested in various “notional” funds advised by DSL and ING Investments until distribution in accordance with the Plan.

At June 30, 2012, the Portfolios had the following amounts recorded as payable to affiliates on the accompanying Statements of Assets and Liabilities:

NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

NOTE 7 — OTHER TRANSACTIONS WITH AFFILIATED AND RELATED PARTIES (continued)

Fund	Accrued Investment Management Fees		Accrued Administrative Fees		Accrued Shareholder Service and Distribution Fees		Total
Asset Allocation	$	—	$	—	$	208,617	$	208,617
Bond		—		—		234,250		234,250
Global Growth and Income		—		386		5,398		5,784
Growth		—		—		789,144		789,144
International Growth and Income		—		260		3,644		3,904
International		—		—		394,595		394,595
World Allocation		14,813		14,813		88,871		118,497

At June 30, 2012, the following indirect, wholly-owned subsidiaries of ING Groep owned more than 5% of the following Portfolios:

Subsidiary	Portfolio
ING USA Annuity and Life Insurance Company	Asset Allocation	97.32	%
	Bond	96.68
	Global Growth and Income	98.56
	Growth	97.15
	International Growth and Income	99.67
	International	96.82
	World Allocation	98.81

Control is defined by the 1940 Act as the beneficial ownership, either directly or through one or more controlled companies, of more than 25% of the voting securities of a company. The 1940 Act defines affiliates as companies that are under common control. Therefore, because the Portfolios have a common owner that owns over 25% of the outstanding securities of the Portfolios, they may be deemed to be affiliates of each other. Investment activities of these shareholders could have a material impact on the Portfolios.

NOTE 8 — OTHER ACCRUED EXPENSES AND LIABILITIES

At June 30, 2012, the following Portfolios had the following payables included in Other Accrued Expenses and Liabilities on the Statements of Assets and Liabilities that exceeded 5% of total liabilities:

Portfolio	Accrued Expenses	Amount
Bond	Postage	$	29,320
Global Growth and Income	Postage		7,743
Global Growth and Income	Legal		624
Growth	Postage		119,928
International Growth and Income	Legal		677
International Growth and Income	Postage		7,198
International Growth and Income	Miscellaneous		1,356

NOTE 9 — CAPITAL SHARES

Transactions in capital shares and dollars were as follows:

	Shares sold		Shares issued in merger		Reinvestment of distributions		Shares redeemed			Net increase (decrease) in shares outstanding			Shares sold		Proceeds from shares issued in merger		Reinvestment of distributions		Shares redeemed			Net increase (decrease)
Year or period ended	#		#		#		#			#			($)		($)		($)		($)			($)
Asset Allocation
6-30-12		1,462,384		—		—		(1,976,110	)		(513,726	)		14,933,218		—		—		(20,193,702	)		(5,260,484	)
12-31-11		1,878,355		—		511,213		(3,240,823	)		(851,255	)		18,383,850		—		5,086,566		(31,581,232	)		(8,110,816	)
Bond
6-30-12		2,557,264		—		—		(4,017,653	)		(1,460,389	)		27,083,182		—		—		(42,227,340	)		(15,144,158	)
12-31-11		5,112,096		—		1,475,244		(11,641,810	)		(5,054,470	)		52,520,978		—		14,929,475		(119,016,400	)		(51,565,947	)
Global Growth and Income
6-30-12		387,970		—		—		(150,907	)		237,063			3,925,212		—		—		(1,513,705	)		2,411,507
12-31-11		937,616		—		—		(199,831	)		737,785			9,430,577		—		—		(1,881,225	)		7,549,352

NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

NOTE 9 — CAPITAL SHARES (continued)

	Shares sold		Shares issued in merger		Reinvestment of distributions		Shares redeemed			Net increase (decrease) in shares outstanding			Shares sold		Proceeds from shares issued in merger		Reinvestment of distributions		Shares redeemed			Net increase (decrease)
Year or period ended	#		#		#		#			#			($)		($)		($)		($)			($)
Growth
6-30-12		151,987		—		—		(2,930,229	)		(2,778,242	)		7,642,154		—		—		(154,388,263	)		(146,746,109	)
12-31-11		551,918		—		83,149		(7,096,925	)		(6,461,858	)		28,472,198		—		4,415,239		(361,074,464	)		(328,187,027	)
International Growth and Income
6-30-12		272,366		—		—		(80,021	)		192,345			2,658,511		—		—		(777,570	)		1,880,941
12-31-11		638,601		—		—		(143,216	)		495,385			6,373,528		—		—		(1,337,712	)		5,035,816
International
6-30-12		1,274,216		—		—		(5,528,183	)		(4,253,967	)		18,435,679		—		—		(82,856,827	)		(64,421,148	)
12-31-11		801,511		—		1,598,422		(14,160,408	)		(11,760,475	)		11,724,787		—		26,469,869		(225,778,191	)		(187,583,535	)
World Allocation
6-30-12		157,453		—		—		(1,354,835	)		(1,197,382	)		1,781,920		—		—		(15,286,196	)		(13,504,276	)
12-31-11		1,261,666		6,851,668		656,286		(6,852,015	)		1,917,605			14,694,531		80,131,553		7,619,481		(76,161,080	)		26,284,485

NOTE 10 — CONCENTRATION OF INVESTMENT RISKS

All mutual funds involve risk — some more than others — and there is always the chance that you could lose money or not earn as much as you hope. A Portfolio’s risk profile is largely a factor of the principal securities in which it invests and investment techniques that it uses. For more information regarding the types of securities and investment techniques that may be used by each Portfolio and their corresponding risks, see the Portfolios’ most recent Prospectus and/or the Statement of Additional Information.

The value of your investment in Asset Allocation, Bond, Global Growth and Income, Growth, International, and International Growth and Income changes with the values of the corresponding Master Fund and its investments. World Allocation is also affected by other kinds of risks, depending on the types of securities held or strategies used by an Underlying Fund.

Asset Allocation (World Allocation). Assets will be allocated among Underlying Funds and markets based on judgments made by the Investment Adviser. There is a risk that the Fund may allocate assets to an Underlying Fund or market that underperforms other funds or asset classes.

Foreign Securities (All Portfolios). Investments in foreign securities may entail risks not present in domestic investments. Since securities in which a Master Fund and/or certain Underlying Funds may invest are denominated in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of a Master Fund and/or certain Underlying Funds. Foreign investments may also subject a Master Fund and/or certain Underlying Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, as well as changes vis-a-vis the U.S. dollar from movements in currency, and changes in security value and interest rate, all of which could affect the market and/or credit risk of a Master Fund and/or certain Underlying Funds investments.

NOTE 11 — FEDERAL INCOME TAXES

The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.

Dividends paid by the Portfolios from net investment income and distributions of net realized short-term capital gains are, for federal income tax purposes, taxable as ordinary income to shareholders.

No dividends or distributions were made during the six months ended June 30, 2012. The tax composition of dividends and distributions to shareholders during the year ended December 31, 2011 was as follows:

NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

NOTE 11 — FEDERAL INCOME TAXES (continued)

	Ordinary Income		Long-term Capital Gains
Asset Allocation	$	5,053,489	$	33,077
Bond		13,303,676		1,625,799
Growth		4,248,626		166,613
International		19,924,537		6,545,332
World Allocation		2,019,971		5,599,510

The tax-basis components of distributable earnings and the capital loss carryforwards which may be used to offset future realized capital gains for federal income tax purposes as of December 31, 2011 are detailed in the table below. Capital loss carryforwards with no expiration, if any, must be utilized prior to those with expiration dates.

	Undistributed Ordinary Income		Undistributed Long-term Capital Gains		Unrealized Appreciation/ (Depreciation)			Long-term Capital Loss Carryforward
Asset Allocation	$	5,000,497	$	970,988	$	54,054,937		$	—		—
Bond		12,343,779		12,096,285		22,850,501			—		—
Global Growth and Income		167,724		—		(643,380	)		—		—
Growth		1,394,107		38,717,682		(173,530,984	)		—		—
International Growth and Income		126,272		18,712		(664,317	)		—		—
International		13,946,628		—		(320,803,524	)		(5,541,655	)	None
World Allocation		2,654,387		14,441,090		(10,046,080	)		—		—

The Portfolios’ major tax jurisdictions are U.S. federal, Arizona, and Massachusetts. The earliest tax year that remains subject to examination by these jurisdictions is 2007.

As of June 30, 2012, no provisions for income tax would be required in the Portfolios’ financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue.

NOTE 12 — REORGANIZATIONS

On January 22, 2011, World Allocation (“Acquiring Portfolio”) acquired all of the net assets of ING Morgan Stanley Global Tactical Asset Allocation Portfolio (“Acquired Portfolio”), an open-end investment company in a tax-free reorganization in exchange for shares of the Acquiring Portfolio, pursuant to a plan of reorganization approved by the Acquired Portfolio’s shareholders on January 11, 2011. The purposes of the transaction were to combine comparable investment objectives, policies, restrictions, management, and portfolio holdings of the Acquiring and Acquired Funds. For financial reporting purposes, assets received and shares issued by the Acquiring Portfolio were recorded at fair value; however, the cost basis of the investments received from the Acquired Portfolio was carried forward to align ongoing reporting of the Acquiring Portfolio’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

Assuming the acquisition had been completed on January 1, 2011, the beginning of the annual reporting period of the Acquiring Portfolio, the Acquiring Portfolio’s pro forma results of operations for the period ended June 30, 2012, are as follows:

Net investment income	$	2,655,509
Net realized and unrealized loss on investments		($14,768,673	)
Net decrease in net assets resulting from operations		($12,113,164	)

Because the combined investment Portfolios have been managed as a single integrated Portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Portfolio that have been included in the Acquiring Portfolio’s statement of operations since January 22, 2011. Net assets and unrealized appreciation as of the reorganization date were as follows:

NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

NOTE 12 — REORGANIZATIONS (continued)

Acquiring Portfolio				Acquired Portfolio				Total Net Assets of Acquired Portfolio (000s)				Total Net Assets of Acquiring Portfolio (000s)				Acquired Capital Loss Carryforwards (000s)				Acquired Unrealized Appreciation (000s)				Portfolio Conversion Ratio
World Allocation				ING Morgan Stanley Global Tactical Asset Allocation Portfolio				$	80,132			$	183,670			$	—			$	—				0.7932

The net assets of Asset Allocation after the acquisition were $263,801,557.

NOTE 13 — SUBSEQUENT EVENTS

Dividends: Subsequent to June 30, 2012, the Portfolios declared dividends and distributions of:

	Per Share Amounts
	Net Investment Income		Short-term Capital Gains		Long-term Capital Gains		Payable Date		Record Date
Asset Allocation	$	0.1383	$	—	$	0.0269		July 17, 2012		July 13, 2012
Bond	$	0.2825	$	—	$	0.2769		July 17, 2012		July 13, 2012
Global Growth and Income	$	0.1609	$	0.0103	$	—		July 17, 2012		July 13, 2012
Growth	$	0.0372	$	—	$	1.0323		July 17, 2012		July 13, 2012
	$	—	$	—	$	0.0469		July 19, 2012		July 17, 2012
International Growth and Income	$	0.1794	$	0.0028	$	0.0266		July 17, 2012		July 13, 2012
International	$	0.2056	$	—	$	—		July 17, 2012		July 13, 2012
World Allocation	$	0.1630	$	—	$	0.8868		July 17, 2012		July 13, 2012

On January 12, 2012, the Board of Trustees of ING Investors Trust approved a proposal to reorganize Growth (the “Disappearing Portfolio”) with and into ING Large Cap Growth Portfolio (the “Reorganization”), which is not included in this report. Shareholder approval of the proposed Reorganization was obtained, and the Reorganization took place on July 21, 2012.

On March 8, 2012, the Board of Trustees approved a proposal changing Bond’s current “master-feeder” fund structure to that of a “traditional” fund structure, along with proposed changes to appoint ING Investment Management Co. LLC as the sub-adviser and to change the Portfolio’s name to ING Bond Portfolio. Changes were also proposed to the investment objective, fee structure, and principal investment strategies. Shareholder approval of these changes was obtained, and the changes were implemented effective July 21, 2012.

The Portfolios have evaluated events occurring after the Statements of Assets and Liabilities date (subsequent events) to determine whether any subsequent events necessitated adjustment to or disclosure in the financial statements. Other than the above, no such subsequent events were identified.

ING AMERICAN FUNDS ASSET
ALLOCATION PORTFOLIO

PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2012 (UNAUDITED)

Shares		Value
MASTER FUND: 100.1%
21,457,926	American Funds Asset Allocation Fund — Class 1 Shares	$	372,938,750		100.1
	Total Investments in Master Fund
	(Cost $286,278,440)	$	372,938,750		100.1
	Liabilities in Excess of Other Assets		(234,725	)	(0.1	)
	Net Assets	$	372,704,025		100.0

Cost for federal income tax purposes is $294,060,881.

Net unrealized appreciation consists of:
Gross Unrealized Appreciation	$	78,877,869
Gross Unrealized Depreciation		—
Net Unrealized Appreciation	$	78,877,869

Fair Value Measurementsˆ

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Master Fund	$	372,938,750	$	—	$	—	$	372,938,750
Total Investments, at fair value	$	372,938,750	$	—	$	—	$	372,938,750

ˆSee Note 2, ″Significant Accounting Policies″ in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING AMERICAN FUNDS BOND PORTFOLIO

PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2012 (UNAUDITED)

Shares		Value
MASTER FUND: 100.0%
42,396,154	American Funds Bond Fund — Class 1 Shares	$	478,228,617		100.0
	Total Investments in Master Fund
	(Cost $442,921,204)	$	478,228,617		100.0
	Liabilities in Excess of Other Assets		(200,020	)	—
	Net Assets	$	478,028,597		100.0

Cost for federal income tax purposes is $449,374,563.

Net unrealized appreciation consists of:
Gross Unrealized Appreciation	$	28,854,054
Gross Unrealized Depreciation		—
Net Unrealized Appreciation	$	28,854,054

Fair Value Measurementsˆ

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Master Fund	$	478,228,617	$	—	$	—	$	478,228,617
Total Investments, at fair value	$	478,228,617	$	—	$	—	$	478,228,617

ˆSee Note 2, ″Significant Accounting Policies″ in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING AMERICAN FUNDS GLOBAL GROWTH
AND INCOME PORTFOLIO

PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2012 (UNAUDITED)

Shares		Value
MASTER FUND: 99.8%
1,015,449	American Funds Global Growth and Income Fund — Class 1 Shares	$	9,829,543	99.8
	Total Investments in Master Fund
	(Cost $9,846,480)	$	9,829,543	99.8
	Assets in Excess of Other Liabilities		23,287	0.2
	Net Assets	$	9,852,830	100.0

Cost for federal income tax purposes is $10,129,558.

Net unrealized depreciation consists of:
Gross Unrealized Appreciation	$	—
Gross Unrealized Depreciation		(300,015	)
Net Unrealized Depreciation	$	(300,015	)

Fair Value Measurementsˆ

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Master Fund	$	9,829,543	$	—	$	—	$	9,829,543
Total Investments, at fair value	$	9,829,543	$	—	$	—	$	9,829,543

ˆSee Note 2, ″Significant Accounting Policies″ in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING AMERICAN FUNDS GROWTH PORTFOLIO

PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2012 (UNAUDITED)

Shares		Value
MASTER FUND: 100.1%
35,038,243	American Funds Growth Fund — Class 2 Shares	$	1,953,732,451		100.1
	Total Investments in Master Fund
	(Cost $1,952,296,156)	$	1,953,732,451		100.1
	Liabilities in Excess of Other Assets		(1,006,255	)	(0.1	)
	Net Assets	$	1,952,726,196		100.0

Cost for federal income tax purposes is $1,985,371,373.

Net unrealized depreciation consists of:
Gross Unrealized Appreciation	$	—
Gross Unrealized Depreciation		(31,638,922	)
Net Unrealized Depreciation	$	(31,638,922	)

Fair Value Measurementsˆ

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Master Fund	$	1,953,732,451	$	—	$	—	$	1,953,732,451
Total Investments, at fair value	$	1,953,732,451	$	—	$	—	$	1,953,732,451

ˆSee Note 2, ″Significant Accounting Policies″ in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING AMERICAN FUNDS INTERNATIONAL
GROWTH AND INCOME PORTFOLIO

PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2012 (UNAUDITED)

Shares		Value
MASTER FUND: 99.6%
463,957	American Funds International Growth and Income Fund — Class 1 Shares	$	6,616,024	99.6
	Total Investments in Master Fund
	(Cost $6,806,432)	$	6,616,024	99.6
	Assets in Excess of Other Liabilities		27,585	0.4
	Net Assets	$	6,643,609	100.0

Cost for federal income tax purposes is $7,011,072.

Net unrealized depreciation consists of:
Gross Unrealized Appreciation	$	—
Gross Unrealized Depreciation		(395,048	)
Net Unrealized Depreciation	$	(395,048	)

Fair Value Measurementsˆ

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Master Fund	$	6,616,024	$	—	$	—	$	6,616,024
Total Investments, at fair value	$	6,616,024	$	—	$	—	$	6,616,024

ˆSee Note 2, ″Significant Accounting Policies″ in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING AMERICAN FUNDS INTERNATIONAL PORTFOLIO

PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2012 (UNAUDITED)

Shares		Value
MASTER FUND: 100.0%
62,758,745	American Funds International Fund — Class 2 Shares	$	992,843,344		100.0
	Total Investments in Master Fund
	(Cost $1,226,799,718)	$	992,843,344		100.0
	Liabilities in Excess of Other Assets		(482,314	)	—
	Net Assets	$	992,361,030		100.0

Cost for federal income tax purposes is $1,250,677,109.

Net unrealized depreciation consists of:
Gross Unrealized Appreciation	$	—
Gross Unrealized Depreciation		(257,833,765	)
Net Unrealized Depreciation	$	(257,833,765	)

Fair Value Measurementsˆ

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Master Fund	$	992,843,344	$	—	$	—	$	992,843,344
Total Investments, at fair value	$	992,843,344	$	—	$	—	$	992,843,344

ˆSee Note 2, ″Significant Accounting Policies″ in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING AMERICAN FUNDS WORLD
ALLOCATION PORTFOLIO

PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2012 (UNAUDITED)

Shares			Value
UNDERLYING FUNDS: 99.8%
3,675,918		American Funds Insurance Series — Blue Chip Income 7 Growth Fund — Class 1 Shares	$	35,803,442	19.5
3,976,524		American Funds Bond Fund — Class 1 Shares		44,855,185	24.5
346,449		American Funds Growth Fund — Class 1 Shares		19,480,839	10.6
814,718		American Funds High-Income Bond Fund — Class 1 Shares		8,994,491	4.9
1,208,126		American Funds International Fund — Class 1 Shares		19,197,122	10.5
1,259,419	@	American Funds International Growth and Income Fund — Class 1 Shares		17,959,314	9.8
1,777,190		American Funds New World Fund — Class 1 Shares		36,574,566	20.0
		Total Investments in Underlying Funds
		(Cost $183,554,025)	$	182,864,959	99.8
		Assets in Excess of Other Liabilities		325,181	0.2
		Net Assets	$	183,190,140	100.0

@		Non-income producing security

		Cost for federal income tax purposes is $183,989,341.

Net unrealized depreciation consists of:
Gross Unrealized Appreciation	$	2,420,520
Gross Unrealized Depreciation		(3,544,902	)
Net Unrealized Depreciation	$	(1,124,382	)

Fair Value Measurementsˆ

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Underlying Funds	$	182,864,959	$	—	$	—	$	182,864,959
Total Investments, at fair value	$	182,864,959	$	—	$	—	$	182,864,959

ˆSee Note 2, ″Significant Accounting Policies″ in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED)

BOARD CONSIDERATION AND APPROVAL OF NEW SUB-ADVISORY CONTRACT

ING American Funds Bond Portfolio

ING American Funds Bond Portfolio operates in a “master-feeder” structure, in which the Portfolio invests all of its assets in a “master fund” (the “Master Fund”) managed by Capital Research and Management Company^SM. On March 8, 2012, the Board of Trustees of the Portfolio approved a new sub-advisory agreement (“Sub-Advisory Agreement”) for the Portfolio between ING Investments, LLC (“ING Investments”), the Portfolio’s investment adviser, and ING Investment Management Co. LLC (“ING IM”), the Portfolio’s proposed investment sub-adviser, contingent on shareholder approval. The Sub-Advisory Agreement is expected to become effective in July 2012.

In determining whether to approve the Sub-Advisory Agreement with ING IM, the Board received and evaluated such information as it deemed necessary for an informed determination of whether the Sub-Advisory Agreement should be approved for the Portfolio. The materials provided to the Board to inform its consideration of whether to approve the Sub-Advisory Agreement included the following: (1) ING IM’s presentation before the Board at its March 8, 2012 meeting; (2) memoranda and related materials provided to the Board in advance of its March 8, 2012 meeting discussing: (a) Management’s rationale for concluding that appointing ING IM as the sub-adviser to the Portfolio would provide a superior solution for shareholders of the Portfolio relative to the current practice of investing all of the Portfolio’s assets in the Master Fund, (b) the performance of ING IM in managing the ING Intermediate Bond Portfolio, which is managed in an investment style that is similar to its proposed management of the Portfolio (with such performance being compared against relevant benchmark indices and Morningstar Category averages), and (c) ING IM’s considerable firm-wide resources, investment philosophy, and the firm’s overall investment process; (3) Fund Analysis and Comparison Tables for the Portfolio that provide information about the performance and projected net expense ratio of the Portfolio as compared with a representative group of variable products mutual funds with similar investment programs to the investment program of the Portfolio as modified in connection with the appointment of ING IM, selected based upon and the performance of the Portfolio’s proposed Selected Peer Group; (4) ING IM’s responses to inquiries from K&L Gates LLP, counsel to the Independent Trustees; (5) supporting documentation, including copies of the form of the Sub-Advisory Agreement; and (6) other information relevant to the Board’s evaluation.

In reaching its decision to engage ING IM, the Board, including a majority of the Independent Trustees, considered a number of factors including, but not limited to, the following: (1) ING Investments’ view with respect to the reputation of ING IM as a manager to other portfolios in the ING Funds complex pursuing an intermediate bond strategy substantially similar to the proposed strategy for the Portfolio; (2) the strength and reputation of ING IM in the industry; (3) the nature and quality of the services to be provided by ING IM under the Sub-Advisory Agreement; (4) the personnel, operations, financial condition, and investment management capabilities, methodologies, and resources of ING IM and their fit among the stable of managers in the ING Funds line-up; (5) the fairness of the compensation under the Sub-Advisory Agreement in light of the services to be provided by ING IM and the projected profitability of ING IM as the sub-adviser to the Portfolio; (6) the costs for the services to be provided by ING IM; (7) the subadvisory fee payable by ING Investments to ING IM; (8) ING IM’s operations and compliance programs, including the policies and procedures intended to assure compliance with the Federal securities laws; (9) the appropriateness of the selection of ING IM in light of the Portfolio’s investment objective and investor base; and (10) ING IM’s Codes of Ethics, which had previously been approved by the Board, and related procedures for complying with those Codes. In addition, in evaluating the Sub-Advisory Agreement and ING Investments’ recommendation that the Board approve this agreement, the Board, including the Independent Trustees, recognized that the appointment of ING IM would result in the Portfolio ceasing to operate under a master-feeder structure, which would trigger a requirement that the Portfolio pay advisory and administrative fees to ING Investments and the Administrator, respectively, in an estimated amount of approximately $595,300 per year combined (based on then current assets), while the Portfolio is not paying such fees currently. The Board also considered that after this change the Portfolio would no longer bear indirectly the advisory fee and other expenses of the Master Fund. The Board also considered that ING IM and ING Investments are under the common control of the ING Groep, and that, therefore, the sub-advisory fees that would be payable by ING Investments to ING IM would not change the overall fees retained by entities in the ING Groep.

After its deliberation, the Board reached the following conclusions: (1) ING IM should be appointed to serve as a sub-adviser to the Portfolio under the Sub-Advisory Agreement; (2) the sub-advisory fee rate payable by ING Investments to ING IM is reasonable in the context of all factors considered by the Board; and (3) ING IM maintains appropriate compliance programs, with this conclusion based upon, among other things, a representation from the Portfolio’s Chief Compliance Officer that ING IM’s compliance policies and procedures are reasonably designed to assure compliance with the federal securities laws. Based on these conclusions and other factors, the Board voted to approve the Sub-Advisory Agreement for the Portfolio. During their deliberations, different Board members may have given different weight to different individual factors and related conclusions.

(COVER PAGE)

American Funds

^®

The right choice for the long term^®

Semi-annual report for the six months ended June 30, 2012

American Funds Insurance Series

^®

American Funds Insurance Series is the underlying investment vehicle for several variable annuities and insurance products. The investment adviser for American Funds Insurance Series is Capital Research and Management Company.^SM For more than 80 years, Capital Research has invested with a long-term focus based on thorough research and attention to risk. All the variable funds in American Funds Insurance Series may not be available in your product.

The summary investment portfolios (with the exception of Mortgage Fund and Cash Management Fund, which show a complete listing of portfolio holdings) are designed to streamline this report and help investors better focus on the funds’ principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings for each fund in the series.

Unless otherwise indicated, investment results are for Class 2 shares of the funds in American Funds Insurance Series. Class 2 shares began operations on April 30, 1997. Class 3 shares began operations on January 16, 2004. Results encompassing periods prior to those dates assume a hypothetical investment in Class 1 shares and include deduction of the additional 0.25% annual expense for Class 2 shares and 0.18% for Class 3 shares under the series’ plans of distribution.

The variable annuities and life insurance contracts that use the series’ funds contain certain fees and expenses not reflected in this report. Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The series’ investment adviser waived a portion of its management fees for all existing funds from September 1, 2004, through December 31, 2008, and for U.S. Government/AAA-Rated Securities Fund from July 1, 2010, through December 31, 2010. Applicable fund results shown reflect the waivers, without which they would have been lower. See the Financial Highlights table in this report for details.

Investing for short periods makes losses more likely. Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.

Investing outside the United States may be subject to risks, such as currency fluctuations, periods of illiquidity and price volatility. These risks may be heightened in connection with investments in developing countries. Investing in small-capitalization stocks can involve greater risk than is customarily associated with investing in stocks of larger, more established companies. The return of principal for bond funds and for funds with significant underlying bond holdings is not guaranteed. Fund shares are subject to the same interest rate, inflation and credit risks associated with the underlying bond holdings. High-yield bonds are subject to greater fluctuations in value and risk of loss of income and principal than investment-grade bonds. Bond ratings, which typically range from AAA/Aaa (highest) to D (lowest), are assigned by credit rating agencies such as Standard & Poor’s, Moody’s and/or Fitch as an indication of an issuer’s creditworthiness. Refer to the funds’ prospectuses and the Risk Factors section of this report for more information on these and other risks associated with investing in the funds.

Fellow investors:

Major global stock markets had strong gains in the first three months of 2012 as investors shrugged off concerns about the European debt crisis, slowing growth in China and uncertainty about fiscal problems in the U.S. and the impending presidential election. The confidence was short-lived and the rally ended in April amid a resurgence of these concerns. Many markets had significant declines in May, followed by strong comebacks in June that provided positive six-month returns for most countries in the MSCI ACWI (All Country World Index).

The U.S. stock market, as measured by Standard & Poor’s 500 Composite Index, gained 9.48% for the period, putting it in fourth place for developed countries behind Belgium (+20.19%), Singapore (+14.78%) and Denmark (+14.65%). Not surprisingly, the ACWI’s weakest countries were three of those at the heart of the European crisis: Greece (–17.70%), Portugal (–16.00%) and Spain (–14.54%), while of the two remaining PIIGS countries, Italy was down 3.58% and Ireland bucked the trend with a gain of 4.81%. Overall, the ACWI gained 6.01%.

While the MSCI Emerging Markets Index gain of 4.12% lagged that of its developed counterpart, it’s worth noting that the period’s three strongest gains came from Egypt (+34.45%), Turkey (+28.73%) and the Philippines (+26.61%).

Only four countries in the index lost ground: Indonesia (–3.19%), the Czech Republic (–3.20%), Brazil (–7.54%) and Morocco (–9.58%). China, whose sputtering economy had contributed to investors’ concerns during the period, gained 4.14%. Returns for countries outside the U.S. are calculated in U.S. dollars with dividends reinvested. All the market indexes shown in this report are unmanaged and, therefore, have no expenses.

Apart from April and May, when fixed-income investors sought the safety of higher grade bonds, more speculative higher yielding securities had the best results during the period. The Barclays U.S. Corporate High Yield 2% Issuer Capped Index gained 7.23%, while the Barclays U.S. Aggregate Index, which measures investment-grade bonds, rose 2.37%, with almost all of those gains occurring in April and May.

Similarly, the J.P. Morgan Emerging Markets Bond Index Plus was up 6.91%, compared with a 1.50% gain for the Barclays Global Aggregate Index. The yield on the benchmark 10-year U.S. Treasury note set a new historic low during the period. As of June 30, it was 1.67%, down from 1.89% at the start of the period.

The U.S. dollar gained against all developed-country currencies, except the New Zealand dollar (+3.03%), Singapore

(IMAGE)


In this report

Letter to investors

Fund results

Fund reviews

Investment portfolios

Growth Fund^SM

International Fund^SM

Global Growth and Income Fund^SM

International Growth and Income Fund^SM

Asset Allocation Fund^SM

Bond Fund^SM



Financial statements

American Funds Insurance Series

dollar (+2.36%), British pound (+0.92%), Norwegian krone (+0.40%) and Hong Kong dollar (+0.13%). The euro was down 2.24% and the Japanese yen declined 3.57%. Some developing-country currencies had gains against the dollar, notably the Colombian peso (+8.61%) and Hungarian forint (+7.68%).

We are pleased to report that all the funds in American Funds Insurance Series had gains for the six-month period, with the exception of Cash Management Fund, which has again been hampered by the record low interest rates.

Looking ahead

The major issues that have confronted investors during the past couple of years — the European debt crisis, slowing growth in the major developing economies and the U.S. budget difficulties — are still the major issues facing investors now. That may sound like bad news, but in a way it’s good news because it’s old news. Investors tend to dislike uncertainty more than they dislike bad news. In any case, we will be watching for further progress on the situation in Europe, and note that China recently announced a series of measures to stimulate growth, including cutting interest rates and fuel prices. Of course, we’ll soon know the result of the U.S. presidential election, which — regardless of the winner — should help remove some uncertainty.

Investor concerns over these issues are likely to wax and wane over the coming months, but the funds’ portfolio counselors are confident that our holdings can prosper over the long term. This confidence is fueled by our investment research process, which has been designed to identify companies around the world that can do well in the long run, regardless of macro pressures that will inevitably crop up from time to time. We invite our investors to ignore short-term noise as much as possible, and stay focused on the longer term and their individual investment plans.

Thank you for your continued support. We look forward to reporting to you again at the end of the fiscal year.

Cordially,

-s- Donald D. O’Neal

Donald D. O’Neal
Vice Chairman of the Board

-s- Alan N. Berro

Alan N. Berro
President

August 8, 2012

James K. Dunton, who became a portfolio counselor for Growth-Income Fund soon after its launch in 1984 and served as an officer of American Funds Insurance Series since 1993, retired on June 30.

The Trustees thank Jim for his outstanding contributions to the series over a long period and wish him well in retirement.

American Funds Insurance Series

Total returns for periods ended June 30, 2012

Fund results shown here for American Funds Insurance Series are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. Investing for short periods makes losses more likely. An investment in Cash Management Fund is not insured or guaranteed by the FDIC or any other government agency. It is important to remember that the fund is not managed to maintain a stable net asset value at $1.00 per share. Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.


		Cumulative						Average annual									Expense ratios

		6 months			1 year			5 years			10 years			Lifetime
Growth Fund	Class 1		8.32	%		–2.05	%		–0.25	%		7.13	%		12.09	%		.34	%
(since 2/8/84)	Class 2		8.19			–2.29			–0.50			6.86			11.79			.59
	Class 3		8.20			–2.23			–0.43			6.94			11.89			.52

International Fund	Class 1		4.57			–13.74			–2.95			7.17			7.97			.53
(since 5/1/90)	Class 2		4.41			–14.00			–3.20			6.90			7.69			.78
	Class 3		4.40			–13.94			–3.13			6.97			7.77			.71

Global Growth and Income Fund	Class 1		5.87			–2.27			–0.53			—			2.52			.61
(since 5/1/06)	Class 2		5.61			–2.55			–0.78			—			2.26			.86

International Growth and Income Fund	Class 1		6.42			–6.10			—			—			13.92			.73
(since 11/18/08)	Class 2		6.28			–6.30			—			—			13.64			.98

Asset Allocation Fund	Class 1		8.01			3.95			1.47			5.85			7.99			.31
(since 8/1/89)	Class 2		7.90			3.76			1.22			5.59			7.70			.56
	Class 3		7.91			3.80			1.28			5.66			7.79			.49

Bond Fund	Class 1		3.17			6.94			4.13			5.58			5.52			.38
(since 1/2/96)	Class 2		3.06			6.64			3.85			5.32			5.26			.63

Expense ratios are as of the series prospectus dated May 1, 2012. Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The series’ investment adviser waived a portion of its management fees for all existing funds from September 1, 2004, through December 31, 2008, and for U.S. Government/AAA-Rated Securities Fund from July 1, 2010, through December 31, 2010. Applicable fund results shown reflect the waivers, without which they would have been lower. See the Financial Highlights table in this report for details.

American Funds Insurance Series


Where the fund’s assets were invested as of June 30, 2012	(percent of net assets)

(PIE CHART)

Objective: To provide growth of capital.

Special characteristics: Seeks to invest in companies that appear to offer superior opportunities for growth. Up to 25% of assets can be invested in companies outside the U.S.

The index is unmanaged and, therefore, has no expenses.

Growth Fund

Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.

Growth Fund gained 8.19% for the six months ended June 30, 2012, while the S&P 500 rose 9.48%.

The year began with three months of strong gains for most major stock markets before a decline in April and May that was precipitated by worrying news from Europe and weaker economic data in the U.S. and China. A June rally helped markets recover most of the losses.

The main contributor to the fund’s return was the health care sector, in which several biotechnology holdings had particularly strong results. Holdings in information technology and financials also did well. The fund’s weakest sectors were energy and materials, which have been hurt by lower oil prices and slowing economic growth.

Outside the U.S., the fund’s best results came from holdings in Spain, India and the Netherlands. Areas of weakness included Canada, Hong Kong and South Africa. Because the uncertainty in Europe has caused a delay in economic recovery, the fund has gradually increased holdings in cash in recent months to 12.0% of assets at June 30, compared with 4.9% a year ago.

The European credit problems and U.S. election will likely make for uncertain markets in the near term. In this environment, the fund’s portfolio counselors continue to search for and invest in companies with good valuations and accelerating growth prospects.

American Funds Insurance Series

International Fund

International Fund gained 4.41% for the six months ended June 30, 2012. Its benchmark index, the MSCI ACWI (All Country World Index) ex USA, gained 3.13%.

The fund realized strong gains from companies in the consumer staples, industrials, health care and utilities sectors. There was less exposure to energy holdings than the index; however, the sector hurt absolute returns. The fund’s relative avoidance of the beleaguered financials sector continued throughout the six-month period. Those holdings were mixed, but experienced slight gains on an absolute basis.

From a country stance, investments in companies based in China led the way based on strong stock selection in that marketplace. Holdings of companies headquartered in Belgium and Spain helped, while holdings of companies domiciled in Taiwan detracted. Because of the overall positive equity returns for the six months, the fund’s cash position of 8.8% created a slight drag on results.

Amid continuing uncertainty in worldwide markets — with the fiscal crisis in Europe and ongoing fears tempering global growth expectations in China and other emerging markets — the fund’s portfolio counselors continue to maintain a well-balanced portfolio. They remain committed to analyzing the fundamentals of companies that can navigate the developed and emerging marketplace with superior and innovative products and services.


Where the fund’s assets were invested as of June 30, 2012	(percent of net assets)

(PIE CHART)


Country diversification	(percent of net assets)
Europe
United Kingdom		10.4	%

Germany		8.4

France		7.9

Switzerland		7.6

Sweden		3.1

Belgium		2.5

Russia		2.3

Ireland		2.2

Other		3.3

		47.7


Asia/Pacific Basin
Japan		9.6

China		8.3

South Korea		6.7

India		5.1

Hong Kong		4.4

Indonesia		1.0

Other		3.1

		38.2

Other regions
Israel		1.8	%

South Africa		1.5

		3.3


The Americas
Brazil		1.2

Other		.8

		2.0


Short-term securities & other assets less liabilities		8.8


Total		100.0	%

Objective: To provide long-term growth of capital.

Special characteristics: Invests primarily in the securities of companies outside the U.S., including emerging market and developing countries.

The index is unmanaged and, therefore, has no expenses.

American Funds Insurance Series


Where the fund’s assets were invested as of June 30, 2012	(percent of net assets)

(PIE CHART)


Country diversification	(percent of net assets)
The Americas
United States		48.1	%

Canada		6.0

Mexico		.3

		54.4


Europe
United Kingdom		6.2

France		4.6

Switzerland		2.1

Germany		1.9

Netherlands		1.5

Other		1.8

		18.1


Asia/Pacific Basin
China		3.6

Australia		3.5

Taiwan		3.2

Japan		2.2

Singapore		1.4

Hong Kong		1.3

Other		2.5

		17.7

Other regions
South Africa		1.5


Bonds, short-term securities & other assets less liabilities		8.3


Total		100.0	%

Objective: To provide long-term growth of capital while providing current income.

Special characteristics: Invests primarily in dividend-paying companies around the world that we believe to be relatively resilient during market declines.

The index is unmanaged and, therefore, has no expenses.

Global Growth and Income Fund

Global Growth and Income Fund gained 5.61% for the six months ended June 30, 2012, while the MSCI ACWI (All Country World Index) rose 6.01%.

Most major markets had strong returns in the first three months of the period before declining in April and May because of fresh fears about the European debt crisis and disappointing economic data from the U.S. and China. A June rally erased some of the losses.

The fund was helped by strong results from some companies in the consumer discretionary sector, including the largest holding at June 30, Home Depot, and two home building companies, which all benefited from an upturn in the housing market.

As in the index, the fund’s weakest sectors were materials and energy. Companies in these areas have been hurt by slowing economic growth and falling oil prices.

At June 30, the fund had about 10% of assets invested in companies in euro zone countries. Although problems in Europe have yet to be resolved, many of these companies derive a substantial portion of their earnings from outside the region and can benefit from the weaker currency.

Finally, it’s worth pointing out that although the fund slightly lagged the benchmark index for this period, it has outpaced it over longer periods, including one, three and five years and since the fund’s inception in May 2006.

American Funds Insurance Series


Where the fund’s assets were invested as of June 30, 2012	(percent of net assets)

(PIE CHART)


Country diversification	(percent of net assets)
Europe
United Kingdom		21.5	%

Sweden		7.2

France		4.5

Switzerland		3.4

Germany		3.1

Netherlands		2.0

Russia		1.9

Finland		1.2

Ireland		1.0

Other		3.2

		49.0


Asia/Pacific Basin
China		5.3

Taiwan		4.5

Australia		4.3

Hong Kong		4.0

Japan		3.3

Singapore		2.9

Indonesia		1.3

Thailand		1.1

Other		.7

		27.4

The Americas
United States		5.2

Other		1.7

		6.9


Other regions
Israel		.1


Short-term securities & other assets less liabilities		16.6


Total		100.0	%

Objective: To provide long-term growth of capital while providing current income.

Special characteristics: The fund invests primarily in larger, well-established companies outside the United States, including emerging market and developing countries. The fund focuses on companies with strong earnings that pay dividends.

The index is unmanaged and, therefore, has no expenses.

International Growth and Income Fund

International Growth and Income Fund gained 6.28% for the six months ended June 30, 2012, handily outpacing the 3.13% gain of the MSCI ACWI (All Country World Index) ex USA.

Global stocks rallied for the first three months of the period before concerns about Europe and China led to a selloff in April and May, with a partial recovery in June.

The fund’s gains in the strong first quarter were driven by holdings in information technology, consumer discretionary and industrial companies, which all lost ground in the second quarter. A defensive positioning helped during the decline, with holdings in the utilities, telecommunication services and consumer staples sectors holding up best in the latter half of the period.

On a country basis, holdings in the United Kingdom — about 22% of fund assets at June 30 — were the main contributors to results, though the best results came from Russia, Italy and Turkey. Holdings in Greece, Spain, Brazil and Canada were the weakest.

With the global outlook uncertain, the fund’s portfolio counselors have maintained an emphasis on companies in defensive sectors. They have also increased the fund’s cash holdings.

American Funds Insurance Series

Asset Allocation Fund

Asset Allocation Fund gained 7.90% for the six months ended June 30, 2012. Its benchmark indexes, the S&P 500 for stocks and the Barclays U.S. Aggregate Index for bonds, rose 9.48% and 2.37%, respectively.

A global stock market rally in the first quarter fizzled out for much of the second before resuming in June to recover some of the losses.

All industry sectors except energy had gains for the period. The fund’s strongest returns came from its smallest sector, telecommunication services. The three largest sectors in the fund at June 30 — financials, consumer discretionary and health care — all had double-digit gains. In the fixed-income portfolio, corporate bonds and mortgage-backed securities were the major contributors to results.

On a country basis, the U.S. had the largest impact on results, though the highest returns came from holdings in South Korea, China and Japan. Investments in Canada, Brazil and Italy were weakest.

In the current uncertain environment, with the European debt crisis still unresolved, slowing growth in major developing economies and the upcoming U.S. election, the fund’s portfolio counselors continue to maintain an emphasis on equity investments, which accounted for about 74% of net assets at June 30.


Where the fund’s assets were invested as of June 30, 2012	(percent of net assets)

(PIE CHART)

Objective: To provide high total return (including income and capital gains) consistent with preservation of capital over the long term.

Special characteristics: Invests in a diversified portfolio of stocks and bonds. The fund may invest up to 15% of assets in equity securities from outside the United States and up to 25% of debt securities in lower rated bonds.

The indexes are unmanaged and, therefore, have no expenses.

American Funds Insurance Series

Bond Fund

Bond Fund gained 3.06% for the six months ended June 30, 2012, beating the 2.37% gain measured by the Barclays U.S. Aggregate Index.

After gains in the first quarter, the fund used market strength to sell corporate bonds — particularly in banks and financials — based on concerns about Europe’s fiscal solvency. Corporate holdings that showed the most strength were in commercial banks, media, oil, gas & consumable fuels and real estate investment trusts (REITs).

As the fund rotated out of corporate issues, it increased exposure to agency mortgage-backed and commercial mortgage-backed securities. Agency-backed mortgages were the biggest positive contributor to fund results.

With the Federal Reserve pushing interest rates downward, the fund has sought yield through its investments in mortgage-backed securities. Commercial mortgage-backed securities holdings also were additive to results. U.S. Treasuries were a slight positive, but the fund lowered its investments in Treasuries, in which rates continue to be near all-time lows.

The fund’s portfolio counselors will continue to be extremely disciplined. While there is a temptation to buy riskier assets in search of yield, this can be a mistake when valuations are not sound. We are adapting to market conditions, doing it prudently by moving into well-researched mortgages and other debt issues, while taking on a managed amount of credit risk.


Where the fund’s assets were invested as of June 30, 2012	(percent of net assets)

(PIE CHART)

Objective: To provide as high a level of current income as is consistent with the preservation of capital.

Special characteristics: Invests in nearly every sector of the bond market, with a preference for higher quality issues.

The index is unmanaged and, therefore, has no expenses.

American Funds Insurance Series


Growth Fund	unaudited

Summary investment portfolio June 30, 2012


Largest individual equity securities	Percent of net assets

Apple		4.12	%

Amazon.com		2.67

Wells Fargo		2.35

Intuitive Surgical		2.28

Home Depot		2.04

Chipotle Mexican Grill		1.79

lululemon athletica		1.68

Google		1.65

Berkshire Hathaway		1.56

Wynn Macau		1.53


Common stocks — 88.02%
	Shares		Value (000)		Percent of net assets

Consumer discretionary — 18.25%

Amazon.com, Inc.¹		2,823,000	$	644,632		2.67	%

Home Depot, Inc.		9,306,000		493,125		2.04

Chipotle Mexican Grill, Inc.¹		1,136,400		431,775		1.79

lululemon athletica inc.¹		6,800,000		405,484		1.68

Wynn Macau, Ltd.²		157,313,600		369,910		1.53

Johnson Controls, Inc.		6,499,100		180,090		.75

Tiffany & Co.		2,953,000		156,361		.65

Harman International Industries, Inc.³		3,754,515		148,679		.62

Other securities				1,575,283		6.52

				4,405,339		18.25


Financials — 13.22%

Wells Fargo & Co.		16,988,296		568,089		2.35

Berkshire Hathaway Inc., Class A¹		3,015		376,709		1.56

American Express Co.		4,000,000		232,840		.96

Bank of America Corp.		22,000,000		179,960		.75

Onex Corp.		4,280,500		166,200		.69

Fairfax Financial Holdings Ltd. (CAD denominated)		215,000		85,134		.67
Fairfax Financial Holdings Ltd.		198,600		77,792		.67

Goldman Sachs Group, Inc.		1,532,000		146,858		.61

Other securities				1,358,872		5.63

				3,192,454		13.22


Information technology — 12.54%

Apple Inc.¹		1,705,000		995,720		4.12

Google Inc., Class A¹		685,500		397,638		1.65

ASML Holding NV (New York registered)		2,300,000		118,266		.96
ASML Holding NV²		2,250,000		114,654		.96

Oracle Corp.		5,695,000		169,141		.70

Fidelity National Information Services, Inc.		4,930,263		168,023		.70

Other securities				1,063,433		4.41

				3,026,875		12.54


Energy — 11.64%

Suncor Energy Inc.		9,023,393		260,926		1.08

Concho Resources Inc.¹		2,865,000		243,869		1.01

Pacific Rubiales Energy Corp.		10,632,200		225,155		.93

Core Laboratories NV		1,700,000		197,030		.82

MEG Energy Corp.¹		4,590,000		164,512		.68

Noble Energy, Inc.		1,845,000		156,493		.65

Cobalt International Energy, Inc.¹		6,490,000		152,515		.63

Denbury Resources Inc.¹		9,810,800		148,241		.61

Other securities				1,260,741		5.23

				2,809,482		11.64

American Funds Insurance Series

Growth Fund


Common stocks	Shares		Value (000)		Percent of net assets
Health care — 11.14%

Intuitive Surgical, Inc.¹		993,000	$	549,913		2.28	%

Gilead Sciences, Inc.¹		4,700,000		241,016		1.00

Edwards Lifesciences Corp.¹		2,275,000		235,008		.97

Grifols, SA, Class A^1,2		8,575,000		217,503		.90

UnitedHealth Group Inc.		3,690,000		215,865		.89

Incyte Corp.^1,3		7,910,000		179,557		.74

Regeneron Pharmaceuticals, Inc.¹		1,471,500		168,075		.70

Baxter International Inc.		3,012,100		160,093		.66

Other securities				722,762		3.00

				2,689,792		11.14


Industrials — 7.66%

Union Pacific Corp.		2,390,000		285,151		1.18

Stericycle, Inc.¹		3,000,000		275,010		1.14

Boeing Co.		3,000,000		222,900		.92

Other securities				1,066,134		4.42

				1,849,195		7.66


Materials — 7.37%

Barrick Gold Corp.		7,250,000		272,383		1.13

Newmont Mining Corp.		5,430,543		263,436		1.09

Potash Corp. of Saskatchewan Inc.		5,468,212		238,906		.99

FMC Corp.		3,000,000		160,440		.66

Praxair, Inc.		1,475,000		160,377		.66

Other securities				684,494		2.84

				1,780,036		7.37


Consumer staples — 3.98%

Costco Wholesale Corp.		3,215,000		305,425		1.26

Philip Morris International Inc.		2,284,000		199,302		.82

Other securities				457,084		1.90

				961,811		3.98


Telecommunication services — 1.38%

CenturyLink, Inc.		4,160,000		164,279		.68

Crown Castle International Corp.¹		2,600,000		152,516		.63

Other securities				16,754		.07

				333,549		1.38


Utilities — 0.14%

Other securities				33,992		.14


Miscellaneous — 0.70%

Other common stocks in initial period of acquisition				168,163		.70

Total common stocks (cost: $14,696,626,000)				21,250,688		88.02

American Funds Insurance Series

Growth Fund


Short-term securities — 12.10%	Principal amount (000)		Value (000)			Percent of net assets


Fannie Mae 0.10%–0.19% due 9/5–11/16/2012	$	686,100	$	685,855			2.85	%

Federal Home Loan Bank 0.04%–0.165% due 7/9–12/5/2012		607,049		606,892			2.51

U.S. Treasury Bills 0.043%–0.117% due 7/19–8/9/2012		500,000		499,981			2.07

Wal-Mart Stores, Inc. 0.10%–0.11% due 7/9–7/10/2012⁴		240,000		239,993			.99

NetJets Inc. 0.14% due 7/10/2012⁴		19,500		19,499			.08

Other securities				868,523			3.60

Total short-term securities (cost: $2,920,690,000)				2,920,743			12.10

Total investment securities (cost: $17,617,316,000)				24,171,431			100.12

Other assets less liabilities				(29,092	)		(.12	)

Net assets			$	24,142,339			100.00	%

As permitted by U.S. Securities and Exchange Commission (“SEC”) regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.

“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.

Investments in affiliates

A company is considered to be an affiliate of the fund under the Investment Company Act of 1940 if the fund’s holdings in that company represent 5% or more of the outstanding voting shares. The value of the fund’s affiliated-company holdings is either shown in the summary investment portfolio or included in the value of “Other securities” under the respective industry sectors. Further details on such holdings and related transactions during the six months ended June 30, 2012, appear below.


	Beginning shares	Additions	Reductions	Ending shares	Dividend income (000)		Value of affiliates at 6/30/2012 (000)

Incyte Corp.¹	7,910,000	—	—	7,910,000	$	—	$	179,557

Harman International Industries, Inc.	2,245,000	1,709,515	200,000	3,754,515		322		148,679

KGen Power Corp.^1,2,5	3,166,128	—	—	3,166,128		—		27,229

lululemon athletica inc.^1,6	7,400,000	—	600,000	6,800,000		—		—

					$	322	$	355,465


The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
¹	Security did not produce income during the last 12 months.
²	Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Miscellaneous” and “Other securities,” was $2,445,737,000, which represented 10.13% of the net assets of the fund. This amount includes $2,317,719,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading.
³	Represents an affiliated company as defined under the Investment Company Act of 1940.
⁴	Acquired in a transaction exempt from registration under section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $881,655,000, which represented 3.65% of the net assets of the fund.
⁵	Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. This security (acquired on 12/19/2006 at a cost of $28,495,000) may be subject to legal or contractual restrictions on resale. The total value of all such securities, including those in “Other securities,” was $128,018,000, which represented .53% of the net assets of the fund. These securities were acquired from 12/21/2005 to 6/21/2011 at an aggregate cost of $162,324,000.
⁶	Unaffiliated issuer at 6/30/2012.

Key to abbreviation
CAD = Canadian dollars

See Notes to Financial Statements

American Funds Insurance Series


International Fund	unaudited

Summary investment portfolio June 30, 2012


Largest individual equity securities	Percent of net assets

Novartis	3.85	%

Samsung Electronics	3.79

Bayer	2.64

BP	2.28

Anheuser-Busch InBev	2.19

Ryanair Holdings	1.89

Teva Pharmaceutical Industries	1.79

NetEase	1.75

Nestlé	1.60

MTN Group	1.49


Common stocks — 91.11%
	Shares		Value (000)		Percent of net assets
Health care — 13.21%

Novartis AG¹		5,973,613	$	333,208		3.85	%

Bayer AG¹		3,172,401		228,758		2.64

Teva Pharmaceutical Industries Ltd. (ADR)		3,938,000		155,315		1.79

Mindray Medical International Ltd., Class A (ADR)		3,750,000		113,587		1.31

Merck KGaA¹		679,655		67,824		.78

JSC Pharmstandard (GDR)^1,2		3,805,800		54,294		.68
JSC Pharmstandard (GDR)^1,2,3		307,300		4,384		.68

Other securities				186,370		2.16

				1,143,740		13.21


Financials — 13.18%

AIA Group Ltd.¹		36,381,700		125,442		1.45

Bank of China Ltd., Class H¹		228,632,800		87,484		1.01

Sberbank of Russia (ADR)¹		7,484,000		81,407		.94

Ping An Insurance (Group) Co. of China, Ltd., Class H¹		10,056,000		81,149		.94

Prudential PLC¹		6,570,265		76,126		.88

Housing Development Finance Corp. Ltd.¹		6,004,000		70,653		.82

Itaú Unibanco Holding SA, preferred nominative (ADR)		3,839,556		53,447		.62

Other securities				564,691		6.52

				1,140,399		13.18


Consumer discretionary — 12.75%

Hyundai Motor Co.¹		553,500		113,549		1.31

British Sky Broadcasting Group PLC¹		9,594,500		104,715		1.21

Daimler AG¹		2,172,000		97,683		1.13

Li & Fung Ltd.¹		41,314,000		80,168		.93

Tata Motors Ltd.¹		15,092,871		65,886		.76

Rakuten, Inc.¹		5,544,900		57,422		.66

Other securities				584,209		6.75

				1,103,632		12.75


Industrials — 11.88%

Ryanair Holdings PLC (ADR)²		5,383,105		163,646		1.89

SMC Corp.¹		693,900		120,097		1.39

Legrand SA¹		2,916,500		99,190		1.14

Bureau Veritas SA¹		641,348		57,010		.66

Jardine Matheson Holdings Ltd.¹		1,113,600		54,230		.63

Other securities				534,135		6.17

				1,028,308		11.88

American Funds Insurance Series

International Fund


Common stocks	Shares		Value (000)		Percent of net assets
Information technology — 10.15%

Samsung Electronics Co. Ltd.¹		309,350	$	327,980		3.79	%

NetEase, Inc. (ADR)²		2,569,735		151,229		1.75

Murata Manufacturing Co., Ltd.¹		1,253,000		65,730		.76

HOYA Corp.¹		2,840,600		62,589		.72

Canon, Inc.¹		1,493,900		59,820		.69

Other securities				211,380		2.44

				878,728		10.15


Consumer staples — 9.65%

Anheuser-Busch InBev NV¹		2,436,414		189,414		2.19
Anheuser-Busch InBev NV, VVPR STRIPS^1,2		1,189,792		1		2.19

Nestlé SA¹		2,325,800		138,737		1.60

Imperial Tobacco Group PLC¹		3,200,000		123,127		1.42

Pernod Ricard SA¹		579,960		62,042		.72

L’Oréal SA, non-registered shares¹		376,000		44,046		.69
L’Oréal SA, bonus shares¹		136,000		15,932		.69

Danone SA¹		925,306		57,445		.67

Other securities				204,031		2.36

				834,775		9.65


Materials — 6.23%

Linde AG¹		814,600		126,880		1.46

ArcelorMittal¹		4,308,500		66,558		.77

Nitto Denko Corp.¹		1,502,200		64,069		.74

Syngenta AG¹		170,200		58,103		.67

Other securities				223,790		2.59

				539,400		6.23


Telecommunication services — 5.73%

MTN Group Ltd.¹		7,474,900		129,209		1.49

SOFTBANK CORP.¹		2,645,000		98,339		1.14

América Móvil, SAB de CV, Series L (ADR)		2,006,000		52,276		.60

Other securities				216,222		2.50

				496,046		5.73


Energy — 4.43%

BP PLC¹		29,414,802		197,084		2.28

Royal Dutch Shell PLC, Class B¹		2,003,000		69,905		.95
Royal Dutch Shell PLC, Class A¹		372,000		12,570		.95

Other securities				103,613		1.20

				383,172		4.43


Utilities — 2.68%

Power Grid Corp. of India Ltd.¹		58,601,640		119,712		1.38

Other securities				112,333		1.30

				232,045		2.68


Miscellaneous — 1.22%

Other common stocks in initial period of acquisition				105,539		1.22

Total common stocks (cost: $7,057,626,000)				7,885,784		91.11

American Funds Insurance Series

International Fund


Bonds, notes & other debt instruments — 0.05%			Value (000)		Percent of net assets
Financials — 0.05%

Other securities			$	4,526		.05	%

Total bonds, notes & other debt instruments (cost: $4,167,000)				4,526		.05


Short-term securities — 8.40%	Principal amount (000)


Fannie Mae 0.07%–0.14% due 7/16/2012–1/7/2013	$	178,100		178,006		2.06

Federal Home Loan Bank 0.118%–0.18% due 8/1–10/18/2012		111,200		111,174		1.28

U.S. Treasury Bills 0.103%–0.116% due 7/19–10/11/2012		76,800		76,790		.89

Freddie Mac 0.05%–0.155% due 7/9–10/15/2012		66,200		66,192		.77

Scotiabank Inc. 0.12%–0.145% due 7/10–7/25/2012		66,000		65,996		.76

Other securities				228,464		2.64

Total short-term securities (cost: $726,637,000)				726,622		8.40

Total investment securities (cost: $7,788,430,000)				8,616,932		99.56

Other assets less liabilities				38,046		.44

Net assets			$	8,654,978		100.00	%

“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. Some of these securities (with an aggregate value of $6,802,000, an aggregate cost of $32,657,000, and which represented .08% of the net assets of the fund) were acquired from 2/11/1998 to 4/18/2002 through private placement transactions exempt from registration under the Securities Act of 1933 which may subject them to legal or contractual restrictions on resale.

American Funds Insurance Series

International Fund

Forward currency contracts

The fund has entered into forward currency contracts to sell currencies as shown in the following table. The open forward currency contracts shown are generally indicative of the level of activity over the prior 12-month period.


			Contract amount				Unrealized (depreciation) appreciation at 6/30/2012 (000)


	Settlement date	Counterparty	Receive (000)		Deliver (000)

Sales:
Australian dollars	7/10/2012	UBS AG	$	10,618		A$11,000	$	(628	)
Euros	7/18/2012	HSBC Bank	$	105,774		€83,950		(480	)
Euros	7/24/2012	UBS AG	$	199,426		€157,000		703

							$	(405	)




The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
¹	Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Miscellaneous” and “Other securities,” was $7,073,520,000, which represented 81.73% of the net assets of the fund. This amount includes $7,049,763,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading.
²	Security did not produce income during the last 12 months.
³	Acquired in a transaction exempt from registration under Rule 144A or section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $268,553,000, which represented 3.10% of the net assets of the fund.

Key to abbreviations and symbols

ADR = American Depositary Receipts

GDR = Global Depositary Receipts

A$= Australian dollars

€ = Euros

See Notes to Financial Statements

American Funds Insurance Series


Global Growth and Income Fund	unaudited

Summary investment portfolio June 30, 2012


Largest individual equity securities	Percent of net assets

Home Depot	3.88	%

Merck	3.22

Taiwan Semiconductor Manufacturing	2.64

Virgin Media	2.06

Newmont Mining	1.97

Verizon	1.81

Yamana Gold	1.56

Kraft Foods	1.55

Agricultural Bank of China	1.40

Marsh & McLennan Companies	1.31


Common stocks — 91.09%	Shares		Value (000)		Percent of net assets
Consumer discretionary — 15.03%

Home Depot, Inc.		1,445,000	$	76,571		3.88	%

Virgin Media Inc.		1,667,500		40,670		2.06

Comcast Corp., Class A		745,000		23,818		1.21

Amazon.com, Inc.¹		94,550		21,591		1.09

D.R. Horton, Inc.		1,000,000		18,380		.93

Toll Corp.¹		600,000		17,838		.90

Saks Inc.¹		1,200,000		12,780		.65

Other securities				84,942		4.31

				296,590		15.03


Financials — 14.51%

Agricultural Bank of China, Class H²		68,383,000		27,609		1.40

Marsh & McLennan Companies, Inc.		800,000		25,784		1.31

Industrial and Commercial Bank of China Ltd., Class H²		42,145,940		23,567		1.19

Prudential PLC²		1,618,689		18,755		.95

Macquarie International Infrastructure Fund Ltd.²		36,200,164		15,083		.76

Wells Fargo & Co.		335,000		11,202		.57

Bank of Nova Scotia		200,000		10,361		.53

Other securities				153,823		7.80

				286,184		14.51


Industrials — 9.40%

United Continental Holdings, Inc.¹		900,000		21,897		1.11

Meggitt PLC²		3,480,500		21,107		1.07

Union Pacific Corp.		150,000		17,897		.91

Lockheed Martin Corp.		200,000		17,416		.88

Schneider Electric SA²		268,242		14,946		.76

Other securities				92,203		4.67

				185,466		9.40


Consumer staples — 9.01%

Kraft Foods Inc., Class A		790,000		30,510		1.55

Unilever NV, depository receipts²		705,000		23,597		1.20

British American Tobacco PLC²		339,500		17,280		.88

Sysco Corp.		460,000		13,713		.69

Anheuser-Busch InBev NV²		175,000		13,605		.69

Other securities				79,003		4.00

				177,708		9.01


Information technology — 8.64%

Taiwan Semiconductor Manufacturing Co. Ltd.^1,2		16,960,000		46,422		2.64
Taiwan Semiconductor Manufacturing Co. Ltd. (ADR)¹		400,000		5,584		2.64

Apple Inc.¹		42,900		25,053		1.27

Google Inc., Class A¹		40,450		23,464		1.19

International Business Machines Corp.		100,000		19,558		.99

Other securities				50,457		2.55

				170,538		8.64

American Funds Insurance Series

Global Growth and Income Fund


Common stocks	Shares		Value (000)		Percent of net assets
Materials — 8.57%

Newmont Mining Corp.		800,000	$	38,808		1.97	%

Yamana Gold Inc.		2,000,000		30,861		1.56

Barrick Gold Corp.		650,000		24,421		1.24

Dow Chemical Co.		445,000		14,018		.71

Nucor Corp.		320,000		12,128		.61

Other securities				48,742		2.48

				168,978		8.57


Health care — 7.67%

Merck & Co., Inc.		1,519,544		63,441		3.22

Eli Lilly and Co.		500,000		21,455		1.09

Novartis AG²		303,000		16,901		.86

Sonic Healthcare Ltd.²		1,285,000		16,758		.85

Vertex Pharmaceuticals Inc.¹		238,877		13,358		.68

Other securities				19,411		.97

				151,324		7.67


Energy — 6.73%

Royal Dutch Shell PLC, Class B (ADR)		225,000		15,734		1.19
Royal Dutch Shell PLC, Class A (ADR)		115,000		7,755		1.19

Chevron Corp.		212,300		22,398		1.14

Crescent Point Energy Corp.		446,000		16,647		.84

Other securities				70,289		3.56

				132,823		6.73


Telecommunication services — 6.58%

Verizon Communications Inc.		802,500		35,663		1.81

AT&T Inc.		525,000		18,722		.95

Telstra Corp. Ltd.²		4,780,000		18,113		.92

TalkTalk Telecom Group PLC²		5,691,100		16,989		.86

Other securities				40,375		2.04

				129,862		6.58


Utilities — 2.97%

Power Assets Holdings Ltd.²		2,250,000		16,894		.85

GDF SUEZ²		667,659		15,930		.81

National Grid PLC²		1,225,000		12,966		.66

Other securities				12,812		.65

				58,602		2.97


Miscellaneous — 1.98%

Other common stocks in initial period of acquisition				39,049		1.98

Total common stocks (cost: $1,607,569,000)				1,797,124		91.09

American Funds Insurance Series

Global Growth and Income Fund


Convertible securities — 0.63%			Value (000)		Percent of net assets
Other — 0.63%

Other securities			$	12,410		.63	%

Total convertible securities (cost: $8,720,000)				12,410		.63


Bonds, notes & other debt instruments — 1.36%

Other — 1.36%

Other securities				26,784		1.36

Total bonds, notes & other debt instruments (cost: $21,238,000)				26,784		1.36


Short-term securities — 6.25%	Principal amount (000)


Freddie Mac 0.12%–0.14% due 9/17/2012–1/9/2013	$	45,700		45,680		2.31

Fannie Mae 0.12%–0.14% due 9/19/2012–1/3/2013		20,100		20,088		1.02

Scotiabank Inc. 0.12% due 7/25/2012³		14,900		14,899		.75

eBay Inc. 0.15% due 9/19/2012³		14,500		14,494		.73

Variable Funding Capital Company LLC 0.16% due 7/19/2012³		10,000		9,999		.51

Novartis Securities Investment Ltd. 0.15% due 8/7/2012³		10,000		9,998		.51

Other securities				8,240		.42

Total short-term securities (cost: $123,401,000)				123,398		6.25

Total investment securities (cost: $1,760,928,000)				1,959,716		99.33

Other assets less liabilities				13,231		.67

Net assets			$	1,972,947		100.00	%

“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. Some of these securities (with an aggregate value of $1,800,000, an aggregate cost of $2,789,000, and which represented .10% of the net assets of the fund) were acquired on 12/17/2009 through private placement transactions exempt from registration under the Securities Act of 1933 which may subject them to legal or contractual restrictions on resale.

American Funds Insurance Series

Global Growth and Income Fund

Investments in affiliates

A company is considered to be an affiliate of the fund under the Investment Company Act of 1940 if the fund’s holdings in that company represent 5% or more of the outstanding voting shares. The value of the fund’s affiliated-company holdings is included in “Other securities” under the respective industry sector in the summary investment portfolio. Further details on such holdings and related transactions during the six months ended June 30, 2012, appear below.


	Beginning shares	Additions	Reductions	Ending shares	Dividend income (000)		Value of affiliate at 6/30/2012 (000)

Rickmers Maritime²	27,420,000	—	—	27,420,000	$	329	$	6,955




The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
¹	Security did not produce income during the last 12 months.
²	Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Miscellaneous” and “Other securities,” was $695,286,000, which represented 35.24% of the net assets of the fund. This amount includes $693,486,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading.
³	Acquired in a transaction exempt from registration under Rule 144A or section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $58,520,000, which represented 2.97% of the net assets of the fund.

Key to abbreviation

ADR = American Depositary Receipts

See Notes to Financial Statements

American Funds Insurance Series


International Growth and Income Fund	unaudited

Summary investment portfolio June 30, 2012


Largest individual equity securities	Percent of net assets

Philip Morris International	4.69	%

British American Tobacco	3.77

SSE	2.83

BP	2.63

SingTel	2.15

Imperial Tobacco	2.01

NEXT	1.95

National Grid	1.85

H&M	1.63

Quanta Computer	1.63


Common stocks — 79.48%	Shares		Value (000)		Percent of net assets
Consumer staples — 14.54%

Philip Morris International Inc.		145,040	$	12,656		4.69	%

British American Tobacco PLC¹		199,500		10,154		3.77

Imperial Tobacco Group PLC¹		140,900		5,421		2.01

Koninklijke Ahold NV¹		197,000		2,441		.91

Nestlé SA¹		36,750		2,192		.81

Other securities				6,346		2.35

				39,210		14.54


Consumer discretionary — 10.32%

NEXT PLC¹		105,000		5,265		1.95

H & M Hennes & Mauritz AB, Class B¹		122,400		4,401		1.63

Isuzu Motors Ltd.¹		788,000		4,213		1.56

Whitbread PLC¹		62,500		1,994		.74

Li & Fung Ltd.¹		851,000		1,651		.61

Honda Motor Co., Ltd.¹		23,500		819		.30

Other securities				9,507		3.53

				27,850		10.32


Telecommunication services — 9.38%

Singapore Telecommunications Ltd.¹		2,222,000		5,810		2.15

Elisa Oyj, Class A¹		167,000		3,362		1.25

China Communications Services Corp. Ltd., Class H^1,2		6,504,800		3,225		1.20

OJSC Mobile TeleSystems (ADR)		117,000		2,012		.75

Millicom International Cellular SA (SDR)¹		19,300		1,821		.67

Other securities				9,060		3.36

				25,290		9.38


Utilities — 8.45%

SSE PLC¹		350,350		7,638		2.83

National Grid PLC¹		471,700		4,993		1.85

GDF SUEZ¹		152,016		3,627		1.35

PT Perusahaan Gas Negara (Persero) Tbk¹		9,159,000		3,460		1.28

Other securities				3,086		1.14

				22,804		8.45


Industrials — 7.66%

Jardine Matheson Holdings Ltd.¹		81,700		3,979		1.47

Legrand SA¹		85,000		2,891		1.07

VINCI SA¹		55,100		2,579		.96

ASSA ABLOY AB, Class B¹		76,000		2,125		.79

Ryanair Holdings PLC (ADR)²		61,400		1,867		.69

Siemens AG¹		15,000		1,261		.47

Other securities				5,967		2.21

				20,669		7.66

American Funds Insurance Series

International Growth and Income Fund


Common stocks	Shares		Value (000)		Percent of net assets
Financials — 7.03%

Link Real Estate Investment Trust¹		990,000	$	4,048		1.50	%

Nordea Bank AB¹		420,000		3,636		1.35

Canadian Imperial Bank of Commerce (CIBC)		27,000		1,900		.70

Westfield Group¹		151,500		1,476		.55

Other securities				7,889		2.93

				18,949		7.03


Health care — 6.54%

Fresenius SE & Co. KGaA¹		37,000		3,837		1.42

Mindray Medical International Ltd., Class A (ADR)		126,100		3,819		1.41

Novartis AG¹		61,225		3,415		1.27

Sonic Healthcare Ltd.¹		236,175		3,080		1.14

GlaxoSmithKline PLC¹		85,600		1,941		.72

Other securities				1,554		.58

				17,646		6.54


Energy — 5.11%

BP PLC¹		1,056,551		7,079		2.63

Royal Dutch Shell PLC, Class B¹		125,000		4,362		1.62

PTT PCL¹		162,000		1,657		.61

Other securities				680		.25

				13,778		5.11


Information technology — 5.08%

Quanta Computer Inc.¹		1,633,020		4,396		1.63

HTC Corp.¹		281,000		3,695		1.37

NetEase, Inc. (ADR)²		34,400		2,024		.75

Other securities				3,575		1.33

				13,690		5.08


Materials — 4.77%

Svenska Cellulosa AB SCA, Class B¹		238,800		3,586		1.33

Amcor Ltd.¹		282,000		2,055		.76

Other securities				7,219		2.68

				12,860		4.77


Miscellaneous — 0.60%

Other common stocks in initial period of acquisition				1,626		.60

Total common stocks (cost: $198,293,000)				214,372		79.48


Bonds, notes & other debt instruments — 3.96%	Principal amount (000)
Bonds & notes of governments outside the U.S. — 1.59%

United Mexican States Government, Series M30, 10.00% 2036		MXN16,900		1,763		.65

Other securities				2,538		.94

				4,301		1.59

American Funds Insurance Series

International Growth and Income Fund


Bonds, notes & other debt instruments	Principal amount (000)		Value (000)		Percent of net assets
Financials — 1.30%

WEA Finance LLC 4.625% 2021³	$	3,085	$	3,269		1.21	%

Other securities				246		.09

				3,515		1.30


Energy — 0.65%

Shell International Finance BV 5.50% 2040		420		548		.20

Other securities				1,202		.45

				1,750		.65


Telecommunication services — 0.42%

MTS International Funding Ltd. 8.625% 2020³		979		1,125		.42

Total bonds, notes & other debt instruments (cost: $9,969,000)				10,691		3.96


Short-term securities — 9.27%


Straight-A Funding LLC 0.18% due 9/25/2012³		6,500		6,497		2.41

Bank of Nova Scotia 0.08% due 7/2/2012		4,150		4,150		1.54

Siemens Capital Co. LLC 0.12% due 7/13/2012³		3,200		3,200		1.19

Freddie Mac 0.07% due 7/17/2012		2,700		2,700		1.00

Jupiter Securitization Co., LLC 0.17% due 7/17/2012³		2,500		2,500		.93

Federal Home Loan Bank 0.12% due 8/1/2012		2,200		2,200		.81

American Honda Finance Corp. 0.15% due 8/16/2012		2,000		1,999		.74

Estée Lauder Companies Inc. 0.12% due 7/24/2012³		1,750		1,750		.65

Total short-term securities (cost: $24,996,000)				24,996		9.27

Total investment securities (cost: $233,258,000)				250,059		92.71

Other assets less liabilities				19,651		7.29

Net assets			$	269,710		100.00	%

“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.


The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
¹	Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Miscellaneous” and “Other securities,” was $186,399,000, which represented 69.11% of the net assets of the fund. This entire amount relates to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading.
²	Security did not produce income during the last 12 months.
³	Acquired in a transaction exempt from registration under Rule 144A or section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $18,076,000, which represented 6.70% of the net assets of the fund.

Key to abbreviations

ADR = American Depositary Receipts

SDR = Swedish Depositary Receipts

MXN = Mexican pesos

See Notes to Financial Statements

American Funds Insurance Series


Asset Allocation Fund	unaudited

Summary investment portfolio June 30, 2012


Largest individual equity securities	Percent of net assets

Comcast		2.15	%

Merck		2.09

Oracle		2.05

Home Depot		1.89

Kinder Morgan		1.84

Johnson & Johnson		1.76

Gilead Sciences		1.59

Microsoft		1.56

Boeing		1.51

ACE		1.46


Common stocks — 74.07%	Shares		Value (000)		Percent of net assets
Financials — 10.32%

ACE Ltd.		2,320,000	$	171,982		1.46	%

American Tower Corp.		2,450,000		171,280		1.45

Goldman Sachs Group, Inc.		1,750,000		167,755		1.42

American Express Co.		2,600,000		151,346		1.28

JPMorgan Chase & Co.		2,500,000		89,325		.76

Citigroup Inc.		2,750,000		75,377		.64

Other securities				390,917		3.31

				1,217,982		10.32


Consumer discretionary — 10.21%

Comcast Corp., Class A		7,950,000		254,161		2.15

Home Depot, Inc.		4,200,000		222,558		1.89

McDonald’s Corp.		1,060,000		93,842		.79

VF Corp.		700,000		93,415		.79

Amazon.com, Inc.¹		400,000		91,340		.77

DIRECTV, Class A¹		1,850,000		90,317		.77

Other securities				359,480		3.05

				1,205,113		10.21


Health care — 10.12%

Merck & Co., Inc.		5,900,000		246,325		2.09

Johnson & Johnson		3,075,000		207,747		1.76

Gilead Sciences, Inc.¹		3,650,000		187,172		1.59

Cardinal Health, Inc.		3,340,000		140,280		1.19

Baxter International Inc.		2,510,000		133,406		1.13

UnitedHealth Group Inc.		1,600,000		93,600		.79

Bristol-Myers Squibb Co.		2,500,000		89,875		.76

Other securities				95,177		.81

				1,193,582		10.12


Information technology — 9.37%

Oracle Corp.		8,130,000		241,461		2.05

Microsoft Corp.		6,000,000		183,540		1.56

Apple Inc.¹		210,000		122,640		1.04

ASML Holding NV (New York registered)		2,250,000		115,695		.98

Texas Instruments Inc.		3,500,000		100,415		.85

Other securities				342,020		2.89

				1,105,771		9.37


Energy — 8.94%

Kinder Morgan, Inc.		6,740,000		217,163		1.84

Chevron Corp.		1,525,000		160,887		1.37

Other securities				676,413		5.73

				1,054,463		8.94

American Funds Insurance Series

Asset Allocation Fund


Common stocks	Shares		Value (000)		Percent of net assets
Industrials — 6.79%

Boeing Co.		2,400,000	$	178,320		1.51	%

General Electric Co.		6,050,000		126,082		1.07

Lockheed Martin Corp.		1,300,000		113,204		.96

Parker Hannifin Corp.		1,000,000		76,880		.65

Other securities				306,568		2.60

				801,054		6.79


Materials — 5.46%

FMC Corp.		2,500,000		133,700		1.13

Dow Chemical Co.		4,080,000		128,520		1.09

LyondellBasell Industries NV, Class A		2,500,000		100,675		.86

Rio Tinto PLC²		1,681,753		80,320		.68

Other securities				200,496		1.70

				643,711		5.46


Consumer staples — 4.48%

Unilever NV (New York registered)		2,930,000		97,715		.83

Coca-Cola Co.		1,000,000		78,190		.66

Philip Morris International Inc.		870,000		75,916		.64

Nestlé SA (ADR)		1,250,000		74,675		.63

Other securities				202,255		1.72

				528,751		4.48


Utilities — 3.24%

PG&E Corp.		2,785,000		126,077		1.07

Edison International		1,980,000		91,476		.78

FirstEnergy Corp.		1,715,000		84,361		.71

Exelon Corp.		2,120,000		79,754		.68

				381,668		3.24


Telecommunication services — 0.88%

AT&T Inc.		2,900,000		103,414		.88


Miscellaneous — 4.26%

Other common stocks in initial period of acquisition				503,017		4.26

Total common stocks (cost: $7,007,408,000)				8,738,526		74.07

American Funds Insurance Series

Asset Allocation Fund


Rights & warrants — 0.01%			Value (000)		Percent of net assets
Consumer discretionary — 0.01%

Other securities			$	1,432		.01	%

Total rights & warrants (cost: $432,000)				1,432		.01


Convertible securities — 0.03%

Consumer discretionary — 0.03%

Other securities				3,289		.03

Total convertible securities (cost: $1,973,000)				3,289		.03


Bonds, notes & other debt instruments — 22.13%	Principal amount (000)
Mortgage-backed obligations³ — 7.28%

Fannie Mae:
3.50% 2042	$	82,483		86,736		5.87
4.50% 2042		88,000		94,435
6.00% 2042		85,000		93,407
0%–7.50% 2021–2047		391,556		418,387

Freddie Mac 2.086%–6.955% 2019–2041⁴		63,067		67,798		.58

Other securities				98,149		.83

				858,912		7.28


Bonds & notes of U.S. government & government agencies — 6.57%

U.S. Treasury:
1.375% 2013		89,458		90,344		6.15
0.75%–7.25% 2013–2041⁵		542,082		635,628		6.15

Freddie Mac 1.00%–1.75% 2015–2017		32,000		32,815		.28

Fannie Mae 6.25% 2029		9,575		13,779		.12

Other securities				3,044		.02

				775,610		6.57


Financials — 1.43%

Murray Street Investment Trust I 4.647% 2017		5,000		5,017		.04

American Tower Corp. 4.625% 2015		3,595		3,808		.03

Other securities				160,421		1.36

				169,246		1.43


Health care — 1.42%

Cardinal Health, Inc. 5.80% 2016		4,500		5,216		.04

Gilead Sciences, Inc. 3.05% 2016		4,300		4,546		.04

Other securities				157,183		1.34

				166,945		1.42


Industrials — 1.17%

General Electric Capital Corp. 4.65% 2021		3,000		3,341		.03

Other securities				134,958		1.14

				138,299		1.17

American Funds Insurance Series

Asset Allocation Fund


Bonds, notes & other debt instruments	Principal amount (000)		Value (000)			Percent of net assets
Consumer discretionary — 1.03%

Comcast Corp. 5.65%–6.95% 2035–2037	$	6,875	$	8,581			.07	%

Other securities				112,770			.96

				121,351			1.03


Other — 3.23%

Other securities				380,268			3.23

Total bonds, notes & other debt instruments (cost: $2,521,860,000)				2,610,631			22.13


Short-term securities — 6.58%


Freddie Mac 0.08%–0.18% due 7/2/2012–3/15/2013		138,177		138,043			1.17

U.S. Treasury Bills 0.075%–0.147% due 7/26–12/6/2012		106,650		106,626			.90

Federal Home Loan Bank 0.11%–0.17% due 7/6–11/14/2012		103,250		103,234			.88

Coca-Cola Co. 0.14%–0.17% due 7/20–8/9/2012⁶		74,300		74,291			.63

Fannie Mae 0.09%–0.11% due 8/1–8/28/2012		48,600		48,593			.41

Merck & Co. Inc. 0.15% due 7/9/2012⁶		24,000		24,000			.20

Johnson & Johnson 0.17% due 11/1/2012⁶		23,200		23,184			.20

Other securities				258,771			2.19

Total short-term securities (cost: $776,752,000)				776,742			6.58

Total investment securities (cost: $10,308,425,000)				12,130,620			102.82

Other assets less liabilities				(332,648	)		(2.82	)

Net assets			$	11,797,972			100.00	%

“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. Some of these securities (with an aggregate value of $6,657,000, an aggregate cost of $7,631,000, and which represented .06% of the net assets of the fund) were acquired from 4/30/2010 to 3/15/2012 through private placement transactions exempt from registration under the Securities Act of 1933 which may subject them to legal or contractual restrictions on resale.


The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
¹	Security did not produce income during the last 12 months.
²	Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Miscellaneous” and “Other securities,” was $487,764,000, which represented 4.13% of the net assets of the fund. This amount includes $480,798,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading.
³	Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date.
⁴	Coupon rate may change periodically.
⁵	Index-linked bond whose principal amount moves with a government price index.
⁶	Acquired in a transaction exempt from registration under Rule 144A or section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $685,266,000, which represented 5.81% of the net assets of the fund.

Key to abbreviation

ADR = American Depositary Receipts

See Notes to Financial Statements

American Funds Insurance Series


Bond Fund	unaudited

Summary investment portfolio June 30, 2012


Largest holdings by issuer	Percent of net assets

Fannie Mae	32.05	%

U.S. Treasury	20.35

Freddie Mac	5.04

United Mexican States Government	1.03

Federal Home Loan Bank	1.02

Government National Mortgage Assn.	.79

J.P. Morgan Chase Commercial Mortgage Securities Trust	.50

Enbridge Energy Partners	.50

Japanese Government	.45

Prologis	.44


Bonds, notes & other debt instruments — 96.22%	Principal amount (000)		Value (000)		Percent of net assets
Mortgage-backed obligations¹ — 39.56%

Fannie Mae:
3.00% 2027²	$	190,500	$	199,668		31.53	%
3.00% 2027		68,887		72,328
3.50% 2027²		174,555		184,483
5.00% 2036		65,978		71,772
5.00% 2038		41,484		45,129
6.00% 2038		95,227		105,003
6.00% 2038		68,156		75,118
6.00% 2039		44,185		48,699
4.00% 2041		53,901		57,508
4.00% 2041		49,929		53,255
4.00% 2041		42,609		45,460
3.50% 2042²		261,515		274,999
3.50% 2042		141,586		149,569
3.50% 2042		50,050		52,809
3.50% 2042		49,557		52,583
3.50% 2042		37,600		39,673
3.50% 2042		37,500		39,567
6.00% 2042²		107,627		118,272
6.00% 2042²		107,170		117,787
2.894%–9.719% 2023–2042^2,3		971,104		1,055,025

Freddie Mac:
5.50% 2038		80,160		87,237		3.64
5.50% 2038		36,897		40,120		3.64
0%–5.639% 2018–2041³		185,353		202,798

Government National Mortgage Assn. 3.50% 2042²		48,598		51,962		.57

J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP8, Class A-4, 5.399% 2045		40,209		45,765		.50

Other securities				300,671		3.32

				3,587,260		39.56

Bonds & notes of U.S. government & government agencies — 24.15%

U.S. Treasury:
1.125% 2013		161,048		162,387		20.35
1.25% 2014		177,271		179,930
2.125% 2015		42,250		44,617
0.125% 2016⁴		37,783		39,373
0.875% 2016		59,165		59,773
1.00% 2016		66,200		67,261
7.50% 2016		35,000		45,301
1.00% 2017		181,635		184,200
8.75% 2017		75,000		103,823
8.75% 2020		40,000		63,133
2.00% 2022		147,415		152,493
3.75% 2041		181,701		219,418
0.125%–8.75% 2013–2042⁴		446,755		523,263

Freddie Mac:
2.125% 2012		50,000		50,223		1.40
0.375%–5.00% 2013–2014		75,000		76,364		1.40

Federal Home Loan Bank 1.00%–5.50% 2013–2017		88,940		92,755		1.02

Fannie Mae 0.50%–5.375% 2013–2016		45,280		46,822		.52

Other securities				78,570		.86

				2,189,706		24.15

American Funds Insurance Series

Bond Fund


Bonds, notes & other debt instruments		Principal amount (000)		Value (000)	Percent of net assets
Bonds & notes of governments & government agencies outside the U.S. — 3.98%

United Mexican States Government:
Global 5.95%–6.375% 2013–2040	$	15,350	$	18,899	1.03	%
6.25%–9.50% 2014–2017		MXN914,500		74,828	1.03	%

Other securities				266,818	2.95

				360,545	3.98


Industrials — 2.94%

General Electric Capital Corp. 0.736%–3.35% 2016–2018³	$	20,750		21,525	.24

Other securities				245,434	2.70

				266,959	2.94


Consumer staples — 1.93%

Coca-Cola Co. 1.50%–3.15% 2015–2020		14,395		15,045	.17

Wal-Mart Stores, Inc. 5.80% 2018		7,395		9,129	.10

Other securities				150,550	1.66

				174,724	1.93


Other — 23.66%

Other securities				2,145,693	23.66

Total bonds, notes & other debt instruments (cost: $8,369,546,000)				8,724,887	96.22


Preferred securities — 0.01%

Financials — 0.01%

Other securities				1,038	.01

Total preferred securities (cost: $785,000)				1,038	.01


Common stocks — 0.01%

Consumer discretionary — 0.01%

Other securities				510	.01

Total common stocks (cost: $1,027,000)				510	.01

American Funds Insurance Series

Bond Fund


Short-term securities — 18.69%		Principal amount (000)		Value (000)		Percent of net assets


U.S. Treasury Bills 0.06%–0.141% due 7/19–12/6/2012	$	419,800	$	419,749		4.63	%

Federal Home Loan Bank 0.07%–0.18% due 7/2/2012–2/26/2013		232,000		231,904		2.56

Freddie Mac 0.05%–0.13% due 7/9–10/16/2012		155,500		155,477		1.72

Bank of New York Mellon Corp. 0.11% due 7/23/2012⁵		125,000		124,991		1.38

Wal-Mart Stores, Inc. 0.12%–0.14% due 7/23–8/6/2012⁵		99,252		99,243		1.09

Coca-Cola Co. 0.11%–0.15% due 7/11–8/22/2012⁵		84,700		84,691		.93

General Electric Capital Corp. 0.14% due 7/10/2012		75,000		74,997		.83

Chevron Corp. 0.09% due 7/23/2012⁵		60,900		60,896		.67

National Rural Utilities Cooperative Finance Corp. 0.14%–0.15% due 7/23–7/30/2012		55,950		55,945		.62

Fannie Mae 0.07%–0.13% due 7/16–10/1/2012		55,700		55,689		.61

NetJets Inc. 0.13%–0.14% due 7/9–7/23/2012⁵		54,200		54,195		.60

Paccar Financial Corp. 0.12%–0.15% due 7/10–7/23/2012		53,000		52,997		.58

Procter & Gamble Co. 0.13% due 7/18/2012⁵		50,000		49,997		.55

Straight-A Funding LLC 0.16%–0.17% due 7/20–9/4/2012⁵		44,300		44,288		.49

Other securities				129,676		1.43

Total short-term securities (cost: $1,694,726,000)				1,694,735		18.69

Total investment securities (cost: $10,066,084,000)				10,421,170		114.93

Other assets less liabilities				(1,353,645	)	(14.93	)

Net assets			$	9,067,525		100.00	%

“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio, including securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $3,698,000, which represented .04% of the net assets of the fund. Some of these securities (with an aggregate value of $9,722,000, an aggregate cost of $8,629,000, and which represented .11% of the net assets of the fund) were acquired from 7/17/2009 to 11/17/2010 through private placement transactions exempt from registration under the Securities Act of 1933 which may subject them to legal or contractual restrictions on resale.

American Funds Insurance Series

Bond Fund

Forward currency contracts


							Unrealized (depreciation) appreciation at 6/30/2012 (000)
				Contract amount


	Settlement date	Counterparty		Receive (000)	Deliver (000)

Sales:
Euros	7/20/2012	JPMorgan Chase	$	8,483	€6,750	$	(60	)
Euros	7/23/2012	Citibank	$	18,670	€14,700		64
Euros	7/25/2012	Bank of New York Mellon	$	7,537	€6,000		(57	)
Euros	7/25/2012	UBS AG	$	6,309	€5,020		(45	)
Euros	7/27/2012	JPMorgan Chase	$	3,126	€2,500		(39	)
Japanese yen	7/13/2012	UBS AG	$	37,867	¥3,008,941		217
Mexican pesos	7/16/2012	UBS AG	$	6,406	MXN89,980		(328	)
Swedish kronor	7/16/2012	Barclays Bank PLC	$	2,010	SKr14,267		(51	)
Swedish kronor	7/23/2012	Barclays Bank PLC	$	2,709	SKr18,881		(18	)

						$	(317	)




The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
¹	Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date.
²	A portion or all of the security purchased on a TBA basis.
³	Coupon rate may change periodically.
⁴	Index-linked bond whose principal amount moves with a government price index.
⁵	Acquired in a transaction exempt from registration under Rule 144A or section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $1,363,074,000, which represented 15.03% of the net assets of the fund.

Key to abbreviations and symbols
TBA = To be announced
€ = Euros
¥ = Japanese yen
MXN = Mexican pesos
SKr = Swedish kronor

See Notes to Financial Statements

American Funds Insurance Series

Financial statements

Statements of assets & liabilities at June 30, 2012


	Global Discovery Fund			Global Growth Fund			Global Small Capitalization Fund			Growth Fund			International Fund

Assets:
Investment securities, at value:
Unaffiliated issuers	$	246,562		$	4,908,469		$	3,256,940		$	23,815,966		$	8,616,932
Affiliated issuers		—			—			59,241			355,465			—
Cash denominated in currencies other than U.S. dollars		—			670			622			—			2,078
Cash		241			159			93			277			121
Unrealized appreciation on open forward currency contracts		—			—			—			—			703
Receivables for:
Sales of investments		1,754			24,689			76,968			86,985			9,410
Sales of fund’s shares		6			8,497			4,886			30,274			20,516
Closed forward currency contracts		—			—			—			—			—
Dividends and interest		324			11,297			3,927			26,217			33,045
Other assets		—			—			—			—			—

		248,887			4,953,781			3,402,677			24,315,184			8,682,805

Liabilities:
Unrealized depreciation on open forward currency contracts		—			—			28			—			1,108
Payables for:
Purchases of investments		600			2,391			15,587			88,224			1,085
Repurchases of fund’s shares		297			3,096			14,464			74,328			20,881
Closed forward currency contracts		—			—			—			—			—
Investment advisory services		115			2,084			1,917			6,341			3,399
Distribution services		43			711			499			3,400			1,030
Administrative services		2			39			27			195			69
Trustees’ deferred compensation		1			22			13			303			139
Non-U.S. taxes		—			39			—			—			—
Other		1			37			296			54			116

		1,059			8,419			32,831			172,845			27,827

Net assets at June 30, 2012 (total: $103,833,825)	$	247,828		$	4,945,362		$	3,369,846		$	24,142,339		$	8,654,978

Investment securities, at cost:
Unaffiliated issuers	$	211,475		$	3,941,110		$	3,034,380		$	17,290,168		$	7,788,430

Affiliated issuers		—			—		$	100,999		$	327,148			—

Cash denominated in currencies other than U.S. dollars, at cost		—		$	670		$	622			—		$	2,078


Net assets consist of:
Capital paid in on shares of beneficial interest	$	234,955		$	4,514,841		$	3,526,533		$	20,464,952		$	9,046,462
Undistributed (distributions in excess of) net investment income		725			29,404			(41,178	)		48,330			80,565
(Accumulated) undistributed net realized (loss) gain		(22,939	)		(566,150	)		(296,575	)		(2,925,073	)		(1,299,586	)
Net unrealized appreciation		35,087			967,267			181,066			6,554,130			827,537

Net assets at June 30, 2012	$	247,828		$	4,945,362		$	3,369,846		$	24,142,339		$	8,654,978

Shares of beneficial interest issued and outstanding (no stated par value) — unlimited shares authorized:
Class 1:
Net assets (total: $39,346,628)	$	29,959		$	1,358,533		$	875,913		$	7,237,996		$	3,433,278
Shares outstanding		2,364			64,243			48,229			128,726			216,112
Net asset value per share	$	12.67		$	21.15		$	18.16		$	56.23		$	15.89
Class 2:
Net assets (total: $63,994,515)	$	217,869		$	3,586,829		$	2,493,933		$	16,716,081		$	5,179,674
Shares outstanding		17,286			170,741			139,470			299,817			327,374
Net asset value per share	$	12.60		$	21.01		$	17.88		$	55.75		$	15.82
Class 3:
Net assets (total: $492,682)		—			—			—		$	188,262		$	42,026
Shares outstanding		—			—			—			3,347			2,644
Net asset value per share		—			—			—		$	56.25		$	15.89

See end of Statements of Assets & Liabilities for footnote.

See Notes to Financial Statements

American Funds Insurance Series

unaudited

(dollars and shares in thousands, except per-share amounts)


New World Fund			Blue Chip Income and Growth Fund			Global Growth and Income Fund			Growth- Income Fund			International Growth and Income Fund			Asset Allocation Fund			Global Balanced Fund			Bond Fund		Global Bond Fund


$	2,238,644		$	4,707,415		$	1,952,761		$	23,247,067		$	250,059		$	12,130,620		$	133,659		$	10,421,170	$	2,499,468
	—			—			6,955			199,417			—			—			—			—		—
	2,368			—			608			87			164			—			7			—		—
	207			53			249			64			94			4,830			118			2,276		98
	—			—			—			—			—			—			3			281		238

	1,481			—			11,544			23,812			416			123,230			2,592			928,804		67,994
	15,355			37,728			150			5,594			17,990			6,873			87			5,002		1,352
	5			—			—			—			—			—			—	*		21		139
	10,843			8,934			7,313			40,481			1,242			42,644			659			64,503		24,424
	118			—			—			—			—			—			—			—		—

	2,269,021			4,754,130			1,979,580			23,516,522			269,965			12,308,197			137,125			11,422,057		2,593,713


	35			—			—			—			—			—			14			598		2,329

	3,492			64,575			3,126			30,703			—			466,835			6,465			2,339,436		208,099
	1,709			5,235			2,167			20,136			70			39,300			58			10,596		2,810
	76			—			—			—			—			—			5			—		127
	1,318			1,535			943			5,076			137			2,774			68			2,748		1,031
	263			689			361			2,699			42			1,053			20			1,041		342
	18			37			16			187			2			94			1			75		19
	7			15			5			348			—	*		90			—	*		30		4
	572			—			—			—			—			—			—			—		—
	69			1			15			17			4			79			1			8		29

	7,559			72,087			6,633			59,166			255			510,225			6,632			2,354,532		214,790

$	2,261,462		$	4,682,043		$	1,972,947		$	23,457,356		$	269,710		$	11,797,972		$	130,493		$	9,067,525	$	2,378,923


$	1,907,826		$	3,990,889		$	1,745,049		$	18,763,205		$	233,258		$	10,308,425		$	132,026		$	10,066,084	$	2,427,803

	—			—		$	15,879		$	216,107			—			—			—			—		—

$	2,368			—		$	608		$	87		$	164			—		$	7			—		—



$	1,991,357		$	4,495,883		$	2,313,606		$	21,301,447		$	260,207		$	10,267,152		$	128,889		$	8,580,757	$	2,268,026
	6,504			48,364			15,882			200,150			4,131			113,318			1,101			100,971		21,838
	(66,594	)		(578,728	)		(555,309	)		(2,511,367	)		(11,423	)		(404,701	)		(1,116	)		31,107		19,692
	330,195			716,524			198,768			4,467,126			16,795			1,822,203			1,619			354,690		69,367

$	2,261,462		$	4,682,043		$	1,972,947		$	23,457,356		$	269,710		$	11,797,972		$	130,493		$	9,067,525	$	2,378,923




$	939,235		$	1,249,361		$	166,058		$	9,894,960		$	55,648		$	6,577,718		$	29,547		$	3,996,711	$	720,322
	45,639			128,267			17,162			274,840			3,903			378,503			3,021			354,328		59,535
$	20.58		$	9.74		$	9.68		$	36.00		$	14.26		$	17.38		$	9.78		$	11.28	$	12.10

$	1,322,227		$	3,432,682		$	1,806,889		$	13,391,389		$	214,062		$	5,182,523		$	100,946		$	5,070,814	$	1,658,601
	64,798			355,415			187,277			374,519			15,069			300,543			10,343			454,826		137,759
$	20.41		$	9.66		$	9.65		$	35.76		$	14.21		$	17.24		$	9.76		$	11.15	$	12.04

	—			—			—		$	171,007			—		$	37,731			—			—		—
	—			—			—			4,748			—			2,171			—			—		—
	—			—			—		$	36.02			—		$	17.38			—			—		—

American Funds Insurance Series


Statements of assets & liabilities at June 30, 2012	unaudited

(dollars and shares in thousands, except per-share amounts)


	High- Income Bond Fund			Mortgage Fund			U.S. Government/ AAA-Rated Securities Fund		Cash Management Fund

Assets:
Investment securities, at value:
Unaffiliated issuers	$	1,899,835		$	137,965		$	4,864,189	$	554,487
Affiliated issuers		—			—			—		—
Cash denominated in currencies other than U.S. dollars		—			—			—		—
Cash		68			124			137		143
Unrealized appreciation on open forward currency contracts		—			—			—		—
Receivables for:
Sales of investments		4,342			4,738			175,234		—
Sales of fund’s shares		4,228			445			1,203		7
Closed forward currency contracts		—			—			—		—
Dividends and interest		36,336			289			16,094		—
Other assets		—			—			—		—

		1,944,809			143,561			5,056,857		554,637

Liabilities:
Unrealized depreciation on open forward currency contracts		65			—			—		—
Payables for:
Purchases of investments		3,553			27,410			1,199,541		—
Repurchases of fund’s shares		3,236			39			4,647		3,375
Closed forward currency contracts		—			—			—		—
Investment advisory services		726			39			1,042		145
Distribution services		224			8			422		99
Administrative services		16			1			32		4
Trustees’ deferred compensation		34			—	*		32		15
Non-U.S. taxes		—			—			—		—
Other		117			—	*		1		—	*

		7,971			27,497			1,205,717		3,638

Net assets at June 30, 2012 (total: $103,833,825)	$	1,936,838		$	116,064		$	3,851,140	$	550,999

Investment securities, at cost:
Unaffiliated issuers	$	1,900,118		$	136,695		$	4,754,256	$	554,477

Affiliated issuers		—			—			—		—

Cash denominated in currencies other than U.S. dollars, at cost		—			—			—		—


Net assets consist of:
Capital paid in on shares of beneficial interest	$	2,005,910		$	113,700		$	3,662,557	$	552,295
Undistributed (distributions in excess of) net investment income		66,938			16			14,483		(1,306	)
(Accumulated) undistributed net realized (loss) gain		(135,660	)		1,078			64,167		—
Net unrealized (depreciation) appreciation		(350	)		1,270			109,933		10

Net assets at June 30, 2012	$	1,936,838		$	116,064		$	3,851,140	$	550,999

Shares of beneficial interest issued and outstanding (no stated par value) — unlimited shares authorized:
Class 1:
Net assets (total: $39,346,628)	$	827,207		$	78,111		$	1,809,873	$	66,198
Shares outstanding		74,922			7,416			141,456		5,832
Net asset value per share	$	11.04		$	10.53		$	12.79	$	11.35
Class 2:
Net assets (total: $63,994,515)	$	1,089,887		$	37,953		$	2,019,886	$	472,270
Shares outstanding		99,896			3,611			159,471		42,177
Net asset value per share	$	10.91		$	10.51		$	12.67	$	11.20
Class 3:
Net assets (total: $492,682)	$	19,744			—		$	21,381	$	12,531
Shares outstanding		1,786			—			1,671		1,111
Net asset value per share	$	11.06			—		$	12.80	$	11.28


*Amount less than one thousand.

See Notes to Financial Statements

American Funds Insurance Series


Statements of operations for the six months ended June 30, 2012	unaudited

	(dollars in thousands)


	Global Discovery Fund			Global Growth Fund			Global Small Capitalization Fund			Growth Fund		International Fund

Investment income:
Income (net of non-U.S. taxes)^1,2:
Dividends	$	1,644		$	58,470		$	19,866		$	140,190	$	144,400
Interest		109			158			2,008			1,351		1,077

		1,753			58,628			21,874			141,541		145,477

Fees and expenses³:
Investment advisory services		709			13,343			12,296			41,146		22,103
Distribution services — Class 2		268			4,604			3,253			21,857		6,743
Distribution services — Class 3		—			—			—			178		40
Transfer agent services		—	⁴		—	⁴		—	⁴		1		—	⁴
Administrative services		12			252			174			1,274		447
Reports to shareholders		2			128			89			824		236
Registration statement and prospectus		—	⁴		12			13			89		31
Trustees’ compensation		1			27			18			143		52
Auditing and legal		6			7			34			13		11
Custodian		14			276			335			431		1,158
State and local taxes		3			58			49			174		90
Other		1			8			5			38		17

Total fees and expenses		1,016			18,715			16,266			66,168		30,928

Net investment income		737			39,913			5,608			75,373		114,549

Net realized gain (loss) and unrealized appreciation on investments, forward currency contracts and currency:
Net realized gain (loss) on:
Investments²		861			126,209			64,723			598,610		(81,662	)
Forward currency contracts		—			—			(83	)		—		2,995
Currency transactions		1			(555	)		(494	)		118		(1,214	)

		862			125,654			64,146			598,728		(79,881	)

Net unrealized appreciation (depreciation) on:
Investments		24,956			269,369			138,943			1,364,423		359,294
Forward currency contracts		—			—			72			—		(368	)
Currency translations		—			114			441			19		(136	)

		24,956			269,483			139,456			1,364,442		358,790

Net realized gain (loss) and unrealized appreciation on investments, forward currency contracts and currency		25,818			395,137			203,602			1,963,170		278,909

Net increase in net assets resulting from operations	$	26,555		$	435,050		$	209,210		$	2,038,543	$	393,458

See end of Statements of Operations for footnotes.

See Notes to Financial Statements

American Funds Insurance Series

Statements of operations for the six months ended June 30, 2012


	New World Fund			Blue Chip Income and Growth Fund			Global Growth and Income Fund			Growth- Income Fund			International Growth and Income Fund

Investment income:
Income (net of non-U.S. taxes)^1,2:
Dividends	$	23,340		$	62,896		$	32,443		$	247,811		$	5,449
Interest		7,706			201			1,780			4,885			290

		31,046			63,097			34,223			252,696			5,739

Fees and expenses³:
Investment advisory services		8,445			9,504			6,001			32,053			855
Distribution services — Class 2		1,735			4,344			2,317			17,033			263
Distribution services — Class 3		—			—			—			158			—
Transfer agent services		—	⁴		—	⁴		—	⁴		1			—	⁴
Administrative services		115			231			101			1,190			12
Reports to shareholders		56			81			32			784			2
Registration statement and prospectus		12			21			4			80			6
Trustees’ compensation		12			24			11			136			1
Auditing and legal		15			2			7			12			2
Custodian		386			5			93			120			32
State and local taxes		33			34			24			135			3
Other		4			6			4			35			1

Total fees and expenses		10,813			14,252			8,594			51,737			1,177

Net investment income (loss)		20,233			48,845			25,629			200,959			4,562

Net realized (loss) gain and unrealized appreciation (depreciation) on investments, forward currency contracts and currency:
Net realized (loss) gain on:
Investments²		(3,918	)		114,379			25,479			865,309			(5	)
Forward currency contracts		373			—			—			—			—
Currency transactions		(523	)		(2	)		(229	)		(215	)		(15	)

		(4,068	)		114,377			25,250			865,094			(20	)

Net unrealized appreciation (depreciation) on:
Investments		88,953			207,948			61,700			871,075			10,220
Forward currency contracts		(71	)		—			—			—			—
Currency translations		71			(2	)		(14	)		(617	)		4

		88,953			207,946			61,686			870,458			10,224

Net realized (loss) gain and unrealized appreciation (depreciation) on investments, forward currency contracts and currency		84,885			322,323			86,936			1,735,552			10,204

Net increase (decrease) in net assets resulting from operations	$	105,118		$	371,168		$	112,565		$	1,936,511		$	14,766


¹	Additional information related to non-U.S. taxes is included in the Notes to Financial Statements.
²	Additional information related to affiliated transactions is included in the Notes to Financial Statements.
³	Additional information related to class-specific fees and expenses is included in the Notes to Financial Statements.
⁴	Amount less than one thousand.

See Notes to Financial Statements

American Funds Insurance Series

unaudited

(dollars in thousands)


Asset Allocation Fund			Global Balanced Fund			Bond Fund			Global Bond Fund			High- Income Bond Fund			Mortgage Fund			U.S. Government/ AAA-Rated Securities Fund			Cash Management Fund


$	84,657		$	1,254		$	48		$	19		$	420		$	—		$	—		$	—
	54,871			474			128,432			35,929			76,602			270			23,871			274

	139,528			1,728			128,480			35,948			77,022			270			23,871			274


	17,164			392			16,947			6,232			4,462			201			6,290			902
	6,642			112			6,300			2,105			1,368			38			2,523			606
	35			—			—			—			19			—			19			10
	—	⁴		—	⁴		—	⁴		—	⁴		—	⁴		—	⁴		—	⁴		—	⁴
	587			6			462			118			96			5			192			28
	370			1			237			38			32			1			57			9
	51			13			32			52			10			9			32			1
	63			1			51			12			11			—	⁴		21			4
	4			2			3			1			1			—	⁴		1			—	⁴
	135			12			50			177			6			—	⁴		6			1
	68			—	⁴		70			21			17			—	⁴		23			4
	18			—	⁴		15			5			4			—	⁴		6			1

	25,137			539			24,167			8,761			6,026			254			9,170			1,566

	114,391			1,189			104,313			27,187			70,996			16			14,701			(1,292	)



	262,292			(924	)		130,052			10,844			5,741			1,090			65,908			—
	—			103			4,177			11,816			616			—			—			—
	727			(35	)		(1,036	)		(1,992	)		(43	)		—			—			—

	263,019			(856	)		133,193			20,668			6,314			1,090			65,908			—


	504,465			4,368			45,102			24,521			38,117			616			(23,451	)		3
	—			(85	)		(1,705	)		(6,998	)		(514	)		—			—			—
	20			(3	)		177			860			30			—			—			—

	504,485			4,280			43,574			18,383			37,633			616			(23,451	)		3


	767,504			3,424			176,767			39,051			43,947			1,706			42,457			3

$	881,895		$	4,613		$	281,080		$	66,238		$	114,943		$	1,722		$	57,158		$	(1,289	)

American Funds Insurance Series

Statements of changes in net assets




	Global Discovery Fund						Global Growth Fund						Global Small Capitalization Fund

	Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Year ended December 31, 2011

Operations:
Net investment income	$	737		$	897		$	39,913		$	63,168		$	5,608		$	5,940
Net realized gain (loss) on investments, forward currency contracts and currency transactions		862			2,342			125,654			169,353			64,146			118,284
Net unrealized appreciation (depreciation) on investments, forward currency contracts and currency translations		24,956			(21,570	)		269,483			(691,852	)		139,456			(872,616	)

Net increase (decrease) in net assets resulting from operations		26,555			(18,331	)		435,050			(459,331	)		209,210			(748,392	)

Dividends and distributions paid to shareholders:
Dividends from net investment income:
Class 1		(26	)		(191	)		(767	)		(21,349	)		(11,199	)		(13,077	)
Class 2		(190	)		(882	)		(514	)		(51,249	)		(31,057	)		(38,284	)
Class 3		—			—			—			—			—			—

Total dividends from net investment income		(216	)		(1,073	)		(1,281	)		(72,598	)		(42,256	)		(51,361	)

Distributions from net realized gain on investments:
Short-term net realized gains:
Class 1		—			—			—			—			—			—
Class 2		—			—			—			—			—			—
Class 3		—			—			—			—			—			—
Long-term net realized gains:
Class 1		—			—			—			—			—			—
Class 2		—			—			—			—			—			—
Class 3		—			—			—			—			—			—

Total distributions from net realized gain on investments		—			—			—			—			—			—

Total dividends and distributions paid to shareholders		(216	)		(1,073	)		(1,281	)		(72,598	)		(42,256	)		(51,361	)

Capital share transactions:
Class 1:
Proceeds from initial capitalization		—			—			—			—			—			—
Proceeds from shares sold		1,271			4,509			63,500			292,157			85,122			260,759
Proceeds from reinvestment of dividends and distributions		26			191			767			21,349			11,199			13,077
Cost of shares repurchased		(1,715	)		(5,708	)		(99,505	)		(126,381	)		(54,153	)		(112,847	)

Net (decrease) increase from Class 1 transactions		(418	)		(1,008	)		(35,238	)		187,125			42,168			160,989

Class 2:
Proceeds from initial capitalization		—			—			—			—			—			—
Proceeds from shares sold		7,327			31,034			31,282			126,562			56,194			190,502
Proceeds from reinvestment of dividends and distributions		190			882			514			51,249			31,057			38,284
Cost of shares repurchased		(15,082	)		(29,592	)		(297,362	)		(555,330	)		(171,215	)		(352,259	)

Net (decrease) increase from Class 2 transactions		(7,565	)		2,324			(265,566	)		(377,519	)		(83,964	)		(123,473	)

Class 3:
Proceeds from shares sold		—			—			—			—			—			—
Proceeds from reinvestment of dividends and distributions		—			—			—			—			—			—
Cost of shares repurchased		—			—			—			—			—			—

Net decrease from Class 3 transactions		—			—			—			—			—			—

Net (decrease) increase in net assets resulting from capital share transactions		(7,983	)		1,316			(300,804	)		(190,394	)		(41,796	)		37,516

Total increase (decrease) in net assets		18,356			(18,088	)		132,965			(722,323	)		125,158			(762,237	)
Net assets:
Beginning of period		229,472			247,560			4,812,397			5,534,720			3,244,688			4,006,925

End of period	$	247,828		$	229,472		$	4,945,362		$	4,812,397		$	3,369,846		$	3,244,688

Undistributed (distributions in excess of) net investment income	$	725		$	204		$	29,404		$	(9,228	)	$	(41,178	)	$	(4,530	)

Shares of beneficial interest:
Class 1:
Shares issued from initial capitalization		—			—			—			—			—			—
Shares sold		101			360			3,011			13,872			4,531			13,074
Shares issued on reinvestment of dividends and distributions		2			17			36			1,111			616			656
Shares repurchased		(141	)		(475	)		(4,666	)		(5,879	)		(2,899	)		(5,493	)

Net (decrease) increase in shares outstanding		(38	)		(98	)		(1,619	)		9,104			2,248			8,237

Class 2:
Shares issued from initial capitalization		—			—			—			—			—			—
Shares sold		598			2,518			1,510			6,147			3,060			9,954
Shares issued on reinvestment of dividends and distributions		15			78			25			2,670			1,736			1,881
Shares repurchased		(1,224	)		(2,441	)		(14,087	)		(26,120	)		(9,137	)		(17,409	)

Net (decrease) increase in shares outstanding		(611	)		155			(12,552	)		(17,303	)		(4,341	)		(5,574	)

Class 3:
Shares sold		—			—			—			—			—			—
Shares issued on reinvestment of dividends and distributions		—			—			—			—			—			—
Shares repurchased		—			—			—			—			—			—

Net decrease in shares outstanding		—			—			—			—			—			—

See end of Statements of Changes in Net Assets for footnotes.

See Notes to Financial Statements

American Funds Insurance Series

(dollars and shares in thousands)



Growth Fund						International Fund						New World Fund						Blue Chip Income and Growth Fund						Global Growth and Income Fund

Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Year ended December 31, 2011


$	75,373		$	170,225		$	114,549		$	182,485		$	20,233		$	34,813		$	48,845		$	82,473		$	25,629		$	57,228

	598,728			1,310,098			(79,881	)		68,099			(4,068	)		59,342			114,377			47,848			25,250			64,461

	1,364,442			(2,508,429	)		358,790			(1,610,909	)		88,953			(441,321	)		207,946			(171,752	)		61,686			(227,677	)

	2,038,543			(1,028,106	)		393,458			(1,360,325	)		105,118			(347,166	)		371,168			(41,431	)		112,565			(105,988	)


	(22,410	)		(69,488	)		(3,235	)		(74,656	)		(938	)		(17,417	)		(4,432	)		(19,601	)		(1,011	)		(4,976	)
	(45,356	)		(112,195	)		(2,625	)		(104,617	)		(782	)		(26,091	)		(11,378	)		(60,348	)		(10,325	)		(52,341	)
	(526	)		(1,419	)		(27	)		(910	)		—			—			—			—			—			—

	(68,292	)		(183,102	)		(5,887	)		(180,183	)		(1,720	)		(43,508	)		(15,810	)		(79,949	)		(11,336	)		(57,317	)


	—			—			—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—			—			—

	—			—			—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—			—			—

	—			—			—			—			—			—			—			—			—			—

	(68,292	)		(183,102	)		(5,887	)		(180,183	)		(1,720	)		(43,508	)		(15,810	)		(79,949	)		(11,336	)		(57,317	)


	—			—			—			—			—			—			—			—			—			—
	163,832			1,455,614			172,026			733,782			113,537			282,080			231,341			457,400			9,657			24,368
	22,410			69,488			3,235			74,656			938			17,417			4,432			19,601			1,011			4,976
	(986,795	)		(1,739,435	)		(204,482	)		(401,623	)		(38,690	)		(108,841	)		(61,488	)		(129,524	)		(14,096	)		(25,399	)

	(800,553	)		(214,333	)		(29,221	)		406,815			75,785			190,656			174,285			347,477			(3,428	)		3,945


	—			—			—			—			—			—			—			—			—			—
	107,563			377,625			130,678			261,585			28,594			77,973			33,159			87,090			19,303			75,640
	45,356			112,195			2,625			104,617			782			26,091			11,378			60,348			10,325			52,341
	(1,480,533	)		(2,853,936	)		(400,236	)		(822,667	)		(123,093	)		(241,474	)		(224,206	)		(392,846	)		(154,473	)		(269,548	)

	(1,327,614	)		(2,364,116	)		(266,933	)		(456,465	)		(93,717	)		(137,410	)		(179,669	)		(245,408	)		(124,845	)		(141,567	)


	363			3,187			256			600			—			—			—			—			—			—
	526			1,419			27			910			—			—			—			—			—			—
	(16,627	)		(37,540	)		(3,730	)		(10,300	)		—			—			—			—			—			—

	(15,738	)		(32,934	)		(3,447	)		(8,790	)		—			—			—			—			—			—


	(2,143,905	)		(2,611,383	)		(299,601	)		(58,440	)		(17,932	)		53,246			(5,384	)		102,069			(128,273	)		(137,622	)

	(173,654	)		(3,822,591	)		87,970			(1,598,948	)		85,466			(337,428	)		349,974			(19,311	)		(27,044	)		(300,927	)

	24,315,993			28,138,584			8,567,008			10,165,956			2,175,996			2,513,424			4,332,069			4,351,380			1,999,991			2,300,918

$	24,142,339		$	24,315,993		$	8,654,978		$	8,567,008		$	2,261,462		$	2,175,996		$	4,682,043		$	4,332,069		$	1,972,947		$	1,999,991

$	48,330		$	41,249		$	80,565		$	(28,097	)	$	6,504		$	(12,009	)	$	48,364		$	15,329		$	15,882		$	1,589



	—			—			—			—			—			—			—			—			—			—
	2,896			26,314			10,650			42,357			5,425			12,763			23,926			49,552			1,000			2,466
	397			1,339			205			4,942			46			874			455			2,244			105			547
	(17,179	)		(31,294	)		(12,550	)		(22,899	)		(1,842	)		(4,907	)		(6,386	)		(14,425	)		(1,462	)		(2,639	)

	(13,886	)		(3,641	)		(1,695	)		24,400			3,629			8,730			17,995			37,371			(357	)		374


	—			—			—			—			—			—			—			—			—			—
	1,904			6,924			8,173			15,757			1,394			3,627			3,520			9,574			2,014			7,766
	811			2,158			167			6,932			38			1,308			1,178			6,956			1,080			5,765
	(26,082	)		(51,994	)		(24,499	)		(47,098	)		(5,881	)		(10,997	)		(23,367	)		(42,812	)		(15,998	)		(27,720	)

	(23,367	)		(42,912	)		(16,159	)		(24,409	)		(4,449	)		(6,062	)		(18,669	)		(26,282	)		(12,904	)		(14,189	)


	6			58			16			33			—			—			—			—			—			—
	10			27			2			60			—			—			—			—			—			—
	(289	)		(689	)		(228	)		(602	)		—			—			—			—			—			—

	(273	)		(604	)		(210	)		(509	)		—			—			—			—			—			—

American Funds Insurance Series

Statements of changes in net assets



	Growth-Income Fund						International Growth and Income Fund						Asset Allocation Fund

	Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Year ended December 31, 2011

Operations:
Net investment income (loss)	$	200,959		$	391,142		$	4,562		$	6,769		$	114,391		$	236,655
Net realized gain (loss) on investments, forward currency contracts and currency transactions		865,094			778,600			(20	)		(11,416	)		263,019			445,247
Net unrealized appreciation (depreciation) on investments, forward currency contracts and currency translations		870,458			(1,540,187	)		10,224			(16,749	)		504,485			(525,185	)

Net increase (decrease) in net assets resulting from operations		1,936,511			(370,445	)		14,766			(21,396	)		881,895			156,717

Dividends and distributions paid to shareholders:
Dividends from net investment income:
Class 1		(34,245	)		(177,601	)		—			(1,102	)		(31,930	)		(126,587	)
Class 2		(41,265	)		(216,185	)		—			(5,850	)		(23,591	)		(100,376	)
Class 3		(542	)		(2,942	)		—			—			(174	)		(755	)

Total dividends from net investment income		(76,052	)		(396,728	)		—			(6,952	)		(55,695	)		(227,718	)

Distributions from net realized gain on investments:
Short-term net realized gains:
Class 1		—			—			—			(56	)		—			—
Class 2		—			—			—			(302	)		—			—
Class 3		—			—			—			—			—			—
Long-term net realized gains:
Class 1		—			—			—			(204	)		—			—
Class 2		—			—			—			(1,104	)		—			—
Class 3		—			—			—			—			—			—

Total distributions from net realized gain on investments		—			—			—			(1,666	)		—			—

Total dividends and distributions paid to shareholders		(76,052	)		(396,728	)		—			(8,618	)		(55,695	)		(227,718	)

Capital share transactions:
Class 1:
Proceeds from initial capitalization		—			—			—			—			—			—
Proceeds from shares sold		367,628			2,301,709			21,735			11,112			376,209			990,218
Proceeds from reinvestment of dividends and distributions		34,245			177,601			—			1,362			31,930			126,587
Cost of shares repurchased		(780,987	)		(2,024,087	)		(2,689	)		(5,348	)		(207,196	)		(372,456	)

Net (decrease) increase from Class 1 transactions		(379,114	)		455,223			19,046			7,126			200,943			744,349

Class 2:
Proceeds from initial capitalization		—			—			—			—			—			—
Proceeds from shares sold		89,398			225,436			12,580			47,484			49,514			161,946
Proceeds from reinvestment of dividends and distributions		41,265			216,185			(10,260	)		7,256			23,591			100,376
Cost of shares repurchased		(1,042,471	)		(3,443,264	)		—			(10,317	)		(420,668	)		(776,979	)

Net (decrease) increase from Class 2 transactions		(911,808	)		(3,001,643	)		2,320			44,423			(347,563	)		(514,657	)

Class 3:
Proceeds from shares sold		143			611			—			—			698			1,486
Proceeds from reinvestment of dividends and distributions		542			2,942			—			—			174			755
Cost of shares repurchased		(15,889	)		(33,765	)		—			—			(3,118	)		(8,524	)

Net decrease from Class 3 transactions		(15,204	)		(30,212	)		—			—			(2,246	)		(6,283	)

Net (decrease) increase in net assets resulting from capital share transactions		(1,306,126	)		(2,576,632	)		21,366			51,549			(148,866	)		223,409

Total increase (decrease) in net assets		554,333			(3,343,805	)		36,132			21,535			677,334			152,408
Net assets:
Beginning of period		22,903,023			26,246,828			233,578			212,043			11,120,638			10,968,230

End of period	$	23,457,356		$	22,903,023		$	269,710		$	233,578		$	11,797,972		$	11,120,638

Undistributed (distributions in excess of) net investment income	$	200,150		$	75,243		$	4,131		$	(431	)	$	113,318		$	54,622

Shares of beneficial interest:
Class 1:
Shares issued from initial capitalization		—			—			—			—			—			—
Shares sold		10,290			66,580			1,522			733			21,804			59,877
Shares issued on reinvestment of dividends and distributions		956			5,467			—			102			1,846			7,976
Shares repurchased		(21,818	)		(58,504	)		(190	)		(372	)		(11,986	)		(22,565	)

Net (decrease) increase in shares outstanding		(10,572	)		13,543			1,332			463			11,664			45,288

Class 2:
Shares issued from initial capitalization		—			—			—			—			—			—
Shares sold		2,525			6,631			896			3,211			2,911			9,848
Shares issued on reinvestment of dividends and distributions		1,159			6,690			(717	)		546			1,374			6,358
Shares repurchased		(29,366	)		(99,771	)		—			(691	)		(24,489	)		(47,378	)

Net (decrease) increase in shares outstanding		(25,682	)		(86,450	)		179			3,066			(20,204	)		(31,172	)

Class 3:
Shares sold		4			18			—			—			40			89
Shares issued on reinvestment of dividends and distributions		15			90			—			—			10			48
Shares repurchased		(442	)		(985	)		—			—			(180	)		(518	)

Net decrease in shares outstanding		(423	)		(877	)		—			—			(130	)		(381	)

See end of Statements of Changes in Net Assets for footnotes.

See Notes to Financial Statements

American Funds Insurance Series

(dollars and shares in thousands)




Global Balanced Fund						Bond Fund						Global Bond Fund						High-Income Bond Fund						Mortgage Fund

Six months ended June 30, 2012¹			Period ended December 31, 2011²			Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Period ended December 31, 2011²


$	1,189		$	716		$	104,313		$	277,991		$	27,187		$	59,362		$	70,996		$	147,342		$	16		$	(8	)
	(856	)		(431	)		133,193			226,664			20,668			36,590			6,314			57,433			1,090			1,055
	4,280			(2,661	)		43,574			111,166			18,383			(7,482	)		37,633			(165,107	)		616			654

	4,613			(2,376	)		281,080			615,821			66,238			88,470			114,943			39,668			1,722			1,701


	(15	)		(180	)		(20,717	)		(144,664	)		(6,273	)		(17,761	)		(11,360	)		(62,902	)		—			(62	)
	(52	)		(386	)		(24,060	)		(149,774	)		(14,071	)		(45,443	)		(14,846	)		(83,842	)		—			(8	)
	—			—			—			—			—			—			(265	)		(1,593	)		—			—

	(67	)		(566	)		(44,777	)		(294,438	)		(20,344	)		(63,204	)		(26,471	)		(148,337	)		—			(70	)


	—			—			—			—			(3,020	)		(196	)		—			—			(203	)		(493	)
	—			—			—			—			(7,104	)		(676	)		—			—			(99	)		(194	)
	—			—			—			—			—			—			—			—			—			—

	—			—			—			—			(3,369	)		(2,360	)		—			—			—			—
	—			—			—			—			(7,923	)		(8,107	)		—			—			—			—
	—			—			—			—			—			—			—			—			—			—

	—			—			—			—			(21,416	)		(11,339	)		—			—			(302	)		(687	)

	(67	)		(566	)		(44,777	)		(294,438	)		(41,760	)		(74,543	)		(26,471	)		(148,337	)		(302	)		(757	)


	—			29,990			—			—			—			—			—			—			—			9,990
	12			—			301,163			909,847			124,693			349,922			42,278			101,737			25,171			43,900
	15			180			20,717			144,664			12,662			20,317			11,360			62,902			203			555
	—	³		—			(789,245	)		(1,637,395	)		(42,028	)		(74,136	)		(51,280	)		(100,355	)		(3,083	)		(453	)

	27			30,170			(467,365	)		(582,884	)		95,327			296,103			2,358			64,284			22,291			53,992


	—			10			—			—			—			—			—			—			—			10
	30,423			74,155			184,063			290,995			101,518			264,743			40,548			125,080			16,608			22,509
	52			386			24,060			149,774			29,098			54,226			14,846			83,842			99			202
	(4,345	)		(1,989	)		(247,709	)		(683,249	)		(129,120	)		(193,151	)		(79,419	)		(224,964	)		(909	)		(1,102	)

	26,130			72,562			(39,586	)		(242,480	)		1,496			125,818			(24,025	)		(16,042	)		15,798			21,619


	—			—			—			—			—			—			2,126			4,922			—			—
	—			—			—			—			—			—			265			1,593			—			—
	—			—			—			—			—			—			(4,111	)		(8,071	)		—			—

	—			—			—			—			—			—			(1,720	)		(1,556	)		—			—


	26,157			102,732			(506,951	)		(825,364	)		96,823			421,921			(23,387	)		46,686			38,089			75,611

	30,703			99,790			(270,648	)		(503,981	)		121,301			435,848			65,085			(61,983	)		39,509			76,555

	99,790			—			9,338,173			9,842,154			2,257,622			1,821,774			1,871,753			1,933,736			76,555			—

$	130,493		$	99,790		$	9,067,525		$	9,338,173		$	2,378,923		$	2,257,622		$	1,936,838		$	1,871,753		$	116,064		$	76,555

$	1,101		$	(21	)	$	100,971		$	41,435		$	21,838		$	14,995		$	66,938		$	22,413		$	16		$	—	³



	—			2,999			—			—			—			—			—			—			—			999
	1			—			26,938			83,574			10,207			28,575			3,829			8,888			2,403			4,279
	1			20			1,840			13,182			1,046			1,696			1,037			5,926			19			53
	—	³		—			(70,563	)		(147,575	)		(3,449	)		(6,021	)		(4,636	)		(8,824	)		(293	)		(44	)

	2			3,019			(41,785	)		(50,819	)		7,804			24,250			230			5,990			2,129			5,287


	—			1			—			—			—			—			—			—			—			1
	3,138			7,826			16,674			26,930			8,331			21,848			3,715			11,138			1,590			2,185
	5			42			2,162			13,786			2,417			4,539			1,373			7,981			9			20
	(454	)		(215	)		(22,361	)		(63,002	)		(10,637	)		(15,857	)		(7,273	)		(20,022	)		(87	)		(107	)

	2,689			7,654			(3,525	)		(22,286	)		111			10,530			(2,185	)		(903	)		1,512			2,099


	—			—			—			—			—			—			194			437			—			—
	—			—			—			—			—			—			24			150			—			—
	—			—			—			—			—			—			(372	)		(708	)		—			—

	—			—			—			—			—			—			(154	)		(121	)		—			—

American Funds Insurance Series


	(dollars and shares in thousands)
Statements of changes in net assets



	U.S. Government/ AAA-Rated Securities Fund						Cash Management Fund

	Six months ended June 30, 2012¹			Year ended December 31, 2011			Six months ended June 30, 2012¹			Year ended December 31, 2011

Operations:
Net investment income (loss)	$	14,701		$	63,410		$	(1,292	)	$	(2,667	)
Net realized gain on investments, forward currency contracts and currency transactions		65,908			116,429			—			—
Net unrealized (depreciation) appreciation on investments, forward currency contracts and currency translations		(23,451	)		101,161			3			(6	)

Net increase (decrease) in net assets resulting from operations		57,158			281,000			(1,289	)		(2,673	)

Dividends and distributions paid to shareholders:
Dividends from net investment income:
Class 1		(4,798	)		(35,338	)		—			—
Class 2		(4,694	)		(35,137	)		—			—
Class 3		(50	)		(425	)		—			—

Total dividends from net investment income		(9,542	)		(70,900	)		—			—

Distributions from net realized gain on investments:
Short-term net realized gains:
Class 1		(23,306	)		(26,153	)		—			—
Class 2		(26,597	)		(29,522	)		—			—
Class 3		(277	)		(336	)		—			—
Long-term net realized gains:
Class 1		(27,829	)		(15,498	)		—			—
Class 2		(31,761	)		(17,494	)		—			—
Class 3		(330	)		(200	)		—			—

Total distributions from net realized gain on investments		(110,100	)		(89,203	)		—			—

Total dividends and distributions paid to shareholders		(119,642	)		(160,103	)		—			—

Capital share transactions:
Class 1:
Proceeds from initial capitalization		—			—			—			—
Proceeds from shares sold		91,629			396,185			14,349			39,488
Proceeds from reinvestment of dividends and distributions		55,933			76,989			—			—
Cost of shares repurchased		(94,190	)		(238,468	)		(23,032	)		(47,462	)

Net increase (decrease) from Class 1 transactions		53,372			234,706			(8,683	)		(7,974	)

Class 2:
Proceeds from initial capitalization		—			—			—			—
Proceeds from shares sold		88,592			149,648			69,759			325,889
Proceeds from reinvestment of dividends and distributions		63,052			82,153			—			—
Cost of shares repurchased		(99,992	)		(250,644	)		(126,307	)		(315,311	)

Net increase (decrease) from Class 2 transactions		51,652			(18,843	)		(56,548	)		10,578

Class 3:
Proceeds from shares sold		806			4,249			5,143			11,928
Proceeds from reinvestment of dividends and distributions		657			961			—			—
Cost of shares repurchased		(3,548	)		(8,204	)		(4,481	)		(13,416	)

Net (decrease) increase from Class 3 transactions		(2,085	)		(2,994	)		662			(1,488	)

Net increase (decrease) in net assets resulting from capital share transactions		102,939			212,869			(64,569	)		1,116

Total increase (decrease) in net assets		40,455			333,766			(65,858	)		(1,557	)
Net assets:
Beginning of period		3,810,685			3,476,919			616,857			618,414

End of period	$	3,851,140		$	3,810,685		$	550,999		$	616,857

Undistributed (distributions in excess of) net investment income	$	14,483		$	9,324		$	(1,306	)	$	(14	)

Shares of beneficial interest:
Class 1:
Shares issued from initial capitalization		—			—			—			—
Shares sold		7,021			31,215			1,264			3,470
Shares issued on reinvestment of dividends and distributions		4,373			6,037			—			—
Shares repurchased		(7,188	)		(18,490	)		(2,028	)		(4,170	)

Net increase (decrease) in shares outstanding		4,206			18,762			(764	)		(700	)

Class 2:
Shares issued from initial capitalization		—			—			—			—
Shares sold		6,865			11,792			6,224			28,960
Shares issued on reinvestment of dividends and distributions		4,980			6,506			—			—
Shares repurchased		(7,757	)		(19,741	)		(11,265	)		(28,025	)

Net increase (decrease) in shares outstanding		4,088			(1,443	)		(5,041	)		935

Class 3:
Shares sold		61			330			456			1,053
Shares issued on reinvestment of dividends and distributions		52			75			—			—
Shares repurchased		(272	)		(642	)		(397	)		(1,185	)

Net (decrease) increase in shares outstanding		(159	)		(237	)		59			(132	)


¹	Unaudited.
²	For the period May 2, 2011, commencement of operations, through December 31, 2011.
³	Amount less than one thousand.

See Notes to Financial Statements

American Funds Insurance Series


Notes to financial statements	unaudited

1. Organization

American Funds Insurance Series (the “series”) is registered under the Investment Company Act of 1940 as an open-end, diversified management investment company with 18 different funds (the “funds”). In 2009, shareholders approved a proposal to reorganize the series from a Massachusetts business trust to a Delaware statutory trust. The reorganization may be completed in 2012; however, the series reserves the right to delay the implementation.

The assets of each fund are segregated, with each fund accounted for separately. The funds’ investment objectives and the principal strategies the funds use to achieve these objectives are as follows:

Global Discovery Fund — Seeks long-term growth of capital by investing in securities of companies that can benefit from innovation, exploit new technologies or provide products and services that meet the demands of an evolving global economy.

Global Growth Fund — Seeks long-term growth of capital through investments in common stocks of companies located around the world.

Global Small Capitalization Fund — Seeks long-term growth of capital through investments in smaller companies in the U.S. and around the world.

Growth Fund — Seeks to invest in a wide range of companies that appear to offer superior opportunities for growth of capital.

International Fund — Seeks long-term growth of capital through investments in common stocks of companies located around the world.

New World Fund — Seeks long-term capital appreciation by investing in common stocks and bonds with significant exposure to countries that have developing economies and/or markets.

Blue Chip Income and Growth Fund — Seeks to produce income exceeding the average yield on U.S. stocks generally and to provide an opportunity for growth of principal consistent with sound common stock investing through investments in quality common stocks.

Global Growth and Income Fund — Seeks long-term growth of capital while providing current income. It invests on a global basis in a diversified portfolio consisting primarily of common stocks and other equity securities.

Growth-Income Fund — Seeks long-term growth of capital and income by investing in common stocks or other securities of companies located in the U.S. and around the world.

International Growth and Income Fund — Seeks to provide long-term growth of capital and current income by investing primarily in the stocks of larger, well-established companies outside the U.S., including countries that have developing economies and/or markets.

Asset Allocation Fund — Seeks high total return (including income and capital gains) consistent with the preservation of capital over the long term by investing primarily in common stocks and fixed-income securities.

Global Balanced Fund — Seeks long-term growth of capital, conservation of principal and current income by investing in equity and debt securities around the world.

Bond Fund — Seeks a high level of current income as is consistent with preservation of capital by investing primarily in bonds.

Global Bond Fund — Seeks a high level of total return consistent with prudent investment management by investing primarily in a global portfolio of investment-grade bonds.

High-Income Bond Fund — Seeks a high level of current income and, secondarily, capital appreciation through a diversified portfolio consisting primarily of lower rated, higher risk corporate bonds.

Mortgage Fund — Seeks to provide current income and preservation of capital by investing primarily in mortgage-related securities.

American Funds Insurance Series

U.S. Government/AAA-Rated Securities Fund — Seeks to provide a high level of current income consistent with preservation of capital by investing primarily in securities guaranteed or sponsored by the U.S. government and the highest quality corporate bonds.

Cash Management Fund — Seeks to provide income on cash reserves while preserving capital and maintaining liquidity.

Each fund in the series offers two or three share classes (Classes 1, 2 and 3). Holders of all share classes have equal pro rata rights to assets, dividends and liquidation proceeds. Each share class has identical voting rights, except for the exclusive right to vote on matters affecting only its class. Share classes have different fees and expenses (“class-specific fees and expenses”), primarily due to different arrangements for certain distribution expenses. Differences in class-specific fees and expenses will result in differences in net investment income and, therefore, the payment of different per-share dividends by each class.

2. Significant accounting policies

The financial statements have been prepared to comply with accounting principles generally accepted in the United States of America. These principles require management to make estimates and assumptions that affect reported amounts and disclosures. Actual results could differ from those estimates. The funds follow the significant accounting policies described below, as well as the valuation policies described in the next section on valuation.

Security transactions and related investment income — Security transactions are recorded by the funds as of the date the trades are executed with brokers. Realized gains and losses from security transactions are determined based on the specific identified cost of the securities. In the event a security is purchased with a delayed payment date, the funds will segregate liquid assets sufficient to meet their payment obligations. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis. Market discounts, premiums and original issue discounts on fixed-income securities are amortized daily over the expected life of the security.

Class allocations — Income, fees and expenses (other than class-specific fees and expenses) and realized and unrealized gains and losses are allocated daily among the various share classes based on their relative net assets. Class-specific fees and expenses, such as distribution expenses, are accrued daily and charged directly to the respective share class.

Dividends and distributions to shareholders — Dividends and distributions paid to shareholders are recorded on the ex-dividend date.

Currency translation — Assets and liabilities, including investment securities, denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates supplied by one or more pricing vendors on the valuation date. Purchases and sales of investment securities and income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. On the accompanying financial statements, the effects of changes in exchange rates on investment securities are included with the net realized gain or loss and net unrealized appreciation or depreciation on investments. The realized gain or loss and unrealized appreciation or depreciation resulting from all other transactions denominated in currencies other than U.S. dollars are disclosed separately.

3. Valuation

Capital Research and Management Company (“CRMC”), the series’ investment adviser, values the funds’ investments at fair value as defined by accounting principles generally accepted in the United States of America. The net asset value of each share class of each fund is generally determined as of approximately 4:00 p.m. New York time each day the New York Stock Exchange is open.

Methods and inputs — The series’ investment adviser uses the following methods and inputs to establish the fair value of each fund’s assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.

Equity securities are generally valued at the official closing price of, or the last reported sale price on, the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the last available bid price. Prices for each security are taken from the principal exchange or market on which the security trades.

Fixed-income securities, including short-term securities purchased with more than 60 days left to maturity, are generally valued at prices obtained from one or more pricing vendors. Vendors value such securities based on one or more of the inputs described in the following table. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed-income

American Funds Insurance Series

securities in which the funds are authorized to invest. However, these classifications are not exclusive and any of the inputs may be used to value any other class of fixed-income security.



Fixed-income class		Examples of standard inputs

All		Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”)

Corporate bonds & notes; convertible securities		Standard inputs and underlying equity of the issuer

Bonds & notes of governments & government agencies		Standard inputs and interest rate volatilities

Mortgage-backed; asset-backed obligations		Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information

Municipal securities		Standard inputs and, for certain distressed securities, cash flows or liquidation values using a net present value calculation based on inputs that include, but are not limited to, financial statements and debt contracts

When the series’ investment adviser deems it appropriate to do so (such as when vendor prices are unavailable or not deemed to be representative), fixed-income securities will be valued in good faith at the mean quoted bid and ask prices that are reasonably and timely available (or bid prices, if ask prices are not available) or at prices for securities of comparable maturity, quality and type.

Securities with both fixed-income and equity characteristics, or equity securities traded principally among fixed-income dealers, are generally valued in the manner described above for either equity or fixed-income securities, depending on which method is deemed most appropriate by the series’ investment adviser. Short-term securities purchased within 60 days to maturity are valued at amortized cost, which approximates fair value. The value of short-term securities originally purchased with maturities greater than 60 days is determined based on an amortized value to par when they reach 60 days. Forward currency contracts are valued at the mean of representative quoted bid and ask prices, generally based on prices supplied by one or more pricing vendors.

Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the series’ investment adviser are fair valued as determined in good faith under fair value guidelines adopted by authority of the series’ board of trustees as further described below. The investment adviser follows fair valuation guidelines, consistent with U.S. Securities and Exchange Commission (“SEC”) rules and guidance, to consider relevant principles and factors when making fair value determinations. The investment adviser considers relevant indications of value that are reasonably and timely available to it in determining the fair value to be assigned to a particular security, such as the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. In addition, the closing prices of equity securities that trade in markets outside U.S. time zones may be adjusted to reflect significant events that occur after the close of local trading but before the net asset value of each share class of each fund is determined. Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.

Processes and structure — The series’ board of trustees has delegated authority to the series’ investment adviser to make fair value determinations, subject to board oversight. The investment adviser has established a Joint Fair Valuation Committee (the “Fair Valuation Committee”) to administer, implement and oversee the fair valuation process, and to make fair value decisions. The Fair Valuation Committee regularly reviews its own fair value decisions, as well as decisions made under its standing instructions to the investment adviser’s valuation teams. The Fair Valuation Committee reviews changes in fair value measurements from period to period and may, as deemed appropriate, update the fair valuation guidelines to better reflect the results of back testing and address new or evolving issues. The Fair Valuation Committee reports any changes to the fair valuation guidelines to the board of trustees with supplemental information to support the changes. The series’ board and audit committee also regularly review reports that describe fair value determinations and methods.

American Funds Insurance Series

The series’ investment adviser has also established a Fixed-Income Pricing Review Group to administer and oversee the fixed-income valuation process, including the use of fixed-income pricing vendors. This group regularly reviews pricing vendor information and market data. Pricing decisions, processes and controls over security valuation are also subject to additional internal reviews, including an annual control self-evaluation program facilitated by the investment adviser’s compliance group.

Classifications — The series’ investment adviser classifies the funds’ assets and liabilities into three levels based on the inputs used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities and quoted prices in inactive markets. Certain securities trading outside the U.S. may transfer between Level 1 and Level 2 due to valuation adjustments resulting from significant market movements following the close of local trading. Level 3 values are based on significant unobservable inputs that reflect the investment adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. For example, U.S. government securities are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market. The following tables present the funds’ valuation levels as of June 30, 2012 (dollars in thousands):



Global Discovery Fund
	Investment securities

	Level 1		Level 2		*	Level 3		Total

Assets:
Common stocks:
Information technology	$	31,728	$	19,535			—	$	51,263
Consumer discretionary		33,122		10,595			—		43,717
Health care		29,099		1,899			—		30,998
Financials		11,623		16,903			—		28,526
Industrials		5,965		8,496			—		14,461
Utilities		—		10,922			—		10,922
Telecommunication services		4,693		2,707			—		7,400
Materials		2,070		1,102			—		3,172
Energy		1,428		—			—		1,428
Miscellaneous		6,022		5,458			—		11,480
Short-term securities		—		43,195			—		43,195

Total	$	125,750	$	120,812			—	$	246,562


*Securities with a market value of $65,954,000, which represented 26.61% of the net assets of the fund, transferred from Level 1 to Level 2 since the prior fiscal year-end, primarily due to significant market movements following the close of local trading.


Global Growth Fund
	Investment securities

	Level 1		Level 2		*	Level 3		Total

Assets:
Common stocks:
Consumer discretionary	$	459,175	$	431,023		$	1,335	$	891,533
Information technology		508,479		188,357			—		696,836
Financials		261,483		418,493			—		679,976
Health care		385,649		246,546			—		632,195
Consumer staples		116,826		415,551			—		532,377
Industrials		216,428		143,947			—		360,375
Energy		199,050		160,985			—		360,035
Materials		157,161		67,280			—		224,441
Telecommunication services		106,041		85,408			—		191,449
Utilities		—		45,599			—		45,599
Miscellaneous		—		10,501			—		10,501
Short-term securities		—		283,152			—		283,152

Total	$	2,410,292	$	2,496,842		$	1,335	$	4,908,469

*Securities with a market value of $2,064,520,000, which represented 41.75% of the net assets of the fund, transferred from Level 1 to Level 2 since the prior fiscal year-end, primarily due to significant market movements following the close of local trading.

American Funds Insurance Series



Global Small Capitalization Fund
	Investment securities

	Level 1		Level 2		*	Level 3		Total

Assets:
Common stocks:
Consumer discretionary	$	264,207	$	414,765		$	60	$	679,032
Industrials		115,610		306,610			—		422,220
Health care		318,290		63,493			—		381,783
Information technology		214,557		157,151			2,728		374,436
Energy		213,128		105,840			—		318,968
Materials		18,513		191,072			1,643		211,228
Financials		91,531		69,920			2,079		163,530
Consumer staples		34,555		76,390			—		110,945
Utilities		3,492		105,030			—		108,522
Telecommunication services		30,536		5,250			—		35,786
Miscellaneous		116,661		46,373			—		163,034
Preferred securities		—		5,851			—		5,851
Rights & warrants		781		113			2		896
Convertible securities		—		1,561			1,348		2,909
Bonds, notes & other debt instruments		—		14,342			—		14,342
Short-term securities		—		322,699			—		322,699

Total	$	1,421,861	$	1,886,460		$	7,860	$	3,316,181


	Other investments^†

	Level 1		Level 2			Level 3		Total

Liabilities:
Unrealized depreciation on open forward currency contracts		—	$	(28	)		—	$	(28	)

*Securities with a market value of $1,141,799,000, which represented 33.88% of the net assets of the fund, transferred from Level 1 to Level 2 since the prior fiscal year-end, primarily due to significant market movements following the close of local trading.
†Forward currency contracts are not included in the investment portfolio.


Growth Fund
	Investment securities

	Level 1		Level 2		*	Level 3		Total

Assets:
Common stocks:
Consumer discretionary	$	3,823,767	$	581,572		$	—	$	4,405,339
Financials		2,828,890		336,768			26,796		3,192,454
Information technology		2,713,846		313,029			—		3,026,875
Energy		2,717,925		48,837			42,720		2,809,482
Health care		2,380,163		278,356			31,273		2,689,792
Industrials		1,630,643		218,552			—		1,849,195
Materials		1,475,395		304,641			—		1,780,036
Consumer staples		737,122		224,689			—		961,811
Telecommunication services		333,549		—			—		333,549
Utilities		6,763		—			27,229		33,992
Miscellaneous		156,888		11,275			—		168,163
Short-term securities		—		2,920,743			—		2,920,743

Total	$	18,804,951	$	5,238,462		$	128,018	$	24,171,431


*Securities with a market value of $1,752,632,000, which represented 7.26% of the net assets of the fund, transferred from Level 1 to Level 2 since the prior fiscal year-end, primarily due to significant market movements following the close of local trading.

American Funds Insurance Series



International Fund
	Investment securities

	Level 1		Level 2		*	Level 3		Total

Assets:
Common stocks:
Health care	$	268,902	$	874,838		$	—	$	1,143,740
Financials		103,871		1,036,528			—		1,140,399
Consumer discretionary		—		1,096,830			6,802		1,103,632
Industrials		163,646		864,662			—		1,028,308
Information technology		151,229		727,499			—		878,728
Consumer staples		—		834,775			—		834,775
Materials		—		539,400			—		539,400
Telecommunication services		72,901		423,145			—		496,046
Energy		17,441		365,731			—		383,172
Utilities		—		232,045			—		232,045
Miscellaneous		34,274		71,265			—		105,539
Bonds, notes & other debt instruments		—		4,526			—		4,526
Short-term securities		—		726,622			—		726,622

Total	$	812,264	$	7,797,866		$	6,802	$	8,616,932


	Other investments^†

	Level 1		Level 2			Level 3		Total

Assets:
Unrealized appreciation on open forward currency contracts		—	$	703			—	$	703
Liabilities:
Unrealized depreciation on open forward currency contracts		—		(1,108	)		—		(1,108	)

Total		—	$	(405	)		—	$	(405	)


*Securities with a market value of $6,020,476,000, which represented 69.56% of the net assets of the fund, transferred from Level 1 to Level 2 since the prior fiscal year-end, primarily due to significant market movements following the close of local trading.
†Forward currency contracts are not included in the investment portfolio.


New World Fund
	Investment securities

	Level 1		Level 2		*	Level 3		Total

Assets:
Common stocks:
Consumer staples	$	98,656	$	258,009		$	—	$	356,665
Consumer discretionary		32,386		252,914			—		285,300
Health care		63,606		153,604			—		217,210
Financials		32,472		161,793			—		194,265
Energy		75,074		102,311			—		177,385
Industrials		42,844		89,302			—		132,146
Information technology		40,103		83,997			—		124,100
Telecommunication services		56,875		59,357			—		116,232
Materials		16,138		75,695			—		91,833
Utilities		—		22,610			—		22,610
Miscellaneous		24,388		80,534			36		104,958
Bonds, notes & other debt instruments		—		256,239			—		256,239
Short-term securities		—		159,701			—		159,701

Total	$	482,542	$	1,756,066		$	36	$	2,238,644


	Other investments^†

	Level 1		Level 2			Level 3		Total

Liabilities:
Unrealized depreciation on open forward currency contracts		—	$	(35	)		—	$	(35	)


*Securities with a market value of $1,132,494,000, which represented 50.08% of the net assets of the fund, transferred from Level 1 to Level 2 since the prior fiscal year-end, primarily due to significant market movements following the close of local trading.
†Forward currency contracts are not included in the investment portfolio.

American Funds Insurance Series



Blue Chip Income and Growth Fund
	Investment securities

	Level 1		Level 2			Level 3		Total

Assets:
Common stocks:
Information technology	$	611,669	$	—			—	$	611,669
Industrials		595,525		—			—		595,525
Energy		571,850		—			—		571,850
Health care		569,952		—			—		569,952
Consumer staples		566,525		—			—		566,525
Telecommunication services		356,106		—			—		356,106
Consumer discretionary		341,244		—			—		341,244
Financials		233,100		—			—		233,100
Materials		159,314		—			—		159,314
Utilities		116,828		—			—		116,828
Miscellaneous		108,379		—			—		108,379
Convertible securities		48,472		—			—		48,472
Short-term securities		—		428,451			—		428,451

Total	$	4,278,964	$	428,451			—	$	4,707,415



Global Growth and Income Fund
	Investment securities

	Level 1		Level 2		*	Level 3		Total

Assets:
Common stocks:
Consumer discretionary	$	251,541	$	45,049		$	—	$	296,590
Financials		152,588		132,504			1,092		286,184
Industrials		106,531		78,935			—		185,466
Consumer staples		70,320		107,388			—		177,708
Information technology		97,996		72,542			—		170,538
Materials		126,012		42,966			—		168,978
Health care		109,274		42,050			—		151,324
Energy		97,576		35,247			—		132,823
Telecommunication services		64,666		65,196			—		129,862
Utilities		4,097		54,505			—		58,602
Miscellaneous		21,945		17,104			—		39,049
Convertible securities		—		11,702			708		12,410
Bonds, notes & other debt instruments		—		26,784			—		26,784
Short-term securities		—		123,398			—		123,398

Total	$	1,102,546	$	855,370		$	1,800	$	1,959,716


*Securities with a market value of $634,693,000, which represented 32.17% of the net assets of the fund, transferred from Level 1 to Level 2 since the prior fiscal year-end, primarily due to significant market movements following the close of local trading.

American Funds Insurance Series



Growth-Income Fund
	Investment securities

	Level 1		Level 2		*	Level 3		Total

Assets:
Common stocks:
Information technology	$	3,455,082	$	234,517			—	$	3,689,599
Consumer discretionary		3,218,338		154,510			—		3,372,848
Health care		2,582,728		49,203			—		2,631,931
Industrials		2,495,464		91,316			—		2,586,780
Energy		1,886,004		251,838			—		2,137,842
Consumer staples		1,685,995		148,581			—		1,834,576
Financials		1,312,367		35,769			—		1,348,136
Materials		996,455		108,884			—		1,105,339
Telecommunication services		1,043,916		—			—		1,043,916
Utilities		231,306		43,603			—		274,909
Miscellaneous		689,701		91,689			—		781,390
Preferred securities		—		16,477			—		16,477
Rights & warrants		1,409		—			—		1,409
Convertible securities		62,499		58,184			—		120,683
Bonds, notes & other debt instruments		—		84,202			—		84,202
Short-term securities		—		2,416,447			—		2,416,447

Total	$	19,661,264	$	3,785,220			—	$	23,446,484


*Securities with a market value of $1,052,240,000, which represented 4.49% of the net assets of the fund, transferred from Level 1 to Level 2 since the prior fiscal year-end, primarily due to significant market movements following the close of local trading.



International Growth and Income Fund
	Investment securities

	Level 1		Level 2		*	Level 3		Total

Assets:
Common stocks:
Consumer staples	$	12,656	$	26,554			—	$	39,210
Consumer discretionary		1,451		26,399			—		27,850
Telecommunication services		2,012		23,278			—		25,290
Utilities		—		22,804			—		22,804
Industrials		2,346		18,323			—		20,669
Financials		2,406		16,543			—		18,949
Health care		3,819		13,827			—		17,646
Energy		—		13,778			—		13,778
Information technology		3,283		10,407			—		13,690
Materials		—		12,860			—		12,860
Miscellaneous		—		1,626			—		1,626
Bonds, notes & other debt instruments		—		10,691			—		10,691
Short-term securities		—		24,996			—		24,996

Total	$	27,973	$	222,086			—	$	250,059


*Securities with a market value of $162,871,000, which represented 60.39% of the net assets of the fund, transferred from Level 1 to Level 2 since the prior fiscal year-end, primarily due to significant market movements following the close of local trading.

American Funds Insurance Series



Asset Allocation Fund
	Investment securities

	Level 1		Level 2		*	Level 3		Total

Assets:
Common stocks:
Financials	$	1,217,982	$	—		$	—	$	1,217,982
Consumer discretionary		1,018,919		186,194			—		1,205,113
Health care		1,193,582		—			—		1,193,582
Information technology		1,033,676		72,095			—		1,105,771
Energy		986,632		67,831			—		1,054,463
Industrials		801,033		—			21		801,054
Materials		563,391		80,320			—		643,711
Consumer staples		528,751		—			—		528,751
Utilities		381,668		—			—		381,668
Telecommunication services		103,414		—			—		103,414
Miscellaneous		428,659		74,358			—		503,017
Rights & warrants		—		1,432			—		1,432
Convertible securities		—		3,289			—		3,289
Bonds, notes & other debt instruments:
Mortgage-backed obligations		—		858,912			—		858,912
Bonds & notes of U.S. government & government agencies		—		775,610			—		775,610
Corporate bonds & notes		—		595,841			—		595,841
Other		—		380,268			—		380,268
Short-term securities		—		776,742			—		776,742

Total	$	8,257,707	$	3,872,892		$	21	$	12,130,620


*Securities with a market value of $334,345,000, which represented 2.83% of the net assets of the fund, transferred from Level 1 to Level 2 since the prior fiscal year-end, primarily due to significant market movements following the close of local trading.


Global Balanced Fund
	Investment securities

	Level 1		Level 2		*	Level 3		Total

Assets:
Common stocks:
Industrials	$	4,112	$	6,361			—	$	10,473
Consumer discretionary		4,531		5,538			—		10,069
Consumer staples		3,349		5,178			—		8,527
Energy		5,976		2,403			—		8,379
Information technology		3,271		4,752			—		8,023
Health care		4,928		2,605			—		7,533
Financials		1,972		4,483			—		6,455
Materials		4,465		1,543			—		6,008
Telecommunication services		2,046		3,189			—		5,235
Utilities		—		1,323			—		1,323
Miscellaneous		—		671			—		671
Preferred securities		—		159			—		159
Convertible securities		—		1,143			—		1,143
Bonds, notes & other debt instruments:
Bonds & notes of governments & government agencies outside the U.S.		—		19,481			—		19,481
Corporate bonds & notes		—		10,022			—		10,022
Mortgage-backed obligations		—		6,892			—		6,892
Bonds & notes of U.S. government		—		6,569			—		6,569
Short-term securities		—		16,697			—		16,697

Total	$	34,650	$	99,009			—	$	133,659


*Securities with a market value of $31,174,000, which represented 23.89% of the net assets of the fund, transferred from Level 1 to Level 2 since the prior fiscal year-end, primarily due to significant market movements following the close of local trading.

American Funds Insurance Series


	Other investments^†

		Level 1		Level 2			Level 3			Total

Assets:
Unrealized appreciation on open forward currency contracts		—	$	3			—		$	3
Liabilities:
Unrealized depreciation on open forward currency contracts		—		(14	)		—			(14	)

Total		—	$	(11	)		—		$	(11	)


†Forward currency contracts are not included in the investment portfolio.


Bond Fund
	Investment securities

		Level 1		Level 2			Level 3			Total

Assets:
Bonds, notes & other debt instruments:
Mortgage-backed obligations	$	—	$	3,587,260		$	—		$	3,587,260
Bonds & notes of U.S. government & government agencies		—		2,189,706			—			2,189,706
Corporate bonds & notes		—		441,683			—			441,683
Bonds & notes of governments & government agencies outside the U.S.		—		360,545			—			360,545
Other		—		2,145,693			—			2,145,693
Preferred securities		—		1,038			—			1,038
Common stocks		4		—			506			510
Short-term securities		—		1,694,735			—			1,694,735

Total	$	4	$	10,420,660		$	506		$	10,421,170


	Other investments*

		Level 1		Level 2			Level 3			Total

Assets:
Unrealized appreciation on open forward currency contracts		—	$	281			—		$	281
Liabilities:
Unrealized depreciation on open forward currency contracts		—		(598	)		—			(598	)

Total		—	$	(317	)		—		$	(317	)


*Forward currency contracts are not included in the investment portfolio.


Global Bond Fund
	Investment securities

		Level 1		Level 2			Level 3			Total

Assets:
Bonds, notes & other debt instruments:
Euros		—	$	337,839			—		$	337,839
Japanese yen		—		319,217			—			319,217
Mexican pesos		—		86,932			—			86,932
South Korean won		—		80,983			—			80,983
Polish zloty		—		77,999			—			77,999
British pounds		—		75,314			—			75,314
Swedish kronor		—		73,369			—			73,369
Canadian dollars		—		40,204			—			40,204
Norwegian kroner		—		32,038			—			32,038
Malaysian ringgits		—		31,884			—			31,884
Other currencies		—		1,104,333			—			1,104,333
Common stocks		—		—			—	*		—	*
Short-term securities		—		239,356			—			239,356

Total		—	$	2,499,468			—	*	$	2,499,468

*Amount less than one thousand.

American Funds Insurance Series


	Other investments^†

		Level 1		Level 2			Level 3		Total

Assets:
Unrealized appreciation on open forward currency contracts		—	$	238			—	$	238
Liabilities:
Unrealized depreciation on open forward currency contracts		—		(2,329	)		—		(2,329	)

Total		—	$	(2,091	)		—	$	(2,091	)


^†Forward currency contracts are not included in the investment portfolio.



High-Income Bond Fund
	Investment securities

		Level 1		Level 2			Level 3		Total

Assets:
Bonds, notes & other debt instruments:
Corporate bonds & notes	$	—	$	1,669,945		$	—	$	1,669,945
Other		—		85,181			—		85,181
Convertible securities		—		2,898			—		2,898
Preferred securities		1,197		8,258			—		9,455
Common stocks		6,063		—			916		6,979
Rights & warrants		—		1,508			—		1,508
Short-term securities		—		123,869			—		123,869

Total	$	7,260	$	1,891,659		$	916	$	1,899,835


	Other investments*

		Level 1		Level 2			Level 3		Total

Liabilities:
Unrealized depreciation on open forward currency contracts		—	$	(65	)		—	$	(65	)

*Forward currency contracts are not included in the investment portfolio.

Mortgage Fund

At June 30, 2012, all of the fund’s investment securities were classified as Level 2.

U.S. Government/AAA-Rated Securities Fund

At June 30, 2012, all of the fund’s investment securities were classified as Level 2.

Cash Management Fund

At June 30, 2012, all of the fund’s investment securities were classified as Level 2.

American Funds Insurance Series

4. Risk factors

Investing in the funds may involve certain risks including, but not limited to, those described below.

Market conditions — The prices of, and the income generated by, the common stocks and other securities held by the funds may decline due to market conditions and other factors, including those directly involving the issuers of securities held by the funds.

Investing in growth-oriented stocks — Growth-oriented stocks may involve larger price swings and greater potential for loss than other types of investments. These risks may be heightened in the case of smaller capitalization stocks.

Investing in income-oriented stocks — Income provided by the funds may be reduced by changes in the dividend policies of, and the capital resources available at, the companies in which the funds invest.

Investing in small companies — Investing in smaller companies may pose additional risks. For example, it is often more difficult to value or dispose of small company stocks and more difficult to obtain information about smaller companies than about larger companies. In addition, the prices of these stocks may be more volatile than stocks of larger, more established companies.

Investing outside the U.S. — Securities of issuers domiciled outside the U.S., or with significant operations outside the U.S., may lose value because of political, social, economic or market developments in the countries or regions in which the issuer operates. These securities may also lose value due to changes in foreign currency exchange rates against the U.S. dollar and/or currencies of other countries. Securities markets in certain countries may be more volatile and/or less liquid than those in the U.S. Investments outside the U.S. may also be subject to different settlement and accounting practices and different regulatory, legal and reporting standards than those in the U.S. The risks of investing outside the U.S. may be heightened in connection with investments in emerging and developing countries.

Investing in emerging and developing countries — Investing in countries with developing economies and/or markets may involve risks in addition to and greater than those generally associated with investing in developed countries. For instance, emerging and developing countries may have less developed legal and accounting systems than those in developed countries. The governments of these countries may be more unstable and more likely to impose capital controls, nationalize a company or industry, place restrictions on foreign ownership and on withdrawing sale proceeds of securities from the country, and/or impose punitive taxes that could adversely affect the prices of securities. In addition, the economies of these countries may be dependent on relatively few industries that are more susceptible to local and global changes. Securities markets in these countries can also be relatively small and have substantially lower trading volumes. As a result, securities issued in these countries may be more volatile and less liquid, and may be more difficult to value, than securities issued in countries with more developed economies or markets. Additionally, because these markets may not be as mature, there may be increased settlement risks for transactions in local securities.

Investing in bonds — Rising interest rates will generally cause the prices of bonds and other debt securities to fall. Longer maturity debt securities may be subject to greater price fluctuations than shorter maturity debt securities. In addition, falling interest rates may cause an issuer to redeem, call or refinance a security before its stated maturity, which may result in the funds having to reinvest the proceeds in lower yielding securities.

Bonds and other debt securities are subject to credit risk, which is the possibility that the credit strength of an issuer will weaken and/or an issuer of a debt security will fail to make timely payments of principal or interest and the security will go into default.

Investing in lower rated bonds — Lower rated bonds and other lower rated debt securities generally have higher rates of interest and involve greater risk of default or price declines due to changes in the issuer’s creditworthiness than those of higher quality debt securities. The market prices of these securities may fluctuate more than the prices of higher quality debt securities and may decline significantly in periods of general economic difficulty. These risks may be increased with respect to investments in debt securities rated Ba1 and BB+ or below by Nationally Recognized Statistical Rating Organizations.

Thinly traded securities — There may be little trading in the secondary market for particular bonds or other debt securities, which may make them more difficult to value, acquire or sell.

American Funds Insurance Series

Currency — The prices of, and the income generated by, most debt securities held by the funds may also be affected by changes in relative currency values. If the U.S. dollar appreciates against foreign currencies, the value in U.S. dollars of the funds’ securities denominated in such currencies would generally fall and vice versa. U.S. dollar-denominated securities of foreign issuers may also be affected by changes in relative currency values.

Investing in mortgage-related securities — Mortgage-related securities are subject to prepayment risk, as well as the risks associated with investing in debt securities in general. If interest rates fall and the loans underlying these securities are prepaid faster than expected, the funds may have to reinvest the prepaid principal in lower yielding securities, thus reducing the funds’ income. Conversely, if interest rates increase and the loans underlying the securities are prepaid more slowly than expected, the expected duration of the securities may be extended. This reduces the potential for the funds to invest the principal in higher yielding securities.

Investing in securities backed by the U.S. government — Securities backed by the U.S. Treasury or the full faith and credit of the U.S. government are guaranteed only as to the timely payment of interest and principal when held to maturity. Accordingly, the current market values for these securities will fluctuate with changes in interest rates. The funds may also invest in debt securities and mortgage-backed securities issued by federal agencies and instrumentalities that are not backed by the full faith and credit of the U.S. government. These securities are neither issued nor guaranteed by the U.S. government.

Investing in money market securities — The value and liquidity of the securities held by the funds may be affected by changing interest rates, changes in the credit quality of the issuers, changes in credit ratings of the securities and general market conditions. For example, the values of these securities may decline when interest rates rise and increase when interest rates fall.

Credit and liquidity support — Changes in the credit quality of banks and financial institutions providing credit and liquidity support features with respect to securities held by the funds could cause the values of these securities to decline.

Concentration — The funds may be subject to additional risks because they invest in a more limited group of sectors and industries than the broad market.

Asset allocation — The funds’ percentage allocation to equity securities, debt securities and money market instruments could cause the funds to underperform relative to relevant benchmarks and other funds with similar investment objectives.

Non-diversification — As non-diversified funds, the funds have the ability to invest a larger percentage of their assets in the securities of a smaller number of issuers than diversified funds. Although the funds do not intend to limit their investments to the securities of a small number of issuers, if they were to do so, poor performance by a single large holding would adversely impact the funds’ investment results more than if the funds were invested in a larger number of issuers.

Management — The investment adviser to the funds actively manages the funds’ investments. Consequently, the funds are subject to the risk that the methods and analyses employed by the investment adviser in this process may not produce the desired results. This could cause the funds to lose value or their investment results to lag relevant benchmarks or other funds with similar objectives.

5. Certain investment techniques

Some of the funds have entered into certain investment transactions and contracts as further described below.

Mortgage dollar rolls — Some of the funds have entered into mortgage dollar roll transactions in which the fund sells a mortgage-backed security to a counterparty and simultaneously enters into an agreement with the same counterparty to buy back a similar security on a specific future date at a predetermined price. Risks may arise due to the delayed payment date and the potential inability of counterparties to complete the transaction. Mortgage dollar rolls are accounted for as purchase and sale transactions, which may increase the funds’ portfolio turnover rates.

Loan transactions — Some of the funds have entered into loan transactions in which the fund acquires a loan either through an agent, by assignment from another holder, or as a participation interest in another holder’s portion of a loan. The loan is often administered by a financial institution that acts as agent for the holders of the loan, and the fund may be required to receive approval from the agent and/or borrower prior to the sale of the investment. The loan’s interest rate and maturity date may change based on the terms of the loan, including potential early payments of principal.

American Funds Insurance Series

Unfunded commitments — Some of the funds have participated in transactions that involve unfunded commitments, which may obligate them to lend additional sums based upon the terms of the loan agreement. As of June 30, 2012, the maximum exposure of unfunded loan commitments for Asset Allocation Fund, Bond Fund, Global Bond Fund and High-Income Bond Fund was $3,309,000, $851,000, $98,000 and $3,139,000, respectively, which would represent 0.03%, 0.01%, less than 0.01% and 0.16%, respectively, of the net assets of each fund should such commitments become due. Unrealized appreciation of $35,000, $9,000, $1,000 and $34,000, respectively, is included in net unrealized appreciation on investments in each fund’s statement of operations.

Forward currency contracts — Some of the funds have entered into forward currency contracts, which represent agreements to exchange currencies on specific future dates at predetermined rates. The series’ investment adviser uses forward currency contracts to manage the funds’ exposure to changes in exchange rates.

On a daily basis, the series’ investment adviser values forward currency contracts based on the applicable exchange rates and records unrealized appreciation or depreciation for open forward currency contracts in the statement of assets and liabilities. Realized gains or losses are recorded at the time the forward contract is closed or offset by another contract with the same broker for the same settlement date and currency. Closed forward currency contracts that have not reached their settlement date are included in the respective receivables or payables for closed forward currency contracts in each fund’s statement of assets and liabilities. Net realized gains or losses from closed forward currency contracts and net unrealized appreciation or depreciation from open forward currency contracts are recorded in each fund’s statement of operations. As of June 30, 2012, Global Small Capitalization Fund, International Fund, New World Fund, Global Balanced Fund, Bond Fund, Global Bond Fund and High-Income Bond Fund had open forward currency contracts to purchase or sell currencies.

Collateral — Upon entering into forward currency contracts, risks may arise from the potential inability of counterparties to meet the terms of their contracts and from possible movements in exchange rates. To reduce these risks, the funds have entered into a collateral program with certain counterparties. The program calls for the funds to either receive or pledge collateral based on the net gain or loss on unsettled forward currency contracts by counterparty. The purpose of the collateral is to cover potential losses that could occur in the event that either party cannot meet its contractual obligations.

6. Taxation and distributions

Federal income taxation — Each fund complies with the requirements under Subchapter M of the Internal Revenue Code applicable to mutual funds and intends to distribute substantially all of its net taxable income and net capital gains each year. The funds are not subject to income taxes to the extent such distributions are made. Therefore, no federal income tax provision is required.

As of and during the period ended June 30, 2012, none of the funds had a liability for any unrecognized tax benefits. Each fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statements of operations. During the period, none of the funds incurred any interest or penalties.

The funds are not subject to examination by U.S. federal tax authorities for tax years before 2008. Global Balanced Fund and Mortgage Fund are not subject to examination by U.S. federal tax authorities for tax years before 2011, the year the funds commenced operations.

The funds are not subject to examination by state tax authorities for tax years before 2007. International Growth and Income Fund is not subject to examination by state tax authorities for tax years before 2008, the year the fund commenced operations. Global Balanced Fund and Mortgage Fund are not subject to examination by state tax authorities for tax years before 2011, the year the funds commenced operations.

The following funds are not subject to examination by tax authorities outside the U.S. for the years indicated: Global Discovery Fund, Global Growth Fund, Global Small Capitalization Fund, Growth Fund, International Fund and New World Fund for tax years before 2005; Global Growth and Income Fund for tax years before 2007; Growth-Income Fund for tax years before 2010; and Global Balanced Fund for tax years before 2011. All other funds are not subject to examination by tax authorities outside the U.S.

American Funds Insurance Series

Non-U.S. taxation — Dividend and interest income are recorded net of non-U.S. taxes paid. Gains realized by the funds on the sale of securities in certain countries are subject to non-U.S. taxes. The funds record a liability based on unrealized gains to provide for potential non-U.S. taxes payable upon the sale of these securities.

Distributions — Distributions paid to shareholders are based on net investment income and net realized gains determined on a tax basis, which may differ from net investment income and net realized gains for financial reporting purposes. These differences are due primarily to different treatment for items such as currency gains and losses; short-term capital gains and losses; capital losses related to sales of certain securities within 30 days of purchase; unrealized appreciation of certain investments in securities outside the U.S.; deferred expenses; cost of investments sold; paydowns on fixed-income securities; net capital losses; non-U.S. taxes on capital gains; and income on certain investments. The fiscal year in which amounts are distributed may differ from the year in which the net investment income and net realized gains are recorded by the funds for financial reporting purposes.

Dividends from net investment income and currency gains and distributions from short-term net realized gains, shown on the accompanying financial statements, are considered ordinary income distributions for tax purposes. Distributions from long-term net realized gains on the accompanying financial statements are considered long-term capital gain distributions for tax purposes.

As indicated in the tables below and on the following pages, some of the funds had capital loss carryforwards available at December 31, 2011. These will be used to offset any capital gains realized by the funds in future years through the expiration dates. Those funds will not make distributions from capital gains while capital loss carryforwards remain.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized after December 31, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

The components of distributable earnings on a tax basis are reported as of December 31, 2011, the funds’ most recent year-end. Tax basis unrealized appreciation (depreciation) and cost of investment securities are reported as of June 30, 2012.

Additional tax basis disclosures are as follows:


	(dollars in thousands)

	Global Discovery Fund			Global Growth Fund			Global Small Capitalization Fund			Growth Fund			International Fund			New World Fund

As of December 31, 2011:
Undistributed ordinary income	$	208		$	1,232		$	42,063		$	68,072		$	5,374		$	1,711
Late year ordinary loss deferral*		—			(3,861	)		—			—			—			(1,998	)
Post-October capital loss deferral*		(1,184	)		(4,035	)		—			—			(55,455	)		(3,217	)
Capital loss carryforward:
Expiring 2017		(22,556	)		(687,769	)		(354,503	)		(3,345,036	)		(1,057,173	)		(59,199	)
Expiring 2018		—			—			—			(12,099	)		(84,504	)		—

	$	(22,556	)	$	(687,769	)	$	(354,503	)	$	(3,357,135	)	$	(1,141,677	)	$	(59,199	)


As of June 30, 2012:
Gross unrealized appreciation on investment securities	$	45,515		$	1,199,904		$	668,184		$	7,117,399		$	1,471,145		$	462,306
Gross unrealized depreciation on investment securities		(10,489	)		(239,126	)		(540,861	)		(756,842	)		(700,767	)		(143,418	)

Net unrealized appreciation on investment securities	$	35,026		$	960,778		$	127,323		$	6,360,557		$	770,378		$	318,888

Cost of investment securities	$	211,536		$	3,947,691		$	3,188,858		$	17,810,874		$	7,846,554		$	1,919,756

See end of table for footnote.

American Funds Insurance Series


	(dollars in thousands)

	Blue Chip Income and Growth Fund			Global Growth and Income Fund			Growth- Income Fund			International Growth and Income Fund			Asset Allocation Fund			Global Balanced Fund

As of December 31, 2011:
Undistributed ordinary income	$	15,341		$	11,232		$	75,795		$	—		$	55,302		$	57
Late year ordinary loss deferral*		—			—			—			(179	)		(44	)		—
Post-October capital loss deferral*		(120,720	)		(4,662	)		—			—			(3,783	)		—
Capital loss carryforward: No expiration		—			—			—			(11,126	)		—			(111	)
Expiring 2016		(65,884	)		(53,624	)		—			—			—			—
Expiring 2017		(495,895	)		(526,741	)		(2,342,484	)		—			(603,608	)		—
Expiring 2018		—			(297	)		(1,026,621	)		—			(36,541	)		—

	$	(561,779	)	$	(580,662	)	$	(3,369,105	)	$	(11,126	)	$	(640,149	)	$	(111	)


As of June 30, 2012:
Gross unrealized appreciation on investment securities	$	852,716		$	350,415		$	5,579,407		$	28,989		$	2,060,095		$	5,883
Gross unrealized depreciation on investment securities		(146,044	)		(156,500	)		(1,118,833	)		(12,747	)		(259,377	)		(4,392	)

Net unrealized appreciation on investment securities	$	706,672		$	193,915		$	4,460,574		$	16,242		$	1,800,718		$	1,491

Cost of investment securities	$	4,000,743		$	1,765,801		$	18,985,910		$	233,817		$	10,329,902		$	132,168


	(dollars in thousands)

	Bond Fund			Global Bond Fund			High- Income Bond Fund			Mortgage Fund			U.S. Government/ AAA-Rated Securities Fund			Cash Management Fund

As of December 31, 2011:
Undistributed ordinary income	$	44,261		$	30,369		$	26,343		$	290		$	59,464			—
Undistributed long-term capital gain		—			11,244			—			—			59,913			—
Post-October capital loss deferral*		—			—			(412	)		—			—			—
Capital loss carryforward:
Expiring 2016		—			—			(26,506	)		—			—			—
Expiring 2017		(96,778	)		—			(113,685	)		—			—			—

	$	(96,778	)	$	—		$	(140,191	)	$	—		$	—			—


As of June 30, 2012:
Gross unrealized appreciation on investment securities	$	384,614		$	90,894		$	87,486		$	1,316		$	109,093		$	12
Gross unrealized depreciation on investment securities		(34,737	)		(20,890	)		(91,687	)		(46	)		(224	)		(2	)

Net unrealized appreciation (depreciation) on investment securities	$	349,877		$	70,004		$	(4,201	)	$	1,270		$	108,869		$	10

Cost of investment securities	$	10,071,293		$	2,429,464		$	1,904,036		$	136,695		$	4,755,320		$	554,477

*These deferrals are considered incurred in the subsequent year.

American Funds Insurance Series

7. Fees and transactions with related parties

CRMC, the series’ investment adviser, is the parent company of American Funds Distributors,^® Inc. (“AFD”), the distributor of the series’ shares, and American Funds Service Company^® (“AFS”), the series’ transfer agent.

Investment advisory services — The aggregate fee of $199,045,000 for management services was incurred by the series pursuant to an agreement with CRMC. The Investment Advisory and Service Agreement provides for monthly fees accrued daily. These fees are based on annual rates that generally decrease as average net asset levels increase.

The range of rates and asset levels and the current annualized rates of average net assets for each fund are as follows:



	Rates						Net asset level (in billions)				Annualized rates for the six months ended June 30, 2012

Fund	Beginning with			Ending with			Up to		In excess of

Global Discovery Fund		.580	%		.440	%	$	.5	$	1.0	.58	%
Global Growth Fund		.690			.460			.6		5.0	.53
Global Small Capitalization Fund		.800			.635			.6		5.0	.71
Growth Fund		.500			.280			.6		34.0	.32
International Fund		.690			.430			.5		21.0	.49
New World Fund		.850			.620			.5		2.5	.74
Blue Chip Income and Growth Fund		.500			.370			.6		4.0	.41
Global Growth and Income Fund		.690			.480			.6		3.0	.59
Growth-Income Fund		.500			.219			.6		34.0	.27
International Growth and Income Fund		.690			.530			.5		1.0	.69
Asset Allocation Fund		.500			.250			.6		8.0	.29
Global Balanced Fund		.660			.510			.5		1.0	.66
Bond Fund		.480			.330			.6		8.0	.37
Global Bond Fund		.570			.500			1.0		1.0	.53
High-Income Bond Fund		.500			.420			.6		2.0	.46
Mortgage Fund		.420			.290			.6		3.0	.42
U.S. Government/AAA-Rated Securities Fund		.420			.290			.6		3.0	.33
Cash Management Fund		.320			.270			1.0		2.0	.32

Distribution services — The series has plans of distribution for Class 2 and 3 shares. Under the plans, the board of trustees approves certain categories of expenses that are used to finance activities primarily intended to sell fund shares. The plans provide for annual expenses, based on average daily net assets, of 0.25% for Class 2 and 0.18% for Class 3 to pay service fees to firms that have entered into agreements with the series. During the six months ended June 30, 2012, distribution expenses under the plans for the series aggregated $82,111,000 for Class 2 and $459,000 for Class 3. Class 1 shares have not adopted a plan of distribution.

Transfer agent services — The aggregate fee of $2,000 was incurred during the six months ended June 30, 2012, pursuant to an agreement with AFS. Under this agreement, the series compensates AFS for transfer agent services, including recordkeeping, shareholder communications and transaction processing.

Administrative services — The board of trustees approved an administrative services agreement with CRMC effective January 1, 2012. Under this agreement, each share class pays an annual fee of 0.01% based on its respective average daily net assets to compensate CRMC for providing administrative services. These services include, but are not limited to, coordinating, monitoring, assisting and overseeing third-parties that provide services to fund shareholders. For the six months ended June 30, 2012, the aggregate administrative services fee was $5,302,000.

American Funds Insurance Series

Trustees’ deferred compensation — Trustees who are unaffiliated with CRMC may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the funds, are treated as if invested in one or more of the American Funds. These amounts represent general, unsecured liabilities of the funds and vary according to the total returns of the selected funds. Trustees’ compensation, shown on the accompanying financial statements, includes current fees (either paid in cash or deferred) and a net increase in the value of the deferred amounts as follows (dollars in thousands):


Fund	Current fees		Increase in value of deferred amounts			Total trustees’ compensation

Global Discovery Fund	$	1	$	—	*	$	1
Global Growth Fund		26		1			27
Global Small Capitalization Fund		18		—	*		18
Growth Fund		133		10			143
International Fund		47		5			52
New World Fund		12		—	*		12
Blue Chip Income and Growth Fund		23		1			24
Global Growth and Income Fund		11		—	*		11
Growth-Income Fund		124		12			136
International Growth and Income Fund		1		—	*		1
Asset Allocation Fund		60		3			63
Global Balanced Fund		1		—	*		1
Bond Fund		50		1			51
Global Bond Fund		12		—	*		12
High-Income Bond Fund		10		1			11
Mortgage Fund		—*		—	*		—	*
U.S. Government/AAA-Rated Securities Fund		20		1			21
Cash Management Fund		3		1			4

*Amount less than one thousand.

Affiliated officers and trustees — Officers and certain trustees of the series are or may be considered to be affiliated with CRMC, AFD and AFS. No affiliated officers or trustees received any compensation directly from the series.

American Funds Insurance Series

8. Investment transactions and other disclosures

The following tables present additional information for the six months ended June 30, 2012:


	(dollars in thousands)

	Global Discovery Fund		Global Growth Fund		Global Small Capitalization Fund			Growth Fund		International Fund		New World Fund

Purchases of investment securities*	$	29,851	$	348,844	$	798,600		$	2,072,197	$	711,338	$	404,278
Sales of investment securities*		37,628		615,248		561,597			4,546,741		855,183		324,180
Non-U.S. taxes paid on dividend income		93		4,797		1,298			4,871		15,945		2,371
Non-U.S. taxes paid on interest income		—		—		—			—		—		54
Non-U.S. taxes paid (refunded) on realized gains		—		—		268			—		84		(118	)
Non-U.S. taxes provided on unrealized gains		—		40		—			—		—		572
Dividends from affiliated issuers		—		—		—			322		—		—
Net realized (loss) gain from affiliated issuers		—		—		(7,701	)		20,726		—		—


	(dollars in thousands)

	Blue Chip Income and Growth Fund		Global Growth and Income Fund		Growth- Income Fund		International Growth and Income Fund		Asset Allocation Fund		Global Balanced Fund

Purchases of investment securities*	$	806,170	$	224,286	$	3,022,096	$	41,226	$	3,438,796	$	60,771
Sales of investment securities*		886,373		378,130		4,046,301		39,211		3,487,517		35,373
Non-U.S. taxes paid on dividend income		428		2,065		4,689		502		2,591		100
Non-U.S. taxes paid on interest income		—		—		—		—		—		2
Non-U.S. taxes paid on realized gains		—		—		—		2		—		—
Dividends from affiliated issuers		—		329		1,607		—		—		—


	(dollars in thousands)

	Bond Fund		Global Bond Fund		High- Income Bond Fund		Mortgage Fund		U.S. Government/ AAA-Rated Securities Fund

Purchases of investment securities*	$	10,363,483	$	1,678,637	$	390,190	$	247,971	$	6,605,792
Sales of investment securities*		10,372,660		1,535,460		398,810		213,383		6,642,784
Non-U.S. taxes paid on interest income		10		134		—†		—		—


*Excludes short-term securities and U.S. government obligations, if any.

†Amount less than one thousand.

9. Ownership concentration

At June 30, 2012, CRMC held aggregate ownership of the outstanding shares of Global Balanced Fund of 22%. The ownership represents the seed money invested in the fund when it began operations on May 2, 2011.

American Funds Insurance Series

Financial highlights


			Income (loss) from investment operations¹								Dividends and distributions

Period ended	Net asset value, beginning of period		Net investment income		Net gains (losses) on securities (both realized and unrealized)			Total from investment operations			Dividends (from net investment income)			Distributions (from capital gains)			Total dividends and distributions			Net asset value, end of period		Total return²			Net assets, end of period (in millions)		Ratio of expenses to average net assets before waiver			Ratio of expenses to average net assets after waiver²			Ratio of net income to average net assets²

Global Discovery Fund

Class 1
6/30/12^3,4	$	11.35	$	.05	$	1.28		$	1.33		$	(.01	)	$	—		$	(.01	)	$	12.67		11.82	%	$	30		.61	%⁵		.61	%⁵		.83	%⁵
12/31/11		12.28		.07		(.92	)		(.85	)		(.08	)		—			(.08	)		11.35		(6.91	)		27		.60			.60			.58
12/31/10		11.20		.10		1.07			1.17			(.09	)		—			(.09	)		12.28		10.43			31		.61			.61			.87
12/31/09		7.45		.05		3.78			3.83			(.08	)		—			(.08	)		11.20		51.49			31		.61			.61			.59
12/31/08		14.09		.15		(6.37	)		(6.22	)		(.12	)		(.30	)		(.42	)		7.45		(45.02	)		18		.60			.55			1.33
12/31/07		13.05		.17		2.07			2.24			(.16	)		(1.04	)		(1.20	)		14.09		17.55			35		.60			.54			1.25
Class 2
6/30/12^3,4		11.30		.04		1.27			1.31			(.01	)		—			(.01	)		12.60		11.69			218		.86	⁵		.86	⁵		.57	⁵
12/31/11		12.22		.04		(.91	)		(.87	)		(.05	)		—			(.05	)		11.30		(7.13	)		202		.85			.85			.33
12/31/10		11.15		.07		1.06			1.13			(.06	)		—			(.06	)		12.22		10.14			217		.86			.86			.62
12/31/09		7.43		.03		3.74			3.77			(.05	)		—			(.05	)		11.15		50.91			192		.86			.86			.36
12/31/08		14.02		.12		(6.32	)		(6.20	)		(.09	)		(.30	)		(.39	)		7.43		(45.09	)		131		.85			.80			1.08
12/31/07		13.00		.14		2.05			2.19			(.13	)		(1.04	)		(1.17	)		14.02		17.22			240		.85			.79			.98

Global Growth Fund

Class 1
6/30/12^3,4	$	19.40	$	.19	$	1.57		$	1.76		$	(.01	)	$	—		$	(.01	)	$	21.15		9.08	%	$	1,358		.56	%⁵		.56	%⁵		1.77	%⁵
12/31/11		21.61		.29		(2.16	)		(1.87	)		(.34	)		—			(.34	)		19.40		(8.66	)		1,277		.55			.55			1.37
12/31/10		19.61		.30		2.04			2.34			(.34	)		—			(.34	)		21.61		12.04			1,227		.56			.56			1.54
12/31/09		13.96		.26		5.67			5.93			(.28	)		—			(.28	)		19.61		42.58			1,037		.56			.56			1.59
12/31/08		25.15		.47		(9.50	)		(9.03	)		(.41	)		(1.75	)		(2.16	)		13.96		(38.23	)		675		.55			.50			2.37
12/31/07		23.44		.51		2.98			3.49			(.76	)		(1.02	)		(1.78	)		25.15		15.16			684		.55			.50			2.06
Class 2
6/30/12^3,4		19.29		.16		1.56			1.72			—	⁶		—			—	⁶		21.01		8.93			3,587		.81	⁵		.81	⁵		1.51	⁵
12/31/11		21.48		.24		(2.15	)		(1.91	)		(.28	)		—			(.28	)		19.29		(8.89	)		3,535		.80			.80			1.13
12/31/10		19.50		.25		2.03			2.28			(.30	)		—			(.30	)		21.48		11.75			4,308		.81			.81			1.30
12/31/09		13.88		.22		5.64			5.86			(.24	)		—			(.24	)		19.50		42.30			4,100		.82			.82			1.36
12/31/08		25.00		.42		(9.43	)		(9.01	)		(.36	)		(1.75	)		(2.11	)		13.88		(38.39	)		3,198		.80			.75			2.12
12/31/07		23.29		.45		2.95			3.40			(.67	)		(1.02	)		(1.69	)		25.00		14.85			5,180		.80			.75			1.84

Global Small Capitalization Fund

Class 1
6/30/12^3,4	$	17.28	$	.05	$	1.06		$	1.11		$	(.23	)	$	—		$	(.23	)	$	18.16		6.38	%	$	876		.75	%⁵		.75	%⁵		.52	%⁵
12/31/11		21.67		.07		(4.14	)		(4.07	)		(.32	)		—			(.32	)		17.28		(18.94	)		795		.74			.74			.36
12/31/10		18.00		.13		3.91			4.04			(.37	)		—			(.37	)		21.67		22.76			818		.75			.75			.69
12/31/09		11.18		.09		6.80			6.89			(.07	)		—			(.07	)		18.00		61.63			604		.76			.76			.61
12/31/08		27.20		.19		(13.33	)		(13.14	)		—			(2.88	)		(2.88	)		11.18		(53.39	)		306		.74			.67			1.01
12/31/07		24.87		.12		5.27			5.39			(.90	)		(2.16	)		(3.06	)		27.20		21.73			369		.73			.66			.45
Class 2
6/30/12^3,4		17.04		.02		1.05			1.07			(.23	)		—			(.23	)		17.88		6.25			2,494		1.00	⁵		1.00	⁵		.25	⁵
12/31/11		21.35		.02		(4.06	)		(4.04	)		(.27	)		—			(.27	)		17.04		(19.14	)		2,450		.99			.99			.10
12/31/10		17.74		.08		3.86			3.94			(.33	)		—			(.33	)		21.35		22.41			3,189		1.00			1.00			.45
12/31/09		11.03		.05		6.70			6.75			(.04	)		—			(.04	)		17.74		61.30			2,678		1.01			1.01			.36
12/31/08		26.95		.14		(13.18	)		(13.04	)		—			(2.88	)		(2.88	)		11.03		(53.52	)		1,748		.99			.92			.70
12/31/07		24.64		.05		5.22			5.27			(.80	)		(2.16	)		(2.96	)		26.95		21.43			3,975		.98			.91			.20

See end of table for footnotes.

American Funds Insurance Series


			Income (loss) from investment operations¹								Dividends and distributions

Period ended		Net asset value, beginning of period		Net investment income		Net gains (losses) on securities (both realized and unrealized)			Total from investment operations			Dividends (from net investment income)			Distributions (from capital gains)			Total dividends and distributions			Net asset value, end of period	Total return²			Net assets, end of period (in millions)	Ratio of expenses to average net assets before waiver		Ratio of expenses to average net assets after waiver²		Ratio of net income to average net assets²

Growth Fund

Class 1
6/30/12^3,4	$	52.07	$	.22	$	4.11		$	4.33		$	(.17	)	$	—		$	(.17	)	$	56.23	8.32	%	$	7,238	.35	%⁵	.35	%⁵	.76	%⁵
12/31/11		54.78		.45		(2.68	)		(2.23	)		(.48	)		—			(.48	)		52.07	(4.06	)		7,426	.34		.34		.81
12/31/10		46.45		.49		8.32			8.81			(.48	)		—			(.48	)		54.78	19.01			8,011	.34		.34		1.02
12/31/09		33.51		.35		12.94			13.29			(.35	)		—			(.35	)		46.45	39.74			6,565	.35		.35		.91
12/31/08		67.22		.63		(27.52	)		(26.89	)		(.56	)		(6.26	)		(6.82	)		33.51	(43.83	)		4,768	.33		.30		1.23
12/31/07		64.51		.68		7.44			8.12			(.68	)		(4.73	)		(5.41	)		67.22	12.64			5,051	.33		.30		1.00
Class 2
6/30/12^3,4		51.68		.14		4.08			4.22			(.15	)		—			(.15	)		55.75	8.19			16,716	.60	⁵	.60	⁵	.51	⁵
12/31/11		54.35		.30		(2.63	)		(2.33	)		(.34	)		—			(.34	)		51.68	(4.27	)		16,701	.59		.59		.55
12/31/10		46.10		.36		8.24			8.60			(.35	)		—			(.35	)		54.35	18.68			19,896	.59		.59		.76
12/31/09		33.27		.25		12.84			13.09			(.26	)		—			(.26	)		46.10	39.41			18,201	.60		.60		.66
12/31/08		66.72		.50		(27.27	)		(26.77	)		(.42	)		(6.26	)		(6.68	)		33.27	(43.97	)		13,383	.58		.55		.95
12/31/07		64.08		.50		7.39			7.89			(.52	)		(4.73	)		(5.25	)		66.72	12.35			25,359	.58		.55		.74
Class 3
6/30/12^3,4		52.13		.17		4.11			4.28			(.16	)		—			(.16	)		56.25	8.20			188	.53	⁵	.53	⁵	.58	⁵
12/31/11		54.82		.34		(2.66	)		(2.32	)		(.37	)		—			(.37	)		52.13	(4.21	)		189	.52		.52		.62
12/31/10		46.49		.40		8.31			8.71			(.38	)		—			(.38	)		54.82	18.76			232	.52		.52		.82
12/31/09		33.54		.28		12.95			13.23			(.28	)		—			(.28	)		46.49	39.51			230	.53		.53		.72
12/31/08		67.21		.54		(27.50	)		(26.96	)		(.45	)		(6.26	)		(6.71	)		33.54	(43.93	)		198	.51		.48		1.02
12/31/07		64.50		.55		7.45			8.00			(.56	)		(4.73	)		(5.29	)		67.21	12.44			425	.51		.48		.81

International Fund

Class 1
6/30/12^3,4	$	15.21	$	.22	$	.48		$	.70		$	(.02	)	$	—		$	(.02	)	$	15.89	4.57	%	$	3,433	.54	%⁵	.54	%⁵	2.72	%⁵
12/31/11		18.05		.35		(2.84	)		(2.49	)		(.35	)		—			(.35	)		15.21	(13.76	)		3,314	.53		.53		2.03
12/31/10		17.17		.28		.99			1.27			(.39	)		—			(.39	)		18.05	7.52			3,490	.53		.53		1.69
12/31/09		12.22		.24		5.04			5.28			(.25	)		(.08	)		(.33	)		17.17	43.50			2,851	.54		.54		1.70
12/31/08		24.81		.43		(9.88	)		(9.45	)		(.40	)		(2.74	)		(3.14	)		12.22	(42.01	)		1,864	.52		.48		2.42
12/31/07		22.01		.43		3.95			4.38			(.41	)		(1.17	)		(1.58	)		24.81	20.30			1,708	.52		.47		1.82
Class 2
6/30/12^3,4		15.16		.20		.47			.67			(.01	)		—			(.01	)		15.82	4.41			5,180	.79	⁵	.79	⁵	2.46	⁵
12/31/11		17.98		.31		(2.82	)		(2.51	)		(.31	)		—			(.31	)		15.16	(13.96	)		5,210	.78		.78		1.81
12/31/10		17.11		.24		.98			1.22			(.35	)		—			(.35	)		17.98	7.23			6,615	.78		.78		1.46
12/31/09		12.19		.21		5.01			5.22			(.22	)		(.08	)		(.30	)		17.11	43.07			6,411	.79		.79		1.48
12/31/08		24.72		.41		(9.85	)		(9.44	)		(.35	)		(2.74	)		(3.09	)		12.19	(42.12	)		4,901	.77		.72		2.16
12/31/07		21.94		.36		3.94			4.30			(.35	)		(1.17	)		(1.52	)		24.72	20.02			9,719	.77		.72		1.55
Class 3
6/30/12^3,4		15.23		.20		.47			.67			(.01	)		—			(.01	)		15.89	4.40			42	.72	⁵	.72	⁵	2.52	⁵
12/31/11		18.05		.33		(2.83	)		(2.50	)		(.32	)		—			(.32	)		15.23	(13.85	)		43	.71		.71		1.90
12/31/10		17.18		.26		.97			1.23			(.36	)		—			(.36	)		18.05	7.26			61	.71		.71		1.54
12/31/09		12.23		.22		5.04			5.26			(.23	)		(.08	)		(.31	)		17.18	43.25			68	.72		.72		1.54
12/31/08		24.80		.43		(9.90	)		(9.47	)		(.36	)		(2.74	)		(3.10	)		12.23	(42.10	)		57	.70		.65		2.25
12/31/07		22.00		.39		3.94			4.33			(.36	)		(1.17	)		(1.53	)		24.80	20.10			123	.70		.65		1.64

American Funds Insurance Series


			Income (loss) from investment operations¹								Dividends and distributions

Period ended	Net asset value, beginning of period		Net investment income		Net gains (losses) on securities (both realized and unrealized)			Total from investment operations			Dividends (from net investment income)			Distributions (from capital gains)			Total dividends and distributions			Net asset value, end of period		Total return²			Net assets, end of period (in millions)		Ratio of expenses to average net assets before waiver			Ratio of expenses to average net assets after waiver²			Ratio of net income to average net assets²

New World Fund

Class 1
6/30/12^3,4	$	19.65	$	.20	$	.75		$	.95		$	(.02	)	$	—		$	(.02	)	$	20.58		4.84	%	$	939		.79	%⁵		.79	%⁵		1.94	%⁵
12/31/11		23.28		.36		(3.55	)		(3.19	)		(.44	)		—			(.44	)		19.65		(13.75	)		826		.78			.78			1.62
12/31/10		20.04		.37		3.25			3.62			(.38	)		—			(.38	)		23.28		18.20			774		.80			.80			1.76
12/31/09		13.57		.34		6.42			6.76			(.29	)		—			(.29	)		20.04		49.95			500		.82			.82			2.02
12/31/08		25.88		.43		(10.68	)		(10.25	)		(.36	)		(1.70	)		(2.06	)		13.57		(42.20	)		253		.81			.73			2.18
12/31/07		21.56		.46		6.25			6.71			(.83	)		(1.56	)		(2.39	)		25.88		32.53			261		.82			.74			1.92
Class 2
6/30/12^3,4		19.50		.17		.75			.92			(.01	)		—			(.01	)		20.41		4.73			1,322		1.04	⁵		1.04	⁵		1.65	⁵
12/31/11		23.09		.30		(3.51	)		(3.21	)		(.38	)		—			(.38	)		19.50		(13.95	)		1,350		1.03			1.03			1.37
12/31/10		19.89		.31		3.22			3.53			(.33	)		—			(.33	)		23.09		17.87			1,739		1.05			1.05			1.52
12/31/09		13.47		.29		6.38			6.67			(.25	)		—			(.25	)		19.89		49.65			1,492		1.07			1.07			1.78
12/31/08		25.69		.40		(10.62	)		(10.22	)		(.30	)		(1.70	)		(2.00	)		13.47		(42.37	)		1,044		1.06			.98			1.94
12/31/07		21.40		.40		6.20			6.60			(.75	)		(1.56	)		(2.31	)		25.69		32.21			1,875		1.07			.99			1.69

Blue Chip Income and Growth Fund

Class 1
6/30/12^3,4	$	9.00	$	.11	$	.67		$	.78		$	(.04	)	$	—		$	(.04	)	$	9.74		8.62	%	$	1,249		.43	%⁵		.43	%⁵		2.31	%⁵
12/31/11		9.25		.19		(.25	)		(.06	)		(.19	)		—			(.19	)		9.00		(.63	)		992		.42			.42			2.08
12/31/10		8.37		.18		.87			1.05			(.17	)		—			(.17	)		9.25		12.61			674		.44			.44			2.10
12/31/09		6.67		.16		1.71			1.87			(.17	)		—			(.17	)		8.37		28.18			408		.44			.44			2.26
12/31/08		11.53		.22		(4.22	)		(4.00	)		(.21	)		(.65	)		(.86	)		6.67		(36.30	)		220		.43			.39			2.48
12/31/07		11.97		.24		.07			.31			(.36	)		(.39	)		(.75	)		11.53		2.25			143		.42			.38			1.95
Class 2
6/30/12^3,4		8.93		.10		.66			.76			(.03	)		—			(.03	)		9.66		8.53			3,433		.68	⁵		.68	⁵		2.06	⁵
12/31/11		9.18		.17		(.26	)		(.09	)		(.16	)		—			(.16	)		8.93		(.90	)		3,340		.67			.67			1.83
12/31/10		8.31		.16		.86			1.02			(.15	)		—			(.15	)		9.18		12.33			3,677		.69			.69			1.87
12/31/09		6.62		.14		1.70			1.84			(.15	)		—			(.15	)		8.31		27.97			3,344		.69			.69			2.06
12/31/08		11.45		.19		(4.18	)		(3.99	)		(.19	)		(.65	)		(.84	)		6.62		(36.50	)		2,602		.68			.64			2.10
12/31/07		11.87		.21		.07			.28			(.31	)		(.39	)		(.70	)		11.45		2.03			4,274		.67			.63			1.70

Global Growth and Income Fund

Class 1
6/30/12^3,4	$	9.20	$	.13	$	.41		$	.54		$	(.06	)	$	—		$	(.06	)	$	9.68		5.87	%	$	166		.62	%⁵		.62	%⁵		2.78	%⁵
12/31/11		9.96		.28		(.75	)		(.47	)		(.29	)		—			(.29	)		9.20		(4.68	)		161		.61			.61			2.86
12/31/10		9.14		.23		.85			1.08			(.26	)		—			(.26	)		9.96		12.02			171		.61			.61			2.54
12/31/09		6.68		.20		2.47			2.67			(.21	)		—			(.21	)		9.14		40.11			160		.63			.63			2.63
12/31/08		11.78		.28		(5.09	)		(4.81	)		(.22	)		(.07	)		(.29	)		6.68		(41.06	)		95		.62			.56			3.00
12/31/07		10.98		.28		1.14			1.42			(.22	)		(.40	)		(.62	)		11.78		13.04			79		.71			.58			2.37
Class 2
6/30/12^3,4		9.19		.12		.40			.52			(.06	)		—			(.06	)		9.65		5.61			1,807		.87	⁵		.87	⁵		2.52	⁵
12/31/11		9.94		.25		(.74	)		(.49	)		(.26	)		—			(.26	)		9.19		(4.85	)		1,839		.86			.86			2.60
12/31/10		9.12		.21		.85			1.06			(.24	)		—			(.24	)		9.94		11.78			2,130		.86			.86			2.28
12/31/09		6.67		.18		2.46			2.64			(.19	)		—			(.19	)		9.12		39.72			1,951		.88			.88			2.42
12/31/08		11.75		.26		(5.07	)		(4.81	)		(.20	)		(.07	)		(.27	)		6.67		(41.17	)		1,529		.86			.81			2.73
12/31/07		10.97		.25		1.13			1.38			(.20	)		(.40	)		(.60	)		11.75		12.67			1,997		.96			.83			2.11

See end of table for footnotes.

American Funds Insurance Series


			Income (loss) from investment operations¹								Dividends and distributions

Period ended	Net asset value, beginning of period		Net investment income		Net gains (losses) on securities (both realized and unrealized)			Total from investment operations			Dividends (from net investment income)			Distributions (from capital gains)			Total dividends and distributions			Net asset value, end of period		Total return²			Net assets, end of period (in millions)			Ratio of expenses to average net assets before waiver			Ratio of expenses to average net assets after waiver²			Ratio of net income to average net assets²

Growth-Income Fund

Class 1
6/30/12^3,4	$	33.27	$	.33	$	2.53		$	2.86		$	(.13	)	$	—		$	(.13	)	$	36.00		8.58		$	9,895	%		.29	%⁵		.29	%⁵		1.83	%⁵
12/31/11		34.47		.61		(1.18	)		(.57	)		(.63	)		—			(.63	)		33.27		(1.60	)		9,496			.28			.28			1.77
12/31/10		31.37		.56		3.10			3.66			(.56	)		—			(.56	)		34.47		11.72			9,370			.29			.29			1.76
12/31/09		24.25		.49		7.13			7.62			(.50	)		—			(.50	)		31.37		31.54			8,142			.29			.29			1.83
12/31/08		42.52		.69		(15.91	)		(15.22	)		(.69	)		(2.36	)		(3.05	)		24.25		(37.68	)		5,034			.28			.25			2.03
12/31/07		42.43		.80		1.51			2.31			(.77	)		(1.45	)		(2.22	)		42.52		5.32			5,618			.27			.25			1.82
Class 2
6/30/12^3,4		33.07		.28		2.52			2.80			(.11	)		—			(.11	)		35.76		8.47			13,391			.54	⁵		.54	⁵		1.58	⁵
12/31/11		34.25		.52		(1.16	)		(.64	)		(.54	)		—			(.54	)		33.07		(1.83	)		13,235			.53			.53			1.52
12/31/10		31.18		.48		3.07			3.55			(.48	)		—			(.48	)		34.25		11.43			16,668			.54			.54			1.52
12/31/09		24.11		.42		7.09			7.51			(.44	)		—			(.44	)		31.18		31.24			16,220			.54			.54			1.60
12/31/08		42.26		.60		(15.80	)		(15.20	)		(.59	)		(2.36	)		(2.95	)		24.11		(37.85	)		13,046			.53			.50			1.75
12/31/07		42.19		.68		1.50			2.18			(.66	)		(1.45	)		(2.11	)		42.26		5.04			23,243			.52			.50			1.57
Class 3
6/30/12^3,4		33.30		.29		2.54			2.83			(.11	)		—			(.11	)		36.02		8.51			171			.47	⁵		.47	⁵		1.65	⁵
12/31/11		34.49		.55		(1.18	)		(.63	)		(.56	)		—			(.56	)		33.30		(1.77	)		172			.46			.46			1.59
12/31/10		31.39		.50		3.09			3.59			(.49	)		—			(.49	)		34.49		11.50			209			.47			.47			1.59
12/31/09		24.27		.45		7.12			7.57			(.45	)		—			(.45	)		31.39		31.30			225			.47			.47			1.68
12/31/08		42.51		.64		(15.90	)		(15.26	)		(.62	)		(2.36	)		(2.98	)		24.27		(37.78	)		205			.46			.43			1.83
12/31/07		42.42		.73		1.50			2.23			(.69	)		(1.45	)		(2.14	)		42.51		5.12			405			.45			.43			1.64

International Growth and Income Fund

Class 1
6/30/12^3,4	$	13.40	$	.28	$	.58		$	.86		$	—		$	—		$	—		$	14.26		6.42	%	$	56			.74	%⁵		.74	%⁵		3.92	%⁵
12/31/11		15.25		.47		(1.77	)		(1.30	)		(.44	)		(.11	)		(.55	)		13.40		(8.51	)		35			.73			.73			3.17
12/31/10		14.92		.38		.68			1.06			(.33	)		(.40	)		(.73	)		15.25		7.24			32			.74			.74			2.61
12/31/09		10.92		.36		4.04			4.40			(.19	)		(.21	)		(.40	)		14.92		40.38			28			.74			.74			2.74
12/31/08⁷		10.00		.01		.92			.93			(.01	)		—			(.01	)		10.92		9.28			12			.09			.08			.14
Class 2
6/30/12^3,4		13.37		.26		.58			.84			—			—			—			14.21		6.28			214			.99	⁵		.99	⁵		3.64	⁵
12/31/11		15.21		.42		(1.75	)		(1.33	)		(.40	)		(.11	)		(.51	)		13.37		(8.71	)		199			.98			.98			2.89
12/31/10		14.90		.35		.67			1.02			(.31	)		(.40	)		(.71	)		15.21		6.92			180			.99			.99			2.37
12/31/09		10.92		.26		4.10			4.36			(.17	)		(.21	)		(.38	)		14.90		40.04			99			.99			.99			1.89
12/31/08⁷		10.00		.01		.92			.93			(.01	)		—			(.01	)		10.92		9.27			4			.11			.11			.05

Asset Allocation Fund

Class 1
6/30/12^3,4	$	16.17	$	.18	$	1.12		$	1.30		$	(.09	)	$	—		$	(.09	)	$	17.38		8.01	%	$	6,578			.31	%⁵		.31	%⁵		2.06	%⁵
12/31/11		16.28		.37		(.12	)		.25			(.36	)		—			(.36	)		16.17		1.56			5,932			.31			.31			2.25
12/31/10		14.75		.35		1.52			1.87			(.34	)		—			(.34	)		16.28		12.75			5,235			.31			.31			2.33
12/31/09		12.16		.35		2.59			2.94			(.35	)		—			(.35	)		14.75		24.27			4,151			.32			.32			2.65
12/31/08		18.51		.47		(5.70	)		(5.23	)		(.45	)		(.67	)		(1.12	)		12.16		(29.30	)		2,243			.32			.29			2.98
12/31/07		18.34		.51		.75			1.26			(.45	)		(.64	)		(1.09	)		18.51		6.82			1,927			.32			.29			2.69
Class 2
6/30/12^3,4		16.06		.15		1.11			1.26			(.08	)		—			(.08	)		17.24		7.90			5,182			.56	⁵		.56	⁵		1.81	⁵
12/31/11		16.17		.33		(.13	)		.20			(.31	)		—			(.31	)		16.06		1.30			5,151			.56			.56			1.99
12/31/10		14.65		.31		1.51			1.82			(.30	)		—			(.30	)		16.17		12.50			5,689			.57			.57			2.08
12/31/09		12.08		.32		2.56			2.88			(.31	)		—			(.31	)		14.65		23.98			5,537			.58			.58			2.45
12/31/08		18.39		.43		(5.66	)		(5.23	)		(.41	)		(.67	)		(1.08	)		12.08		(29.51	)		4,822			.57			.54			2.70
12/31/07		18.23		.47		.74			1.21			(.41	)		(.64	)		(1.05	)		18.39		6.55			7,308			.57			.54			2.45
Class 3
6/30/12^3,4		16.18		.16		1.12			1.28			(.08	)		—			(.08	)		17.38		7.91			38			.49	⁵		.49	⁵		1.88	⁵
12/31/11		16.29		.34		(.13	)		.21			(.32	)		—			(.32	)		16.18		1.36			38			.49			.49			2.05
12/31/10		14.75		.32		1.53			1.85			(.31	)		—			(.31	)		16.29		12.62			44			.50			.50			2.15
12/31/09		12.17		.33		2.57			2.90			(.32	)		—			(.32	)		14.75		23.95			44			.51			.51			2.53
12/31/08		18.50		.44		(5.68	)		(5.24	)		(.42	)		(.67	)		(1.09	)		12.17		(29.39	)		41			.50			.47			2.77
12/31/07		18.34		.48		.74			1.22			(.42	)		(.64	)		(1.06	)		18.50		6.56			71			.50			.47			2.52

American Funds Insurance Series


			Income (loss) from investment operations¹								Dividends and distributions

Period ended	Net asset value, beginning of period		Net investment income		Net gains (losses) on securities (both realized and unrealized)			Total from investment operations			Dividends (from net investment income)			Distributions (from capital gains)			Total dividends and distributions			Net asset value, end of period		Total return²			Net assets, end of period (in millions)		Ratio of expenses to average net assets before waiver			Ratio of expenses to average net assets after waiver²			Ratio of net income to average net assets²

Global Balanced Fund

Class 1
6/30/12^3,4	$	9.35	$	.10	$	.34		$	.44		$	(.01	)	$	—		$	(.01	)	$	9.78		4.65	%	$	29		.72	%⁵		.72	%⁵		2.16	%⁵
12/31/11⁸		10.00		.13		(.72	)		(.59	)		(.06	)		—			(.06	)		9.35		(5.89	)		28		.69	⁵		.69	⁵		1.99	⁵
Class 2
6/30/12^3,4		9.35		.09		.33			.42			(.01	)		—			(.01	)		9.76		4.44			101		.97	⁵		.97	⁵		1.95	⁵
12/31/11⁸		10.00		.09		(.69	)		(.60	)		(.05	)		—			(.05	)		9.35		(5.97	)		72		.94	⁵		.94	⁵		1.45	⁵

Bond Fund

Class 1
6/30/12^3,4	$	10.99	$	.13	$	.22		$	.35		$	(.06	)	$	—		$	(.06	)	$	11.28		3.17	%	$	3,997		.39	%⁵		.39	%⁵		2.40	%⁵
12/31/11		10.67		.32		.36			.68			(.36	)		—			(.36	)		10.99		6.41			4,354		.38			.38			2.89
12/31/10		10.33		.33		.36			.69			(.35	)		—			(.35	)		10.67		6.73			4,768		.38			.38			3.03
12/31/09		9.45		.42		.80			1.22			(.34	)		—			(.34	)		10.33		12.83			3,775		.39			.39			4.19
12/31/08		11.14		.61		(1.64	)		(1.03	)		(.63	)		(.03	)		(.66	)		9.45		(9.16	)		2,090		.40			.36			5.84
12/31/07		11.64		.65		(.24	)		.41			(.91	)		—			(.91	)		11.14		3.66			436		.41			.37			5.59
Class 2
6/30/12^3,4		10.87		.12		.21			.33			(.05	)		—			(.05	)		11.15		3.06			5,071		.64	⁵		.64	⁵		2.14	⁵
12/31/11		10.56		.29		.35			.64			(.33	)		—			(.33	)		10.87		6.10			4,984		.63			.63			2.64
12/31/10		10.23		.30		.36			.66			(.33	)		—			(.33	)		10.56		6.44			5,074		.63			.63			2.79
12/31/09		9.36		.40		.79			1.19			(.32	)		—			(.32	)		10.23		12.61			4,635		.64			.64			4.00
12/31/08		11.03		.59		(1.63	)		(1.04	)		(.60	)		(.03	)		(.63	)		9.36		(9.35	)		3,432		.65			.61			5.53
12/31/07		11.53		.61		(.24	)		.37			(.87	)		—			(.87	)		11.03		3.33			4,679		.66			.62			5.34

Global Bond Fund

Class 1
6/30/12^3,4	$	11.96	$	.15	$	.21		$	.36		$	(.11	)	$	(.11	)	$	(.22	)	$	12.10		2.99	%	$	720		.57	%⁵		.57	%⁵		2.49	%⁵
12/31/11		11.82		.36		.22			.58			(.37	)		(.07	)		(.44	)		11.96		4.86			619		.56			.56			2.97
12/31/10		11.57		.41		.21			.62			(.37	)		—			(.37	)		11.82		5.44			325		.57			.57			3.42
12/31/09		10.68		.45		.62			1.07			(.18	)		—			(.18	)		11.57		10.04			162		.59			.59			4.06
12/31/08		10.83		.48		(.09	)		.39			(.54	)		—⁶			(.54	)		10.68		3.60			111		.59			.53			4.36
12/31/07		10.18		.49		.47			.96			(.31	)		—			(.31	)		10.83		9.54			28		.61			.55			4.61
Class 2
6/30/12^3,4		11.91		.14		.20			.34			(.10	)		(.11	)		(.21	)		12.04		2.88			1,659		.82	⁵		.82	⁵		2.24	⁵
12/31/11		11.78		.33		.21			.54			(.34	)		(.07	)		(.41	)		11.91		4.54			1,639		.81			.81			2.75
12/31/10		11.53		.38		.22			.60			(.35	)		—			(.35	)		11.78		5.23			1,497		.83			.83			3.21
12/31/09		10.66		.42		.61			1.03			(.16	)		—			(.16	)		11.53		9.69			1,203		.84			.84			3.79
12/31/08		10.81		.44		(.07	)		.37			(.52	)		—⁶			(.52	)		10.66		3.48			802		.84			.79			4.06
12/31/07		10.17		.47		.47			.94			(.30	)		—			(.30	)		10.81		9.23			279		.86			.80			4.41

See end of table for footnotes.

American Funds Insurance Series


			Income (loss) from investment operations¹									Dividends and distributions

Period ended	Net asset value, beginning of period		Net investment income (loss)			Net gains (losses) on securities (both realized and unrealized)			Total from investment operations			Dividends (from net investment income)			Distributions (from capital gains)			Total dividends and distributions			Net asset value, end of period		Total return²			Net assets, end of period (in millions)		Ratio of expenses to average net assets before waiver			Ratio of expenses to average net assets after waiver²			Ratio of net income (loss) to average net assets²

High-Income Bond Fund

Class 1
6/30/12^3,4	$	10.54	$	.41		$	.24		$	.65		$	(.15	)	$	—		$	(.15	)	$	11.04		6.22	%	$	827		.48	%⁵		.48	%⁵		7.51	%⁵
12/31/11		11.20		.88			(.64	)		.24			(.90	)		—			(.90	)		10.54		2.18			787		.47			.47			7.70
12/31/10		10.49		.91			.68			1.59			(.88	)		—			(.88	)		11.20		15.38			769		.48			.48			8.15
12/31/09		8.05		.75			2.41			3.16			(.72	)		—			(.72	)		10.49		39.45			635		.48			.48			7.86
12/31/08		11.65		.87			(3.64	)		(2.77	)		(.83	)		—			(.83	)		8.05		(23.74	)		340		.48			.43			8.22
12/31/07		12.90		.95			(.72	)		.23			(1.48	)		—			(1.48	)		11.65		1.62			308		.48			.44			7.41
Class 2
6/30/12^3,4		10.42		.39			.25			.64			(.15	)		—			(.15	)		10.91		6.15			1,090		.73	⁵		.73	⁵		7.26	⁵
12/31/11		11.08		.84			(.63	)		.21			(.87	)		—			(.87	)		10.42		1.92			1,064		.72			.72			7.44
12/31/10		10.39		.87			.68			1.55			(.86	)		—			(.86	)		11.08		15.07			1,142		.73			.73			7.91
12/31/09		7.99		.71			2.39			3.10			(.70	)		—			(.70	)		10.39		38.94			1,063		.74			.74			7.62
12/31/08		11.55		.84			(3.60	)		(2.76	)		(.80	)		—			(.80	)		7.99		(23.84	)		780		.73			.68			7.92
12/31/07		12.79		.91			(.72	)		.19			(1.43	)		—			(1.43	)		11.55		1.33			996		.73			.69			7.17
Class 3
6/30/12^3,4		10.56		.40			.25			.65			(.15	)		—			(.15	)		11.06		6.18			20		.66	⁵		.66	⁵		7.33	⁵
12/31/11		11.22		.86			(.64	)		.22			(.88	)		—			(.88	)		10.56		1.97			21		.65			.65			7.51
12/31/10		10.51		.89			.68			1.57			(.86	)		—			(.86	)		11.22		15.14			23		.66			.66			7.98
12/31/09		8.07		.73			2.42			3.15			(.71	)		—			(.71	)		10.51		39.14			24		.67			.67			7.69
12/31/08		11.65		.86			(3.64	)		(2.78	)		(.80	)		—			(.80	)		8.07		(23.76	)		18		.66			.61			7.96
12/31/07		12.88		.92			(.72	)		.20			(1.43	)		—			(1.43	)		11.65		1.40			28		.66			.62			7.21

Mortgage Fund

Class 1
6/30/12^3,4	$	10.37	$	.01		$	.18		$	.19		$	—		$	(.03	)	$	(.03	)	$	10.53		1.81	%	$	78		.45	%⁵		.45	%⁵		.11	%⁵
12/31/11⁸		10.00		—	⁶		.48			.48			(.01	)		(.10	)		(.11	)		10.37		4.78			55		.42⁵			.42⁵			.04⁵
Class 2
6/30/12^3,4		10.36		(.01	)		.19			.18			—			(.03	)		(.03	)		10.51		1.72			38		.70	⁵		.70	⁵		(.13	)⁵
12/31/11⁸		10.00		(.02	)		.48			.46			—	⁶		(.10	)		(.10	)		10.36		4.60			22		.67	⁵		.67	⁵		(.25	)⁵

U.S. Government/AAA-Rated Securities Fund

Class 1
6/30/12^3,4	$	13.00	$	.06		$	.14		$	.20		$	(.04	)	$	(.37	)	$	(.41	)	$	12.79		1.52	%	$	1,810		.35	%⁵		.35	%⁵		.90	%⁵
12/31/11		12.59		.23			.74			.97			(.26	)		(.30	)		(.56	)		13.00		7.85			1,785		.34			.34			1.83
12/31/10		12.18		.26			.46			.72			(.25	)		(.06	)		(.31	)		12.59		5.94			1,492		.39			.36			2.07
12/31/09		12.29		.37			(.03	)		.34			(.34	)		(.11	)		(.45	)		12.18		2.79			999		.41			.41			2.99
12/31/08		11.73		.50			.41			.91			(.35	)		—			(.35	)		12.29		7.84			496		.43			.38			4.17
12/31/07		11.87		.58			.20			.78			(.92	)		—			(.92	)		11.73		6.83			211		.46			.41			4.83
Class 2
6/30/12^3,4		12.89		.04			.14			.18			(.03	)		(.37	)		(.40	)		12.67		1.42			2,020		.60	⁵		.60	⁵		.65	⁵
12/31/11		12.49		.20			.73			.93			(.23	)		(.30	)		(.53	)		12.89		7.58			2,002		.59			.59			1.59
12/31/10		12.08		.23			.46			.69			(.22	)		(.06	)		(.28	)		12.49		5.75			1,959		.64			.62			1.83
12/31/09		12.20		.34			(.03	)		.31			(.32	)		(.11	)		(.43	)		12.08		2.50			1,561		.66			.66			2.79
12/31/08		11.65		.47			.41			.88			(.33	)		—			(.33	)		12.20		7.63			1,219		.68			.64			3.93
12/31/07		11.79		.54			.19			.73			(.87	)		—			(.87	)		11.65		6.49			597		.71			.66			4.58
Class 3
6/30/12^3,4		13.01		.05			.14			.19			(.03	)		(.37	)		(.40	)		12.80		1.49			21		.53	⁵		.53	⁵		.72	⁵
12/31/11		12.61		.21			.73			.94			(.24	)		(.30	)		(.54	)		13.01		7.56			24		.52			.52			1.65
12/31/10		12.19		.24			.47			.71			(.23	)		(.06	)		(.29	)		12.61		5.82			26		.57			.55			1.92
12/31/09		12.30		.36			(.04	)		.32			(.32	)		(.11	)		(.43	)		12.19		2.58			27		.59			.59			2.91
12/31/08		11.74		.48			.41			.89			(.33	)		—			(.33	)		12.30		7.66			33		.61			.57			4.03
12/31/07		11.86		.55			.20			.75			(.87	)		—			(.87	)		11.74		6.63			29		.64			.59			4.65

American Funds Insurance Series

100


			(Loss) income from investment operations¹									Dividends and distributions

Period ended	Net asset value, beginning of period		Net investment (loss) income			Net (losses) gains on securities (both realized and unrealized)			Total from investment operations			Dividends (from net investment income)			Distributions (from capital gains)			Total dividends and distributions			Net asset value, end of period		Total return²			Net assets, end of period (in millions)		Ratio of expenses to average net assets before waiver			Ratio of expenses to average net assets after waiver²			Ratio of net (loss) income to average net assets²

Cash Management Fund

Class 1
6/30/12^3,4	$	11.36	$	(.01	)	$	—	⁶	$	(.01	)	$	—		$	—		$	—		$	11.35		(.09	)%	$	66		.34	%⁵		.34	%⁵		(.24	)%⁵
12/31/11		11.39		(.02	)		(.01	)		(.03	)		—			—			—			11.36		(.26	)		75		.33			.33			(.21	)
12/31/10		11.40		(.02	)		.01			(.01	)		—			—			—			11.39		(.09	)		83		.33			.33			(.14	)
12/31/09		11.44		(.01	)		—	⁶		(.01	)		(.03	)		—	⁶		(.03	)		11.40		(.10	)		105		.33			.33			(.08	)
12/31/08		11.40		.24			—	⁶		.24			(.20	)		—			(.20	)		11.44		2.15			158		.32			.29			2.07
12/31/07		11.62		.57			—	⁶		.57			(.79	)		—			(.79	)		11.40		4.95			112		.33			.30			4.88
Class 2
6/30/12^3,4		11.22		(.03	)		.01			(.02	)		—			—			—			11.20		(.18	)		472		.59	⁵		.59	⁵		(.49	)⁵
12/31/11		11.28		(.05	)		(.01	)		(.06	)		—			—			—			11.22		(.53	)		530		.58			.58			(.47	)
12/31/10		11.32		(.04	)		—	⁶		(.04	)		—			—			—			11.28		(.35	)		522		.58			.58			(.39	)
12/31/09		11.38		(.04	)		—	⁶		(.04	)		(.02	)		—	⁶		(.02	)		11.32		(.33	)		664		.58			.58			(.33	)
12/31/08		11.35		.20			.02			.22			(.19	)		—			(.19	)		11.38		1.90			1,023		.57			.54			1.73
12/31/07		11.56		.54			—	⁶		.54			(.75	)		—			(.75	)		11.35		4.73			452		.58			.55			4.61
Class 3
6/30/12^3,4		11.30		(.02	)		—	⁶		(.02	)		—			—			—			11.28		(.18	)		13		.52	⁵		.52	⁵		(.42	)⁵
12/31/11		11.34		(.04	)		—	⁶		(.04	)		—			—			—			11.30		(.35	)		12		.51			.51			(.40	)
12/31/10		11.38		(.04	)		—	⁶		(.04	)		—			—			—			11.34		(.35	)		13		.51			.51			(.32	)
12/31/09		11.44		(.03	)		(.01	)		(.04	)		(.02	)		—	⁶		(.02	)		11.38		(.31	)		17		.51			.51			(.27	)
12/31/08		11.40		.22			.01			.23			(.19	)		—			(.19	)		11.44		1.99			25		.50			.47			1.91
12/31/07		11.60		.55			—	⁶		.55			(.75	)		—			(.75	)		11.40		4.83			20		.51			.48			4.70


				Year ended December 31

Portfolio turnover rate for all share classes	Six months ended June 30, 2012^3,4			2011			2010			2009			2008			2007

Global Discovery Fund		14	%		45	%		61	%		60	%		46	%		50	%
Global Growth Fund		7			28			28			43			38			38
Global Small Capitalization Fund		22			44			47			55			47			49
Growth Fund		9			19			28			37			26			40
International Fund		9			24			25			46			52			41
New World Fund		15			22			18			25			32			34
Blue Chip Income and Growth Fund		19			27			22			22			24			27
Global Growth and Income Fund		12			25			30			47			36			36
Growth-Income Fund		14			22			22			24			31			24
International Growth and Income Fund		17			48			31			21			—	⁷		—
Asset Allocation Fund		31			43			46			41			36			29
Global Balanced Fund		35			34	⁸		—			—			—			—
Bond Fund		134			163			187			125			63			57
Global Bond Fund		82			101			106			86			118			85
High-Income Bond Fund		22			51			54			47			29			32
Mortgage Fund		265			480	⁸		—			—			—			—
U.S. Government/AAA-Rated Securities Fund		207			234			208			100			108			91
Cash Management Fund		—			—			—			—			—			—


¹	Based on average shares outstanding.
²	This column reflects the impact, if any, of certain waivers by CRMC. During some of the periods shown, CRMC reduced fees for investment advisory services.
³	Based on operations for the period shown and, accordingly, is not representative of a full year.
⁴	Unaudited.
⁵	Annualized.
⁶	Amount less than $.01.
⁷	From November 18, 2008, commencement of operations.
⁸	From May 2, 2011, commencement of operations.

See Notes to Financial Statements

American Funds Insurance Series

101


Expense example	unaudited

The funds in American Funds Insurance Series serve as the underlying investment vehicle for various insurance products. As an owner of an insurance contract that invests in one of the funds in the series, you incur two types of costs: (1) transaction costs, such as initial sales charges on purchase payments and contingent deferred sales charges on redemptions (loads), and (2) ongoing costs, including management fees, distribution and service (12b-1) fees, and other expenses. Additional fees are charged by the insurance companies related to the various benefits they provide. This example is intended to help you understand your ongoing costs (in dollars) of investing in the underlying funds so you can compare these costs with the ongoing costs of investing in other mutual funds that serve a similar function in other annuity products. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period (January 1, 2012, through June 30, 2012).

Actual expenses:

The first line of each share class in the table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses paid during period” to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes:

The second line of each share class in the table on the following pages provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio for the share class and an assumed rate of return of 5.00% per year before expenses, which is not the actual return of the share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5.00% hypothetical example with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

Notes:

Additional fees are charged by the insurance companies related to the various benefits they provide. You can estimate the impact of these fees by adding the amount of the fees to the total estimated expenses you paid on your account during the period as calculated above. In addition, your ending account value would be lower by the amount of these fees.

Note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of each share class in the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

American Funds Insurance Series

102


	Beginning account value 1/1/2012		Ending account value 6/30/2012		Expenses paid during period*		Annualized expense ratio

Global Discovery Fund
Class 1 — actual return	$	1,000.00	$	1,118.16	$	3.21		.61	%
Class 1 — assumed 5% return		1,000.00		1,021.83		3.07		.61

Class 2 — actual return		1,000.00		1,116.91		4.53		.86
Class 2 — assumed 5% return		1,000.00		1,020.59		4.32		.86

Global Growth Fund
Class 1 — actual return	$	1,000.00	$	1,090.81	$	2.91		.56	%
Class 1 — assumed 5% return		1,000.00		1,022.08		2.82		.56

Class 2 — actual return		1,000.00		1,089.31		4.21		.81
Class 2 — assumed 5% return		1,000.00		1,020.84		4.07		.81

Global Small Capitalization Fund
Class 1 — actual return	$	1,000.00	$	1,063.79	$	3.85		.75	%
Class 1 — assumed 5% return		1,000.00		1,021.13		3.77		.75

Class 2 — actual return		1,000.00		1,062.48		5.13		1.00
Class 2 — assumed 5% return		1,000.00		1,019.89		5.02		1.00

Growth Fund
Class 1 — actual return	$	1,000.00	$	1,083.21	$	1.81		.35	%
Class 1 — assumed 5% return		1,000.00		1,023.12		1.76		.35

Class 2 — actual return		1,000.00		1,081.86		3.11		.60
Class 2 — assumed 5% return		1,000.00		1,021.88		3.02		.60

Class 3 — actual return		1,000.00		1,082.03		2.74		.53
Class 3 — assumed 5% return		1,000.00		1,022.23		2.66		.53

International Fund
Class 1 — actual return	$	1,000.00	$	1,045.71	$	2.75		.54	%
Class 1 — assumed 5% return		1,000.00		1,022.18		2.72		.54

Class 2 — actual return		1,000.00		1,044.07		4.01		.79
Class 2 — assumed 5% return		1,000.00		1,020.93		3.97		.79

Class 3 — actual return		1,000.00		1,044.00		3.66		.72
Class 3 — assumed 5% return		1,000.00		1,021.28		3.62		.72

New World Fund
Class 1 — actual return	$	1,000.00	$	1,048.41	$	4.02		.79	%
Class 1 — assumed 5% return		1,000.00		1,020.93		3.97		.79

Class 2 — actual return		1,000.00		1,047.28		5.29		1.04
Class 2 — assumed 5% return		1,000.00		1,019.69		5.22		1.04

Blue Chip Income and Growth Fund
Class 1 — actual return	$	1,000.00	$	1,086.22	$	2.23		.43	%
Class 1 — assumed 5% return		1,000.00		1,022.73		2.16		.43

Class 2 — actual return		1,000.00		1,085.33		3.53		.68
Class 2 — assumed 5% return		1,000.00		1,021.48		3.42		.68

See end of table for footnote.

American Funds Insurance Series

103


	Beginning account value 1/1/2012		Ending account value 6/30/2012		Expenses paid during period*		Annualized expense ratio

Global Growth and Income Fund
Class 1 — actual return	$	1,000.00	$	1,058.65	$	3.17		.62	%
Class 1 — assumed 5% return		1,000.00		1,021.78		3.12		.62

Class 2 — actual return		1,000.00		1,056.10		4.45		.87
Class 2 — assumed 5% return		1,000.00		1,020.54		4.37		.87

Growth-Income Fund
Class 1 — actual return	$	1,000.00	$	1,085.83	$	1.50		.29	%
Class 1 — assumed 5% return		1,000.00		1,023.42		1.46		.29

Class 2 — actual return		1,000.00		1,084.67		2.80		.54
Class 2 — assumed 5% return		1,000.00		1,022.18		2.72		.54

Class 3 — actual return		1,000.00		1,085.10		2.44		.47
Class 3 — assumed 5% return		1,000.00		1,022.53		2.36		.47

International Growth and Income Fund
Class 1 — actual return	$	1,000.00	$	1,064.18	$	3.80		.74	%
Class 1 — assumed 5% return		1,000.00		1,021.18		3.72		.74

Class 2 — actual return		1,000.00		1,062.82		5.08		.99
Class 2 — assumed 5% return		1,000.00		1,019.94		4.97		.99

Asset Allocation Fund
Class 1 — actual return	$	1,000.00	$	1,080.11	$	1.60		.31	%
Class 1 — assumed 5% return		1,000.00		1,023.32		1.56		.31

Class 2 — actual return		1,000.00		1,078.99		2.89		.56
Class 2 — assumed 5% return		1,000.00		1,022.08		2.82		.56

Class 3 — actual return		1,000.00		1,079.14		2.53		.49
Class 3 — assumed 5% return		1,000.00		1,022.43		2.46		.49

Global Balanced Fund
Class 1 — actual return	$	1,000.00	$	1,046.53	$	3.66		.72	%
Class 1 — assumed 5% return		1,000.00		1,021.28		3.62		.72

Class 2 — actual return		1,000.00		1,044.39		4.93		.97
Class 2 — assumed 5% return		1,000.00		1,020.04		4.87		.97

Bond Fund
Class 1 — actual return	$	1,000.00	$	1,031.68	$	1.97		.39	%
Class 1 — assumed 5% return		1,000.00		1,022.92		1.96		.39

Class 2 — actual return		1,000.00		1,030.64		3.23		.64
Class 2 — assumed 5% return		1,000.00		1,021.68		3.22		.64

Global Bond Fund
Class 1 — actual return	$	1,000.00	$	1,029.93	$	2.88		.57	%
Class 1 — assumed 5% return		1,000.00		1,022.03		2.87		.57

Class 2 — actual return		1,000.00		1,028.79		4.14		.82
Class 2 — assumed 5% return		1,000.00		1,020.79		4.12		.82

American Funds Insurance Series

104


	Beginning account value 1/1/2012		Ending account value 6/30/2012		Expenses paid during period*		Annualized expense ratio

High-Income Bond Fund
Class 1 — actual return	$	1,000.00	$	1,062.17	$	2.46		.48	%
Class 1 — assumed 5% return		1,000.00		1,022.48		2.41		.48

Class 2 — actual return		1,000.00		1,061.53		3.74		.73
Class 2 — assumed 5% return		1,000.00		1,021.23		3.67		.73

Class 3 — actual return		1,000.00		1,061.76		3.38		.66
Class 3 — assumed 5% return		1,000.00		1,021.58		3.32		.66

Mortgage Fund
Class 1 — actual return	$	1,000.00	$	1,018.14	$	2.26		.45	%
Class 1 — assumed 5% return		1,000.00		1,022.63		2.26		.45

Class 2 — actual return		1,000.00		1,017.18		3.51		.70
Class 2 — assumed 5% return		1,000.00		1,021.38		3.52		.70

U.S. Government/AAA-Rated Securities Fund
Class 1 — actual return	$	1,000.00	$	1,015.23	$	1.75		.35	%
Class 1 — assumed 5% return		1,000.00		1,023.12		1.76		.35

Class 2 — actual return		1,000.00		1,014.23		3.00		.60
Class 2 — assumed 5% return		1,000.00		1,021.88		3.02		.60

Class 3 — actual return		1,000.00		1,014.94		2.66		.53
Class 3 — assumed 5% return		1,000.00		1,022.23		2.66		.53

Cash Management Fund
Class 1 — actual return	$	1,000.00	$	999.12	$	1.69		.34	%
Class 1 — assumed 5% return		1,000.00		1,023.17		1.71		.34

Class 2 — actual return		1,000.00		998.22		2.93		.59
Class 2 — assumed 5% return		1,000.00		1,021.93		2.97		.59

Class 3 — actual return		1,000.00		998.23		2.58		.52
Class 3 — assumed 5% return		1,000.00		1,022.28		2.61		.52

* The “expenses paid during period” are equal to the “annualized expense ratio,” multiplied by the average account value over the period, multiplied by the number of days in the period, and divided by 366 (to reflect the one-half year period).

American Funds Insurance Series

105


Offices of the series and	Custodian of assets	Independent registered public
of the investment adviser	State Street Bank and Trust Company	accounting firm
Capital Research and	One Lincoln Street	PricewaterhouseCoopers LLP
Management Company	Boston, MA 02111	350 South Grand Avenue
333 South Hope Street		Los Angeles, CA 90071-2889
Los Angeles, CA 90071-1406	Counsel
	Bingham McCutchen LLP
6455 Irvine Center Drive	355 South Grand Avenue, Suite 4400
Irvine, CA 92618	Los Angeles, CA 90071-3106

Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the series prospectus and summary prospectuses, which can be obtained from your financial professional and should be read carefully before investing. You may also call American Funds Service Company (AFS) at 800/421-4225 or visit the American Funds website at americanfunds.com.

“American Funds Proxy Voting Procedures and Principles” — which describes how we vote proxies relating to portfolio securities — is available on the American Funds website or upon request by calling AFS. The series files its proxy voting record with the U.S. Securities and Exchange Commission (SEC) for the 12 months ended June 30 by August 31. The proxy voting record is available free of charge on the SEC website at sec.gov and on the American Funds website.

Complete June 30, 2012, portfolios of American Funds Insurance Series’ investments are available free of charge by calling AFS or visiting the SEC website (where they are part of Form N-CSR).

American Funds Insurance Series files a complete list of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This filing is available free of charge on the SEC website. You may also review or, for a fee, copy this filing at the SEC’s Public Reference Room in Washington, D.C. Additional information regarding the operation of the Public Reference Room may be obtained by calling the SEC’s Office of Investor Education and Advocacy at 800/SEC-0330. Additionally, the list of portfolio holdings is available by calling AFS.

This report is for the information of American Funds Insurance Series investors, but it also may be used as sales literature when preceded or accompanied by the current prospectus or summary prospectuses for American Funds Insurance Series and the prospectus for the applicable insurance contract, which give details about charges, expenses, investment objectives and operating policies of the series. If used as sales material after September 30, 2012, this report must be accompanied by a statistical update for the most recently completed calendar quarter.

106

The American Funds Insurance Series difference

Since 1931, American Funds has helped investors pursue long-term investment success. Our consistent approach — in combination with a proven system — has resulted in a superior long-term track record.


Consistent approach	Proven system	Superior long-term track record
We base our decisions on a long-term perspective because we believe it is the best way to achieve superior long-term investment results. AFIS portfolio counselors average 25 years of investment experience, including 21 years at our company,¹ reflecting a career commitment to our long-term approach.	Our system combines individual accountability with teamwork. Each fund is divided into portions that are managed by investment professionals with varied backgrounds, ages and investment styles. An extensive global research effort is the backbone of our system.	Our AFIS equity funds have beaten their comparable Lipper indexes or averages in 89% of 10-year periods and 100% of 20-year periods. Our AFIS fixed-income funds have beaten comparable Lipper indexes or averages in 63% of 10-year periods and 73% of 20-year periods.² AFIS fund management fees have been among the lowest in the industry.³


¹	As of May 2012.
²	Based on Class 2 share results for periods through 12/31/11. Periods covered are the shorter of the fund’s lifetime or since the inception of the comparable Lipper indexes or averages. The comparable Lipper indexes and averages are: Multi-Cap Growth Funds Index (Global Discovery Fund), Global Funds Index (Global Growth Fund), Global Small-Cap Funds Average (Global Small Capitalization Fund), Growth Funds Index (Growth Fund), International Funds Index (International Fund), Emerging Markets Funds Index (New World Fund), Growth & Income Funds Index (Blue Chip Income and Growth Fund, Growth-Income Fund), Flexible Portfolio Funds Index (Asset Allocation Fund), Corporate Debt A-Rated Bond Funds Average (Bond Fund), High Current Yield Funds Index (High-Income Bond Fund), General U.S. Government Funds Average (U.S. Government/AAA-Rated Securities Fund).
³	Based on management fees for the 20-year period ended 12/31/11 versus comparable Lipper categories, excluding funds of funds.




The Capital Group Companies
American Funds	Capital Research and Management	Capital International	Capital Guardian	Capital Bank and Trust

Lit. No. INGESR-995-0812P Litho in USA RCG/RRD/6311-S33189

Investment Advisers
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258

Directed Services LLC
1475 Dunwoody Drive
West Chester, Pennsylvania 19380

Administrator
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258

Distributor
ING Investments 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
The Bank of New York Mellon
One Wall Street
New York, New York 10286

Legal Counsel
Dechert LLP
1775 I Street, N.W.
Washington, D.C. 20006

Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable universal life insurance policy or variable annuity contract and the underlying variable investment options. This and other information is contained in the prospectus for the variable universal life policy or variable annuity contract and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.

VPSAR-UAMER (0612-082412)

Item 2. Code of Ethics.

Not required for semi-annual filing.

Item 3. Audit Committee Financial Expert.

Not required for semi-annual filing.

Item 4. Principal Accountant Fees and Services.

Not required for semi-annual filing.

Item 5. Audit Committee Of Listed Registrants.

Not required for semi-annual filing.

Item 6. Schedule of Investments.

For the Portfolios that have a complete Schedule of investments, the schedule is included as part of the report to shareholders filed under Item 1 of this Form.


ING ARTIO FOREIGN PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING ARTIO FOREIGN PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 80.0%
		Australia: 0.5%
94,859		Newcrest Mining Ltd.		2,207,473		0.5

		Canada: 5.6%
158,967		Barrick Gold Corp.		5,988,001		1.3
35,698	L	Cenovus Energy, Inc.		1,135,001		0.2
41,671		GoldCorp, Inc.		1,568,853		0.3
262,051	@,L	Ivanhoe Mines Ltd.		2,584,218		0.6
154,793		Potash Corp. of Saskatchewan, Inc.		6,765,827		1.4
301,029		Suncor Energy, Inc.		8,704,738		1.8
				26,746,638		5.6

		China: 4.7%
582,000	L	Agricultural Bank of China Ltd.		235,719		0.0
84,500		Anhui Conch Cement Co., Ltd.		232,499		0.0
19,946	@	Baidu.com ADR		2,293,391		0.5
2,145,000		Bank of China Ltd.		823,948		0.2
673,000		Bank of Communications Co., Ltd.		456,781		0.1
855,200		Belle International Holdings		1,465,095		0.3
367,980	@,L	Zoomlion Heavy Industry Science and Technology Co. Ltd		473,292		0.1
410,000		China Citic Bank		211,936		0.0
2,325,000		China Construction Bank		1,606,283		0.3
105,500		China Merchants Bank Co., Ltd.		200,037		0.0
247,500		China Mobile Ltd.		2,716,929		0.6
482,000	L	China National Building Material Co., Ltd.		526,595		0.1
994,000		China Petroleum & Chemical Corp.		888,365		0.2
336,000		China Resources Enterprise		1,003,889		0.2
473,000		CNOOC Ltd.		953,625		0.2
1,908,000		Dongfeng Motor Group Co., Ltd.		2,982,310		0.6
170,000		Golden Eagle Retail Group Ltd.		348,192		0.1
2,256,000		Industrial and Commercial Bank of China Ltd.		1,264,688		0.3
844,000	L	Intime Department Store Group Co. Ltd.		834,566		0.2
966,000		PetroChina Co., Ltd.		1,250,257		0.3
28,832		Tencent Holdings Ltd.		851,446		0.2
320,000	L	Tingyi Cayman Islands Holding Corp.		824,450		0.2
				22,444,293		4.7

		Czech Republic: 1.6%
42,673		Komercni Banka AS		7,444,360		1.6


		Denmark: 1.1%
35,001		Novo-Nordisk A/S	5,076,435	1.1

		Finland: 0.4%
94,735		Fortum OYJ	1,799,062	0.4

		France: 7.2%
46,153		BNP Paribas	1,779,420	0.4
75,163		Cie Generale D’Optique Essilor International S.A.	6,982,642	1.5
49,492		Eutelsat Communications	1,522,464	0.3
72,332		Gaz de France	1,724,966	0.4
83,946		Groupe Danone	5,216,971	1.1
14,942	L	Iliad SA	2,163,678	0.4
29,199		LVMH Moet Hennessy Louis Vuitton S.A.	4,443,802	0.9
7,867		PPR	1,121,298	0.2
67,951		Sanofi-Aventis	5,143,959	1.1
56,861		Schneider Electric S.A.	3,160,552	0.7
39,208	@	Societe Generale	919,413	0.2
			34,179,165	7.2

		Germany: 5.7%
15,764		Bayerische Motoren Werke AG	1,140,810	0.2
10,205		Brenntag AG	1,129,364	0.2
26,596		DaimlerChrysler AG	1,195,211	0.3
35,513		Deutsche Bank AG	1,281,782	0.3
49,550		Deutsche Post AG	876,714	0.2
123,409		Deutsche Telekom AG	1,352,497	0.3
171,371		E.ON AG	3,703,186	0.8
79,811		Fresenius AG	8,263,469	1.8
12,265		Henkel KGaA	680,609	0.1
47,670		Henkel KGaA - Vorzug	3,167,481	0.7
62,861		RWE AG	2,570,679	0.5
27,526		SAP AG	1,629,967	0.3
			26,991,769	5.7

		Hong Kong: 2.5%
46,000		Cheung Kong Holdings Ltd.	567,930	0.1
675,815		China Merchants Holdings International Co., Ltd.	2,067,487	0.5
1,497,000		Hang Lung Properties Ltd.	5,120,667	1.1
75,000		Hutchison Whampoa Ltd.	650,543	0.1
1,274,578		Li & Fung Ltd.	2,467,903	0.5
320,000		Zhuzhou CSR Times Electric Co., Ltd.	878,990	0.2
			11,753,520	2.5

		India: 0.6%
76,277		Adani Enterprises Ltd.	306,545	0.0
68,949		Jsw Steel Ltd.	845,461	0.2
368,747		Adani Ports and Special Economic Zone	805,140	0.2
29,243		State Bank of India Ltd.	1,140,687	0.2
			3,097,833	0.6

See Accompanying Notes to Financial Statements


ING ARTIO FOREIGN PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING ARTIO FOREIGN PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


		Israel: 0.5%
56,114		Teva Pharmaceutical Industries Ltd. ADR	2,213,136	0.5

		Italy: 0.4%
612,707		Intesa Sanpaolo S.p.A.	872,035	0.2
23,560		Saipem S.p.A.	1,049,231	0.2
			1,921,266	0.4

		Japan: 13.8%
44,116		Aisin Seiki Co., Ltd.	1,474,704	0.3
52,600		Bridgestone Corp.	1,207,912	0.3
39,800		Daikin Industries Ltd.	1,120,861	0.2
26,694		Fanuc Ltd.	4,387,990	0.9
203,317		Hitachi Ltd.	1,253,620	0.3
163,120		Honda Motor Co., Ltd.	5,692,162	1.2
771,717		Isuzu Motors Ltd.	4,133,612	0.9
272,646		Itochu Corp.	2,865,690	0.6
333		KDDI Corp.	2,148,154	0.4
196,228		Komatsu Ltd.	4,684,225	1.0
129,664		Mitsubishi Corp.	2,621,066	0.6
183,286		Mitsubishi Electric Corp.	1,533,456	0.3
79,300		Mitsui & Co., Ltd.	1,178,386	0.2
51,600		Nikon Corp.	1,570,742	0.3
401,771		Nissan Motor Co., Ltd.	3,815,109	0.8
28,800		Nitto Denko Corp.	1,233,928	0.3
18,911		SMC Corp.	3,278,746	0.7
85,900		Softbank Corp.	3,197,514	0.7
151,747		Suzuki Motor Corp.	3,115,803	0.7
231,135		Toyota Motor Corp.	9,329,122	2.0
91,200		Uni-Charm Corp.	5,191,218	1.1
			65,034,020	13.8

		Luxembourg: 0.4%
80,056		SES S.A.	1,892,829	0.4

		Macau: 1.2%
964,800		Sands China Ltd.	3,103,788	0.6
1,138,500	@,L	Wynn Macau Ltd.	2,686,523	0.6
			5,790,311	1.2

		Mexico: 0.5%
453,442		Grupo Financiero Banorte SA de CV	2,343,403	0.5

		Netherlands: 4.4%
29,542		ASML Holding NV	1,517,165	0.3
78,970		Reed Elsevier NV	900,928	0.2
366,569		Royal Dutch Shell PLC - Class A	12,350,764	2.6
167,266		Unilever NV	5,587,608	1.2
9,334	@	Ziggo NV	297,490	0.1
			20,653,955	4.4

		Russia: 1.3%
2,285,111	@	Sberbank	6,095,511	1.3

		South Korea: 1.4%
6,367		Samsung Electronics Co., Ltd.	6,742,573	1.4

		Spain: 0.7%
233,741		Banco Santander Central Hispano S.A.	1,546,259	0.3
87,245		Banco Bilbao Vizcaya Argentaria S.A.	623,049	0.1


248,397		Iberdrola S.A.	1,172,740	0.3
			3,342,048	0.7

		Sweden: 1.3%
80,153		Atlas Copco AB - Class A	1,724,955	0.4
84,822		Elekta AB	3,876,004	0.8
75,339		TeliaSonera AB	481,320	0.1
			6,082,279	1.3

		Switzerland: 8.2%
46,865	@	ABB Ltd.	765,221	0.2
20,538	@	Dufry Group	2,489,384	0.5
4,557		Flughafen Zuerich AG	1,600,736	0.3
125,117		Nestle S.A.	7,466,716	1.6
157,457		Novartis AG	8,803,628	1.9
24,394		Roche Holding AG - Genusschein	4,213,649	0.9
4,029		Swatch Group AG - BR	1,592,428	0.3
46,244	@	Swiss Re Ltd.	2,915,305	0.6
15,101		Syngenta AG	5,169,453	1.1
156,513	@	UBS AG - Reg	1,831,543	0.4
7,550	@	Zurich Financial Services AG	1,707,236	0.4
			38,555,299	8.2

		Taiwan: 1.1%
284,000		Hon Hai Precision Industry Co., Ltd.	858,688	0.2
1,551,000		Taiwan Semiconductor Manufacturing Co., Ltd.	4,245,813	0.9
			5,104,501	1.1

		United Kingdom: 14.9%
58,951		Amec PLC	929,327	0.2
217,412		ARM Holdings PLC	1,722,467	0.4
381,231		Barclays PLC	974,139	0.2
232,078		BG Group PLC	4,750,966	1.0
216,245		BHP Billiton PLC	6,146,192	1.3
222,191		Centrica PLC	1,110,943	0.2
210,656		Compass Group PLC	2,211,256	0.5
172,911		CRH PLC	3,335,977	0.7
297,956		Diageo PLC	7,679,793	1.6
310,581		GlaxoSmithKline PLC	7,054,531	1.5
784,855		HSBC Holdings PLC	6,915,997	1.5
286,647		National Grid PLC	3,037,885	0.7
79,556	@	Premier Oil PLC	422,682	0.1
69,772		Reckitt Benckiser PLC	3,687,928	0.8
22,633		Rio Tinto PLC	1,075,600	0.2
248,756	@	Rolls-Royce Holdings PLC	3,352,662	0.7
26,368,136	@	Rolls-Royce Holdings PLC C Share	41,296	0.0
4,022,414		Vodafone Group PLC	11,305,994	2.4
282,885		WPP PLC	3,434,144	0.7
84,194		Xstrata PLC	1,058,603	0.2
			70,248,382	14.9
	Total Common Stock (Cost $387,032,287)		377,760,061	80.0

EXCHANGE-TRADED FUNDS: 5.3%
581,313		iShares MSCI Emerging Markets Index Fund	22,781,656	4.8
26,024		Market Vectors Gold Miners ETF	1,165,095	0.3

See Accompanying Notes to Financial Statements


ING ARTIO FOREIGN PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING ARTIO FOREIGN PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

7,500

SPDR Gold Trust

1,163,925

0.2

Total Exchange-Traded Funds
(Cost $24,599,558)

25,110,676

5.3

PREFERRED STOCK: 0.6%

Germany: 0.6%

18,557

Volkswagen AG

2,939,954

0.6

Total Preferred Stock
(Cost $2,973,823)

2,939,954

0.6

RIGHTS: 0.1%

Canada: 0.1%

262,051

@,L

Ivanhoe Mines Ltd.

236,801

0.1

Total Rights
(Cost $–)

236,801

0.1

Principal
Amount†

Value

Percentage
of Net
Assets

STRUCTURED PRODUCTS: 0.1%

Ireland: 0.1%

75,714

@,Z

Ryanair Holdings Equity-Linked Notes (Counterparty: Barclays Bank PLC), 11/02/12

383,265

0.1

Total Structured Products
(Cost $356,885)

383,265

0.1

Total Long-Term Investments
(Cost $414,962,553)

406,430,757

86.1

SHORT-TERM INVESTMENTS: 8.9%

Securities Lending Collateral^cc⁽¹⁾: 1.8%

1,995,388

BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $1,995,419, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $2,035,296, due 05/01/32-06/01/42)

1,995,388

0.4

1,995,388

Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,995,421, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $2,035,296, due 07/01/42-02/20/61)

1,995,388

0.4

1,995,388

Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $1,995,418, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $2,035,296, due 04/01/24-06/01/42)

1,995,388

0.5

1,995,388

Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $1,995,429, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $2,035,296, due 10/01/14-02/25/44)

1,995,388

0.4

420,079

UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $420,086, collateralized by various U.S. Government Agency Obligations, 3.000%-6.500%, Market Value plus accrued interest $428,481, due 07/01/21-04/01/42)

420,079

0.1

8,401,631

1.8

Shares

Value

Percentage
of Net
Assets

Mutual Funds: 7.1%

33,693,653

BlackRock Liquidity Funds, TempFund, Institutional Class
(Cost $33,693,653)

33,693,653

7.1

Total Short-Term Investments
(Cost $42,095,284)

42,095,284

8.9

Total Investments in Securities
(Cost $457,057,837)

448,526,041

95.0

Assets in Excess of Other Liabilities

23,691,871

5.0

Net Assets

472,217,912

100.0

†

Unless otherwise indicated, principal amount is shown in USD.

Non-income producing security

ADR

American Depositary Receipt

See Accompanying Notes to Financial Statements


ING ARTIO FOREIGN PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING ARTIO FOREIGN PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

Z	Indicates Zero Coupon Bond; rate shown reflects current effective yield.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.

Cost for federal income tax purposes is $464,507,313.

Net unrealized depreciation consists of:



Gross Unrealized Appreciation	$	21,584,611
Gross Unrealized Depreciation		(37,565,883)


Net Unrealized Depreciation	$	(15,981,272)


Sector Diversification	Percentage of Net Assets
Consumer Discretionary		14.5	%
Consumer Staples		8.6
Energy		6.8
Exchange-Traded Funds		5.3
Financials		10.3
Health Care		11.1
Industrials		8.3
Information Technology		4.5
Materials		8.3
Rights		0.1
Telecommunication Services		5.0
Utilities		3.3
Short-Term Investments		8.9
Assets in Excess of Other Liabilities		5.0

Net Assets		100.0	%

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Australia	$	–	$	2,207,473	$	–	$	2,207,473
Canada		26,746,638		–		–		26,746,638
China		2,293,391		20,150,902		–		22,444,293
Czech Republic		–		7,444,360		–		7,444,360
Denmark		–		5,076,435		–		5,076,435
Finland		–		1,799,062		–		1,799,062
France		–		34,179,165		–		34,179,165
Germany		–		26,991,769		–		26,991,769
Hong Kong		–		11,753,520		–		11,753,520
India		–		3,097,833		–		3,097,833
Israel		2,213,136		–		–		2,213,136
Italy		–		1,921,266		–		1,921,266
Japan		–		65,034,020		–		65,034,020
Luxembourg		–		1,892,829		–		1,892,829
Macau		–		5,790,311		–		5,790,311
Mexico		2,343,403		–		–		2,343,403
Netherlands		297,490		20,356,465		–		20,653,955
Russia		6,095,511		–		–		6,095,511
South Korea		–		6,742,573		–		6,742,573
Spain		–		3,342,048		–		3,342,048
Sweden		–		6,082,279		–		6,082,279

See Accompanying Notes to Financial Statements


ING ARTIO FOREIGN PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING ARTIO FOREIGN PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Switzerland		–		38,555,299		–		38,555,299
Taiwan		–		5,104,501		–		5,104,501
United Kingdom		–		70,248,382		–		70,248,382

Total Common Stock		39,989,569		337,770,492		–		377,760,061

Exchange-Traded Funds		25,110,676		–		–		25,110,676
Preferred Stock		–		2,939,954		–		2,939,954
Rights		236,801		–		–		236,801
Structured Products		–		383,265		–		383,265
Short-Term Investments		33,693,653		8,401,631		–		42,095,284

Total Investments, at fair value	$	99,030,699	$	349,495,342	$	–	$	448,526,041

Other Financial Instruments+
Futures		423,136		–		–		423,136

Total Assets	$	99,453,835	$	349,495,342	$	–	$	448,949,177

Liabilities Table
Other Financial Instruments+
Futures	$	(1,786)	$	–	$	–	$	(1,786)
Forward Foreign Currency Contracts		–		(140,845)		–		(140,845)

Total Liabilities	$	(1,786)	$	(140,845)	$	–	$	(142,631)

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument.

The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a significant portion of the Fund’s investments are categorized as Level 2 investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

At June 30, 2012, the following forward foreign currency contracts were outstanding for the ING Artio Foreign Portfolio:


Counterparty	Currency	Contract Amount		Buy/Sell	Settlement Date	In Exchange For		Fair Value		Unrealized Appreciation (Depreciation)
JPMorgan Chase & Co.	EU Euro		9,202,498	Buy	09/19/12	$	11,681,099	$	11,655,047	$	(26,052)
JPMorgan Chase & Co.	British Pound		1,471,846	Buy	09/19/12		2,310,356		2,304,638		(5,718)

										$	(31,770)


JPMorgan Chase & Co.	British Pound		1,471,846	Sell	09/19/12	$	2,292,488	$	2,304,638	$	(12,150)
JPMorgan Chase & Co.	EU Euro		1,902,111	Sell	09/19/12		2,365,694		2,409,041		(43,347)
JPMorgan Chase & Co.	EU Euro		7,300,386	Sell	09/19/12		9,192,428		9,246,006		(53,578)

										$	(109,075)

ING Artio Foreign Portfolio Open Futures Contracts on June 30, 2012:


Contract Description	Number of Contracts	Expiration Date	Notional Value		Unrealized Appreciation/ (Depreciation)

Long Contracts
Euro STOXX 50^®	333	09/21/12	$	9,502,847	$	262,133
FTSE 100 Index	54	09/21/12		4,670,906		(1,786)
NIKKEI 225 (SGX)	106	09/13/12		4,836,250		149,553
S&P/TSX 60 Index	36	09/20/12		4,677,419		11,450

			$	23,687,422	$	421,350


Sector Diversification	Percentage of Net Assets

Consumer Discretionary		14.5	%
Consumer Staples		8.6
Energy		6.8
Exchange-Traded Funds		5.3
Financials		10.3

See Accompanying Notes to Financial Statements


ING ARTIO FOREIGN PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING ARTIO FOREIGN PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Health Care	11.1
Industrials	8.3
Information Technology	4.5
Materials	8.3
Rights	0.1
Telecommunication Services	5.0
Utilities	3.3
Short-Term Investments	8.9
Assets in Excess of Other Liabilities	5.0

Net Assets	100.0	%

A summary of derivative instruments by primary risk exposure is outlined in the following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities	Fair Value

Asset Derivatives

Equity contracts	Net Assets-Unrealized appreciation*	$	423,136

Total Asset Derivatives		$	423,136


Liability Derivatives

Foreign exchange contracts	Unrealized depreciation on forward foreign currency contracts	$	140,845
Equity contracts	Net Assets-Unrealized depreciation*		1,786

Total Liability Derivatives		$	142,631

*	Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments.

The effect of derivative instruments on the Portfolios Statement of Operations for the period ended June 30, 2012 was as follows:


	Amount of Realized Gain or (Loss) on Derivatives Recognized in Income

Derivatives not accounted for as hedging instruments	Foreign currency related transactions*		Futures		Total


Equity contracts	$	-	$	658,259	$	658,259
Foreign exchange contracts		47,352		-		47,352

Total	$	47,352	$	658,259	$	705,611


	Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income

Derivatives not accounted for as hedging instruments	Foreign currency related transactions*		Futures		Total


Equity contracts	$	-	$	290,202	$	290,202
Foreign exchange contracts		(247,086)		-		(247,086)

Total	$	(247,086)	$	290,202	$	43,116

*	Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions.

See Accompanying Notes to Financial Statements


ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 95.5%
		Consumer Staples: 1.6%
108,800		Brazil Pharma SA		583,950		0.3
62,700		CVS Caremark Corp.		2,929,971		1.3
				3,513,921		1.6

		Health Care: 93.4%
47,285	@	3SBio, Inc. ADR ADR		645,440		0.3
61,900		Abbott Laboratories		3,990,693		1.8
17,687	@	Acadia Healthcare Co., Inc.		310,230		0.1
33,800	@,L	Achillion Pharmaceuticals, Inc.		209,560		0.1
66,400	@	Acorda Therapeutics, Inc.		1,564,384		0.7
41,114		Aetna, Inc.		1,593,990		0.7
15,511	@	Affymax, Inc.		199,782		0.1
31,141		Agilent Technologies, Inc.		1,221,973		0.5
69,996	@	Alexion Pharmaceuticals, Inc.		6,950,603		3.1
81,874	@	Align Technology, Inc.		2,739,504		1.2
55,518		Allergan, Inc.		5,139,301		2.3
10,895	@	Alnylam Pharmaceuticals, Inc.		127,145		0.1
8,300	@	AMERIGROUP Corp.		547,053		0.2
16,500		AmerisourceBergen Corp.		649,275		0.3
104,119		Amgen, Inc.		7,604,852		3.4
38,600	@	Amylin Pharmaceuticals, Inc.		1,089,678		0.5
150,594	@	Ariad Pharmaceuticals, Inc.		2,591,723		1.2
38,900	@	Arqule, Inc.		230,677		0.1
39,600		Baxter International, Inc.		2,104,740		0.9
23,300		Bayer AG		1,678,986		0.8
7,500		Becton Dickinson & Co.		560,625		0.2
53,440	@	Biogen Idec, Inc.		7,715,667		3.5
31,900	@	BioMarin Pharmaceuticals, Inc.		1,262,602		0.6
32,034		Bristol-Myers Squibb Co.		1,151,622		0.5
33,500	@	Brookdale Senior Living, Inc.		594,290		0.3
49,503		Cardinal Health, Inc.		2,079,126		0.9
13,800	@	CareFusion Corp.		354,384		0.2
88,662	@	Celgene Corp.		5,688,554		2.6
15,600	@	Cepheid, Inc.		698,100		0.3
36,900	@	Cerner Corp.		3,050,154		1.4
22,872	@	ChemoCentryx, Inc.		343,080		0.2
40,900		Cigna Corp.		1,799,600		0.8
30,100		Cooper Cos., Inc.		2,400,776		1.1
82,510		Covidien PLC		4,414,285		2.0
19,300		CSL Ltd.		782,841		0.4
42,400	@	Cubist Pharmaceuticals, Inc.		1,607,384		0.7
25,971	@	Cyberonics		1,167,137		0.5
77,800		Densply International, Inc.		2,941,618		1.3
29,100	@	Edwards Lifesciences Corp.		3,006,030		1.3
64,700	@	Elan Corp. PLC ADR		943,973		0.4


77,000		Eli Lilly & Co.	3,304,070	1.5
35,000	@	Endo Pharmaceuticals Holdings, Inc.	1,084,300	0.5
168,100	@,L	Exelixis, Inc.	929,593	0.4
92,466	@	Express Scripts Holding Co.	5,162,377	2.3
15,900	@	Forest Laboratories, Inc.	556,341	0.2
6,448	@	Genmab A/S	64,517	0.0
16,200	@	Genomic Health, Inc.	541,080	0.2
52,010	@	Gilead Sciences, Inc.	2,667,073	1.2
23,100	@	Given Imaging Ltd.	364,980	0.2
49,000		GlaxoSmithKline PLC	1,112,985	0.5
24,800		HCA Holdings, Inc.	754,664	0.3
11,800	@,L	HeartWare International, Inc.	1,047,840	0.5
17,900	@	Henry Schein, Inc.	1,404,971	0.6
30,000	@	Human Genome Sciences, Inc.	393,900	0.2
7,408		Humana, Inc.	573,675	0.3
43,500	@	Icon Plc ADR	980,055	0.4
7,300	@	Idexx Laboratories, Inc.	701,749	0.3
97,200	@,L	Incyte Corp., Ltd.	2,206,440	1.0
7,196	@	Intuitive Surgical, Inc.	3,985,073	1.8
98,500		Johnson & Johnson	6,654,660	3.0
24,391	@	Life Technologies Corp.	1,097,351	0.5
26,800	@	Luminex Corp.	656,332	0.3
46,031		McKesson Corp.	4,315,406	1.9
1,546,390	@	Medipattern Corp.	394,913	0.2
33,900	@	Medivation, Inc.	3,098,460	1.4
72,288		Medtronic, Inc.	2,799,714	1.3
110,300		Merck & Co., Inc.	4,605,025	2.1
18,800		Merck KGaA	1,877,494	0.8
3,600	@	Mettler Toledo International, Inc.	561,060	0.2
28,700	@	Momenta Pharmaceuticals, Inc.	388,024	0.2
21,800		Novartis AG	1,218,867	0.5
26,749	@	Onyx Pharmaceuticals, Inc.	1,777,471	0.8
15,500		Perrigo Co.	1,827,915	0.8
286,830		Pfizer, Inc.	6,597,090	3.0
62,508	@,L	Pharmacyclics, Inc.	3,413,562	1.5
117,926	@,L	Protalix BioTherapeutics, Inc.	675,716	0.3
19,200		Quest Diagnostics	1,150,080	0.5
53,700	@	Resmed, Inc.	1,675,440	0.8
13,100		Roche Holding AG - Genusschein	2,262,802	1.0
61,400		Sanofi-Aventis	4,648,042	2.1
17,900	@	Sirona Dental Systems, Inc.	805,679	0.4
97,500		Stewart Enterprises, Inc.	696,150	0.3
79,100		Stryker Corp.	4,358,410	2.0
32,200	@	SXC Health Solutions Corp.	3,194,562	1.4
74,100	@,L	Synta Pharmaceuticals Corp.	405,327	0.2
40,100		Teva Pharmaceutical Industries Ltd. ADR	1,581,544	0.7
26,108	@,L	Theravance, Inc.	580,120	0.3
29,600		Thermo Fisher Scientific, Inc.	1,536,536	0.7
18,100	@	Thoratec Corp.	607,798	0.3
21,400		UCB S.A.	1,081,031	0.5

See Accompanying Notes to Financial Statements


ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


130,393		UnitedHealth Group, Inc.		7,627,990		3.4
23,900		Universal Health Services, Inc.		1,031,524		0.5
23,800	@	Valeant Pharmaceuticals International, Inc.		1,066,002		0.5
29,900	@	Varian Medical Systems, Inc.		1,817,023		0.8
77,167	@	VCA Antech, Inc.		1,696,131		0.8
24,680	@,L	Verastem, Inc.		251,736		0.1
67,620	@	Vertex Pharmaceuticals, Inc.		3,781,310		1.7
9,632	@	Waters Corp.		765,455		0.3
46,400	@	Watson Pharmaceuticals, Inc.		3,433,136		1.5
63,600		WellPoint, Inc.		4,057,044		1.8
2,506	@	William Demant Holding		225,259		0.1
65,500		Zimmer Holdings, Inc.		4,215,580		1.9
				208,097,891		93.4

		Industrials: 0.5%
59,729		Koninklijke Philips Electronics NV		1,177,003		0.5

	Total Common Stock (Cost $193,637,816)			212,788,815		95.5

WARRANTS: 0.0%
		Health Care: 0.0%
133,228	@	Novavax, Inc.		7,994		0.0

	Total Warrants (Cost $–)			7,994		0.0

	Total Long-Term Investments (Cost $193,637,816)			212,796,809		95.5

Principal Amount†			Value		Percentage of Net Assets
SHORT-TERM INVESTMENTS: 7.0%
		Securities Lending Collateral^cc⁽¹⁾: 3.7%
1,920,420		Cantor Fitzgerald, Repurchase Agreement dated 06/29/12, 0.23%, due 07/02/12 (Repurchase Amount $1,920,456, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-6.000%, Market Value plus accrued interest $1,958,828, due 04/20/61-05/15/42)		1,920,420		0.9


1,920,420		Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,920,452, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $1,958,828, due 07/01/42-02/20/61)		1,920,420		0.9
1,920,420		Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.15%, due 07/02/12 (Repurchase Amount $1,920,444, collateralized by various U.S. Government Securities, 0.375%, Market Value plus accrued interest $1,958,830, due 06/15/15)		1,920,420		0.8
1,920,420		Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $1,920,459, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $1,958,828, due 10/01/14-02/25/44)		1,920,420		0.9
404,299		UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $404,306, collateralized by various U.S. Government Agency Obligations, 3.000%-6.500%, Market Value plus accrued interest $412,385, due 07/01/21-04/01/42)		404,299		0.2
				8,085,979		3.7

Shares			Value		Percentage of Net Assets
		Mutual Funds: 3.3%
7,413,437		BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $7,413,437)		7,413,437		3.3

	Total Short-Term Investments (Cost $15,499,416)			15,499,416		7.0

See Accompanying Notes to Financial Statements


ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Total Investments in Securities
(Cost $209,137,232)

228,296,225

102.5

Liabilities in Excess of

Other Assets

(5,543,842)

(2.5)

Net Assets

222,752,383

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

@	Non-income producing security

ADR	American Depositary Receipt

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.

Cost for federal income tax purposes is $210,182,886.

Net unrealized appreciation consists of:



Gross Unrealized Appreciation	$	23,085,791
Gross Unrealized Depreciation		(4,972,452)


Net Unrealized Appreciation	$	18,113,339

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Consumer Staples	$	3,513,921	$	–	$	–	$	3,513,921
Health Care		193,145,067		14,952,824		–		208,097,891
Industrials		–		1,177,003		–		1,177,003

Total Common Stock		196,658,988		16,129,827		–		212,788,815

Warrants		–		7,994		–		7,994
Short-Term Investments		7,413,437		8,085,979		–		15,499,416

Total Investments, at fair value	$	204,072,425	$	24,223,800	$	–	$	228,296,225

Other Financial Instruments+
Forward Foreign Currency Contracts		–		849,332		–		849,332

Total Assets	$	204,072,425	$	25,073,132	$	–	$	229,145,557

Liabilities Table
Other Financial Instruments+
Forward Foreign Currency Contracts	$	–	$	(139,795)	$	–	$	(139,795)

Total Liabilities	$	–	$	(139,795)	$	–	$	(139,795)

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements


ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

At June 30, 2012, the following forward foreign currency contracts were outstanding for the ING BlackRock Health Sciences Opportunities Portfolio:


Counterparty	Currency	Contract Amount		Buy/Sell	Settlement Date	In Exchange For		Fair Value		Unrealized Appreciation (Depreciation)

Deutsche Bank AG	Swiss Franc		200,000	Buy	07/18/12	$	207,639	$	210,804	$	3,165
Citigroup, Inc.	Swedish Krona		3,976,000	Buy	07/18/12		563,192		574,385		11,193
Citigroup, Inc.	British Pound		429,800	Buy	07/18/12		695,647		673,104		(22,543)
Citigroup, Inc.	Swiss Franc		1,900,000	Buy	07/18/12		2,058,938		2,002,640		(56,298)
Deutsche Bank AG	EU Euro		1,207,000	Buy	07/18/12		1,508,164		1,527,683		19,519
Royal Bank of Scotland Group PLC	Danish Krone		1,074,800	Buy	07/18/12		191,560		183,038		(8,522)
Royal Bank of Scotland Group PLC	Swiss Franc		2,330,000	Buy	07/18/12		2,480,000		2,455,868		(24,132)

										$	(77,618)


Deutsche Bank AG	EU Euro		273,000	Sell	07/18/12	$	339,320	$	345,532	$	(6,212)
Deutsche Bank AG	EU Euro		1,233,500	Sell	07/18/12		1,541,849		1,561,222		(19,373)
Citigroup, Inc.	Danish Krone		142,000	Sell	07/18/12		23,783		24,183		(400)
Citigroup, Inc.	Australian Dollar		43,000	Sell	07/18/12		43,700		43,933		(233)
Citigroup, Inc.	EU Euro		178,000	Sell	07/18/12		226,129		225,292		837
Citigroup, Inc.	Swiss Franc		34,000	Sell	07/18/12		35,309		35,837		(528)
Citigroup, Inc.	Australian Dollar		23,000	Sell	07/18/12		22,589		23,499		(910)
Citigroup, Inc.	British Pound		36,000	Sell	07/18/12		55,736		56,380		(644)
Citigroup, Inc.	Swiss Franc		739,000	Sell	07/18/12		812,611		778,921		33,690
Citigroup, Inc.	Swiss Franc		986,000	Sell	07/18/12		1,078,925		1,039,265		39,660
Citigroup, Inc.	Swiss Franc		401,000	Sell	07/18/12		439,080		422,662		16,418
Citigroup, Inc.	Swiss Franc		991,000	Sell	07/18/12		1,090,739		1,044,534		46,205
Citigroup, Inc.	Swiss Franc		3,708,000	Sell	07/18/12		4,046,599		3,908,309		138,290
Citigroup, Inc.	Australian Dollar		549,000	Sell	07/18/12		562,634		560,913		1,721
Citigroup, Inc.	EU Euro		6,732,000	Sell	07/18/12		8,965,455		8,520,591		444,864
Citigroup, Inc.	Canadian Dollar		170,000	Sell	07/18/12		171,143		166,910		4,233
Citigroup, Inc.	Swedish Krona		3,799,000	Sell	07/18/12		574,612		548,816		25,796
Citigroup, Inc.	Swiss Franc		330,000	Sell	07/18/12		359,736		347,827		11,909
Citigroup, Inc.	EU Euro		17,000	Sell	07/18/12		22,254		21,517		737
Deutsche Bank AG	Swedish Krona		177,000	Sell	07/18/12		26,053		25,570		483
Deutsche Bank AG	Danish Krone		1,101,000	Sell	07/18/12		193,459		187,500		5,959
Deutsche Bank AG	British Pound		1,350,000	Sell	07/18/12		2,142,252		2,114,218		28,034
Deutsche Bank AG	Swiss Franc		113,000	Sell	07/18/12		119,506		119,104		402
Royal Bank of Scotland Group PLC	EU Euro		198,000	Sell	07/18/12		258,837		250,606		8,231
Royal Bank of Scotland Group PLC	British Pound		34,000	Sell	07/18/12		54,276		53,247		1,029
Royal Bank of Scotland Group PLC	Danish Krone		1,116,000	Sell	07/18/12		197,011		190,054		6,957

										$	787,155

A summary of derivative instruments by primary risk exposure is outlined in the following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities	Fair Value

Asset Derivatives

Foreign exchange contracts	Unrealized appreciation on forward foreign currency contracts	$	849,332

Total Asset Derivatives		$	849,332


Liability Derivatives

Foreign exchange contracts	Unrealized depreciation on forward foreign currency contracts	$	139,795

Total Liability Derivatives		$	139,795

See Accompanying Notes to Financial Statements


ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING BLACKROCK HEALTH SCIENCES OPPORTUNITIES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2012 was as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income


Derivatives not accounted for as hedging instruments	Foreign currency related transactions*


Foreign exchange contracts	$	38,549

Total	$	38,549

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income


Derivatives not accounted for as hedging instruments	Foreign currency related transactions*


Foreign exchange contracts	$	109,717

Total	$	109,717

*	Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions.

See Accompanying Notes to Financial Statements


ING CLARION GLOBAL REAL ESTATE PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING CLARION GLOBAL REAL ESTATE PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 96.6%
		Australia: 8.9%
906,400		Centro Retail Australia		1,839,662		0.7
3,341,271		Dexus Property Group		3,197,277		1.2
736,920		Goodman Group		2,790,307		1.0
329,140		GPT Group		1,113,335		0.4
858,725		Investa Office Fund		2,396,442		0.9
413,410		Mirvac Group		543,213		0.2
524,820		Stockland		1,665,727		0.6
734,202		Westfield Group		7,188,855		2.6
1,233,152	L	Westfield Retail Trust		3,617,068		1.3
				24,351,886		8.9

		Brazil: 0.2%
34,400		Sonae Sierra Brasil SA		496,518		0.2

		Canada: 2.2%
28,000		Boardwalk Real Estate Investment Trust		1,611,904		0.6
46,400		Brookfield Properties Co.		808,288		0.3
19,700	L	Calloway Real Estate Investment Trust		541,794		0.2
21,100	L	Canadian Real Estate Investment Trust		842,674		0.3
23,800	L	Primaris Retail Real Estate		550,759		0.2
60,600	L	RioCan Real Estate Investment Trust		1,648,777		0.6
				6,004,196		2.2

		China: 1.1%
3,890,722	@	Country Garden Holdings Co. Ltd.		1,544,948		0.6
872,000		Longfor Properties Co., Ltd.		1,375,216		0.5
				2,920,164		1.1

		France: 3.7%
7,752		Fonciere Des Regions		557,359		0.2
16,640	L	ICADE		1,258,494		0.5
60,385		Klepierre		1,984,488		0.7
8,070		Societe Immobiliere de Location pour l’Industrie et le Commerce		764,513		0.3
29,342		Unibail		5,405,105		2.0
				9,969,959		3.7

		Germany: 0.8%
20,670		Deutsche Wohnen AG		347,571		0.1
53,428		GSW Immobilien AG		1,826,590		0.7
				2,174,161		0.8

		Hong Kong: 8.4%
365,959		Cheung Kong Holdings Ltd.		4,518,240		1.6
280,100		Great Eagle Holding Co.		721,268		0.3
219,000		Hang Lung Group Ltd.		1,354,114		0.5
796,694		Hang Lung Properties Ltd.		2,725,187		1.0
90,013		Hongkong Land Holdings Ltd.		519,264		0.2


510,000		Kerry Properties Ltd.	2,194,618	0.8
1,045,600		Link Real Estate Investment Trust	4,285,770	1.6
1,418,628		Sino Land Co.	2,154,141	0.8
188,400		Sun Hung Kai Properties Ltd.	2,239,878	0.8
394,392		Wharf Holdings Ltd.	2,193,198	0.8
			22,905,678	8.4

		Japan: 12.9%
285		Advance Residence Investment Corp.	554,035	0.2
38,817		Daito Trust Construction Co., Ltd.	3,679,546	1.4
63,600		Daiwa House Industry Co., Ltd.	902,160	0.3
380		Japan Real Estate Investment Corp.	3,484,127	1.3
996		Japan Retail Fund Investment Corp.	1,579,910	0.6
160		Kenedix Realty Investment Corp.	517,314	0.2
477,719		Mitsubishi Estate Co., Ltd.	8,570,662	3.1
451,582		Mitsui Fudosan Co., Ltd.	8,761,972	3.2
128		Nippon Accommodations Fund, Inc.	829,022	0.3
173	L	Nippon Building Fund, Inc.	1,672,681	0.6
80,000		Nomura Real Estate Holdings, Inc.	1,464,988	0.5
594,000		Tokyo Tatemono Co., Ltd.	2,241,561	0.8
930		United Urban Investment Corp.	1,001,590	0.4
			35,259,568	12.9

		Netherlands: 0.6%
37,495		Corio NV	1,650,810	0.6

		Singapore: 3.6%
166,000		Ascendas Real Estate Investment Trust	283,188	0.1
2,708,000		CapitaCommercial Trust	2,723,646	1.0
748,380		CapitaLand Ltd.	1,613,622	0.6
1,099,179		CapitaMall Trust	1,664,916	0.6
214,500		Frasers Centrepoint Trust	283,123	0.1
1,305,500	@	Global Logistic Properties Ltd.	2,173,344	0.8
433,000		Keppel Land Ltd.	1,114,268	0.4
			9,856,107	3.6

		Sweden: 0.5%
72,350		Castellum AB	874,976	0.3
52,590		Hufvudstaden AB	563,730	0.2
			1,438,706	0.5

		United Kingdom: 4.4%
144,997		British Land Co. PLC	1,161,060	0.4
73,310		Derwent Valley Holdings PLC	2,131,384	0.8
237,790		Great Portland Estates PLC	1,467,985	0.5

See Accompanying Notes to Financial Statements


ING CLARION GLOBAL REAL ESTATE PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING CLARION GLOBAL REAL ESTATE PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


373,789	Hammerson PLC	2,596,019	1.0
295,706	Land Securities Group PLC	3,426,027	1.3
346,800	Safestore Holdings Ltd.	552,644	0.2
201,096	Segro PLC	685,131	0.2
		12,020,250	4.4

	United States: 49.3%
27,300	American Tower Corp.	1,908,543	0.7
52,825	AvalonBay Communities, Inc.	7,473,681	2.7
75,400	Boston Properties, Inc.	8,171,098	3.0
67,700	BRE Properties, Inc.	3,386,354	1.2
206,500	DDR Corp.	3,023,160	1.1
104,400	Douglas Emmett, Inc.	2,411,640	0.9
123,000	Equity Residential	7,670,280	2.8
24,400	Essex Property Trust, Inc.	3,755,648	1.4
26,400	Federal Realty Investment Trust	2,747,976	1.0
260,982	General Growth Properties, Inc.	4,721,164	1.7
103,700	HCP, Inc.	4,578,355	1.7
74,400	Health Care Real Estate Investment Trust, Inc.	4,337,520	1.6
39,500	Highwoods Properties, Inc.	1,329,175	0.5
388,221	Host Hotels & Resorts, Inc.	6,141,656	2.3
56,300	Kilroy Realty Corp.	2,725,483	1.0
194,100	Kimco Realty Corp.	3,693,723	1.4
99,400	Liberty Property Trust	3,661,896	1.3
101,565	Macerich Co.	5,997,413	2.2
46,600	Pebblebrook Hotel Trust	1,086,246	0.4
66,200	Post Properties, Inc.	3,240,490	1.2
155,927	ProLogis, Inc.	5,181,454	1.9
31,394	Public Storage, Inc.	4,533,608	1.7
107,651	Simon Property Group, Inc.	16,756,955	6.1
67,900	SL Green Realty Corp.	5,448,296	2.0
10,200	Starwood Hotels & Resorts Worldwide, Inc.	541,008	0.2
51,200	Tanger Factory Outlet Centers, Inc.	1,640,960	0.6
42,500	Taubman Centers, Inc.	3,279,300	1.2
190,275	UDR, Inc.	4,916,706	1.8
87,970	Ventas, Inc.	5,552,667	2.0
54,431	Vornado Realty Trust	4,571,115	1.7
		134,483,570	49.3

	Total Common Stock (Cost $171,644,416)	263,531,573	96.6


Principal Amount†		Value		Percentage of Net Assets
SHORT-TERM INVESTMENTS: 6.4%
	Securities Lending Collateral^cc⁽¹⁾: 3.4%
2,195,726	BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $2,195,760, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $2,239,641, due 05/01/32-06/01/42)		2,195,726		0.8
2,195,726	Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $2,195,762, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $2,239,641, due 07/01/42-02/20/61)		2,195,726		0.8
2,195,726	Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $2,195,758, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $2,239,640, due 04/01/24-06/01/42)		2,195,726		0.8
2,195,726	Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $2,195,771, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $2,239,640, due 10/01/14-02/25/44)		2,195,726		0.8

See Accompanying Notes to Financial Statements


ING CLARION GLOBAL REAL ESTATE PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING CLARION GLOBAL REAL ESTATE PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

462,257

UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $462,265, collateralized by various U.S. Government Agency Obligations, 3.000%-6.500%, Market Value plus accrued interest $471,502, due 07/01/21-04/01/42)

462,257

0.2

9,245,161

3.4

Shares

Value

Percentage
of Net
Assets

Mutual Funds: 3.0%

8,181,621

BlackRock Liquidity Funds, TempFund, Institutional Class

(Cost $8,181,621)

8,181,621

3.0

Total Short-Term Investments
(Cost $17,426,782)

17,426,782

6.4

Total Investments in Securities
(Cost $189,071,198)

280,958,355

103.0

Liabilities in Excess of Other Assets

(8,149,502

)

(3.0

)

Net Assets

272,808,853

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

@	Non-income producing security

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.

Cost for federal income tax purposes is $220,768,074.


Net unrealized appreciation consists of:

Gross Unrealized Appreciation	$	85,564,324
Gross Unrealized Depreciation		(25,374,043	)


Net Unrealized Appreciation	$	60,190,281


Industry Diversification	Percentage of Net Assets
Retail REITs		28.1	%
Diversified Real Estate Activities		14.1
Office REITs		12.8
Residential REITs		12.2
Specialized REITs		10.4
Diversified REITs		8.7
Real Estate Development		3.9
Industrial REITs		3.2
Real Estate Operating Companies		3.0
Hotels, Resorts & Cruise Lines		0.2


Short-Term Investments	6.4
Liabilities in Excess of Other Assets	(3.0	)

Net Assets	100.0	%

See Accompanying Notes to Financial Statements


ING CLARION GLOBAL REAL ESTATE PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING CLARION GLOBAL REAL ESTATE PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Australia	$	–	$	24,351,886	$	–	$	24,351,886
Brazil		496,518		–		–		496,518
Canada		6,004,196		–		–		6,004,196
China		–		2,920,164		–		2,920,164
France		–		9,969,959		–		9,969,959
Germany		–		2,174,161		–		2,174,161
Hong Kong		–		22,905,678		–		22,905,678
Japan		–		35,259,568		–		35,259,568
Netherlands		–		1,650,810		–		1,650,810
Singapore		–		9,856,107		–		9,856,107
Sweden		–		1,438,706		–		1,438,706
United Kingdom		552,644		11,467,606		–		12,020,250
United States		134,483,570		–		–		134,483,570

Total Common Stock		141,536,928		121,994,645		–		263,531,573

Short-Term Investments		8,181,621		9,245,161		–		17,426,782

Total Investments, at fair value	$	149,718,549	$	131,239,806	$	–	$	280,958,355

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements


ING FMR^SM DIVERSIFIED MID CAP PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING FMR^SM DIVERSIFIED MID CAP PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 90.0%
		Consumer Discretionary: 17.0%
28,600		Adidas AG		2,049,993		0.2
92,519		Advance Auto Parts, Inc.		6,311,646		0.6
68,400		American Eagle Outfitters		1,349,532		0.1
58,600		Anhanguera Educacional Participacoes SA		743,405		0.1
28,406	@	Asbury Automotive Group, Inc.		672,938		0.1
136,200	@	Ascena Retail Group, Inc.		2,536,044		0.2
28,999	@	Autozone, Inc.		10,647,563		1.0
19,273		Bajaj Auto Ltd.		546,992		0.0
188,387	@	Bed Bath & Beyond, Inc.		11,642,317		1.1
3,634	@	BorgWarner, Inc.		238,354		0.0
73,585	@	Cheesecake Factory		2,351,777		0.2
29,773		Coach, Inc.		1,741,125		0.2
187,000		Daihatsu Motor Co., Ltd.		3,273,842		0.3
98,709		Dana Holding Corp.		1,264,462		0.1
2,078,000		Prime Success International Group		2,120,074		0.2
130,700	@	Delphi Automotive PLC		3,332,850		0.3
194,117	@	Discovery Communications, Inc. - Class A		10,482,318		1.0
589,506		Exide Industries Ltd.		1,449,685		0.1
68,486		Expedia, Inc.		3,292,122		0.3
84,800		Foot Locker, Inc.		2,593,184		0.2
84,647		Genuine Parts Co.		5,099,982		0.5
94,775	@	Grand Canyon Education, Inc.		1,984,589		0.2
17,400		Group 1 Automotive, Inc.		793,614		0.1
55,530		Harley-Davidson, Inc.		2,539,387		0.2
59,230		Jarden Corp.		2,488,845		0.2
305,339	@	Jubilant Foodworks Ltd.		6,429,496		0.6
61,400	@	LKQ Corp.		2,050,760		0.2
117,960		Mattel, Inc.		3,826,622		0.3
13,112		MegaStudy Co., Ltd.		898,457		0.1
902,112	@	New Focus Auto Tech Holdings Ltd.		139,582		0.0
143,148		Newell Rubbermaid, Inc.		2,596,705		0.2
43,661	@	O’Reilly Automotive, Inc.		3,657,482		0.3
40,660	@	Papa John’s International, Inc.		1,934,196		0.2
33,800		Pearson PLC		670,650		0.1
94,522	L	Penske Auto Group, Inc.		2,007,647		0.2
47,336		Polaris Industries, Inc.		3,383,577		0.3
19,957		PVH Corp.		1,552,455		0.1
281,635		Ross Stores, Inc.		17,593,738		1.6
253,479	@	Sally Beauty Holdings, Inc.		6,524,549		0.6
81,200		Sonic Automotive, Inc.		1,110,004		0.1
125,859		Starbucks Corp.		6,710,802		0.6
604,296		Sun TV Network Ltd.		3,293,366		0.3
49,436		Texas Roadhouse, Inc.		911,105		0.1
365,852		Time Warner, Inc.		14,085,302		1.3
139,418		TJX Cos., Inc.		5,985,215		0.5
13,597	@	TRW Automotive Holdings Corp.		499,826		0.0
15,400		Tsutsumi Jewelry Co., Ltd.		374,436		0.0
35,928	@,L	Vera Bradley, Inc.		757,362		0.1


15,356		Weight Watchers International, Inc.	791,755	0.1
322,675		Wyndham Worldwide Corp.	17,017,880	1.6
			186,349,609	17.0

		Consumer Staples: 2.6%
262,000		Biostime International Holdings Ltd.	686,795	0.1
43,399		Britannia Industries Ltd.	410,410	0.0
49,200		Church & Dwight Co., Inc.	2,729,124	0.2
46,818		Jyothy Laboratories Ltd.	199,653	0.0
123,796		Kroger Co.	2,870,829	0.2
49,590		Molson Coors Brewing Co.	2,063,440	0.2
1,600		Orion Corp.	1,325,431	0.1
22,635	@	Post Holdings, Inc.	696,026	0.1
410,817		Safeway, Inc.	7,456,329	0.7
8,473,000		Want Want China Holdings Ltd.	10,478,053	1.0
			28,916,090	2.6

		Energy: 5.3%
24,716		Apache Corp.	2,172,289	0.2
179,371	@	Denbury Resources, Inc.	2,710,296	0.2
66,530		Halliburton Co.	1,888,787	0.2
455,325	@	Helix Energy Solutions Group, Inc.	7,471,883	0.7
69,500		Hess Corp.	3,019,775	0.3
88,847		HollyFrontier Corp.	3,147,849	0.3
233,196		Marathon Petroleum Corp.	10,475,164	0.9
120,641	@	McDermott International, Inc.	1,343,941	0.1
62,584		Murphy Oil Corp.	3,147,349	0.3
58,000		National Oilwell Varco, Inc.	3,737,520	0.3
35,300	@	Newfield Exploration Co.	1,034,643	0.1
226,646	@	Parker Drilling Co.	1,022,174	0.1
61,136	@	Pioneer Drilling Co.	487,254	0.0
210,363		QEP Resources, Inc.	6,304,579	0.6
53,800	@	Superior Energy Services	1,088,374	0.1
147,500		Talisman Energy, Inc.	1,690,723	0.1
30,406	@	Tesoro Corp.	758,934	0.1
49,425	@	Tetra Technologies, Inc.	352,400	0.0
253,316		Valero Energy Corp.	6,117,581	0.6
46,226	@	WPX Energy, Inc.	747,937	0.1
			58,719,452	5.3

		Financials: 15.9%
26,790		Acom Co., Ltd.	531,520	0.1
8,498	@	Altisource Portfolio Solutions SA	622,309	0.1
136,028		Ameriprise Financial, Inc.	7,108,823	0.7
123,486		Assured Guaranty Ltd.	1,741,153	0.2
29,700		Bank of Hawaii Corp.	1,364,715	0.1
579,811		BB&T Corp.	17,887,169	1.6
89,100		Brasil Insurance Participacoes e Administracao SA	791,852	0.1
12,800		City National Corp.	621,824	0.1
18,500		CME Group, Inc.	4,960,035	0.5
332,297		Comerica, Inc.	10,204,841	0.9
171,600		Credit Saison Co., Ltd.	3,815,356	0.3
92,247		CRISIL Ltd.	1,784,391	0.2

See Accompanying Notes to Financial Statements


ING FMR^SM DIVERSIFIED MID CAP PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING FMR^SM DIVERSIFIED MID CAP PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


245,428		Discover Financial Services	8,486,900	0.8
89,800		East-West Bancorp., Inc.	2,106,708	0.2
48,800		Extra Space Storage, Inc.	1,493,280	0.1
357,026		Fifth Third Bancorp.	4,784,148	0.4
157,945		Fulton Financial Corp.	1,577,871	0.1
10,800		Glacier Bancorp., Inc.	167,292	0.0
31,370		Goldcrest Co., Ltd.	484,667	0.0
217,070		HDFC Bank Ltd.	2,210,926	0.2
31,900		Hitachi Capital Corp.	533,933	0.1
2,034,811		Huntington Bancshares, Inc.	13,022,790	1.2
8,881	@	IntercontinentalExchange, Inc.	1,207,638	0.1
104,467	@	Invesco Ltd.	2,360,954	0.2
3,512	@	Kenedix, Inc.	509,300	0.0
179,300		Keycorp	1,387,782	0.1
305,959		Lincoln National Corp.	6,691,323	0.6
354,600		Marusan Securities Co., Ltd.	1,278,229	0.1
23,934		MB Financial Corp.	515,538	0.1
22,060		Mitsubishi UFJ Lease & Finance Co., Ltd.	917,600	0.1
41,627		Moody’s Corp.	1,521,467	0.1
627,732		Old Republic International Corp.	5,203,898	0.5
19,800		PacWest Bancorp	468,666	0.0
13,082		Progressive Corp.	272,498	0.0
375,245		Protective Life Corp.	11,035,956	1.0
1,751,380		Regions Financial Corp.	11,821,815	1.1
305,702		Reinsurance Group of America, Inc.	16,266,404	1.5
100,397		SEI Investments Co.	1,996,896	0.2
1,299,000		Shinsei Bank Ltd.	1,580,365	0.1
30,019		Shriram Transport Finance Co. Ltd.	286,355	0.0
13,200	@	Signature Bank	804,804	0.1
92,900		Sumitomo Mitsui Financial Group, Inc.	3,068,945	0.3
51,672		SunTrust Bank	1,252,013	0.1
703,725		Synovus Financial Corp.	1,393,376	0.1
79,167		TCF Financial Corp.	908,837	0.1
589,490		TD Ameritrade Holding Corp.	10,021,330	0.9
22,778		UMB Financial Corp.	1,166,917	0.1
123,600		UnumProvident Corp.	2,364,468	0.2
359,000		Wharf Holdings Ltd.	1,996,384	0.2
			174,602,261	15.9

		Health Care: 8.7%
99,389	@,L	3SBio, Inc. ADR ADR	1,356,660	0.1
75,146		Aetna, Inc.	2,913,410	0.3
157,300		Agilent Technologies, Inc.	6,172,452	0.6
118,972	@	Alexion Pharmaceuticals, Inc.	11,813,920	1.1
23,829	@	Allscripts Healthcare Solutions, Inc.	260,451	0.0
63,878	@,L	Athenahealth, Inc.	5,057,221	0.5
10,000	@	Biogen Idec, Inc.	1,443,800	0.1
387,473	@	Boston Scientific Corp.	2,196,972	0.2
2,700		Cardinal Health, Inc.	113,400	0.0
17,190	@	Celgene Corp.	1,102,910	0.1
16,317	@	Centene Corp.	492,121	0.0
22,480	@	Cerner Corp.	1,858,197	0.2
357,035		Cipla Ltd.	2,033,877	0.2
171,198	@	Community Health Systems, Inc.	4,798,680	0.4


36,500	@	Express Scripts Holding Co.	2,037,795	0.2
97,099	@	Genomic Health, Inc.	3,243,107	0.3
41,900	@,L	Halozyme Therapeutics, Inc.	371,234	0.0
140,249	@	Health Management Associates, Inc.	1,100,955	0.1
10,200	@	Health Net, Inc.	247,554	0.0
32,200		Hill-Rom Holdings, Inc.	993,370	0.1
11,937		Humana, Inc.	924,401	0.1
61,294	@	Jazz Pharmaceuticals PLC	2,758,843	0.2
172,235		McKesson Corp.	16,147,031	1.5
100,606		Medicis Pharmaceutical Corp.	3,435,695	0.3
267	@	Molina Healthcare, Inc.	6,264	0.0
205,646		Omnicare, Inc.	6,422,325	0.6
24,545		Opto Circuits India Ltd.	68,135	0.0
32,150	@	PharMerica Corp.	351,078	0.0
53,700	@,L	Pharmstandard GDR	765,225	0.1
44,681	@,L	Questcor Pharmaceuticals, Inc.	2,378,816	0.2
21,555	@	Salix Pharmaceuticals Ltd.	1,173,454	0.1
177,788	@	Tenet Healthcare Corp.	931,609	0.1
104,157		Thermo Fisher Scientific, Inc.	5,406,790	0.5
46,800	@	United Therapeutics Corp.	2,310,984	0.2
49,767		UnitedHealth Group, Inc.	2,911,369	0.3
			95,600,105	8.7

		Industrials: 11.4%
247,410		Actuant Corp.	6,719,656	0.6
81,938		Acuity Brands, Inc.	4,171,464	0.4
205,953	@	AGCO Corp.	9,418,231	0.9
9,800		Apogee Enterprises, Inc.	157,486	0.0
113,038		Blue Star Ltd.	332,556	0.0
18,700		Brady Corp.	514,437	0.1
9,780		Brink’s Co.	226,700	0.0
1,000		CDI Corp.	16,400	0.0
45,500		Chicago Bridge & Iron Co. NV	1,727,180	0.2
13,273		Con-way, Inc.	479,288	0.0
99,121	@	Copa Holdings S.A.	8,175,500	0.8
103,585	@	Copart, Inc.	2,453,929	0.2
101,499		Corporate Executive Board Co.	4,149,279	0.4
100,095		Corrections Corp. of America	2,947,798	0.3
32,855		Dover Corp.	1,761,357	0.2
614		Dun & Bradstreet Corp./The	43,698	0.0
18,986	@	Dycom Industries, Inc.	353,329	0.0
35,690		Eaton Corp.	1,414,395	0.1
85,500		Edenred	2,423,874	0.2
201		en-japan, Inc.	228,162	0.0
199,413		Equifax, Inc.	9,292,646	0.9
20,105		FedEx Corp.	1,841,819	0.2
116,887		Fluor Corp.	5,767,205	0.5
3,800	@	GP Strategies Corp.	70,186	0.0
134,750		Harsco Corp.	2,746,205	0.3
31,499		Hubbell, Inc.	2,455,032	0.2
125,300		Illinois Tool Works, Inc.	6,627,117	0.6
165,850		Ingersoll-Rand PLC	6,995,553	0.6
6,404		Kansas City Southern	445,462	0.0
7,584		KBR, Inc.	187,401	0.0

See Accompanying Notes to Financial Statements


ING FMR^SM DIVERSIFIED MID CAP PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING FMR^SM DIVERSIFIED MID CAP PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


7,724		Kennametal, Inc.	256,051	0.0
35,954	@	Kforce, Inc.	483,941	0.0
27,400		Kitz Corp.	117,374	0.0
9,800		Landstar System, Inc.	506,856	0.1
94,364		Lennox International, Inc.	4,400,193	0.4
303,819	@	MAX India Ltd.	1,049,502	0.1
9,500		Mine Safety Appliances Co.	382,280	0.0
3,668		MSC Industrial Direct Co.	240,437	0.0
143,300		Multiplus SA	3,417,511	0.3
12,200		Norfolk Southern Corp.	875,594	0.1
83,370	@	Old Dominion Freight Line	3,609,087	0.3
78,865		Parker Hannifin Corp.	6,063,141	0.6
52,071	@	Quanta Services, Inc.	1,253,349	0.1
85,830		Randstad Holdings NV	2,530,866	0.3
121,805		Republic Services, Inc.	3,222,960	0.3
101,700		Robert Half International, Inc.	2,905,569	0.3
51,600		Roper Industries, Inc.	5,086,728	0.5
72,559	@	United Rentals, Inc.	2,469,908	0.2
34,965		URS Corp.	1,219,579	0.1
50,600	@,X	Uzel Makina Sanayii AS	–	–
3,900		Valmont Industries, Inc.	471,783	0.0
			124,706,054	11.4

		Information Technology: 19.2%
11,194	@	Alliance Data Systems Corp.	1,511,190	0.1
75,068		Analog Devices, Inc.	2,827,812	0.3
238,204		Applied Materials, Inc.	2,729,818	0.3
78,602	@	Arrow Electronics, Inc.	2,578,932	0.2
244,010	@	Autodesk, Inc.	8,537,910	0.8
949,437	@	Brocade Communications Systems, Inc.	4,680,724	0.4
21,000	@	CGI Group, Inc.	504,734	0.0
49,313	@	Check Point Software Technologies	2,445,432	0.2
51,446	@	CoreLogic, Inc.	941,976	0.1
7,100	@	Deltek, Inc.	82,289	0.0
1,161,700		Digital China Holdings Ltd.	2,047,184	0.2
133,002	@	eBay, Inc.	5,587,414	0.5
160,000		Epistar Corp.	355,647	0.0
35,406		FEI Co.	1,693,823	0.2
133,200		Fidelity National Information Services, Inc.	4,539,456	0.4
59,585		Fidessa Group PLC	1,448,986	0.1
303,921	@	Fiserv, Inc.	21,949,175	2.0
147,236		Gemalto NV	10,575,015	1.0
25,500	@	Genpact Ltd.	424,065	0.0
1,600	@	Google, Inc. - Class A	928,112	0.1
12,700		Heartland Payment Systems, Inc.	382,016	0.0
177,114	L	Ingenico	8,598,149	0.8
291,178		Intuit, Inc.	17,281,414	1.6
83,249	@	Itron, Inc.	3,433,189	0.3
201,831		Jabil Circuit, Inc.	4,103,224	0.4
19,593		Jack Henry & Associates, Inc.	676,350	0.1
222,500		KLA-Tencor Corp.	10,958,125	1.0
125,673		Kontron AG	775,168	0.1
56,900	@	LSI Logic Corp.	362,453	0.0
507,602	@	Marvell Technology Group Ltd.	5,725,751	0.5
24,517		Mastercard, Inc.	10,545,007	1.0
555,541	@	Mentor Graphics Corp.	8,333,115	0.8


148,808	@	MIC Electronics Ltd.	16,812	0.0
366,634		Motorola Solutions, Inc.	17,638,762	1.6
84,915	@	NCR Corp.	1,930,118	0.2
44,860	@	NeuStar, Inc.	1,498,324	0.1
9,900	@	Nice Systems Ltd. ADR	362,340	0.0
149,375	@	Nuance Communications, Inc.	3,558,112	0.3
92,337	@	Parametric Technology Corp.	1,935,384	0.2
27,900	@	Plexus Corp.	786,780	0.1
404,923	@	PMC - Sierra, Inc.	2,486,227	0.2
4,932	@	Polycom, Inc.	51,885	0.0
479,755	@	Synopsys, Inc.	14,119,190	1.3
456,925		Total System Services, Inc.	10,934,215	1.0
57,254	@,L	Ubiquiti Networks, Inc.	815,869	0.1
27,537	@	UbiSoft Entertainment	184,609	0.0
37,505		Visa, Inc.	4,636,743	0.4
80,038	@	Vishay Intertechnology, Inc.	754,758	0.1
34,384	@,L	VistaPrint NV	1,110,603	0.1
			210,384,386	19.2

		Materials: 4.7%
50,752		Albemarle Corp.	3,026,849	0.3
43,500		Ball Corp.	1,785,675	0.2
42,500		CF Industries Holdings, Inc.	8,233,950	0.7
113,900		Commercial Metals Co.	1,439,696	0.1
69,312		FMC Corp.	3,706,806	0.3
47,946		HB Fuller Co.	1,471,942	0.1
59,700		Iamgold Corp.	706,009	0.1
198,187		International Paper Co.	5,729,586	0.5
77,145		Kinross Gold Corp.	629,678	0.1
131,400		Kinross Gold Corp.	1,070,910	0.1
305,890		LyondellBasell Industries NV	12,318,190	1.1
15,624		Newmont Mining Corp.	757,920	0.1
12,500		PPG Industries, Inc.	1,326,500	0.1
250,632		Steel Dynamics, Inc.	2,944,926	0.3
78,395	@	WR Grace & Co.	3,955,028	0.4
87,434	L	Yamana Gold, Inc.	1,346,484	0.1
31,600		Yamana Gold, Inc. (Canadian Denominated Security)	487,610	0.0
76,260	@,L	Zoltek Cos., Inc.	688,628	0.1
			51,626,387	4.7

		Utilities: 5.2%
256,431	@	AES Corp.	3,290,010	0.3
63,782		Aqua America, Inc.	1,591,999	0.1
9,852		Black Hills Corp.	316,939	0.0
130,900		Consolidated Edison, Inc.	8,140,671	0.7
72,500		DTE Energy Co.	4,301,425	0.4
57,294		Hawaiian Electric Industries	1,634,025	0.2
51,800		Integrys Energy Group, Inc.	2,945,866	0.3
168,800		Northeast Utilities	6,551,128	0.6
106,500		Pepco Holdings, Inc.	2,084,205	0.2
101,560		Pacific Gas & Electric Co.	4,597,621	0.4
83,575		Pinnacle West Capital Corp.	4,324,170	0.4
135,675		Questar Corp.	2,830,180	0.3
59,979		Sempra Energy	4,131,354	0.4
47,600		Vectren Corp.	1,405,152	0.1
120,900		Wisconsin Energy Corp.	4,784,013	0.4

See Accompanying Notes to Financial Statements


ING FMR^SM DIVERSIFIED MID CAP PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING FMR^SM DIVERSIFIED MID CAP PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

146,500

Xcel Energy, Inc.

4,162,065

0.4

57,090,823

5.2

Total Common Stock
(Cost $924,535,375)

987,995,167

90.0

PREFERRED STOCK: 0.3%

Financials: 0.3%

1,100

#,@,P

Ally Financial, Inc.

980,065

0.1

64,456

@,P

GMAC Capital Trust I

1,550,167

0.2

Total Preferred Stock
(Cost $2,138,810)

2,530,232

0.3

WARRANTS: 0.0%

Energy: 0.0%

87,428

@,L

Magnum Hunter Resources Corp.

32,060

0.0

Industrials: 0.0%

158,602

Voyager Oil & Gas, Inc.

51,403

0.0

Total Warrants
(Cost $–)

83,463

0.0

Principal
Amount†

Value

Percentage
of Net
Assets

CORPORATE BONDS/NOTES: 0.0%

Consumer Staples: 0.0%

^INR993,140

Britannia Industries Ltd., 8.250%, 03/22/13

18,097

0.0

Total Corporate Bonds

/Notes

(Cost $20,949)

18,097

0.0

Total Long-Term

Investments

(Cost $926,695,134)

990,626,959

90.3

SHORT-TERM INVESTMENTS: 11.1%

Securities Lending Collateral^cc(1): 1.1%

2,821,618

BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $2,821,662, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $2,878,050, due 05/01/32-06/01/42)

2,821,618

0.3

2,821,618

Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $2,821,664, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $2,878,050, due 07/01/42-02/20/61)

2,821,618

0.3

2,821,618

Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $2,821,660, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $2,878,050, due 04/01/24-06/01/42)

2,821,618

0.3

2,821,618

Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $2,821,676, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $2,878,050, due 10/01/14-02/25/44)

2,821,618

0.2

594,023

UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $594,033, collateralized by various U.S. Government Agency Obligations, 3.000%-6.500%, Market Value plus accrued interest $605,903, due 07/01/21-04/01/42)

594,023

0.0

11,880,495

1.1

Shares

Value

Percentage
of Net
Assets

Mutual Funds: 10.0%

110,236,250

BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $110,236,250)

110,236,250

10.0

Total Short-Term Investments
(Cost $122,116,745)

122,116,745

11.1

Total Investments in Securities
(Cost $1,048,811,879)

1,112,743,704

101.4

Liabilities in Excess of Other Assets

(15,056,279)

(1.4)

Net Assets

1,097,687,425

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

#	Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.

@	Non-income producing security

See Accompanying Notes to Financial Statements


ING FMR^SM DIVERSIFIED MID CAP PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING FMR^SM DIVERSIFIED MID CAP PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

ADR	American Depositary Receipt

GDR	Global Depositary Receipt

P	Preferred Stock may be called prior to convertible date.

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

X	Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.

INR Indian Rupee

Cost for federal income tax purposes is $1,063,055,979.

Net unrealized appreciation consists of:

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Consumer Discretionary	$	165,103,036	$	21,246,573	$	–	$	186,349,609
Consumer Staples		15,815,748		13,100,342		–		28,916,090
Energy		58,719,452		–		–		58,719,452
Financials		155,604,290		18,997,971		–		174,602,261
Health Care		93,498,093		2,102,012		–		95,600,105
Industrials		118,023,720		6,682,334		–		124,706,054
Information Technology		186,382,816		24,001,570		–		210,384,386
Materials		51,626,387		–		–		51,626,387
Utilities		57,090,823		–		–		57,090,823

Total Common Stock		901,864,365		86,130,802		–		987,995,167

Preferred Stock		–		2,530,232		–		2,530,232
Warrants		–		83,463		–		83,463
Corporate Bonds/Notes		–		18,097		–		18,097
Short-Term Investments		110,236,250		11,880,495		–		122,116,745

Total Investments, at fair value	$	1,012,100,615	$	100,643,089	$	–	$	1,112,743,704

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements


ING GLOBAL RESOURCES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING GLOBAL RESOURCES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 97.9%
		Canada: 6.2%
100,500		Barrick Gold Corp.		3,775,785		0.5
484,500		Centerra Gold, Inc.		3,388,312		0.4
344,294	L	GoldCorp, Inc.		12,938,569		1.7
389,000	@	Harry Winston Diamond Corp.		4,413,073		0.6
68,900		Suncor Energy, Inc.		1,994,655		0.2
608,896	L	Teck Cominco Ltd. - Class B		18,839,242		2.5
737,438	@	Thompson Creek Metals Co., Inc.		2,352,427		0.3
42		Trican Well Services Ltd.		485		0.0
				47,702,548		6.2

		France: 1.3%
99,443		Technip S.A.		10,363,578		1.3

		Netherlands: 2.9%
326,942		Royal Dutch Shell PLC - Class A ADR		22,045,699		2.9

		Norway: 2.7%
849,900		Statoil ASA ADR		20,278,614		2.7

		United Kingdom: 4.3%
257,202		Antofagasta PLC		4,399,653		0.6
393,074		BG Group PLC		8,046,782		1.0
123,054	@	Ensco PLC		5,779,846		0.8
160,987		Randgold Resources Ltd. ADR		14,490,440		1.9
				32,716,721		4.3

		United States: 80.5%
354,200		Anadarko Petroleum Corp.		23,448,040		3.1
584,347	L	Arch Coal, Inc.		4,026,151		0.5
586,400	@	Basic Energy Services, Inc.		6,051,648		0.8
409,800	@	Cameron International Corp.		17,502,558		2.3
610,479		Chevron Corp.		64,405,535		8.5
226,476		Cimarex Energy Co.		12,483,357		1.6
295,300		Cliffs Natural Resources, Inc.		14,555,337		1.9
225,700		ConocoPhillips		12,612,116		1.7
80,900		Consol Energy, Inc.		2,446,416		0.3
369,000		Devon Energy Corp.		21,398,310		2.8
141,400		Domtar Corp.		10,846,794		1.4
359,800	@,L	Energy XXI Bermuda Ltd.		11,258,142		1.5
259,000		EOG Resources, Inc.		23,338,490		3.1
308,100		EQT Corp.		16,523,403		2.2
936,958		ExxonMobil Corp.		80,175,496		10.5
368,900	@,L	Forum Energy Technologies, Inc.		7,263,641		1.0
921,300		Freeport-McMoRan Copper & Gold, Inc.		31,388,691		4.1
487,700	@	FX Energy, Inc.		2,901,815		0.4
815,628		Halliburton Co.		23,155,679		3.0
148,300		Hess Corp.		6,443,635		0.9


525,400	@	Key Energy Services, Inc.		3,993,040		0.5
162,700	@,L	Laredo Petroleum Holdings, Inc.		3,384,160		0.4
113,900		Marathon Oil Corp.		2,912,423		0.4
156,900		Mosaic Co/The		8,591,844		1.1
360,112		National Oilwell Varco, Inc.		23,205,617		3.0
332,000	@	Newfield Exploration Co.		9,730,920		1.3
531,800		Newmont Mining Corp.		25,797,618		3.4
228,100		Occidental Petroleum Corp.		19,564,137		2.6
138,400		Packaging Corp. of America		3,908,416		0.5
233,100		Patterson-UTI Energy, Inc.		3,393,936		0.4
126,900	@	Phillips 66		4,218,156		0.6
259,200		Range Resources Corp.		16,036,704		2.1
504,500	@	Rowan Companies PLC		16,310,485		2.1
694,425		Schlumberger Ltd.		45,075,127		5.9
529,300	@	Southwestern Energy Co.		16,900,549		2.2
105,700	@	Stillwater Mining Co.		902,678		0.1
299,300	@	Superior Energy Services		6,054,839		0.8
303,300	@	Unit Corp.		11,188,737		1.5
				613,394,640		80.5

	Total Common Stock (Cost $777,237,225)			746,501,800		97.9

Principal Amount†			Value		Percentage of Net Assets
SHORT-TERM INVESTMENTS: 4.2%
		Securities Lending Collateral^cc(1): 2.3%
4,146,635		Cantor Fitzgerald, Repurchase Agreement dated 06/29/12, 0.23%, due 07/02/12 (Repurchase Amount $4,146,713, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-6.000%, Market Value plus accrued interest $4,229,568, due 04/20/61-05/15/42)		4,146,635		0.5

See Accompanying Notes to Financial Statements


ING GLOBAL RESOURCES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING GLOBAL RESOURCES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


4,146,635	Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $4,146,703, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $4,229,568, due 07/01/42-02/20/61)	4,146,635	0.5
4,146,635	Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.15%, due 07/02/12 (Repurchase Amount $4,146,686, collateralized by various U.S. Government Securities, 0.375%, Market Value plus accrued interest $4,229,572, due 06/15/15)	4,146,635	0.6
4,146,635	Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $4,146,720, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $4,229,568, due 10/01/14-02/25/44)	4,146,635	0.6
872,976	UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $872,990, collateralized by various U.S. Government Agency Obligations, 3.000%-6.500%, Market Value plus accrued interest $890,436, due 07/01/21-04/01/42)	872,976	0.1
		17,459,516	2.3

Shares

Value

Percentage
of Net
Assets

Mutual Funds: 1.9%

14,255,000

BlackRock Liquidity Funds, TempFund, Institutional Class

(Cost $14,255,000)

14,255,000

1.9

Total Short-Term Investments
(Cost $31,714,516)

31,714,516

4.2

Total Investments in Securities
(Cost $808,951,741)

778,216,316

102.1

Liabilities in Excess of Other Assets

(16,061,507)

(2.1)

Net Assets

762,154,809

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

@	Non-income producing security

ADR	American Depositary Receipt

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.


Cost for federal income tax purposes is $820,727,003.

Net unrealized depreciation consists of:

Gross Unrealized Appreciation	$	52,256,541
Gross Unrealized Depreciation		(94,767,228)


Net Unrealized Depreciation	$	(42,510,687)


Industry Diversification	Percentage of Net Assets
Oil, Gas & Consumable Fuels		53.5	%
Energy Equipment & Services		23.4
Metals & Mining		18.0
Paper & Forest Products		1.4
Chemicals		1.1
Containers & Packaging		0.5
Short-Term Investments		4.2
Liabilities in Excess of Other Assets		(2.1	)

Net Assets		100.0	%

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)	Significant Other Observable Inputs # (Level 2)	Significant Unobservable Inputs (Level 3)	Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock

See Accompanying Notes to Financial Statements


ING GLOBAL RESOURCES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING GLOBAL RESOURCES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Canada	$	47,702,548	$	–	$	–	$	47,702,548
France		–		10,363,578		–		10,363,578
Netherlands		22,045,699		–		–		22,045,699
Norway		20,278,614		–		–		20,278,614
United Kingdom		5,779,846		26,936,875		–		32,716,721
United States		613,394,640		–		–		613,394,640

Total Common Stock		709,201,347		37,300,453		–		746,501,800

Short-Term Investments		14,255,000		17,459,516		–		31,714,516

Total Investments, at fair value	$	723,456,347	$	54,759,969	$	–	$	778,216,316

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements


ING INVESCO VAN KAMPEN GROWTH AND INCOME PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING INVESCO VAN KAMPEN GROWTH AND INCOME PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 92.6%
		Consumer Discretionary: 11.3%
166,189		Carnival Corp.		5,695,297		1.0
426,732		Comcast Corp. – Class A		13,642,622		2.5
139,808		Home Depot, Inc.		7,408,426		1.3
88,399		Kohl’s Corp.		4,021,271		0.7
124,356		Time Warner Cable, Inc.		10,209,628		1.9
265,197		Time Warner, Inc.		10,210,084		1.9
234,418		Viacom - Class B		11,022,334		2.0
				62,209,662		11.3

		Consumer Staples: 11.7%
183,930		Archer-Daniels-Midland Co.		5,429,614		1.0
511,160		Avon Products, Inc.		8,285,903		1.5
53,229		Coca-Cola Co.		4,161,975		0.8
40,215	@	Energizer Holdings, Inc.		3,026,179		0.5
138,827		Kraft Foods, Inc.		5,361,499		1.0
158,394		PepsiCo, Inc.		11,192,120		2.0
152,687		Procter & Gamble Co.		9,352,079		1.7
204,279		Sysco Corp.		6,089,557		1.1
240,143		Unilever NV ADR		8,008,769		1.5
113,816		Walgreen Co.		3,366,677		0.6
				64,274,372		11.7

		Energy: 9.9%
153,011		Anadarko Petroleum Corp.		10,129,328		1.8
87,522		Baker Hughes, Inc.		3,597,154		0.7
19,660	@	Cameron International Corp.		839,679		0.2
98,873		Chevron Corp.		10,431,101		1.9
58,176		ConocoPhillips		3,250,875		0.6
75,464		Devon Energy Corp.		4,376,157		0.8
88,273		ExxonMobil Corp.		7,553,521		1.4
87,145		Halliburton Co.		2,474,047		0.4
26,162		Hess Corp.		1,136,739		0.2
43,580		Occidental Petroleum Corp.		3,737,857		0.7
29,088	@	Phillips 66		966,885		0.2
179,650		Williams Cos., Inc.		5,177,513		0.9
38,147	@	WPX Energy, Inc.		617,218		0.1
				54,288,074		9.9

		Financials: 20.1%
92,330	@	Aon PLC		4,319,197		0.8
182,772		BB&T Corp.		5,638,516		1.0
421,521		Charles Schwab Corp.		5,450,267		1.0
60,803		Chubb Corp.		4,427,675		0.8
337,837		Citigroup, Inc.		9,260,112		1.7
127,713		Comerica, Inc.		3,922,066		0.7
313,833		Fifth Third Bancorp.		4,205,362		0.8
658,913		JPMorgan Chase & Co.		23,542,962		4.3
447,628		Marsh & McLennan Cos., Inc.		14,427,050		2.6
102,203		Northern Trust Corp.		4,703,382		0.9
183,255		PNC Financial Services Group, Inc.		11,198,713		2.0
116,939		State Street Corp.		5,220,157		0.9
132,573		US Bancorp.		4,263,548		0.8


211,455		Wells Fargo & Co.	7,071,055	1.3
82,029		Willis Group Holdings Ltd.	2,993,238	0.5
			110,643,300	20.1

		Health Care: 12.2%
22,863		Amgen, Inc.	1,669,913	0.3
277,688		Bristol-Myers Squibb Co.	9,982,884	1.8
39,283		Cardinal Health, Inc.	1,649,886	0.3
92,280		Cigna Corp.	4,060,320	0.7
57,649		Eli Lilly & Co.	2,473,719	0.5
47,872	@	Hospira, Inc.	1,674,562	0.3
252,981		Medtronic, Inc.	9,797,954	1.8
265,409		Merck & Co., Inc.	11,080,826	2.0
504,039		Pfizer, Inc.	11,592,897	2.1
177,671		UnitedHealth Group, Inc.	10,393,753	1.9
44,229		WellPoint, Inc.	2,821,368	0.5
			67,198,082	12.2

		Industrials: 9.7%
110,665		Cintas Corp.	4,272,776	0.8
1,325,047		General Electric Co.	27,613,980	5.0
196,730		Ingersoll-Rand PLC	8,298,071	1.5
246,297		Tyco International Ltd.	13,016,796	2.4
			53,201,623	9.7

		Information Technology: 9.9%
195,240	@	Amdocs Ltd.	5,802,533	1.1
400,658		Applied Materials, Inc.	4,591,541	0.8
89,316	@	Dell, Inc.	1,118,236	0.2
364,802	@	eBay, Inc.	15,325,332	2.8
82,544		Hewlett-Packard Co.	1,659,960	0.3
195,123		Intel Corp.	5,200,028	0.9
139,915	@	Juniper Networks, Inc.	2,282,014	0.4
452,336		Microsoft Corp.	13,836,958	2.5
287,641		Western Union Co.	4,843,874	0.9
			54,660,476	9.9

		Materials: 1.3%
67,064		PPG Industries, Inc.	7,116,832	1.3

		Telecommunication Services: 3.5%
176,138		Verizon Communications, Inc.	7,827,573	1.4
400,514		Vodafone Group PLC ADR	11,286,484	2.1
			19,114,057	3.5

		Utilities: 3.0%
61,362		American Electric Power Co., Inc.	2,448,344	0.4
96,838		Edison International	4,473,916	0.8
45,722		Entergy Corp.	3,104,066	0.6
99,762		FirstEnergy Corp.	4,907,293	0.9
34,557		Pinnacle West Capital Corp.	1,787,979	0.3
			16,721,598	3.0

	Total Common Stock (Cost $426,090,046)		509,428,076	92.6

See Accompanying Notes to Financial Statements


ING INVESCO VAN KAMPEN GROWTH AND INCOME PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING INVESCO VAN KAMPEN GROWTH AND INCOME PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


EXCHANGE-TRADED FUNDS: 0.4%
104,700	SPDR S&P Homebuilders		2,235,345	0.4

	Total Exchange-Traded Funds (Cost $1,832,720)		2,235,345	0.4

	Total Long-Term Investments (Cost $427,922,766)		511,663,421	93.0

SHORT-TERM INVESTMENTS: 6.3%
	Mutual Funds: 6.3%
34,469,095	BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $34,469,095)		34,469,095	6.3

	Total Short-Term Investments (Cost $34,469,095)		34,469,095	6.3

	Total Investments in Securities (Cost $462,391,861)	$	546,132,516	99.3
	Assets in Excess of Other Liabilities		3,832,221	0.7

	Net Assets	$	549,964,737	100.0

@	Non-income producing security

ADR	American Depositary Receipt

Cost for federal income tax purposes is $463,696,016.

Net unrealized appreciation consists of:


Gross Unrealized Appreciation			$100,817,186
Gross Unrealized Depreciation			(18,380,686)


Net Unrealized Appreciation			$82,436,500

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock*	$	509,428,076	$	–		$	–	$	509,428,076
Exchange-Traded Funds		2,235,345		–			–		2,235,345
Short-Term Investments		34,469,095		–			–		34,469,095

Total Investments, at fair value	$	546,132,516	$	–		$	–	$	546,132,516

Other Financial Instruments+
Forward Foreign Currency Contracts		–		16,013			–		16,013

Total Assets	$	546,132,516	$	16,013		$	–	$	546,148,529

Liabilities Table
Other Financial Instruments+
Forward Foreign Currency Contracts	$	–	$	(111,480	)	$	–	$	(111,480	)

Total Liabilities	$	–	$	(111,480	)	$	–	$	(111,480	)

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

See Accompanying Notes to Financial Statements


ING INVESCO VAN KAMPEN GROWTH AND INCOME PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING INVESCO VAN KAMPEN GROWTH AND INCOME PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

At June 30, 2012, the following forward foreign currency contracts were outstanding for the ING Invesco Van Kampen Growth and Income Portfolio:


Counterparty	Currency	Contract Amount		Buy/Sell	Settlement Date	In Exchange For		Fair Value		Unrealized Appreciation (Depreciation)

The Bank of New York Mellon Corp.	EU Euro		1,051,885	Buy	07/12/12	$	1,320,000	$	1,331,291	$	11,291
State Street Bank	EU Euro		1,125,707	Buy	07/12/12		1,420,000		1,424,722		4,722

										$	16,013


The Bank of New York Mellon Corp.	EU Euro		6,754,486	Sell	07/12/12	$	8,476,137	$	8,548,641	$	(72,504	)
State Street Bank	British Pound		5,195,440	Sell	07/12/12		8,097,639		8,136,615		(38,976	)

										$	(111,480	)

See Accompanying Notes to Financial Statements


ING JPMORGAN EMERGING MARKETS EQUITY PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING JPMORGAN EMERGING MARKETS EQUITY PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 98.8%
		Brazil: 15.8%
625,135		Cia de Bebidas das Americas ADR		23,961,425		2.9
1,178,700		CCR SA		9,559,882		1.2
578,828		Cielo SA		16,931,115		2.1
911,100		Itau Unibanco Holding S.A.		12,733,172		1.6
1,491,600	@	OGX Petroleo e Gas Participacoes S.A.		4,084,541		0.5
991,287		Petroleo Brasileiro SA ADR		17,981,946		2.2
503,100		Ultrapar Participacoes SA		11,442,175		1.4
1,357,781		Vale SA ADR		26,490,307		3.2
595,300		Weg S.A.		5,720,334		0.7
				128,904,897		15.8

		Chile: 2.1%
218,601		Banco Santander Chile ADR		16,939,392		2.1

		China: 17.5%
3,708,000	L	Anhui Conch Cement Co., Ltd.		10,202,447		1.2
21,882,950		China Construction Bank		15,118,373		1.9
7,524,037		China Merchants Bank Co., Ltd.		14,266,240		1.7
2,592,000		China Mobile Ltd.		28,453,656		3.5
12,218,000		CNOOC Ltd.		24,632,946		3.0
324,744		New Oriental Education & Technology Group ADR		7,956,228		1.0
2,317,500		Ping An Insurance Group Co. of China Ltd.		18,738,981		2.3
2,788,000	L	Tingyi Cayman Islands Holding Corp.		7,183,016		0.9
2,010,000	L	Tsingtao Brewery Co., Ltd.		11,485,694		1.4
2,389,000	@	Wumart Stores, Inc.		4,856,814		0.6
				142,894,395		17.5

		Egypt: 0.4%
80,104		Orascom Construction Industries		3,343,560		0.4

		Hong Kong: 6.0%
5,115,200		AIA Group Ltd.		17,668,205		2.2
2,311,000		Hang Lung Properties Ltd.		7,905,051		1.0
238,400	@	Jardine Matheson Holdings Ltd.		11,538,560		1.4
6,062,000		Li & Fung Ltd.		11,737,552		1.4
				48,849,368		6.0

		Hungary: 0.7%
345,723	L	OTP Bank Nyrt		5,497,344		0.7

		India: 10.1%
425,106		ACC Ltd.		9,703,943		1.2


1,358,984		Ambuja Cements Ltd.	4,264,349	0.5
1,951,225		Bharti Airtel Ltd.	10,741,987	1.3
828,090		HDFC Bank Ltd. ADR	26,995,734	3.3
600,700		Housing Development Finance Corp.	7,083,544	0.9
415,484	L	Infosys Ltd. ADR	18,721,709	2.3
614,700		Jindal Steel & Power Ltd.	5,230,679	0.6
			82,741,945	10.1

		Indonesia: 4.0%
22,775,000		Astra International Tbk PT	16,789,699	2.1
15,856,000		Bank Rakyat Indonesia	10,859,858	1.3
2,098,500		Unilever Indonesia Tbk PT	5,146,634	0.6
			32,796,191	4.0

		Italy: 1.8%
419,907	L	Tenaris S.A. ADR	14,684,148	1.8

		Malaysia: 0.6%
287,700		British American Tobacco Malaysia Bhd	5,094,953	0.6

		Mexico: 4.4%
1		Grupo Aeroportuario del Sureste S.A. de CV ADR ADR	78	0.0
3,800,564		Grupo Financiero Banorte SA de CV	19,641,437	2.4
6,023,240		Wal-Mart de Mexico SA de CV	16,115,013	2.0
			35,756,528	4.4

		Russia: 3.2%
315,400	L	Magnit OAO GDR	9,531,931	1.2
78,700	#	Magnit OJSC GDR	2,378,450	0.3
5,310,906	@	Sberbank	14,166,789	1.7
			26,077,170	3.2

		South Africa: 8.9%
2,378,679	L	African Bank Investments Ltd.	10,587,206	1.3
454,800		Bidvest Group Ltd	10,155,575	1.2
2,921,970		FirstRand Ltd.	9,457,972	1.2
416,532		Massmart Holdings Ltd.	8,624,448	1.1
858,999		MTN Group Ltd.	14,875,044	1.8
1,153,361		RMB Holdings Ltd.	4,933,525	0.6
547,600		Shoprite Holdings Ltd.	10,109,772	1.2
145,100	L	Tiger Brands Ltd.	4,358,541	0.5
			73,102,083	8.9

		South Korea: 12.0%
30,171		E-Mart Co. Ltd.	6,622,373	0.8
71,392		Hyundai Mobis	17,305,147	2.1
102,297		Hyundai Motor Co.	21,001,000	2.6
21,017		Posco	6,728,636	0.8
44,111		Samsung Electronics Co., Ltd.	46,712,996	5.7
			98,370,152	12.0

		Taiwan: 7.1%
3,154,200		Delta Electronics, Inc.	9,682,152	1.2
3,122,096		Hon Hai Precision Industry Co., Ltd.	9,439,806	1.2

See Accompanying Notes to Financial Statements


ING JPMORGAN EMERGING MARKETS EQUITY PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING JPMORGAN EMERGING MARKETS EQUITY PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


960,000		President Chain Store Corp.		5,122,169		0.6
2,483,223		Taiwan Semiconductor Manufacturing Co., Ltd.		6,797,744		0.8
1,911,762	@	Taiwan Semiconductor Manufacturing Co., Ltd. ADR		26,688,197		3.3
				57,730,068		7.1

		Turkey: 3.2%
1,615,845		KOC Holding A/S		6,187,047		0.8
5,044,327		Turkiye Garanti Bankasi A/S		19,857,023		2.4
				26,044,070		3.2

		United Kingdom: 1.0%
373,300		Standard Chartered PLC		8,109,169		1.0

	Total Common Stock (Cost $685,931,246)			806,935,433		98.8

Principal Amount†			Value		Percentage of Net Assets
SHORT-TERM INVESTMENTS: 8.3%
		Securities Lending Collateral^cc(1): 8.3%
12,460,671		BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $12,460,866, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $12,709,884, due 05/01/32-06/01/42)		12,460,671		1.5
6,961,954		Cantor Fitzgerald, Repurchase Agreement dated 06/29/12, 0.23%, due 07/02/12 (Repurchase Amount $6,962,086, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-6.000%, Market Value plus accrued interest $7,101,193, due 04/20/61-05/15/42)		6,961,954		0.8

16,044,779

Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $16,045,043, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $16,365,675, due 07/01/42-02/20/61)

16,044,779

2.0

16,044,779

Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.15%, due 07/02/12 (Repurchase Amount $16,044,977, collateralized by various U.S. Government Securities, 0.375%, Market Value plus accrued interest $16,365,691, due 06/15/15)

16,044,779

2.0

16,044,779

Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $16,045,109, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $16,365,675, due 10/01/14-02/25/44)

16,044,779

2.0

67,556,962

8.3

Total Short-Term Investments
(Cost $67,556,962)

67,556,962

8.3

Total Investments in Securities
(Cost $753,488,208)

874,492,395

107.1

Liabilities in Excess of Other Assets

(58,206,116)

(7.1)

Net Assets

816,286,279

100.0

†

Unless otherwise indicated, principal amount is shown in USD.

Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.

Non-income producing security

ADR

American Depositary Receipt

GDR

Global Depositary Receipt

Securities purchased with cash collateral for securities loaned.

Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)

Collateral received from brokers for securities lending was invested into these short-term investments.

See Accompanying Notes to Financial Statements


ING JPMORGAN EMERGING MARKETS EQUITY PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING JPMORGAN EMERGING MARKETS EQUITY PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Cost for federal income tax purposes is $761,592,853.


Net unrealized appreciation consists of:

Gross Unrealized Appreciation	$	172,832,700
Gross Unrealized Depreciation		(59,933,158)


Net Unrealized Appreciation	$	112,899,542


Sector Diversification	Percentage of Net Assets
Consumer Discretionary		9.2	%
Consumer Staples		14.7
Energy		8.9
Financials		29.6
Industrials		5.7
Information Technology		16.6
Materials		7.5
Telecommunication Services		6.6
Short-Term Investments		8.3
Liabilities in Excess of Other Assets		(7.1)

Net Assets		100.0	%

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Brazil	$	128,904,897	$	–	$	–	$	128,904,897
Chile		16,939,392		–		–		16,939,392
China		7,956,228		134,938,167		–		142,894,395
Egypt		–		3,343,560		–		3,343,560
Hong Kong		11,538,560		37,310,808		–		48,849,368
Hungary		–		5,497,344		–		5,497,344
India		45,717,443		37,024,502		–		82,741,945
Indonesia		–		32,796,191		–		32,796,191
Italy		14,684,148		–		–		14,684,148
Malaysia		–		5,094,953		–		5,094,953
Mexico		35,756,528		–		–		35,756,528
Russia		14,166,789		11,910,381		–		26,077,170
South Africa		–		73,102,083		–		73,102,083
South Korea		–		98,370,152		–		98,370,152
Taiwan		26,688,197		31,041,871		–		57,730,068
Turkey		–		26,044,070		–		26,044,070
United Kingdom		–		8,109,169		–		8,109,169

Total Common Stock		302,352,182		504,583,251		–		806,935,433

Short-Term Investments		–		67,556,962		–		67,556,962

Total Investments, at fair value	$	302,352,182	$	572,140,213	$	–	$	874,492,395

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING LIQUID ASSETS PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


**********************************************************
Asset Type 1 of Government Agency Repurchase Agreement has not been accounted for in this holdings map, but is a holding in ING Liquid Assets Portfolio on 6/30/2012. Please check the grouping structure.
**********************************************************
**********************************************************
Asset Type 1 of Government Agency Debt has not been accounted for in this holdings map, but is a holding in ING Liquid Assets Portfolio on 6/30/2012. Please check the grouping structure.
**********************************************************
**********************************************************
Asset Type 1 of Treasury Repurchase Agreement has not been accounted for in this holdings map, but is a holding in ING Liquid Assets Portfolio on 6/30/2012. Please check the grouping structure.
**********************************************************
**********************************************************
Asset Type 1 of Certificate of Deposit has not been accounted for in this holdings map, but is a holding in ING Liquid Assets Portfolio on 6/30/2012. Please check the grouping structure.
**********************************************************
**********************************************************
Asset Type 1 of Other Note has not been accounted for in this holdings map, but is a holding in ING Liquid Assets Portfolio on 6/30/2012. Please check the grouping structure.
**********************************************************
**********************************************************
Asset Type 1 of Financial Company Commercial Paper has not been accounted for in this holdings map, but is a holding in ING Liquid Assets Portfolio on 6/30/2012. Please check the grouping structure.
**********************************************************
**********************************************************
Asset Type 1 of Asset Backed Commercial Paper has not been accounted for in this holdings map, but is a holding in ING Liquid Assets Portfolio on 6/30/2012. Please check the grouping structure.
**********************************************************
**********************************************************
Asset Type 1 of Other Instrument has not been accounted for in this holdings map, but is a holding in ING Liquid Assets Portfolio on 6/30/2012. Please check the grouping structure.
**********************************************************
**********************************************************
Asset Type 1 of Other Commercial Paper has not been accounted for in this holdings map, but is a holding in ING Liquid Assets Portfolio on 6/30/2012. Please check the grouping structure.
**********************************************************
Total Long-Term Investments (Cost $1,286,445,259)	1,286,445,259	103.0


Principal Amount†		Value		Percentage of Net Assets
SHORT-TERM INVESTMENTS: 0.4%
	Securities Lending Collateral^cc(1): 0.4%
1,067,122	BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $1,067,139, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $1,088,464, due 05/01/32-06/01/42)		1,067,122		0.1
1,067,122	Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,067,140, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $1,088,464, due 07/01/42-02/20/61)		1,067,122		0.1
1,067,122	Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $1,067,138, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $1,088,464, due 04/01/24-06/01/42)		1,067,122		0.1
1,067,122	Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $1,067,144, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $1,088,464, due 10/01/14-02/25/44)		1,067,122		0.1

See Accompanying Notes to Financial Statements

ING LIQUID ASSETS PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

224,657

UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $224,661, collateralized by various U.S. Government Agency Obligations, 3.000%-6.500%, Market Value plus accrued interest $229,150, due 07/01/21-04/01/42)

224,657

0.0

4,493,145

0.4

Total Short-Term Investments
(Cost $4,493,145)

4,493,145

0.4

Total Investments in Securities
(Cost $1,290,938,404)

1,290,938,404

103.4

Liabilities in Excess of Other Assets

(42,080,422

)

(3.4)

Net Assets

1,248,857,982

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

cc	Securities purchased with cash collateral for securities loaned.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.

Cost for federal income tax purposes is the same as for financial statement purposes.

Net unrealized depreciation consists of:


		Gross Unrealized Appreciation			$–
		Gross Unrealized Depreciation			–


		Net Unrealized Depreciation			$–

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Certificate of Deposit	$	–	$	49,518,972	$	–	$	49,518,972
Securities Lending Collateral		–		4,493,145		–		4,493,145
Government Agency Repurchase Agreement		–		195,964,000		–		195,964,000
Other Commercial Paper		–		5,232,675		–		5,232,675
Other Note		–		251,316,883		–		251,316,883
Treasury Repurchase Agreement		–		50,400,000		–		50,400,000
Asset Backed Commercial Paper		–		409,029,055		–		409,029,055
Other Instrument		37,000,000		–		–		37,000,000
Government Agency Debt		–		65,990,382		–		65,990,382
Financial Company Commercial Paper		–		221,993,292		–		221,993,292

Total Investments, at fair value	$	37,000,000	$	1,253,938,404	$	–	$	1,290,938,404

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There

were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING MARSICO GROWTH PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 93.1%
		Consumer Discretionary: 32.0%
39,716	@	Amazon.com, Inc.		9,069,149		1.4
18,253	@	Autozone, Inc.		6,701,954		1.1
614,218		Cie Financiere Richemont SA ADR		3,322,919		0.5
109,212		Coach, Inc.		6,386,718		1.0
57,051	@	Dollar General Corp.		3,103,004		0.5
61,672	@	Dollar Tree, Inc.		3,317,954		0.5
314,102		Home Depot, Inc.		16,644,265		2.7
222,794		Limited Brands, Inc.		9,475,429		1.5
102,954	@	Lululemon Athletica, Inc.		6,139,147		1.0
166,474		McDonald’s Corp.		14,737,943		2.4
170,385		Nike, Inc.		14,956,395		2.4
113,905	@	O’Reilly Automotive, Inc.		9,541,822		1.5
28,902	@	Priceline.com, Inc.		19,205,957		3.1
323,100		Starbucks Corp.		17,227,692		2.7
736,866		TJX Cos., Inc.		31,633,657		5.0
133,171		Wynn Resorts Ltd.		13,812,496		2.2
247,157		Yum! Brands, Inc.		15,921,854		2.5
				201,198,355		32.0

		Consumer Staples: 4.9%
92,188		Anheuser-Busch InBev NV ADR		7,342,774		1.1
125,883		Estee Lauder Cos., Inc.		6,812,788		1.1
170,187		Mead Johnson Nutrition Co.		13,701,755		2.2
45,707		Wal-Mart Stores, Inc.		3,186,692		0.5
				31,044,009		4.9

		Energy: 4.3%
256,692		Halliburton Co.		7,287,486		1.2
168,143		National Oilwell Varco, Inc.		10,835,135		1.7
103,086		Occidental Petroleum Corp.		8,841,686		1.4
				26,964,307		4.3

		Financials: 6.0%
559,164		US Bancorp.		17,982,714		2.9
581,879		Wells Fargo & Co.		19,458,034		3.1
				37,440,748		6.0

		Health Care: 9.7%
30,408		Abbott Laboratories		1,960,404		0.3
101,994		Allergan, Inc.		9,441,585		1.5
146,753	@	Biogen Idec, Inc.		21,188,198		3.4
282,036		Bristol-Myers Squibb Co.		10,139,194		1.6
319,999	@	Express Scripts Holding Co.		17,865,544		2.9
				60,594,925		9.7

		Industrials: 8.7%
71,624		Cummins, Inc.		6,941,082		1.1
127,166		Danaher Corp.		6,622,805		1.1
10,791,000		Hutchison Port Holdings Trust		7,661,610		1.2


70,982		Precision Castparts Corp.	11,675,829	1.9
112,612		Union Pacific Corp.	13,435,738	2.1
42,771		WW Grainger, Inc.	8,179,526	1.3
			54,516,590	8.7

		Information Technology: 22.6%
228,163		Accenture PLC	13,710,315	2.2
90,540	@	Apple, Inc.	52,875,360	8.4
158,483	@	Baidu.com ADR	18,222,375	2.9
176,610	@	Check Point Software Technologies	8,758,090	1.4
158,448	@	EMC Corp.	4,061,022	0.6
162,276	@,L	Facebook, Inc.	5,050,029	0.8
55,014	@	LinkedIn Corp.	5,846,338	0.9
210,102		Qualcomm, Inc.	11,698,480	1.9
143,400		Visa, Inc.	17,728,542	2.8
45,906	@	VMware, Inc.	4,179,282	0.7
			142,129,833	22.6

		Materials: 4.9%
231,198		Monsanto Co.	19,138,570	3.1
106,433		Praxair, Inc.	11,572,460	1.8
			30,711,030	4.9

	Total Common Stock (Cost $472,479,459)		584,599,797	93.1

PREFERRED STOCK: 0.6%
		Financials: 0.6%
131,480	@,P	Wells Fargo & Co.	3,970,696	0.6

	Total Preferred Stock (Cost $2,516,648)		3,970,696	0.6

	Total Long-Term Investments (Cost $474,996,107)		588,570,493	93.7

Principal
Amount†

Value

Percentage
of Net
Assets

SHORT-TERM INVESTMENTS: 7.5%

Securities Lending Collateral^cc(1): 0.6%

838,760

BNP Paribas Bank,

Repurchase

Agreement dated

06/29/12, 0.19%, due

07/02/12 (Repurchase

Amount $838,773,

collateralized by

various U.S.

Government Agency

Obligations, 3.500%-

5.500%, Market Value

plus accrued interest

$855,535, due

05/01/32-06/01/42)

838,760

0.1

See Accompanying Notes to Financial Statements

ING MARSICO GROWTH PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


1,000,000	Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,000,016, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $1,020,000, due 07/01/42-02/20/61)	1,000,000	0.2
1,000,000	Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $1,000,015, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $1,020,000, due 04/01/24-06/01/42)	1,000,000	0.1
1,000,000	Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $1,000,021, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $1,020,000, due 10/01/14-02/25/44)	1,000,000	0.2
		3,838,760	0.6



Shares		Value		Percentage of Net Assets
	Mutual Funds: 6.9%
43,516,482	BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $43,516,482)		43,516,482		6.9

	Total Short-Term Investments (Cost $47,355,242)		47,355,242		7.5

	Total Investments in Securities (Cost $522,351,349)	$	635,925,735		101.2
	Liabilities in Excess of Other Assets		(7,748,869)		(1.2)

	Net Assets	$	628,176,866		100.0

†	Unless otherwise indicated, principal amount is shown in USD.

@	Non-income producing security

ADR	American Depositary Receipt

P	Preferred Stock may be called prior to convertible date.

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.



Cost for federal income tax purposes is $523,295,378.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation	$	129,106,612
Gross Unrealized Depreciation		(16,476,255)


Net Unrealized Appreciation	$	112,630,357

See Accompanying Notes to Financial Statements

ING MARSICO GROWTH PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock*		$ 584,599,797	$	–	$	–	$	584,599,797
Preferred Stock		3,970,696		–		–		3,970,696
Short-Term Investments		43,516,482		3,838,760		–		47,355,242

Total Investments, at fair value		$ 632,086,975	$	3,838,760	$	–	$	635,925,735

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING MFS TOTAL RETURN PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 59.1%
		Consumer Discretionary: 6.0%
12,420		Advance Auto Parts, Inc.		847,292		0.1
207,180		Comcast Corp. – Special Class A		6,505,452		0.7
93,720	@	Delphi Automotive PLC		2,389,860		0.3
44,650	@	General Motors Co.		880,498		0.1
94,710		Hasbro, Inc.		3,207,828		0.4
155,350		Johnson Controls, Inc.		4,304,748		0.5
70,200		Kohl’s Corp.		3,193,398		0.4
110,220		Omnicom Group		5,356,692		0.6
164,790		Staples, Inc.		2,150,509		0.2
131,740		Target Corp.		7,665,951		0.9
141,830		Viacom - Class B		6,668,847		0.8
183,580		Walt Disney Co.		8,903,630		1.0
				52,074,705		6.0

		Consumer Staples: 8.4%
47,127		Altria Group, Inc.		1,628,238		0.2
124,738		CVS Caremark Corp.		5,829,007		0.7
300,553		Diageo PLC		7,746,730		0.9
155,610		General Mills, Inc.		5,997,209		0.7
74,114		Groupe Danone		4,605,944		0.5
12,520		JM Smucker Co.		945,510		0.1
24,553		Kellogg Co.		1,211,199		0.1
59,400		Kroger Co.		1,377,486		0.1
31,590		Lorillard, Inc.		4,168,301		0.5
119,708		Nestle S.A.		7,143,919		0.8
64,260		PepsiCo, Inc.		4,540,612		0.5
216,520		Philip Morris International, Inc.		18,893,535		2.2
83,624		Procter & Gamble Co.		5,121,970		0.6
25,587		Reckitt Benckiser PLC		1,352,448		0.2
101,350		Walgreen Co.		2,997,933		0.3
				73,560,041		8.4

		Energy: 6.2%
41,620		Anadarko Petroleum Corp.		2,755,244		0.3
68,250		Apache Corp.		5,998,492		0.7
96,637		Chevron Corp.		10,195,204		1.2
16,450		EOG Resources, Inc.		1,482,309		0.2
30,560		EQT Corp.		1,638,933		0.2
174,614		ExxonMobil Corp.		14,941,720		1.7
4,129		Hess Corp.		179,405		0.0
41,790		Noble Energy, Inc.		3,544,628		0.4
84,390		Occidental Petroleum Corp.		7,238,130		0.8
16,600		Schlumberger Ltd.		1,077,506		0.1
55,730		Transocean Ltd.		2,492,803		0.3
90,622		Williams Cos., Inc.		2,611,726		0.3
				54,156,100		6.2

		Financials: 11.9%
93,440		ACE Ltd.		6,926,707		0.8
24,690		American Express Co.		1,437,205		0.2
100,340	@	Aon PLC		4,693,905		0.5
385,820		Bank of America Corp.		3,156,008		0.4
379,286		Bank of New York Mellon Corp.		8,325,328		1.0
27,868		Blackrock, Inc.		4,732,544		0.5


28,050		Chubb Corp.	2,042,601	0.2
33,845		Franklin Resources, Inc.	3,756,456	0.4
89,270		Goldman Sachs Group, Inc.	8,557,422	1.0
480,490		JPMorgan Chase & Co.	17,167,908	2.0
244,160		Metlife, Inc.	7,532,336	0.9
31,950		Moody’s Corp.	1,167,772	0.1
57,590		PNC Financial Services Group, Inc.	3,519,325	0.4
132,120		Prudential Financial, Inc.	6,398,571	0.7
117,450		State Street Corp.	5,242,968	0.6
60,310		SunTrust Bank	1,461,311	0.2
99,090		Travelers Cos., Inc.	6,325,906	0.7
301,200		Wells Fargo & Co.	10,072,128	1.2
62,430		Zions Bancorp.	1,212,391	0.1
			103,728,792	11.9

		Health Care: 7.1%
139,530		Abbott Laboratories	8,995,499	1.0
30,120		Aetna, Inc.	1,167,752	0.1
39,320		AmerisourceBergen Corp.	1,547,242	0.2
17,708		Bayer AG	1,276,029	0.1
39,110		Becton Dickinson & Co.	2,923,473	0.3
57,430		Covidien PLC	3,072,505	0.4
174,900		Johnson & Johnson	11,816,244	1.4
76,160		Medtronic, Inc.	2,949,677	0.3
63,550		Merck & Co., Inc.	2,653,212	0.3
576,918		Pfizer, Inc.	13,269,114	1.5
25,120		Quest Diagnostics	1,504,688	0.2
7,994		Roche Holding AG - Genusschein	1,380,828	0.2
102,990		St. Jude Medical, Inc.	4,110,331	0.5
96,500		Thermo Fisher Scientific, Inc.	5,009,315	0.6
			61,675,909	7.1

		Industrials: 9.1%
96,710		3M Co.	8,665,216	1.0
20,470		Canadian National Railway Co.	1,727,259	0.2
180,840		Danaher Corp.	9,418,147	1.1
18,220		Dun & Bradstreet Corp./The	1,296,717	0.1
82,600		Eaton Corp.	3,273,438	0.4
29,770		Fluor Corp.	1,468,852	0.2
152,690		Honeywell International, Inc.	8,526,210	1.0
8,206	@	Huntington Ingalls Industries, Inc.	330,210	0.0
152,440		Lockheed Martin Corp.	13,274,475	1.5
49,290		Northrop Grumman Corp.	3,144,209	0.4
12,780		Precision Castparts Corp.	2,102,182	0.2
61,198		Stanley Black & Decker, Inc.	3,938,703	0.5
95,740		Tyco International Ltd.	5,059,859	0.6
9,980		Union Pacific Corp.	1,190,714	0.1
65,290		United Parcel Service, Inc. - Class B	5,142,240	0.6
139,930		United Technologies Corp.	10,568,913	1.2
			79,127,344	9.1

See Accompanying Notes to Financial Statements

ING MFS TOTAL RETURN PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


		Information Technology: 5.1%
91,890		Accenture PLC	5,521,670	0.6
27,261	@	ASML Holding NV	1,401,761	0.2
23,320	@	Check Point Software Technologies	1,156,439	0.1
198,510		Cisco Systems, Inc.	3,408,417	0.4
16,380	@	Fiserv, Inc.	1,182,964	0.1
120,129		Hewlett-Packard Co.	2,415,794	0.3
36,460		International Business Machines Corp.	7,130,847	0.8
97,322		Intel Corp.	2,593,631	0.3
3,234		Mastercard, Inc.	1,390,976	0.2
39,470		Microchip Technology, Inc.	1,305,667	0.1
50,620		Microsoft Corp.	1,548,466	0.2
292,368		Oracle Corp.	8,683,329	1.0
23,940		Visa, Inc.	2,959,702	0.3
238,490		Western Union Co.	4,016,172	0.5
			44,715,835	5.1

		Materials: 1.9%
61,280		Air Products & Chemicals, Inc.	4,947,134	0.6
39,770		Celanese Corp.	1,376,837	0.1
13,820		Cliffs Natural Resources, Inc.	681,188	0.1
44,520		EI Du Pont de Nemours & Co.	2,251,377	0.3
68,840		PPG Industries, Inc.	7,305,301	0.8
			16,561,837	1.9

		Telecommunication Services: 2.3%
298,916		AT&T, Inc.	10,659,344	1.2
38,828		CenturyTel, Inc.	1,533,318	0.2
2,715,374		Vodafone Group PLC	7,632,234	0.9
			19,824,896	2.3

		Utilities: 1.1%
55,400	@	NRG Energy, Inc.	961,744	0.1
63,970		Pacific Gas & Electric Co.	2,895,922	0.3
104,220		PPL Corp.	2,898,358	0.3
101,450		Public Service Enterprise Group, Inc.	3,297,125	0.4
			10,053,149	1.1

		Total Common Stock (Cost $426,304,882)	515,478,608	59.1

PREFERRED STOCK: 0.2%
		Consumer Discretionary: 0.1%
30,650	@,L	General Motors Co.	1,017,580	0.1

		Industrials: 0.0%
6,520	@	United Technologies Corp.	343,539	0.0

		Utilities: 0.1%
9,130	@	PPL Corp.	488,090	0.1

		Total Preferred Stock (Cost $2,316,538)	1,849,209	0.2


Principal Amount†			Value		Percentage of Net Assets
CORPORATE BONDS/NOTES: 9.6%
		Consumer Discretionary: 1.1%
1,028,000		COX Communications, Inc., 4.625%, 06/01/13		1,064,315		0.1
1,080,000		DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 4.600%, 02/15/21		1,151,491		0.1
1,329,000		Hearst-Argyle Television, Inc., 7.500%, 11/15/27		994,748		0.1
235,000		Home Depot, Inc., 5.950%, 04/01/41		307,367		0.0
339,000		Limited Brands, Inc., 5.250%, 11/01/14		357,645		0.1
819,000		News America Holdings, 8.500%, 02/23/25		1,032,368		0.1
874,000		Target Corp., 4.000%, 07/01/42		865,989		0.1
1,029,000		Time Warner Entertainment Co. LP, 8.375%, 07/15/33		1,399,280		0.2
540,000		Toyota Motor Credit Corp., 3.200%, 06/17/15		574,058		0.1
730,000		Toyota Motor Credit Corp., 3.400%, 09/15/21		769,818		0.1
722,000	#	Volkswagen International Finance NV, 2.375%, 03/22/17		734,569		0.1
8,000		Wyndham Worldwide Corp., 6.000%, 12/01/16		8,911		0.0
				9,260,559		1.1

		Consumer Staples: 0.8%
870,000		Anheuser-Busch InBev Worldwide, Inc., 8.000%, 11/15/39		1,374,456		0.2
866,000	#	BAT International Finance PLC, 3.250%, 06/07/22		858,364		0.1
952,000		CVS Caremark Corp., 6.125%, 08/15/16		1,115,011		0.1
965,000	#	Erac USA Finance Co., 7.000%, 10/15/37		1,168,386		0.1
350,000	#	Kraft Foods Group, Inc., 3.500%, 06/06/22		360,209		0.0
296,000		Molson Coors Brewing Co., 5.000%, 05/01/42		321,534		0.0
1,779,000		Wal-Mart Stores, Inc., 5.250%, 09/01/35		2,163,552		0.3
				7,361,512		0.8

		Energy: 1.4%
355,000		Apache Corp., 3.250%, 04/15/22		371,759		0.1
271,000		Apache Corp., 4.750%, 04/15/43		302,739		0.0
707,000		BP Capital Markets PLC, 4.742%, 03/11/21		811,278		0.1
261,000		BP Capital Markets PLC, 4.500%, 10/01/20		294,561		0.0

See Accompanying Notes to Financial Statements

ING MFS TOTAL RETURN PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


850,000	#,L	CNOOC Finance 2012 Ltd., 3.875%, 05/02/22	881,651	0.1
768,000		Enterprise Products Operating L.P., 6.500%, 01/31/19	927,429	0.1
250,000		Hess Corp., 8.125%, 02/15/19	322,398	0.0
659,000		Husky Energy, Inc., 5.900%, 06/15/14	716,800	0.1
676,000		Husky Energy, Inc., 7.250%, 12/15/19	836,106	0.1
15,000		Kinder Morgan Energy Partners LP, 7.400%, 03/15/31	18,335	0.0
420,000		Kinder Morgan Energy Partners LP, 7.750%, 03/15/32	524,936	0.1
322,000		Petrobras International Finance Co. - Pifco, 5.375%, 01/27/21	348,891	0.1
233,000		Petrobras International Finance Co. - Pifco, 6.750%, 01/27/41	274,809	0.0
1,403,000		Petro-Canada, 6.050%, 05/15/18	1,663,172	0.2
646,000		Petroleos Mexicanos, 8.000%, 05/03/19	823,650	0.1
657,768	#	Ras Laffan Liquefied Natural Gas Co., Ltd. II, 5.832%, 09/30/16	706,278	0.1
778,000		Spectra Energy Capital, LLC, 8.000%, 10/01/19	998,670	0.1
1,050,000		Total Capital International SA, 1.550%, 06/28/17	1,054,220	0.1
			11,877,682	1.4

		Financials: 4.1%
870,000	#	ABN Amro Bank NV, 2.236%, 01/30/14	870,728	0.1
456,000	#	Achmea Hypotheekbank NV, 3.200%, 11/03/14	475,988	0.1
892,000		American Express Co., 5.500%, 09/12/16	1,019,599	0.1
482,000		Asian Development Bank, 1.125%, 03/15/17	490,209	0.1
800,000		Asian Development Bank, 2.750%, 05/21/14	836,119	0.1
521,000	#	Banco Bradesco S.A./Cayman Islands, 6.750%, 09/29/19	580,915	0.1
617,000		Bank of America Corp., 5.490%, 03/15/19	629,576	0.1
420,000		Bank of America Corp., 7.375%, 05/15/14	451,920	0.0
590,000		Bank of America Corp., 7.625%, 06/01/19	695,106	0.1
558,000	#	BNP Paribas, 7.195%, 12/31/49	482,670	0.1
365,000		Boston Properties, Inc., 5.000%, 06/01/15	396,897	0.0
1,268,000		Capital One Financial Corp., 6.150%, 09/01/16	1,419,427	0.2
1,274,000		Chubb Corp., 6.375%, 03/29/67	1,321,775	0.1
610,000	#	Commonwealth Bank of Australia, 5.000%, 10/15/19	671,607	0.1


1,637,000		CommonWealth REIT, 6.250%, 08/15/16	1,729,397	0.2
1,230,000		Credit Suisse New York, 5.500%, 05/01/14	1,304,661	0.1
761,000		ERP Operating L.P., 4.625%, 12/15/21	828,762	0.1
210,000		ERP Operating L.P., 5.375%, 08/01/16	235,518	0.0
421,000		General Electric Capital Corp., 5.450%, 01/15/13	431,937	0.0
1,113,000		Goldman Sachs Group, Inc./The, 5.625%, 01/15/17	1,169,057	0.1
1,125,000	#	BPCE S.A., 12.500%, 08/29/49	1,134,687	0.1
615,000		HCP, Inc., 5.375%, 02/01/21	681,723	0.1
572,000		HSBC Holdings PLC, 5.100%, 04/05/21	640,208	0.1
1,400,000	#	Irish Life & Permanent Group Holdings PLC, 3.600%, 01/14/13	1,370,732	0.2
128,000		JPMorgan Chase Bank NA, 7.000%, 11/01/39	128,320	0.0
490,000		JPMorgan Chase Capital XXII, 6.450%, 02/02/37	492,450	0.1
1,020,000		JPMorgan Chase & Co., 6.300%, 04/23/19	1,194,463	0.1
64,000		Kimco Realty Corp., 6.000%, 11/30/12	65,042	0.0
1,400,000		KFW, 4.875%, 06/17/19	1,687,407	0.2
990,000		Merrill Lynch & Co., Inc., 6.150%, 04/25/13	1,024,858	0.1
480,000	#	Metropolitan Life Global Funding I, 5.125%, 04/10/13	495,968	0.1
470,000	#	Metropolitan Life Global Funding I, 5.125%, 06/10/14	504,291	0.1
1,320,000		Morgan Stanley, 6.625%, 04/01/18	1,382,451	0.2
560,000	#	Nordea Bank AB, 4.875%, 01/14/21	610,936	0.1
932,000		PNC Funding Corp., 5.625%, 02/01/17	1,038,476	0.1
370,000		Prudential Financial, Inc., 6.625%, 06/21/40	423,658	0.0
400,000	#	Santander US Debt SA Unipersonal, 3.781%, 10/07/15	373,804	0.0
1,228,000		Simon Property Group LP, 5.875%, 03/01/17	1,415,685	0.2
820,000	#	Svenska Handelsbanken AB, 4.875%, 06/10/14	866,025	0.1
932,000		UBS Preferred Funding Trust V, 6.243%, 05/29/49	885,400	0.1
687,000		Wachovia Corp., 5.250%, 08/01/14	733,306	0.1
840,000	#	WEA Finance LLC, 4.625%, 05/10/21	889,998	0.1

See Accompanying Notes to Financial Statements

ING MFS TOTAL RETURN PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


314,000	#	WEA Finance LLC, 6.750%, 09/02/19	371,234	0.0
930,000		Wells Fargo & Co., 2.100%, 05/08/17	933,576	0.1
430,000	#	ZFS Finance USA Trust V, 6.500%, 05/09/37	423,550	0.0
			35,810,116	4.1

		Health Care: 0.7%
1,100,000	#	Aristotle Holding, Inc., 2.650%, 02/15/17	1,120,802	0.1
980,000		CareFusion Corp., 6.375%, 08/01/19	1,158,162	0.2
832,000		Hospira, Inc., 6.050%, 03/30/17	939,841	0.1
1,114,000	#	Roche Holdings, Inc., 6.000%, 03/01/19	1,388,390	0.2
1,060,000		Teva Pharmaceutical Finance IV BV, 3.650%, 11/10/21	1,117,982	0.1
			5,725,177	0.7

		Industrials: 0.3%
259,000		ABB Finance USA, Inc., 2.875%, 05/08/22	262,777	0.0
873,000	#	Atlas Copco AB, 5.600%, 05/22/17	991,907	0.1
772,000	#	BAE Systems Holdings, Inc., 5.200%, 08/15/15	840,672	0.1
360,000		United Technologies Corp., 3.100%, 06/01/22	378,359	0.1
			2,473,715	0.3

		Materials: 0.1%
248,000	#	Corp. Nacional del Cobre de Chile - CODELCO, 3.750%, 11/04/20	260,060	0.0
140,000		Ecolab, Inc., 5.500%, 12/08/41	168,877	0.0
252,000		Vale Overseas Ltd., 4.625%, 09/15/20	265,056	0.1
198,000		Vale Overseas Ltd., 6.875%, 11/10/39	232,607	0.0
			926,600	0.1

		Telecommunication Services: 0.5%
1,183,000		AT&T, Inc., 5.550%, 08/15/41	1,417,592	0.1
320,000	#	Crown Castle Towers LLC, 4.883%, 08/15/20	348,253	0.0
605,000	#	Crown Castle Towers LLC, 6.113%, 01/15/20	701,869	0.1
1,230,000		Rogers Communications, Inc., 6.800%, 08/15/18	1,519,643	0.2
653,000		Telecom Italia Capital S.A., 5.250%, 11/15/13	656,265	0.1
			4,643,622	0.5

		Utilities: 0.6%
1,437,447		Bruce Mansfield Unit, 6.850%, 06/01/34	1,496,957	0.2
377,000		Midamerican Funding, LLC, 6.927%, 03/01/29	498,017	0.0
1,319,000		Oncor Electric Delivery Co., 7.000%, 09/01/22	1,606,415	0.2


907,000		Progress Energy, Inc., 3.150%, 04/01/22	917,994	0.1
765,000		PSEG Power, LLC, 5.320%, 09/15/16	863,843	0.1
			5,383,226	0.6

		Total Corporate Bonds/Notes (Cost $76,789,421)	83,462,209	9.6

COLLATERALIZED MORTGAGE OBLIGATIONS: 1.8%
28,882	#	BlackRock Capital Finance LP, 7.750%, 09/25/26	7,141	0.0
2,050,000		Citigroup Commercial Mortgage Trust, 5.889%, 12/10/49	2,380,534	0.3
1,442,297		Credit Suisse Mortgage Capital Certificates, 5.695%, 09/15/40	1,552,719	0.2
225,442	#	GG1C Funding Corp., 5.129%, 01/15/14	230,233	0.0
122,000		Greenwich Capital Commercial Funding Corp., 5.475%, 03/10/39	121,488	0.0
1,180,000		JPMorgan Chase Commercial Mortgage Securities Corp., 4.780%, 07/15/42	1,256,980	0.1
1,452,000		JPMorgan Chase Commercial Mortgage Securities Corp., 4.948%, 09/12/37	1,557,574	0.2
1,660,000		JPMorgan Chase Commercial Mortgage Securities Corp., 5.386%, 05/15/41	1,760,494	0.2
518,215		JPMorgan Chase Commercial Mortgage Securities Corp., 6.009%, 06/15/49	570,944	0.1
1,724,216		Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.810%, 06/12/50	1,862,856	0.2
3,645,743	#,^	Morgan Stanley Capital I, 1.185%, 11/15/30	89,237	0.0
214,952		RAAC Series, 4.971%, 09/25/34	216,177	0.0
1,000,636	#	Spirit Master Funding, LLC, 5.050%, 07/20/23	936,905	0.1
2,400,000		Wachovia Bank Commercial Mortgage Trust, 6.097%, 02/15/51	2,699,435	0.3
421,836		W3A Funding Corp., 8.090%, 01/02/17	423,161	0.1

		Total Collateralized Mortgage Obligations (Cost $14,547,578)	15,665,878	1.8

See Accompanying Notes to Financial Statements

ING MFS TOTAL RETURN PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


MUNICIPAL BONDS: 0.2%
		New Jersey: 0.2%
900,000		New Jersey State Turnpike Authority, 7.414%, 01/01/40	1,317,042	0.2
		Total Municipal Bonds (Cost $935,665)	1,317,042	0.2

U.S. TREASURY OBLIGATIONS: 13.6%
		U.S. Treasury Bonds: 6.4%
2,011,900		2.750%, due 02/15/19	2,234,623	0.3
7,821,000		3.125%, due 05/15/19	8,895,168	1.0
13,512,000		3.500%, due 05/15/20	15,798,487	1.8
183,000		3.750%, due 11/15/18	214,525	0.0
708,000		3.875%, due 02/15/13	724,262	0.1
454,000		4.500%, due 02/15/36	610,701	0.1
12,225,500		4.500%, due 08/15/39	16,613,305	1.9
485,000		4.750%, due 08/15/17	582,190	0.1
2,886,000		5.000%, due 05/15/37	4,171,173	0.5
978,000		5.125%, due 05/15/16	1,148,691	0.1
568,000		5.250%, due 02/15/29	802,034	0.1
258,000		5.375%, due 02/15/31	376,358	0.0
125,000		6.000%, due 02/15/26	183,418	0.0
390,000		6.750%, due 08/15/26	612,239	0.1
390,000		8.000%, due 11/15/21	612,757	0.1
1,444,000		8.500%, due 02/15/20	2,214,960	0.2
57,000		9.875%, due 11/15/15	74,875	0.0
			55,869,766	6.4

		U.S. Treasury Notes: 7.2%
3,304,000		0.500%, due 08/15/14	3,315,875	0.4
3,016,000		1.375%, due 01/15/13	3,035,676	0.3
4,247,000		1.500%, due 12/31/13	4,323,314	0.5
6,642,000		1.875%, due 04/30/14	6,830,108	0.8
1,682,000		2.000%, due 11/30/13	1,722,736	0.2
25,641,000		2.125%, due 05/31/15	26,905,024	3.1
663,000		2.625%, due 02/29/16	713,813	0.1
7,423,000		2.750%, due 10/31/13	7,665,703	0.9
4,105,000		3.125%, due 09/30/13	4,250,760	0.5
3,800,000		3.500%, due 05/31/13	3,912,963	0.4
			62,675,972	7.2

		Total U.S. Treasury Obligations (Cost $110,357,394)	118,545,738	13.6

FOREIGN GOVERNMENT BONDS: 0.4%
1,156,000		Mexico Government International Bond, 4.750%, 03/08/44	1,248,480	0.1
102,000		Peruvian Government International Bond, 7.350%, 07/21/25	143,820	0.0
1,800,000	#	Russian Foreign Bond - Eurobond, 3.625%, 04/29/15	1,866,546	0.2
611,000	#	Societe Financement de l’Economie Francaise, 3.375%, 05/05/14	635,937	0.1
		Total Foreign Government Bonds (Cost $3,643,989)	3,894,783	0.4


U.S. GOVERNMENT AGENCY OBLIGATIONS: 12.5%
	Federal Home Loan Mortgage Corporation: 3.4%^##
141,415	2.303%, due 09/25/18	146,588	0.0
392,000	2.412%, due 08/25/18	408,685	0.1
936,842	3.500%, due 02/01/42	989,186	0.1
863,338	3.500%, due 03/01/42	906,989	0.1
879,000	3.808%, due 08/25/20	980,963	0.1
264,180	3.882%, due 11/25/17	294,031	0.0
2,286,437	4.000%, due 11/01/40	2,430,165	0.3
2,538,852	4.000%, due 01/01/41	2,698,447	0.3
254,393	4.500%, due 08/01/18	272,138	0.0
288,957	4.500%, due 11/01/18	309,113	0.0
781,683	4.500%, due 01/01/19	836,207	0.1
1,193,956	4.500%, due 08/01/24	1,269,961	0.2
154,356	4.500%, due 04/01/35	165,306	0.0
218,571	4.500%, due 04/01/35	233,906	0.0
137,303	4.500%, due 04/01/35	147,941	0.0
32,960	5.000%, due 03/01/18	35,400	0.0
145,712	5.000%, due 05/01/18	156,074	0.0
73,506	5.000%, due 05/01/18	78,947	0.0
377,624	5.000%, due 02/01/19	405,578	0.1
1,303,210	5.000%, due 09/01/33	1,410,268	0.2
0	5.000%, due 11/01/33	0	–
268,166	5.000%, due 03/01/34	297,109	0.0
174,177	5.000%, due 04/01/34	188,295	0.0
237,040	5.000%, due 08/01/35	255,550	0.0
530,770	5.000%, due 10/01/35	582,085	0.1
193,194	5.000%, due 10/01/35	208,280	0.0
290,523	5.000%, due 11/01/35	313,209	0.1
286,921	5.000%, due 12/01/36	309,326	0.0
1,792,801	5.000%, due 07/01/39	1,927,473	0.2
1,064,000	5.085%, due 03/25/19	1,256,589	0.2
242,082	5.500%, due 01/01/19	265,029	0.0
37,050	5.500%, due 07/01/19	40,563	0.0
43,757	5.500%, due 08/01/19	47,905	0.0
2,787	5.500%, due 02/01/20	3,051	0.0
37,300	5.500%, due 10/01/21	40,835	0.0
8,443	5.500%, due 10/01/24	9,263	0.0
346,824	5.500%, due 06/01/25	380,533	0.1
171,039	5.500%, due 07/01/25	187,449	0.0
286,611	5.500%, due 08/01/25	314,110	0.1
44,299	5.500%, due 09/01/25	48,549	0.0
562,269	5.500%, due 12/01/33	616,302	0.1
351,290	5.500%, due 12/01/33	391,745	0.1
1,006,241	5.500%, due 01/01/34	1,102,940	0.1
144,860	5.500%, due 04/01/34	160,365	0.0
101,785	5.500%, due 11/01/34	112,012	0.0
177,770	5.500%, due 09/01/35	195,632	0.0
27,550	5.500%, due 10/01/35	30,335	0.0
128,541	5.500%, due 02/01/37	142,299	0.0
8,733	6.000%, due 04/01/16	9,411	0.0
49,507	6.000%, due 04/01/17	53,952	0.0
31,530	6.000%, due 07/01/17	34,361	0.0
37,889	6.000%, due 10/01/17	41,291	0.0
322,524	6.000%, due 08/01/19	354,407	0.1
85,425	6.000%, due 08/01/19	93,870	0.0
33,615	6.000%, due 09/01/19	36,937	0.0
65,999	6.000%, due 05/01/21	72,524	0.0
337,169	6.000%, due 02/01/23	371,402	0.1
38,931	6.000%, due 12/01/25	42,860	0.0
95,069	6.000%, due 02/01/26	104,662	0.0
150,974	6.000%, due 04/01/34	169,298	0.0
35,805	6.000%, due 05/01/34	40,151	0.0
44,981	6.000%, due 07/01/34	50,009	0.0
25,905	6.000%, due 07/01/34	28,701	0.0
98,069	6.000%, due 07/01/34	109,972	0.0
635,009	6.000%, due 08/01/34	709,238	0.1
18,984	6.000%, due 08/01/34	21,245	0.0
186,041	6.000%, due 08/01/34	207,580	0.0

See Accompanying Notes to Financial Statements

ING MFS TOTAL RETURN PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


22,539	6.000%, due 08/01/34	25,275	0.0
101,737	6.000%, due 09/01/34	113,402	0.0
133,246	6.000%, due 07/01/35	146,837	0.0
288,759	6.000%, due 08/01/35	318,212	0.1
403,437	6.000%, due 11/01/35	447,613	0.1
202,537	6.000%, due 03/01/36	224,714	0.0
418,274	6.000%, due 10/01/36	463,421	0.1
209,220	6.000%, due 03/01/37	232,130	0.0
106,382	6.000%, due 05/01/37	117,333	0.0
37,852	6.500%, due 05/01/34	43,123	0.0
49,961	6.500%, due 05/01/34	56,918	0.0
67,766	6.500%, due 06/01/34	76,939	0.0
18,462	6.500%, due 06/01/34	21,010	0.0
39,671	6.500%, due 06/01/34	45,010	0.0
39,165	6.500%, due 08/01/34	44,435	0.0
375,422	6.500%, due 08/01/34	427,704	0.1
157,950	6.500%, due 08/01/34	179,884	0.0
26,190	6.500%, due 08/01/34	29,837	0.0
7,646	6.500%, due 08/01/34	8,728	0.0
114,556	6.500%, due 10/01/34	130,509	0.0
2,338	6.500%, due 11/01/34	2,657	0.0
6,094	6.500%, due 09/01/35	6,876	0.0
171,915	6.500%, due 05/01/37	194,406	0.0
82,688	6.500%, due 07/01/37	93,415	0.0
187,188	6.500%, due 07/01/37	211,472	0.0
63,911	6.500%, due 02/01/38	72,047	0.0
		29,888,504	3.4

	Federal National Mortgage Association: 6.6%^##
700,000	2.578%, due 09/25/18	732,962	0.1
1,237,096	3.000%, due 02/01/27	1,298,684	0.2
212,820	3.000%, due 03/01/27	223,415	0.0
97,000	3.154%, due 02/25/18	104,819	0.0
142,951	3.500%, due 11/01/41	151,122	0.0
252,128	3.500%, due 01/01/42	267,486	0.0
81,527	3.500%, due 01/01/42	86,493	0.0
783,042	3.500%, due 01/01/42	827,802	0.1
736,523	3.500%, due 02/01/42	777,012	0.1
132,806	3.500%, due 02/01/42	140,107	0.0
118,838	3.800%, due 02/01/18	130,367	0.0
140,590	3.849%, due 07/01/18	155,237	0.0
98,350	3.910%, due 02/01/18	108,206	0.0
0	4.000%, due 04/01/24	0	–
353,451	4.000%, due 09/01/40	376,884	0.1
139,301	4.010%, due 08/01/13	142,512	0.0
418,000	4.021%, due 08/01/13	428,794	0.1
116,722	4.500%, due 04/01/18	125,720	0.0
305,994	4.500%, due 06/01/18	329,585	0.0
31,124	4.500%, due 07/01/18	33,524	0.0
207,781	4.500%, due 03/01/19	223,670	0.0
115,843	4.500%, due 04/01/20	124,702	0.0
815,816	4.500%, due 08/01/33	878,281	0.1
185,138	4.500%, due 02/01/35	199,198	0.0
11,083	4.500%, due 09/01/35	11,911	0.0
692,871	4.500%, due 02/01/41	756,965	0.1
723,802	4.500%, due 04/01/41	790,758	0.1
575,200	4.561%, due 05/01/14	605,316	0.1
114,000	4.600%, due 09/01/19	130,933	0.0
523,645	4.722%, due 12/01/12	524,607	0.1
84,050	4.767%, due 04/01/13	84,749	0.0
371,825	4.842%, due 08/01/14	394,660	0.1
27,900	4.845%, due 06/01/13	28,487	0.0
16,309	4.858%, due 02/01/14	16,818	0.0
321,647	4.880%, due 03/01/20	361,146	0.1
396,548	4.894%, due 04/01/15	434,196	0.1
248,000	4.940%, due 08/01/15	270,611	0.0
189,295	5.000%, due 11/01/17	204,987	0.0
651,203	5.000%, due 02/01/18	705,183	0.1
607,057	5.000%, due 12/01/18	657,378	0.1
239,514	5.000%, due 07/01/19	260,715	0.0


306,588	5.000%, due 12/01/20	332,002	0.0
267,789	5.000%, due 11/01/33	291,441	0.0
317,540	5.000%, due 03/01/34	345,587	0.1
0	5.000%, due 03/01/34	0	–
177,171	5.000%, due 05/01/34	192,709	0.0
188,592	5.000%, due 08/01/34	205,132	0.0
516,901	5.000%, due 09/01/34	562,233	0.1
267,088	5.000%, due 01/01/35	290,512	0.0
447,961	5.000%, due 06/01/35	486,127	0.1
513,371	5.000%, due 07/01/35	559,985	0.1
1,254,617	5.000%, due 07/01/35	1,361,510	0.2
355,358	5.000%, due 08/01/35	386,514	0.1
155,950	5.000%, due 09/01/35	169,236	0.0
1,545,130	5.000%, due 10/01/35	1,676,774	0.2
164,326	5.000%, due 01/01/36	178,733	0.0
156,766	5.000%, due 07/01/39	173,013	0.0
565,868	5.000%, due 10/01/39	612,665	0.1
209,858	5.000%, due 11/01/39	231,607	0.0
158,668	5.000%, due 11/01/40	174,120	0.0
112,519	5.000%, due 11/01/40	123,477	0.0
103,940	5.000%, due 01/01/41	114,062	0.0
154,002	5.000%, due 03/01/41	169,000	0.0
8,061	5.190%, due 11/01/15	8,861	0.0
92,550	5.350%, due 12/01/16	103,794	0.0
14,734	5.357%, due 02/01/13	14,761	0.0
330,000	5.370%, due 05/01/18	377,579	0.1
40,014	5.450%, due 04/01/17	45,119	0.0
276,153	5.466%, due 11/01/15	306,449	0.0
254,895	5.500%, due 11/01/17	275,534	0.0
155,125	5.500%, due 01/01/18	169,080	0.0
257,704	5.500%, due 02/01/18	279,437	0.0
248,010	5.500%, due 06/01/19	271,794	0.0
125,828	5.500%, due 07/01/19	137,895	0.0
104,697	5.500%, due 07/01/19	114,737	0.0
37,076	5.500%, due 07/01/19	40,631	0.0
149,034	5.500%, due 08/01/19	163,326	0.0
40,277	5.500%, due 09/01/19	44,140	0.0
138,213	5.500%, due 09/01/19	151,468	0.0
503,727	5.500%, due 02/01/33	553,867	0.1
9,024	5.500%, due 03/01/33	9,928	0.0
12,399	5.500%, due 05/01/33	13,687	0.0
550,730	5.500%, due 06/01/33	605,548	0.1
198,252	5.500%, due 06/01/33	217,986	0.0
67,130	5.500%, due 07/01/33	73,812	0.0
1,455,087	5.500%, due 07/01/33	1,599,921	0.2
398,530	5.500%, due 11/01/33	438,198	0.1
123,566	5.500%, due 12/01/33	136,483	0.0
77,397	5.500%, due 01/01/34	85,488	0.0
228,979	5.500%, due 01/01/34	252,487	0.0
169,753	5.500%, due 01/01/34	186,649	0.0
137,650	5.500%, due 02/01/34	152,039	0.0
366,628	5.500%, due 02/01/34	403,121	0.1
96,739	5.500%, due 02/01/34	106,852	0.0
221,568	5.500%, due 02/01/34	244,730	0.0
68,946	5.500%, due 03/01/34	77,123	0.0
66,351	5.500%, due 03/01/34	74,221	0.0
86,278	5.500%, due 04/01/34	95,297	0.0
116,551	5.500%, due 04/01/34	128,581	0.0
226,378	5.500%, due 05/01/34	251,529	0.0
227,387	5.500%, due 05/01/34	252,649	0.0
206,523	5.500%, due 05/01/34	227,983	0.0
437,225	5.500%, due 05/01/34	485,800	0.1
60,620	5.500%, due 06/01/34	66,844	0.0
88,601	5.500%, due 07/01/34	97,807	0.0
46,824	5.500%, due 07/01/34	51,689	0.0
156,801	5.500%, due 07/01/34	173,095	0.0
142,301	5.500%, due 07/01/34	156,910	0.0
567,617	5.500%, due 07/01/34	626,598	0.1
78,505	5.500%, due 07/01/34	86,299	0.0
75,818	5.500%, due 07/01/34	83,697	0.0

See Accompanying Notes to Financial Statements

ING MFS TOTAL RETURN PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


254,673	5.500%, due 09/01/34	280,009	0.0
426,809	5.500%, due 09/01/34	471,159	0.1
22,727	5.500%, due 09/01/34	25,060	0.0
16,249	5.500%, due 09/01/34	17,948	0.0
521,736	5.500%, due 09/01/34	575,951	0.1
86,738	5.500%, due 09/01/34	95,321	0.0
150,191	5.500%, due 09/01/34	165,797	0.0
167,755	5.500%, due 09/01/34	185,186	0.0
41,287	5.500%, due 09/01/34	45,548	0.0
492,020	5.500%, due 10/01/34	543,146	0.1
217,331	5.500%, due 10/01/34	239,643	0.0
475,438	5.500%, due 10/01/34	524,842	0.1
592,150	5.500%, due 11/01/34	653,681	0.1
308,084	5.500%, due 11/01/34	340,097	0.0
2,672	5.500%, due 11/01/34	2,968	0.0
387,227	5.500%, due 12/01/34	427,464	0.1
964,511	5.500%, due 12/01/34	1,064,735	0.1
35,710	5.500%, due 02/01/35	39,443	0.0
9,223	5.500%, due 04/01/35	10,187	0.0
224,987	5.500%, due 04/01/35	248,366	0.0
79,784	5.500%, due 05/01/35	87,800	0.0
756,455	5.500%, due 09/01/35	835,532	0.1
1,071,423	5.500%, due 01/01/36	1,175,390	0.1
428,642	5.500%, due 01/01/37	470,236	0.1
783,632	5.500%, due 08/01/37	859,673	0.1
387,978	5.500%, due 08/01/37	425,626	0.1
313,063	5.500%, due 08/01/38	343,539	0.1
301,088	5.662%, due 02/01/16	340,474	0.1
191,313	5.725%, due 07/01/16	218,405	0.0
99,637	6.000%, due 02/01/17	107,320	0.0
3,714	6.000%, due 03/01/17	4,086	0.0
124,437	6.000%, due 08/01/17	136,911	0.0
60,713	6.000%, due 03/01/18	66,799	0.0
504,690	6.000%, due 11/01/18	543,611	0.1
50,371	6.000%, due 01/01/21	55,421	0.0
37,844	6.000%, due 01/01/34	42,620	0.0
65,242	6.000%, due 03/01/34	73,476	0.0
53,328	6.000%, due 03/01/34	60,059	0.0
289,003	6.000%, due 04/01/34	325,239	0.0
766,960	6.000%, due 04/01/34	863,763	0.1
452,271	6.000%, due 04/01/34	509,356	0.1
51,552	6.000%, due 05/01/34	58,059	0.0
28,978	6.000%, due 05/01/34	32,525	0.0
260,158	6.000%, due 06/01/34	292,994	0.0
584,528	6.000%, due 06/01/34	657,819	0.1
82,000	6.000%, due 06/01/34	92,350	0.0
442,506	6.000%, due 06/01/34	497,620	0.1
52,302	6.000%, due 06/01/34	58,685	0.0
196,488	6.000%, due 07/01/34	220,633	0.0
225,221	6.000%, due 07/01/34	251,396	0.0
129,613	6.000%, due 07/01/34	145,865	0.0
301,430	6.000%, due 07/01/34	338,219	0.0
31,869	6.000%, due 07/01/34	35,892	0.0
56,702	6.000%, due 08/01/34	63,669	0.0
28,091	6.000%, due 08/01/34	31,590	0.0
352,322	6.000%, due 08/01/34	395,910	0.1
396,214	6.000%, due 08/01/34	444,572	0.1
73,848	6.000%, due 10/01/34	82,371	0.0
387,524	6.000%, due 10/01/34	434,499	0.1
247,813	6.000%, due 10/01/34	279,091	0.0
103,312	6.000%, due 11/01/34	116,351	0.0
20,914	6.000%, due 11/01/34	23,449	0.0
104,036	6.000%, due 04/01/35	117,168	0.0
8,009	6.000%, due 08/01/35	8,927	0.0
141,808	6.000%, due 09/01/35	158,155	0.0
36,883	6.000%, due 09/01/35	41,100	0.0
144,616	6.000%, due 10/01/35	161,631	0.0
95,304	6.000%, due 10/01/35	106,201	0.0
4,045	6.000%, due 11/01/35	4,483	0.0
190,196	6.000%, due 12/01/35	211,943	0.0


162,371	6.000%, due 12/01/35	181,799	0.0
657,114	6.000%, due 12/01/35	732,251	0.1
2,415	6.000%, due 02/01/36	2,693	0.0
352,316	6.000%, due 03/01/36	392,601	0.1
425,102	6.000%, due 04/01/36	472,104	0.1
6,006	6.000%, due 06/01/36	6,693	0.0
0	6.000%, due 03/01/37	0	–
184,501	6.000%, due 07/01/37	206,577	0.0
163,758	6.500%, due 06/01/31	187,472	0.0
601	6.500%, due 07/01/31	690	0.0
20,356	6.500%, due 07/01/31	23,337	0.0
376	6.500%, due 08/01/31	430	0.0
196,974	6.500%, due 09/01/31	225,498	0.0
116,167	6.500%, due 12/01/31	133,425	0.0
1,589	6.500%, due 01/01/32	1,819	0.0
2,748	6.500%, due 02/01/32	3,146	0.0
306,304	6.500%, due 07/01/32	350,661	0.1
427,478	6.500%, due 08/01/32	489,381	0.1
322,934	6.500%, due 01/01/33	369,698	0.1
64,874	6.500%, due 04/01/34	73,924	0.0
346,215	6.500%, due 08/01/34	394,971	0.1
1,991	6.500%, due 04/01/36	2,253	0.0
144,340	6.500%, due 05/01/36	163,997	0.0
79,147	6.500%, due 01/01/37	89,668	0.0
31,484	6.500%, due 02/01/37	35,677	0.0
187,063	6.500%, due 02/01/37	212,381	0.0
12,192	6.500%, due 02/01/37	13,854	0.0
471,829	6.500%, due 07/01/37	536,174	0.1
31,995	7.500%, due 02/01/30	38,944	0.0
144,420	7.500%, due 03/01/31	176,593	0.0
3,349	7.500%, due 11/01/31	4,115	0.0
565	7.500%, due 02/01/32	694	0.0
		57,652,538	6.6

	Government National Mortgage Association: 2.4%
408,215	3.500%, due 12/15/41	437,439	0.1
287,095	3.500%, due 02/15/42	307,737	0.0
1,330,000	3.500%, due 03/20/42	1,417,905	0.2
865,608	3.500%, due 03/20/42	926,732	0.1
2,554,400	4.000%, due 01/20/41	2,795,843	0.3
51,091	4.500%, due 07/20/33	56,688	0.0
74,826	4.500%, due 09/15/33	82,332	0.0
321,401	4.500%, due 09/20/33	356,012	0.0
124,327	4.500%, due 12/20/34	137,832	0.0
1,059,080	4.500%, due 11/15/39	1,160,349	0.1
555,164	4.500%, due 03/15/40	618,658	0.1
1,164,457	4.500%, due 04/15/40	1,275,317	0.2
381,737	4.500%, due 06/15/40	421,578	0.1
612,325	4.500%, due 01/20/41	676,447	0.1
925,927	4.500%, due 11/20/41	1,020,205	0.1
49,082	5.000%, due 07/20/33	54,580	0.0
109,950	5.000%, due 03/15/34	121,782	0.0
317,633	5.000%, due 06/15/34	351,814	0.0
83,166	5.000%, due 10/15/34	92,101	0.0
1,497,464	5.000%, due 05/15/39	1,649,740	0.2
0	5.000%, due 09/15/39	0	–
1,931,103	5.000%, due 11/20/41	2,138,457	0.3
398,131	5.500%, due 11/15/32	445,220	0.1
1,465,655	5.500%, due 05/15/33	1,637,174	0.2
245,999	5.500%, due 08/15/33	274,787	0.0
45,056	5.500%, due 08/15/33	50,329	0.0
25,684	5.500%, due 12/15/33	28,998	0.0
265,299	6.000%, due 09/15/32	301,091	0.0
7,636	6.000%, due 09/15/32	8,667	0.0
2,132	6.000%, due 10/15/32	2,420	0.0
22,181	6.000%, due 10/15/32	25,448	0.0
452,937	6.000%, due 04/15/33	512,912	0.1
14,550	6.000%, due 04/15/34	16,540	0.0
97,079	6.000%, due 07/15/34	110,176	0.0

See Accompanying Notes to Financial Statements

ING MFS TOTAL RETURN PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


92,196		6.000%, due 07/15/34	104,635	0.0
235,235		6.000%, due 07/15/34	266,972	0.0
112,175		6.000%, due 09/15/34	126,608	0.0
230,121		6.000%, due 11/20/34	260,036	0.0
316,171		6.000%, due 02/20/35	357,272	0.1
62,883		6.000%, due 04/20/35	71,057	0.0
			20,699,890	2.4

		Other U.S. Agency Obligations: 0.1%
425,000		9.650%, due 11/02/18	631,836	0.1

		Total U.S. Government Agency Obligations (Cost $101,289,455)	108,872,768	12.5

ASSET-BACKED SECURITIES: 0.8%
		Home Equity Asset-Backed Securities: 0.2%
997,148	#	Bayview Financial Revolving Mortgage Loan Trust, 1.845%, 12/28/40	648,849	0.1
601,303		GMAC Mortgage Corp. Loan Trust, 5.805%, 10/25/36	432,098	0.0
1,204,000		Residential Funding Mortgage Securities II, Inc., 5.320%, 12/25/35	732,304	0.1
			1,813,251	0.2

		Other Asset-Backed Securities: 0.6%
522,199	#	Anthracite CDO I Ltd., 0.695%, 05/24/17	506,533	0.0
556,023	#	Capital Trust Re CDO Ltd., 5.160%, 06/25/35	560,193	0.1
379,819		Small Business Administration, 4.770%, 04/01/24	421,514	0.0
585,007		Small Business Administration, 4.990%, 09/01/24	652,854	0.1
2,087,796		Small Business Administration, 5.110%, 08/01/25	2,344,596	0.3
607,316		Small Business Administration, 5.180%, 05/01/24	673,713	0.1
			5,159,403	0.6

		Total Asset-Backed Securities (Cost $7,512,909)	6,972,654	0.8

		Total Long-Term Investments (Cost $743,697,831)	856,058,889	98.2

SHORT-TERM INVESTMENTS: 1.8%
		Commercial Paper: 1.6%
14,624,000		BARCLAYS U S FDG CORP DIS, 07/02/12 (Cost $14,623,984)	14,623,984	1.6

Securities Lending Collateral^cc(1): 0.2%

452,453

BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $452,460, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $461,502, due 05/01/32-06/01/42)

452,453

0.1

1,000,000

Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $1,000,015, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $1,020,000, due 04/01/24-06/01/42)

1,000,000

0.1

1,452,453

0.2

Total Short-Term Investments
(Cost $16,076,437)

16,076,437

1.8

Total Investments in Securities
(Cost $759,774,268)

872,135,326

100.0

Liabilities in Excess of Other Assets

(249,640)

–

Net Assets

871,885,686

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

#	Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.

##	On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations.

@	Non-income producing security

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.

See Accompanying Notes to Financial Statements

ING MFS TOTAL RETURN PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Cost for federal income tax purposes is $783,243,357.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation			$ 129,755,479
Gross Unrealized Depreciation			(40,863,510)


Net Unrealized Appreciation			$ 88,891,969

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Consumer Discretionary	$	52,074,705	$	–	$	–	$	52,074,705
Consumer Staples		52,711,000		20,849,041		–		73,560,041
Energy		54,156,100		–		–		54,156,100
Financials		103,728,792		–		–		103,728,792
Health Care		59,019,052		2,656,857		–		61,675,909
Industrials		79,127,344		–		–		79,127,344
Information Technology		44,715,835		–		–		44,715,835
Materials		16,561,837		–		–		16,561,837
Telecommunication Services		12,192,662		7,632,234		–		19,824,896
Utilities		10,053,149		–		–		10,053,149

Total Common Stock		484,340,476		31,138,132		–		515,478,608

Preferred Stock		1,017,580		831,629		–		1,849,209
Corporate Bonds/Notes		–		83,462,209		–		83,462,209
Collateralized Mortgage Obligations		–		15,665,878		–		15,665,878
Municipal Bonds		–		1,317,042		–		1,317,042
Short-Term Investments		–		16,076,437		–		16,076,437
Foreign Government Bonds		–		3,894,783		–		3,894,783
U.S. Treasury Obligations		–		118,545,738		–		118,545,738
U.S. Government Agency Obligations		–		108,872,768		–		108,872,768
Asset-Backed Securities		–		5,905,928		1,066,726		6,972,654

Total Investments, at fair value		$ 485,358,056	$	385,710,544	$	1,066,726	$	872,135,326

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements


ING MFS UTILITIES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING MFS UTILITIES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 89.8%
		Consumer Discretionary: 12.1%
13,170	@	Charter Communications, Inc.		933,358		0.2
732,230		Comcast Corp. – Special Class A		22,992,022		4.0
66,643	@	Kabel Deutschland Holding AG		4,153,188		0.7
108,920	@	Liberty Global, Inc.		5,405,700		0.9
142,816		Time Warner Cable, Inc.		11,725,194		2.0
87,000		Viacom - Class B		4,090,740		0.7
861,540		Virgin Media, Inc.		21,012,960		3.6
				70,313,162		12.1

		Energy: 13.2%
68,610		Cabot Oil & Gas Corp.		2,703,234		0.5
44,850	@	Cheniere Energy, Inc.		661,089		0.1
24,860		El Paso Pipeline Partners L.P.		840,268		0.1
162,440		EQT Corp.		8,711,657		1.5
474,341		Kinder Morgan, Inc./Delaware		15,283,267		2.6
36,900		Occidental Petroleum Corp.		3,164,913		0.5
237,520		QEP Resources, Inc.		7,118,475		1.2
270,370		Spectra Energy Corp.		7,856,952		1.4
600,761		Williams Cos., Inc.		17,313,932		3.0
168,250		Williams Partners L.P.		8,789,380		1.5
275,960	@	WPX Energy, Inc.		4,465,033		0.8
				76,908,200		13.2

		Financials: 1.1%
87,610		American Tower Corp.		6,124,815		1.1

		Telecommunication Services: 15.5%
3,520,770		Bezeq Israeli Telecommunication Corp., Ltd.		3,745,969		0.7
227,860		Cellcom Israel Ltd.		1,389,946		0.2
169,559		CenturyTel, Inc.		6,695,885		1.2
508,000		China Unicom Ltd.		638,800		0.1
52,420	@	Crown Castle International Corp.		3,074,957		0.5
531,280		Deutsche Telekom AG		5,822,544		1.0
218,824		Empresa Nacional de Telecom		4,151,429		0.7
493,270		Frontier Communications Corp.		1,889,224		0.3
45		KDDI Corp.		290,291		0.1
258,915		Mobile Telesystems OJSC ADR		4,453,338		0.8
72,720	@	NII Holdings, Inc.		743,926		0.1
88,040	@	SBA Communications Corp.		5,022,682		0.9
932,523		TDC A/S		6,480,723		1.1
9,632,768		Telecom Italia S.p.A. RNC		7,806,101		1.3
324,770		Telefonica Brasil SA ADR		8,034,810		1.4
94,583	@	Telenet Group Holding NV		4,138,746		0.7


340,779		Tim Participacoes SA ADR	9,357,791	1.6
3,369,950		Vodafone Group PLC	9,472,082	1.6
5,147,000		XL Axiata Tbk PT	3,395,419	0.6
107,460	@	Ziggo NV	3,424,930	0.6
			90,029,593	15.5

		Utilities: 47.9%
1,002,140	@	AES Corp.	12,857,456	2.2
68,430		AGL Resources, Inc.	2,651,663	0.5
3,641,349		Aguas Andinas SA	2,254,255	0.4
174,970		American Electric Power Co., Inc.	6,981,303	1.2
17,770		Atmos Energy Corp.	623,194	0.1
733,250	@	Calpine Corp.	12,105,958	2.1
355,250		CenterPoint Energy, Inc.	7,343,017	1.3
244,021		CEZ A/S	8,432,939	1.5
136,780	@	China Hydroelectric Corp. ADR ADR	96,444	0.0
331,000		China Longyuan Power Group Corp.	218,586	0.0
28,200		Cia de Saneamento Basico do Estado de Sao Paulo	1,068,469	0.2
118,260		Cia Paranaense de Energia ADR	2,563,877	0.4
157,000		Cia Paranaense de Energia	3,397,172	0.6
745,960		CMS Energy Corp.	17,530,060	3.0
170,000		Cia de Saneamento de Minas Gerais-COPASA	3,686,084	0.6
764,680		E.CL SA	1,823,168	0.3
152,683		E.ON AG	3,299,354	0.6
332,570		Edison International	15,364,734	2.6
625,200		EDP - Energias do Brasil S.A.	4,043,489	0.7
1,742,071	@	EDP Renovaveis S.A.	5,969,494	1.0
457,663		Enagas	8,350,607	1.4
9,619,195	@	Enel OGK - 5 OJSC	494,559	0.1
72,820		Energen Corp.	3,286,367	0.6
5,999,404		Energias de Portugal S.A.	14,192,280	2.5
111,800		FirstEnergy Corp.	5,499,442	0.9
289,288		Gaz de France	6,898,909	1.2
2,162,170	@	GenOn Energy, Inc.	3,697,311	0.6
181,220		Great Plains Energy, Inc.	3,879,920	0.7
1,554,239		Iberdrola S.A.	7,337,924	1.3
73,900		ITC Holdings Corp.	5,092,449	0.9
348,810		Light S.A.	4,280,889	0.7
608,359		National Grid PLC	6,447,390	1.1
159,720		NextEra Energy, Inc.	10,990,333	1.9
84,870		NiSource, Inc.	2,100,533	0.4
161,700		Northeast Utilities	6,275,577	1.1
510,794	@	NRG Energy, Inc.	8,867,384	1.5
182,770		NV Energy, Inc.	3,213,097	0.6
142,060		OGE Energy Corp.	7,357,287	1.3
9,588,316	@	E.ON Russia OJSC	695,744	0.1
33,620		Oneok, Inc.	1,422,462	0.2
265,140		PPL Corp.	7,373,543	1.3
414,740		Public Service Enterprise Group, Inc.	13,479,050	2.3
186,011		Red Electrica de Espana	8,118,561	1.4
83,400		RWE AG	3,410,614	0.6

See Accompanying Notes to Financial Statements


ING MFS UTILITIES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING MFS UTILITIES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


273,379		Scottish & Southern Energy PLC		5,963,888		1.0
169,970		Sempra Energy		11,707,534		2.0
53,740		Suez Environnement S.A.		577,839		0.1
1,944,275,138	@	TGK-1 OAO		411,895		0.1
169,200		Tractebel Energia S.A.		3,100,947		0.5
110,948		United Utilities Group PLC		1,175,291		0.2
				278,010,342		47.9

		Total Common Stock (Cost $472,789,547)		521,386,112		89.8

PREFERRED STOCK: 3.6%
		Utilities: 3.6%
153,050		Cia Energetica de Minas Gerais		2,821,728		0.5
104,580	@	NextEra Energy, Inc.		5,727,847		1.0
113,910	@	PPL Corp.		6,090,768		1.1
111,970	@	PPL Corp.		5,985,916		1.0

		Total Preferred Stock (Cost $19,823,873)		20,626,259		3.6

WARRANTS: 0.1%
		Energy: 0.1%
230,007	@	Kinder Morgan, Inc.		496,815		0.1

		Total Warrants (Cost $174,943)		496,815		0.1

Principal Amount†			Value		Percentage of Net Assets
CORPORATE BONDS/NOTES: 3.0%
		Consumer Discretionary: 0.7%
2,691,000		Virgin Media, Inc., 6.500%, 11/15/16		4,036,500		0.7

		Energy: 0.6%
3,235,000	#	Everest Acquisition LLC / Everest Acquisition Finance, Inc., 9.375%, 05/01/20		3,356,313		0.6

		Telecommunication Services: 0.7%
2,019,000		SBA Communications Corp., 4.000%, 10/01/14		3,904,241		0.7

		Utilities: 1.0%
3,881,000		GenOn Energy, Inc., 9.875%, 10/15/20		3,803,380		0.6
1,510,000		NRG Energy, Inc., 7.875%, 05/15/21		1,532,650		0.3
910,000	#	Viridian Group FundCo II, 11.125%, 04/01/17		841,750		0.1
				6,177,780		1.0

		Total Corporate Bonds/Notes (Cost $15,211,566)		17,474,834		3.0

		Total Long-Term Investments (Cost $507,999,929)		559,984,020		96.5

SHORT-TERM INVESTMENTS: 2.7%

Commercial Paper: 2.7%

15,780,000

HSBC Bank USA Disc 7/2/12, 07/02/12 (Cost $15,779,947)

15,779,947

2.7

Total Short-Term Investments
(Cost $15,779,947)

15,779,947

2.7

Total Investments in Securities
(Cost $523,779,876)

575,763,967

99.2

Assets in Excess of Other Liabilities

4,696,459

0.8

Net Assets

580,460,426

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

#	Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.

@	Non-income producing security

ADR	American Depositary Receipt


Cost for federal income tax purposes is $531,587,707.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation	$	87,179,631
Gross Unrealized Depreciation		(43,003,371	)


Net Unrealized Appreciation	$	44,176,260

See Accompanying Notes to Financial Statements


ING MFS UTILITIES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING MFS UTILITIES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Consumer Discretionary	$	66,159,974	$	4,153,188	$	–	$	70,313,162
Energy		76,908,200		–		–		76,908,200
Financials		6,124,815		–		–		6,124,815
Telecommunication Services		48,238,918		41,790,675		–		90,029,593
Utilities		206,049,605		71,960,737		–		278,010,342

Total Common Stock		403,481,512		117,904,600		–		521,386,112

Preferred Stock		2,821,728		17,804,531		–		20,626,259
Warrants		496,815		–		–		496,815
Corporate Bonds/Notes		–		17,474,834		–		17,474,834
Short-Term Investments		–		15,779,947		–		15,779,947

Total Investments, at fair value	$	406,800,055	$	168,963,912	$	–	$	575,763,967

Other Financial Instruments+
Forward Foreign Currency Contracts		–		1,014,225		–		1,014,225

Total Assets	$	406,800,055	$	169,978,137	$	–	$	576,778,192

Liabilities Table
Other Financial Instruments+
Forward Foreign Currency Contracts	$	–	$	(547,585)	$	–	$	(547,585)

Total Liabilities	$	–	$	(547,585)	$	–	$	(547,585)

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

At June 30, 2012, the following forward foreign currency contracts were outstanding for the ING MFS Utilities Portfolio:


Counterparty	Currency	Contract Amount		Buy/Sell	Settlement Date	In Exchange For		Fair Value		Unrealized Appreciation (Depreciation)

Barclays Bank PLC	EU Euro		123	Buy	07/13/12	$	155	$	157	$	2
Barclays Bank PLC	EU Euro		9,275	Buy	07/13/12		11,815		11,738		(77	)
Barclays Bank PLC	EU Euro		152,246	Buy	07/13/12		197,314		192,688		(4,626	)
Barclays Bank PLC	EU Euro		16,839	Buy	07/13/12		21,923		21,312		(611	)
Citigroup, Inc.	British Pound		172,196	Buy	07/13/12		278,165		269,677		(8,488	)
Credit Suisse First
Boston	EU Euro		63,681	Buy	07/13/12		79,245		80,596		1,351
Credit Suisse First
Boston	EU Euro		41,074	Buy	07/13/12		53,236		51,985		(1,251	)
Deutsche Bank AG	EU Euro		143,541	Buy	07/13/12		177,510		181,670		4,160
Deutsche Bank AG	EU Euro		51,545	Buy	07/13/12		65,630		65,237		(393	)
Deutsche Bank AG	EU Euro		318,077	Buy	07/13/12		421,834		402,569		(19,265	)
Deutsche Bank AG	EU Euro		278,753	Buy	07/13/12		368,983		352,799		(16,184	)
Deutsche Bank AG	EU Euro		182,387	Buy	07/13/12		240,687		230,835		(9,852	)
Deutsche Bank AG	EU Euro		603,773	Buy	07/13/12		790,858		764,156		(26,702	)
Goldman Sachs &
Co.	EU Euro		60,322	Buy	07/13/12		76,724		76,346		(378	)
Merrill Lynch & Co.,
Inc.	EU Euro		60,749	Buy	07/13/12		76,358		76,887		529
Merrill Lynch & Co.,
Inc.	EU Euro		36,670	Buy	07/13/12		45,778		46,411		633
UBS AG	EU Euro		257,418	Buy	07/13/12		323,595		325,796		2,201
UBS AG	EU Euro		15,928	Buy	07/13/12		20,023		20,159		136

See Accompanying Notes to Financial Statements


ING MFS UTILITIES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING MFS UTILITIES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


UBS AG	EU Euro	305,057	Buy	07/13/12		389,893		386,090		(3,803)
UBS AG	EU Euro	75,227	Buy	07/13/12		96,147		95,209		(938)
UBS AG	Brazilian Real	2,300,000	Buy	08/02/12		1,138,614		1,136,951		(1,663)
UBS AG	EU Euro	206,894	Buy	07/13/12		270,773		261,852		(8,921)
UBS AG	EU Euro	85,784	Buy	07/13/12		112,965		108,571		(4,394)
UBS AG	EU Euro	238,281	Buy	07/13/12		312,620		301,577		(11,043)

									$	(109,577)


Barclays Bank PLC	British Pound	54,319	Sell	07/13/12	$	85,065	$	85,069	$	(4)
Barclays Bank PLC	EU Euro	285,816	Sell	07/13/12		358,164		361,738		(3,574)
Barclays Bank PLC	EU Euro	176,804	Sell	07/13/12		221,558		223,769		(2,211)
Barclays Bank PLC	British Pound	52,880	Sell	07/13/12		83,388		82,815		573
Barclays Bank PLC	British Pound	93,187	Sell	07/13/12		147,227		145,941		1,286
Barclays Bank PLC	British Pound	28,594	Sell	07/13/12		45,544		44,780		764
Barclays Bank PLC	EU Euro	30,955	Sell	07/13/12		39,433		39,178		255
Barclays Bank PLC	EU Euro	307,398	Sell	07/13/12		391,588		389,053		2,535
Barclays Bank PLC	EU Euro	159,331	Sell	07/13/12		203,332		201,655		1,677
Barclays Bank PLC	EU Euro	377,144	Sell	07/13/12		481,296		477,326		3,970
Barclays Bank PLC	EU Euro	41,377	Sell	07/13/12		53,484		52,367		1,117
Barclays Bank PLC	British Pound	237,071	Sell	07/13/12		383,718		371,279		12,439
Barclays Bank PLC	British Pound	133,706	Sell	07/13/12		215,791		209,398		6,393
Barclays Bank PLC	British Pound	6,753,974	Sell	07/13/12		10,704,779		10,577,424		127,355
Barclays Bank PLC	EU Euro	896,916	Sell	07/13/12		1,174,207		1,135,168		39,039
Barclays Bank PLC	British Pound	104,334	Sell	07/13/12		165,252		163,397		1,855
Citigroup, Inc.	EU Euro	758	Sell	07/13/12		952		959		(7)
Citigroup, Inc.	British Pound	133,391	Sell	07/13/12		216,967		208,903		8,064
Citigroup, Inc.	EU Euro	187,044	Sell	07/13/12		247,280		236,730		10,550
Citigroup, Inc.	EU Euro	244,182	Sell	07/13/12		320,855		309,045		11,810
Citigroup, Inc.	EU Euro	155,067	Sell	07/13/12		202,947		196,258		6,689
Citigroup, Inc.	EU Euro	127,756	Sell	07/13/12		167,203		161,692		5,511
Citigroup, Inc.	EU Euro	1,020,472	Sell	07/13/12		1,334,848		1,291,545		43,303
Citigroup, Inc.	EU Euro	289,251	Sell	07/13/12		378,869		366,086		12,783
Citigroup, Inc.	EU Euro	167,312	Sell	07/13/12		219,907		211,756		8,151
Credit Suisse First Boston	EU Euro	59,637	Sell	07/13/12		74,410		75,479		(1,069)
Credit Suisse First Boston	EU Euro	86,364	Sell	07/13/12		107,964		109,306		(1,342)
Credit Suisse First Boston	EU Euro	256,211	Sell	07/13/12		322,388		324,270		(1,882)
Credit Suisse First Boston	EU Euro	151,971	Sell	07/13/12		189,116		192,340		(3,224)
Credit Suisse First Boston	EU Euro	169,020	Sell	07/13/12		210,332		213,918		(3,586)
Credit Suisse First Boston	EU Euro	60,759	Sell	07/13/12		76,056		76,898		(842)
Credit Suisse First Boston	EU Euro	130,756	Sell	07/13/12		171,578		165,489		6,089
Credit Suisse First Boston	EU Euro	5,244,119	Sell	07/13/12		6,866,440		6,637,137		229,303
Deutsche Bank AG	EU Euro	170,345	Sell	07/13/12		215,705		215,595		110
Deutsche Bank AG	EU Euro	10,593	Sell	07/13/12		13,442		13,406		36
Deutsche Bank AG	EU Euro	37,195	Sell	07/13/12		46,464		47,076		(612)
Deutsche Bank AG	EU Euro	108,040	Sell	07/13/12		137,562		136,739		823
Deutsche Bank AG	British Pound	149,667	Sell	07/13/12		236,294		234,394		1,900
Deutsche Bank AG	EU Euro	234,784	Sell	07/13/12		298,755		297,150		1,605
Deutsche Bank AG	British Pound	39,376	Sell	07/13/12		63,076		61,667		1,409
Deutsche Bank AG	EU Euro	23,820	Sell	07/13/12		31,527		30,147		1,380
Deutsche Bank AG	EU Euro	181,172	Sell	07/13/12		238,047		229,298		8,749
Deutsche Bank AG	EU Euro	124,812	Sell	07/13/12		163,993		157,966		6,027
Deutsche Bank AG	EU Euro	21,396	Sell	07/13/12		28,276		27,080		1,196
Deutsche Bank AG	EU Euro	147,462	Sell	07/13/12		193,508		186,633		6,875
Deutsche Bank AG	British Pound	6,753,974	Sell	07/13/12		10,702,820		10,577,423		125,397
Deutsche Bank AG	British Pound	1,153,000	Sell	07/13/12		1,825,430		1,805,718		19,712
Goldman Sachs & Co.	EU Euro	12,200	Sell	07/13/12		16,000		15,440		560
JPMorgan Chase & Co.	EU Euro	440,444	Sell	07/13/12		553,543		557,441		(3,898)
JPMorgan Chase & Co.	British Pound	82,881	Sell	07/13/12		129,825		129,799		26

See Accompanying Notes to Financial Statements


ING MFS UTILITIES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING MFS UTILITIES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


JPMorgan Chase & Co.	British Pound	41,587	Sell	07/12/12	64,771	65,129		(358	)
JPMorgan Chase & Co.	EU Euro	2,040,590	Sell	07/13/12	2,668,031	2,582,641		85,390
JPMorgan Chase & Co.	EU Euro	194,816	Sell	07/13/12	254,719	246,567		8,152
Merrill Lynch & Co., Inc.	EU Euro	396,775	Sell	07/13/12	499,567	502,172		(2,605	)
Merrill Lynch & Co., Inc.	EU Euro	70,148	Sell	07/13/12	87,572	88,782		(1,210	)
Merrill Lynch & Co., Inc.	EU Euro	1,698,008	Sell	07/13/12	2,223,487	2,149,057		74,430
Merrill Lynch & Co., Inc.	EU Euro	28,396	Sell	07/13/12	35,461	35,939		(478	)
UBS AG	EU Euro	16,908	Sell	07/13/12	20,997	21,399		(402	)
UBS AG	EU Euro	108,388	Sell	07/13/12	135,470	137,180		(1,710	)
UBS AG	EU Euro	487,147	Sell	07/13/12	613,360	616,550		(3,190	)
UBS AG	EU Euro	364,007	Sell	07/13/12	460,529	460,700		(171	)
UBS AG	EU Euro	13,192	Sell	07/13/12	16,629	16,696		(67	)
UBS AG	EU Euro	58,550	Sell	07/13/12	73,532	74,103		(571	)
UBS AG	EU Euro	125,904	Sell	07/13/12	156,159	159,348		(3,189	)
UBS AG	EU Euro	553,620	Sell	07/13/12	686,656	700,680		(14,024	)
UBS AG	EU Euro	101,909	Sell	07/13/12	129,664	128,980		684
UBS AG	Brazilian Real	14,798,949	Sell	08/02/12	7,326,213	7,315,511		10,702
UBS AG	EU Euro	7,811	Sell	07/13/12	10,271	9,886		385
UBS AG	EU Euro	8,223	Sell	07/13/12	10,828	10,407		421
UBS AG	EU Euro	60,113	Sell	07/13/12	79,395	76,081		3,314
UBS AG	EU Euro	1,915,160	Sell	07/13/12	2,512,652	2,423,893		88,759
UBS AG	EU Euro	163,659	Sell	07/13/12	215,191	207,132		8,059
UBS AG	EU Euro	21,323,145	Sell	09/17/12	26,626,638	27,005,408		(378,770	)
UBS AG	British Pound	232,076	Sell	07/13/12	371,056	363,455		7,601

							$	576,217

A summary of derivative instruments by primary risk exposure is outlined in the following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities	Fair Value

Asset Derivatives

Foreign exchange contracts	Unrealized appreciation on forward foreign currency contracts	$	1,014,225

Total Asset Derivatives		$	1,014,225


Liability Derivatives

Foreign exchange contracts	Unrealized depreciation on forward foreign currency contracts	$	547,585

Total Liability Derivatives		$	547,585

See Accompanying Notes to Financial Statements


ING MFS UTILITIES PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING MFS UTILITIES PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2012 was as follows:


	Amount of Realized Gain or (Loss) on Derivatives Recognized in Income

Derivatives not accounted for as hedging instruments		Foreign currency related transactions*

Foreign exchange contracts		$	2,743,981

Total		$	2,743,981


	Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income

Derivatives not accounted for as hedging instruments		Foreign currency related transactions*

Foreign exchange contracts		$	(1,616,586	)

Total		$	(1,616,586)

* Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions.

See Accompanying Notes to Financial Statements


ING MORGAN STANLEY GLOBAL FRANCHISE PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING MORGAN STANLEY GLOBAL FRANCHISE PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 96.7%
		Finland: 2.9%
208,282		Kone OYJ		12,578,851		2.9

		France: 3.8%
491,339		Legrand S.A.		16,676,257		3.8

		Germany: 2.7%
197,735		SAP AG		11,708,986		2.7

		Ireland: 4.7%
340,207		Accenture PLC		20,443,039		4.7

		Italy: 1.9%
1,217,259		Davide Campari-Milano S.p.A.		8,479,891		1.9

		Sweden: 3.7%
406,390		Swedish Match AB		16,379,777		3.7

		Switzerland: 10.0%
711,332		Nestle S.A.		42,450,779		9.7
24,060		Novartis AG		1,345,227		0.3
				43,796,006		10.0

		United Kingdom: 32.2%
450,135		Admiral Group PLC		8,396,898		1.9
808,101		British American Tobacco PLC		41,083,733		9.4
532,321		Diageo PLC		13,720,533		3.1
371,296		Experian Group Ltd.		5,238,289		1.2
629,242		Imperial Tobacco Group PLC		24,243,523		5.5
523,467		Reckitt Benckiser PLC		27,668,811		6.3
619,598		Unilever PLC		20,802,169		4.8
				141,153,956		32.2

		United States: 34.8%
716,578	@	DE Master Blenders1753 NVW		8,102,511		1.8
396,599		Dr Pepper Snapple Group, Inc.		17,351,206		4.0
244,410		Herbalife Ltd.		11,812,335		2.7
143,316		Hillshire Brands Co.		4,154,719		0.9
106,580		Kellogg Co.		5,257,591		1.2
317,598		Kraft Foods, Inc.		12,265,635		2.8
117,861		Mead Johnson Nutrition Co.		9,488,989		2.2
698,090		Microsoft Corp.		21,354,573		4.9
167,370		Moody’s Corp.		6,117,374		1.4
303,220		Philip Morris International, Inc.		26,458,977		6.0
314,115		Procter & Gamble Co.		19,239,544		4.4
37,300	L	Scotts Miracle-Gro Co.		1,533,776		0.3
79,422		Visa, Inc.		9,818,942		2.2
				152,956,172		34.8

	Total Common Stock (Cost $353,467,101)			424,172,935		96.7

Principal
Amount†

Value

Percentage
of Net
Assets

SHORT-TERM INVESTMENTS: 0.1%

Securities Lending Collateral^cc⁽¹⁾: 0.1%

488,826

BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $488,834, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $498,603, due 05/01/32-06/01/42) (Cost $488,826)

488,826

0.1

Total Short-Term Investments
(Cost $488,826)

488,826

0.1

Total Investments in Securities
(Cost $353,955,927)

424,661,761

96.8

Assets in Excess of Other Liabilities

14,202,733

3.2

Net Assets

438,864,494

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

@	Non-income producing security

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.

Cost for federal income tax purposes is $354,841,555.

Net unrealized appreciation consists of:



Gross Unrealized Appreciation	$	77,187,245
Gross Unrealized Depreciation		(7,522,537)


Net Unrealized Appreciation	$	69,664,708


Sector Diversification	Percentage of Net Assets
Consumer Staples		70.4%
Financials		3.3
Health Care		0.3
Industrials		7.9
Information Technology		14.5
Materials		0.3
Short-Term Investments		0.1
Assets in Excess of Other Liabilities		3.2

Net Assets		100.0%

See Accompanying Notes to Financial Statements


ING MORGAN STANLEY GLOBAL FRANCHISE PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING MORGAN STANLEY GLOBAL FRANCHISE PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Finland	$	–	$	12,578,851	$	–	$	12,578,851
France		–		16,676,257		–		16,676,257
Germany		–		11,708,986		–		11,708,986
Ireland		20,443,039		–		–		20,443,039
Italy		–		8,479,891		–		8,479,891
Sweden		–		16,379,777		–		16,379,777
Switzerland		–		43,796,006		–		43,796,006
United Kingdom		–		141,153,956		–		141,153,956
United States		144,853,661		8,102,511		–		152,956,172

Total Common Stock		165,296,700		258,876,235		–		424,172,935

Short-Term Investments		–		488,826		–		488,826

Total Investments, at fair value	$	165,296,700	$	259,365,061	$	–	$	424,661,761

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED)


Principal Amount†			Value		Percentage of Net Assets
CORPORATE BONDS/NOTES: 23.8%
		Consumer Staples: 1.3%
2,500,000		Kraft Foods, Inc., 6.125%, 02/01/18		3,000,857		0.1
1,100,000		Kraft Foods, Inc., 6.875%, 02/01/38		1,445,285		0.0
5,500,000	#	President and Fellows of Harvard College, 6.000%, 01/15/19		6,961,768		0.2
21,500,000	#	President and Fellows of Harvard College, 6.500%, 01/15/39		32,171,073		0.9
1,200,000		Reynolds American, Inc., 7.625%, 06/01/16		1,448,026		0.1
				45,027,009		1.3

		Energy: 2.5%
625,000		El Paso Corp., 7.800%, 08/01/31		705,266		0.0
271,499		Gazprom OAO, 7.201%, 02/01/20		298,298		0.0
13,500,000		Gazprom OAO Via Gaz Capital SA, 8.625%, 04/28/34		17,246,250		0.5
200,000	#,L	Gazprom Via Gaz Capital SA, 5.092%, 11/29/15		211,500		0.0
400,000		Morgan Stanley Bank AG for OAO Gazprom, 9.625%, 03/01/13		420,060		0.0
1,000,000	#	OAO Novatek Via Novatek Finance Ltd., 5.326%, 02/03/16		1,045,120		0.0
1,078,000	#,L	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 06/30/21		1,134,595		0.0
21,100,000		Petrobras International Finance Co., 7.875%, 03/15/19		25,784,179		0.8
9,000,000		Petrobras International Finance Co. - Pifco, 3.875%, 01/27/16		9,339,732		0.3
800,000	#,L	Petroleos Mexicanos, 5.500%, 06/27/44		820,000		0.0
14,900,000		Petroleos Mexicanos, 8.000%, 05/03/19		18,997,500		0.6
700,000		TNK-BP Finance SA, 7.500%, 07/18/16		781,410		0.0
1,700,000	#	TransCapitalInvest Ltd. for OJSC AK Transneft, 8.700%, 08/07/18		2,125,425		0.1
4,000,000		Transocean, Inc., 4.950%, 11/15/15		4,310,712		0.1
2,700,000		White Nights Finance BV for Gazprom, 10.500%, 03/25/14		3,030,750		0.1
				86,250,797		2.5

		Financials: 18.6%
3,100,000		AGFS Funding Co., 5.500%, 05/10/17		2,927,287		0.1


10,600,000		American International Group, Inc., 5.850%, 01/16/18	11,752,061	0.3
200,000		GMAC, Inc., 6.750%, 12/01/14	211,500	0.0
5,480,000	Z	Ally Financial, Inc., 0.326%, 12/01/12	5,404,650	0.2
12,200,000	L	Ally Financial, Inc., 3.667%, 02/11/14	12,172,428	0.4
500,000		Ally Financial, Inc., 3.868%, 06/20/14	497,740	0.0
600,000		Ally Financial, Inc., 4.500%, 02/11/14	609,750	0.0
100,000		Ally Financial, Inc., 4.625%, 06/26/15	100,703	0.0
5,100,000		Ally Financial, Inc., 5.500%, 02/15/17	5,187,608	0.2
1,000,000		Ally Financial, Inc., 7.500%, 12/31/13	1,062,500	0.0
3,600,000		Ally Financial, Inc., 7.500%, 09/15/20	4,059,000	0.1
14,000,000		Ally Financial, Inc., 8.300%, 02/12/15	15,295,000	0.4
3,900,000		American Express Co., 7.000%, 03/19/18	4,835,567	0.1
2,700,000		American Express Credit Corp., 5.875%, 05/02/13	2,813,135	0.1
5,900,000		American Express Credit Corp., 7.300%, 08/20/13	6,310,115	0.2
1,000,000		American General Finance Corp., 4.875%, 07/15/12	1,000,000	0.0
^CAD4,000,000		American International Group, Inc., 4.900%, 06/02/14	4,027,109	0.1
500,000		American International Group, Inc., 5.450%, 05/18/17	544,193	0.0
^EUR1,211,000	#	American International Group, Inc., 6.797%, 11/15/17	1,681,561	0.1
300,000		American International Group, Inc., 8.250%, 08/15/18	363,231	0.0
4,800,000	#	ANZ National International Ltd., 6.200%, 07/19/13	5,033,923	0.1
5,000,000	#	Australia & New Zealand Banking Group Ltd., 2.125%, 01/10/14	5,061,535	0.1
7,000,000	#	Banco Santander Brazil SA/Cayman Islands, 2.568%, 03/18/14	6,740,188	0.2
23,500,000		Bank of America Corp., 6.500%, 08/01/16	25,838,673	0.7
13,600,000		Bank of America NA, 0.748%, 06/15/16	12,018,946	0.3
1,200,000	#	Bank of China Hong Kong Ltd., 5.550%, 02/11/20	1,298,920	0.0
2,300,000	#	Bank of Montreal, 2.850%, 06/09/15	2,436,015	0.1

See Accompanying Notes to Finanpcial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


2,500,000	#,L	Bank of Nova Scotia, 1.650%, 10/29/15	2,558,560	0.1
200,000	#	Bank of Nova Scotia, 1.950%, 01/30/17	206,240	0.0
1,600,000		Barclays Bank PLC, 2.375%, 01/13/14	1,604,499	0.0
2,400,000	#	Barclays Bank PLC, 6.050%, 12/04/17	2,437,289	0.1
1,400,000	#	BBVA, 4.500%, 03/10/16	1,414,000	0.0
2,700,000	#	BBVA Bancomer SA/Texas, 6.500%, 03/10/21	2,740,500	0.1
8,900,000	L	BNP Paribas, 1.358%, 01/10/14	8,717,906	0.3
11,990,000	#,L	BNP Paribas, 5.186%, 06/29/49	10,431,300	0.3
1,000,000	#	BPCE S.A., 2.375%, 10/04/13	984,185	0.0
900,000	#,L	CIT Group, Inc., 5.250%, 04/01/14	936,000	0.0
31,800,000		Citigroup Capital XXI, 8.300%, 12/21/57	31,959,000	0.9
18,300,000		Citigroup, Inc., 5.500%, 04/11/13	18,821,733	0.5
900,000		Citigroup, Inc., 5.625%, 08/27/12	905,504	0.0
5,000,000		Citigroup, Inc., 6.000%, 08/15/17	5,485,475	0.2
4,300,000		Citigroup, Inc., 8.500%, 05/22/19	5,320,687	0.2
4,700,000	#	Commonwealth Bank of Australia, 6.024%, 03/29/49	4,428,674	0.1
2,137,000	#	Cooperatieve Centrale Raiffeisen- Boerenleenbank BA/Netherlands, 11.000%, 12/29/49	2,702,343	0.1
1,800,000	#	DAI-ICHI Mutual Life, 7.250%, 12/31/49	1,903,181	0.1
25,900,000	#	Dexia Credit Local, 0.867%, 03/05/13	25,411,259	0.7
1,900,000		Export-Import Bank of Korea, 5.125%, 06/29/20	2,129,923	0.1
19,200,000		Export-Import Bank of Korea, 5.875%, 01/14/15	21,065,606	0.6
1,100,000		Ford Motor Credit Co. LLC, 5.875%, 08/02/21	1,226,815	0.0
4,100,000		Ford Motor Credit Co. LLC, 7.000%, 04/15/15	4,566,904	0.1
1,400,000		Ford Motor Credit Co., LLC, 8.700%, 10/01/14	1,597,490	0.0
500,000		Ford Motor Credit Co. LLC, 7.000%, 10/01/13	534,793	0.0
200,000		Ford Motor Credit Co. LLC, 7.500%, 08/01/12	200,802	0.0
1,700,000		Ford Motor Credit Co., LLC, 8.000%, 12/15/16	2,015,704	0.1
^EUR8,200,000		General Electric Capital Corp., 5.500%, 09/15/67	9,422,425	0.3
4,000,000		General Electric Capital Services, Inc., 7.500%, 08/21/35	5,440,984	0.2


2,900,000		General Electric Capital Corp., 5.875%, 01/14/38	3,345,095	0.1
2,200,000		Goldman Sachs Group, Inc., 5.950%, 01/18/18	2,358,530	0.1
1,100,000		Goldman Sachs Group, Inc., 6.150%, 04/01/18	1,194,515	0.0
10,500,000		Goldman Sachs Group, Inc., 6.250%, 09/01/17	11,434,017	0.3
2,300,000	#	International Lease Finance Corp., 6.750%, 09/01/16	2,484,000	0.1
4,800,000	#	Intesa Sanpaolo SpA, 2.867%, 02/24/14	4,509,422	0.1
^EUR1,900,000		JPMorgan Chase & Co., 0.904%, 09/26/13	2,392,877	0.1
1,300,000		JPMorgan Chase & Co., 3.150%, 07/05/16	1,338,680	0.0
11,200,000		JPMorgan Chase & Co., 6.000%, 01/15/18	12,877,525	0.4
^GBP2,400,000	L	LBG Capital No.1 PLC, 7.588%, 05/12/20	3,241,923	0.1
^JPY 800,000,000	±	Lehman Brothers Holdings, Inc., 0.940%, 12/19/08	2,026,647	0.1
5,100,000		Lloyds TSB Bank PLC, 4.875%, 01/21/16	5,360,258	0.2
^GBP2,700,000	L	Llyods, 7.867%, 12/17/19	3,678,877	0.1
^EUR1,300,000		Llyods, 8.875%, 02/07/20	1,472,412	0.0
^GBP1,300,000	L	Llyods, 15.000%, 12/21/19	2,463,548	0.1
200,000		Merrill Lynch & Co., Inc., 6.500%, 07/15/18	215,594	0.0
13,400,000		Merrill Lynch & Co., Inc., 6.875%, 11/15/18	15,035,524	0.4
8,800,000		Merrill Lynch & Co., Inc., 6.875%, 04/25/18	9,863,322	0.3
^EUR12,000,000		Morgan Stanley, 1.115%, 05/02/14	14,471,162	0.4
6,700,000		Morgan Stanley, 1.446%, 04/29/13	6,608,545	0.2
2,000,000		Morgan Stanley, 5.950%, 12/28/17	2,057,664	0.1
1,600,000		Morgan Stanley, 6.250%, 08/28/17	1,654,035	0.1
18,800,000	#	National Australia Bank Ltd., 1.178%, 04/11/14	18,819,119	0.5
2,200,000	#	National Australia Bank Ltd., 1.416%, 07/25/14	2,213,424	0.1
4,000,000	#	National Australia Bank Ltd., 5.350%, 06/12/13	4,168,684	0.1
^DKK38,099,241		Nykredit Realkredit A/S, 1.675%, 10/01/38	6,478,602	0.2
^DKK11,783,058		Nykredit Realkredit A/S, 1.675%, 04/01/38	2,003,655	0.1
1,200,000	#	Pacific LifeCorp, 6.000%, 02/10/20	1,312,664	0.0
2,000,000	#	Pricoa Global Funding I, 0.661%, 09/27/13	1,992,482	0.1

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


3,300,000		Principal Life Income Funding Trusts, 5.300%, 04/24/13	3,423,918	0.1
12,000,000	#	RCI Banque SA, 2.328%, 04/11/14	11,668,872	0.3
^DKK11,667,581		Realkredit Danmark A/S, 2.080%, 01/01/38	1,955,222	0.1
^DKK38,039,152		Realkredit Danmark A/S, 2.080%, 01/01/38	6,458,672	0.2
1,500,000	#	Resona Bank Ltd., 5.850%, 09/29/49	1,545,000	0.0
5,000,000	#	Reynolds Group Issuer, Inc., 6.875%, 02/15/21	5,225,000	0.2
4,300,000		Royal Bank of Scotland PLC, 3.950%, 09/21/15	4,383,807	0.1
3,900,000	#	Royal Bank of Scotland PLC, 6.990%, 10/29/49	3,042,000	0.1
800,000	#	Sberbank of Russia Via SB Capital SA, 6.125%, 02/07/22	836,736	0.0
^GBP3,200,000		SLM Corp., 4.875%, 12/17/12	4,999,139	0.1
2,000,000		SLM Corp., 5.000%, 10/01/13	2,070,000	0.1
3,300,000		SLM Corp., 5.375%, 01/15/13	3,370,161	0.1
22,400,000		SLM Corp., 8.000%, 03/25/20	24,640,000	0.7
500,000		SLM Corp., 8.450%, 06/15/18	562,500	0.0
1,300,000	#	Societe Generale, 1.508%, 04/11/14	1,258,759	0.0
6,500,000	#	Societe Generale, 5.922%, 12/31/49	4,420,000	0.1
4,000,000		Springleaf Finance Corp., 6.900%, 12/15/17	3,212,480	0.1
30,200,000	#	SSIF Nevada L.P., 1.158%, 04/14/14	30,013,334	0.9
3,100,000	#	State Bank of India/London, 4.500%, 07/27/15	3,154,588	0.1
3,300,000		State Street Capital Trust III, 5.458%, 03/15/42	3,311,154	0.1
2,200,000	#	Sumitomo Mitsui Banking Corp., 1.950%, 01/14/14	2,223,560	0.1
600,000	#	Sydney Air, 5.125%, 02/22/21	643,169	0.0
2,700,000	#	Temasek Financial I Ltd., 4.300%, 10/25/19	3,032,718	0.1
1,300,000		UBS AG, 5.750%, 04/25/18	1,442,592	0.0
6,000,000		USB Capital IX, 3.500%, 03/29/49	4,625,700	0.1
5,715,000		Wachovia Corp., 0.806%, 10/28/15	5,471,438	0.2
27,092,000		Wells Fargo & Co., 7.980%, 02/28/49	29,868,930	0.9
3,000,000	#	Westpac Banking Corp., 0.947%, 07/16/14	3,027,945	0.1


14,100,000	#	Westpac Banking Corp., 3.585%, 08/14/14	14,877,855	0.4
			648,291,170	18.6

		Health Care: 0.5%
12,700,000		Amgen, Inc., 6.150%, 06/01/18	15,264,003	0.4
2,800,000		UnitedHealth Group, Inc., 4.875%, 02/15/13	2,871,736	0.1
			18,135,739	0.5

		Industrials: 0.2%
1,500,000		Goodrich Corp., 6.290%, 07/01/16	1,769,780	0.1
4,300,000		Union Pacific Corp., 4.163%, 07/15/22	4,804,227	0.1
108,202	±	United Air Lines, Inc., 9.350%, 04/07/16	22,181	0.0
			6,596,188	0.2

		Materials: 0.3%
1,100,000	#	Braskem Finance Ltd., 5.750%, 04/15/21	1,135,750	0.0
4,200,000	#	Corp. Nacional del Cobre de Chile - CODELCO, 7.500%, 01/15/19	5,345,265	0.2
2,200,000	#	Sealed Air Corp., 5.625%, 07/15/13	2,282,500	0.1
1,500,000	L	Vale Overseas Ltd., 6.875%, 11/10/39	1,762,170	0.0
			10,525,685	0.3

		Telecommunication Services: 0.2%
2,300,000		AT&T, Inc., 6.300%, 01/15/38	2,878,510	0.1
200,000	#	Qtel International Finance Ltd., 3.375%, 10/14/16	208,300	0.0
300,000	#	Qtel International Finance Ltd., 4.750%, 02/16/21	320,250	0.0
2,500,000		Verizon Communications, Inc., 5.250%, 04/15/13	2,590,767	0.1
			5,997,827	0.2

		Utilities: 0.2%
3,700,000	#,L	Electricite de France SA, 5.500%, 01/26/14	3,919,051	0.1
2,400,000	#	Electricite de France SA, 6.950%, 01/26/39	2,855,146	0.1
600,000	#,L	ENN Energy Holdings Ltd., 6.000%, 05/13/21	605,067	0.0
1,600,000		NRG Energy, Inc., 8.250%, 09/01/20	1,664,000	0.0
			9,043,264	0.2

		Total Corporate Bonds/Notes (Cost $770,132,590)	829,867,679	23.8

COLLATERALIZED MORTGAGE OBLIGATIONS: 5.5%
57,301		Adjustable Rate Mortgage Trust, 2.887%, 05/25/35	57,225	0.0

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


1,260,373		American Home Mortgage Investment Trust, 2.736%, 02/25/45	1,097,114	0.0
3,500,000		Banc of America Commercial Mortgage, Inc., 5.727%, 05/10/45	4,008,464	0.1
1,715,576		Banc of America Funding Corp., 2.628%, 05/25/35	1,753,968	0.1
2,432,764	#	Banc of America Large Loan, Inc., 1.992%, 11/15/15	2,306,383	0.1
170,148		Banc of America Mortgage Securities, Inc., 3.015%, 07/25/33	162,160	0.0
8,400,000	#	BCAP LLC Trust, 5.250%, 08/26/37	8,232,000	0.2
4,454,207		Bear Stearns Adjustable Rate Mortgage Trust, 2.400%, 10/25/35	3,906,500	0.1
141,819		Bear Stearns Adjustable Rate Mortgage Trust, 2.889%, 01/25/34	143,157	0.0
3,166,283		Bear Stearns Alt-A Trust, 2.752%, 11/25/36	1,745,954	0.1
1,835,104		Bear Stearns Alternative-A Trust, 2.828%, 11/25/36	982,697	0.0
1,029,125		Bear Stearns Alternative-A Trust, 2.879%, 09/25/35	708,904	0.0
1,256,255		Bear Stearns Alternative-A Trust, 2.883%, 05/25/35	1,004,296	0.0
1,200,000		Bear Stearns Commercial Mortgage Securities, 5.471%, 01/12/45	1,381,745	0.0
5,350,780		Chase Mortgage Finance Corp., 5.247%, 12/25/35	5,064,719	0.1
2,261,246		Citicorp Mortgage Securities, Inc., 5.500%, 08/25/36	2,162,096	0.1
681,711		Citigroup Mortgage Loan Trust, Inc., 2.530%, 10/25/35	563,106	0.0
12,737,762		Citigroup Mortgage Loan Trust, Inc., 5.500%, 09/25/35	12,243,263	0.4
3,700,000		Commercial Mortgage Pass-through Certificates, 5.306%, 12/10/46	4,178,108	0.1
3,357,791	^	Countrywide Alternative Loan Trust, 4.755%, 05/25/35	469,286	0.0
626,887		Countrywide Home Loan Mortgage Pass-through Trust, 0.565%, 03/25/35	393,127	0.0
2,627,508	#	Countrywide Home Loan Mortgage Pass-through Trust, 0.585%, 06/25/35	2,247,668	0.1


10,700,000		Credit Suisse Mortgage Capital Certificates, 5.695%, 09/15/40	11,519,192	0.3
400,000		Credit Suisse Mortgage Capital Certificates, 5.851%, 03/15/39	441,113	0.0
520,236		Downey Savings & Loan Association Mortgage Loan Trust, 2.458%, 07/19/44	416,636	0.0
^EUR306,508		European Loan Conduit, 0.840%, 05/15/19	331,643	0.0
472,995		Federal Housing Administration, 8.175%, 03/01/27	467,531	0.0
629,566		First Horizon Alternative Mortgage Securities, 2.614%, 03/25/35	433,545	0.0
40,668,412	^	First Horizon Alternative Mortgage Securities, 4.455%, 01/25/36	5,264,745	0.2
3,899,535		First Horizon Alternative Mortgage Securities, 5.415%, 02/25/36	3,612,441	0.1
624,348		GMAC Mortgage Corp. Loan Trust, 5.047%, 11/19/35	529,388	0.0
947		Greenpoint Mortgage Funding Trust, 0.325%, 01/25/47	945	0.0
200,000		Greenwich Capital Commercial Funding Corp., 4.799%, 08/10/42	215,962	0.0
1,900,000		Greenwich Capital Commercial Funding Corp., 5.444%, 03/10/39	2,115,405	0.1
1,781,070		GSR Mortgage Loan Trust, 2.651%, 09/25/35	1,741,492	0.1
9,549		GSR Mortgage Loan Trust, 6.000%, 03/25/32	10,005	0.0
3,603,822		Harborview Mortgage Loan Trust, 0.433%, 01/19/38	2,173,818	0.1
3,408,690		Harborview Mortgage Loan Trust, 0.483%, 03/19/36	1,764,549	0.1
128,332		JP Morgan Mortgage Trust, 5.750%, 01/25/36	118,520	0.0
600,000		JPMorgan Chase Commercial Mortgage Securities Corp., 5.420%, 01/15/49	674,366	0.0
1,300,000		JPMorgan Chase Commercial Mortgage Securities Corp., 5.882%, 02/15/51	1,482,944	0.0

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


1,279,912		Merrill Lynch Mortgage Investors, Inc., 0.455%, 02/25/36	940,305	0.0
8,870,000		Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.378%, 08/12/48	9,634,430	0.3
2,700,000		Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.485%, 03/12/51	2,950,425	0.1
12,900,000		Merrill Lynch/Countrywide Commercial Mortgage Trust, 6.163%, 08/12/49	14,236,466	0.4
263,336		MLCC Mortgage Investors, Inc., 0.495%, 11/25/35	220,294	0.0
16,500,000		Morgan Stanley Capital I, 5.809%, 12/12/49	19,192,982	0.6
3,900,000		Morgan Stanley Capital I, 6.076%, 06/11/49	4,434,622	0.1
1,400,000	#	Morgan Stanley Reremic Trust, 5.979%, 08/12/45	1,592,726	0.1
50,853	#	Nomura Asset Acceptance Corp., 7.000%, 02/19/30	51,030	0.0
4,292,304	#	RBSSP Resecuritization Trust, 0.495%, 02/26/37	3,514,030	0.1
281,276		Residential Accredit Loans, Inc., 0.645%, 03/25/33	255,217	0.0
947,210		Residential Accredit Loans, Inc., 1.507%, 09/25/45	514,395	0.0
119,737		Residential Asset Securitization Trust, 0.645%, 05/25/33	114,539	0.0
93,899		Sequoia Mortgage Trust, 0.594%, 07/20/33	83,497	0.0
2,600,000		SLM Student Loan Trust, 0.966%, 10/25/17	2,597,894	0.1
21,679,735		SLM Student Loan Trust, 1.966%, 04/25/23	22,410,667	0.6
1,000,000	#	SLM Student Loan Trust, 2.892%, 12/16/19	1,015,866	0.0
4,414,438		Structured Adjustable Rate Mortgage Loan Trust, 2.767%, 04/25/35	3,463,533	0.1
3,147,402		Structured Asset Mortgage Investments, Inc., 0.465%, 05/25/36	1,508,432	0.0
1,382,225		Structured Asset Mortgage Investments, Inc., 0.493%, 07/19/35	1,202,163	0.0


2,308,767	#	Wachovia Bank Commercial Mortgage Trust, 0.332%, 09/15/21	2,237,700	0.1
55,566		WaMu Mortgage Pass Through Certificates, 1.547%, 06/25/42	45,251	0.0
192,780		WaMu Mortgage Pass Through Certificates, 2.640%, 10/25/46	144,769	0.0
65,274		Washington Mutual Mortgage Pass- through Certificates, 1.547%, 08/25/42	52,787	0.0
3,025,007		Washington Mutual Mortgage Pass- through Certificates, 2.640%, 08/25/46	2,138,432	0.1
6,441,756		Wells Fargo Mortgage Backed Securities Trust, 2.622%, 03/25/36	5,404,759	0.2
172,742		Wells Fargo Mortgage-Backed Securities Trust, 2.681%, 10/25/33	172,500	0.0

		Consumer Discretionary: 0.1%
3,355,523	#	BCAP LLC Trust, 5.250%, 02/26/36	3,347,377	0.1

	Total Collateralized Mortgage Obligations (Cost $182,404,844)		191,603,268	5.5

MUNICIPAL BONDS: 4.6%
		Alaska: 0.2%
9,400,000		Northern Tobacco Securitization Corp., 5.000%, 06/01/46	7,079,986	0.2

		California: 2.4%
1,200,000		California Infrastructure & Economic Development Bank, 6.486%, 05/15/49	1,480,632	0.1
4,200,000		California State Public Works Board, 7.804%, 03/01/35	4,963,014	0.2
2,000,000		California State University, 6.484%, 11/01/41	2,464,780	0.1
9,540,000		Long Beach Unified School District, 08/01/34	3,084,854	0.1
600,000		Los Angeles County Public Works Financing Authority, 7.488%, 08/01/33	740,820	0.0
800,000		Los Angeles County Public Works Financing Authority, 7.618%, 08/01/40	993,848	0.0
6,700,000		Los Angeles Unified School District, 4.500%, 07/01/22	7,532,274	0.2

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


4,500,000	Bay Area Toll Authority, 7.043%, 04/01/50	6,413,940	0.2
7,700,000	Los Angeles Department of Airports, 6.582%, 05/15/39	9,832,746	0.3
21,000,000	Southern California Public Power Authority, 5.943%, 07/01/40	25,586,400	0.7
1,200,000	State of California, 5.650%, 04/01/39	1,245,324	0.0
700,000	State of California, 7.500%, 04/01/34	876,274	0.0
1,300,000	State of California, 7.550%, 04/01/39	1,684,124	0.1
2,700,000	State of California, 7.600%, 11/01/40	3,485,619	0.1
1,800,000	Tobacco Securitization Authority of Southern California/CA, 5.125%, 06/01/46	1,357,092	0.0
9,300,000	University of California, 6.270%, 05/15/31	10,642,083	0.3
600,000	University of California, 6.398%, 05/15/31	735,096	0.0
800,000	University of California, 6.548%, 05/15/48	1,046,688	0.0
		84,165,608	2.4

	Connecticut: 0.3%
8,700,000	State of Connecticut, 5.850%, 03/15/32	10,948,515	0.3

	Illinois: 0.3%
500,000	Chicago Transit Authority, 6.300%, 12/01/21	537,540	0.0
200,000	Chicago Transit Authority, 6.300%, 12/01/21	215,016	0.0
4,300,000	Chicago Transit Authority, 6.899%, 12/01/40	5,191,519	0.2
2,500,000	Chicago Transit Authority, 6.899%, 12/01/40	2,946,775	0.1
570,000	City of Chicago IL, 5.000%, 01/01/35	584,455	0.0
		9,475,305	0.3

	Nebraska: 0.1%
1,500,000	Public Power Generation Agency, 7.242%, 01/01/41	1,795,935	0.1

	Nevada: 0.1%
2,300,000	County of Clark NV, 6.820%, 07/01/45	3,172,528	0.1

	New Jersey: 0.5%
8,100,000	New Jersey Economic Development Authority, 1.468%, 06/15/13	8,131,266	0.2
2,945,000	New Jersey State Turnpike Authority, 7.102%, 01/01/41	4,156,779	0.1


4,200,000		New Jersey Transportation Trust Fund Authority, 5.250%, 06/15/36	4,737,012	0.2
			17,025,057	0.5

		New York: 0.5%
1,000,000		New York City Municipal Water Finance Authority, 5.000%, 06/15/44	1,104,640	0.1
5,900,000		New York City Municipal Water Finance Authority, 5.882%, 06/15/44	7,674,484	0.2
5,900,000		New York City Municipal Water Finance Authority, 6.282%, 06/15/42	6,748,951	0.2
870,000		Tobacco Settlement Financing Corp., 5.875%, 05/15/39	888,366	0.0
			16,416,441	0.5

		Pennsylvania: 0.2%
2,700,000		Pennsylvania Economic Development Financing Authority, 6.532%, 06/15/39	3,276,099	0.1
4,000,000		University of Pittsburgh, 5.000%, 09/15/28	4,678,800	0.1
			7,954,899	0.2

		Washington: 0.0%
1,560,000		State of Washington, 12/01/20	1,285,737	0.0

	Total Municipal Bonds (Cost $133,927,240)		159,320,011	4.6

ASSET-BACKED SECURITIES: 2.7%
		Home Equity Asset-Backed Securities: 0.2%
4,700,000		Bear Stearns Asset Backed Securities Trust, 0.445%, 12/25/36	3,151,672	0.1
5,700,000		Bear Stearns Asset Backed Securities Trust, 0.495%, 04/25/37	1,828,475	0.1
149,558		MASTR Asset-Backed Securities Trust, 0.295%, 11/25/36	53,398	0.0
279,774		New Century Home Equity Loan Trust, 0.505%, 06/25/35	278,071	0.0
162,272		Renaissance Home Equity Loan Trust, 0.685%, 08/25/33	135,669	0.0
96,967		Securitized Asset Backed Receivables LLC Trust, 0.325%, 11/25/36	19,944	0.0
			5,467,229	0.2

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


		Other Asset-Backed Securities: 2.5%
81,938		Bear Stearns Asset Backed Securities Trust, 0.325%, 10/25/36	75,758	0.0
3,537,305		Bear Stearns Asset Backed Securities Trust, 3.021%, 10/25/36	2,443,243	0.1
17,921		Credit-Based Asset Servicing and Securitization LLC, 0.305%, 11/25/36	6,472	0.0
188,182		GSAMP Trust, 0.315%, 12/25/36	114,551	0.0
13,800,000	#	Halcyon Structured Asset Management Long/Short CLO Ltd., 0.691%, 08/07/21	13,463,335	0.4
16,833,276	#	Pacifica CDO Ltd., 0.726%, 01/26/20	16,376,825	0.5
349,686		Securitized Asset Backed Receivables LLC Trust, 0.305%, 12/25/36	75,775	0.0
14,596,180		Small Business Administration, 5.160%, 02/01/28	16,687,325	0.5
1,284,275		Small Business Administration, 5.290%, 12/01/27	1,464,735	0.0
11,656,218		Small Business Administration, 5.471%, 03/10/18	12,832,552	0.4
8,726,080		Small Business Administration, 5.490%, 03/01/28	9,960,607	0.3
7,403,701		Small Business Administration, 5.902%, 02/10/18	8,228,612	0.2
5,834,166		Soundview Home Equity Loan Trust, 0.385%, 12/25/36	5,182,948	0.1
367,068		Specialty Underwriting & Residential Finance, 0.305%, 01/25/38	334,943	0.0
			87,247,681	2.5

	Total Asset-Backed Securities (Cost $87,992,040)		92,714,910	2.7

U.S. GOVERNMENT AGENCY OBLIGATIONS: 48.8%
		Federal Home Loan Mortgage Corporation: 4.1%^##
1,747,552		1.526%, due 07/25/44	1,817,757	0.1
612,315		6.500%, due 02/25/43	683,189	0.0
41,134		0.592%, due 12/15/29	41,227	0.0
12,600,000		1.000%, due 03/08/17	12,688,427	0.4
21,600,000		1.000%, due 06/29/17	21,689,424	0.6
1,000,000		1.250%, due 05/12/17	1,014,888	0.0
903,745		1.315%, due 10/25/44	907,090	0.0
5,700,000		1.750%, due 05/30/19	5,843,355	0.2
400,000		2.000%, due 08/25/16	420,892	0.0
287,940		2.124%, due 09/01/35	301,820	0.0
26,753		2.331%, due 06/01/24	28,413	0.0
2,700,000		2.375%, due 01/13/22	2,779,156	0.1
44,507		2.375%, due 11/01/31	47,188	0.0
918,364		2.573%, due 01/01/29	981,945	0.0


3,653,041		2.739%, due 06/01/35	3,900,586	0.1
75,601		3.500%, due 07/15/32	78,037	0.0
1,200,000		3.750%, due 03/27/19	1,388,969	0.1
2,000,000	W	4.500%, due 07/15/38	2,136,563	0.1
149,177		4.500%, due 06/01/39	159,434	0.0
720,478		4.500%, due 10/01/39	770,015	0.0
18,867,989		4.500%, due 05/01/40	20,188,851	0.6
183,573		4.500%, due 09/01/40	196,424	0.0
89,362		4.500%, due 03/01/41	95,618	0.0
1,476,121		4.500%, due 09/01/41	1,581,764	0.1
4,697,894		4.500%, due 09/01/41	5,034,113	0.2
1,400,000		5.000%, due 02/16/17	1,664,552	0.1
390,162		5.226%, due 03/01/35	420,536	0.0
32,262		5.500%, due 02/01/14	35,085	0.0
500,000		5.500%, due 08/23/17	613,216	0.0
71,946		5.500%, due 01/01/19	78,242	0.0
503,531		5.500%, due 09/01/19	551,261	0.0
86,464		5.500%, due 11/01/21	94,030	0.0
341,201		5.500%, due 03/01/23	374,043	0.0
110,134		5.500%, due 03/01/34	121,405	0.0
112,264		5.500%, due 12/01/36	122,386	0.0
699,047		5.500%, due 03/01/37	762,075	0.0
959,739		5.500%, due 05/01/37	1,044,471	0.0
646,863		5.500%, due 09/01/37	703,972	0.0
109,519		5.500%, due 09/01/37	119,393	0.0
177,559		5.500%, due 10/01/37	193,235	0.0
717,703		5.500%, due 11/01/37	781,067	0.0
647,746		5.500%, due 12/01/37	704,933	0.0
1,104,317		5.500%, due 01/01/38	1,201,813	0.0
84,951		5.500%, due 01/01/38	93,877	0.0
2,058,982		5.500%, due 02/01/38	2,240,762	0.1
815,808		5.500%, due 03/01/38	887,833	0.0
110,361		5.500%, due 04/01/38	120,104	0.0
147,149		5.500%, due 05/01/38	160,003	0.0
558,582		5.500%, due 05/01/38	607,373	0.0
505,351		5.500%, due 05/01/38	552,809	0.0
121,075		5.500%, due 05/01/38	131,937	0.0
519,563		5.500%, due 06/01/38	564,947	0.0
2,799,117		5.500%, due 06/01/38	3,043,617	0.1
622,503		5.500%, due 06/01/38	676,878	0.0
352,320		5.500%, due 06/01/38	383,095	0.0
3,349,555		5.500%, due 07/01/38	3,645,276	0.1
611,658		5.500%, due 07/01/38	665,086	0.0
700,112		5.500%, due 08/01/38	761,267	0.0
91,764		5.500%, due 08/01/38	99,779	0.0
781,134		5.500%, due 09/01/38	849,366	0.0
656,396		5.500%, due 09/01/38	713,732	0.0
720,704		5.500%, due 10/01/38	783,657	0.0
720,826		5.500%, due 10/01/38	784,466	0.0
1,257,266		5.500%, due 11/01/38	1,367,087	0.1
99,508		5.500%, due 11/01/38	108,200	0.0
140,542		5.500%, due 12/01/38	153,740	0.0
511,503		5.500%, due 01/01/39	556,183	0.0
1,397,907		5.500%, due 03/01/39	1,520,013	0.1
507,578		5.500%, due 07/01/39	552,391	0.0
107,391		5.500%, due 12/01/39	116,872	0.0
1,917,903		5.500%, due 03/01/40	2,087,229	0.1
640,407		5.500%, due 08/01/40	696,947	0.0
1,458,623		5.500%, due 08/01/40	1,587,400	0.1
326,725		5.500%, due 08/01/40	355,979	0.0
395,002		6.000%, due 01/01/22	433,131	0.0
504,394		6.000%, due 03/01/22	553,083	0.0
1,181,912		6.000%, due 10/01/22	1,301,911	0.0
4,403,943		6.000%, due 09/01/27	4,834,561	0.2
65,577		6.000%, due 05/01/35	73,537	0.0
291,049		6.000%, due 12/01/37	319,462	0.0
3,646,969		6.000%, due 12/01/37	4,003,000	0.1
4,389,441		6.000%, due 01/01/38	4,817,955	0.2
5,139,164		6.000%, due 01/01/38	5,640,870	0.2
540,534		6.000%, due 02/01/38	593,303	0.0

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


171,277		6.000%, due 08/01/39	187,783	0.0
18,701		6.000%, due 09/01/39	20,504	0.0
26,876		6.500%, due 07/01/19	30,103	0.0
36,857		8.250%, due 08/15/21	42,288	0.0
			144,080,256	4.1

		Federal National Mortgage Association: 43.1%^##
15,200,000		0.445%, due 10/27/37	15,116,845	0.5
5,500,000		0.500%, due 07/02/15	5,497,283	0.2
75,424		0.745%, due 03/25/17	75,976	0.0
3,700,000		1.125%, due 04/27/17	3,740,855	0.1
172,553		1.145%, due 04/25/32	175,708	0.0
20,400,000	L	1.250%, due 01/30/17	20,753,838	0.6
102,558		1.347%, due 08/01/42	103,543	0.0
145,385		1.347%, due 08/01/42	146,844	0.0
145,621		1.347%, due 10/01/44	146,997	0.0
7,600,000	L	1.375%, due 11/15/16	7,790,198	0.2
22,080,000		1.625%, due 10/26/15	22,889,210	0.7
1,184,909		1.879%, due 08/01/35	1,233,474	0.1
1,178,766		2.300%, due 10/01/35	1,238,950	0.1
4,200,000		2.375%, due 07/28/15	4,435,145	0.1
1,051,193		2.417%, due 10/01/35	1,119,448	0.1
1,555,732		2.457%, due 10/01/35	1,660,206	0.1
3,025,399		2.485%, due 11/01/34	3,230,303	0.1
3,000,000	W	2.500%, due 05/25/27	3,085,312	0.1
6,000,000		2.500%, due 07/17/27	6,183,750	0.2
928,818		2.560%, due 09/01/34	993,332	0.0
640,175		2.563%, due 02/01/34	680,861	0.0
45,104		3.276%, due 05/01/36	46,496	0.0
297,139		3.330%, due 11/01/21	320,427	0.0
135,000,000	W	3.500%, due 02/25/26	142,678,125	4.1
8,000,000	W	3.500%, due 10/25/41	8,411,250	0.3
175,000,000	W	3.500%, due 08/15/42	183,503,915	5.3
77,563		4.000%, due 12/01/13	81,655	0.0
56,265		4.000%, due 04/01/14	59,499	0.0
13,214		4.000%, due 01/01/15	14,066	0.0
336,711		4.000%, due 03/01/15	358,409	0.0
30,799		4.000%, due 07/01/18	33,005	0.0
3,855		4.000%, due 07/01/18	4,131	0.0
13,277		4.000%, due 06/01/19	14,245	0.0
192,946		4.000%, due 04/01/23	205,439	0.0
521,060		4.000%, due 03/01/24	554,637	0.0
128,607		4.000%, due 04/01/24	136,894	0.0
796,695		4.000%, due 04/01/24	848,034	0.0
223,003		4.000%, due 04/01/24	237,374	0.0
1,934,621		4.000%, due 04/01/24	2,059,287	0.1
475,157		4.000%, due 04/01/24	505,776	0.0
934,595		4.000%, due 05/01/24	994,820	0.0
13,697		4.000%, due 05/01/24	14,579	0.0
709,080		4.000%, due 05/01/24	754,773	0.0
2,853,108		4.000%, due 06/01/24	3,036,962	0.1
508,675		4.000%, due 06/01/24	541,454	0.0
16,357		4.000%, due 06/01/24	17,411	0.0
301,005		4.000%, due 06/01/24	320,401	0.0
22,921		4.000%, due 07/01/24	24,398	0.0
103,119		4.000%, due 07/01/24	109,764	0.0
5,741,609		4.000%, due 08/01/24	6,111,596	0.2
840,362		4.000%, due 08/01/24	894,514	0.0
943,346		4.000%, due 11/01/24	1,004,135	0.0
2,854,754		4.000%, due 12/01/24	3,038,713	0.1
120,358		4.000%, due 02/01/25	128,114	0.0
130,939		4.000%, due 05/01/25	139,377	0.0
22,661		4.000%, due 05/01/25	24,121	0.0
770,935		4.000%, due 06/01/25	820,614	0.0
20,559		4.000%, due 06/01/25	21,884	0.0
587,935		4.000%, due 06/01/25	625,821	0.0
136,853		4.000%, due 07/01/25	145,672	0.0
111,129		4.000%, due 07/01/25	118,290	0.0
18,187		4.000%, due 08/01/25	19,359	0.0
778,556		4.000%, due 08/01/25	828,726	0.0


381,656		4.000%, due 08/01/25	406,250	0.0
39,542		4.000%, due 08/01/25	42,090	0.0
16,975		4.000%, due 09/01/25	18,069	0.0
719,898		4.000%, due 09/01/25	766,513	0.0
510,965		4.000%, due 11/01/25	543,892	0.0
27,917		4.000%, due 01/01/26	29,716	0.0
602,024		4.000%, due 01/01/26	640,818	0.0
4,787		4.000%, due 01/01/26	5,095	0.0
70,149		4.000%, due 02/01/26	74,713	0.0
93,465		4.000%, due 04/01/26	99,546	0.0
26,157		4.000%, due 04/01/26	27,858	0.0
994,482		4.000%, due 04/01/26	1,059,188	0.0
790,903		4.000%, due 04/01/26	842,363	0.0
55,989		4.000%, due 05/01/26	59,632	0.0
761,877		4.000%, due 06/01/26	811,449	0.0
91,799		4.000%, due 06/01/26	97,772	0.0
199,510		4.000%, due 06/01/26	212,491	0.0
654,569		4.000%, due 08/01/26	697,158	0.0
68,000,000	W	4.000%, due 02/25/39	72,388,128	2.1
13,000,000	W	4.000%, due 06/25/39	13,792,188	0.4
418,283		4.000%, due 12/01/40	446,015	0.0
298,676		4.000%, due 12/01/41	318,571	0.0
4,200,000		4.375%, due 10/15/15	4,717,839	0.2
45,788		4.500%, due 07/01/17	49,127	0.0
55,922		4.500%, due 06/01/18	60,001	0.0
198,336		4.500%, due 06/01/18	212,781	0.0
25,720		4.500%, due 04/01/23	27,599	0.0
367,422		4.500%, due 05/01/23	398,171	0.0
147,410		4.500%, due 05/01/23	158,088	0.0
263,483		4.500%, due 02/01/24	282,685	0.0
15,512		4.500%, due 03/01/24	16,643	0.0
274,159		4.500%, due 04/01/24	294,139	0.0
114,795		4.500%, due 04/01/24	123,179	0.0
89,731		4.500%, due 05/01/24	96,271	0.0
4,164,472		4.500%, due 05/01/24	4,468,617	0.1
241,028		4.500%, due 06/01/24	258,593	0.0
305,035		4.500%, due 08/01/24	327,266	0.0
35,339		4.500%, due 09/01/24	37,915	0.0
243,030		4.500%, due 03/01/25	260,741	0.0
47,538		4.500%, due 04/01/25	51,002	0.0
105,087		4.500%, due 04/01/25	112,746	0.0
167,006		4.500%, due 04/01/25	179,177	0.0
16,780		4.500%, due 06/01/25	18,003	0.0
20,771		4.500%, due 07/01/25	22,288	0.0
40,000,000	W	4.500%, due 07/01/25	42,862,502	1.3
487,568		4.500%, due 01/01/26	523,176	0.0
1,097,992		4.500%, due 03/01/26	1,181,957	0.1
279,970		4.500%, due 07/01/26	300,374	0.0
8,067,489		4.500%, due 04/01/29	8,678,897	0.3
115,046		4.500%, due 06/01/29	123,693	0.0
1,475,656		4.500%, due 06/01/29	1,586,569	0.1
998,735		4.500%, due 07/01/29	1,073,801	0.0
20,681		4.500%, due 10/01/29	22,235	0.0
513,391		4.500%, due 05/01/31	556,791	0.0
120,845		4.500%, due 02/01/33	130,098	0.0
490,556		4.500%, due 10/01/33	528,117	0.0
212,135		4.500%, due 01/01/34	228,377	0.0
66,833		4.500%, due 07/01/34	71,909	0.0
175,000,000	W	4.500%, due 07/15/35	187,769,522	5.4
231,498		4.500%, due 09/01/35	248,789	0.0
486,167		4.500%, due 11/01/35	523,088	0.0
838,805		4.500%, due 02/01/36	903,031	0.0
8,759,062		4.500%, due 06/01/36	9,409,195	0.3
28,000,000		4.500%, due 06/01/37	30,024,795	0.9
44,720		4.500%, due 02/01/38	48,005	0.0
19,105		4.500%, due 04/01/38	20,508	0.0
437,197		4.500%, due 02/01/39	469,306	0.0
123,332		4.500%, due 05/01/39	134,741	0.0
15,520		4.500%, due 05/01/39	16,660	0.0
263,032		4.500%, due 07/01/39	282,350	0.0

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


527,602		4.500%, due 08/01/39	566,350	0.0
123,000,000	W	4.500%, due 08/01/39	131,802,181	3.8
705,085		4.500%, due 08/01/39	756,869	0.0
1,206,772		4.500%, due 08/01/39	1,295,401	0.1
1,727,472		4.500%, due 09/01/39	1,854,342	0.1
1,383,331		4.500%, due 10/01/39	1,484,927	0.1
6,480,830		4.500%, due 11/01/39	6,956,801	0.2
1,148,780		4.500%, due 12/01/39	1,233,150	0.1
751,932		4.500%, due 01/01/40	807,156	0.0
1,869,413		4.500%, due 02/01/40	2,017,730	0.1
819,008		4.500%, due 02/01/40	881,717	0.0
85,910		4.500%, due 02/01/40	92,219	0.0
478,153		4.500%, due 06/01/40	514,764	0.0
802,411		4.500%, due 07/01/40	863,850	0.0
1,486,169		4.500%, due 07/01/40	1,599,962	0.1
807,950		4.500%, due 07/01/40	869,813	0.0
232,393		4.500%, due 08/01/40	250,187	0.0
225,376		4.500%, due 08/01/40	242,632	0.0
267,162		4.500%, due 08/01/40	287,618	0.0
117,994		4.500%, due 08/01/40	127,029	0.0
117,177		4.500%, due 09/01/40	126,148	0.0
252,083		4.500%, due 09/01/40	271,384	0.0
199,676		4.500%, due 09/01/40	214,965	0.0
2,242,086		4.500%, due 09/01/40	2,413,757	0.1
31,710,560		4.500%, due 09/01/40	34,138,570	1.0
294,290		4.500%, due 09/01/40	316,823	0.0
21,234		4.500%, due 09/01/40	22,859	0.0
539,171		4.500%, due 10/01/40	580,455	0.0
744,831		4.500%, due 10/01/40	801,862	0.0
586,406		4.500%, due 11/01/40	631,306	0.0
27,461		4.500%, due 11/01/40	29,564	0.0
41,625		4.500%, due 11/01/40	44,812	0.0
372,110		4.500%, due 12/01/40	400,602	0.0
27,768		4.500%, due 12/01/40	29,894	0.0
253,578		4.500%, due 12/01/40	272,994	0.0
333,938		4.500%, due 12/01/40	359,507	0.0
895,217		4.500%, due 12/01/40	963,762	0.0
100,313		4.500%, due 12/01/40	107,994	0.0
551,954		4.500%, due 01/01/41	592,491	0.0
619,369		4.500%, due 02/01/41	666,793	0.0
582,333		4.500%, due 02/01/41	626,921	0.0
471,722		4.500%, due 02/01/41	507,841	0.0
294,465		4.500%, due 02/01/41	317,564	0.0
318,564		4.500%, due 02/01/41	343,553	0.0
73,625		4.500%, due 02/01/41	79,400	0.0
736,944		4.500%, due 02/01/41	793,370	0.0
279,942		4.500%, due 02/01/41	301,377	0.0
729,205		4.500%, due 03/01/41	785,039	0.0
270,093		4.500%, due 03/01/41	291,280	0.0
1,478,727		4.500%, due 03/01/41	1,594,723	0.1
567,247		4.500%, due 03/01/41	611,743	0.0
24,058		4.500%, due 03/01/41	25,945	0.0
1,502,245		4.500%, due 03/01/41	1,617,269	0.1
1,918,727		4.500%, due 03/01/41	2,069,237	0.1
186,030		4.500%, due 04/01/41	200,622	0.0
2,339,148		4.500%, due 04/01/41	2,522,638	0.1
4,430,476		4.500%, due 04/01/41	4,778,015	0.2
71,149		4.500%, due 04/01/41	76,730	0.0
369,310		4.500%, due 04/01/41	398,279	0.0
1,398,749		4.500%, due 04/01/41	1,508,471	0.1
273,676		4.500%, due 04/01/41	295,144	0.0
275,199		4.500%, due 05/01/41	296,786	0.0
30,168		4.500%, due 05/01/41	32,535	0.0
8,870,197		4.500%, due 05/01/41	9,566,001	0.3
3,142,172		4.500%, due 05/01/41	3,388,653	0.1
245,185		4.500%, due 05/01/41	264,418	0.0
13,337,983		4.500%, due 05/01/41	14,359,243	0.4
3,217,739		4.500%, due 05/01/41	3,470,147	0.1
397,779		4.500%, due 05/01/41	428,982	0.0
2,195,200		4.500%, due 05/01/41	2,367,398	0.1


526,594		4.500%, due 06/01/41	567,901	0.0
111,044		4.500%, due 06/01/41	119,754	0.0
10,731,004		4.500%, due 06/01/41	11,572,774	0.4
2,644,693		4.500%, due 06/01/41	2,852,150	0.1
2,734,913		4.500%, due 06/01/41	2,949,447	0.1
366,126		4.500%, due 07/01/41	394,846	0.0
476,219		4.500%, due 07/01/41	513,575	0.0
874,989		4.500%, due 07/01/41	943,626	0.0
139,288		4.500%, due 07/01/41	150,214	0.0
485,766		4.500%, due 08/01/41	523,871	0.0
341,104		4.500%, due 08/01/41	367,861	0.0
166,372		4.500%, due 08/01/41	179,423	0.0
358,718		4.500%, due 08/01/41	386,857	0.0
1,329,441		4.500%, due 08/01/41	1,433,727	0.1
386,390		4.500%, due 10/01/41	416,700	0.0
53,819		4.500%, due 11/01/41	58,041	0.0
5,612,561		4.500%, due 12/01/41	6,052,826	0.2
220,555		4.500%, due 01/01/42	237,856	0.0
570,659		4.500%, due 01/01/42	614,175	0.0
391,319		4.509%, due 12/01/36	413,322	0.0
1,600,000		5.000%, due 02/13/17	1,895,774	0.1
400,000		5.000%, due 05/11/17	476,985	0.0
652,805		5.000%, due 02/01/34	710,463	0.0
1,354,114		5.000%, due 03/01/34	1,473,716	0.1
3,581,763		5.000%, due 03/01/35	3,906,997	0.1
23,683,822		5.000%, due 06/01/35	25,701,668	0.8
12,746,277		5.000%, due 07/01/35	13,903,396	0.4
846,227		5.000%, due 08/01/35	918,325	0.0
58,625		5.000%, due 09/01/35	63,803	0.0
116,878		5.000%, due 11/01/36	126,653	0.0
16,000,000		5.000%, due 06/01/37	17,299,130	0.5
20,000,000		5.000%, due 07/01/37	21,646,880	0.6
100,000		5.250%, due 09/15/16	118,364	0.0
800,000		5.375%, due 07/15/16	946,342	0.0
500,000		5.375%, due 06/12/17	606,736	0.0
6,000,000	W	5.500%, due 07/01/22	6,512,111	0.2
493,292		5.500%, due 06/01/23	542,778	0.0
803,015		5.500%, due 02/01/24	885,078	0.0
37,344		5.500%, due 01/01/32	41,084	0.0
205,559		5.500%, due 10/01/33	226,019	0.0
220,566		5.500%, due 10/01/33	242,520	0.0
81,757		5.500%, due 11/01/33	89,895	0.0
148,392		5.500%, due 11/01/33	163,162	0.0
113,581		5.500%, due 11/01/33	124,887	0.0
6,727		5.500%, due 11/01/33	7,397	0.0
186,464		5.500%, due 12/01/33	205,024	0.0
134,277		5.500%, due 12/01/33	147,642	0.0
245,247		5.500%, due 12/01/33	270,425	0.0
1,045,628		5.500%, due 12/01/33	1,149,707	0.1
10,807		5.500%, due 12/01/33	11,883	0.0
1,978,217		5.500%, due 12/01/33	2,175,122	0.1
88,012		5.500%, due 01/01/34	96,717	0.0
201,624		5.500%, due 01/01/34	221,692	0.0
258,118		5.500%, due 01/01/34	283,648	0.0
498,638		5.500%, due 11/01/34	547,960	0.0
253,255		5.500%, due 11/01/34	278,371	0.0
192,000		5.500%, due 01/01/35	211,951	0.0
64,373		5.500%, due 01/01/35	70,741	0.0
89,451		5.500%, due 02/01/35	98,131	0.0
14,703,713		5.500%, due 02/01/35	16,158,081	0.5
366,811		5.500%, due 03/01/35	404,927	0.0
13,454		5.500%, due 02/01/36	14,747	0.0
265,362		5.500%, due 04/01/36	289,951	0.0
243,694		5.500%, due 05/01/36	266,275	0.0
94,833		5.500%, due 05/01/36	103,383	0.0
9,739,018		5.500%, due 07/01/36	10,702,320	0.3
478,943		5.500%, due 09/01/36	526,616	0.0
78,783		5.500%, due 11/01/36	86,083	0.0
117,497		5.500%, due 11/01/36	128,384	0.0
55,799		5.500%, due 12/01/36	60,969	0.0

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


100,616		5.500%, due 12/01/36	109,939	0.0
178,365		5.500%, due 12/01/36	194,893	0.0
166,666		5.500%, due 01/01/37	182,110	0.0
1,018,999		5.500%, due 01/01/37	1,112,147	0.1
613,404		5.500%, due 01/01/37	670,243	0.0
136,543		5.500%, due 04/01/37	149,025	0.0
64,042		5.500%, due 07/01/37	69,896	0.0
208,487		5.500%, due 07/01/37	227,545	0.0
119,816		5.500%, due 08/01/37	130,769	0.0
3,505,496		5.500%, due 03/01/38	3,869,758	0.1
102,693		5.500%, due 06/01/38	112,209	0.0
53,000,000	W	5.500%, due 08/25/38	57,819,698	1.7
63,977		5.500%, due 09/01/39	69,905	0.0
212,199		5.500%, due 05/01/40	233,719	0.0
267,933		5.500%, due 06/01/40	295,104	0.0
166,615		6.000%, due 09/01/21	185,421	0.0
1,461,244		6.000%, due 06/01/22	1,607,092	0.1
150,395		6.000%, due 09/01/22	166,158	0.0
159,103		6.000%, due 10/01/22	175,779	0.0
306,039		6.000%, due 01/01/23	338,115	0.0
7,437		6.000%, due 03/01/24	8,222	0.0
3,640,124		6.000%, due 12/01/26	4,010,275	0.1
3,476,030		6.000%, due 08/01/27	3,827,322	0.1
3,803,086		6.000%, due 09/01/27	4,187,431	0.1
4,126,860		6.000%, due 10/01/27	4,543,926	0.1
7,757,241		6.000%, due 11/01/27	8,541,199	0.3
555,634		6.000%, due 11/01/28	619,166	0.0
3,181		6.000%, due 04/01/31	3,583	0.0
3,150		6.000%, due 01/01/32	3,548	0.0
6,723		6.000%, due 11/01/32	7,572	0.0
406,897		6.000%, due 01/01/33	453,951	0.0
32,731		6.000%, due 09/01/33	36,863	0.0
8,027		6.000%, due 01/01/34	9,040	0.0
9,222		6.000%, due 02/01/34	10,386	0.0
108,285		6.000%, due 05/01/35	119,821	0.0
70,064		6.000%, due 07/01/35	77,528	0.0
71,987		6.000%, due 07/01/35	79,656	0.0
2,905		6.000%, due 10/01/35	3,214	0.0
594,074		6.000%, due 12/01/35	657,361	0.0
2,211,161		6.000%, due 12/01/35	2,446,716	0.1
19,998		6.000%, due 12/01/35	22,128	0.0
11,977		6.000%, due 02/01/36	13,201	0.0
606,255		6.000%, due 02/01/36	668,186	0.0
15,963		6.000%, due 02/01/36	17,594	0.0
601,093		6.000%, due 02/01/36	662,498	0.0
518,790		6.000%, due 03/01/36	571,787	0.0
266,714		6.000%, due 04/01/36	293,960	0.0
533,251		6.000%, due 04/01/36	587,725	0.0
256,885		6.000%, due 05/01/36	283,128	0.0
189,205		6.000%, due 05/01/36	208,533	0.0
386,500		6.000%, due 06/01/36	425,982	0.0
64,323		6.000%, due 07/01/36	70,894	0.0
148,262		6.000%, due 07/01/36	163,407	0.0
11,378		6.000%, due 07/01/36	12,540	0.0
1,100,146		6.000%, due 07/01/36	1,217,344	0.1
81,766		6.000%, due 07/01/36	90,119	0.0
43,612		6.000%, due 08/01/36	48,067	0.0
400,459		6.000%, due 08/01/36	441,367	0.0
458,570		6.000%, due 08/01/36	505,416	0.0
5,880,396		6.000%, due 08/01/36	6,481,108	0.2
49,828		6.000%, due 08/01/36	54,918	0.0
100,000		6.000%, due 08/01/36	110,216	0.0
125,388		6.000%, due 08/01/36	138,197	0.0
231,744		6.000%, due 09/01/36	255,418	0.0
17,718		6.000%, due 09/01/36	19,528	0.0
231,426		6.000%, due 09/01/36	255,067	0.0
40,846		6.000%, due 09/01/36	45,018	0.0
86,427		6.000%, due 09/01/36	97,386	0.0
89,511		6.000%, due 09/01/36	98,655	0.0
31,691		6.000%, due 09/01/36	34,929	0.0


253,905	6.000%, due 09/01/36	279,843	0.0
216,180	6.000%, due 09/01/36	243,588	0.0
57,349	6.000%, due 09/01/36	63,207	0.0
815,689	6.000%, due 10/01/36	899,016	0.0
9,648	6.000%, due 10/01/36	10,634	0.0
284,062	6.000%, due 10/01/36	313,081	0.0
164,480	6.000%, due 10/01/36	181,282	0.0
126,606	6.000%, due 10/01/36	139,539	0.0
233,721	6.000%, due 10/01/36	257,597	0.0
1,509,750	6.000%, due 10/01/36	1,663,978	0.1
231,041	6.000%, due 10/01/36	254,643	0.0
16,620	6.000%, due 10/01/36	18,318	0.0
34,181	6.000%, due 10/01/36	37,672	0.0
66,564	6.000%, due 10/01/36	73,364	0.0
69,150	6.000%, due 10/01/36	76,214	0.0
118,998	6.000%, due 10/01/36	131,155	0.0
199,389	6.000%, due 11/01/36	219,758	0.0
86,127	6.000%, due 11/01/36	94,926	0.0
7,575	6.000%, due 11/01/36	8,512	0.0
86,177	6.000%, due 11/01/36	94,980	0.0
157,144	6.000%, due 11/01/36	173,197	0.0
55,031	6.000%, due 12/01/36	60,653	0.0
246,905	6.000%, due 12/01/36	272,127	0.0
262,068	6.000%, due 12/01/36	288,839	0.0
22,932	6.000%, due 12/01/36	25,274	0.0
268,271	6.000%, due 12/01/36	295,526	0.0
737,235	6.000%, due 12/01/36	812,547	0.0
728,219	6.000%, due 01/01/37	802,610	0.0
9,150	6.000%, due 01/01/37	10,095	0.0
624,453	6.000%, due 01/01/37	688,244	0.0
80,179	6.000%, due 01/01/37	88,370	0.0
40,604	6.000%, due 01/01/37	44,777	0.0
117,934	6.000%, due 01/01/37	129,982	0.0
255,318	6.000%, due 02/01/37	281,400	0.0
278,958	6.000%, due 02/01/37	307,455	0.0
203,311	6.000%, due 02/01/37	224,080	0.0
984,499	6.000%, due 02/01/37	1,085,070	0.1
48,180	6.000%, due 02/01/37	53,102	0.0
1,394,238	6.000%, due 02/01/37	1,536,666	0.1
1,180,467	6.000%, due 03/01/37	1,301,058	0.1
123,616	6.000%, due 03/01/37	136,244	0.0
139,887	6.000%, due 03/01/37	154,177	0.0
9,571	6.000%, due 03/01/37	10,549	0.0
405,636	6.000%, due 03/01/37	447,074	0.0
66,987	6.000%, due 03/01/37	73,830	0.0
1,505,225	6.000%, due 04/01/37	1,658,991	0.1
137,875	6.000%, due 04/01/37	151,959	0.0
19,726	6.000%, due 04/01/37	21,756	0.0
349,565	6.000%, due 04/01/37	385,274	0.0
277,464	6.000%, due 04/01/37	305,808	0.0
245,093	6.000%, due 04/01/37	270,130	0.0
517,959	6.000%, due 04/01/37	570,871	0.0
11,684	6.000%, due 04/01/37	12,885	0.0
750,352	6.000%, due 04/01/37	827,005	0.0
583,035	6.000%, due 04/01/37	642,595	0.0
36,894	6.000%, due 04/01/37	40,663	0.0
420,273	6.000%, due 04/01/37	463,206	0.0
101,007	6.000%, due 04/01/37	111,325	0.0
173,008	6.000%, due 04/01/37	190,682	0.0
12,832	6.000%, due 04/01/37	14,143	0.0
25,725	6.000%, due 04/01/37	28,353	0.0
277,966	6.000%, due 04/01/37	306,361	0.0
25,337	6.000%, due 04/01/37	27,926	0.0
263,656	6.000%, due 04/01/37	290,590	0.0
13,177	6.000%, due 04/01/37	14,523	0.0
13,180	6.000%, due 04/01/37	14,533	0.0
281,466	6.000%, due 04/01/37	310,219	0.0
144,198	6.000%, due 05/01/37	158,929	0.0
456,296	6.000%, due 05/01/37	503,194	0.0
349,686	6.000%, due 05/01/37	385,200	0.0

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


267,062	6.000%, due 05/01/37	294,343	0.0
231,136	6.000%, due 05/01/37	254,747	0.0
344,268	6.000%, due 05/01/37	379,436	0.0
411,392	6.000%, due 05/01/37	453,418	0.0
203,210	6.000%, due 05/01/37	223,969	0.0
1,060,273	6.000%, due 05/01/37	1,168,585	0.1
9,299	6.000%, due 05/01/37	10,249	0.0
83,096	6.000%, due 05/01/37	91,584	0.0
50,769	6.000%, due 05/01/37	55,955	0.0
59,610	6.000%, due 05/01/37	65,699	0.0
3,812	6.000%, due 05/01/37	4,201	0.0
178,063	6.000%, due 06/01/37	196,155	0.0
78,787	6.000%, due 06/01/37	86,836	0.0
276,040	6.000%, due 06/01/37	304,239	0.0
386,414	6.000%, due 06/01/37	425,889	0.0
26,012	6.000%, due 06/01/37	28,669	0.0
399,233	6.000%, due 06/01/37	440,017	0.0
393,249	6.000%, due 06/01/37	433,421	0.0
21,412	6.000%, due 06/01/37	23,599	0.0
100,208	6.000%, due 06/01/37	110,445	0.0
345,921	6.000%, due 06/01/37	381,258	0.0
2,621,675	6.000%, due 06/01/37	2,889,493	0.1
617,232	6.000%, due 06/01/37	680,286	0.0
302,102	6.000%, due 06/01/37	333,152	0.0
53,828	6.000%, due 06/01/37	59,327	0.0
400,000	6.000%, due 06/01/37	440,862	0.0
75,776	6.000%, due 06/01/37	83,517	0.0
35,169	6.000%, due 06/01/37	38,761	0.0
109,231	6.000%, due 06/01/37	120,390	0.0
1,246,061	6.000%, due 07/01/37	1,373,352	0.1
92,169	6.000%, due 07/01/37	101,531	0.0
528,127	6.000%, due 07/01/37	582,078	0.0
899,435	6.000%, due 07/01/37	991,317	0.0
7,041	6.000%, due 07/01/37	7,760	0.0
9,289	6.000%, due 07/01/37	10,238	0.0
94,321	6.000%, due 07/01/37	104,016	0.0
30,954	6.000%, due 07/01/37	34,117	0.0
264,474	6.000%, due 07/01/37	291,492	0.0
550,900	6.000%, due 07/01/37	607,178	0.0
182,214	6.000%, due 07/01/37	200,828	0.0
215,081	6.000%, due 07/01/37	237,052	0.0
415,198	6.000%, due 07/01/37	457,612	0.0
137,427	6.000%, due 07/01/37	151,616	0.0
47,973	6.000%, due 07/01/37	52,874	0.0
345,168	6.000%, due 07/01/37	380,428	0.0
219,022	6.000%, due 07/01/37	241,397	0.0
86,966	6.000%, due 07/01/37	95,850	0.0
105,964	6.000%, due 07/01/37	116,789	0.0
57,844	6.000%, due 07/01/37	64,458	0.0
75,443	6.000%, due 07/01/37	83,150	0.0
158,130	6.000%, due 07/01/37	177,051	0.0
385,994	6.000%, due 07/01/37	425,425	0.0
54,653	6.000%, due 08/01/37	60,202	0.0
141,775	6.000%, due 08/01/37	156,258	0.0
982,267	6.000%, due 08/01/37	1,083,225	0.1
298,907	6.000%, due 08/01/37	329,442	0.0
986,724	6.000%, due 08/01/37	1,087,523	0.1
148,526	6.000%, due 08/01/37	163,699	0.0
702,342	6.000%, due 08/01/37	774,090	0.0
596,026	6.000%, due 08/01/37	656,913	0.0
522,273	6.000%, due 08/01/37	575,952	0.0
607,817	6.000%, due 08/01/37	669,908	0.0
155,317	6.000%, due 08/01/37	171,184	0.0
214,519	6.000%, due 08/01/37	236,433	0.0
202,868	6.000%, due 08/01/37	223,592	0.0
261,561	6.000%, due 08/01/37	288,281	0.0
761,927	6.000%, due 08/01/37	839,762	0.0
3,652,598	6.000%, due 09/01/37	4,025,729	0.1
19,482	6.000%, due 09/01/37	21,472	0.0
285,684	6.000%, due 09/01/37	314,868	0.0


536,271	6.000%, due 09/01/37	591,054	0.0
369,711	6.000%, due 09/01/37	407,479	0.0
2,161,846	6.000%, due 09/01/37	2,382,690	0.1
556,138	6.000%, due 09/01/37	612,950	0.0
191,221	6.000%, due 09/01/37	210,755	0.0
161,112	6.000%, due 09/01/37	177,571	0.0
66,340	6.000%, due 09/01/37	73,117	0.0
340,402	6.000%, due 09/01/37	375,176	0.0
284,601	6.000%, due 09/01/37	313,674	0.0
260,839	6.000%, due 09/01/37	287,485	0.0
122,127	6.000%, due 09/01/37	134,603	0.0
192,566	6.000%, due 09/01/37	212,238	0.0
570,119	6.000%, due 10/01/37	628,359	0.0
1,070,958	6.000%, due 10/01/37	1,180,362	0.1
174,341	6.000%, due 10/01/37	192,151	0.0
16,274	6.000%, due 10/01/37	17,936	0.0
217,012	6.000%, due 10/01/37	239,181	0.0
181,862	6.000%, due 10/01/37	200,440	0.0
532,935	6.000%, due 10/01/37	587,377	0.0
52,962	6.000%, due 10/01/37	58,372	0.0
76,881	6.000%, due 10/01/37	84,735	0.0
1,000,000	6.000%, due 11/01/37	1,102,155	0.1
215,855	6.000%, due 11/01/37	237,906	0.0
607,144	6.000%, due 11/01/37	670,894	0.0
18,463	6.000%, due 11/01/37	20,349	0.0
184,292	6.000%, due 12/01/37	203,118	0.0
495,463	6.000%, due 12/01/37	548,645	0.0
275,705	6.000%, due 12/01/37	304,042	0.0
158,443	6.000%, due 12/01/37	177,402	0.0
6,956,277	6.000%, due 01/01/38	7,666,897	0.2
501,094	6.000%, due 01/01/38	552,283	0.0
9,279	6.000%, due 02/01/38	10,254	0.0
204,579	6.000%, due 02/01/38	225,477	0.0
398,907	6.000%, due 02/01/38	438,784	0.0
998,588	6.000%, due 02/01/38	1,100,599	0.1
77,590	6.000%, due 03/01/38	85,346	0.0
387,423	6.000%, due 03/01/38	426,152	0.0
9,989	6.000%, due 03/01/38	11,009	0.0
230,325	6.000%, due 03/01/38	253,350	0.0
361,125	6.000%, due 04/01/38	398,016	0.0
4,226,996	6.000%, due 04/01/38	4,649,559	0.2
985,895	6.000%, due 06/01/38	1,084,453	0.1
13,032	6.000%, due 06/01/38	14,372	0.0
610,730	6.000%, due 07/01/38	671,783	0.0
340,698	6.000%, due 07/01/38	374,757	0.0
262,483	6.000%, due 07/01/38	288,722	0.0
9,121	6.000%, due 08/01/38	10,033	0.0
172,090	6.000%, due 08/01/38	189,294	0.0
640,888	6.000%, due 09/01/38	704,956	0.0
119,368	6.000%, due 09/01/38	131,972	0.0
83,842	6.000%, due 09/01/38	92,223	0.0
1,916,318	6.000%, due 09/01/38	2,107,887	0.1
289,315	6.000%, due 09/01/38	318,870	0.0
115,530	6.000%, due 09/01/38	127,332	0.0
352,000	6.000%, due 10/01/38	387,959	0.0
20,848	6.000%, due 10/01/38	22,932	0.0
17,402	6.000%, due 10/01/38	19,141	0.0
71,594	6.000%, due 10/01/38	78,751	0.0
6,564	6.000%, due 10/01/38	7,220	0.0
1,489,952	6.000%, due 10/01/38	1,638,899	0.1
20,345	6.000%, due 11/01/38	22,379	0.0
1,090,457	6.000%, due 11/01/38	1,199,467	0.1
19,101	6.000%, due 11/01/38	21,011	0.0
440,709	6.000%, due 11/01/38	485,729	0.0
884,831	6.000%, due 12/01/38	976,241	0.0
900,000	6.000%, due 12/01/38	991,940	0.0
2,713,668	6.000%, due 12/01/38	2,984,947	0.1
249,195	6.000%, due 08/01/39	274,651	0.0
14,480,903	6.000%, due 10/01/39	15,928,525	0.5
987,411	6.000%, due 11/01/39	1,087,700	0.1

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


515,887		6.000%, due 12/01/39	568,588	0.0
581,537		6.000%, due 07/01/40	640,944	0.0
417,674		6.000%, due 07/01/40	460,341	0.0
2,000,000	W	6.000%, due 08/12/40	2,197,813	0.1
494,288		6.000%, due 09/01/40	550,806	0.0
241		6.500%, due 11/01/15	255	0.0
26,412		6.500%, due 09/01/16	28,358	0.0
5,241		6.500%, due 02/01/17	5,696	0.0
4,310		6.500%, due 02/01/17	4,627	0.0
4,516		6.500%, due 02/01/17	4,848	0.0
3,379		6.500%, due 03/01/17	3,672	0.0
21,165		6.500%, due 04/01/17	23,003	0.0
871		6.500%, due 06/01/29	1,001	0.0
53,879		6.500%, due 04/01/32	61,681	0.0
26,933		6.500%, due 03/01/38	30,859	0.0
3,171,484		6.500%, due 06/17/38	3,321,395	0.1
1,000,000	W	6.000%, due 04/15/38	1,095,781	0.1
			1,499,847,930	43.1

		Government National Mortgage Association: 1.6%
207,476		1.625%, due 01/20/27	215,330	0.0
259,027		1.625%, due 08/20/27	268,142	0.0
204,104		1.625%, due 10/20/29	211,660	0.0
52,000,000	W	3.000%, due 11/15/41	54,494,373	1.6
			55,189,505	1.6

	Total U.S. Government Agency Obligations (Cost $1,677,434,894)		1,699,117,691	48.8

FOREIGN GOVERNMENT BONDS: 5.2%
^EUR1,100,000	#	Banco Nacional de Desenvolvimento Economico e Social, 4.125%, 09/15/17	1,450,519	0.1
^BRL 447,000		Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/21	223,835	0.0
^BRL 65,302,000		Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/17	33,372,134	1.0
^CAD800,000	#	Canada Housing Trust No 1, 2.650%, 03/15/22	812,997	0.0
^CAD800,000	#	Canada Housing Trust No 1, 3.350%, 12/15/20	860,992	0.0
^CAD900,000	#	Canada Housing Trust No 1, 3.800%, 06/15/21	1,001,351	0.0
^EUR 1,494,472		Italy Buoni Poliennali Del Tesoro, 2.100%, 09/15/21	1,487,399	0.1
1,100,000	#	Korea Housing Finance Corp., 4.125%, 12/15/15	1,169,391	0.0
^MXN33,200,000		Mexican Bonos, 6.250%, 06/16/16	2,623,578	0.1
^MXN94,000,000		Mexican Bonos, 6.500%, 06/10/21	7,656,592	0.2
^MXN34,000,000		Mexican Bonos, 6.500%, 06/09/22	2,766,681	0.1
^MXN26,700,000		Mexican Bonos, 6.000%, 06/18/15	2,075,972	0.1
^MXN 180,400,000		Mexican Bonos, 10.000%, 12/05/24	18,982,429	0.6


750,000		Panama Government International Bond, 8.875%, 09/30/27	1,168,125	0.0
^CAD 200,000		Province of British Columbia Canada, 3.250%, 12/18/21	208,017	0.0
^CAD 200,000		Province of British Columbia Canada, 4.300%, 06/18/42	233,747	0.0
^CAD 17,300,000		Province of Ontario Canada, 3.150%, 06/02/22	17,560,494	0.5
1,700,000		Province of Ontario Canada, 3.000%, 07/16/18	1,829,370	0.1
^CAD 600,000		Province of Ontario Canada, 4.200%, 03/08/18	657,024	0.0
^CAD 12,600,000		Province of Ontario Canada, 4.200%, 06/02/20	13,890,816	0.4
^CAD 3,300,000		Province of Ontario Canada, 4.300%, 03/08/17	3,598,624	0.1
800,000		Province of Ontario Canada, 4.400%, 04/14/20	932,146	0.0
^CAD 4,200,000		Province of Ontario Canada, 4.400%, 06/02/19	4,677,095	0.1
^CAD 10,300,000		Province of Ontario Canada, 4.000%, 06/02/21	11,213,352	0.3
^CAD 2,000,000		Province of Ontario Canada, 4.600%, 06/02/39	2,356,075	0.1
^CAD 1,200,000		Province of Ontario Canada, 5.500%, 06/02/18	1,397,108	0.1
^CAD 7,200,000		Province of Ontario Canada, 6.500%, 03/08/29	10,003,552	0.3
^CAD 200,000		Province of Quebec Canada, 4.500%, 12/01/16	218,984	0.0
2,400,000		Province of Quebec Canada, 2.750%, 08/25/21	2,489,527	0.1
^CAD 17,000,000		Province of Quebec Canada, 3.500%, 12/01/22	17,580,748	0.5
1,000,000		Province of Quebec Canada, 3.500%, 07/29/20	1,102,729	0.0
^CAD 7,200,000		Province of Quebec Canada, 4.250%, 12/01/21	7,928,486	0.2
^CAD 200,000		Province of Quebec Canada, 4.500%, 12/01/17	221,326	0.0
^CAD 1,000,000		Province of Quebec Canada, 4.500%, 12/01/18	1,114,174	0.0
^CAD700,000		Province of Quebec Canada, 4.500%, 12/01/20	784,446	0.0
2,200,000	#	Russian Foreign Bond - Eurobond, 3.250%, 04/04/17	2,219,228	0.1

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


1,200,000	#,L	Vnesheconombank Via VEB Finance Ltd., 5.450%, 11/22/17		1,244,388		0.0
800,000	#	Vnesheconombank Via VEB Finance PLC, 5.375%, 02/13/17		829,872		0.0

	Total Foreign Government Bonds (Cost $171,042,719)			179,943,323		5.2

U.S. TREASURY OBLIGATIONS: 33.5%
		Treasury Inflation Indexed Protected Securities: 7.7%
312,714		0.125%, due 04/15/16		325,858		0.0
2,948,053		0.125%, due 01/15/22		3,125,626		0.1
1,020,860		0.625%, due 07/15/21		1,139,056		0.0
15,375,575		0.750%, due 02/15/42		16,223,630		0.5
4,522,740		1.125%, due 01/15/21		5,215,637		0.1
4,220,080		1.250%, due 07/15/20		4,909,801		0.1
62,382,304	S	1.750%, due 01/15/28		78,382,367		2.3
22,605,375		2.000%, due 01/15/26		28,920,752		0.8
2,767,752		2.125%, due 02/15/40		3,944,047		0.1
12,084,237		2.375%, due 01/15/25		15,954,975		0.5
61,153,848	S	2.375%, due 01/15/27		82,275,837		2.4
13,288,584	S	2.500%, due 01/15/29		18,489,815		0.5
3,414,144		3.625%, due 04/15/28		5,278,588		0.2
1,819,480		3.875%, due 04/15/29		2,948,695		0.1
				267,134,684		7.7

		U.S. Treasury Bonds: 1.8%
44,500,000		1.750%, due 05/15/22		44,910,246		1.3
600,000		2.750%, due 02/15/19		666,422		0.0
7,000,000		3.375%, due 11/15/19		8,104,691		0.3
3,900,000		3.000%, due 05/15/42		4,094,392		0.1
600,000		3.125%, due 05/15/19		682,406		0.0
3,100,000		3.125%, due 11/15/41		3,338,796		0.1
900,000		3.625%, due 08/15/19		1,056,445		0.0
				62,853,398		1.8

		U.S. Treasury Notes: 24.0%
34,600,000		0.625%, due 05/31/17		34,462,154		1.0
92,400,000		1.125%, due 05/31/19		92,616,586		2.7
1,700,000		1.000%, due 06/30/19		1,687,782		0.0
5,100,000		1.375%, due 12/31/18		5,218,335		0.2
114,300,000	S	0.750%, due 06/30/17		114,487,566		3.3
39,600,000		0.875%, due 01/31/17		39,965,072		1.1
79,100,000		0.875%, due 04/30/17		79,755,027		2.3
136,200,000		1.000%, due 03/31/17		138,157,875		4.0
18,600,000		1.250%, due 04/30/19		18,819,424		0.5
43,000,000		1.375%, due 11/30/18		44,014,542		1.3
257,700,000	S	1.500%, due 08/31/18		266,095,351		7.6
				835,279,714		24.0

	Total U.S. Treasury Obligations (Cost $1,134,747,630)			1,165,267,796		33.5

Shares			Value		Percentage of Net Assets
COMMON STOCK: –%
		Consumer Discretionary: –%
192,000	@	General Motors Co.		–		–

	Total Common Stock (Cost $0)			–		–

PREFERRED STOCK: 1.2%

Financials: 1.2%

39,000

Wells Fargo & Co.

43,875,000

1.2

Total Preferred Stock
(Cost $30,874,800)

43,875,000

1.2

# of Contracts

Value

Percentage
of Net
Assets

PURCHASED OPTIONS: 0.0%

Options on Exchange Traded Futures Contracts: 0.0%

11,889

90-Day Eurodollar September Futures (CME), Strike @ 93.000, Exp. 09/17/12

74,306

0.0

Total Purchased Options
(Cost $94,042)

74,306

0.0

Total Long-Term Investments
(Cost $4,188,650,799)

4,361,783,984

125.3

Principal
Amount†

Value

Percentage
of Net
Assets

SHORT-TERM INVESTMENTS: 5.0%

U.S. Treasury Bills: 0.2%

181,000

United States Treasury Bill, 0.100%, 10/25/12

180,942

0.0

6,032,000

United States Treasury Bill, 0.200%, 06/27/13

6,019,810

0.2

521,000

United States Treasury Bill, 0.180%, 05/02/13

520,187

0.0

6,720,939

0.2

Securities Lending Collateral^cc⁽¹⁾: 1.1%

9,305,083

Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $9,305,236, collateralized by various U.S. Government Agency Obligations, 0.000%- 7.000%, Market Value plus accrued interest $9,491,185, due 07/01/42-02/20/61)

9,305,083

0.3

8,141,109

Daiwa Capital Markets, Repurchase Agreement dated 06/29/12, 0.26%, due 07/02/12 (Repurchase Amount $8,141,283, collateralized by various U.S.b Government and U.S. Government Agency Obligations, 0.000%- 7.000%, Market Value plus accrued interest $8,303,931, due 11/15/12-03/01/48)

8,141,109

0.2

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING PIMCO TOTAL RETURN BOND PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

9,305,083

Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $9,305,221, collateralized by various U.S. Government Agency Obligations, 2.202%- 5.000%, Market Value plus accrued interest $9,491,185, due 04/01/24-06/01/42)

9,305,083

0.2

9,305,083

Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $9,305,274, collateralized by various U.S. Government Agency Obligations, 0.000%- 9.500%, Market Value plus accrued interest $9,491,185, due 10/01/14-02/25/44)

9,305,083

0.3

3,122,937

UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $3,122,988, collateralized by various U.S. Government Agency Obligations, 3.000%- 6.500%, Market Value plus accrued interest $3,185,396, due 07/01/21-04/01/42)

3,122,937

0.1

39,179,295

1.1

Foreign Government Bonds: 3.7%

^JPY220,000,000

Japan Treasury Discount Bill, 07/30/12

2,752,034

0.1

^MXN1,614,000,000

Mexico Cetes, 08/23/12

120,177,132

3.5

4,000,000

Societe Financement de l’Economie Francaise, 0.667%, 07/16/12

4,001,626

0.1

126,930,792

3.7

Total Short-Term Investments (Cost $168,158,386)

172,831,026

5.0

Total Investments in Securities (Cost $4,356,809,185)

4,534,615,010

130.3

Liabilities in Excess of Other Assets

(1,055,039,355)

(30.3)

Net Assets

3,479,575,655

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

#	Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.

##	On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations.

@	Non-income producing security

cc	Securities purchased with cash collateral for securities loaned.

W	Settlement is on a when-issued or delayed-delivery basis.

S	All or a portion of this security has been identified by the Fund to cover future collateral requirements for applicable futures, options, swaps, foreign currency contracts and/or when-issued or delayed-delivery securities.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

±	Defaulted security

Z	Indicates Zero Coupon Bond; rate shown reflects current effective yield.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.

BRL	Brazilian Real

CAD	Canadian Dollar

DKK	Danish Krone

EUR

EU Euro

GBP	British Pound

JPY	Japanese Yen

MXN	Mexican Peso


Cost for federal income tax purposes is $4,240,239,156.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation	$	208,900,655
Gross Unrealized Depreciation		(31,828,162)


Net Unrealized Appreciation	$	177,072,493

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND		PORTFOLIO OF INVESTMENTS
PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Consumer Discretionary	$	–	$	–	$	–	$	–

Total Common Stock		–		–		–		–

Preferred Stock		43,875,000		–		–		43,875,000
Purchased Options		74,306		–		–		74,306
Corporate Bonds/Notes		–		829,867,679		–		829,867,679
Collateralized Mortgage Obligations		–		191,135,737		467,531		191,603,268
Municipal Bonds		–		159,320,011		–		159,320,011
Short-Term Investments		–		172,831,026		–		172,831,026
Foreign Government Bonds		–		179,943,323		–		179,943,323
U.S. Treasury Obligations		–		1,165,267,796		–		1,165,267,796
U.S. Government Agency Obligations		–		1,699,117,691		–		1,699,117,691
Asset-Backed Securities		–		92,714,910		–		92,714,910

Total Investments, at fair value	$	43,949,306	$	4,490,198,173	$	467,531	$	4,534,615,010

Other Financial Instruments+
Futures		953,155		–		–		953,155
Swaps		268,784		16,164,711		–		16,433,495
Forward Foreign Currency Contracts		–		2,790,055		–		2,790,055

Total Assets	$	45,171,245	$	4,509,152,939	$	467,531	$	4,554,791,715

Liabilities Table
Other Financial Instruments+
Sales Commitments	$	–	$	(107,625,345)	$	–	$	(107,625,345)
Written Options		(115,312)		(897,660)		–		(1,012,972)
Swaps		(30,876,181)		(6,033,818)		–		(36,909,999)
Forward Foreign Currency Contracts		–		(9,949,535)		–		(9,949,535)

Total Liabilities	$	(30,991,493)	$	(124,506,358)	$	–	$	(155,497,851)

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

At June 30, 2012, the following forward foreign currency contracts were outstanding for the ING PIMCO Total Return Bond Portfolio:


Counterparty	Currency	Contract Amount		Buy/Sell	Settlement Date	In Exchange For		Fair Value		Unrealized Appreciation (Depreciation)

Barclays Bank PLC	British Pound		427,000	Buy	07/03/12	$	669,735	$	668,741	$	(994	)
Barclays Bank PLC	EU Euro		1,400,000	Buy	07/16/12		1,815,601		1,771,930		(43,671	)
Barclays Bank PLC	Brazilian Real		712,565	Buy	08/02/12		350,000		352,240		2,240
Barclays Bank PLC	Brazilian Real		372,589	Buy	08/02/12		182,427		184,181		1,754
Barclays Bank PLC	Brazilian Real		1,021,700	Buy	08/02/12		500,000		505,053		5,053
Deutsche Bank AG	Chinese Yuan		137,557,951	Buy	02/01/13		21,707,109		21,539,932		(167,177	)
HSBC	Indonesian Rupiah		100,937,774,500	Buy	07/02/12		11,171,862		10,746,635		(425,227	)
JPMorgan Chase & Co.	Mexican Peso		1,766,608	Buy	08/15/12		126,444		131,819		5,375
JPMorgan Chase & Co.	Brazilian Real		693,715	Buy	08/02/12		340,407		342,922		2,515
JPMorgan Chase & Co.	EU Euro		8,614,000	Buy	09/14/12		10,862,547		10,909,156		46,609
JPMorgan Chase & Co.	Indian Rupee		501,730,000	Buy	07/12/12		10,794,535		8,962,596		(1,831,939	)
Royal Bank of Scotland Group PLC	British Pound		212,000	Buy	07/03/12		329,098		332,021		2,923
Royal Bank of Scotland Group PLC	Australian Dollar		189,000	Buy	07/19/12		186,488		193,082		6,594

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND		PORTFOLIO OF INVESTMENTS
PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


UBS AG	Mexican Peso	1,766,608	Buy	08/15/12		128,530		131,819		3,289
UBS AG	EU Euro	1,200,000	Buy	07/16/12		1,575,534		1,518,798		(56,736)
UBS AG	Singapore Dollar	11,705	Buy	08/03/12		9,476		9,240		(236)
Westpac Bank	Australian Dollar	246,000	Buy	07/19/12		242,379		251,314		8,935

									$	(2,440,693)


Barclays Bank PLC	Mexican Peso	15,305,799	Sell	08/15/12	$	1,087,948	$	1,142,073	$	(54,125)
Barclays Bank PLC	Mexican Peso	303,756,254	Sell	08/15/12		21,471,881		22,665,384		(1,193,503)
Barclays Bank PLC	Indonesian Rupiah	5,868,000,000	Sell	07/02/12		629,276		624,754		4,522
Barclays Bank PLC	Chinese Yuan	18,253,190	Sell	02/01/13		2,892,282		2,858,232		34,050
Barclays Bank PLC	Chinese Yuan	17,715,112	Sell	02/01/13		2,809,692		2,773,974		35,718
Citigroup, Inc.	EU Euro	299,000	Sell	09/14/12		379,604		378,667		937
Citigroup, Inc.	EU Euro	41,445,000	Sell	09/14/12		51,708,440		52,487,806		(779,366)
Citigroup, Inc.	Japanese Yen	159,799,000	Sell	09/10/12		2,047,159		2,001,155		46,004
Credit Suisse First Boston	Chinese Yuan	26,439,000	Sell	02/01/13		4,200,000		4,140,032		59,968
Deutsche Bank AG	Japanese Yen	40,000,000	Sell	07/30/12		493,273		500,628		(7,355)
Deutsche Bank AG	Indian Rupee	112,024,000	Sell	07/12/12		2,200,000		2,001,128		198,872
Goldman Sachs & Co.	Indonesian Rupiah	540,494,500	Sell	07/02/12		58,086		57,545		541
Goldman Sachs & Co.	British Pound	4,796,000	Sell	07/03/12		7,568,687		7,511,190		57,497
HSBC	British Pound	4,796,000	Sell	07/03/12		7,561,973		7,511,190		50,783
HSBC	Mexican Peso	11,028,800	Sell	08/15/12		800,000		822,936		(22,936)
HSBC	Mexican Peso	5,506,120	Sell	08/15/12		400,000		410,850		(10,850)
HSBC	Mexican Peso	36,507,384	Sell	08/15/12		2,591,253		2,724,072		(132,819)
HSBC	Brazilian Real	2,487,600	Sell	08/02/12		1,200,000		1,229,686		(29,686)
HSBC	Brazilian Real	70,518,854	Sell	08/02/12		36,087,638		34,859,328		1,228,310
HSBC	Danish Krone	91,548,000	Sell	08/23/12		15,735,778		15,607,022		128,756
HSBC	Indonesian Rupiah	25,343,000,000	Sell	07/02/12		2,713,529		2,698,217		15,312
HSBC	Indonesian Rupiah	12,152,000,000	Sell	07/02/12		1,313,730		1,293,799		19,931
JPMorgan Chase & Co.	Japanese Yen	90,000,000	Sell	07/30/12		1,110,015		1,126,413		(16,398)
JPMorgan Chase & Co.	Japanese Yen	143,024,000	Sell	09/10/12		1,793,629		1,791,082		2,547
JPMorgan Chase & Co.	Japanese Yen	344,881,000	Sell	09/10/12		4,292,501		4,318,928		(26,427)
JPMorgan Chase & Co.	Japanese Yen	90,000,000	Sell	07/30/12		1,110,289		1,126,413		(16,124)
JPMorgan Chase & Co.	Mexican Peso	3,511,091	Sell	08/15/12		268,596		261,987		6,609
JPMorgan Chase & Co.	Indian Rupee	201,710,600	Sell	07/12/12		3,948,915		3,603,234		345,681
JPMorgan Chase & Co.	Indian Rupee	41,500,000	Sell	07/12/12		816,190		741,330		74,860
JPMorgan Chase & Co.	Indian Rupee	54,893,400	Sell	07/12/12		1,078,456		980,582		97,874
JPMorgan Chase & Co.	Indian Rupee	91,602,000	Sell	07/12/12		1,800,000		1,636,322		163,678
Morgan Stanley	Mexican Peso	11,027,200	Sell	08/15/12		800,000		822,817		(22,817)
Morgan Stanley	Mexican Peso	11,022,400	Sell	08/15/12		800,000		822,459		(22,459)
Morgan Stanley	Mexican Peso	11,022,000	Sell	08/15/12		800,000		822,429		(22,429)
Morgan Stanley	Mexican Peso	11,014,800	Sell	08/15/12		800,000		821,891		(21,891)
Morgan Stanley	Mexican Peso	27,917,361	Sell	08/15/12		1,983,260		2,083,110		(99,850)
Morgan Stanley	Mexican Peso	35,526,705	Sell	08/15/12		2,553,857		2,650,897		(97,040)
Morgan Stanley	Mexican Peso	42,365,115	Sell	08/23/12		3,044,127		3,158,610		(114,483)
UBS AG	EU Euro	26,000	Sell	07/16/12		32,920		32,908		12
UBS AG	British Pound	8,953,000	Sell	08/02/12		13,969,948		14,020,697		(50,749)
UBS AG	Japanese Yen	317,154,000	Sell	09/10/12		3,958,734		3,971,704		(12,970)
UBS AG	Mexican Peso	1,276,700,000	Sell	08/23/12		91,994,524		95,186,755		(3,192,231)
UBS AG	Mexican Peso	277,266,535	Sell	08/23/12		19,981,734		20,672,125		(690,391)
UBS AG	Canadian Dollar	101,877,000	Sell	09/20/12		99,110,817		99,879,746		(768,929)
UBS AG	Indonesian Rupiah	57,034,280,000	Sell	07/02/12		6,054,594		6,072,321		(17,727)
UBS AG	Chinese Yuan	41,044,250	Sell	02/01/13		6,500,000		6,427,039		72,961
UBS AG	Chinese Yuan	34,106,400	Sell	02/01/13		5,400,000		5,340,655		59,345

									$	(4,718,787)

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND		PORTFOLIO OF INVESTMENTS
PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

ING PIMCO Total Return Bond Portfolio Open Futures Contracts on June 30, 2012:


Contract Description	Number of Contracts	Expiration Date	Notional Value			Unrealized Appreciation/ (Depreciation)
Long Contracts
90-Day Eurodollar	565	03/16/15	$	139,985,813		$	164,835
90-Day Eurodollar	434	06/15/15		107,409,575			101,361
90-Day Eurodollar	86	09/14/15		21,257,050			52,553
U.S. Treasury 10-Year Note	1,070	09/19/12		142,711,250			627,201

			$	411,363,688		$	945,950

Short Contracts
Euro-Bund	(18)	09/06/12		(3,209,567	)		7,205

			$	(3,209,567	)	$	7,205

ING PIMCO Total Return Bond Portfolio Centrally Cleared Credit Default Swaps Outstanding on June 30, 2012

Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾


Reference Entity/Obligation	Buy/Sell Protection	(Pay)/ Receive Fixed Rate (%)	Termination Date	Notional Amount⁽²⁾		Fair Value⁽³⁾		Unrealized Appreciation/ (Depreciation)
CDX.NA.IG.17	Buy	0.100	12/20/16		USD 173,800,000	$	268,784	$	(1,461,528)

						$	268,784	$	(1,461,528)

ING PIMCO Total Return Bond Portfolio Over-the-Counter Credit Default Swap Agreements Outstanding on June 30, 2012:

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾


Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pay)/ Receive Fixed Rate (%)	Termination Date	Notional Amount⁽²⁾			Fair Value⁽³⁾		Upfront Payments Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Citigroup, Inc.	CDX.NA.IG.18	Buy	(1.000)	06/20/17		USD	146,300,000	$	878,162	$	(431,323	)	$	1,309,485
Barclays Bank PLC	iTraxx Europe Senior
	Financials Series 17
	Version 1	Buy	(1.000)	06/20/17		EUR	8,900,000		801,895	$	548,439			253,456
Citigroup, Inc.	iTraxx Europe Senior
	Financials Series 17
	Version 2	Buy	(1.000)	06/20/17		EUR	1,200,000		108,121	$	73,947			34,174
Barclays Bank PLC	iTraxx Europe Series
	16 Version 1	Buy	(1.000)	12/20/16		EUR	109,400,000		3,874,754	$	2,435,042			1,439,712
Morgan Stanley	iTraxx Europe Series
	16 Version 1	Buy	(1.000)	12/20/16		EUR	800,000		28,335	$	19,502			8,833

								$	5,691,267	$	2,645,607		$	3,045,660

Credit Default Swaps on Corporate and Sovereign Issues - Buy Protection⁽¹⁾


Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pay)/ Receive Fixed Rate (%)	Termination Date	Notional Amount⁽²⁾			Fair Value⁽³⁾		Upfront Payments Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Morgan Stanley	Sealed Air Corp.	Buy	(0.580)	09/20/13		USD	2,200,000		4,693	$	—		4,693

								$	4,693	$	—	$	4,693

Credit Default Swaps on Credit Indices - Sell Protection⁽⁴⁾


Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pay)/ Receive Fixed Rate (%)	Termination Date	Notional Amount⁽²⁾			Fair Value⁽³⁾		Upfront Payments Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	CDX.EM.12 Index	Sell	5.000	12/20/14		USD	1,400,000		88,527	$	68,623		19,904
Barclays Bank PLC	CDX.EM.13 Index	Sell	5.000	06/20/15		USD	200,000		14,479	$	14,090		389
Barclays Bank PLC	CDX.EM.13 Index	Sell	5.000	06/20/15		USD	5,200,000		376,444	$	356,376		20,068
Credit Suisse First Boston	CDX.EM.13 Index	Sell	5.000	06/20/15		USD	1,800,000		130,307	$	138,408		(8,101	)
Deutsche Bank AG	CDX.EM.13 Index	Sell	5.000	06/20/15		USD	19,800,000		1,433,382	$	1,412,314		21,068
Goldman Sachs & Co.	CDX.EM.13 Index	Sell	5.000	06/20/15		USD	100,000		7,239	$	7,175		64
Goldman Sachs & Co.	CDX.EM.13 Index	Sell	5.000	06/20/15		USD	100,000		7,239	$	7,016		223
HSBC	CDX.EM.13 Index	Sell	0.500	06/20/15		USD	30,300,000		2,193,509	$	1,523,747		669,762
HSBC	CDX.EM.13 Index	Sell	5.000	06/20/15		USD	12,900,000		933,870	$	908,523		25,347
Morgan Stanley	CDX.EM.13 Index	Sell	5.000	06/20/15		USD	3,100,000		224,418	$	218,767		5,651
Citigroup, Inc.	CDX.EM.14 Index	Sell	5.000	12/20/15		USD	2,500,000		197,226	$	230,507		(33,281	)
HSBC	CDX.EM.14 Index	Sell	5.000	12/20/15		USD	1,000,000		78,890	$	86,612		(7,722	)

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND		PORTFOLIO OF INVESTMENTS
PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Deutsche Bank AG	CDX.NA.IG.10 Index (30-100% Tranche)	Sell	0.530	06/20/13	USD	2,989,946		14,967	$	–		14,967
Goldman Sachs & Co.	CDX.NA.IG.10 Index (30-100% Tranche)	Sell	0.463	06/20/13	USD	3,761,546		16,335	$	–		16,335
Barclays Bank PLC	CDX.NA.IG.9 Index (30-100% Tranche)	Sell	0.758	12/20/12	USD	19,868,677		71,188	$	–		71,188
Deutsche Bank AG	CDX.NA.IG.9 Index (30-100% Tranche)	Sell	0.705	12/20/12	USD	13,117,185		43,680	$	–		43,680
Goldman Sachs & Co.	CDX.NA.IG.9 Index (30-100% Tranche)	Sell	0.548	12/20/17	USD	2,218,347		19,030	$	–		19,030

							$	5,850,730	$	4,972,158	$	878,572

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽⁴⁾


Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pay)/ Receive Fixed Rate (%)	Termination Date	Implied Credit Spread at 06/30/12 (%) ⁽⁵⁾		Notional Amount⁽²⁾			Fair Value⁽³⁾			Upfront Payments Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Ally Financial Inc.	Sell	5.000	12/20/16		37.981		USD	4,000,000	$	185,738		$	(138,831	)	$	324,569
Barclays Bank PLC	Berkshire Hathaway Inc.	Sell	1.000	06/20/17		13.684		USD	100,000		(1,744	)	$	(2,548	)		804
Credit Suisse First Boston	Berkshire Hathaway Inc.	Sell	1.000	06/20/17		13.684		USD	100,000		(1,744	)	$	(2,457	)		713
Deutsche Bank AG	Berkshire Hathaway Inc.	Sell	0.850	03/20/13		4.892		USD	2,200,000		5,783		$	–			5,783
Goldman Sachs & Co.	Berkshire Hathaway Inc.	Sell	1.000	03/20/15		9.770		USD	1,500,000		925		$	(14,105	)		15,030
UBS Warburg LLC	Berkshire Hathaway Inc.	Sell	1.000	03/20/15		9.770		USD	1,500,000		925		$	(14,470	)		15,395
UBS Warburg LLC	Federal Republic of Germany	Sell	0.250	06/20/16		7.389		USD	35,800,000		(683,797	)	$	(270,964	)		(412,833	)
Barclays Bank PLC	Federative Republic of Brazil	Sell	1.000	06/20/15		11.359		USD	500,000		(1,992	)	$	(4,088	)		2,096
BNP Paribas Bank	Federative Republic of Brazil	Sell	1.000	12/20/12		5.342		USD	10,600,000		23,769		$	5,012			18,757
Citigroup, Inc.	Federative Republic of Brazil	Sell	1.000	12/20/12		5.342		USD	8,400,000		18,836		$	4,767			14,069
Citigroup, Inc.	Federative Republic of Brazil	Sell	1.000	09/20/15		11.709		USD	1,000,000		(5,414	)	$	(10,003	)		4,589
Citigroup, Inc.	Federative Republic of Brazil	Sell	1.000	03/20/16		12.693		USD	22,200,000		(217,241	)	$	(108,296	)		(108,945	)
Citigroup, Inc.	Federative Republic of Brazil	Sell	1.000	06/20/16		13.095		USD	9,100,000		(108,869	)	$	(20,183	)		(88,686	)
Credit Suisse First Boston	Federative Republic of Brazil	Sell	1.000	06/20/15		11.359		USD	2,000,000		(7,967	)	$	(30,003	)		22,036
Goldman Sachs & Co.	Federative Republic of Brazil	Sell	1.000	12/20/12		5.342		USD	10,600,000		23,769		$	6,015			17,754
Goldman Sachs & Co.	Federative Republic of Brazil	Sell	1.000	06/20/15		11.359		USD	500,000		(1,992	)	$	(3,818	)		1,826
Goldman Sachs & Co.	Federative Republic of Brazil	Sell	1.000	09/20/16		13.449		USD	1,400,000		(19,769	)	$	(7,008	)		(12,761	)
HSBC	Federative Republic of Brazil	Sell	1.000	06/20/15		11.359		USD	3,000,000		(11,950	)	$	(47,412	)		35,462
HSBC	Federative Republic of Brazil	Sell	1.000	06/20/15		11.359		USD	5,700,000		(22,705	)	$	(35,805	)		13,100
HSBC	Federative Republic of Brazil	Sell	1.000	09/20/15		11.709		USD	1,800,000		(9,746	)	$	(11,504	)		1,758
UBS Warburg LLC	Federative Republic of Brazil	Sell	1.000	09/20/15		11.709		USD	500,000		(2,707	)	$	(3,037	)		330
Deutsche Bank AG	Gazprom	Sell	1.000	12/20/12		9.281		USD	5,800,000		2,004		$	(43,271	)		45,275
UBS Warburg LLC	Gazprom	Sell	1.000	12/20/12		9.281		USD	5,900,000		2,038		$	(46,064	)		48,102
Barclays Bank PLC	General Electric Capital Corp.	Sell	0.640	12/20/12		5.810		USD	5,700,000		1,617		$	–			1,617
BNP Paribas Bank	General Electric Capital Corp.	Sell	4.700	12/20/13		8.736		USD	1,800,000		101,506		$	–			101,506
Citigroup, Inc.	General Electric Capital Corp.	Sell	4.000	12/20/13		8.736		USD	7,600,000		350,177		$	1			350,176
Citigroup, Inc.	General Electric Capital Corp.	Sell	4.200	12/20/13		8.736		USD	6,200,000		303,945		$	–			303,945
Citigroup, Inc.	General Electric Capital Corp.	Sell	4.325	12/20/13		8.736		USD	4,500,000		228,895		$	–			228,895

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND		PORTFOLIO OF INVESTMENTS
PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Citigroup, Inc.	General Electric
	Capital Corp.	Sell	4.850	12/20/13	8.736	USD	3,600,000	210,971		$	–		210,971
Citigroup, Inc.	General Electric
	Capital Corp.	Sell	3.850	03/20/14	9.852	USD	7,000,000	343,895		$	–		343,895
Deutsche Bank AG	General Electric
	Capital Corp.	Sell	4.230	12/20/13	8.736	USD	4,200,000	207,755		$	–		207,755
Deutsche Bank AG	General Electric
	Capital Corp.	Sell	4.750	12/20/13	8.736	USD	3,900,000	222,804		$	–		222,804
UBS Warburg LLC	Goldman Sachs & Co.	Sell	1.000	06/20/13	16.664	USD	1,900,000	(12,294	)	$	(31,777	)	19,483
Citigroup, Inc.	Government of France
	O.A.T.	Sell	0.250	06/20/16	15.158	USD	33,700,000	(1,632,528	)	$	(660,419	)	(972,109	)
Deutsche Bank AG	Government of France
	O.A.T.	Sell	0.250	03/20/16	14.470	USD	2,300,000	(99,171	)	$	(66,751	)	(32,420	)
Morgan Stanley	Government of France
	O.A.T.	Sell	0.250	03/20/16	14.470	USD	500,000	(21,559	)	$	(12,345	)	(9,214	)
Royal Bank of	Government of France
Scotland Group	O.A.T.
PLC		Sell	0.250	12/20/15	13.687	USD	1,000,000	(37,775	)	$	(13,324	)	(24,451	)
Royal Bank of	Government of France
Scotland Group	O.A.T.
PLC		Sell	0.250	03/20/16	14.470	USD	500,000	(21,559	)	$	(12,176	)	(9,383	)
UBS Warburg LLC	Government of France
	O.A.T.	Sell	0.250	09/20/15	12.778	USD	1,400,000	(45,300	)	$	(23,584	)	(21,716	)
UBS Warburg LLC	Government of France
	O.A.T.	Sell	0.250	03/20/16	14.470	USD	2,200,000	(94,859	)	$	(63,787	)	(31,072	)
Deutsche Bank AG	Japanese Government
	20-Year Issue	Sell	1.000	03/20/15	4.252	USD	2,000,000	31,249		$	12,470		18,779
Deutsche Bank AG	Japanese Government
	20-Year Issue	Sell	1.000	03/20/17	8.451	USD	7,600,000	54,326		$	(51,058	)	105,384
Morgan Stanley	Japanese Government
	20-Year Issue	Sell	1.000	03/20/17	8.451	USD	5,600,000	40,030		$	(40,135	)	80,165
Morgan Stanley	Japanese Government
	20-Year Issue	Sell	1.000	03/20/17	8.451	USD	7,500,000	53,611		$	(47,046	)	100,657
Citigroup, Inc.	Metlife Inc.	Sell	1.000	12/20/14	20.609	USD	14,400,000	(367,815	)	$	(278,215	)	(89,600	)
Credit Suisse First	Metlife Inc.
Boston		Sell	1.000	12/20/14	20.609	USD	8,100,000	(206,896	)	$	(104,535	)	(102,361	)
Deutsche Bank AG	Metlife Inc.	Sell	1.000	03/20/15	22.007	USD	13,500,000	(426,519	)	$	(432,428	)	5,909
Deutsche Bank AG	Metlife Inc.	Sell	1.000	03/20/16	25.846	USD	2,300,000	(127,558	)	$	(34,344	)	(93,214	)
Barclays Bank PLC	Morgan Stanley	Sell	1.000	09/20/12	23.999	USD	600,000	(1,926	)	$	(2,497	)	571
Credit Suisse First	Morgan Stanley
Boston		Sell	1.000	06/20/13	25.552	USD	2,300,000	(34,489	)	$	(65,193	)	30,704
UBS Warburg LLC	NRG Energy, Inc.	Sell	5.000	03/20/17	54.892	USD	2,700,000	(53,149	)	$	(215,727	)	162,578
Barclays Bank PLC	People’s Republic of
	China	Sell	1.000	03/20/16	8.658	USD	1,000,000	4,906		$	8,664		(3,758	)
Citigroup, Inc.	People’s Republic of
	China	Sell	1.000	06/20/15	7.103	USD	1,300,000	11,094		$	2,2621		(1,168	)
Deutsche Bank AG	People’s Republic of
	China	Sell	1.000	06/20/16	9.132	USD	4,400,000	14,859		$	37,406		(22,547	)
Goldman Sachs &	People’s Republic of
Co.	China	Sell	1.000	09/20/16	9.548	USD	300,000	559		$	1,322		(763	)
Morgan Stanley	People’s Republic of
	China	Sell	1.000	09/20/16	9.548	USD	1,500,000	2,795		$	7,335		(4,540	)
Royal Bank of	People’s Republic of
Scotland	China	Sell	1.000	09/20/16	9.548	USD	600,000	1,118		$	3,428		(2,310	)
Royal Bank of	People’s Republic of
Scotland Group	China
PLC		Sell	1.000	06/20/15	7.103	USD	4,000,000	34,137		$	38,858		(4,721	)
Royal Bank of	People’s Republic of
Scotland Group	China
PLC		Sell	1.000	06/20/16	9.132	USD	4,300,000	14,522		$	35,737		(21,215	)
HSBC	Republic of France	Sell	0.250	09/20/16	15.763	USD	500,000	(26,845	)	$	(15,642	)	(11,203	)
Morgan Stanley	Republic of France	Sell	0.250	09/20/16	15.763	USD	3,600,000	(193,287	)	$	(138,689	)	(54,598	)
UBS Warburg LLC	Republic of France	Sell	0.250	09/20/16	15.763	USD	400,000	(21,476	)	$	(17,465	)	(4,011	)
Deutsche Bank AG	Republic of Indonesia	Sell	1.000	09/20/15	12.367	USD	600,000	(4,476	)	$	(8,853	)	4,377
Morgan Stanley	Republic of Indonesia	Sell	1.000	09/20/16	15.691	USD	2,100,000	(48,435	)	$	(25,612	)	(22,823	)
UBS Warburg LLC	Republic of Indonesia	Sell	1.000	09/20/16	15.691	USD	900,000	(20,758	)	$	(11,681	)	(9,077	)
Deutsche Bank AG	Republic of Korea	Sell	1.000	06/20/16	9.402	USD	1,100,000	2,557		$	411		2,146
Deutsche Bank AG	Republic of Korea	Sell	1.000	06/20/16	9.402	USD	700,000	1,627		$	392		1,235
Citigroup, Inc.	Reynolds American
	Inc.	Sell	1.280	06/20/17	13.088	USD	2,600,000	(3,576	)	$	–		(3,576	)

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND		PORTFOLIO OF INVESTMENTS
PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Citigroup, Inc.	Ruplic of Kazakhstan	Sell	1.000	03/20/16	22.226	USD	300,000		(13,091	)	$	(6,278	)	(6,813	)
Goldman Sachs & Co.	Russian Federation	Sell	1.000	06/20/17	22.588	USD	300,000		(17,602	)	$	(20,442	)	2,840
HSBC	Russian Federation	Sell	1.000	12/20/12	6.416	USD	17,400,000		30,015		$	(69,389	)	99,404
HSBC	The Export-Import Bank of China	Sell	1.000	06/20/17	17.364	USD	2,400,000		(83,107	)	$	(90,894	)	7,787
Deutsche Bank AG	United Kingdom Gilt	Sell	1.000	06/20/16	4.628	USD	23,100,000		488,480		$	365,148		123,332
Goldman Sachs &Co.	United Kingdom Gilt	Sell	1.000	06/20/15	3.010	USD	16,300,000		338,136		$	85,251		252,885
Goldman Sachs &Co.	United Kingdom Gilt	Sell	1.000	12/20/15	3.731	USD	2,800,000		60,653		$	43,154		17,499
Goldman Sachs &Co.	United Kingdom Gilt	Sell	1.000	12/20/15	3.731	USD	1,000,000		21,662		$	15,565		6,097
Morgan Stanley	United Kingdom Gilt	Sell	1.000	06/20/16	4.628	USD	1,400,000		29,605		$	19,161		10,444
Barclays Bank PLC	United Mexican States	Sell	1.000	03/20/15	9.262	USD	2,000,000		3,986		$	(23,883	)	27,869
Citigroup, Inc.	United Mexican States	Sell	1.000	12/20/12	3.813	USD	2,500,000		7,450		$	2,129		5,321
Citigroup, Inc.	United Mexican States	Sell	1.000	03/20/15	9.262	USD	2,000,000		3,986		$	(24,373	)	28,359
Citigroup, Inc.	United Mexican States	Sell	1.000	09/20/15	10.100	USD	1,000,000		(317	)	$	(9,680	)	9,363
Citigroup, Inc.	United Mexican States	Sell	1.000	06/20/16	11.511	USD	9,100,000		(53,370	)		–		(53,370	)
Deutsche Bank AG	United Mexican States	Sell	1.000	03/20/15	9.262	USD	1,000,000		1,993		$	(12,186	)	14,179
Deutsche Bank AG	United Mexican States	Sell	1.000	03/20/16	11.101	USD	6,800,000		(27,328	)	$	(36,600	)	9,272
Deutsche Bank AG	United Mexican States	Sell	1.000	06/20/16	11.511	USD	9,400,000		(55,129	)	$	17,457		(72,586	)
Goldman Sachs &Co.	United Mexican States	Sell	1.000	12/20/12	3.813	USD	12,500,000		37,249		$	12,423		24,826
JPMorgan Chase &Co.	United Mexican States	Sell	1.000	12/20/12	3.813	USD	16,300,000		48,573		$	15,427		33,146
UBS Warburg LLC	United States Treasury Note	Sell	0.250	09/20/15	2.904	EUR	13,700,000		(22,384	)	$	(124,990	)	102,606
Credit Suisse First	Wells Fargo & Co.
Boston		Sell	1.000	09/20/13	3.028	USD	17,500,000		150,430		$	(31,719	)	182,149

								$	(1,147,255	)	$	(2,887,789	)$	1,740,534

(1)

If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)

The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

(3)

The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring.

(4)

If the Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will generally either i) Pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or ii) Pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.

(5)

Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed in each Portfolio’s Portfolio of Investment and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting market values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

ING PIMCO Total Return Bond Portfolio Centrally Cleared Interest Rate Swap Agreements Outstanding on June 30, 2012:


	Termination Date		Notional Amount		Fair Value			Unrealized Appreciation/ (Depreciation)
Receive a floating rate based on the 3-month USD-
LIBOR-BBA and pay a fixed rate equal to 4.250%		06/15/41		USD 80,700,000	$	(30,876,181	)	$	(4,412,446	)

					$	(30,876,181	)	$	(4,412,446	)

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND		PORTFOLIO OF INVESTMENTS
PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

ING PIMCO Total Return Bond Portfolio Over-the-Counter Interest Rate Swap Agreements Outstanding on June 30, 2012:


	Termination Date	Notional Amount		Fair Value			Upfront Payments Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive a fixed rate equal to 5.600% and pay a floating rate based on the 28-day MXN TIIE-BANXICO Counterparty: Barclays Bank PLC	09/06/16	MXN	11,100,000	$	15,558		$	4,767		$	10,791
Receive a fixed rate equal to 5.500% and pay a floating rate based on the 28-day MXN TIIE-BANXICO Counterparty: Barclays Bank PLC	09/13/17	MXN	122,400,000		88,810			(55,616	)		144,426
Receive a fixed rate equal to 8.860% and pay a floating rate based on the 28-day MXN-TIIE-BANXICO Counterparty: Citigroup, Inc.	09/12/16	MXN	23,500,000		261,825			–			261,825
Receive a fixed rate equal to 5.600% and pay a floating rate based on the 28-day MXN TIIE-BANXICO Counterparty: HSBC	09/06/16	MXN	30,300,000		42,467			11,439			31,028
Receive a fixed rate equal to 5.500% and pay a floating rate based on the 28-day MXN TIIE-BANXICO Counterparty: HSBC	09/13/17	MXN	100,600,000		72,992			(28,409	)		101,401
Receive a fixed rate equal to 5.600% and pay a floating rate based on the 28-day MXN TIIE-BANXICO Counterparty: Morgan Stanley	09/06/16	MXN	18,000,000		25,233			8,628			16,605
Receive a fixed rate equal to 5.500% and pay a floating rate based on the 28-day MXN TIIE-BANXICO Counterparty: Morgan Stanley	09/13/17	MXN	48,000,000		34,827			(22,433	)		57,260
Receive a fixed rate equal to 6.350% and pay a floating rate based on the 28-day MXN TIIE-BANXICO Counterparty: Morgan Stanley	06/02/21	MXN	104,100,000		344,093			130,914			213,179
Receive a fixed rate equal to 5.500% and pay a floating rate based on the 28-day MXN TIIE-BANXICO Counterparty: UBS Warburg LLC	09/13/17	MXN	10,000,000		7,256			(1,762	)		9,018
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.750% Counterparty: Morgan Stanley	06/20/42	USD	21,600,000		(1,161,603	)		471,477			(1,633,080	)

				$	(268,542	)	$	519,005		$	(787,547	)

ING PIMCO Total Return Bond Portfolio Written Inflation Floors Outstanding on June 30, 2012:

Inflation Floors


Counterparty	Underlying Reference Entity/Obligation	Strike Index		Floor Rate	Termination Date	Notional Amount			Premiums Received		Fair Value
Citigroup, Inc.	CPURNSA Index		215.949	0.000%	03/12/20		USD	7,800,000	$	66,000	$	(11,492	)
Citigroup, Inc.	CPURNSA Index		216.687	0.000%	04/07/20		USD	7,600,000		66,880		(11,829	)
Citigroup, Inc.	CPURNSA Index		217.965	0.000%	09/29/20		USD	7,300,000		94,170		(12,194	)
Deutsche Bank AG	CPURNSA Index		215.949	0.000%	03/10/20		USD	2,800,000		21,000		(6,012	)
Deutsche Bank AG	CPURNSA Index		218.011	0.000%	10/13/20		USD	7,400,000		72,520		(19,559	)

									$	320,570	$	(61,086	)

ING PIMCO Total Return Bond Portfolio Written Options Open on June 30, 2012:

Options on Exchange Traded Futures Contracts


Description/Name of Issuer	Exercise Price		Expiration Date	# of Contracts		Premiums Received		Value
U.S. Treasury 10-Year Note	USD	131.00	08/24/12		246	$	75,198	$	(69,187	)
U.S. Treasury 10-Year Note	USD	136.00	08/24/12		246		50,813		(46,125	)

						$	126,011	$	(115,312	)

ING PIMCO Total Return Bond Portfolio Written Swaptions Open on June 30, 2012:

Written Interest Rate Swaptions

Description

Counterparty

Floating Rate
Index/Underlying
Reference Entity

Pay/
Receive
Floating

Exercise
Rate

Expiration
Date

Notional
Amount

Premiums
Received

Fair Value

Put OTC Swaption

Citigroup, Inc.

3-month USD- LIBOR-BBA

Pay

0.920%

11/14/12

USD

21,100,000

94,950

(7,790

)

Put OTC Swaption

Citigroup, Inc.

3-month USD- LIBOR-BBA

Pay

1.550%

08/13/12

USD

11,500,000

79,350

(521

)

Put OTC Swaption

Citigroup, Inc.

3-month USD- LIBOR-BBA

Pay

1.700%

08/13/12

USD

115,000,000

1,541,152

(1,265

)

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND		PORTFOLIO OF INVESTMENTS
PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Put OTC Swaption	Citigroup, Inc.	3-month USD- LIBOR-BBA	Pay	2.250	%	09/24/12	USD	9,600,000		65,400		(1	)
Put OTC Swaption	Citigroup, Inc.	3-month USD- LIBOR-BBA	Pay	3.250	%	07/16/12	USD	31,600,000		781,257		(3	)
Put OTC Swaption	Credit Suisse First Boston	3-month USD- LIBOR-BBA	Pay	1.350	%	08/13/12	USD	18,400,000		39,100		(4,467	)
Put OTC Swaption	Credit Suisse First Boston	3-month USD- LIBOR-BBA	Pay	1.400	%	03/18/13	USD	6,900,000		133,170		(43,044	)
Put OTC Swaption	Credit Suisse First Boston	3-month USD- LIBOR-BBA	Pay	1.550	%	08/13/12	USD	17,500,000		94,062		(793	)
Put OTC Swaption	Deutsche Bank AG	3-month USD- LIBOR-BBA	Pay	1.000	%	08/13/12	USD	14,600,000		150,015		(593	)
Put OTC Swaption	Deutsche Bank AG	3-month USD- LIBOR-BBA	Pay	1.200	%	07/11/13	USD	39,900,000		281,604		(49,911	)
Put OTC Swaption	Deutsche Bank AG	3-month USD- LIBOR-BBA	Pay	1.550	%	08/13/12	USD	184,200,000		1,219,188		(8,344	)
Put OTC Swaption	Deutsche Bank AG	3-month USD- LIBOR-BBA	Pay	1.700	%	08/13/12	USD	109,400,000		1,167,787		(1,203	)
Put OTC Swaption	Deutsche Bank AG	3-month USD- LIBOR-BBA	Pay	2.000	%	03/18/13	USD	18,800,000		176,570		(35,741	)
Put OTC Swaption	Morgan Stanley	3-month USD- LIBOR-BBA	Pay	0.920	%	11/14/12	USD	146,500,000		406,664		(54,088	)
Put OTC Swaption	Morgan Stanley	3-month USD- LIBOR-BBA	Pay	1.400	%	03/18/13	USD	10,400,000		201,760		(64,877	)
Put OTC Swaption	Morgan Stanley	3-month USD- LIBOR-BBA	Pay	1.550	%	08/13/12	USD	17,800,000		79,655		(806	)
Put OTC Swaption	Morgan Stanley	3-month USD- LIBOR-BBA	Pay	1.700	%	08/13/12	USD	56,900,000		342,823		(626	)
Put OTC Swaption	Morgan Stanley	3-month USD- LIBOR-BBA	Pay	2.250	%	09/24/12	USD	60,600,000		371,934		(6	)
Put OTC Swaption	Morgan Stanley	3-month USD- LIBOR-BBA	Pay	10.000	%	07/10/12	USD	19,400,000		116,885		(2	)
Put OTC Swaption	Royal Bank of Scotland Group PLC	3-month USD- LIBOR-BBA	Pay	1.350	%	08/13/12	USD	28,900,000		118,129		(7,017	)
Put OTC Swaption	Royal Bank of Scotland Group PLC	3-month USD- LIBOR-BBA	Pay	1.500	%	05/30/13	USD	9,900,000		74,745		(91,277	)
Put OTC Swaption	Royal Bank of Scotland Group PLC	3-month USD- LIBOR-BBA	Pay	1.550	%	08/13/12	USD	54,100,000		252,465		(2,451	)
Put OTC Swaption	Royal Bank of Scotland Group PLC	3-month USD- LIBOR-BBA	Pay	1.700	%	08/13/12	USD	68,100,000		944,800		(749	)
Put OTC Swaption	Royal Bank of Scotland Group PLC	3-month USD- LIBOR-BBA	Pay	1.750	%	11/19/12	USD	62,700,000		236,692		(1,154	)
Put OTC Swaption	Royal Bank of Scotland Group PLC	3-month USD- LIBOR-BBA	Pay	1.750	%	05/30/13	USD	37,100,000		275,237		(187,500	)
Put OTC Swaption	Royal Bank of Scotland Group PLC	3-month USD- LIBOR-BBA	Pay	2.250	%	09/24/12	USD	196,200,000		1,543,054		(20	)
Put OTC Swaption	Royal Bank of Scotland Group PLC	3-month USD- LIBOR-BBA	Pay	3.250	%	07/16/12	USD	10,500,000		263,655		(1	)
Call OTC Swaption	Credit Suisse First Boston	3-month USD- LIBOR-BBA	Receive	1.400	%	03/18/13	USD	6,900,000		64,170		(108,615	)
Call OTC Swaption	Morgan Stanley	3-month USD- LIBOR-BBA	Receive	1.400	%	03/18/13	USD	10,400,000		97,240		(163,709	)

						Total Written Swaptions			$	11,213,513	$	(836,574	)

The following sales commitments were held by the ING PIMCO Total Return Bond Portfolio at June 30, 2012:


Principal Amount	Description	Fair Value
$(16,000,000)	Fannie Mae	$	(17,299,130	)
(20,000,000)	Fannie Mae		(21,646,880	)
(28,000,000)	Fannie Mae		(30,024,795	)
(18,000,000)	Fannie Mae		(19,479,379	)
(19,000,000)	United States Treasury Bond		(19,175,161	)

	Total Sales Commitments Cost $(107,643,045)	$	(107,625,345	)

See Accompanying Notes to Financial Statements


ING PIMCO TOTAL RETURN BOND		PORTFOLIO OF INVESTMENTS
PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

A summary of derivative instruments by primary risk exposure is outlined in the Following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities	Fair Value

Asset Derivatives

Interest rate contracts	Investments in securities at value*	$	74,306
Foreign exchange contracts	Unrealized appreciation on forward foreign currency contracts		2,790,055
Credit contracts	Upfront payments paid on OTC swap agreements		8,798,882
Interest rate contracts	Upfront payments paid on OTC swap agreements		627,225
Credit contracts	Unrealized appreciation on OTC swap agreements		8.026,407
Interest rate contracts	Unrealized appreciation on OTC swap agreements		845,533
Interest rate contracts	Net Assets- Unrealized appreciation***		953,155

Total Asset Derivatives		$	22,115,563


Liability Derivatives

Foreign exchange contracts	Unrealized depreciation on forward foreign currency contracts	$	9,949,535
Credit contracts	Upfront payments received on OTC swap agreements		4,068,907
Interest rate contracts	Upfront payments received on OTC swap agreements		108,220
Credit contracts	Unrealized depreciation on OTC swap agreements		2,356,949
Interest rate contracts	Unrealized depreciation on OTC swap agreements		1,633,080
Credit contracts	Net Assets- Unrealized depreciation**		1,461,528
Interest rate contracts	Net Assets- Unrealized depreciation**		4,412,446
Interest rate contracts	Written options, at fair value		1,012,972

Total Liability Derivatives		$	25,003,637

*	Includes purchased options.

**	Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table following the Summary Portfolio of Investments.

***	Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments.

The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2012 was as follows:


	Amount of Realized Gain or (Loss) on Derivatives Recognized in Income

Derivatives not accounted for as hedging instruments	Investments*		Foreign currency related transactions**			Futures			Swaps			Written options		Total
Credit contracts	$	-	$	-		$	-		$	(2,216,795	)	$	-	$	(2,216,795	)
Foreign exchange contracts		-		19,578,463			-			-			-		19,578,463
Interest rate contracts		198,425		-			9,327,716			24,043,373			5,074,345		38,643,859

Total	$	198,425	$	19,578,463		$	9,327,716		$	21,826,578		$	5,074,345	$	56,005,528


	Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income

Derivatives not accounted for as hedging instruments	Investments*		Foreign currency related transactions**			Futures			Swaps			Written options		Total
Credit contracts	$	-	$	-		$	-		$	10,874,156		$	-	$	10,874,156
Foreign exchange contracts		-		(15,675,301	)		-			-			-		(15,675,301	)
Interest rate contracts		20,349		-			(5,803,390	)		(23,956,339	)		477,834		(29,261,546	)

Total	$	20,349	$	(15,675,301	)	$	(5,803,390	)	$	(13,082,183	)	$	477,834	$	(34,062,691	)

*	Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments.

**	Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in

unrealized appreciation or depreciation on foreign currency related transactions.

See Accompanying Notes to Financial Statements

ING PIONEER MID CAP VALUE

PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 97.7%
		Consumer Discretionary: 9.0%
441,950	@	Hanesbrands, Inc.		12,255,274		1.9
112,513		Jarden Corp.		4,727,796		0.7
140,360		Kohl’s Corp.		6,384,976		1.0
277,560		Rent-A-Center, Inc.		9,364,874		1.5
342,440	@	Sally Beauty Holdings, Inc.		8,814,406		1.4
140,608		Sotheby’s		4,690,683		0.7
214,405		Wyndham Worldwide Corp.		11,307,720		1.8
				57,545,729		9.0

		Consumer Staples: 3.7%
320,605		Campbell Soup Co.		10,701,795		1.7
150,335		CVS Caremark Corp.		7,025,154		1.1
73,400		JM Smucker Co.		5,543,168		0.9
				23,270,117		3.7

		Energy: 7.5%
716,300	L	Arch Coal, Inc.		4,935,307		0.8
131,050		Cabot Oil & Gas Corp.		5,163,370		0.8
173,875	@	Ensco PLC		8,166,909		1.3
119,500		National Oilwell Varco, Inc.		7,700,580		1.2
86,950		Noble Energy, Inc.		7,375,099		1.2
174,349		QEP Resources, Inc.		5,225,239		0.8
160,970	@	Southwestern Energy Co.		5,139,772		0.8
160,525		Valero Energy Corp.		3,876,679		0.6
				47,582,955		7.5

		Financials: 30.9%
258,355		Aflac, Inc.		11,003,339		1.7
374,695		Allstate Corp.		13,148,048		2.1
71,800		American Campus Communities, Inc.		3,229,564		0.5
193,770		Ameriprise Financial, Inc.		10,126,420		1.6
422,146		Annaly Capital Management, Inc.		7,083,610		1.1
241,410	@	Aon PLC		11,293,160		1.8
270,022		Axis Capital Holdings Ltd.		8,789,216		1.4
397,840		BioMed Realty Trust, Inc.		7,431,651		1.2
68,729		Boston Properties, Inc.		7,448,162		1.2
223,000		Capital One Financial Corp.		12,189,180		1.9
448,965	@	CIT Group, Inc.		16,001,113		2.5
238,530		Discover Financial Services		8,248,367		1.3
398,070		Duke Realty Corp.		5,827,745		0.9
116,965		Equity Residential		7,293,937		1.1
536,350		First Horizon National Corp.		4,639,427		0.7
200,940	@	First Republic Bank		6,751,584		1.0
428,195		Host Hotels & Resorts, Inc.		6,774,045		1.1
527,440		Kimco Realty Corp.		10,037,183		1.6
214,061		Moody’s Corp.		7,823,930		1.2
277,900		Pebblebrook Hotel Trust		6,477,849		1.0


178,635		PNC Financial Services Group, Inc.	10,916,385	1.7
494,147		UnumProvident Corp.	9,453,032	1.5
257,480		Zions Bancorp.	5,000,262	0.8
			196,987,209	30.9

		Health Care: 11.4%
202,327		Aetna, Inc.	7,844,218	1.2
242,420		Agilent Technologies, Inc.	9,512,561	1.5
445,970	@	CareFusion Corp.	11,452,509	1.8
243,255		Cigna Corp.	10,703,220	1.7
936,420	@	Health Management Associates, Inc.	7,350,897	1.2
118,835		Humana, Inc.	9,202,582	1.4
241,070		Teva Pharmaceutical Industries Ltd. ADR	9,507,801	1.5
93,390	@	Watson Pharmaceuticals, Inc.	6,909,926	1.1
			72,483,714	11.4

		Industrials: 12.6%
246,030		Fluor Corp.	12,139,120	1.9
260,190		IDEX Corp.	10,142,206	1.6
315,820		KBR, Inc.	7,803,912	1.2
120,565		Republic Services, Inc.	3,190,150	0.5
1,007,790		Southwest Airlines Co.	9,291,824	1.5
618,590	@	Spirit Aerosystems Holdings, Inc.	14,741,000	2.3
141,035		SPX Corp.	9,212,406	1.5
92,433		Stanley Black & Decker, Inc.	5,948,988	0.9
123,835		Towers Watson & Co.	7,417,717	1.2
			79,887,323	12.6

		Information Technology: 8.4%
266,985		Analog Devices, Inc.	10,057,325	1.6
865,184	@	Compuware Corp.	8,037,559	1.3
423,070	@	Rovi Corp.	8,300,633	1.3
234,280	@	Sandisk Corp.	8,546,535	1.3
270,800	@	VeriFone Holdings, Inc.	8,960,772	1.4
291,000		Xilinx, Inc.	9,768,870	1.5
			53,671,694	8 .4

		Materials: 2.8%
76,500		Ecolab, Inc.	5,242,545	0.8
156,560		Mosaic Co/The	8,573,226	1.4
181,860	L	United States Steel Corp.	3,746,316	0.6
			17,562,087	2 .8

		Telecommunication Services: 1.3%
207,060		CenturyTel, Inc.	8,176,799	1 .3

		Utilities: 10.1%
81,440		AGL Resources, Inc.	3,155,800	0.5
324,860		Ameren Corp.	10,895,804	1.7
192,510		American Electric Power Co., Inc.	7,681,149	1.2
362,505		CMS Energy Corp.	8,518,868	1.3
126,960		Consolidated Edison, Inc.	7,895,642	1.2
248,220		Northeast Utilities	9,633,418	1.5
129,140		Pinnacle West Capital Corp.	6,681,704	1.1
149,782		PNM Resources, Inc.	2,926,740	0.5

See Accompanying Notes to Financial Statements

ING PIONEER MID CAP VALUE

PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

254,150

PPL Corp.

7,067,912

1.1

64,457,037

10.1

Total Common Stock
(Cost $607,128,112)

621,624,664

97.7

EXCHANGE-TRADED FUNDS: 0.6%

83,150

Market Vectors Gold

Miners ETF

3,722,626

0 .6

Total Exchange-Traded
Funds
(Cost $3,851,098)

3,722,626

0 .6

Total Long-Term
Investments
(Cost $610,979,210)

625,347,290

98.3

Principal
Amount†

Value

Percentage
of Net
Assets

SHORT-TERM INVESTMENTS: 2.0%

Securities Lending Collateral^cc⁽¹⁾: 1.3%

1,991,490

BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $1,991,521, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $2,031,320, due 05/01/32-06/01/42)

1,991,490

0.3

1,991,490

Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,991,523, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $2,031,320, due 07/01/42-02/20/61)

1,991,490

0.3

1,991,490

Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $1,991,519, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $2,031,320, due 04/01/24-06/01/42)

1,991,490

0.3

1,991,490

Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $1,991,531, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $2,031,320, due 10/01/14-02/25/44)

1,991,490

0.3

419,259

UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $419,266, collateralized by various U.S. Government Agency Obligations, 3.000%-6.500%, Market Value plus accrued interest $427,644, due 07/01/21-04/01/42)

419,259

0.1

8,385,219

1.3

Shares

Value

Percentage
of Net
Assets

Mutual Funds: 0.7%

4,422,000

BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $4,422,000)

4,422,000

0 .7

Total Short-Term Investments
(Cost $12,807,219)

12,807,219

2 .0

Total Investments in Securities
(Cost $623,786,429)

638,154,509

100.3

Liabilities in Excess of Other Assets

(1,600,604)

(0.3)

Net Assets

636,553,905

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

@	Non-income producing security

ADR	American Depositary Receipt cc Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.

See Accompanying Notes to Financial Statements

ING PIONEER MID CAP VALUE

PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


		Cost for federal income tax purposes is $629,128,236.

		Net unrealized appreciation consists of:

		Gross Unrealized Appreciation			$40,712,365
		Gross Unrealized Depreciation			(31,686,092)


		Net Unrealized Appreciation			$9,026,273

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock*	$	621,624,664	$	–	$	–	$	621,624,664
Exchange-Traded Funds		3,722,626		–		–		3,722,626
Short-Term Investments		4,422,000		8,385,219		–		12,807,219

Total Investments, at fair value	$	629,769,290	$	8,385,219	$	–	$	638,154,509

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING T. ROWE PRICE

CAPITAL APPRECIATION PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 60.1%
		Consumer Discretionary: 7.7%
1,125,500	@	Delphi Automotive PLC		28,700,250		0.7
618,980	@	Dollar General Corp.		33,666,322		0.8
1,354,300	@	General Motors Co.		26,706,796		0.7
698,427		Hasbro, Inc.		23,655,723		0.6
691,200		Kohl’s Corp.		31,442,688		0.8
328,600		Lowe’s Cos., Inc.		9,345,384		0.2
674,864		McGraw-Hill Cos., Inc.		30,368,880		0.7
1,123,800	@	TRW Automotive Holdings Corp.		41,310,888		1.0
1,812,800		Walt Disney Co.		87,920,800		2.2
				313,117,731		7.7

		Consumer Staples: 7.7%
20,000		Avon Products, Inc.		324,200		0.0
219,900		Coca-Cola Enterprises, Inc.		6,165,996		0.1
2,075,284		General Mills, Inc.		79,981,445		2.0
795,000		Kellogg Co.		39,217,350		1.0
977,434		PepsiCo, Inc.		69,065,487		1.7
434,797		Philip Morris International, Inc.		37,940,386		0.9
1,318,173		Procter & Gamble Co.		80,738,096		2.0
				313,432,960		7.7

		Energy: 3.7%
168,800		Apache Corp.		14,835,832		0.4
74,992		EOG Resources, Inc.		6,757,529		0.2
154,400		ExxonMobil Corp.		13,212,008		0.3
855,700		Nexen, Inc.		14,452,773		0.3
178,900		Schlumberger Ltd.		11,612,399		0.3
657,451		Spectra Energy Corp.		19,105,526		0.5
1,489,000	@	Weatherford International Ltd.		18,806,070		0.4
1,644,600		Williams Cos., Inc.		47,397,372		1.2
380,766	@	WPX Energy, Inc.		6,160,794		0.1
				152,340,303		3.7

		Financials: 7.5%
245,800		Blackrock, Inc.		41,741,756		1.0
2,864,069	@	Invesco Ltd.		64,727,960		1.6
2,081,410		JPMorgan Chase & Co.		74,368,779		1.8
546,500		Northern Trust Corp.		25,149,930		0.6
2,357,500		TD Ameritrade Holding Corp.		40,077,500		1.0
1,389,000		US Bancorp.		44,670,240		1.1
702,800		XL Group PLC		14,786,912		0.4
				305,523,077		7.5

		Health Care: 11.4%
760,600		AmerisourceBergen Corp.		29,929,610		0.7
418,600		Covidien PLC		22,395,100		0.6
196,100	@	Express Scripts Holding Co.		10,948,263		0.3
4,502	@	Henry Schein, Inc.		353,362		0.0
440,100	@	Laboratory Corp. of America Holdings		40,757,661		1.0
144,400		McKesson Corp.		13,537,500		0.3
6,163,737		Pfizer, Inc.		141,765,951		3.5
915,900		Quest Diagnostics		54,862,410		1.3


2,917,068		Thermo Fisher Scientific, Inc.	151,425,000	3.7
			465,974,857	11.4

		Industrials: 7.2%
31,912		Actuant Corp.	866,730	0.1
1,496,600		CSX Corp.	33,463,976	0.8
2,360,891		Danaher Corp.	122,955,203	3.0
390,800		Ingersoll-Rand PLC	16,483,944	0.4
300,920		Pall Corp.	16,493,425	0.4
1,350,275		United Technologies Corp.	101,986,271	2.5
			292,249,549	7.2

		Information Technology: 9.0%
188,600		Accenture PLC	11,332,974	0.3
152,000	@	Apple, Inc.	88,768,000	2.2
749,900		Cisco Systems, Inc.	12,875,783	0.3
639,100	@	Dell, Inc.	8,001,532	0.2
818,957	@	Fiserv, Inc.	59,145,074	1.5
70,100	@	Google, Inc. - Class A	40,662,907	1.0
28,400		International Business Machines Corp.	5,554,472	0.1
357,600		Microsoft Corp.	10,938,984	0.3
1,279,200		Oracle Corp.	37,992,240	0.9
1,939,560	@	TE Connectivity Ltd.	61,891,360	1.5
1,001,920		Texas Instruments, Inc.	28,745,085	0.7
			365,908,411	9.0

		Materials: 2.1%
300,300		Ball Corp.	12,327,315	0.3
1,540,190	@	Crown Holdings, Inc.	53,121,153	1.3
463,800	L	Potash Corp. of Saskatchewan	20,263,422	0.5
			85,711,890	2.1

		Telecommunication Services: 2.0%
2,339,800		AT&T, Inc.	83,437,268	2.0

		Utilities: 1.8%
280,800		American Electric Power Co., Inc.	11,203,920	0.3
803,200		Edison International	37,107,840	0.9
620,590		MDU Resources Group, Inc.	13,410,950	0.3
213,100		Pacific Gas & Electric Co.	9,647,037	0.3
			71,369,747	1.8
	Total Common Stock (Cost $2,195,155,841)		2,449,065,793	60.1

PREFERRED STOCK: 2.0%
		Consumer Discretionary: 0.7%
354,700	@,L	General Motors Co.	11,776,040	0.3
303,700	@,P	Newell Financial Trust I	15,336,850	0.4
			27,112,890	0.7

		Consumer Staples: 0.1%
42	#,@	HJ Heinz Finance Co.	4,517,625	0.1

		Financials: 0.7%
374,000	@	Affiliated Managers Group, Inc.	18,466,250	0.5
164	@,P	Fannie Mae	598,598	0.0
166,000	@,P	US Bancorp	4,744,280	0.1

See Accompanying Notes to Financial Statements

ING T. ROWE PRICE

CAPITAL APPRECIATION PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


205,000	@,P	US Bancorp		5,612,900		0.1
				29,422,028		0.7

		Utilities: 0.5%
348,850	@	PPL Corp.		18,653,010		0.4
160,000	@,P	SCE Trust I		4,076,800		0.1
				22,729,810		0.5

	Total Preferred Stock (Cost $99,594,542)			83,782,353		2.0

Principal Amount†			Value		Percentage of Net Assets
CORPORATE BONDS/NOTES: 20.7%
		Consumer Discretionary: 6.8%
1,850,000		AmeriGas Finance LLC/AmeriGas Finance Corp., 6.750%, 05/20/20		1,891,625		0.0
7,425,000		AmeriGas Finance LLC/AmeriGas Finance Corp., 7.000%, 05/20/22		7,666,313		0.2
1,633,263		CCH II, LLC / CCH II Capital Corp., 13.500%, 11/30/16		1,825,171		0.0
750,000		CCO Holdings LLC / CCO Holdings Capital Corp., 2.750%, 09/06/14		746,437		0.0
1,980,000	L	CCO Holdings LLC / CCO Holdings Capital Corp., 7.250%, 10/30/17		2,168,100		0.1
8,246,540		Cedar Fair L.P., 4.000%, 12/15/17		8,239,597		0.2
11,107,404		Charter Communications Operating LLC, 3.500%, 09/06/16		11,034,894		0.3
15,273,963		DineEquity, Inc., 4.250%, 10/19/17		15,223,055		0.4
9,750,000		Dollar General Corp., 2.995%, 07/07/14		9,771,918		0.2
1,325,000	&	Dollar General Corp., 11.875%, 07/15/17		1,409,482		0.0
4,072,482		Dollar General Corp., 2.995%, 07/07/14		4,081,637		0.1
1,350,000		Dollar General Corp., 4.125%, 07/15/17		1,375,313		0.0
78,233,136		Dunkin Brands, Inc. - TL, 4.000%, 11/23/17		77,279,396		1.9
27,118,156		Federal Mogul Corp., 2.188%, 12/29/14		25,869,582		0.6
17,280,609		Federal Mogul Corp. - TL C, 2.178%, 12/28/15		16,484,975		0.4
5,992,500		Formula One Holdings, 5.750%, 04/30/17		5,998,918		0.2
9,695,000		Lamar Media Corp., 9.750%, 04/01/14		10,906,875		0.3
5,075,000		MGM Resorts International, 9.000%, 03/15/20		5,658,625		0.1
2,130,000		MGM Resorts International, 10.375%, 05/15/14		2,412,225		0.1


4,290,000		MGM Resorts International, 13.000%, 11/15/13	4,912,050	0.1
3,175,000		Penske Auto Group, Inc., 7.750%, 12/15/16	3,302,000	0.1
5,750,000		Rite Aid Corp. - TL 1, 4.500%, 03/03/18	5,681,000	0.1
2,301,750		SBA Senior Finance - TL B, 3.750%, 06/30/18	2,288,803	0.1
2,950,000	#	Schaeffler Finance BV, 7.750%, 02/15/17	3,090,125	0.1
3,250,000	#	Schaeffler Finance BV, 8.500%, 02/15/19	3,485,625	0.1
2,375,000	#,L	Sirius XM Radio, Inc., 9.750%, 09/01/15	2,529,375	0.1
^EUR2,000,000	#	Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH, 7.500%, 03/15/19	2,644,900	0.1
1,300,000	#	Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH, 7.500%, 03/15/19	1,384,500	0.0
35,782,039		Univision Communications, Inc., 4.495%, 03/31/17	33,802,863	0.8
825,000	#	Univision Communications, Inc., 7.875%, 11/01/20	886,875	0.0
^EUR4,010,000	#	UPC Germany GmbH, 8.125%, 12/01/17	5,455,264	0.1
			279,507,518	6.8

		Consumer Staples: 0.1%
3,000,000		Rite Aid Corp., 10.375%, 07/15/16	3,189,375	0.1

		Energy: 2.5%
2,625,000		Concho Resources, Inc., 5.500%	2,611,875	0.1
2,120,000		Consol Energy, Inc., 8.250%, 04/01/20	2,236,600	0.1
16,715,000		Consol Energy, Inc., 8.000%, 04/01/17	17,425,388	0.4
2,625,000		Denbury Resources, Inc., 8.250%, 02/15/20	2,887,500	0.1
525,000		Denbury Resources, Inc., 9.750%, 03/01/16	579,469	0.0
2,000,000		EP ENERGY TL 1L 5/1/18, 6.500%, 05/01/18	2,022,000	0.0
18,800,000		EQT Corp., 4.875%, 11/15/21	19,253,324	0.5
3,645,000		EQT Corp., 8.125%, 06/01/19	4,377,266	0.1
3,745,000		Equitable Resources, Inc., 6.500%, 04/01/18	4,264,604	0.1
2,500,000	#	Everest Acquisition LLC / Everest Acquisition Finance, Inc., 6.875%, 05/01/19	2,615,625	0.1
1,125,000	#	Laredo Petroleum, Inc., 7.375%, 05/01/22	1,172,812	0.0
4,404,000		Oil States International, Inc., 2.375%, 07/01/25	9,187,845	0.2
7,688,000	L	Peabody Energy Corp., 4.750%, 12/15/41	6,275,330	0.2

See Accompanying Notes to Financial Statements

ING T. ROWE PRICE

CAPITAL APPRECIATION PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


2,170,000	L	Peabody Energy Corp., 6.500%, 09/15/20	2,207,975	0.1
5,000,000	#	Peabody Energy Corp., 6.000%, 11/15/18	5,000,000	0.1
2,080,000		Peabody Energy Corp., 7.375%, 11/01/16	2,298,400	0.1
5,025,000		Plains Exploration & Production Co., 6.750%, 02/01/22	5,150,625	0.1
1,220,000		QEP Resources, Inc., 6.800%, 03/01/20	1,313,025	0.0
1,150,000		QEP Resources, Inc., 6.875%, 03/01/21	1,282,250	0.0
2,675,000		Range Resources Corp., 5.750%, 06/01/21	2,808,750	0.1
2,125,000		Range Resources Corp., 8.000%, 05/15/19	2,332,187	0.1
1,900,000	#	SM Energy Co., 6.500%, 01/01/23	1,916,625	0.0
1,425,000		Terra-Gen Finance Co. LLC, 06/22/17	1,425,000	0.0
850,000		Whiting Petroleum Corp., 6.500%, 10/01/18	909,500	0.0
			101,553,975	2.5

		Financials: 3.5%
450,000		American Tower Corp., 4.625%, 04/01/15	476,692	0.0
1,125,000	#,L	CIT Group, Inc., 5.250%, 04/01/14	1,170,000	0.0
1,650,000	#	CNH Capital LLC, 6.250%, 11/01/16	1,773,750	0.1
750,000		Delos Aircraft, Inc. - TL 2, 4.750%, 03/17/16	754,688	0.0
5,650,000		Flying Fortress, Inc., 5.000%, 02/23/17	5,685,312	0.1
3,850,000		Ford Motor Credit Co., LLC, 6.625%, 08/15/17	4,386,012	0.1
4,400,000		Ford Motor Credit Co., LLC, 8.000%, 06/01/14	4,883,520	0.1
4,500,000		Ford Motor Credit Co. LLC, 2.750%, 05/15/15	4,540,239	0.1
10,660,000		Ford Motor Credit Co. LLC, 3.875%, 01/15/15	10,985,727	0.3
3,100,000		Ford Motor Credit Co. LLC, 4.250%, 02/03/17	3,254,237	0.1
3,750,000		Ford Motor Credit Co. LLC, 5.000%, 05/15/18	3,993,458	0.1
4,400,000		Ford Motor Credit Co. LLC, 7.000%, 10/01/13	4,706,178	0.1
4,225,000		Host Hotels & Resorts L.P., 5.875%, 06/15/19	4,584,125	0.1
14,435,000	#	International Lease Finance Corp., 6.500%, 09/01/14	15,301,100	0.4
5,475,000	#	International Lease Finance Corp., 6.750%, 09/01/16	5,913,000	0.2
8,985,000	#	International Lease Finance Corp., 7.125%, 09/01/18	9,950,888	0.3
5,125,000		Janus Capital Group, Inc., 6.700%, 06/15/17	5,505,557	0.1
3,355,000	#	Legg Mason, Inc., 5.500%, 05/21/19	3,399,397	0.1


5,495,931		Nuveen Investment, Inc., 5.970%, 05/13/17	5,414,866	0.1
4,450,000		Nuveen Investment, Inc., 8.250%, 03/01/19	4,466,688	0.1
4,703,629		Nuveen Investments, 5.966%, 11/13/14	4,677,877	0.1
6,293,912		Pinnacle Foods Finance LLC, 2.745%, 04/02/14	6,269,001	0.2
1,421,438		Pinnacle Foods Finance LLC - TL E, 4.750%, 09/16/18	1,415,219	0.0
210,000		Regions Bank/Birmingham AL, 7.500%, 05/15/18	236,775	0.0
9,123,564		Reynolds Group Holdings, 6.500%, 02/09/18	9,194,527	0.2
5,645,321		Reynolds Group Holdings, 6.500%, 08/09/18	5,689,230	0.2
245,000		Synovus Financial Corp., 5.125%, 06/15/17	226,625	0.0
4,170,000	#	UPCB Finance III Ltd., 6.625%, 07/01/20	4,253,400	0.1
5,375,000		Vantiv LLC - TL B, 3.750%, 03/20/19	5,368,281	0.1
3,172,954		WorldPay Ltd. - Term B, 5.250%, 11/30/17	3,173,948	0.1
			141,650,317	3.5

		Health Care: 0.4%
1,750,000	#	Fresenius Medical Care US Finance II, Inc., 5.625%, 07/31/19	1,828,750	0.0
1,000,000	#	Fresenius Medical Care US Finance II, Inc., 5.875%, 01/31/22	1,043,750	0.0
14,485,141		HCA, Inc., 1.495%, 11/16/12	14,471,568	0.4
			17,344,068	0.4

		Industrials: 1.6%
1,095,757		American Airlines Pass-Through Trust, 10.375%, 07/02/19	1,172,460	0.0
5,120,000		Continental Airlines 2012-1 Class A Pass Thru Trusts, 4.150%, 04/11/24	5,030,400	0.1
1,035,000		Continental Airlines 2012-1 Class B Pass Thru Trusts, 6.250%, 04/11/20	1,045,350	0.0
6,224,000		Continental Airlines, Inc., 4.500%, 01/15/15	9,157,060	0.2
2,250,000	#	Continental Airlines, Inc., 6.750%, 09/15/15	2,323,125	0.1
2,468,454		Continental Airlines 2009-1 Pass Through Trust, 9.000%, 07/08/16	2,826,380	0.1
1,789,965		Continental Airlines 2009-2 Class A Pass Through Trust, 7.250%, 11/10/19	2,018,185	0.1

See Accompanying Notes to Financial Statements

ING T. ROWE PRICE

CAPITAL APPRECIATION PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


2,008,052		Delta Air Lines 2009-1 Class A Pass Through Trust, 7.750%, 12/17/19	2,279,139	0.1
1,657,026		Delta Air Lines 2011-1 Pass Through Trust, 5.300%, 04/15/19	1,768,876	0.0
3,756,125		Fleetpride Corp. - TL B, 6.750%, 12/06/17	3,777,253	0.1
1,270,000		RBS Global, Inc. and Rexnord Corp., 8.500%, 05/01/18	1,384,300	0.0
11,175,000		Schaeffler AG, 6.000%, 01/27/17	11,192,388	0.3
4,915,000		Tyco Electronics Group S.A., 6.000%, 10/01/12	4,978,394	0.1
7,875,000		United Technologies Corp., 0.967%, 06/01/15	7,965,933	0.2
5,809,101		US Airways 2010-1 Class A Pass Through Trust, 6.250%, 04/22/23	6,099,556	0.2
835,406		US Airways 2010-1 Class B Pass Through Trust, 8.500%, 04/22/17	856,291	0.0
			63,875,090	1.6

		Information Technology: 1.8%
12,010,000	#	CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17	13,075,888	0.3
12,568,500		Colfax Corp. - TL B, 4.500%, 09/12/18	12,573,741	0.3
30,012,643		First Data Corp., 5.245%, 03/24/17	28,633,952	0.7
6,225,000	#	First Data Corp., 7.375%, 06/15/19	6,380,625	0.2
10,629,000		Xilinx, Inc., 3.125%, 03/15/37	12,728,227	0.3
			73,392,433	1.8

		Materials: 0.0%
1,325,000		Ball Corp., 7.375%, 09/01/19	1,470,750	0.0

		Telecommunication Services: 3.5%
3,695,000		British Telecommunications PLC, 1.593%, 12/20/13	3,717,806	0.1
2,500,000		British Telecommunications PLC, 2.000%, 06/22/15	2,536,535	0.1
3,430,000	L	Cricket Communications, Inc., 7.750%, 10/15/20	3,292,800	0.1
6,640,000		Crown Castle International Corp., 7.125%, 11/01/19	7,154,600	0.2
22,115,875		Crown Castle Operating Co., 4.000%, 01/31/19	21,793,757	0.5
43,787,009		Intelsat Jackson Holdings Ltd., 5.250%, 04/03/18	43,649,956	1.1
^CHF1,520,000	#	Matterhorn Mobile SA, 6.750%, 05/15/19	1,657,483	0.0


4,100,000		Nextel Communications, Inc., 5.950%, 03/15/14	4,125,625	0.1
2,656,000		SBA Communications Corp., 1.875%, 05/01/13	3,691,840	0.1
407,000		SBA Telecommunications, Inc., 8.250%, 08/15/19	447,700	0.0
545,000		SBA Telecommunications, Inc., 8.000%, 08/15/16	583,150	0.0
775,000		Sprint Capital Corp., 6.900%, 05/01/19	732,375	0.0
15,870,000	#	Sprint Nextel Corp., 9.000%, 11/15/18	17,774,400	0.4
1,060,000	#	Sprint Nextel Corp., 11.500%, 11/15/21	1,184,550	0.0
14,730,000		Telesat Canada, Inc. - B1, 4.250%, 03/08/19	14,601,112	0.4
7,985,000	#	UPCB Finance V Ltd., 7.250%, 11/15/21	8,384,250	0.2
7,125,000	#	UPCB Finance VI Ltd., 6.875%, 01/15/22	7,303,125	0.2
			142,631,064	3.5

		Utilities: 0.5%
7,875,000	#	Calpine Construction Finance Co. L.P., 8.000%, 06/01/16	8,544,375	0.2
3,150,000	#	Calpine Corp., 7.500%, 02/15/21	3,417,750	0.1
2,080,000		CMS Energy Corp., 6.550%, 07/17/17	2,368,502	0.1
970,000		CMS Energy Corp., 8.750%, 06/15/19	1,201,398	0.0
1,475,000		Nisource Finance Corp., 4.450%, 12/01/21	1,551,476	0.0
2,440,000		Otter Tail Corp., 9.000%, 12/15/16	2,659,600	0.1
			19,743,101	0.5

	Total Corporate Bonds/Notes (Cost $813,083,375)		844,357,691	20.7

	Total Long-Term Investments (Cost $3,107,833,758)		3,377,205,837	82.8

SHORT-TERM INVESTMENTS: 17.5%
		Securities Lending Collateral^cc⁽¹⁾: 0.5%
4,814,920		Cantor Fitzgerald, Repurchase Agreement dated 06/29/12, 0.23%, due 07/02/12 (Repurchase Amount $4,815,011, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%- 6.000%, Market Value plus accrued interest $4,911,218, due 04/20/61-05/15/42)	4,814,920	0.1

See Accompanying Notes to Financial Statements

ING T. ROWE PRICE

CAPITAL APPRECIATION PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


4,814,920		Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $4,814,999, collateralized by various U.S. Government Agency Obligations, 0.000%- 7.000%, Market Value plus accrued interest $4,911,218, due 07/01/42-02/20/61)		4,814,920		0.1
4,814,920		Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.15%, due 07/02/12 (Repurchase Amount $4,814,979, collateralized by various U.S. Government Securities, 0.375%, Market Value plus accrued interest $4,911,223, due 06/15/15)		4,814,920		0.1
4,814,920		Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $4,815,019, collateralized by various U.S. Government Agency Obligations, 0.000%- 9.500%, Market Value plus accrued interest $4,911,218, due 10/01/14-02/25/44)		4,814,920		0.1
1,013,667		UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,013,684, collateralized by various U.S. Government Agency Obligations, 3.000%- 6.500%, Market Value plus accrued interest $1,033,940, due 07/01/21-04/01/42)		1,013,667		0.1
				20,273,347		0.5

Shares			Value		Percentage of Net Assets
		Mutual Funds: 17.0%
691,496,682		T. Rowe Price Reserve Investment Fund (Cost $691,496,682)		691,496,682		17.0
	Total Short-Term Investments (Cost $711,770,029)			711,770,029		17.5

Total Investments in Securities
(Cost $3,819,603,787)

4,088,975,866

100.3

Liabilities in Excess of Other Assets

(11,234,381

)

(0.3

)

Net Assets

4,077,741,485

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

#	Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.

@	Non-income producing security & Payment-in-kind

P	Preferred Stock may be called prior to convertible date.

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.

CHF	Swiss Franc

EUR

EU Euro

Cost for federal income tax purposes is $3,821,386,903.

Net unrealized appreciation consists of:



Gross Unrealized Appreciation	$	340,516,286
Gross Unrealized Depreciation		(72,927,323	)


Net Unrealized Appreciation	$	267,588,963

See Accompanying Notes to Financial Statements

ING T. ROWE PRICE

CAPITAL APPRECIATION PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock*	$	2,449,065,793	$	–	$	–	$	2,449,065,793
Preferred Stock		16,520,320		67,262,033		–		83,782,353
Corporate Bonds/Notes		–		844,357,691		–		844,357,691
Short-Term Investments		691,496,682		20,273,347		–		711,770,029

Total Investments, at fair value	$	3,157,082,795	$	931,893,071	$	–	$	4,088,975,866

Liabilities Table
Other Financial Instruments+
Written Options	$	(23,229,043)	$	–	$	–	$	(23,229,043)

Total Liabilities	$	(23,229,043)	$	–	$	–	$	(23,229,043)

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

ING T. Rowe Price Capital Appreciation Portfolio Written Options Open on June 30, 2012:

Exchange-Traded Options


Description/Name of Issuer	Exercise Price	Expiration Date		# of Contracts	Premiums Received		Value
Accenture PLC	65.00		01/19/13	1,777	$	690,290		$ (293,205)
AT&T, Inc.	30.00		01/19/13	6,550		989,350		(3,674,550)
AT&T, Inc.	32.00		01/19/13	7,878		571,342		(2,914,860)
AT&T, Inc.	34.00		01/19/13	4,485		586,759		(964,275)
AT&T, Inc.	35.00		01/19/13	4,485		407,405		(672,750)
Cisco Systems, Inc.	17.50		01/19/13	3,805		357,662		(437,575)
Cisco Systems, Inc.	22.00		01/19/13	3,694		310,658		(44,328)
Covidien PLC	50.00		07/21/12	3,567		663,472		(1,248,450)
Dell, Inc.	17.50		01/19/13	6,391		824,423		(63,910)
EOG Resources, Inc.	110.00		01/19/13	158		146,463		(42,660)
EOG Resources, Inc.	115.00		01/19/13	158		115,653		(29,467)
Express Scripts, Inc.	60.00		01/19/13	49		14,651		(12,593)
Ingersoll-Rand PLC	40.00		01/19/13	2,744		879,932		(1,426,880)
JPMorgan Chase & Co.	45.00		09/22/12	1,643		299,315		(16,430)
JPMorgan Chase & Co.	46.00		09/22/12	1,643		233,876		(13,144)
JPMorgan Chase & Co.	50.00		01/19/13	6,482		1,242,486		(97,230)
Kohl’s Corp.	45.00		10/20/12	618		184,040		(177,675)
Kohl’s Corp.	47.00		10/20/12	618		128,359		(114,330)
Kohl’s Corp.	48.00		10/20/12	618		103,577		(88,065)
Kohl’s Corp.	52.50		01/19/13	1,242		233,869		(111,780)
Kohl’s Corp.	55.00		10/20/12	1,662		208,386		(20,775)
Kohl’s Corp.	55.00		01/19/13	1,242		345,649		(62,100)
Microsoft Corp.	30.00		01/19/13	3,576		532,813		(797,448)
PepsiCo, Inc.	70.00		01/19/13	473		117,864		(132,913)
PepsiCo, Inc.	72.50		01/19/13	468		77,246		(72,072)
Pfizer, Inc.	22.50		01/20/13	32,616		3,955,063		(4,207,464)
Pfizer, Inc.	24.00		01/19/13	11,792		806,228		(624,976)
Philip Morris International, Inc.	85.00		01/19/13	797		196,201		(462,260)
Philip Morris International, Inc.	90.00		01/19/13	798		102,323		(232,218)
Procter & Gamble Co.	70.00		01/19/13	548		98,731		(18,632)
Schlumberger Ltd.	75.00		01/19/13	1,789		1,428,821		(381,057)
Texas Instruments, Inc.	40.00		01/19/13	1,803		153,306		(6,311)
Walt Disney Co.	45.00		10/20/12	1,424		288,083		(662,160)
Walt Disney Co.	45.00		01/19/13	1,454		365,876		(796,792)
Walt Disney Co.	46.00		10/20/12	1,424		218,778		(562,480)

See Accompanying Notes to Financial Statements

ING T. ROWE PRICE

CAPITAL APPRECIATION PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Walt Disney Co.	46.00	01/19/13	1,454		320,033		(686,288	)
Walt Disney Co.	47.00	10/20/12	1,424		164,226		(462,800	)
Walt Disney Co.	47.00	01/19/13	1,454		261,380		(596,140	)

				$	18,624,589	$	(23,229,043)

A summary of derivative instruments by primary risk exposure is outlined in the following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities	Fair Value

Liability Derivatives

Equity contracts	Written options, at fair value	$	23,229,043

Total Liability Derivatives		$	23,229,043

The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2012 was as follows:


	Amount of Realized Gain or (Loss) on Derivatives Recognized in Income

Derivatives not accounted for as hedging instruments		Written options

Foreign exchange contracts
Equity contracts		$	604,399

Total		$	604,399


Derivatives not accounted for as hedging instruments		Written options

Foreign exchange contracts
Equity contracts		$	16,938,091

Total		$	16,938,091

See Accompanying Notes to Financial Statements

ING T. ROWE PRICE EQUITY INCOME

PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 96.2%
		Consumer Discretionary: 11.6%
362,700		Cablevision Systems Corp.		4,820,283		0.3
202,300		Carnival Corp.		6,932,821		0.5
279,700		Comcast Corp. – Class A		8,942,009		0.6
146,300	@	General Motors Co.		2,885,036		0.2
125,700		Genuine Parts Co.		7,573,425		0.5
90,600		Harley-Davidson, Inc.		4,143,138		0.3
140,600		Hasbro, Inc.		4,762,122		0.3
269,700		Kohl’s Corp.		12,268,653		0.9
236,100		Macy’s, Inc.		8,110,035		0.6
118,075	@	The Madison Square Garden, Inc.		4,420,728		0.3
176,725		Marriott International, Inc.		6,927,620		0.5
425,100		Mattel, Inc.		13,790,244		1.0
270,800		McGraw-Hill Cos., Inc.		12,186,000		0.8
456,900	@	New York Times Co.		3,563,820		0.3
682,900		Staples, Inc.		8,911,845		0.6
12,200		Tiffany & Co.		645,990		0.0
527,066		Time Warner, Inc.		20,292,041		1.4
387,700		Walt Disney Co.		18,803,450		1.3
218,300		Whirlpool Corp.		13,351,228		0.9
345,419		WPP PLC		4,193,289		0.3
				167,523,777		11.6

		Consumer Staples: 7.3%
365,200		Archer-Daniels- Midland Co.		10,780,704		0.8
544,100		Avon Products, Inc.		8,819,861		0.6
367,100		Campbell Soup Co.		12,253,798		0.9
208,500		Clorox Co.		15,107,910		1.1
352,500		ConAgra Foods, Inc.		9,140,325		0.6
63,500		Kellogg Co.		3,132,455		0.2
196,600		Kimberly-Clark Corp.		16,469,182		1.1
122,600		McCormick & Co., Inc.		7,435,690		0.5
123,600		Molson Coors Brewing Co.		5,142,996		0.4
191,700		PepsiCo, Inc.		13,545,522		0.9
54,000		Procter & Gamble Co.		3,307,500		0.2
				105,135,943		7.3

		Energy: 12.9%
204,700		Anadarko Petroleum Corp.		13,551,140		1.0
213,624		BP PLC ADR		8,660,317		0.6
371,890		Chevron Corp.		39,234,395		2.7
106,400		ConocoPhillips		5,945,632		0.4
317,700		Consol Energy, Inc.		9,607,248		0.7
170,200		Diamond Offshore Drilling		10,063,926		0.7
384,424		ExxonMobil Corp.		32,895,162		2.3
64,400		Hess Corp.		2,798,180		0.2
296,800		Murphy Oil Corp.		14,926,072		1.0
161,400		Petroleo Brasileiro SA ADR		3,029,478		0.2
368,900		Royal Dutch Shell PLC - Class A ADR		24,874,927		1.7
197,600		Schlumberger Ltd.		12,826,216		0.9
206,050		Spectra Energy Corp.		5,987,813		0.4


44,800		Valero Energy Corp.	1,081,920	0.1
			185,482,426	12.9

		Financials: 19.9%
510,100		Allstate Corp.	17,899,409	1.2
453,100		American Express Co.	26,374,951	1.8
1,669,919		Bank of America Corp.	13,659,938	1.0
375,100		Bank of New York Mellon Corp.	8,233,445	0.6
203,800		Capital One Financial Corp.	11,139,708	0.8
95,300		Chubb Corp.	6,939,746	0.5
925,544		JPMorgan Chase & Co.	33,069,687	2.3
382,400		Legg Mason, Inc.	10,083,888	0.7
307,877		Lincoln National Corp.	6,733,270	0.5
110,500		Loews Corp.	4,520,555	0.3
490,600		Marsh & McLennan Cos., Inc.	15,812,038	1.1
222,700		Morgan Stanley	3,249,193	0.2
276,800		Northern Trust Corp.	12,738,336	0.9
184,500		NYSE Euronext	4,719,510	0.3
208,900		PNC Financial Services Group, Inc.	12,765,879	0.9
708,700		Regions Financial Corp.	4,783,725	0.3
686,100		SLM Corp.	10,778,631	0.7
241,200		Sun Life Financial, Inc.	5,248,512	0.4
459,600		SunTrust Bank	11,136,108	0.8
784,700		US Bancorp.	25,235,952	1.8
852,500		Wells Fargo & Co.	28,507,600	2.0
414,251		Weyerhaeuser Co.	9,262,652	0.6
164,500		XL Group PLC	3,461,080	0.2
			286,353,813	19.9

		Health Care: 7.3%
159,600		Amgen, Inc.	11,657,184	0.8
377,500		Bristol-Myers Squibb Co.	13,571,125	0.9
293,700		Johnson & Johnson	19,842,372	1.4
426,400		Merck & Co., Inc.	17,802,200	1.2
787,376		Pfizer, Inc.	18,109,648	1.3
132,300		Quest Diagnostics	7,924,770	0.6
317,600		Thermo Fisher Scientific, Inc.	16,486,616	1.1
			105,393,915	7.3

		Industrials: 13.7%
232,400		3M Co.	20,823,040	1.4
185,300		Avery Dennison Corp.	5,066,102	0.3
172,300		Boeing Co.	12,801,890	0.9
224,800		Cooper Industries PLC	15,326,864	1.1
300,400		Emerson Electric Co.	13,992,632	1.0
2,013,600		General Electric Co.	41,963,424	2.9
284,200		Honeywell International, Inc.	15,869,728	1.1
320,100		Illinois Tool Works, Inc.	16,930,089	1.2
202,900		Ingersoll-Rand PLC	8,558,322	0.6
86,650		ITT Corp.	1,525,040	0.1
81,800		Lockheed Martin Corp.	7,123,144	0.5
491,200		Masco Corp.	6,812,944	0.5
296,900	@	United Continental Holdings, Inc.	7,223,577	0.5
195,200		United Parcel Service, Inc. - Class B	15,373,952	1.1
165,900	@,L	USG Corp.	3,160,395	0.2

See Accompanying Notes to Financial Statements

ING T. ROWE PRICE EQUITY INCOME

PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


173,300		Xylem, Inc.	4,361,961	0.3
			196,913,104	13.7

		Information Technology: 7.0%
265,300		Analog Devices, Inc.	9,993,851	0.7
727,200		Applied Materials, Inc.	8,333,712	0.6
632,300		Cisco Systems, Inc.	10,856,591	0.7
386,600		Computer Sciences Corp.	9,595,412	0.7
514,900		Corning, Inc.	6,657,657	0.5
383,700	@	Dell, Inc.	4,803,924	0.3
70,600	@,L	First Solar, Inc.	1,063,236	0.1
340,400		Harris Corp.	14,245,740	1.0
319,500		Hewlett-Packard Co.	6,425,145	0.4
690,800		Microsoft Corp.	21,131,572	1.5
803,900	L	Nokia OYJ ADR	1,664,073	0.1
180,000		Texas Instruments, Inc.	5,164,200	0.4
			99,935,113	7.0

		Materials: 5.3%
153,000		EI Du Pont de Nemours & Co.	7,737,210	0.5
104,000		International Flavors & Fragrances, Inc.	5,699,200	0.4
563,293		International Paper Co.	16,284,801	1.1
252,300		MeadWestvaco Corp.	7,253,625	0.5
190,000		Monsanto Co.	15,728,200	1.1
359,900		Nucor Corp.	13,640,210	1.0
255,000		Vulcan Materials Co.	10,126,050	0.7
			76,469,296	5.3

		Telecommunication Services: 4.3%
828,503		AT&T, Inc.	29,544,417	2.0
223,110		CenturyTel, Inc.	8,810,614	0.6
315,596		Telefonica S.A.	4,154,339	0.3
317,450		Verizon Communications, Inc.	14,107,478	1.0
2,007,334		Vodafone Group PLC	5,642,111	0.4
			62,258,959	4.3

		Utilities: 6.9%
412,200		Duke Energy Corp.	9,505,332	0.7
237,500		Entergy Corp.	16,123,875	1.1
381,100		Exelon Corp.	14,336,982	1.0
144,900		FirstEnergy Corp.	7,127,631	0.5
644,400		NiSource, Inc.	15,948,900	1.1
155,000		Pinnacle West Capital Corp.	8,019,700	0.6
74,100		PPL Corp.	2,060,721	0.1
201,500		Progress Energy, Inc.	12,124,255	0.8
162,400		TECO Energy, Inc.	2,932,944	0.2
376,500		Xcel Energy, Inc.	10,696,365	0.8
			98,876,705	6.9

	Total Common Stock (Cost $1,237,898,158)		1,384,343,051	96.2

PREFERRED STOCK: 0.6%
		Consumer Discretionary: 0.6%
249,450	@	General Motors Co.	8,281,740	0.6

	Total Preferred Stock (Cost $12,600,169)		8,281,740	0.6

	Total Long-Term Investments (Cost $1,250,498,327)		1,392,624,791	96.8


Principal Amount†		Value		Percentage of Net Assets
SHORT-TERM INVESTMENTS: 3.4%
	Securities Lending Collateral^cc⁽¹⁾: 0.4%
1,405,141	BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $1,405,163, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $1,433,244, due 05/01/32-06/01/42)		1,405,141		0.1
1,405,141	Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,405,164, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $1,433,244, due 07/01/42-02/20/61)		1,405,141		0.1
1,405,141	Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $1,405,162, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $1,433,244, due 04/01/24-06/01/42)		1,405,141		0.1
1,405,141	Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $1,405,170, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $1,433,244, due 10/01/14-02/25/44)		1,405,141		0.1

See Accompanying Notes to Financial Statements


ING T. ROWE PRICE EQUITY INCOME PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING T. ROWE PRICE EQUITY INCOME PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

295,817

UBS Warburg LLC,
Repurchase
Agreement dated
06/29/12, 0.20%,
due 07/02/12
(Repurchase
Amount $295,822,
collateralized by
various U.S.
Government
Agency Obligations,
3.000%- 6.500%,
Market Value plus
accrued interest
$301,733, due
07/01/21-04/01/42)

295,817

0.0

5,916,381

0.4

Shares

Value

Percentage
of Net
Assets

Mutual Funds: 3.0%

43,280,878

T. Rowe Price Reserve Investment Fund
(Cost $43,280,878)

43,280,878

3.0

Total Short-Term Investments
(Cost $49,197,259)

49,197,259

3.4

Total Investments in Securities
(Cost $1,299,695,586)

1,441,822,050

100.2

Liabilities in Excess of Other Assets

(3,235,857

)

(0.2

)

Net Assets

1,438,586,193

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

@	Non-income producing security

ADR	American Depositary Receipt

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.


Cost for federal income tax purposes is $1,313,948,091.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation	$	260,267,498
Gross Unrealized Depreciation		(132,393,539	)


Net Unrealized Appreciation	$	127,873,959

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)	Significant Other Observable Inputs # (Level 2)	Significant Unobservable Inputs (Level 3)	Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock

See Accompanying Notes to Financial Statements

ING T. ROWE PRICE EQUITY INCOME

PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Consumer Discretionary	$	163,330,488	$	4,193,289	$	–	$	167,523,777
Consumer Staples		105,135,943		–		–		105,135,943
Energy		185,482,426		–		–		185,482,426
Financials		286,353,813		–		–		286,353,813
Health Care		105,393,915		–		–		105,393,915
Industrials		196,913,104		–		–		196,913,104
Information Technology		99,935,113		–		–		99,935,113
Materials		76,469,296		–		–		76,469,296
Telecommunication Services		52,462,509		9,796,450		–		62,258,959
Utilities		98,876,705		–		–		98,876,705

Total Common Stock		1,370,353,312		13,989,739		–		1,384,343,051

Preferred Stock		8,281,740		–		–		8,281,740
Short-Term Investments		43,280,878		5,916,381		–		49,197,259

Total Investments, at fair value	$	1,421,915,930	$	19,906,120	$	–	$	1,441,822,050

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements


ING T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 97.4%
		Australia: 2.8%
313,460		Amcor Ltd.		2,288,288		1.0
210,515		Asciano Group		945,550		0.4
26,210		CSL Ltd.		1,063,122		0.5
37,405		Macquarie Group Ltd.		1,010,080		0.4
44,384		WorleyParsons Ltd.		1,152,506		0.5
				6,459,546		2.8

		Belgium: 1.4%
39,489		Anheuser-Busch InBev NV		3,113,369		1.4

		Brazil: 5.2%
254,600		Banco Santander Brasil SA ADR		1,973,150		0.9
345,400		BM&F Bovespa S.A.		1,742,047		0.8
175,100		Itau Unibanco Holding S.A.		2,447,128		1.1
66,400		Lojas Renner SA		1,856,291		0.8
578,900		PDG Realty SA Empreendimentos e Participacoes		1,017,435		0.4
91,000		Petroleo Brasileiro SA ADR		1,650,740		0.7
107,300		Raia Drogasil SA		1,073,801		0.5
				11,760,592		5.2

		Canada: 4.3%
154,600		Eldorado Gold Corp.		1,904,218		0.8
62,200		Potash Corp. of Saskatchewan		2,717,518		1.2
39,700	L	Shoppers Drug Mart Corp.		1,600,712		0.7
33,200		Suncor Energy, Inc.		961,140		0.4
49,000		Tim Hortons, Inc.		2,583,076		1.2
				9,766,664		4.3

		China: 9.0%
38,900	@	Baidu.com ADR		4,472,722		2.0
983,000		Belle International Holdings		1,684,036		0.7
2,335,000		China Construction Bank		1,613,192		0.7
950,000		China Unicom Ltd.		1,194,607		0.5
4,524,000		GOME Electrical Appliances Holdings Ltd.		605,282		0.3
115,000		Hengan International Group Co., Ltd.		1,120,233		0.5
72,500		New Oriental Education & Technology Group ADR		1,776,250		0.8
1,775,500	L	Parkson Retail Group Ltd.		1,586,064		0.7
138,500		Ping An Insurance Group Co. of China Ltd.		1,119,892		0.5
587,100		Shanghai Pharmaceuticals Holding Co. Ltd.		737,983		0.3
74,800		Tencent Holdings Ltd.		2,208,940		1.0
24,500	@	Tudou Holdings Ltd. ADR		821,240		0.3


1,208,000		Want Want China Holdings Ltd.	1,493,861	0.7
			20,434,302	9.0

		Denmark: 2.0%
25,416		Carlsberg A/S	2,006,155	0.9
16,947		Novo-Nordisk A/S	2,457,940	1.1
			4,464,095	2.0

		France: 6.0%
20,055		Air Liquide	2,292,864	1.0
196,319		AXA S.A.	2,624,537	1.2
55,067		Eutelsat Communications	1,693,961	0.7
25,241		Groupe Danone	1,568,646	0.7
22,874	L	Pernod-Ricard S.A.	2,445,971	1.1
51,386		Schneider Electric S.A.	2,856,231	1.3
			13,482,210	6.0

		Germany: 4.7%
14,816		Adidas AG	1,061,983	0.5
26,081		Brenntag AG	2,886,324	1.3
28,897		Deutsche Boerse AG	1,559,027	0.7
24,111		Fresenius AG	2,496,404	1.1
30,280		Henkel KGaA - Vorzug	2,011,985	0.9
16,962		Software AG	526,973	0.2
			10,542,696	4.7

		Hong Kong: 3.6%
813,200		AIA Group Ltd.	2,808,841	1.2
577,000		Hang Lung Properties Ltd.	1,973,697	0.9
526,500		Kerry Properties Ltd.	2,265,620	1.0
592,000		Li & Fung Ltd.	1,146,261	0.5
			8,194,419	3.6

		India: 1.2%
76,279		Axis Bank Ltd. GDR	1,422,415	0.6
27,000	L	Infosys Ltd. ADR	1,216,620	0.6
			2,639,035	1.2

		Indonesia: 1.1%
933,500		Bank Mandiri Persero TBK PT	724,327	0.3
1,078,500	@	Sarana Menara Nusantara PT	1,779,798	0.8
			2,504,125	1.1

		Ireland: 0.8%
30,900		Accenture PLC	1,856,781	0.8

		Italy: 0.5%
161,100	L	Prada SpA	1,087,084	0.5

		Japan: 10.4%
64,200		Bridgestone Corp.	1,474,295	0.7
68,800		Honda Motor Co., Ltd.	2,400,814	1.1
317		Inpex Holdings, Inc.	1,780,431	0.8
2,495		Jupiter Telecommunications Co.	2,543,848	1.1
142,700		Mitsui & Co., Ltd.	2,120,501	0.9
123,000		Mitsui Fudosan Co., Ltd.	2,386,549	1.1
36,400		Nippon Telegraph & Telephone Corp.	1,697,351	0.7
28,700		Sankyo Co., Ltd.	1,400,537	0.6
77,300		Softbank Corp.	2,877,390	1.3

See Accompanying Notes to Financial Statements


ING T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


158,000		Sony Financial Holdings, Inc.	2,578,828	1.1
48,900		Tokyo Electron Ltd.	2,293,161	1.0
			23,553,705	10.4

		Luxembourg: 0.0%
8,633	@	Veripos, Inc.	2,320	0.0

		Malaysia: 0.6%
563,400		CIMB Group Holdings Bhd	1,350,131	0.6

		Mexico: 0.4%
36,950		Fresnillo PLC	846,372	0.4

		Netherlands: 2.1%
29,915		ASML Holding NV	1,536,321	0.7
89,489		Royal Dutch Shell PLC - Class B	3,125,281	1.4
			4,661,602	2.1

		Norway: 0.8%
90,126	@	Acergy S.A.	1,783,603	0.8

		Portugal: 0.6%
74,940		Jeronimo Martins	1,266,997	0.6

		Russia: 1.2%
137,393		Sberbank of Russia ADR	1,476,975	0.6
58,193	@	X5 Retail Group N.V. GDR	1,331,157	0.6
			2,808,132	1.2

		Singapore: 0.6%
969,000		CapitaMall Trust	1,467,735	0.6

		South Korea: 2.3%
7,242		Hyundai Mobis	1,755,433	0.8
3,226		Samsung Electronics Co., Ltd.	3,416,294	1.5
			5,171,727	2.3

		Spain: 0.5%
79,992		Telefonica S.A.	1,052,972	0.5

		Sweden: 1.2%
43,487		Assa Abloy AB	1,214,420	0.5
71,696		Atlas Copco AB - Class A	1,542,954	0.7
			2,757,374	1.2

		Switzerland: 6.6%
83,664	@	ABB Ltd.	1,366,082	0.6
58,913		Cie Financiere Richemont SA	3,234,901	1.4
139,464	@	Credit Suisse Group	2,551,779	1.1
50,086	@	Julius Baer Group Ltd.	1,815,953	0.8
18,141		Kuehne & Nagel International AG	1,921,915	0.9
15,316		Nestle S.A.	914,026	0.4
880		SGS S.A.	1,649,974	0.7
15,726	@	Sonova Holding AG - Reg	1,521,092	0.7
			14,975,722	6.6


		Taiwan: 1.1%
335,000		Synnex Technology International Corp.	819,817	0.4
585,000		Taiwan Semiconductor Manufacturing Co., Ltd.	1,601,419	0.7
			2,421,236	1.1

		Turkey: 1.0%
27,312		BIM Birlesik Magazalar AS	1,127,476	0.5
320,467		Turkiye Garanti Bankasi A/S	1,261,520	0.5
			2,388,996	1.0

		United Arab Emirates: 0.8%
162,708	@	DP World Ltd.	1,735,446	0.8

		United Kingdom: 18.9%
52,509		Anglo American PLC	1,725,721	0.8
90,996		Antofagasta PLC	1,556,562	0.7
145,470		ARM Holdings PLC	1,152,500	0.5
108,295		BG Group PLC	2,216,952	1.0
76,800		BHP Billiton PLC	2,182,837	1.0
204,419		British Sky Broadcasting PLC	2,228,549	1.0
20,300		Burberry Group PLC	422,661	0.2
206,090		Capita Group PLC	2,117,698	0.9
262,535		Compass Group PLC	2,755,830	1.2
190,806		Experian Group Ltd.	2,691,914	1.2
125,055		GlaxoSmithKline PLC	2,840,497	1.3
202,983		HSBC Holdings PLC	1,788,649	0.8
48,964		Intertek Group PLC	2,051,383	0.9
212,006	@	Rolls-Royce Holdings PLC	2,857,356	1.3
23,940,524	@	Rolls-Royce Holdings PLC C Share	37,494	0.0
27,532		SABMiller PLC	1,104,616	0.5
203,113		Serco Group PLC	1,705,746	0.7
136,411		Standard Chartered PLC	2,963,246	1.3
375,442		Tesco PLC	1,824,577	0.8
92,569		Tullow Oil PLC	2,139,502	0.9
363,151		WPP PLC	4,408,551	1.9
			42,772,841	18.9

		United States: 5.7%
81,600		Carnival Corp.	2,796,432	1.2
25,300		Las Vegas Sands Corp.	1,100,297	0.5
61,100	@	Liberty Global, Inc.	3,032,393	1.3
78,700	@	NII Holdings, Inc.	805,101	0.4
17,165	@,X	Peixe Urbano, Inc.	565,087	0.3
3,500	@	Priceline.com, Inc.	2,325,820	1.0
34,200		Schlumberger Ltd.	2,219,922	1.0
			12,845,052	5.7

	Total Common Stock (Cost $234,786,039)		220,166,881	97.4

See Accompanying Notes to Financial Statements


ING T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO		PORTFOLIO OF INVESTMENTS
ING T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

PREFERRED STOCK: 0.1%

United States: 0.1%

3,895

Peixe Urbano, Inc.

128,227

0.1

Total Preferred Stock
(Cost $128,227)

128,227

0.1

Total Long-Term Investments
(Cost $234,914,266)

220,295,108

97.5

Principal
Amount†

Value

Percentage
of Net
Assets

SHORT-TERM INVESTMENTS: 4.7%

Securities Lending Collateral^cc⁽¹⁾: 2.8%

1,519,188

BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $1,519,212, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $1,549,572, due 05/01/32-06/01/42)

1,519,188

0.7

1,519,188

Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,519,213, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $1,549,572, due 07/01/42-02/20/61)

1,519,188

0.7

1,519,188

Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $1,519,210, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $1,549,572, due 04/01/24-06/01/42)

1,519,188

0.6

1,519,188

Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $1,519,219, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $1,549,572, due 10/01/14-02/25/44)

1,519,188

0.7

319,827

UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $319,832, collateralized by various U.S. Government Agency Obligations, 3.000%- 6.500%, Market Value plus accrued interest $326,224, due 07/01/21-04/01/42)

319,827

0.1

6,396,579

2.8

Shares

Value

Percentage
of Net
Assets

Mutual Funds: 1.9%

4,174,652

T. Rowe Price Reserve Investment Fund
(Cost $4,174,652)

4,174,652

1.9

Total Short-Term Investments
(Cost $10,571,231)

10,571,231

4.7

Total Investments in Securities
(Cost $245,485,497)

230,866,339

102.2

Liabilities in Excess of Other Assets

(4,932,420)

(2.2)

Net Assets

225,933,919

100.0

†

Unless otherwise indicated, principal amount is shown in USD.

Non-income producing security

ADR

American Depositary Receipt GDR Global Depositary Receipt cc Securities purchased with cash collateral for securities loaned.

Loaned security, a portion or all of the security is on loan at June 30, 2012.

Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees.

(1)

Collateral received from brokers for securities lending was invested into these short-term investments.

Cost for federal income tax purposes is $247,301,677.


Net unrealized depreciation consists of:

Gross Unrealized Appreciation	$	13,116,844
Gross Unrealized Depreciation		(29,552,182	)


Net Unrealized Depreciation	$	(16,435,338	)


Sector Diversification	Percentage of Net Assets
Consumer Discretionary		21.5	%
Consumer Staples		10.8
Energy		7.5
Financials		18.8
Health Care		5.0
Industrials		13.9
Information Technology		9.7

See Accompanying Notes to Financial Statements

ING T. ROWE PRICE INTERNATIONAL

STOCK PORTFOLIO

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Materials			6.9
Telecommunication Services			3.4
Short-Term Investments			4.7
Liabilities in Excess of Other Assets			(2.2)

Net Assets			100.0%

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Australia	$	–	$	6,459,546	$	–	$	6,459,546
Belgium		–		3,113,369		–		3,113,369
Brazil		11,760,592		–		–		11,760,592
Canada		9,766,664		–		–		9,766,664
China		7,070,212		13,364,090		–		20,434,302
Denmark		–		4,464,095		–		4,464,095
France		–		13,482,210		–		13,482,210
Germany		–		10,542,696		–		10,542,696
Hong Kong		–		8,194,419		–		8,194,419
India		1,216,620		1,422,415		–		2,639,035
Indonesia		1,779,798		724,327		–		2,504,125
Ireland		1,856,781		–		–		1,856,781
Italy		–		1,087,084		–		1,087,084
Japan		2,543,848		21,009,857		–		23,553,705
Luxembourg		–		2,320		–		2,320
Malaysia		–		1,350,131		–		1,350,131
Mexico		–		846,372		–		846,372
Netherlands		–		4,661,602		–		4,661,602
Norway		–		1,783,603		–		1,783,603
Portugal		–		1,266,997		–		1,266,997
Russia		1,476,975		1,331,157		–		2,808,132
Singapore		–		1,467,735		–		1,467,735
South Korea		–		5,171,727		–		5,171,727
Spain		–		1,052,972		–		1,052,972
Sweden		–		2,757,374		–		2,757,374
Switzerland		–		14,975,722		–		14,975,722
Taiwan		–		2,421,236		–		2,421,236
Turkey		–		2,388,996		–		2,388,996
United Arab Emirates		–		1,735,446		–		1,735,446
United Kingdom		–		42,772,841		–		42,772,841
United States		12,279,965		–		565,087		12,845,052

Total Common Stock		49,751,455		169,850,339		565,087		220,166,881

Preferred Stock		–		128,227		–		128,227
Short-Term Investments		4,174,652		6,396,579		–		10,571,231

Total Investments, at fair value	$	53,926,107	$	176,375,145	$	565,087	$	230,866,339

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING BlackRock Large Cap

PORTFOLIO OF INVESTMENTS

Growth Portfolio

AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 97.6%
		Consumer Discretionary: 18.9%
48,450		Advance Auto Parts, Inc.		3,305,259		1.0
106,200	@	Apollo Group, Inc. - Class A		3,843,378		1.1
96,950	@	Big Lots, Inc.		3,954,591		1.1
125,800		Brinker International, Inc.		4,009,246		1.2
116,550	@	DIRECTV		5,689,971		1.7
124,750		Dish Network Corp. - Class A		3,561,613		1.0
26,800	@	Dollar Tree, Inc.		1,441,840		0.4
87,600		Expedia, Inc.		4,210,932		1.2
218,750		H&R Block, Inc.		3,495,625		1.0
334,150		Interpublic Group of Cos., Inc.		3,625,527		1.1
55,873	@,L	ITT Educational Services, Inc.		3,394,285		1.0
101,050		Macy’s, Inc.		3,471,067		1.0
54,700		Marriott International, Inc.		2,144,240		0.6
91,850		McGraw-Hill Cos., Inc.		4,133,250		1.2
79,400		Nordstrom, Inc.		3,945,386		1.1
59,800		Petsmart, Inc.		4,077,164		1.2
20,600		Polaris Industries, Inc.		1,472,488		0.4
64,950		Time Warner Cable, Inc.		5,332,395		1.5
10,350		TJX Cos., Inc.		444,325		0.1
				65,552,582		18.9

		Consumer Staples: 8.2%
51,700		Coca-Cola Co.		4,042,423		1.2
16,500		Herbalife Ltd.		797,445		0.2
186,750		Kroger Co.		4,330,732		1.2
125,800		Philip Morris International, Inc.		10,977,308		3.2
117,500		Wal-Mart Stores, Inc.		8,192,100		2.4
				28,340,008		8.2

		Energy: 4.9%
47,400		Apache Corp.		4,165,986		1.2
41,250		Chevron Corp.		4,351,875		1.3
217,600	@	Denbury Resources, Inc.		3,287,936		0.9
40,750		ExxonMobil Corp.		3,486,977		1.0
61,850		Marathon Oil Corp.		1,581,505		0.5
				16,874,279		4.9

		Financials: 1.2%
119,650		Discover Financial Services		4,137,497		1.2

		Health Care: 15.4%
131,000		Abbott Laboratories		8,445,570		2.4
68,050		Aetna, Inc.		2,638,299		0.8
115,550		AmerisourceBergen Corp.		4,546,893		1.3
69,150		Bristol-Myers Squibb Co.		2,485,942		0.7
101,050		Cardinal Health, Inc.		4,244,100		1.2


21,650	@	Charles River Laboratories International, Inc.	709,254	0.2
104,150		Eli Lilly & Co.	4,469,076	1.3
144,350		HCA Holdings, Inc.	4,392,570	1.3
23,700	@	Idexx Laboratories, Inc.	2,278,281	0.7
57,750		McKesson Corp.	5,414,063	1.6
44,300	@	Myriad Genetics, Inc.	1,053,011	0.3
111,400		Patterson Cos., Inc.	3,839,958	1.1
31,000		Quest Diagnostics	1,856,900	0.5
63,900		UnitedHealth Group, Inc.	3,738,150	1.1
178,400	@	Warner Chilcott PLC	3,196,928	0.9
			53,308,995	15.4

		Industrials: 13.4%
18,179		3M Co.	1,628,838	0.5
208,400	@	Aecom Technology Corp.	3,428,180	1.0
84,550		Boeing Co.	6,282,065	1.8
91,850		Chicago Bridge & Iron Co. NV	3,486,626	1.0
47,400	@	Copa Holdings S.A.	3,909,552	1.1
228,000		Covanta Holding Corp.	3,910,200	1.1
42,250		Cummins, Inc.	4,094,448	1.2
323,900	@	Delta Airlines, Inc.	3,546,705	1.0
84,500		Ingersoll-Rand PLC	3,564,210	1.0
102,100		KBR, Inc.	2,522,891	0.7
53,650		Lockheed Martin Corp.	4,671,842	1.4
47,400		Parker Hannifin Corp.	3,644,112	1.1
20,600		United Technologies Corp.	1,555,918	0.5
			46,245,587	13.4

		Information Technology: 31.2%
97,000		Accenture PLC	5,828,730	1.7
30,695	@	Advanced Micro Devices, Inc.	175,882	0.1
31,000	@	Alliance Data Systems Corp.	4,185,000	1.2
41,100	@	Apple, Inc.	24,002,400	6.9
340,350	@	Dell, Inc.	4,261,182	1.2
71,200		DST Systems, Inc.	3,866,872	1.1
22,125	@	Google, Inc. - Class A	12,834,049	3.7
80,450		International Business Machines Corp.	15,734,411	4.5
157,800		Lender Processing Services, Inc.	3,989,184	1.2
509,500		Microsoft Corp.	15,585,605	4.5
232,100	@	QLogic Corp.	3,177,449	0.9
316,650		SAIC, Inc.	3,837,798	1.1
251,700	@	Symantec Corp.	3,677,337	1.1
10,350	@	Synopsys, Inc.	304,601	0.1
80,450	@	Western Digital Corp.	2,452,116	0.7
243,350		Western Union Co.	4,098,014	1.2
			108,010,630	31.2

		Materials: 2.8%
18,400		CF Industries Holdings, Inc.	3,564,816	1.0
113,500		International Paper Co.	3,281,285	0.9
27,800		PPG Industries, Inc.	2,950,136	0.9
			9,796,237	2.8

See Accompanying Notes to Financial Statements

ING BlackRock Large Cap

PORTFOLIO OF INVESTMENTS

Growth Portfolio

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Telecommunication Services: 1.6%

124,750

Verizon

Communications, Inc.

5,543,890

1.6

Total Common Stock

(Cost $309,451,471)

337,809,705

97.6



Principal Amount†		Value		Percentage of Net Assets
SHORT-TERM INVESTMENTS: 2.9%
	Securities Lending Collateral^cc⁽¹⁾: 1.0%
439,385	BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $439,392, collateralized by various U.S. Government Agency Obligations, 3.500%- 5.500%, Market Value plus accrued interest $448,173, due 05/01/32-06/01/42)		439,385	0.1
1,000,000	Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,000,016, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $1,020,000, due 07/01/42-02/20/61)		1,000,000	0.3
1,000,000	Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $1,000,015, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $1,020,000, due 04/01/24-06/01/42)		1,000,000	0.3
1,000,000	Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $1,000,021, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $1,020,000, due 10/01/14-02/25/44)		1,000,000	0.3
			3,439,385	1.0


Shares		Value	Percentage of Net Assets
	Mutual Funds: 1.9%
6,492,917	BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $6,492,917)	6,492,917		1.9


	Total Short-Term Investments (Cost $9,932,302)	9,932,302		2.9


	Total Investments in
	Securities (Cost $319,383,773)	$ 347,742,007		100.5
	Liabilities in Excess of Other Assets	(1,790,943)		(0.5)

	Net Assets	$ 345,951,064		100.0

†	Unless otherwise indicated, principal amount is shown in USD.

@	Non-income producing security

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.


Cost for federal income tax purposes is $319,990,393.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation	$38,139,656
Gross Unrealized Depreciation	(10,388,042	)


Net Unrealized Appreciation	$27,751,614

See Accompanying Notes to Financial Statements

ING BlackRock Large Cap

PORTFOLIO OF INVESTMENTS

Growth Portfolio

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock*	$	337,809,705	$	–	$	–	$	337,809,705
Short-Term Investments		6,492,917		3,439,385		–		9,932,302

Total Investments, at fair value	$	344,302,622	$	3,439,385	$	–	$	347,742,007

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING Clarion Real Estate Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares		Value		Percentage of Net Assets
COMMON STOCK: 99.4%
	Financials: 99.4%
32,371	Alexandria Real Estate Equities, Inc.		2,354,019		0.4
101,400	American Campus Communities, Inc.		4,560,972		0.7
66,400	American Tower Corp.		4,642,024		0.7
206,992	AvalonBay Communities, Inc.		29,285,228		4.4
332,896	Boston Properties, Inc.		36,075,940		5.4
293,420	BRE Properties, Inc.		14,676,868		2.2
348,500	CBL & Associates Properties, Inc.		6,809,690		1.0
337,600	Colonial Properties Trust		7,474,464		1.1
338,700	CubeSmart		3,952,629		0.6
781,400	DDR Corp.		11,439,696		1.7
110,857	Digital Realty Trust, Inc.		8,322,035		1.2
529,100	Douglas Emmett, Inc.		12,222,210		1.8
744,900	Duke Realty Corp.		10,905,336		1.6
514,971	Equity Residential		32,113,592		4.8
93,300	Essex Property Trust, Inc.		14,360,736		2.1
129,988	Federal Realty Investment Trust		13,530,451		2.0
1,056,053	General Growth Properties, Inc.		19,103,999		2.9
535,052	HCP, Inc.		23,622,546		3.5
433,000	Health Care Real Estate Investment Trust, Inc.		25,243,900		3.8
281,100	Healthcare Realty Trust, Inc.		6,701,424		1.0
234,147	Highwoods Properties, Inc.		7,879,047		1.2
1,731,168	Host Hotels & Resorts, Inc.		27,387,078		4.1
250,200	Kilroy Realty Corp.		12,112,182		1.8
1,023,478	Kimco Realty Corp.		19,476,786		2.9
242,400	LaSalle Hotel Properties		7,063,536		1.1
386,945	Liberty Property Trust		14,255,054		2.1
384,823	Macerich Co.		22,723,798		3.4
114,700	Pebblebrook Hotel Trust		2,673,657		0.4
269,200	Post Properties, Inc.		13,177,340		2.0
743,284	ProLogis, Inc.		24,699,327		3.7
212,264	Public Storage, Inc.		30,653,044		4.6
498,571	Simon Property Group, Inc.		77,607,562		11.6
281,354	SL Green Realty Corp.		22,575,845		3.4
63,300	Starwood Hotels & Resorts Worldwide, Inc.		3,357,432		0.5
143,698	Tanger Factory Outlet Centers, Inc.		4,605,521		0.7
191,674	Taubman Centers, Inc.		14,789,566		2.2
721,603	UDR, Inc.		18,646,221		2.8
497,795	Ventas, Inc.		31,420,820		4.7


260,433	Vornado Realty Trust	21,871,163	3.3

	Total Common Stock (Cost $493,186,167)	664,372,738	99.4


SHORT-TERM INVESTMENTS: 1.2%
	Mutual Funds: 1.2%
7,802,118	BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $7,802,118)		7,802,118	1.2

	Total Short-Term Investments (Cost $7,802,118)		7,802,118	1.2

	Total Investments in Securities (Cost $500,988,285)	$	672,174,856	100.6
	Liabilities in Excess of Other Assets		(3,775,434)	(0.6)

	Net Assets	$	668,399,422	100.0

Cost for federal income tax purposes is $526,085,251.

Net unrealized appreciation consists of:


Gross Unrealized Appreciation	$	171,267,719
Gross Unrealized Depreciation		(25,178,114)

Net Unrealized Appreciation		$146,089,605

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:

See Accompanying Notes to Financial Statements

ING Clarion Real Estate Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock*	$	664,372,738	$	–	$	–	$	664,372,738
Short-Term Investments		7,802,118		–		–		7,802,118

Total Investments, at fair value	$	672,174,856	$	–	$	–	$	672,174,856

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING Franklin Income Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Principal Amount†			Value		Percentage of Net Assets
CORPORATE BONDS/NOTES: 51.1%
		Consumer Discretionary: 10.6%
1,800,000	#	Academy Ltd. / Academy Finance Corp., 9.250%, 08/01/19		1,962,000		0.2
3,000,000	L	Cablevision Systems Corp., 8.000%, 04/15/20		3,255,000		0.4
3,000,000		Cablevision Systems Corp., 7.750%, 04/15/18		3,210,000		0.4
1,000,000		Cablevision Systems Corp., 8.625%, 09/15/17		1,120,000		0.1
1,200,000	#	Caesars Operating Escrow LLC / Caesars Escrow Corp., 8.500%, 02/15/20		1,212,000		0.2
5,867,024		CCH II, LLC / CCH II Capital Corp., 13.500%, 11/30/16		6,556,399		0.8
2,500,000		CCO Holdings LLC / CCO Holdings Capital Corp., 6.500%, 04/30/21		2,675,000		0.3
2,000,000	#	Cequel Communications Holdings I, LLC and Cequel Capital Corp., 8.625%, 11/15/17		2,165,000		0.3
2,000,000		Ceridian Corp., 11.250%, 11/15/15		1,930,000		0.2
4,466,250		Chrysler Group LLC - Term Loan B, 6.000%, 05/24/17		4,505,053		0.6
4,300,000		Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 06/15/21		4,439,750		0.6
1,400,000		CityCenter Holdings LLC / CityCenter Finance Corp., 7.625%, 01/15/16		1,484,000		0.2
1,786,044	&,L	CityCenter Holdings LLC / CityCenter Finance Corp., 10.750%, 01/15/17		1,978,044		0.2
8,035,944		Clear Channel Communications, Inc., 3.895%, 11/13/15		6,412,435		0.8
5,300,000		Clear Channel Communications, Inc., 9.000%, 03/01/21		4,637,500		0.6
1,600,000		Clear Channel Worldwide Holdings, Inc., 9.250%, 12/15/17		1,752,000		0.2
3,000,000		ClubCorp Club Operations, Inc., 10.000%, 12/01/18		3,195,000		0.4
3,000,000	#	CSC Holdings LLC, 6.750%, 11/15/21		3,210,000		0.4
5,000,000		Cumulus Media, Inc., 7.500%, 03/01/19		5,012,500		0.6


1,300,000	L	Goodyear Tire & Rubber Co., 8.250%, 08/15/20	1,382,875	0.2
750,000		Harrah’s Operating Co., Inc., 11.250%, 06/01/17	822,187	0.1
500,000		KB Home, 6.250%, 06/15/15	497,500	0.1
2,500,000		KB Home, 5.750%, 02/01/14	2,493,750	0.3
3,000,000	#	Landry’s, Inc., 9.375%, 05/01/20	3,063,750	0.4
1,500,000		MGM Resorts International, 10.000%, 11/01/16	1,668,750	0.2
604,041		SuperMedia, Inc., 11.000%, 12/31/15	344,951	0.0
2,068,779		U.S. Investigations Services, Inc., 2.994%, 04/01/15	1,960,168	0.2
2,100,000	#	Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH, 8.125%, 12/01/17	2,268,000	0.3
^EUR2,750,000	#	UPC Germany GmbH, 8.125%, 12/01/17	3,741,141	0.5
^EUR1,500,000	#	UPC Germany GmbH, 9.625%, 12/01/19	2,073,842	0.3
2,000,000	#	UR Financing Escrow Corp., 7.625%, 04/15/22	2,100,000	0.3
1,900,000		Visant Corp., 10.000%, 10/01/17	1,895,250	0.2
			85,023,845	10.6

		Consumer Staples: 0.7%
1,300,000		Dean Foods Co., 9.750%, 12/15/18	1,456,000	0.2
1,000,000		JBS USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14	1,140,000	0.1
800,000	#	JBS USA LLC/JBS USA Finance, Inc., 8.250%, 02/01/20	780,000	0.1
2,000,000	L	Supervalu, Inc., 8.000%, 05/01/16	2,035,000	0.3
			5,411,000	0.7

		Energy: 5.8%
1,400,000		Antero Resources Finance Corp., 9.375%, 12/01/17	1,554,000	0.2
1,300,000		Antero Resources Finance Corp., 7.250%, 08/01/19	1,352,000	0.2
1,500,000	L	Arch Coal, Inc., 7.250%, 06/15/21	1,263,750	0.2
1,500,000		ATP Oil & Gas Corp./United States, 11.875%, 05/01/15	705,000	0.1
3,000,000	L	Chesapeake Energy Corp., 6.875%, 11/15/20	2,970,000	0.4
3,300,000		Chesapeake Energy Corp., 6.875%, 08/15/18	3,300,000	0.4

See Accompanying Notes to Financial Statements

ING Franklin Income Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (cONTINUED)


6,000,000		Chesapeake Energy Corp., 7.250%, 12/15/18	6,150,000	0.8
1,500,000	L	Chesapeake Energy Corp., 6.775%, 03/15/19	1,464,375	0.2
2,000,000		Chesapeake Energy Corp. - TL B, 8.500%, 12/02/17	1,985,000	0.2
1,400,000		Consol Energy, Inc., 8.250%, 04/01/20	1,477,000	0.2
1,500,000		El Paso Corp., 7.750%, 01/15/32	1,695,625	0.2
1,500,000		Energy XXI Gulf Coast, Inc., 9.250%, 12/15/17	1,612,500	0.2
2,500,000	#	Everest Acquisition LLC / Everest Acquisition Finance, Inc., 9.375%, 05/01/20	2,593,750	0.3
919,000	#	Expro Finance Luxembourg SCA, 8.500%, 12/15/16	884,538	0.1
2,000,000		Linn Energy LLC/Linn Energy Finance Corp., 8.625%, 04/15/20	2,165,000	0.3
1,000,000	#	Peabody Energy Corp., 6.250%, 11/15/21	995,000	0.1
1,000,000	#	PetroBakken Energy Ltd., 8.625%, 02/01/20	997,500	0.1
1,000,000	#,±	Petroplus Finance Ltd., 6.750%, 05/01/14	125,000	0.0
1,500,000	#,±	Petroplus Finance Ltd., 7.000%, 05/01/17	187,500	0.0
1,500,000	#,±	Petroplus Finance Ltd., 9.375%, 09/15/19	187,500	0.0
900,000		Plains Exploration & Production Co., 6.125%, 06/15/19	909,000	0.1
2,600,000	#	Samson Investment Co., 9.750%, 02/15/20	2,590,250	0.3
4,000,000	#	SandRidge Energy, Inc., 8.000%, 06/01/18	4,070,000	0.5
3,200,000		SandRidge Energy, Inc., 9.875%, 05/15/16	3,520,000	0.4
2,000,000		W&T Offshore, Inc., 8.500%, 06/15/19	2,075,000	0.3
			46,829,288	5.8

		Financials: 6.9%
1,000,000		Ally Financial, Inc., 6.250%, 12/01/17	1,057,543	0.1
2,500,000		Ally Financial, Inc., 8.000%, 03/15/20	2,887,500	0.4
1,500,000		Bank of America Corp., 8.125%, 12/29/49	1,575,840	0.2
^EUR900,000	#	Boparan Holdings Ltd., 9.750%, 04/30/18	1,201,595	0.1
^GBP1,000,000	#	Boparan Holdings Ltd., 9.875%, 04/30/18	1,632,707	0.2
10,000,000	#	CIT Group, Inc., 7.000%, 05/02/16	10,037,500	1.3
3,263,243	#	CIT Group, Inc., 7.000%, 05/02/17	3,273,440	0.4
1,500,000	#	Forest City Enterprises, Inc., 4.250%, 08/15/18	1,488,750	0.2


2,000,000		International Lease Finance Corp., 8.875%, 09/01/17	2,265,000	0.3
4,000,000		iStar Financial, Inc. - TL A2, 7.000%, 06/11/14	4,004,000	0.5
12,500,000		JPMorgan Chase & Co., 7.900%, 04/29/49	13,751,200	1.7
2,000,000	#	Liberty Mutual Group, Inc., 10.750%, 06/15/58	2,740,000	0.3
2,000,000	#	M&T Bank Corp., 6.875%, 12/29/49	2,012,236	0.3
1,400,000	#	Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 7.875%, 08/15/19	1,522,500	0.2
500,000	#	Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 8.500%, 02/15/21	477,500	0.1
1,000,000	#	Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 9.875%, 08/15/19	1,038,750	0.1
1,300,000	#	Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 9.875%, 08/15/19	1,350,375	0.2
2,500,000	#	UPCB Finance III Ltd., 6.625%, 07/01/20	2,550,000	0.3
			54,866,436	6.9

		Health Care: 4.0%
1,479,000		Community Health Systems, Inc., 8.875%, 07/15/15	1,519,672	0.2
800,000		Grifols, Inc., 8.250%, 02/01/18	862,000	0.1
3,000,000		HCA, Inc., 6.500%, 02/15/16	3,247,500	0.4
3,400,000		HCA, Inc., 6.500%, 02/15/20	3,693,250	0.5
3,200,000		HCA, Inc., 7.500%, 02/15/22	3,496,000	0.4
600,000	#	Health Management Associates, Inc., 7. 375%, 01/15/20	641,250	0.1
1,995,000		Kinetic Concepts, Inc. - TL B1, 7.000%, 05/04/18	2,012,955	0.2
1,181,788	#	Tenet Healthcare Corp., 6.250%, 11/01/18	1,229,060	0.1
1,500,000		Tenet Healthcare Corp., 8.000%, 08/01/20	1,560,000	0.2
1,255,440	#	Tenet Healthcare Corp., 8.000% , 08/01/20	1,302,519	0.2
5,000,000		Tenet Healthcare Corp., 9.250%, 02/01/15	5,587,500	0.7

See Accompanying Notes to Financial Statements

ING Franklin Income Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (cONTINUED)


2,750,000		Tenet Healthcare Corp., 10.000%, 05/01/18	3,162,500	0.4
500,000		Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II, Inc., 7.750%, 02/01/19	507,500	0.1
3,200,000		Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8.000%, 02/01/18	3,288,000	0.4
			32,109,706	4.0

		Industrials: 3.3%
1,600,000	#,L	Abengoa Finance SAU, 8.875%, 11/01/17	1,424,000	0.2
3,300,000	#,±	American Airlines, Inc., 7.500%, 03/15/16	3,135,000	0.4
1,100,000	#	CEVA Group PLC, 8.375%, 12/01/17	1,072,500	0.1
3,600,000	#	CEVA Group PLC, 11.500%, 04/01/18	3,312,000	0.4
1,000,000	#,L	CEVA Group PLC, 12.750%, 03/31/20	897,500	0.1
2,500,000		CHC Helicopter SA, 9.250%, 10/15/20	2,456,250	0.3
2,000,000		Halcon Resources Corp, 0.975%, 07/15/20	1,972,920	0.2
1,000,000		HD Supply, Inc., 7.250%, 10/05/17	1,005,000	0.1
1,000,000		Manitowoc Co., Inc., 9.500%, 02/15/18	1,100,000	0.2
2,500,000		Niska Gas Storage US LLC/Niska Gas Storage Canada ULC, 8.875%, 03/15/18	2,450,000	0.3
2,200,000		RBS Global, Inc. and Rexnord Corp., 8.500%, 05/01/18	2,398,000	0.3
4,000,000	L	Terex Corp., 8.000%, 11/15/17	4,170,000	0.5
1,100,000	L	United Rentals North America, Inc., 8.375%, 09/15/20	1,163,250	0.2
			26,556,420	3.3

		Information Technology: 7.8%
6,100,000		CDW LLC / CDW Finance Corp., 8.500%, 04/01/19	6,527,000	0.8
750,000		CDW LLC / CDW Finance Corp., 12.535%, 10/12/17	817,500	0.1
2,742,365		First Data Corp., 5.245%, 03/23/17	2,616,389	0.3
4,179,000	#	First Data Corp., 8.250%, 01/15/21	4,199,895	0.5
3,187,000	#,&	First Data Corp., 8.750%, 01/15/22	3,226,837	0.4
500,000	L	First Data Corp., 9.875%, 09/24/15	508,750	0.1
2,500,000	&	First Data Corp., 10.550%, 09/24/15	2,568,750	0.3
8,500,000	L	First Data Corp., 11.250%, 03/31/16	8,053,750	1.0


6,400,000		First Data Corp., 12.625%, 01/15/21	6,440,000	0.8
3,276,964		First Data Corp. - Term Loan B-3, 4.245%, 09/24/14	3,151,774	0.4
2,500,000	L	Freescale Semiconductor, Inc., 8.050%, 02/01/20	2,481,250	0.3
3,000,000	#	Freescale Semiconductor, Inc., 9.250%, 04/15/18	3,225,000	0.4
333,000		Freescale Semiconductor, Inc., 10.125%, 12/15/16	352,147	0.1
4,426,000	#	Freescale Semiconductor, Inc., 10.125%, 03/15/18	4,857,535	0.6
5,980,000	L	Freescale Semiconductor, Inc., 10.750%, 08/01/20	6,458,400	0.8
600,000	#	Lawson Software, Inc., 9.375%, 04/01/19	643,500	0.1
2,000,000		Sophia L.P. TL B, 6.250%, 07/31/18	2,015,626	0.3
800,000		SRA International, Inc., 11.000%, 10/01/19	808,000	0.1
1,242,857		SRA International, Inc. - TL B, 6.500%, 07/07/18	1,204,795	0.2
17,143		SRA International, Inc. - TL C, 6.500%, 07/07/18	16,618	0.0
800,000		SunGard Data Systems, Inc., 10.250%, 08/15/15	826,000	0.1
1,000,000	L	SunGard Data Systems, Inc., 7.625%, 11/15/20	1,070,000	0.1
			62,069,516	7.8

		Materials: 3.7%
1,000,000		Berry Plastics Corp., 9.750%, 01/15/21	1,092,500	0.1
1,400,000		Cemex SAB de CV, 3.250%, 03/15/16	1,195,250	0.1
805,000		Cemex SAB de CV, 3.750%, 03/15/18	677,206	0.1
4,000,000	#,L	Cemex SAB de CV, 9.000%, 01/11/18	3,590,000	0.4
3,000,000	#	Dynacast International LLC / Dynacast Finance, Inc., 9.250%, 07/15/19	3,127,500	0.4
1,500,000	#	FMG Resources August 2006 Pty Ltd., 6.875%, 02/01/18	1,520,625	0.2
600,000	#,L	FMG Resources August 2006 Pty Ltd., 7.000%, 11/01/15	615,000	0.1
2,000,000	#	FMG Resources August 2006 Pty Ltd., 8.250%, 11/01/19	2,130,000	0.3
3,000,000		Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC, 8.875%, 02/01/18	3,075,000	0.4
^EUR3,220,000	#	Ineos Group Holdings PLC, 7.875%, 02/15/16	3,555,366	0.4

See Accompanying Notes to Financial Statements

ING Franklin Income Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (cONTINUED)


1,800,000	#	Inmet Mining Corp., 8.750%, 06/01/20	1,791,000	0.2
^EUR 2,500,000	#	Kerling PLC, 10.625%, 02/01/17	2,799,924	0.4
^EUR 1,800,000	#	Kinove German Bondco GmbH, 10.000%, 06/15/18	2,317,768	0.3
2,500,000	#,L	Molycorp, Inc., 10.000%, 06/01/20	2,487,500	0.3
			29,974,639	3.7

		Telecommunication Services: 2.1%
4,500,000		Cricket Communications, Inc., 7.750%, 10/15/20	4,320,000	0.5
900,000		Frontier Communications Corp., 8.500%, 04/15/20	958,500	0.1
1,500,000	L	Frontier Communications Corp., 9.250%, 07/01/21	1,620,000	0.2
3,500,000	#	Sprint Nextel Corp., 9.000%, 11/15/18	3,920,000	0.5
1,000,000	#	Sprint Nextel Corp., 9.125%, 03/01/17	1,052,500	0.1
3,500,000	#,L	Sprint Nextel Corp., 11.500%, 11/15/21	3,911,250	0.5
^GBP 800,000		Virgin Media Secured Finance PLC, 7.000%, 01/15/18	1,350,018	0.2
			17,132,268	2.1

		Utilities: 6.2%
1,000,000	#	Calpine Corp., 7.500%, 02/15/21	1,085,000	0.1
1,000,000	#	Calpine Corp., 7.875%, 01/15/23	1,095,000	0.2
800,000	#	Calpine Corp., 7.875%, 07/31/20	886,000	0.1
7,000,000	±	Dynegy Holdings, Inc., 7.500%, 06/01/15	4,725,000	0.6
2,500,000	±	Dynegy Holdings, Inc., 7.750%, 06/01/19	1,687,500	0.2
1,500,000	±	Dynegy Holdings, Inc., 8.375%, 05/01/16	1,020,000	0.1
1,741,250		Dynegy Midwest Gen LLC Term First, 9.404%, 08/04/16	1,784,781	0.2
3,233,750		Dynegy Power LLC, 9.404%, 08/04/16	3,338,847	0.4
1,500,000	#	Intergen NV, 9.000%, 06/30/17	1,477,500	0.2
2,000,000		GenOn Energy, Inc., 7.625%, 06/15/14	2,050,000	0.3
4,600,000		GenOn Energy, Inc., 7.875%, 06/15/17	4,301,000	0.5
2,000,000		Sabine Pass LNG LP, 7.250%, 11/30/13	2,080,000	0.3
2,500,000		Sabine Pass LNG LP, 7.500%, 11/30/16	2,637,500	0.3
397,715	&	Texas Competitive Electric Holdings Co., LLC, 10.500%, 11/01/16	75,069	0.0


11,542,971		Texas Competitive Electric Holdings Co. LLC - TL, 4.741%, 10/10/17		6,924,675		0.9
2,000,000	#	Texas Competitive Electric Holdings Co. LLC / TCEH Finance, Inc., 11.500%, 10/01/20		1,375,000		0.2
6,860,000		Texas Competitive Electric Holdings Co. LLC / TCEH Finance, Inc., 15.000%, 04/01/21		2,366,700		0.3
10,878,053		Texas Competitive Electric Holdings Co. LLC, 4.741%, 10/10/17		6,525,787		0.8
15,000,000		Texas Competitive Electric Holdings Co., LLC, 10.250%, 11/01/15		3,937,500		0.5
				49,372,859		6.2

	Total Corporate Bonds/Notes (Cost $419,418,625)			409,345,977		51.1

COLLATERALIZED MORTGAGE OBLIGATIONS: 0.3%
2,807,035	#	Banc of America Large Loan, Inc., 1.992%, 11/15/15		2,661,211		0.3

	Total Collateralized Mortgage Obligations (Cost $2,550,292)			2,661,211		0.3

STRUCTURED PRODUCTS: 0.3%
		Materials: 0.3%
50,000	#,@,Z	Newmont Mining Corp. Equity Linked Note (Counterpary: UBS Warburg AG), 8.000%, 09/14/12		2,470,600		0.3

	Total Structured Products (Cost $3,165,000)			2,470,600		0.3

Shares			Value		Percentage of Net Assets
COMMON STOCK: 38.9%
		Consumer Discretionary: 0.9%
110,000		Comcast Corp. – Class A		3,516,700		0.5
122,564	@,L	Dex One Corp.		114,597		0.0
120,000	@	General Motors Co.		–		–
3,070	@	Motors Liquidation Co. GUC Trust		37,608		0.0
60,100		Target Corp.		3,497,219		0.4
				7,166,124		0.9

		Consumer Staples: 1.1%
150,000		Diageo PLC		3,866,238		0.5
73,900		PepsiCo, Inc.		5,221,774		0.6
				9,088,012		1.1

		Energy: 6.6%
15,000	@	Alpha Natural Resources, Inc.		130,650		0.0

See Accompanying Notes to Financial Statements

ING Franklin Income Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (cONTINUED)


150,000		BP PLC ADR	6,081,000	0.8
108,753	@	Callon Petroleum Co.	463,288	0.1
365,000		Canadian Oil Sands Ltd.	7,069,836	0.9
100,000	L	Chesapeake Energy Corp.	1,860,000	0.2
25,000		Chevron Corp.	2,637,500	0.3
160,000		ConocoPhillips	8,940,800	1.1
106,235		ExxonMobil Corp.	9,090,529	1.1
80,000	@	Phillips 66	2,659,200	0.3
75,000		Royal Dutch Shell PLC - Class A ADR	5,057,250	0.6
35,000		Schlumberger Ltd.	2,271,850	0.3
80,000		Spectra Energy Corp.	2,324,800	0.3
50,000		Total SA ADR ADR	2,247,500	0.3
150,000	@	Weatherford International Ltd.	1,894,500	0.3
			52,728,703	6.6

		Financials: 5.5%
239,184		Banco Santander Central Hispano S.A.	1,582,266	0.2
550,000		Bank of America Corp.	4,499,000	0.6
377,700		Barclays PLC	965,116	0.1
20,100		Blackrock, Inc.	3,413,382	0.4
54,800	@	CIT Group, Inc.	1,953,072	0.2
46,507		Citigroup, Inc.	1,274,757	0.2
206,547	@	Federal National Mortgage Association	52,670	0.0
500,000		HSBC Holdings PLC	4,405,908	0.6
200,000		JPMorgan Chase & Co.	7,146,000	0.9
40,000		M&T Bank Corp.	3,302,800	0.4
120,100		QBE Insurance Group Ltd.	1,659,870	0.2
365,500		Wells Fargo & Co.	12,222,320	1.5
635,200	L	Westfield Retail Trust	1,863,162	0.2
			44,340,323	5.5

		Health Care: 7.0%
150,000		Johnson & Johnson	10,134,000	1.3
410,200		Merck & Co., Inc.	17,125,850	2.1
378,100		Pfizer, Inc.	8,696,300	1.1
92,800		Roche Holding AG - Genusschein	16,029,623	2.0
115,000		Sanofi-Aventis SA ADR	4,344,700	0.5
			56,330,473	7.0

		Industrials: 1.3%
8,400		Caterpillar, Inc.	713,244	0.1
469,500		General Electric Co.	9,784,380	1.2
			10,497,624	1.3

		Information Technology: 1.1%
50,000		Corning, Inc.	646,500	0.1
300,000		Intel Corp.	7,995,000	1.0
			8,641,500	1.1

		Materials: 1.3%
110,000		Barrick Gold Corp.	4,132,700	0.5
60,000		BHP Billiton PLC	1,705,341	0.2
50,000		Dow Chemical Co.	1,575,000	0.2
50,000		LyondellBasell Industries NV	2,013,500	0.3
20,000		Nucor Corp.	758,000	0.1
			10,184,541	1.3


		Telecommunication Services: 2.6%
275,000		AT&T, Inc.	9,806,500	1.2
50,000		CenturyTel, Inc.	1,974,500	0.2
100,000	L	Frontier Communications Corp.	383,000	0.1
51,900		SK Telecom Co., Ltd. ADR	627,990	0.1
2,750,000		Vodafone Group PLC	7,729,558	1.0
			20,521,548	2.6

		Telecommunications: 0.6%
54,300		France Telecom S.A.	713,960	0.1
800,000		Telstra Corp., Ltd.	3,031,134	0.4
51,666		Vivendi	960,002	0.1
			4,705,096	0.6

		Utilities: 10.9%
53,000		AGL Resources, Inc.	2,053,750	0.3
150,000		American Electric Power Co., Inc.	5,985,000	0.8
18,800		Dominion Resources, Inc.	1,015,200	0.1
200,000		Duke Energy Corp.	4,612,000	0.6
170,000	@	Dynegy, Inc.	99,450	0.0
85,000		Entergy Corp.	5,770,650	0.7
150,000		Exelon Corp.	5,643,000	0.7
70,000		FirstEnergy Corp.	3,443,300	0.4
117,430		NextEra Energy, Inc.	8,080,358	1.0
200,000		Pacific Gas & Electric Co.	9,054,000	1.1
100,000		Pinnacle West Capital Corp.	5,174,000	0.7
68,400		PPL Corp.	1,902,204	0.2
120,000		Progress Energy, Inc.	7,220,400	0.9
175,000		Public Service Enterprise Group, Inc.	5,687,500	0.7
105,000		Sempra Energy	7,232,400	0.9
125,000		Southern Co.	5,787,500	0.7
162,000		TECO Energy, Inc.	2,925,720	0.4
200,000		Xcel Energy, Inc.	5,682,000	0.7
			87,368,432	10.9

	Total Common Stock (Cost $315,574,985)		311,572,376	38.9

PREFERRED STOCK: 4.6%
		Consumer Discretionary: 0.1%
30,000	@	General Motors Co.	996,000	0 .1

		Energy: 0.7%
3,500	#,@	Chesapeake Energy Corp.	2,988,125	0.4
25,000	@	SandRidge Energy, Inc.	2,587,500	0.3
			5,575,625	0.7

		Financials: 3.6%
1,839	#,@,P	Ally Financial, Inc.	1,638,492	0.2
9,300	@	Bank of America Corp.	9,067,500	1.1
40,000	@	Citigroup, Inc.	3,422,400	0.4
50	@,P	Fannie Mae	182,499	0.0
100,000	@,P	Federal National Mortgage Association - Series Q	180,000	0.0
194,460	@,P	Federal National Mortgage Association - Series R	256,687	0.1

See Accompanying Notes to Financial Statements

ING Franklin Income Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

96,100

@,P

Federal National Mortgage Association -

Series S

156,643

0.0

90,000

Felcor Lodging Trust, Inc.

2,370,942

0.3

191,500

@,P

Federal Home Loan Mortgage Corp.

415,555

0.1

40,000

MetLife, Inc.

2,474,800

0.3

8,000

Wells Fargo & Co.

9,000,000

1.1

29,165,518

3.6

Materials: 0.2%

33,000

AngloGold Ashanti Ltd.

1,359,600

0.2

Total Preferred Stock

(Cost $52,657,772)

37,096,743

4.6

WARRANTS: 0.1%

Consumer Discretionary: 0.1%

25,281

Charter Communications, Inc.

669,947

0.1

11,118
11,118

General Motors Co. General Motors Co.

75,380
122,520

0.0
0.0

Total Warrants
(Cost $10,331,270)

867,847

0.1

Total Long-Term

Investments

(Cost $803,697,944)

764,014,754

95.3

Principal
Amount†

Value

Percentage
of Net
Assets

SHORT-TERM INVESTMENTS: 4.1%

U.S. Government Agency Obligations: 0.4%

3,525,000

Federal Home Loan Bank Discount Notes, 0.120%, 07/02/12 (Cost $3,525,000)

3,525,000

0.4

Securities Lending Collateral^cc⁽¹⁾: 3.7%

6,953,968

Cantor Fitzgerald, Repurchase Agreement dated 06/29/12, 0.23%, due 07/02/12 (Repurchase Amount $6,954,099, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%- 6.000%, Market Value plus accrued interest $7,093,047, due 04/20/61-05/15/42)

6,953,968

0.9


6,953,968		Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $6,954,082, collateralized by various U.S. Government Agency Obligations, 0.000%- 7.000%, Market Value plus accrued interest $7,093,047, due 07/01/42-02/20/61)	6,953,968	0.9
6,953,968		Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.15%, due 07/02/12 (Repurchase Amount $6,954,054, collateralized by various U.S. Government Securities, 0.375%, Market Value plus accrued interest $7,093,054, due 06/15/15)	6,953,968	0.8
6,953,968		Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $6,954,111, collateralized by various U.S. Government Agency Obligations, 0.000%- 9.500%, Market Value plus accrued interest $7,093,047, due 10/01/14-02/25/44)	6,953,968	0.9
1,463,994		UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,464,018, collateralized by various U.S. Government Agency Obligations, 3.000%- 6.500%, Market Value plus accrued interest $1,493,274, due 07/01/21-04/01/42)	1,463,994	0.2
			29,279,866	3.7
	Total Short-Term Investments (Cost $32,804,866)		32,804,866	4.1

	Total Investments in Securities (Cost $836,502,810)		$ 796,819,620	99.4
	Assets in Excess of Other Liabilities		4,856,830	0.6

	Net Asslets		$ 801,676,450	100.0

See Accompanying Notes to Financial Statements


ING Franklin Income Portfolio		PORTFOLIO OF INVESTMENTS
ING Franklin Income Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


†		Unless otherwise indicated, principal amount is shown in USD.
#		Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.
@		Non-income producing security

&		Payment-in-kind
ADR		American Depositary Receipt
P		Preferred Stock may be called prior to convertible date.
cc		Securities purchased with cash collateral for securities loaned.
L		Loaned security, a portion or all of the security is on loan at June 30, 2012.
±		Defaulted security
Z		Indicates Zero Coupon Bond; rate shown reflects current effective yield.
(1)		Collateral received from brokers for securities lending was invested into these short-term investments.
EUR		EU Euro
GBP		British Pound


		Cost for federal income tax purposes is $837,165,212.

		Net unrealized depreciation consists of:

		Gross Unrealized Appreciation		$72,508,292
		Gross Unrealized Depreciation		(112,853,884)


		Net Unrealized Depreciation		$(40,345,592)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Consumer Discretionary	$	7,166,124	$	–	$	–	$	7,166,124
Consumer Staples		5,221,774		3,866,238		–		9,088,012
Energy		52,728,703		–		–		52,728,703
Financials		33,864,001		10,476,322		–		44,340,323
Health Care		40,300,850		16,029,623		–		56,330,473
Industrials		10,497,624		–		–		10,497,624
Information Technology		8,641,500		–		–		8,641,500
Materials		8,479,200		1,705,341		–		10,184,541
Telecommunication Services		12,791,990		7,729,558		–		20,521,548
Telecommunications		–		4,705,096		–		4,705,096
Utilities		87,368,432		–		–		87,368,432

Total Common Stock		267,060,198		44,512,178		–		311,572,376

Preferred Stock		14,010,400		23,086,343		–		37,096,743
Warrants		867,847		–		–		867,847
Corporate Bonds/Notes		–		409,345,977		–		409,345,977
Collateralized Mortgage Obligations		–		2,661,211		–		2,661,211
Structured Products		–		2,470,600		–		2,470,600
Short-Term Investments		–		32,804,866		–		32,804,866

Total Investments, at fair value	$	281,938,445	$	514,881,175	$	–	$	796,819,620

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

See Accompanying Notes to Financial Statements


ING Franklin Income Portfolio		PORTFOLIO OF INVESTMENTS
ING Franklin Income Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING Franklin Mutual Shares Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 87.7%
		Consumer Discretionary: 8.8%
351,622		British Sky Broadcasting PLC		3,833,337		0.8
119,348		CBS Corp. - Class B		3,912,227		0.9
27,995		Comcast Corp. – Special Class A		879,043		0.2
279,328	@	DaimlerChrysler Escrow		33,519		0.0
558,613	@	DaimlerChrysler Escrow		67,034		0.1
558,617	@	DaimlerChrysler Escrow		67,034		0.0
163,180	@	General Motors Co.		3,217,910		0.7
59,450		Kohl’s Corp.		2,704,381		0.6
87,171		Mattel, Inc.		2,827,827		0.6
303,364		News Corp. - Class B		6,831,757		1.5
440,822	@,X	Prime AET&D Holdings		–		–
592,520		Reed Elsevier PLC		4,749,124		1.1
91,069		Time Warner Cable, Inc.		7,476,765		1.7
54,265		Viacom - Class B		2,551,540		0.6
				39,151,498		8.8

		Consumer Staples: 19.4%
171,012		Altria Group, Inc.		5,908,465		1.3
69,564		Avon Products, Inc.		1,127,632		0.3
82		British American Tobacco PLC ADR		8,374		0.0
255,198		British American Tobacco PLC		12,974,228		2.9
102,740		Coca-Cola Enterprises, Inc.		2,880,830		0.7
202,919		CVS Caremark Corp.		9,482,405		2.1
101,922		Dr Pepper Snapple Group, Inc.		4,459,088		1.0
111,798		General Mills, Inc.		4,308,695		1.0
207,702		Imperial Tobacco Group PLC		8,002,371		1.8
261,473		Kraft Foods, Inc.		10,098,087		2.3
236,018		Kroger Co.		5,473,257		1.2
30,575		Lorillard, Inc.		4,034,371		0.9
66,599		Pernod-Ricard S.A.		7,121,588		1.6
37,135		Philip Morris International, Inc.		3,240,400		0.7
51,923		Reynolds American, Inc.		2,329,785		0.5
71,121		Walgreen Co.		2,103,759		0.5
40,961		Wal-Mart Stores, Inc.		2,855,801		0.6
				86,409,136		19.4

		Energy: 10.4%
67,659		Apache Corp.		5,946,549		1.3
112,840		Baker Hughes, Inc.		4,637,724		1.0
396,030		BP PLC		2,644,761		0.6
143,970		Consol Energy, Inc.		4,353,653		1.0
36,835	@	Ensco PLC		1,730,140		0.4
271,043		Marathon Oil Corp.		6,930,569		1.6
77,700		Marathon Petroleum Corp.		3,490,284		0.8
56,464		Murphy Oil Corp.		2,839,575		0.6
232,719		Royal Dutch Shell PLC		7,854,442		1.7
92,015		Transocean Ltd.		4,115,831		0.9


40,397		Williams Cos., Inc.	1,164,242	0.3
40,396	@	WPX Energy, Inc.	653,607	0.2
			46,361,377	10.4

		Financials: 15.5%
86,716		ACE Ltd.	6,428,257	1.4
9,488		Alexander’s, Inc.	4,090,372	0.9
12,350	@	Alleghany Corp.	4,195,912	0.9
190,968	@	American International Group, Inc.	6,128,163	1.4
166,554		Barclays PLC	425,586	0.1
49,872	#,@	Bond Street Holdings, LLC	960,036	0.2
454,259	@	Canary Wharf Group PLC	1,644,840	0.4
47,564	@	CIT Group, Inc.	1,695,181	0.4
86,552		Citigroup, Inc.	2,372,390	0.5
98,875		CNO Financial Group, Inc.	771,225	0.2
39,912		Deutsche Boerse AG	2,153,299	0.5
51,610	@	Forestar Real Estate Group, Inc.	661,124	0.1
47,924	@	Guaranty Bancorp	101,120	0.0
68,390		JPMorgan Chase & Co.	2,443,575	0.6
34,918		KB Financial Group, Inc.	1,140,663	0.3
83,649		Metlife, Inc.	2,580,572	0.6
240,940		Morgan Stanley	3,515,315	0.8
77,412		NYSE Euronext	1,980,199	0.4
122,450		PNC Financial Services Group, Inc.	7,482,920	1.7
191,125	@	UBS AG - Reg	2,236,579	0.5
73,364		Wells Fargo & Co.	2,453,292	0.6
20,198	@	White Mountains Insurance Group Ltd.	10,538,306	2.4
12,332	@	Zurich Financial Services AG	2,788,561	0.6
			68,787,487	15.5

		Health Care: 12.0%
52,179		Amgen, Inc.	3,811,154	0.9
508,940	@	Boston Scientific Corp.	2,885,690	0.6
103,894		Cigna Corp.	4,571,336	1.0
63,300	@	Community Health Systems, Inc.	1,774,299	0.4
114,843		Coventry Health Care, Inc.	3,650,859	0.8
37,073		Eli Lilly & Co.	1,590,803	0.4
61,331	@	Hospira, Inc.	2,145,358	0.5
162,398		Medtronic, Inc.	6,289,675	1.4
312,712		Merck & Co., Inc.	13,055,726	2.9
354,044		Pfizer, Inc.	8,143,012	1.8
554,580	@	Tenet Healthcare Corp.	2,905,999	0.7
68,860		Teva Pharmaceutical Industries Ltd. ADR	2,715,838	0.6
			53,539,749	12.0

		Industrials: 5.3%
681		AP Moller - Maersk A/S - Class B	4,465,675	1.0
104,423	@	Federal Signal Corp.	609,830	0.1
73,725	@	Gencorp, Inc.	479,950	0.1
19,620		Goodrich Corp.	2,489,778	0.6
77,388	@	Huntington Ingalls Industries, Inc.	3,114,093	0.7
95,084	@	Oshkosh Truck Corp.	1,992,010	0.4

See Accompanying Notes to Financial Statements

ING Franklin Mutual Shares Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


122,333	@	Owens Corning, Inc.		3,491,384		0.8
74,544		Raytheon Co.		4,218,445		1.0
42,261		Stanley Black & Decker, Inc.		2,719,918		0.6
				23,581,083		5.3

		Information Technology: 7.7%
285,306		Cisco Systems, Inc.		4,898,704		1.1
5,529	@	Google, Inc. - Class A		3,207,207		0.7
348,591		Microsoft Corp.		10,663,399		2.4
10,370		Nintendo Co., Ltd.		1,211,019		0.3
95,860	@	Research In Motion Ltd.		708,405		0.1
211,102	@	Symantec Corp.		3,084,200		0.7
119,862	@	TE Connectivity Ltd.		3,824,796		0.9
845,342		Xerox Corp.		6,652,842		1.5
				34,250,572		7.7

		Materials: 3.2%
19,447		Domtar Corp.		1,491,779		0.3
201,748		International Paper Co.		5,832,535		1.3
19,612		Linde AG		3,054,393		0.7
53,357		MeadWestvaco Corp.		1,534,014		0.4
136,698		ThyssenKrupp AG		2,226,768		0.5
				14,139,489		3.2

		Telecommunication Services: 2.1%
1,216,963		Cable & Wireless Communications PLC		566,981		0.1
3,145,044		Vodafone Group PLC		8,839,928		2.0
				9,406,909		2.1

		Utilities: 3.3%
177,712		E.ON AG		3,840,210		0.9
27,946		Entergy Corp.		1,897,254		0.4
103,444		Exelon Corp.		3,891,563		0.9
92,946		Gaz de France		2,216,566		0.5
161,533	@	NRG Energy, Inc.		2,804,213		0.6
				14,649,806		3.3

	Total Common Stock (Cost $372,163,047)			390,277,106		87.7

Principal Amount†			Value		Percentage of Net Assets
CORPORATE BONDS/NOTES: 4.9%
		Consumer Discretionary: 1.4%
597,890		Clear Channel Communications, Inc., 3.895%, 01/29/16		463,489		0.1
507,881		Clear Channel Communications, Inc., 3.895%, 01/29/16		391,069		0.1
2,992,169		Clear Channel Communications, Inc., 3.895%, 01/29/16		2,387,658		0.5
260,000		Clear Channel Communications, Inc., 9.000%, 03/01/21		227,500		0.0
1,090,000	&	Clear Channel Communications, Inc., 11.000%, 08/01/16		681,250		0.2
264,000		Tribune Co., 06/04/14		172,755		0.0
3,233,000		Tribune Co., 06/04/14		2,161,690		0.5
				6,485,411		1.4


		Financials: 1.6%
236,426		Capmark Financial Group, Inc., 9.000%, 09/30/15	237,756	0.1
1,605,000		iStar Financial, Inc., 0.961%, 10/01/12	1,599,061	0.4
76,942		iStar Financial, Inc., 5.250%, 03/19/16	76,685	0.0
152,698		iStar Financial, Inc., 5.000%, 06/28/13	152,530	0.0
289,000		iStar Financial, Inc., 7.000%, 03/19/17	289,722	0.1
169,000		iStar Financial, Inc., 7.000%, 06/30/14	169,169	0.0
148,419		Realogy Corp., 2.250%, 10/10/16	140,535	0.0
186,358		Realogy Corp., 3.493%, 10/10/13	160,734	0.0
2,359,949		Realogy Corp., 4.491%, 10/10/16	2,234,577	0.5
467,000	#	Realogy Corp., 7.875%, 02/15/19	458,828	0.1
216,000	#	Realogy Corp., 9.000%, 01/15/20	223,560	0.1
320,000		Realogy Corp., 11.500%, 04/15/17	304,800	0.1
515,000		Realogy Corp., 13.500%, 10/15/17	529,806	0.1
433,299		Realogy Corp., 10/10/13	373,721	0.1
1,216,000	±,X	Tropicana Entertainment, LLC, 9.625%, 12/15/14	–	–
			6,951,484	1.6

		Utilities: 1.9%
33,000		Calpine Corp. Escrow	–	–
49,000		Calpine Corp. Escrow	–	–
97,000		Calpine Corp. Escrow	–	–
720,000	#	Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc., 11.750%, 03/01/22	739,800	0.2
1,265,000		NRG Energy, Inc., 7.375%, 01/15/17	1,318,763	0.3
6,400,233		Texas Competitive Electric Holdings Co. LLC, 4.746%, 10/10/17	3,839,525	0.9
3,208,000	#	Texas Competitive Electric Holdings Co. LLC / TCEH Finance, Inc., 11.500%, 10/01/20	2,205,500	0.5
826,000		Texas Competitive Electric Holdings Co., LLC, 10.250%, 11/01/15	216,825	0.0
			8,320,413	1.9

Total Corporate

Bonds/Notes

(Cost $25,648,737)

21,757,308

4.9

Total Long-Term

Investments

(Cost $397,811,784)

412,034,414

92.6

See Accompanying Notes to Financial Statements

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

ING Franklin Mutual Shares Portfolio

SHORT-TERM INVESTMENTS: 5.5%

U.S. Government Agency Obligations: 2.3%

10,300,000

Federal Home Loan Bank Discount Notes, 0.120%, 07/02/12 (Cost $10,300,000)

10,300,000

2.3

U.S. Treasury Bills: 2.7%

4,000,000

United States Treasury Bill, 0.050%, 08/09/12

3,999,795

0.9

3,000,000

United States Treasury Bill, 0.040%, 07/05/12

2,999,982

0.7

5,000,000

United States Treasury Bill, 0.080%, 09/27/12

4,999,005

1.1

11,998,782

2.7

U.S. Treasury Obligations: 0.5%

2,000,000

United States Treasury Bill, 0.100%, 10/11/12 (Cost $1,999,496)

1,999,496

0.5

Total Short-Term

Investments

(Cost $24,298,278)

24,298,278

5.5

Total Investments in Securities

(Cost $422,110,062)

436,332,692

98.1

Assets in Excess of Other Liabilities

8,609,152

1.9

Net Assets

444,941,844

100.0

†

Unless otherwise indicated, principal amount is shown in USD.

Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.

Non-income producing security

Payment-in-kind

ADR

American Depositary Receipt

Defaulted security

Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees.

Indicates Zero Coupon Bond; rate shown reflects current effective yield.


		Cost for federal income tax purposes is $422,834,596.

		Net unrealized appreciation consists of:

		Gross Unrealized Appreciation			$57,037,793
		Gross Unrealized Depreciation			(43,539,697)


		Net Unrealized Appreciation			$13,498,096

See Accompanying Notes to Financial Statements

ING Franklin Mutual Shares Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Consumer Discretionary	$	30,401,450	$	8,582,461	$	167,587	$	39,151,498
Consumer Staples		58,310,949		28,098,187		–		86,409,136
Energy		35,862,174		10,499,203		–		46,361,377
Financials		57,437,923		11,349,564		–		68,787,487
Health Care		53,539,749		–		–		53,539,749
Industrials		19,115,408		4,465,675		–		23,581,083
Information Technology		33,039,553		1,211,019		–		34,250,572
Materials		8,858,328		5,281,161		–		14,139,489
Telecommunication Services		–		9,406,909		–		9,406,909
Utilities		8,593,030		6,056,776		–		14,649,806

Total Common Stock		305,158,564		84,950,955		167,587		390,277,106

Corporate Bonds/Notes		–		21,757,308		–		21,757,308
Short-Term Investments		–		24,298,278		–		24,298,278

Total Investments, at fair value	$	305,158,564	$	131,006,541	$	167,587	$	436,332,692

Other Financial Instruments⁺
Forward Foreign Currency Contracts		–		1,396,248		–		1,396,248

Total Assets	$	305,158,564	$	132,402,789	$	167,587	$	437,728,940

Liabilities Table
Other Financial Instruments⁺
Forward Foreign Currency Contracts	$	–		$(223,574)	$	–		$(223,574)

Total Liabilities	$	–		$(223,574)	$	–		$(223,574)

See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information.

The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a significant portion of the Fund's investments are categorized as Level 2 investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

At June 30, 2012, the following forward foreign currency contracts were outstanding for the ING Franklin Mutual Shares Portfolio:


Counterparty	Currency	Contract Amount		Buy/Sell	Settlement Date	In Exchange For		Fair Value		Unrealized Appreciation (Depreciation)

Bank of America	Swiss Franc		22,856	Buy	08/10/12	$	23,669	$	24,105	$	436
Bank of America	Swiss Franc		16,470	Buy	08/10/12		17,771		17,370		(401	)
Bank of America	EU Euro		259,000	Buy	07/17/12		339,505		327,810		(11,695	)
Bank of America	EU Euro		112,823	Buy	07/17/12		149,889		142,796		(7,093	)
Bank of America	Swiss Franc		81,800	Buy	08/10/12		89,477		86,270		(3,207	)
Barclays Bank PLC	EU Euro		44,260	Buy	07/17/12		54,829		56,019		1,190
Barclays Bank PLC	EU Euro		182,753	Buy	07/17/12		240,014		231,306		(8,708	)
Barclays Bank PLC	Swiss Franc		29,452	Buy	08/10/12		31,239		31,062		(177	)
Barclays Bank PLC	EU Euro		86,374	Buy	07/17/12		114,514		109,321		(5,193	)
Barclays Bank PLC	EU Euro		144,989	Buy	07/17/12		191,053		183,509		(7,544	)
Barclays Bank PLC	EU Euro		157,546	Buy	07/17/12		208,005		199,402		(8,603	)
Credit Suisse First
Boston	Swiss Franc		20,999	Buy	08/10/12		21,814		22,146		332
Deutsche Bank AG	EU Euro		40,680	Buy	07/17/12		50,398		51,487		1,089
Deutsche Bank AG	EU Euro		206,877	Buy	07/17/12		263,482		261,838		(1,644	)
Deutsche Bank AG	EU Euro		422,200	Buy	07/17/12		536,532		534,368		(2,164	)

See Accompanying Notes to Financial Statements

ING Franklin Mutual Shares Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Deutsche Bank AG	Swiss Franc	35,972	Buy	08/10/12		37,321		37,938		617
Deutsche Bank AG	EU Euro	543,300	Buy	07/17/12		711,073		687,641		(23,432)
Deutsche Bank AG	EU Euro	429,000	Buy	07/17/12		563,835		542,975		(20,860)
Deutsche Bank AG	EU Euro	174,868	Buy	07/17/12		230,496		221,327		(9,169)
Deutsche Bank AG	EU Euro	276,400	Buy	07/17/12		361,662		349,833		(11,829)
Deutsche Bank AG	EU Euro	84,616	Buy	07/17/12		110,585		107,097		(3,488)
Deutsche Bank AG	EU Euro	225,645	Buy	07/17/12		299,769		285,593		(14,176)
Deutsche Bank AG	Swiss Franc	87,000	Buy	08/10/12		94,847		91,755		(3,092)
Deutsche Bank AG	EU Euro	432,439	Buy	07/17/12		572,722		547,327		(25,395)
Deutsche Bank AG	Swiss Franc	56,912	Buy	08/10/12		62,235		60,021		(2,214)
Deutsche Bank AG	Japanese Yen	1,813,900	Buy	10/22/12		22,880		22,730		(150)
Deutsche Bank AG	Japanese Yen	1,800,000	Buy	10/22/12		22,478		22,556		78
Deutsche Bank AG	Swiss Franc	65,500	Buy	08/10/12		72,867		69,080		(3,787)
Deutsche Bank AG	Japanese Yen	3,437,703	Buy	10/22/12		42,796		43,079		283
HSBC	EU Euro	174,613	Buy	07/17/12		216,834		221,003		4,169
HSBC	EU Euro	44,260	Buy	07/17/12		54,852		56,019		1,167
HSBC	Swiss Franc	16,469	Buy	08/10/12		17,770		17,369		(401)
HSBC	EU Euro	84,616	Buy	07/17/12		110,585		107,097		(3,488)
HSBC	Japanese Yen	2,820,639	Buy	10/22/12		35,414		35,346		(68)
HSBC	Japanese Yen	3,129,100	Buy	10/22/12		38,608		39,211		603
State Street Bank	EU Euro	519,600	Buy	07/17/12		672,762		657,644		(15,118)
State Street Bank	EU Euro	150,589	Buy	07/17/12		197,991		190,596		(7,395)

									$	(190,527)


Bank of America	EU Euro	60,046	Sell	07/17/12	$	76,145	$	75,999	$	146
Bank of America	Swiss Franc	48,700	Sell	08/10/12		51,597		51,362		235
Bank of America	Swiss Franc	991,608	Sell	08/10/12		1,088,125		1,045,799		42,326
Barclays Bank PLC	EU Euro	60,046	Sell	07/17/12		76,085		75,999		86
Barclays Bank PLC	British Pound	84,614	Sell	08/16/12		131,650		132,502		(852)
Barclays Bank PLC	EU Euro	173,509	Sell	07/17/12		227,879		219,607		8,272
Barclays Bank PLC	EU Euro	168,787	Sell	07/17/12		221,055		213,630		7,425
Credit Suisse First
Boston	EU Euro	240,182	Sell	07/17/12		303,878		303,992		(114)
Credit Suisse First
Boston	British Pound	291,201	Sell	08/16/12		456,901		456,011		890
Deutsche Bank AG	EU Euro	60,046	Sell	07/17/12		76,175		75,998		177
Deutsche Bank AG	EU Euro	172,132	Sell	07/17/12		217,019		217,863		(844)
Deutsche Bank AG	EU Euro	488,093	Sell	07/17/12		615,519		617,767		(2,248)
Deutsche Bank AG	EU Euro	70,178	Sell	07/17/12		88,923		88,823		100
Deutsche Bank AG	British Pound	343,000	Sell	08/16/12		539,522		537,126		2,396
Deutsche Bank AG	Swiss Franc	26,454	Sell	08/10/12		27,791		27,900		(109)
Deutsche Bank AG	EU Euro	51,791	Sell	07/17/12		68,034		65,551		2,483
Deutsche Bank AG	EU Euro	84,394	Sell	07/17/12		110,505		106,815		3,690
Deutsche Bank AG	Swiss Franc	39,320	Sell	08/10/12		42,827		41,468		1,359
Deutsche Bank AG	Swiss Franc	1,028,008	Sell	08/10/12		1,128,439		1,084,187		44,252
HSBC	EU Euro	240,183	Sell	07/17/12		303,672		303,994		(322)
HSBC	EU Euro	87,722	Sell	07/17/12		111,055		111,027		28
HSBC	British Pound	66,556	Sell	08/16/12		103,491		104,225		(734)
HSBC	British Pound	84,614	Sell	08/16/12		131,802		132,502		(700)
HSBC	British Pound	106,613	Sell	08/16/12		165,996		166,952		(956)
HSBC	EU Euro	212,700	Sell	07/17/12		281,211		269,209		12,002
HSBC	EU Euro	58,298	Sell	07/17/12		77,078		73,786		3,292
HSBC	EU Euro	84,394	Sell	07/17/12		110,724		106,815		3,909
HSBC	Japanese Yen	52,446,275	Sell	10/22/12		646,686		657,216		(10,530)
Credi Suisse First
Boston	British Pound	1,073,727	Sell	08/16/12		1,675,745		1,681,419		(5,674)
State Street Bank	British Pound	20,216,986	Sell	08/16/12		31,983,272		31,659,087		324,185
State Street Bank	EU Euro	20,597,007	Sell	07/17/12		26,998,145		26,069,114		929,031

									$	1,363,201

See Accompanying Notes to Financial Statements

ING Franklin Mutual Shares Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

A summary of derivative instruments by primary risk exposure is outlined in the following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities	Fair Value

Asset Derivatives

Foreign exchange contracts	Unrealized appreciation on forward foreign currency contracts	$	1,396,248

Total Asset Derivatives		$	1,396,248


Liability Derivatives

Foreign exchange contracts	Unrealized depreciation on forward foreign currency contracts	$	223,574

Total Liability Derivatives		$	223,574

The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2012 was as follows:


		Amount of Realized Gain or (Loss) on Derivatives Recognized in Income



Derivatives not accounted for as hedging instruments	Foreign currency related transactions*		Written options		Total


Equity contracts	$	-	$	22,071	$	22,071
Foreign exchange contracts		2,018,153		-		2,018,153

Total	$	2,018,153	$	22,071	$	2,040,224



		Change in Unrealized Appreciation or (Depreciation ) on Derivatives Recognized in Income



Derivatives not accounted for as hedging instruments	Foreign currency related transactions*		Written options		Total


Equity contracts	$	-	$	7,950	$	7,950
Foreign exchange contracts		(1,768,959)		-		(1,768,959)

Total	$	(1,768,959)	$	7,950	$	(1,761,009)

Shares

Value

Percentage

of Net

Assets

COMMON STOCK: 97.7%

Consumer Discretionary: 18.0%

61,300

Aeropostale, Inc.

1,092,979

0.3

See Accompanying Notes to Financial Statements

ING JPMorgan Small Cap

PORTFOLIO OF INVESTMENTS

Core Equity Portfolio

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


112,100	L	Allison Transmission Holdings, Inc.	1,968,476	0.5
200,900		American Eagle Outfitters	3,963,757	0.9
34,500	L	American Greetings Corp.	504,390	0.1
43,500		Ameristar Casinos, Inc.	772,995	0.2
2,300	@	Arctic Cat, Inc.	84,088	0.0
1,600	@	Biglari Holdings, Inc.	618,224	0.1
40,700	@	Bridgepoint Education, Inc.	887,260	0.2
97,080		Brinker International, Inc.	3,093,940	0.7
40,780		Brunswick Corp.	906,132	0.2
54,100	@	Cabela’s, Inc.	2,045,521	0.5
5,000	@	Capella Education Co.	173,800	0.0
53,900	@	Carmike Cinemas, Inc.	789,635	0.2
7,600		Carriage Services, Inc.	63,232	0.0
140,340		Chico’s FAS, Inc.	2,082,646	0.5
117,170		Cinemark Holdings, Inc.	2,677,334	0.6
2,700	@	Coinstar, Inc.	185,382	0.0
82,600	@,L	Conn’s, Inc.	1,222,480	0.3
15,500		Cooper Tire & Rubber Co.	271,870	0.1
50,500	@	Corinthian Colleges, Inc.	145,945	0.0
65,485		Cracker Barrel Old Country Store	4,112,458	1.0
274		CSS Industries, Inc.	5,631	0.0
21,200	@,L	Deckers Outdoor Corp.	933,012	0.2
39,770		Dick’s Sporting Goods, Inc.	1,908,960	0.4
23,100		Dillard’s, Inc.	1,471,008	0.3
13,000	@	DineEquity, Inc.	580,320	0.1
45,100		Domino’s Pizza, Inc.	1,394,041	0.3
39,149	@	Drew Industries, Inc.	1,090,300	0.3
58,600	@	Entercom Communications Corp.	352,772	0.1
50,600	@	Express, Inc.	919,402	0.2
26,600		Finish Line	556,206	0.1
8,700	@	G-III Apparel Group Ltd.	206,103	0.0
51,200	@	Helen of Troy Ltd.	1,735,168	0.4
179,199	@,L	Iconix Brand Group, Inc.	3,130,606	0.7
28,900		Jakks Pacific, Inc.	462,689	0.1
171,631		Jarden Corp.	7,211,935	1.7
46,500	@	Journal Communications, Inc.	239,940	0.1
59,800	L	KB Home	586,040	0.1
3,500	@	Kirkland’s, Inc.	39,375	0.0
6,100	@	Knology, Inc.	119,987	0.0
31,440	@	Leapfrog Enterprises, Inc.	322,574	0.1
7,500	@	Libbey, Inc.	115,275	0.0
17,200		Lifetime Brands, Inc.	214,484	0.1
71,075	@	Lin TV Corp.	214,646	0.1
5,100		Mac-Gray Corp.	71,859	0.0
53,600	@	Maidenform Brands, Inc.	1,067,712	0.3
10,100		MDC Holdings, Inc.	329,967	0.1
99,500	@	Monarch Casino & Resort, Inc.	909,430	0.2
35,986		Morningstar, Inc.	2,081,430	0.5
42,295	@	Multimedia Games, Inc.	592,130	0.1
134,200	@	OfficeMax, Inc.	679,052	0.2
21,600	@	Orbitz Worldwide, Inc.	78,840	0.0
9,100		Oxford Industries, Inc.	406,770	0.1
102,830	@	Papa John’s International, Inc.	4,891,623	1.1


83,080	@	Penn National Gaming, Inc.	3,704,537	0.9
29,900	@	Perry Ellis International, Inc.	620,425	0.1
58,250		Pool Corp.	2,356,795	0.5
37,400		Rent-A-Center, Inc.	1,261,876	0.3
56,608	@	Ruth’s Hospitality Group, Inc.	373,613	0.1
17,000	@	Select Comfort Corp.	355,640	0.1
82,660	@	Shuffle Master, Inc.	1,140,708	0.3
94,700		Sinclair Broadcast Group, Inc.	857,982	0.2
14,900	@	Skechers USA, Inc.	303,513	0.1
40,500	@	Smith & Wesson Holding Corp.	336,555	0.1
62,600	@	Sonic Corp.	627,252	0.1
42,900		Standard Motor Products, Inc.	604,032	0.1
50,400	@,L	Standard-Pacific Corp.	311,976	0.1
11,750	@	Steven Madden Ltd.	373,062	0.1
5,300	L	Sturm Ruger & Co., Inc.	212,795	0.1
10,000	@	Tempur-Pedic International, Inc.	233,900	0.1
6,200	@,L	Tilly’s, Inc.	99,510	0.0
17,200	@,L	Vera Bradley, Inc.	362,576	0.1
74,480	@	VOXX International Corp.	694,154	0.2
			77,412,732	18.0

		Consumer Staples: 2.3%
18,500		Andersons, Inc.	789,210	0.2
21,800		B&G Foods, Inc.	579,880	0.1
3,800		Coca-Cola Bottling Co. Consolidated	244,264	0.1
18,500	@	Darling International, Inc.	305,065	0.1
36,200	L	Diamond Foods, Inc.	645,808	0.1
7,900	@	Elizabeth Arden, Inc.	306,599	0.1
10,100		Fresh Del Monte Produce, Inc.	237,047	0.1
53,910		J&J Snack Foods Corp.	3,186,081	0.7
11,400		Nash Finch Co.	244,872	0.1
31,300	@	Prestige Brands Holdings, Inc.	494,853	0.1
14,900	@	Revlon, Inc. - Class A	212,027	0.0
78,200		Spartan Stores, Inc.	1,417,766	0.3
92,100	L	Supervalu, Inc.	477,078	0.1
17,100	@,L	USANA Health Sciences, Inc.	703,152	0.2
5,700		Village Super Market	185,706	0.0
			10,029,408	2.3

		Energy: 5.3%
6,500		Alon USA Energy, Inc.	54,990	0.0
1,500	L	Apco Oil and Gas International, Inc.	27,075	0.0
58,295	@,L	Approach Resources, Inc.	1,488,854	0.3
7,400	@	Bonanza Creek Energy, Inc.	123,062	0.0
10,300	@,L	C&J Energy Services, Inc.	190,550	0.0
3,300	@	Cal Dive International, Inc.	9,570	0.0
47,700	@	Callon Petroleum Co.	203,202	0.1
63,190		Cimarex Energy Co.	3,483,033	0.8

See Accompanying Notes to Financial Statements

ING JPMorgan Small Cap

PORTFOLIO OF INVESTMENTS

Core Equity Portfolio

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


13,100	@	Clayton Williams Energy, Inc.	633,778	0.2
10,000	@	Cloud Peak Energy, Inc.	169,100	0.0
9,300		Delek US Holdings, Inc.	163,587	0.0
30,399	@	Energy XXI Bermuda Ltd.	951,185	0.2
34,100	L	EXCO Resources, Inc.	258,819	0.1
33,600	@,L	Forum Energy Technologies, Inc.	661,584	0.2
7,400	@	Georesources, Inc.	270,914	0.1
26,500	@	Gulfmark Offshore, Inc.	902,060	0.2
18,921	@	Gulfport Energy Corp.	390,340	0.1
33,400	@	Helix Energy Solutions Group, Inc.	548,094	0.1
9,400		Lufkin Industries, Inc.	510,608	0.1
5,700	@	Matrix Service Co.	64,695	0.0
33,600	@,L	McMoRan Exploration Co.	425,712	0.1
21,320	@,L	Miller Energy Resources, Inc.	106,600	0.0
532	@	Newpark Resources	3,139	0.0
229,450		Patterson-UTI Energy, Inc.	3,340,792	0.8
20,500	@,L	Renewable Energy Group, Inc.	152,315	0.0
206,040	@,L	Resolute Energy Corp.	1,971,803	0.5
11,800	@	Saratoga Resources, Inc.	69,384	0.0
35,646	@	Superior Energy Services	721,118	0.2
49,070		Tidewater, Inc.	2,274,885	0.5
55,700	@	Vaalco Energy, Inc.	480,691	0.1
53,700		W&T Offshore, Inc.	821,610	0.2
35,200	@	Warren Resources, Inc.	84,480	0.0
48,400		Western Refining, Inc.	1,077,868	0.3
8,100		World Fuel Services Corp.	308,043	0.1
			22,943,540	5.3

		Financials: 22.7%
2,800		Agree Realty Corp.	61,964	0.0
1,100		Alliance Financial Corp.	37,774	0.0
12,277		American Campus Communities, Inc.	552,219	0.1
116,900		American Equity Investment Life Holding Co.	1,287,069	0.3
12,300	@	American Safety Insurance Holdings Ltd.	230,625	0.1
219,100		Anworth Mortgage Asset Corp.	1,544,655	0.4
47,700		Ashford Hospitality Trust, Inc.	402,111	0.1
20,400		Aspen Insurance Holdings Ltd.	589,560	0.1
337,160		Associated Banc-Corp.	4,447,140	1.0
27,700		Associated Estates Realty Corp.	414,115	0.1
7,900		BankFinancial Corp.	59,487	0.0
36,900	@	BBCN Bancorp, Inc.	401,841	0.1
47,450		BGC Partners, Inc.	278,531	0.1
9,800	@	Banco Latinoamericano de Exportaciones S.A.	210,014	0.1
6,300	@	BofI Holding, Inc.	124,488	0.0
3,800		Bridge Bancorp, Inc.	89,642	0.0
8,000		OceanFirst Financial Corp.	114,880	0.0


146,905		Calamos Asset Management, Inc.	1,682,062	0.4
41,400		Capital Lease Funding, Inc.	171,810	0.0
124,000		Capstead Mortgage Corp.	1,724,840	0.4
3,215	@,L	Cascade Bancorp	19,065	0.0
31,900		Cash America International, Inc.	1,404,876	0.3
21,700		Cathay General Bancorp.	358,267	0.1
40,400		CBL & Associates Properties, Inc.	789,416	0.2
4,100		Center Bancorp, Inc.	46,125	0.0
21,500		Chesapeake Lodging Trust	370,230	0.1
12,500		Citizens & Northern Corp.	238,125	0.1
19,300	@	Citizens Republic Bancorp, Inc.	330,609	0.1
10,400	L	City Holding Co.	350,376	0.1
149,600		CNO Financial Group, Inc.	1,166,880	0.3
9,415		Colonial Properties Trust	208,448	0.1
14,500		Community Bank System, Inc.	393,240	0.1
4,270		Community Trust Bancorp., Inc.	143,002	0.0
32,200		Coresite Realty Corp.	831,404	0.2
44,696	@	Cowen Group, Inc.	118,891	0.0
80,725		DCT Industrial Trust, Inc.	508,567	0.1
26,425		DDR Corp.	386,862	0.1
52,092	@	DFC Global Corp.	960,056	0.2
13,500		Diamond Hill Investment Group, Inc.	1,056,915	0.3
8,800		Dime Community Bancshares	116,952	0.0
10,400		East-West Bancorp., Inc.	243,984	0.1
84,391		EastGroup Properties, Inc.	4,498,040	1.1
72,000		Education Realty Trust, Inc.	797,760	0.2
44,254	@	eHealth, Inc.	712,932	0.2
998		Enterprise Financial Services Corp.	10,938	0.0
86,221		Epoch Holding Corp.	1,964,114	0.5
13,200		Financial Institutions, Inc.	222,816	0.1
7,932		First Busey Corp.	38,312	0.0
160,400		First Commonwealth Financial Corp.	1,079,492	0.3
15,900		First Community Bancshares, Inc.	229,437	0.1
148,542		First Financial Bancorp.	2,373,701	0.6
117,875	@	First Industrial Realty Trust, Inc.	1,487,583	0.4
12,200		First Merchants Corp.	152,012	0.0
13,437		First Niagara Financial Group, Inc.	102,793	0.0
9,553		First of Long Island Corp.	276,750	0.1
63,476	@	First Republic Bank	2,132,794	0.5
76,422	@	FirstService Corp.	2,137,523	0.5

See Accompanying Notes to Financial Statements

ING JPMorgan Small Cap

Core Equity Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


17,400		Flagstone Reinsurance Holdings S.A.	139,374	0.0
40,500		FNB Corp.	440,235	0.1
113,600		Glacier Bancorp., Inc.	1,759,664	0.4
9,400		Gladstone Capital Corp.	74,166	0.0
24,000		Glimcher Realty Trust	245,280	0.1
44,810		Greenhill & Co., Inc.	1,597,477	0.4
94,450	@	Hanmi Financial Corp.	989,836	0.2
2,000		Heartland Financial USA, Inc.	48,000	0.0
226,024	@	HFF, Inc.	3,150,775	0.7
4,300		Home Properties, Inc.	263,848	0.1
4,800		Horace Mann Educators Corp.	83,904	0.0
12,600		Huntington Bancshares, Inc.	80,640	0.0
35,459		IBERIABANK Corp.	1,788,907	0.4
1,400		IDT Corp.	13,734	0.0
10,430		International Bancshares Corp.	203,594	0.1
233,200		Janus Capital Group, Inc.	1,823,624	0.4
51,660		JMP Group, Inc.	319,259	0.1
118,026	L	KBW, Inc.	1,941,528	0.5
32,200	@	Knight Capital Group, Inc.	384,468	0.1
7,138		Lakeland Bancorp, Inc.	75,092	0.0
5,700		Lakeland Financial Corp.	152,931	0.0
17,200		LaSalle Hotel Properties	501,208	0.1
140,399		Lexington Realty Trust	1,189,180	0.3
10,900		LTC Properties, Inc.	395,452	0.1
11,400		MainSource Financial Group, Inc.	134,862	0.0
13,996		Manning & Napier, Inc.	199,163	0.1
31,000		Meadowbrook Insurance Group, Inc.	272,490	0.1
10,400	@	MetroCorp Bancshares, Inc.	110,968	0.0
58,480		Mid-America Apartment Communities, Inc.	3,990,675	0.9
4,000		Mission West Properties	34,480	0.0
3,800		Montpelier Re Holdings Ltd.	80,902	0.0
3,900	L	National Bankshares, Inc.	117,468	0.0
49,000	@	National Financial Partners Corp.	656,600	0.2
120,120		National Retail Properties, Inc.	3,398,195	0.8
5,700		NBT Bancorp., Inc.	123,063	0.0
20,800		Nelnet, Inc.	478,400	0.1
87,375	@	Ocwen Financial Corp.	1,640,903	0.4
96,400		Omega Healthcare Investors, Inc.	2,169,000	0.5
33,600		Oriental Financial Group	372,288	0.1
15,200		PacWest Bancorp	359,784	0.1
18,240	@	Park Sterling Corp.	85,910	0.0
8,900		Parkway Properties, Inc.	101,816	0.0
59,500		Pennsylvania Real Estate Investment Trust	891,310	0.2
8,300		Peoples Bancorp., Inc.	182,434	0.0
77,793	@,L	PHH Corp.	1,359,822	0.3
27,000	@	Pinnacle Financial Partners, Inc.	526,770	0.1
7,000	@	Piper Jaffray Cos.	164,010	0.0


7,800	@,L	Preferred Bank/Los Angeles CA	104,208	0.0
57,250		ProAssurance Corp.	5,100,402	1.2
3,869		Prospect Capital Corp.	44,068	0.0
6,700		Prosperity Bancshares, Inc.	281,601	0.1
6,600		PS Business Parks, Inc.	446,952	0.1
7,900		Ramco-Gershenson Properties	99,303	0.0
1,800		Renasant Corp.	28,278	0.0
4,557		Republic Bancorp., Inc.	101,393	0.0
158,341		RLJ Lodging Trust	2,870,722	0.7
14,700		Selective Insurance Group	255,927	0.1
6,106		Senior Housing Properties Trust	136,286	0.0
15,500		Sierra Bancorp.	153,450	0.0
6,734		Southside Bancshares, Inc.	151,380	0.0
43,000	@	Southwest Bancorp., Inc.	404,630	0.1
4,000		Sun Communities, Inc.	176,960	0.0
37,800		Susquehanna Bancshares, Inc.	389,340	0.1
6,100	@	SVB Financial Group	358,192	0.1
20,090	@	SWS Group, Inc.	107,080	0.0
18,300		Trustco Bank Corp.	99,918	0.0
243,552		Umpqua Holdings Corp.	3,205,144	0.7
7,400		WesBanco, Inc.	157,324	0.0
11,900		West BanCorp., Inc.	113,169	0.0
228,633	@	Western Alliance Bancorp.	2,140,005	0.5
185,700	@	Wilshire Bancorp., Inc.	1,017,636	0.2
26,000	@	World Acceptance, Corp.	1,710,800	0.4
			97,451,771	22.7

		Health Care: 11.0%
95,800	@,L	Achillion Pharmaceuticals, Inc.	593,960	0.1
26,400	@	Acorda Therapeutics, Inc.	621,984	0.1
18,800	@	Affymax, Inc.	242,144	0.1
24,100	@	Almost Family, Inc.	538,394	0.1
68,823	@	Amsurg Corp.	2,063,314	0.5
80,200	@	Ariad Pharmaceuticals, Inc.	1,380,242	0.3
27,125	@	BioCryst Pharmaceuticals, Inc.	107,957	0.0
23,400	@	Cambrex Corp.	220,194	0.1
58,100		Cantel Medical Corp.	1,583,225	0.4
19,400	@	Celldex Therapeutics, Inc.	100,686	0.0
38,000	@	ChemoCentryx, Inc.	570,000	0.1
9,800		Computer Programs & Systems, Inc.	560,756	0.1
188,870		Coventry Health Care, Inc.	6,004,177	1.4
66,939	@,L	Cumberland Pharmaceuticals, Inc.	432,426	0.1
27,400	@	DynaVox, Inc.	30,688	0.0
50,700	@	Five Star Quality Care, Inc.	155,649	0.0
37,400	@	Genomic Health, Inc.	1,249,160	0.3
55,100	@	Greatbatch, Inc.	1,251,321	0.3
52,700	@	Halozyme Therapeutics, Inc.	466,922	0.1

See Accompanying Notes to Financial Statements

ING JPMorgan Small Cap

PORTFOLIO OF INVESTMENTS

Core Equity Portfolio

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


32,600	@	HMS Holdings Corp.	1,085,906	0.3
25,360	@	Idexx Laboratories, Inc.	2,437,857	0.6
32,200	@	Impax Laboratories, Inc.	652,694	0.2
36,900	@,L	Incyte Corp., Ltd.	837,630	0.2
27,900	@	Insulet Corp.	596,223	0.1
31,300		Invacare Corp.	482,959	0.1
14,200	@	Ironwood Pharmaceuticals, Inc.	195,676	0.1
12,300	@	Jazz Pharmaceuticals PLC	553,623	0.1
73,400	@	MedAssets, Inc.	987,230	0.2
9,400		Medicis Pharmaceutical Corp.	321,010	0.1
10,400	@	Medivation, Inc.	950,560	0.2
111,700	@	Metropolitan Health Networks, Inc.	1,068,969	0.3
19,600	@	Molina Healthcare, Inc.	459,816	0.1
33,700	@	Momenta Pharmaceuticals, Inc.	455,624	0.1
26,120	@	MWI Veterinary Supply, Inc.	2,684,352	0.6
92,400	@	Omnicell, Inc.	1,352,736	0.3
19,900	@	Orthofix International NV	820,875	0.2
12,450		Owens & Minor, Inc.	381,344	0.1
12,800	@	Par Pharmaceutical Cos., Inc.	462,592	0.1
44,100	@,L	Pharmacyclics, Inc.	2,408,301	0.6
12,600	@,L	PhotoMedex, Inc.	153,090	0.0
25,700	@	Progenics Pharmaceuticals, Inc.	251,346	0.1
161,130	@	PSS World Medical, Inc.	3,382,119	0.8
5,600	@,L	Raptor Pharmaceutical Corp.	31,304	0.0
119,000	@	RTI Biologics, Inc.	447,440	0.1
6,900	@	Salix Pharmaceuticals Ltd.	375,636	0.1
10,600	@	Sirona Dental Systems, Inc.	477,106	0.1
128,600	@	Skilled Healthcare Group, Inc.	807,608	0.2
44,600	@,L	Spectrum Pharmaceuticals, Inc.	693,976	0.2
59,900	@	Sun Healthcare Group, Inc.	501,363	0.1
9,600	@	Triple-S Management Corp.	175,488	0.0
3,440	@	VCA Antech, Inc.	75,611	0.0
8,100	@	Viropharma, Inc.	191,970	0.0
44,300	@	WellCare Health Plans, Inc.	2,347,900	0.6
			47,281,133	11.0

		Industrials: 15.7%
137,176	@	ACCO Brands Corp.	1,418,400	0.3
33,400		Actuant Corp.	907,144	0.2
17,100		Acuity Brands, Inc.	870,561	0.2
51,800	@	Alaska Air Group, Inc.	1,859,620	0.4
48,038		Altra Holdings, Inc.	758,040	0.2
22,575		Applied Industrial Technologies, Inc.	831,889	0.2
7,200		Argan, Inc.	100,656	0.0
6,400	@,L	Asset Acceptance Capital Corp.	43,520	0.0
22,925	@	Atlas Air Worldwide Holdings, Inc.	997,467	0.2
6,800	@	Avis Budget Group, Inc.	103,360	0.0


15,900		Barnes Group, Inc.	386,211	0.1
9,000	@	Beacon Roofing Supply, Inc.	226,980	0.1
237,200	@,L	Cenveo, Inc.	457,796	0.1
6,000		Ceradyne, Inc.	153,900	0.0
13,200	@	Columbus McKinnon Corp.	199,188	0.1
145,883		Comfort Systems USA, Inc.	1,461,748	0.3
3,700		Courier Corp.	49,025	0.0
3,600		Curtiss-Wright Corp.	111,780	0.0
76,700		Deluxe Corp.	1,912,898	0.4
4,000	@	Dollar Thrifty Automotive Group	323,840	0.1
124,590		Douglas Dynamics, Inc.	1,775,407	0.4
30,400		EMCOR Group, Inc.	845,728	0.2
55,100	@	Encore Capital Group, Inc.	1,632,062	0.4
19,700	@	EnerSys	690,879	0.2
38,100	@	EnPro Industries, Inc.	1,423,797	0.3
15,300	@	Esterline Technologies Corp.	953,955	0.2
42,900	@	Federal Signal Corp.	250,536	0.1
46,507		Forward Air Corp.	1,500,781	0.4
2,500		Freightcar America, Inc.	57,425	0.0
118,900	@	Gencorp, Inc.	774,039	0.2
16,700		Generac Holdings, Inc.	401,802	0.1
3,125	@	Gibraltar Industries, Inc.	32,438	0.0
5,300	@	GP Strategies Corp.	97,891	0.0
6,354	@	Hawaiian Holdings, Inc.	41,365	0.0
167,051		Herman Miller, Inc.	3,093,785	0.7
46,920	@	Interline Brands, Inc.	1,176,284	0.3
17,900	@	Kadant, Inc.	419,755	0.1
121,090	@	KAR Auction Services, Inc.	2,081,537	0.5
15,500		Kelly Services, Inc.	200,105	0.1
144,870		Knight Transportation, Inc.	2,316,471	0.5
32,600		Knoll, Inc.	437,492	0.1
8,600		LB Foster Co.	246,046	0.1
21,300	@	LMI Aerospace, Inc.	370,194	0.1
32,300	@	Mastec, Inc.	485,792	0.1
7,000	@	Michael Baker Corp.	182,630	0.0
11,400	@,L	MRC Global, Inc.	242,592	0.1
5,300		Nacco Industries, Inc.	616,125	0.1
67,710	@	NCI Building Systems, Inc.	733,299	0.2
26,900	@	NN, Inc.	274,649	0.1
10,200	@	Park-Ohio Holdings Corp.	194,106	0.1
7,000	@	Portfolio Recovery Associates, Inc.	638,820	0.2
3,100	@,L	Proto Labs, Inc.	89,156	0.0
42,769	L	Quad/Graphics, Inc.	615,018	0.1
60,200	@	Quality Distribution, Inc.	667,618	0.2
82,161	@	RBC Bearings, Inc.	3,886,215	0.9
55,400		Regal-Beloit Corp.	3,449,204	0.8
74,100	@	Republic Airways Holdings, Inc.	411,255	0.1
135,909	@,L	Rexnord Corp.	2,723,616	0.6
7,300		Robbins & Myers, Inc.	305,286	0.1
2,600	@	RPX Corp.	37,310	0.0
28,500		SeaCube Container Leasing Ltd.	486,495	0.1
2,600		Standex International Corp.	110,682	0.0
42,300	@	Swift Transporation Co.	399,735	0.1

See Accompanying Notes to Financial Statements

ING JPMorgan Small Cap

Core Equity Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


5,200	@	Team, Inc.	162,136	0.0
33,600		Toro Co.	2,462,544	0.6
24,600	@	TransDigm Group, Inc.	3,303,780	0.8
26,400	@	Trimas Corp.	530,640	0.1
30,150		Triumph Group, Inc.	1,696,541	0.4
9,400	@	Tutor Perini Corp.	119,098	0.0
3,500		Unifirst Corp.	223,125	0.1
9,000	@	United Rentals, Inc.	306,360	0.1
11,100		United Stationers, Inc.	299,145	0.1
32,400	@	US Airways Group, Inc.	431,892	0.1
3,700		VSE Corp.	88,023	0.0
24,400		Wabtec Corp.	1,903,444	0.4
160,295		Waste Connections, Inc.	4,796,026	1.1
3,200		Watts Water Technologies, Inc.	106,688	0.0
35,900	@,L	Wesco Aircraft Holdings, Inc.	457,007	0.1
			67,429,849	15.7

		Information Technology: 12.1%
117,000	@,L	Active Network, Inc./The	1,800,630	0.4
19,923	@	Actuate Corp.	138,066	0.0
67,500	@,L	Amkor Technology, Inc.	329,400	0.1
56,690		Anixter International, Inc.	3,007,404	0.7
65,920	@	Arris Group, Inc.	916,947	0.2
68,700	@	Aspen Technology, Inc.	1,590,405	0.4
11,100	@	Audience, Inc.	214,008	0.1
33,968	@	Aviat Networks, Inc.	95,110	0.0
8,200	@,L	Bazaarvoice, Inc.	149,240	0.0
19,600		Black Box Corp.	562,520	0.1
4,200	@	Brightpoint, Inc.	22,722	0.0
18,700		Brooks Automation, Inc.	176,528	0.0
22,000	@	CACI International, Inc.	1,210,440	0.3
17,600	@	CalAmp Corp.	129,008	0.0
58,000	@	Cirrus Logic, Inc.	1,733,040	0.4
11,100		Comtech Telecommunications	317,238	0.1
9,500	@	CSG Systems International	164,160	0.0
6,900	@,L	Demandware, Inc.	163,461	0.0
183,161	@	Dice Holdings, Inc.	1,719,882	0.4
18,800	L	Ebix, Inc.	375,060	0.1
58,130	@	Entegris, Inc.	496,430	0.1
30,500	@	Entropic Communications, Inc.	172,020	0.0
17,200	@	Envivio, Inc.	110,252	0.0
5,100	@,L	ExactTarget, Inc.	111,486	0.0
5,025		FEI Co.	240,396	0.1
93,000	@,L	Freescale Semiconductor Holdings Ltd.	953,250	0.2
12,600	@,L	Fusion-io, Inc.	263,214	0.1
9,800	@	Gartner, Inc.	421,890	0.1
19,000	@	Global Cash Access, Inc.	136,990	0.0
33,100	@,L	Glu Mobile, Inc.	183,705	0.0
179,200	@	GT Advanced Technologies, Inc.	946,176	0.2
3,900	@,L	Guidewire Software, Inc.	109,668	0.0
9,100	@	Imation Corp.	53,781	0.0
1,900	@	Imperva, Inc.	54,758	0.0
9,700	@,L	Infoblox, Inc.	222,421	0.1
12,900	@	Insight Enterprises, Inc.	217,107	0.1
14,200	@	Integrated Silicon Solution, Inc.	143,278	0.0
24,300	@	Intermolecular, Inc.	188,325	0.1


56,629	@	JDA Software Group, Inc.	1,681,315	0.4
3,500	@,L	Jive Software, Inc.	73,465	0.0
13,700	@	Key Tronic Corp.	112,888	0.0
179,600	@	Kulicke & Soffa Industries, Inc.	1,602,032	0.4
33,550	@	Lattice Semiconductor Corp.	126,484	0.0
6,900		Littelfuse, Inc.	392,541	0.1
4,900	@	M/A-COM Technology Solutions Holdings, Inc.	90,650	0.0
4,900	@	Manhattan Associates, Inc.	223,979	0.1
5,700	L	Mantech International Corp.	133,779	0.0
5,400		MAXIMUS, Inc.	279,450	0.1
3,300	@	Measurement Specialties, Inc.	107,283	0.0
10,600		Micrel, Inc.	101,018	0.0
61,770	@	Micros Systems, Inc.	3,162,624	0.7
95,925	@	Monotype Imaging Holdings, Inc.	1,608,662	0.4
5,900	@	Netgear, Inc.	203,609	0.1
10,600	@	Netscout Systems, Inc.	228,854	0.1
27,197	@	NetSuite, Inc.	1,489,580	0.4
19,200	@	Newport Corp.	230,784	0.1
6,000	@	Oplink Communications, Inc.	81,180	0.0
24,460	@	Parametric Technology Corp.	512,682	0.1
19,000	@	Photronics, Inc.	115,900	0.0
14,000		Plantronics, Inc.	467,600	0.1
5,400	@	Plexus Corp.	152,280	0.0
76,300	@	PMC - Sierra, Inc.	468,482	0.1
24,600	@	Polycom, Inc.	258,792	0.1
15,300	@	Progress Software Corp.	319,311	0.1
2,700	@,L	Proofpoint, Inc.	45,765	0.0
20,900	@	Quest Software, Inc.	582,065	0.1
23,195	@	Radisys Corp.	145,665	0.0
4,300	@	Rovi Corp.	84,366	0.0
41,280	@	SciQuest, Inc.	741,389	0.2
53,000	@	Skyworks Solutions, Inc.	1,450,610	0.3
18,550	@	SolarWinds, Inc.	808,038	0.2
70,520		Solera Holdings, Inc.	2,947,031	0.7
22,400	@,L	Splunk, Inc.	629,440	0.2
12,900	@	SS&C Technologies Holdings, Inc.	322,500	0.1
8,300	@,L	Synaptics, Inc.	237,629	0.1
33,000	@	SYNNEX Corp.	1,138,170	0.3
56,500	@	Take-Two Interactive Software, Inc.	534,490	0.1
28,800	@	TeleNav, Inc.	176,544	0.0
9,800	@	TeleTech Holdings, Inc.	156,800	0.0
12,000	@	TIBCO Software, Inc.	359,040	0.1
74,842	@,L	Travelzoo, Inc.	1,700,410	0.4
17,700	@	TTM Technologies, Inc.	166,557	0.0
9,520	@	Unisys Corp.	186,116	0.1
288,753		United Online, Inc.	1,218,538	0.3
14,100	@	Vantiv, Inc.	328,389	0.1
19,168	@	VeriFone Holdings, Inc.	634,269	0.2
16,200	@,L	VirnetX Holding Corp.	571,050	0.1
12,500	@	Websense, Inc.	234,125	0.1
11,000	@	Wright Express Corp.	678,920	0.2
16,000		Xyratex Ltd.	180,960	0.0

See Accompanying Notes to Financial Statements


ING JPMorgan Small Cap		PORTFOLIO OF INVESTMENTS
Core Equity Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


41,935	@,L	Zillow, Inc.	1,619,949	0.4
			51,944,465	12.1

		Materials: 6.9%
25,900		Airgas, Inc.	2,175,859	0.5
73,010		Aptargroup, Inc.	3,727,161	0.9
13,400		Boise, Inc.	88,172	0.0
36,700		Buckeye Technologies, Inc.	1,045,583	0.2
33,200	@	Coeur d’Alene Mines Corp.	582,992	0.1
26,460		Compass Minerals International, Inc.	2,018,369	0.5
100,750	@	Crown Holdings, Inc.	3,474,867	0.8
2,500		FutureFuel Corp.	26,275	0.0
32,500		Georgia Gulf Corp.	834,275	0.2
77,300	@	Graphic Packaging Holding Co.	425,150	0.1
14,900		HB Fuller Co.	457,430	0.1
77,456	@	Headwaters, Inc.	398,898	0.1
17,900		Hecla Mining Co.	85,025	0.0
3,200	@	Innospec, Inc.	94,752	0.0
21,200		Koppers Holdings, Inc.	720,800	0.2
106,200		Noranda Aluminum Holding Corp.	845,352	0.2
37,400	@	Omnova Solutions, Inc.	281,996	0.1
32,000		PolyOne Corp.	437,760	0.1
37,800	@,L	Revett Minerals, Inc.	124,362	0.0
19,400		Rock-Tenn Co.	1,058,270	0.2
47,320	L	Scotts Miracle-Gro Co.	1,945,798	0.5
149,890		Silgan Holdings, Inc.	6,398,804	1.5
23,800		Solutia, Inc.	667,590	0.2
13,700	@	TPC Group, Inc.	506,215	0.1
33,200	@,L	US Silica Holdings, Inc.	373,832	0.1
41,650		Worthington Industries	852,576	0.2
			29,648,163	6.9

		Telecommunication Services: 0.6%
449,500	@	Cincinnati Bell, Inc.	1,672,140	0.4
17,300	L	Consolidated Communications Holdings, Inc.	256,040	0.1
13,530		Lumos Networks Corp.	127,859	0.0
66,300	@	Premier Global Services, Inc.	556,257	0.1
82,200	@	Vonage Holdings Corp.	165,222	0.0
			2,777,518	0.6

		Utilities: 3.1%
1,278		AGL Resources, Inc.	49,523	0.0
3,100		Artesian Resources Corp.	66,774	0.0
3,000		Chesapeake Utilities Corp.	131,160	0.0
31,300		El Paso Electric Co.	1,037,908	0.2
11,000		Empire District Electric Co.	232,100	0.1
1,400		Genie Energy Ltd	10,878	0.0
18,200		Idacorp, Inc.	765,856	0.2
6,200		Laclede Group, Inc.	246,822	0.1
6,200		MGE Energy, Inc.	293,260	0.1
15,350		New Jersey Resources Corp.	669,413	0.2
62,620		Northwest Natural Gas Co.	2,980,712	0.7
97,910		NorthWestern Corp.	3,593,297	0.8


74,600		Portland General Electric Co.		1,988,836		0.5
8,700		Southwest Gas Corp.		379,755		0.1
7,600		UNS Energy Corp.		291,916		0.1
6,200		Westar Energy, Inc.		185,690		0.0
5,500		WGL Holdings, Inc.		218,625		0.0
				13,142,525		3.1

	Total Common Stock (Cost $362,097,542)			420,061,104		97.7

Principal Amount†			Value		Percentage of Net Assets
U.S. TREASURY OBLIGATIONS: 0.2%
		U.S. Treasury Bonds: 0.2%
885,000	S 0.500% due 11/30/12			886,314		0.2

	Total U.S. Treasury Obligations (Cost $886,291)			886,314		0.2

	Total Long-Term Investments (Cost $362,983,833)			420,947,418		97.9

SHORT-TERM INVESTMENTS: 8.6%
		Securities Lending Collateral^cc⁽¹⁾: 6.8%
6,964,774		BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $6,964,883, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $7,104,069, due 05/01/32-06/01/42)		6,964,774		1.6
6,964,774		Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $6,964,888, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $7,104,069, due 07/01/42-02/20/61)		6,964,774		1.6
6,964,774		Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $6,964,877, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $7,104,069, due 04/01/24-06/01/42)		6,964,774		1.6

See Accompanying Notes to Financial Statements

ING JPMorgan Small Cap

PORTFOLIO OF INVESTMENTS

Core Equity Portfolio

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


6,964,774	Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $6,964,917, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $7,104,069, due 10/01/14-02/25/44)	6,964,774	1.6

1,466,265	UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,466,289, collateralized by various U.S. Government Agency Obligations, 3.000%-6.500%, Market Value plus accrued interest $1,495,590, due 07/01/21-04/01/42)	1,466,265	0.4

		29,325,361	6.8

Shares		Value	Percentage of Net Assets
	Mutual Funds: 1.8%
7,563,327	BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $7,563,327)	7,563,327	1.8


	Total Short-Term Investments (Cost $36,888,688)	36,888,688	8.6


	Total Investments in Securities (Cost $399,872,521)	$ 457,836,106	106.5
	Liabilities in Excess of Other Assets	(27,809,080)	(6 .5)

	Net Assets	$ 430,027,026	100.0

†	Unless otherwise indicated, principal amount is shown in USD.

@	Non-income producing security

cc	Securities purchased with cash collateral for securities loaned.

S	All or a portion of this security has been identified by the Fund to cover future collateral requirements for applicable futures, options, swaps, foreign currency contracts and/or when-issued or delayed-delivery securities.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.


Cost for federal income tax purposes is $503,766,587.

Net unrealized depreciation consists of:

Gross Unrealized Appreciation			$81,119,434
Gross Unrealized Depreciation			(127,049,915)


Net Unrealized Depreciation			$(45,930,481)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:

See Accompanying Notes to Financial Statements

ING JPMorgan Small Cap

PORTFOLIO OF INVESTMENTS

Core Equity Portfolio

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock*	$	420,061,104	$	–	$	–	$	420,061,104
Short-Term Investments		7,563,327		29,325,361		–		36,888,688
U.S. Treasury Obligations		–		886,314		–		886,314

Total Investments, at fair value	$	427,624,431	$	30,211,675	$	–	$	457,836,106

Other Financial Instruments+
Futures		154,869		–		–		154,869

Total Assets	$	427,779,300	$	30,211,675	$	–	$	457,990,975

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

ING JPMorgan Small Cap Core Equity Portfolio Open Futures Contracts on June 30, 2012:


Contract Description	Number of Contracts	Expiration Date		Notional Value		Unrealized Appreciation/ (Depreciation)
Long Contracts
Russell 2000® Mini Index	46		09/21/12	$	3,658,840	$	154,869

				$	3,658,840	$	154,869

A summary of derivative instruments by primary risk exposure is outlined in the following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities			Fair Value

Asset Derivatives

Equity contracts		Net Assets- Unrealized appreciation	*	$	154,869

Total Asset Derivatives				$	154,869

* Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments.

See Accompanying Notes to Financial Statements

ING JPMorgan Small Cap

PORTFOLIO OF INVESTMENTS

Core Equity Portfolio

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2012 was as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income


Derivatives not accounted for as hedging instruments	Futures

Equity contracts	$	284,442

Total	$	284,442

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income


Derivatives not accounted for a hedging instruments	Futures

Equity contracts	$	98,287

Total	$	98,287

See Accompanying Notes to Financial Statements

ING Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 98.0%
		Consumer Discretionary: 16.8%
579,810		CBS Corp. - Class B		19,006,172		1.4
845,090		Comcast Corp. – Class A		27,017,527		2.0
438,750		Harley-Davidson, Inc.		20,064,037		1.4
571,690		Home Depot, Inc.		30,293,853		2.2
515,571		Macy’s, Inc.		17,709,864		1.3
398,346	@	Michael Kors Holdings Ltd.		16,666,797		1.2
103,020		Petsmart, Inc.		7,023,904		0.5
35,500	@	Priceline.com, Inc.		23,590,460		1.7
531,320		Starbucks Corp.		28,329,982		2.0
420,440		Walt Disney Co.		20,391,340		1.5
418,559		Wyndham Worldwide Corp.		22,074,802		1.6
				232,168,738		16.8

		Consumer Staples: 13.2%
252,940		Beam, Inc.		15,806,221		1.2
728,560		Coca-Cola Enterprises, Inc.		20,428,823		1.5
324,900		Costco Wholesale Corp.		30,865,500		2.2
123,860		Estee Lauder Cos., Inc.		6,703,303		0.5
142,279	@	Monster Beverage Corp.		10,130,265		0.7
557,370		Philip Morris International, Inc.		48,636,106		3.5
469,570		Wal-Mart Stores, Inc.		32,738,420		2.4
179,160		Whole Foods Market, Inc.		17,077,531		1.2
				182,386,169		13.2

		Energy: 4.7%
188,450		EOG Resources, Inc.		16,981,229		1.2
213,100		ExxonMobil Corp.		18,234,967		1.3
524,040		Halliburton Co.		14,877,496		1.1
231,460		National Oilwell Varco, Inc.		14,915,282		1.1
				65,008,974		4.7

		Financials: 4.9%
377,678		American Express Co.		21,984,636		1.6
283,280		Ameriprise Financial, Inc.		14,804,213		1.1
117,390		Blackrock, Inc.		19,935,170		1.4
229,100		Prudential Financial, Inc.		11,095,313		0.8
				67,819,332		4.9

		Health Care: 12.0%
509,940		Abbott Laboratories		32,875,832		2.4
146,610	@	Biogen Idec, Inc.		21,167,552		1.5
423,280		Cardinal Health, Inc.		17,777,760		1.3
86,270		Cooper Cos., Inc.		6,880,895		0.5
406,430		Covidien PLC		21,744,005		1.6
422,780	@	Gilead Sciences, Inc.		21,680,158		1.6
366,448		Johnson & Johnson		24,757,227		1.8


244,610	@	Watson Pharmaceuticals, Inc.		18,098,694	1.3
				164,982,123	12.0

		Industrials: 10.8%
281,790		Ametek, Inc.		14,064,139	1.0
490,180		Danaher Corp.		25,528,574	1.8
232,650		Dover Corp.		12,472,367	0.9
299,060		Pall Corp.		16,391,479	1.2
224,110		Roper Industries, Inc.		22,092,764	1.6
435,700		Tyco International Ltd.		23,026,745	1.7
216,840		Union Pacific Corp.		25,871,180	1.9
344,120		Waste Connections, Inc.		10,296,070	0.7
				149,743,318	10.8

		Information Technology: 32.8%
625,100	@	Adobe Systems, Inc.		20,234,487	1.5
493,670		Analog Devices, Inc.		18,596,549	1.4
213,440	@	Apple, Inc.		124,648,960	9.0
219,210	@	Citrix Systems, Inc.		18,400,487	1.3
85,375	@	Google, Inc. - Class A		49,523,476	3.6
237,980		Intuit, Inc.		14,124,113	1.0
355,461	@	Lam Research Corp.		13,415,098	1.0
194,750	@	Micros Systems, Inc.		9,971,200	0.7
1,891,070		Microsoft Corp.		57,847,831	4.2
574,680	@	NetApp, Inc.		18,286,318	1.3
1,090,340	@	Nvidia Corp.		15,068,499	1.1
1,503,747		Oracle Corp.		44,661,286	3.2
488,620		Qualcomm, Inc.		27,206,362	2.0
169,450		Visa, Inc.		20,949,103	1.5
				452,933,769	32.8

		Materials: 2.8%
217,240		Eastman Chemical Co.		10,942,379	0.8
338,660		Monsanto Co.		28,034,275	2.0
				38,976,654	2 .8
	Total Common Stock (Cost $1,211,461,367)			1,354,019,077	98.0


SHORT-TERM INVESTMENTS: 2.5%
		Mutual Funds: 2.5%
34,369,000		BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $34,369,000)		34,369,000	2 .5

	Total Short-Term Investments (Cost $34,369,000)			34,369,000	2 .5

	Total Investments in Securities (Cost $1,245,830,367)		$	1,388,388,077	100.5
	Liabilities in Excess of Other Assets			(7,080,682)	(0 .5)

	Net Assets		$	1,381,307,395	100.0

Non-income producing security

See Accompanying Notes to Financial Statements

ING Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


		Cost for federal income tax purposes is $1,246,537,614.

		Net unrealized appreciation consists of:

		Gross Unrealized Appreciation			$ 169,266,367
		Gross Unrealized Depreciation			(27,415,904)


		Net Unrealized Appreciation			$ 141,850,463

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock*		$ 1,354,019,077	$	–	$	–	$	1,354,019,077
Short-Term Investments		34,369,000		–		–		34,369,000

Total Investments, at fair value		$ 1,388,388,077	$	–	$	–	$	1,388,388,077

See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information.

For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 97.2%
		Consumer Discretionary: 9.8%
133,300		CBS Corp. - Class B		4,369,574		1.3
178,300		Comcast Corp. – Class A		5,700,251		1.7
112,566	@	Delphi Automotive PLC		2,870,433		0.9
104,200		Foot Locker, Inc.		3,186,436		0.9
219,700		Lowe’s Cos., Inc.		6,248,268		1.9
109,100		Macy’s, Inc.		3,747,585		1.1
187,600		Newell Rubbermaid, Inc.		3,403,064		1.0
65,200		Wyndham Worldwide Corp.		3,438,648		1.0
				32,964,259		9.8

		Consumer Staples: 5.5%
171,200		Altria Group, Inc.		5,914,960		1.7
154,600		Coca-Cola Enterprises, Inc.		4,334,984		1.3
42,900		JM Smucker Co.		3,239,808		1.0
83,500		Procter & Gamble Co.		5,114,375		1.5
				18,604,127		5.5

		Energy: 16.2%
41,100		Diamond Offshore Drilling		2,430,243		0.7
125,500		EnCana Corp.		2,614,165		0.8
56,100	@	Ensco PLC		2,635,017		0.8
34,800		EOG Resources, Inc.		3,135,828		1.0
282,100		ExxonMobil Corp.		24,139,297		7.2
203,700		Halliburton Co.		5,783,043		1.7
53,800		National Oilwell Varco, Inc.		3,466,872		1.0
105,700	@	Rowan Companies PLC		3,417,281		1.0
50,800		Royal Dutch Shell PLC - Class A ADR		3,425,444		1.0
143,200		Statoil ASA ADR		3,416,752		1.0
				54,463,942		16.2

		Financials: 23.7%
158,900	L	AllianceBernstein Holding LP		2,016,441		0.6
70,300		Ameriprise Financial, Inc.		3,673,878		1.1
107,800		Axis Capital Holdings Ltd.		3,508,890		1.0
159,300		BB&T Corp.		4,914,405		1.5
141,400		Blackstone Group LP		1,848,098		0.5
81,600		Citigroup, Inc.		2,236,656		0.7
77,400		Entertainment Properties Trust		3,181,914		0.9
254,400		Fifth Third Bancorp.		3,408,960		1.0
333,300		First Niagara Financial Group, Inc.		2,549,745		0.8
243,600		JPMorgan Chase & Co.		8,703,828		2.6
441,600		Keycorp		3,417,984		1.0
364,000		MFA Mortgage Investments, Inc.		2,871,960		0.9
74,500		PNC Financial Services Group, Inc.		4,552,695		1.4
70,800		Prudential Financial, Inc.		3,428,844		1.0
70,900		Travelers Cos., Inc.		4,526,256		1.3


204,900		US Bancorp.	6,589,584	2.0
145,100		Weingarten Realty Investors	3,821,934	1.1
316,500		Wells Fargo & Co.	10,583,760	3.1
195,300		XL Group PLC	4,109,112	1.2
			79,944,944	23.7

		Health Care: 10.9%
58,000		Abbott Laboratories	3,739,260	1.1
45,700		Baxter International, Inc.	2,428,955	0.7
87,700		Cardinal Health, Inc.	3,683,400	1.1
92,000		Medtronic, Inc.	3,563,160	1.1
252,800		Merck & Co., Inc.	10,554,400	3.1
552,100		Pfizer, Inc.	12,698,300	3.8
			36,667,475	10 .9

		Industrials: 8.4%
58,300		Boeing Co.	4,331,690	1.3
61,100		Dover Corp.	3,275,571	1.0
69,100		Fluor Corp.	3,409,394	1.0
76,600		General Dynamics Corp.	5,052,536	1.5
254,200		General Electric Co.	5,297,528	1.6
56,800		Union Pacific Corp.	6,776,808	2.0
			28,143,527	8 .4

		Information Technology: 7.5%
6,400	@	Apple, Inc.	3,737,600	1.1
360,200		Applied Materials, Inc.	4,127,892	1.2
387,200		Intel Corp.	10,318,880	3.1
101,100		Jabil Circuit, Inc.	2,055,363	0.6
165,900		Microsoft Corp.	5,074,881	1.5
			25,314,616	7 .5

		Materials: 4.3%
67,500		EI Du Pont de Nemours & Co.	3,413,475	1.0
113,000		Freeport-McMoRan Copper & Gold, Inc.	3,849,910	1.2
107,500		Nucor Corp.	4,074,250	1.2
106,200		Packaging Corp. of America	2,999,088	0.9
			14,336,723	4 .3

		Telecommunication Services: 4.0%
234,000		AT&T, Inc.	8,344,440	2.5
129,253		CenturyTel, Inc.	5,104,201	1.5
			13,448,641	4 .0

		Utilities: 6.9%
249,700		CenterPoint Energy, Inc.	5,161,299	1.5
69,600		DTE Energy Co.	4,129,368	1.2
58,800		Entergy Corp.	3,991,932	1.2
211,800		Great Plains Energy, Inc.	4,534,638	1.4
182,000		UGI Corp.	5,356,260	1.6
			23,173,497	6 .9
		Total Common Stock (Cost $314,206,410)	327,061,751	97.2

See Accompanying Notes to Financial Statements

ING Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Principal
Amount†

Value

Percentage
of Net
Assets

SHORT-TERM INVESTMENTS: 3.0%

Securities Lending Collateral^cc⁽¹⁾: 0.5%

816,579

Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $816,592, collateralized by various U.S. Government Agency Obligations, 0.000%- 7.000%, Market Value plus accrued interest $832,911, due 07/01/42-02/20/61)

816,579

0.2

1,000,000

0.3

1,816,579

0.5

Shares

Value

Percentage
of Net
Assets

Mutual Funds: 2.5%

8,252,000

BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $8,252,000)

8,252,000

2.5

Total Short-Term

Investments

(Cost $10,068,579)

10,068,579

3 .0

Total Investments in Securities (Cost $324,274,989)

337,130,330

100.2

Liabilities in Excess of Other Assets

(575,775)

(0 .2)

Net Assets

336,554,555

100.0

†

Unless otherwise indicated, principal amount is shown in USD.

Non-income producing security

ADR

American Depositary Receipt

Securities purchased with cash collateral for securities loaned.

Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)

Collateral received from brokers for securities lending was invested into these short-term investments.


Cost for federal income tax purposes is $325,733,766.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation	$	23,205,744
Gross Unrealized Depreciation		(11,809,180)


Net Unrealized Appreciation	$	11,396,564

See Accompanying Notes to Financial Statements

ING Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock*	$	327,061,751	$	–	$	–	$	327,061,751
Short-Term Investments		8,252,000		1,816,579		–		10,068,579

Total Investments, at fair value	$	335,313,751	$	1,816,579	$	–	$	337,130,330

See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information.

For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING Limited Maturity Bond Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Principal Amount†			Value		Percentage of Net Assets
CORPORATE BONDS/NOTES: 35.6%
		Consumer Discretionary: 1.4%
708,000		Comcast Cable Communications LLC, 7.125%, 06/15/13		749,239		0.2
1,003,000		COX Communications, Inc., 4.625%, 06/01/13		1,038,432		0.3
571,000		Home Depot, Inc., 5.250%, 12/16/13		609,321		0.2
834,000		McDonald’s Corp., 0.750%, 05/29/15		834,621		0.2
409,000		Time Warner Cable, Inc., 7.500%, 04/01/14		453,681		0.1
1,265,000		Walt Disney Co/The, 0.875%, 12/01/14		1,273,718		0.4
				4,959,012		1.4

		Consumer Staples: 3.1%
750,000		Altria Group, Inc., 8.500%, 11/10/13		824,256		0.2
279,000		Anheuser-Busch InBev Worldwide, Inc., 5.375%, 11/15/14		307,782		0.1
1,270,000	L	Coca-Cola Co/The, 0.750%, 03/13/15		1,273,581		0.4
750,000		Coca-Cola Co/The, 1.800%, 09/01/16		771,388		0.2
489,000		Colgate-Palmolive Co., 1.250%, 05/01/14		495,322		0.1
180,000		HJ Heinz Co., 1.500%, 03/01/17		179,870		0.1
750,000		Kellogg Co., 1.125%, 05/15/15		754,245		0.2
833,000	#	Kraft Foods Group, Inc., 1.625%, 06/04/15		842,530		0.3
345,000		Lorillard Tobacco Co., 3.500%, 08/04/16		360,128		0.1
658,000		PepsiCo, Inc., 0.875%, 10/25/13		659,784		0.2
350,000		PepsiCo, Inc./NC, 0.800%, 08/25/14		351,514		0.1
750,000		Philip Morris International, Inc., 2.500%, 05/16/16		787,978		0.2
693,000		Philip Morris International, Inc., 4.875%, 05/16/13		718,877		0.2
925,000		Procter & Gamble Co/The, 0.700%, 08/15/14		927,985		0.3
290,000		Procter & Gamble Co/The, 1.450%, 08/15/16		295,997		0.1
355,000	#	SABMiller Holdings, Inc., 1.850%, 01/15/15		360,337		0.1
650,000		Wal-Mart Stores, Inc., 1.625%, 04/15/14		662,739		0.2
				10,574,313		3.1

		Energy: 2.4%
621,000		BP Capital Markets PLC, 1.068%, 03/11/14		625,614		0.2
633,000		BP Capital Markets PLC, 5.250%, 11/07/13		670,993		0.2


1,000,000		Cameron International Corp., 1.600%, 04/30/15	1,001,536	0.3
785,000		ConocoPhillips, 4.600%, 01/15/15	860,036	0.3
465,000		Enterprise Products Operating LP, 5.600%, 10/15/14	509,988	0.2
410,000		Petrobras International Finance Co. - Pifco, 2.875%, 02/06/15	417,227	0.1
833,000	#	Phillips 66, 1.950%, 03/05/15	839,617	0.2
1,385,000		Shell International Finance BV, 3.100%, 06/28/15	1,478,890	0.4
783,000		Spectra Energy Capital LLC, 5.900%, 09/15/13	822,885	0.2
792,000		Valero Energy Corp., 4.750%, 06/15/13	819,189	0.2
345,000		Weatherford International Ltd., Bermuda, 5.150%, 03/15/13	354,399	0.1
			8,400,374	2.4

		Financials: 17.6%
498,000	#	ABN Amro Bank NV, 3.000%, 01/31/14	500,381	0.2
612,000		Aegon NV, 1.747%, 12/31/49	273,338	0.1
749,000		Allstate Corp., 6.200%, 05/16/14	824,318	0.2
3,980,000		Ally Financial, Inc., 2.200%, 12/19/12	4,016,763	1.2
670,000		American Express Credit Corp., 1.750%, 06/12/15	678,191	0.2
400,000		American Express Co., 4.875%, 07/15/13	416,078	0.1
600,000	#	American Honda Finance Corp., 1.850%, 09/19/14	607,987	0.2
489,000		American International Group, Inc., 3.650%, 01/15/14	499,756	0.1
750,000	#	Australia & New Zealand Banking Group Ltd., 2.125%, 01/10/14	759,230	0.2
925,000		Bank of America Corp., 4.900%, 05/01/13	946,107	0.3
925,000	#,L	Bank of Montreal, 1.300%, 10/31/14	938,159	0.3
1,515,000		Bank of New York Mellon Corp./The, 1.200%, 02/20/15	1,524,335	0.4
777,000		Bank of Nova Scotia, 2.375%, 12/17/13	795,787	0.2
1,250,000		Barclays Bank PLC, 2.375%, 01/13/14	1,253,515	0.4
725,000		BB&T Corp., 2.050%, 04/28/14	740,215	0.2
700,000		BB&T Corp., 5.200%, 12/23/15	771,098	0.2
1,380,000		Berkshire Hathaway Finance Corp., 2.450%, 12/15/15	1,441,650	0.4

See Accompanying Notes to Financial Statements

ING Limited Maturity Bond Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


750,000		BlackRock, Inc., 1.375%, 06/01/15	756,008	0.2
667,000	#,L	BNP Paribas Home Loan Covered Bonds SA, 2.200%, 11/02/15	668,597	0.2
569,000	#	Caisse Centrale Desjardins du Quebec, 1.700%, 09/16/13	574,842	0.2
439,000		Capital One Bank USA NA, 6.500%, 06/13/13	460,203	0.1
750,000		Caterpillar Financial Services Corp., 1.100%, 05/29/15	754,842	0.2
1,440,000		Caterpillar Financial Services Corp., 1.375%, 05/20/14	1,458,449	0.4
1,435,000		Citigroup, Inc., 5.125%, 05/05/14	1,497,151	0.4
523,000		Citigroup, Inc., 6.000%, 12/13/13	549,876	0.2
993,000		Citigroup, Inc., 2.650%, 03/02/15	993,640	0.3
624,000		Cooperatieve Centrale Raiffeisen- Boerenleenbank BA/Netherlands, 1.850%, 01/10/14	628,790	0.2
1,645,000		Credit Suisse/New York NY, 3.500%, 03/23/15	1,706,618	0.5
777,000		First Tennessee Bank NA, 4.625%, 05/15/13	794,013	0.2
505,000		Ford Motor Credit Co. LLC, 2.750%, 05/15/15	509,516	0.2
400,000		General Electric Capital Corp., 4.750%, 09/15/14	429,248	0.1
625,000		General Electric Capital Corp., 2.100%, 01/07/14	635,003	0.2
1,775,000		General Electric Capital Corp., 2.150%, 01/09/15	1,806,235	0.5
1,000,000		General Electric Capital Corp., 3.750%, 11/14/14	1,050,596	0.3
2,540,000		Goldman Sachs Group, Inc./The, 0.958%, 01/12/15	2,397,618	0.7
500,000		Goldman Sachs Group, Inc./The, 1.466%, 02/07/14	494,258	0.1
791,000		Hartford Financial Services Group, Inc., 4.750%, 03/01/14	820,107	0.2
470,000		HCP, Inc., 2.700%, 02/01/14	477,728	0.1
372,000		Health Care REIT, Inc., 3.625%, 03/15/16	382,874	0.1
650,000		HSBC USA, Inc., 2.375%, 02/13/15	657,906	0.2
578,000		HSBC Finance Corp., 4.750%, 07/15/13	596,760	0.2
550,000	#	International Lease Finance Corp., 6.500%, 09/01/14	583,000	0.2
779,000		John Deere Capital Corp., 1.600%, 03/03/14	791,646	0.2


1,505,000		JPMorgan Chase & Co., 2.050%, 01/24/14	1,522,151	0.4
1,800,000		JPMorgan Chase & Co., 3.700%, 01/20/15	1,878,916	0.6
1,370,000		Merrill Lynch & Co., Inc., 5.000%, 02/03/14	1,417,549	0.4
400,000		MetLife, Inc., 2.375%, 02/06/14	408,339	0.1
900,000	#	MetLife Institutional Funding II, 1.625%, 04/02/15	901,220	0.3
1,121,000		Morgan Stanley, 2.875%, 01/24/14	1,108,885	0.3
280,000		Morgan Stanley, 6.000%, 04/28/15	289,661	0.1
748,000	#	National Australia Bank Ltd., 1.700%, 12/10/13	756,136	0.2
650,000		National Rural Utilities Cooperative Finance Corp., 1.125%, 11/01/13	654,177	0.2
314,000	#	New York Life Global Funding, 1.300%, 01/12/15	314,901	0.1
650,000	#	New York Life Global Funding, 1.850%, 12/13/13	658,189	0.2
331,000	#	Nordea Bank AB, 1.750%, 10/04/13	330,850	0.1
1,105,000		PNC Funding Corp., 4.250%, 09/21/15	1,201,748	0.4
510,000		ProLogis L.P., 7.625%, 08/15/14	561,340	0.2
1,500,000		Prudential Financial, Inc., 3.875%, 01/14/15	1,571,786	0.5
362,000		Cooperatieve Centrale Raiffeisen- Boerenleenbank BA/Netherlands, 2.125%, 10/13/15	363,719	0.1
1,220,000		Royal Bank of Canada, 1.150%, 03/13/15	1,223,739	0.4
678,000		Royal Bank of Scotland Group PLC, 3.250%, 01/11/14	680,983	0.2
850,000		SouthTrust Corp., 5.800%, 06/15/14	911,524	0.3
820,000		UBS AG, 2.250%, 08/12/13	822,789	0.2
353,000		UBS AG/Stamford CT, 2.250%, 01/28/14	354,969	0.1
373,000		US Bancorp, 2.200%, 11/15/16	385,245	0.1
1,209,000		US Bancorp, 1.125%, 10/30/13	1,215,161	0.4
757,000		Wachovia Bank NA, 4.800%, 11/01/14	807,228	0.2
500,000	#	WEA Finance LLC / WT Finance Aust Pty Ltd., 7.500%, 06/02/14	545,838	0.2
			60,349,475	17.6

		Health Care: 3.2%
505,000		Amgen, Inc., 1.875%, 11/15/14	513,194	0.2
1,250,000		Covidien International Finance SA, 1.350%, 05/29/15	1,252,689	0.4

See Accompanying Notes to Financial Statements

ING Limited Maturity Bond Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


1,101,000	Eli Lilly & Co., 4.200%, 03/06/14	1,168,330	0.3
1,117,000	GlaxoSmithKline Capital PLC, 0.750%, 05/08/15	1,117,814	0.3
750,000	Johnson & Johnson, 1.200%, 05/15/14	760,609	0.2
1,000,000	Medtronic, Inc., 3.000%, 03/15/15	1,061,998	0.3
1,155,000	Novartis Capital Corp., 2.900%, 04/24/15	1,222,763	0.4
450,000	Pfizer, Inc., 5.350%, 03/15/15	503,516	0.1
972,000	Sanofi-Aventis SA, 1.625%, 03/28/14	988,853	0.3
736,000	St. Jude Medical, Inc., 2.200%, 09/15/13	748,344	0.2
505,000	Teva Pharmaceutical Finance IV LLC, 1.700%, 11/10/14	515,593	0.2
880,000	Wyeth, 5.500%, 02/01/14	947,573	0.3
		10,801,276	3 .2

	Industrials: 0.6%
365,000	CSX Corp., 5.500%, 08/01/13	383,333	0.1
570,000	United Parcel Service, Inc., 3.875%, 04/01/14	601,696	0.2
1,000,000	United Technologies Corp., 1.200%, 06/01/15	1,012,503	0.3
		1,997,532	0 .6

	Information Technology: 2.4%
1,090,000	Cisco Systems, Inc., 1.625%, 03/14/14	1,111,259	0.3
1,000,000	Dell, Inc., 2.100%, 04/01/14	1,020,548	0.3
814,000	Hewlett-Packard Co., 1.250%, 09/13/13	813,652	0.2
1,025,000	International Business Machines Corp., 1.000%, 08/05/13	1,031,240	0.3
1,085,000	International Business Machines Corp., 0.550%, 02/06/15	1,078,788	0.3
1,156,000	Microsoft Corp., 2.950%, 06/01/14	1,209,057	0.4
1,141,000	Oracle Corp., 3.750%, 07/08/14	1,212,264	0.4
450,000	Texas Instruments, Inc., 0.875%, 05/15/13	451,991	0.1
384,000	Xerox Corp., 1.868%, 09/13/13	386,822	0.1
		8,315,621	2 .4

	Materials: 1.5%
458,000	ArcelorMittal USA, Inc., 6.500%, 04/15/14	485,965	0.2
910,000	Barrick Gold Corp., 1.750%, 05/30/14	921,690	0.3
445,000	BHP Billiton Finance USA Ltd., 5.500%, 04/01/14	482,286	0.1
1,050,000	Dow Chemical Co., 5.900%, 02/15/15	1,171,748	0.3


1,072,000		EI Du Pont de Nemours & Co., 5.000%, 07/15/13	1,120,550	0.3
670,000		Freeport-McMoRan Copper & Gold, Inc., 1.400%, 02/13/15	668,223	0.2
321,000	#	Xstrata Canada Financial Corp., 2.850%, 11/10/14	327,325	0.1
			5,177,787	1 .5

		Telecommunication Services: 1.7%
500,000		Cellco Partnership / Verizon Wireless Capital, LLC, 5.550%, 02/01/14	535,510	0.2
1,050,000		SBC Communications, Inc., 5.100%, 09/15/14	1,147,140	0.3
3,310,000		Verizon Communications, Inc., 1.950%, 03/28/14	3,384,723	1.0
620,000		Vodafone Group PLC, 4.150%, 06/10/14	658,033	0.2
			5,725,406	1.7

		Utilities: 1.7%
679,000		Commonwealth Edison Co., 1.625%, 01/15/14	688,465	0.2
372,000		Dominion Resources, Inc./VA, 1.800%, 03/15/14	377,452	0.1
333,000		Entergy Louisiana LLC, 1.875%, 12/15/14	341,354	0.1
625,000		NextEra Energy Capital Holdings, Inc., 2.550%, 11/15/13	634,431	0.2
823,000		Great Plains Energy, Inc., 2.750%, 08/15/13	835,328	0.2
840,000		PSEG Power LLC, 2.750%, 09/15/16	855,489	0.3
882,000		Sempra Energy, 2.000%, 03/15/14	896,239	0.3
786,000		Southern California Edison Co., 5.750%, 03/15/14	852,232	0.2
315,000		Southern Co., 4.150%, 05/15/14	333,031	0.1
			5,814,021	1 .7
	Total Corporate
	Bonds/Notes
	(Cost $121,213,053)		122,114,817	35.6

COLLATERALIZED MORTGAGE OBLIGATIONS: 5.7%
1,134,160	#	Banc of America Merrill Lynch Commercial Mortgage, Inc., 2.343%, 04/13/29	1,139,418	0.3
1,490,000		Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.621%, 07/10/43	1,508,851	0.4
647,508	#	Bear Stearns Deutsche Bank Trust, 4.724%, 09/15/27	683,058	0.2
890,325		CW Capital Cobalt Ltd., 5.927%, 05/15/46	891,928	0.3

See Accompanying Notes to Financial Statements

ING Limited Maturity Bond Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


824,896	#	Extended Stay America Trust, 2.951%, 11/05/27	833,271	0.2
875,000		GE Capital Commercial Mortgage Corp., 5.308%, 11/10/45	886,852	0.3
991,070		Greenwich Capital Commercial Funding Corp., 5.381%, 03/10/39	1,014,924	0.3
251,901		GS Mortgage Securities Corp. II, 5.479%, 11/10/39	252,457	0.1
1,000,000		JP Morgan Chase Commercial Mortgage Securities Corp., 4.865%, 03/15/46	1,010,288	0.3
1,264,185	#	JP Morgan Chase Commercial Mortgage Securities Corp., 5.491%, 12/12/44	1,265,459	0.4
698,398		JPMorgan Chase Commerical Mortgage Securities Corp., 5.247%, 01/12/43	699,334	0.2
1,278,275		JPMorgan Chase Commerical Mortgage Securities Corp., 5.994%, 06/15/49	1,280,340	0.4
1,739,760		Morgan Stanley Capital I, 5.346%, 11/14/42	1,748,381	0.5
1,000,000		Morgan Stanley Capital I, 5.649%, 12/15/44	1,010,884	0.3
1,321,584		Morgan Stanley Capital I, 5.781%, 04/12/49	1,358,692	0.4
2,027,188		NCUA Guaranteed Notes, 1.600%, 10/29/20	2,054,352	0.6
1,212,005		Wachovia Bank Commercial Mortgage Trust, 5.230%, 07/15/41	1,212,281	0.3
799,987		Wachovia Bank Commercial Mortgage Trust, 5.927%, 06/15/49	854,248	0.2
	Total Collateralized Mortgage Obligations (Cost $19,700,650)		19,705,018	5.7

ASSET-BACKED SECURITIES: 5.1%
		Automobile Asset-Backed Securities: 3.0%
1,216,000		Ally Auto Receivables Trust, 1.000%, 10/17/16	1,223,107	0.4
1,679,000		Bank of America Auto Trust, 0.780%, 06/15/16	1,683,385	0.5
1,094,000		CarMax Auto Owner Trust, 0.890%, 09/15/16	1,097,904	0.3
1,107,000		Ford Credit Auto Owner Trust, 0.840%, 08/15/16	1,111,663	0.3
7,244		Harley-Davidson Motorcycle Trust, 3.320%, 02/15/17	7,282	0.0


382,000		Honda Auto Receivables Owner Trust, 0.910%, 05/15/18	383,158	0.1
383,000		Honda Auto Receivables Owner Trust, 0.970%, 04/16/18	385,027	0.1
239,000		Honda Auto Receivables Owner Trust, 1.550%, 08/18/17	243,396	0.1
1,200,000		Hyundai Auto Receivables Trust, 0.720%, 03/15/16	1,202,327	0.4
313,000		Nissan Auto Receivables Owner Trust, 1.240%, 01/16/18	317,312	0.1
653,000		Nissan Auto Receivables Owner Trust, 1.000%, 07/16/18	657,045	0.2
325,000		Toyota Auto Receivables Owner Trust, 0.750%, 02/16/16	325,776	0.1
1,104,000		Volkswagen Auto Loan Enhanced Trust, 0.850%, 08/22/16	1,108,355	0.3
312,000		Volkswagen Auto Loan Enhanced Trust, 1.980%, 09/20/17	320,653	0.1
			10,066,390	3.0

		Credit Card Asset-Backed Securities: 0.1%
429,000		Discover Card Master Trust, 0.810%, 08/15/17	429,811	0.1

		Other Asset-Backed Securities: 2.0%
122,137	#	ARES CLO Funds, 0.708%, 09/18/17	120,549	0.0
251,825	#	Atrium CDO Corp., 0.797%, 10/27/16	247,649	0.1
750,000		Atrium CDO Corp., 1.047%, 10/27/16	698,032	0.2
64,277	#	Callidus Debt Partners Fund Ltd., 0.967%, 05/15/15	63,983	0.0
141,110	#	Carlyle High Yield Partners, 0.837%, 08/11/16	139,614	0.0
107,417	#	Denali Capitala CLO IV Ltd., 0.838%, 08/23/16	106,456	0.0
500,000	#	Dryden Leveraged Loan CDO 2002-II, 2.768%, 09/17/16	486,482	0.1
502,470	#	First CLO Ltd., 0.778%, 12/14/16	499,412	0.2
4,725	#	First CLO Ltd., 0.816%, 07/27/16	4,722	0.0
500,000	#	First CLO Ltd., 1.468%, 12/14/16	481,705	0.1
250,000	#	First CLO Ltd., 2.766%, 07/27/16	235,103	0.1
500,000	#	Galaxy CLO Ltd., 2.017%, 01/15/16	499,795	0.2

See Accompanying Notes to Financial Statements

ING Limited Maturity Bond Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


84,161	#	Granite Ventures Ltd., 0.727%, 12/15/17	83,769	0.0
500,000	#	Grayston CLO Ltd., 1.767%, 08/15/16	482,202	0.1
48,139	#	Gulf Stream Compass CLO Ltd., 0.827%, 07/15/16	47,984	0.0
950,000	#	Gulf Stream Compass CLO Ltd., 0.887%, 05/15/17	908,188	0.3
395,000	#	Hewett's Island CDO Ltd., 1.668%, 12/15/16	361,568	0.1
285,214	#	Katonah Ltd., 0.788%, 09/20/16	282,141	0.1
308,680	#	Landmark CDO Ltd., 1.317%, 01/15/16	307,022	0.1
324,119	#	Lightpoint CLO Ltd., 0.728%, 09/15/17	313,867	0.1
150,000	#	Olympic CLO Ltd., 1.367%, 05/15/16	147,824	0.1
366,923	#	Wind River CLO Ltd., 0.798%, 12/19/16	360,825	0.1
			6,878,892	2.0

	Total Asset-Backed
	Securities
	(Cost $17,288,944)		17,375,093	5.1

U.S. GOVERNMENT AGENCY OBLIGATIONS: 2.3%
		Federal Home Loan Bank: 2.0%
7,000,000		1.000%, due 03/28/22	7,011,424	2.0

		Federal Home Loan Mortgage Corporation: 0.0%^##
219		1.875%, due 01/01/17	222	0.0
1,201		6.000%, due 04/01/13	1,261	0.0
1,413		6.000%, due 04/01/13	1,497	0.0
			2,980	0.0

		Federal National Mortgage Association: 0.3%^##
4,465		1.944%, due 07/01/24	4,682	0.0
5,229		2.215%, due 12/01/17	5,297	0.0
959		6.000%, due 02/01/13	965	0.0
7,048		6.000%, due 04/01/13	7,505	0.0
27,151		6.000%, due 07/01/16	29,245	0.0
38,000		6.000%, due 03/01/17	41,810	0.0
30,444		6.000%, due 05/01/17	33,495	0.0
16,378		6.000%, due 09/01/17	18,020	0.0
317,820		6.500%, due 10/01/22	357,934	0.1
219,663		6.500%, due 02/01/29	255,327	0.1
61,775		6.500%, due 10/01/32	70,721	0.1
26,671		7.000%, due 10/01/32	31,538	0.0
18,325		7.000%, due 10/01/32	21,669	0.0
27,695		7.500%, due 08/01/27	31,822	0.0
			910,030	0.3

		Government National Mortgage Association: 0.0%
3,718		6.000%, due 04/15/13	3,784	0.0
8,427		9.000%, due 12/15/26	10,041	0.0
1,498		9.500%, due 03/15/20	1,507	0.0
5,722		9.500%, due 07/15/21	5,826	0.0
			21,158	0.0

	Total U.S. Government Agency Obligations (Cost $7,826,382)		7,945,592	2.3


U.S. TREASURY OBLIGATIONS: 48.1%
		U.S. Treasury Notes: 48.1%
69,829,000		0.250%, due 04/30/14	69,760,847	20.3
63,841,000		0.250%, due 05/31/14	63,776,202	18.6
19,575,000		0.250%, due 05/15/15	19,497,013	5.7
20,000		0.375%, due 06/15/15	19,989	0.0
11,884,000		0.625%, due 05/31/17	11,836,654	3.5

	Total U.S. Treasury
	Obligations
	(Cost $164,916,260)		164,890,705	48.1

	Total Long-Term
	Investments
	(Cost $330,945,289)		332,031,225	96.8

SHORT-TERM INVESTMENTS: 3.6%
		Securities Lending Collateral^cc⁽¹⁾: 0.6%
1,000,000		Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,000,016, collateralized by various U.S. Government Agency Obligations, 0.000%- 7.000%, Market Value plus accrued interest $1,020,000, due 07/01/42-02/20/61)	1,000,000	0.3
1,000,000		Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $1,000,015, collateralized by various U.S. Government Agency Obligations, 2.202%- 5.000%, Market Value plus accrued interest $1,020,000, due 04/01/24-06/01/42)	1,000,000	0.3
96,716		UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $96,718, collateralized by various U.S. Government Agency Obligations, 3.000%- 6.500%, Market Value plus accrued interest $98,650, due 07/01/21- 04/01/42)	96,716	0.0
			2,096,716	0.6

See Accompanying Notes to Financial Statements

ING Limited Maturity Bond Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Shares

Value

Percentage

of Net

Assets

Mutual Funds: 3.0%

10,129,000

BlackRock Liquidity

Funds, TempFund,

Institutional Class

(Cost $10,129,000)

10,129,000

3.0

Total Short-Term

Investments

(Cost $12,225,716)

12,225,716

3.6

Total Investments in Securities (Cost $343,171,005)

344,256,941

100.4

Liabilities in Excess of Other Assets

(1,282,466)

(0.4)

Net Assets

342,974,475

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

#	Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.

##	On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations.

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.


Cost for federal income tax purposes is $343,220,793.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation	$	1,599,017
Gross Unrealized Depreciation		(562,869)


Net Unrealized Appreciation	$	1,036,148

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Corporate Bonds/Notes	$	–	$	122,114,817	$	–	$	122,114,817
Collateralized Mortgage Obligations		–		19,705,018		–		19,705,018
Short-Term Investments		10,129,000		2,096,716		–		12,225,716
U.S. Treasury Obligations		–		164,890,705		–		164,890,705
U.S. Government Agency Obligations		–		7,945,592		–		7,945,592
Asset-Backed Securities		–		17,375,093		–		17,375,093

Total Investments, at fair value	$	10,129,000	$	334,127,941	$	–	$	344,256,941

Other Financial Instruments+
Futures		53,268		–		–		53,268

Total Assets	$	10,182,268	$	334,127,941	$	–	$	344,310,209

See Accompanying Notes to Financial Statements

ING Limited Maturity Bond Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Liabilities Table
Other Financial Instruments+
Swaps	$	–	$	(60,025)		$	–	$	(60,025)
Futures		(93,484)		–			–		(93,484)

Total Liabilities	$	(93,484)	$	(60,025	)	$	–	$	(153,509)

See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

ING Limited Maturity Bond Portfolio Open Futures Contracts on June 30, 2012:


Contract Description	Number of Contracts	Expiration Date		Notional Value		Unrealized Appreciation/ (Depreciation)
Long Contracts
U.S. Treasury 2-Year Note	156		09/28/12	$	34,349,250	$	(10,140)
U.S. Treasury 5-Year Note	47		09/28/12		5,826,531		(711)
U.S. Treasury Ultra Long Bond	21		09/19/12		3,503,719		53,268

				$	43,679,500	$	42,417

Short Contracts
U.S. Treasury 10-Year Note	(164)		09/19/12		(21,873,500)		(74,723)
U.S. Treasury Long Bond	(14)		09/19/12		(2,071,562)		(7,910)

				$	(23,945,062)	$	(82,633)

ING Limited Maturity Bond Portfolio Over-the-Counter Credit Default Swap Agreements Outstanding on June 30, 2012:

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Counterparty

Reference
Entity/Obligation

Buy/Sell
Protection

(Pay)/
Receive
Fixed
Rate (%)

Termination
Date

Notional Amount⁽²⁾

Fair
Value⁽³⁾

Upfront
Payments
Paid/
(Received)

Unrealized
Appreciation/
(Depreciation)

Morgan Stanley

CDX.NA.IG.18

Sell

1.000

06/20/17

USD 10,000,000

$ (60,025)

49,498

$(109,523)

$ (60,025)

49,498

$(109,523)

(1)

(2)

(3)

See Accompanying Notes to Financial Statements

ING Limited Maturity Bond Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

A summary of derivatives instruments by primary risk exposure is outlined in the following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities	Fair Value

Asset Derivatives
Credit contracts	Upfront payments paid on OTC swap agreements Net	$	49,498
Interest rate contracts	Assets-Unrealized appreciation*		53,268

Total Asset Derivatives		$	102,766


Liability Derivatives

Credit contracts	Upfront payments paid on OTC swap agreements Net	$	109,523
Interest rate contracts	Assets-Unrealized appreciation*		93,484

Total Liability Derivatives		$	203,007

*	Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments.

The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2012 was as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income


Derivatives not accounted for as hedging instruments	Futures		Swaps		Total


Credit contracts	$	–	$	27,778	$	27,778
Interest rate contracts		(459,393)		(1,317,828)		(1,804,999)

Total	$	(459,393)	$	(1,317,828)	$	(1,777,221)

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income


Derivatives not accounted for as hedging instruments	Futures		Swaps		Total


Credit contracts	$	–	$	(109,523)	$	(109,523)
Interest rate contracts		46,125		1,190,311		1,236,436

Total	$	46,125	$	1,080,788	$	1,126,913

See Accompanying Notes to Financial Statements


ING PIMCO High Yield Portfolio		PORTFOLIO OF INVESTMENTS
ING PIMCO High Yield Portfolio		AS OF JUNE 30, 2012 (UNAUDITED)


Principal Amount†			Value		Percentage of Net Assets
CORPORATE BONDS/NOTES: 86.7%
		Consumer Discretionary: 18.8%
2,325,000		Affinion Group, Inc., 7.875%, 12/15/18		1,993,688		0.2
600,000	#	AMC Networks, Inc., 7.750%, 07/15/21		664,500		0.1
3,000,000		Ameristar Casinos, Inc., 7.500%, 04/15/21		3,225,000		0.4
484,112		Caesars Entertainment Operating Co., Inc., 5.500%, 01/28/18		429,817		0.0
1,750,000		Harrah’s Operating Co., Inc., 10.000%, 12/15/18		1,205,312		0.1
750,000	#	Carlson Wagonlit BV, 6.875%, 06/15/19		772,500		0.1
^EUR250,000	#	Carlson Wagonlit BV, 7.500%, 06/15/19		314,003		0.0
1,500,000		CCO Holdings LLC / CCO Holdings Capital Corp., 7.875%, 04/30/18		1,638,750		0.2
900,000		CCO Holdings LLC / CCO Holdings Capital Corp., 8.125%, 04/30/20		1,008,000		0.1
1,000,000		CCO Holdings LLC / CCO Holdings Capital Corp., 6.500%, 04/30/21		1,070,000		0.1
2,000,000		CCO Holdings LLC / CCO Holdings Capital Corp., 6.625%, 01/31/22		2,150,000		0.2
1,000,000		CCO Holdings LLC / CCO Holdings Capital Corp., 7.000%, 01/15/19		1,085,000		0.1
500,000	L	CCO Holdings LLC / CCO Holdings Capital Corp., 7.250%, 10/30/17		547,500		0.1
350,000	#	Ceridian Corp., 8.875%, 07/15/19		363,125		0.0
250,000	#	Chester Downs & Marina LLC, 9.250%, 02/01/20		261,250		0.0
2,500,000		CityCenter Holdings LLC / CityCenter Finance Corp., 7.625%, 01/15/16		2,650,000		0.3
2,000,000		Clear Channel Worldwide Holdings, Inc., 9.250%, 12/15/17		2,190,000		0.3
1,500,000		Clear Channel Worldwide Holdings, Inc., 9.250%, 12/15/17		1,638,750		0.2
2,500,000	#	Clear Channel Worldwide Holdings, Inc., 7.625%, 03/15/20		2,456,250		0.3
^EUR2,500,000		Conti-Gummi Finance BV, 7.125%, 10/15/18		3,365,287		0.4
^EUR500,000		Conti-Gummi Finance BV, 7.500%, 09/15/17		678,626		0.1


2,000,000		Cooper-Standard Automotive, Inc., 8.500%, 05/01/18	2,167,500	0.2
1,300,000	#	CSC Holdings LLC, 6.750%, 11/15/21	1,391,000	0.2
2,000,000		CSC Holdings LLC, 7.625%, 07/15/18	2,245,000	0.3
3,000,000		CSC Holdings LLC, 7.875%, 02/15/18	3,382,500	0.4
3,000,000		CSC Holdings LLC, 8.625%, 02/15/19	3,480,000	0.4
2,000,000		DineEquity, Inc., 9.500%, 10/30/18	2,200,000	0.3
1,500,000		DISH DBS Corp., 6.625%, 10/01/14	1,616,250	0.2
2,000,000		DISH DBS Corp., 6.750%, 06/01/21	2,170,000	0.3
4,000,000		DISH DBS Corp., 7.125%, 02/01/16	4,410,000	0.5
2,400,000		DISH DBS Corp., 7.875%, 09/01/19	2,778,000	0.3
2,000,000		Easton-Bell Sports, Inc., 9.750%, 12/01/16	2,197,500	0.3
1,500,000		Emergency Medical Services Corp., 8.125%, 06/01/19	1,573,125	0.2
1,884,000		Entravision Communications Corp., 8.750%, 08/01/17	2,006,460	0.2
1,000,000	L	Exide Technologies, 8.625%, 02/01/18	793,750	0.1
1,500,000	L	Goodyear Tire & Rubber Co., 8.250%, 08/15/20	1,595,625	0.2
2,250,000		Harrah’s Operating Co., Inc., 11.250%, 06/01/17	2,466,562	0.3
750,000	#	Hyva Global BV, 8.625%, 03/24/16	645,000	0.1
367,000		Inergy L.P./Inergy Finance Corp., 6.875%, 08/01/21	368,835	0.0
750,000		Inergy L.P./Inergy Finance Corp., 7.000%, 10/01/18	776,250	0.1
500,000	#	inVentiv Health, Inc., 10.000%, 08/15/18	430,000	0.0
1,000,000	#	Jaguar Holding Co. II / Jaguar Merger Sub, Inc., 9.500%, 12/01/19	1,098,750	0.1
250,000	#	Jaguar Land Rover PLC, 7.750%, 05/15/18	258,750	0.0
1,000,000	#	Jaguar Land Rover PLC, 8.125%, 05/15/21	1,037,500	0.1
1,000,000		Jarden Corp., 7.500%, 01/15/20	1,097,500	0.1
1,000,000		Jarden Corp., 8.000%, 05/01/16	1,095,000	0.1
2,000,000	L	Lamar Media Corp., 7.875%, 04/15/18	2,210,000	0.3
500,000	#	Lamar Media Corp., 5.875%, 02/01/22	515,000	0.1
550,000		Lear Corp., 7.875%, 03/15/18	609,813	0.1
1,000,000		Levi Strauss & Co., 7.625%, 05/15/20	1,067,500	0.1
325,000		Limited Brands, Inc., 7.000%, 05/01/20	362,375	0.0

See Accompanying Notes to Financial Statements

ING PIMCO High Yield Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


1,000,000		LIN Television Corp., 8.375%, 04/15/18	1,027,500	0.1
750,000		Ltd. Brands, Inc., 5.625%, 02/15/22	776,250	0.1
850,000		Ltd. Brands, Inc., 6.625%, 04/01/21	932,875	0.1
300,000	L	Marina District Finance Co., Inc., 9.500%, 10/15/15	292,500	0.0
750,000	L	Marina District Finance Co., Inc., 9.875%, 08/15/18	710,625	0.1
750,000		McClatchy Co., 11.500%, 02/15/17	781,875	0.1
1,000,000		MGM Mirage, 7.500%, 06/01/16	1,040,000	0.1
1,000,000	#,L	MGM Resorts International, 8.625%, 02/01/19	1,075,000	0.1
2,500,000		MGM Mirage, 7.625%, 01/15/17	2,593,750	0.3
2,000,000		MGM Resorts International, 9.000%, 03/15/20	2,230,000	0.3
1,000,000		MGM Resorts International, 10.375%, 05/15/14	1,132,500	0.1
2,000,000		MGM Resorts International, 10.000%, 11/01/16	2,225,000	0.3
3,000,000		MGM Resorts International, 11.125%, 11/15/17	3,382,500	0.4
^EUR400,000		Nara Cable Funding Ltd., 8.875%, 12/01/18	445,457	0.0
500,000	#	Nara Cable Funding Ltd., 8.875%, 12/01/18	432,500	0.0
300,000		New Albertsons, Inc., 6.570%, 02/23/28	211,875	0.0
1,750,000		New Albertsons, Inc., 7.750%, 06/15/26	1,391,250	0.2
1,000,000		Newsday Term A LLC, 10.500%, 08/01/13	1,021,667	0.1
3,000,000		Nielsen Finance LLC / Nielsen Finance Co., 7.750%, 10/15/18	3,337,500	0.4
1,302,000		Nielsen Finance LLC/Nielsen Finance Co., 11.500%, 05/01/16	1,487,535	0.2
200,000		Oshkosh Corp., 8.250%, 03/01/17	220,000	0.0
200,000		Oshkosh Corp., 8.500%, 03/01/20	223,000	0.0
2,000,000	#,L	Petco Animal Supplies, Inc., 9.250%, 12/01/18	2,195,000	0.3
1,500,000		Phillips-Van Heusen Corp., 7.375%, 05/15/20	1,668,750	0.2
1,000,000	#	Pittsburgh Glass Works LLC, 8.500%, 04/15/16	925,000	0.1
750,000	#	Prestige Brands, Inc., 8.125%, 02/01/20	826,875	0.1
550,000		Production Resource Group, Inc., 8.875%, 05/01/19	418,000	0.0
1,000,000		Quebecor Media, Inc., 7.750%, 03/15/16	1,030,000	0.1


1,879,000		Quebecor Media, Inc., 7.750%, 03/15/16	1,935,370	0.2
2,233,125		Quintiles Transnational Corp., 5.000%, 06/08/18	2,210,794	0.3
1,500,000	#	QVC, Inc., 7.375%, 10/15/20	1,662,951	0.2
1,500,000	#	QVC, Inc., 7.500%, 10/01/19	1,666,209	0.2
2,000,000	L	Regal Entertainment Group, 9.125%, 08/15/18	2,210,000	0.3
1,500,000		Roadhouse Financing, Inc., 10.750%, 10/15/17	1,443,750	0.2
750,000		Sally Holdings LLC / Sally Capital, Inc., 5.750%, 06/01/22	788,438	0.1
650,000	L	Sally Holdings LLC / Sally Capital, Inc., 6.875%, 11/15/19	710,125	0.1
^EUR1,000,000		Schaeffler Finance BV, 7.750%, 02/15/17	1,324,158	0.2
1,000,000	#	Schaeffler Finance BV, 7.750%, 02/15/17	1,047,500	0.1
2,000,000	#	Schaeffler Finance BV, 8.500%, 02/15/19	2,145,000	0.2
^EUR500,000		Schaeffler Finance BV, 8.750%, 02/15/19	673,089	0.1
750,000		Scientific Games Corp., 8.125%, 09/15/18	808,125	0.1
675,000	#	Seneca Gaming Corp., 8.250%, 12/01/18	695,250	0.1
500,000		ServiceMaster Co/TN, 8.000%, 02/15/20	546,875	0.1
300,000		Suburban Propane Partners L.P./Suburban Energy Finance Corp., 7.375%, 03/15/20	313,500	0.0
750,000		Tenneco, Inc., 7.750%, 08/15/18	817,500	0.1
4,998,000		Tomkins LLC / Tomkins, Inc., 9.000%, 10/01/18	5,585,265	0.6
3,530,000	#	TRW Automotive, Inc., 7.250%, 03/15/17	4,050,675	0.5
^EUR250,000	#	Unitymedia GmbH/Old, 9.500%, 03/15/21	344,849	0.0
^EUR350,000	#	Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH, 7.500%, 03/15/19	462,857	0.1
750,000	#	Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH, 7.500%, 03/15/19	798,750	0.1
1,000,000	#	Univision Communications, Inc., 6.875%, 05/15/19	1,035,000	0.1
4,500,000	#	Univision Communications, Inc., 7.875%, 11/01/20	4,837,500	0.6
500,000	#	UR Financing Escrow Corp., 5.750%, 07/15/18	521,250	0.1

See Accompanying Notes to Financial Statements

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

ING PIMCO High Yield Portfolio


1,250,000	#	UR Financing Escrow Corp., 7.375%, 05/15/20	1,309,375	0.2
2,500,000	#	UR Financing Escrow Corp., 7.625%, 04/15/22	2,625,000	0.3
2,000,000		Visant Corp., 10.000%, 10/01/17	1,995,000	0.2
1,500,000		WMG Acquisition Corp., 9.500%, 06/15/16	1,642,500	0.2
1,000,000	#	Wolverine Healthcare Analytics, 10.625%, 06/01/20	1,045,000	0.1
750,000	#	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.375%, 03/15/22	755,625	0.1
2,000,000		Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 7.750%, 08/15/20	2,225,000	0.3
			162,019,967	18.8

		Consumer Staples: 3.2%
1,100,000		American Stores Co., 8.000%, 06/01/26	924,000	0.1
1,442,000	#	Bumble Bee Acquisition Corp., 9.000%, 12/15/17	1,445,605	0.2
1,986,000	&	Catalent Pharma Solutions, Inc., 9.500%, 04/15/15	2,043,097	0.3
2,000,000		Central Garden and Pet Co., 8.250%, 03/01/18	2,015,000	0.2
1,000,000		Constellation Brands, Inc., 7.250%, 05/15/17	1,148,750	0.1
2,000,000		Del Monte Corp., 7.625%, 02/15/19	2,027,500	0.2
2,500,000		Hertz Corp./The, 6.750%, 04/15/19	2,612,500	0.3
2,500,000		Hertz Corp./The, 7.375%, 01/15/21	2,687,500	0.3
1,050,000	#	Live Nation Entertainment, Inc., 8.125%, 05/15/18	1,077,563	0.1
2,500,000		Michael Foods, Inc., 9.750%, 07/15/18	2,756,250	0.3
1,500,000		Pilgrim’s Pride Corp., 7.875%, 12/15/18	1,528,125	0.2
500,000	#	Post Holdings, Inc., 7.375%, 02/15/22	528,750	0.1
750,000	#	Simmons Foods, Inc., 10.500%, 11/01/17	708,750	0.1
2,500,000		Smithfield Foods, Inc., 7.750%, 07/01/17	2,778,125	0.3
1,500,000		Spectrum Brands Holdings, Inc., 9.500%, 06/15/18	1,702,500	0.2
750,000	#	Spectrum Brands Holdings, Inc., 9.500%, 06/15/18	851,250	0.1
1,000,000		TreeHouse Foods, Inc., 7.750%, 03/01/18	1,086,250	0.1
			27,921,515	3.2


		Energy: 9.9%
1,250,000	L	Arch Coal, Inc., 7.250%, 06/15/21	1,053,125	0.1
1,000,000		Arch Coal, Inc., 7.250%, 10/01/20	850,000	0.1
2,000,000	L	Arch Coal, Inc., 7.000%, 06/15/19	1,700,000	0.2
250,000		Atwood Oceanics, Inc., 6.500%, 02/01/20	262,500	0.0
1,125,000		Berry Petroleum Co., 6.750%, 11/01/20	1,181,250	0.1
500,000	L	Chesapeake Energy Corp., 6.625%, 08/15/20	497,500	0.1
1,425,000		Chesapeake Energy Corp., 7.250%, 12/15/18	1,460,625	0.2
3,750,000	L	Chesapeake Energy Corp., 9.500%, 02/15/15	4,059,375	0.5
710,000		Cie Generale de Geophysique-Veritas, 7.750%, 05/15/17	735,294	0.1
100,000		Cie Generale de Geophysique-Veritas, 9.500%, 05/15/16	109,750	0.0
276,000	#	Coffeyville Resources LLC, 9.000%, 04/01/15	295,320	0.0
1,000,000		Colorado Interstate Gas Co., 6.850%, 06/15/37	1,107,558	0.1
2,100,000		Concho Resources, Inc./Midland TX, 6.500%, 01/15/22	2,194,500	0.3
1,750,000		Consol Energy, Inc., 8.250%, 04/01/20	1,846,250	0.2
3,000,000		Consol Energy, Inc., 8.000%, 04/01/17	3,127,500	0.4
275,000		Continental Resources, Inc., 7.375%, 10/01/20	308,000	0.0
50,000		Continental Resources, Inc., 8.250%, 10/01/19	56,125	0.0
1,500,000		Continental Resources, Inc./OK, 7.125%, 04/01/21	1,680,000	0.2
1,500,000		Denbury Resources, Inc., 8.250%, 02/15/20	1,650,000	0.2
1,000,000		Denbury Resources, Inc., 9.750%, 03/01/16	1,103,750	0.1
150,000		El Paso Corp., 8.050%, 10/15/30	171,063	0.0
500,000		El Paso Natural Gas Co., 5.950%, 04/15/17	567,198	0.1
625,000		El Paso Pipeline Partners Operating Co. LLC, 6.500%, 04/01/20	728,936	0.1
1,850,000		Energy Transfer Equity L.P., 7.500%, 10/15/20	2,039,625	0.2
2,500,000		Enterprise Products Operating L.P., 8.375%, 08/01/66	2,711,717	0.3
500,000	#	Everest Acquisition LLC / Everest Acquisition Finance, Inc., 6.875%, 05/01/19	523,125	0.1
919,000	#	Expro Finance Luxembourg SCA, 8.500%, 12/15/16	884,537	0.1

See Accompanying Notes to Financial Statements

ING PIMCO High Yield Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


1,500,000	L	Forest Oil Corp., 7.250%, 06/15/19	1,383,750	0.2
1,500,000		Forest Oil Corp., 8.500%, 02/15/14	1,567,500	0.2
4,000,000		Kinder Morgan Finance Co. ULC, 5.700%, 01/05/16	4,230,000	0.5
2,050,000		Linn Energy LLC/Linn Energy Finance Corp., 8.625%, 04/15/20	2,219,125	0.3
600,000		MarkWest Energy Partners L.P. / MarkWest Energy Finance Corp., 6.750%, 11/01/20	640,500	0.1
1,050,000		Newfield Exploration Co., 6.875%, 02/01/20	1,123,500	0.1
2,250,000		Newfield Exploration Co., 7.125%, 05/15/18	2,393,438	0.3
2,000,000	#	NFR Energy LLC/NFR Energy Finance Corp., 9.750%, 02/15/17	1,670,000	0.2
1,500,000	#,L	NGPL PipeCo LLC, 7.119%, 12/15/17	1,507,500	0.2
1,000,000	#,L	NGPL PipeCo LLC, 9.625%, 06/01/19	1,075,000	0.1
1,000,000		Oasis Petroleum, Inc., 6.500%, 11/01/21	995,000	0.1
2,000,000	#	OGX Petroleo e Gas Participacoes SA, 8.500%, 06/01/18	1,790,000	0.2
500,000		Peabody Energy Corp., 6.500%, 09/15/20	508,750	0.1
1,250,000	#	Peabody Energy Corp., 6.000%, 11/15/18	1,250,000	0.1
1,000,000	#	Peabody Energy Corp., 6.250%, 11/15/21	995,000	0.1
1,250,000	#	PetroBakken Energy Ltd., 8.625%, 02/01/20	1,246,875	0.1
2,000,000		Petrohawk Energy Corp., 7.250%, 08/15/18	2,252,972	0.3
1,000,000		Plains Exploration & Production Co., 6.625%, 05/01/21	1,015,000	0.1
1,250,000		Plains Exploration & Production Co., 6.750%, 02/01/22	1,281,250	0.1
2,500,000		Plains Exploration & Production Co., 7.625%, 04/01/20	2,650,000	0.3
1,000,000		Quicksilver Resources, Inc., 11.750%, 01/01/16	978,750	0.1
1,000,000		Range Resources Corp., 6.750%, 08/01/20	1,090,000	0.1
1,000,000		Range Resources Corp., 5.750%, 06/01/21	1,050,000	0.1
1,475,000		Regency Energy Partners L.P. / Regency Energy Finance Corp., 6.875%, 12/01/18	1,559,813	0.2
2,000,000	#,L	Rockies Express Pipeline LLC, 5.625%, 04/15/20	1,830,000	0.2


5,000,000		SandRidge Energy, Inc., 7.500%, 03/15/21	4,962,500	0.6
2,000,000	#	SandRidge Energy, Inc., 8.125%, 10/15/22	2,022,500	0.2
5,260,000	±,X	SemGroup Corp. Escrow	–	–
4,000,000		Sonat, Inc., 7.000%, 02/01/18	4,360,216	0.5
750,000	#	Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 6.375%, 08/01/22	751,875	0.1
1,250,000		Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 7.875%, 10/15/18	1,356,250	0.2
264,000		Thermon Industries, Inc., 9.500%, 05/01/17	291,720	0.0
600,000		Whiting Petroleum Corp., 6.500%, 10/01/18	642,000	0.1
			85,595,407	9.9

		Financials: 13.3%
3,000,000		American International Group, Inc., 8.175%, 05/15/58	3,270,000	0.4
2,000,000	Z	Ally Financial, Inc., 6.000%, 06/15/15	1,695,000	0.2
2,500,000	L	Ally Financial, Inc., 8.000%, 11/01/31	2,898,905	0.3
2,500,000		Ally Financial, Inc., 5.500%, 02/15/17	2,542,945	0.3
2,500,000		Ally Financial, Inc., 7.500%, 12/31/13	2,656,250	0.3
1,750,000		Ally Financial, Inc., 7.500%, 09/15/20	1,973,125	0.2
5,000,000		Ally Financial, Inc., 8.300%, 02/12/15	5,462,500	0.6
^GBP1,000,000	L	American International Group, Inc., 8.625%, 05/22/38	1,588,078	0.2
1,000,000		Ashtead Capital, 6.250%, 07/05/22	1,000,000	0.1
^GBP1,000,000		Barclays Bank PLC, 14.000%, 11/29/49	1,785,407	0.2
1,250,000	#	Brickman Group Holdings, Inc., 9.125%, 11/01/18	1,225,000	0.1
2,000,000		CIT Group, Inc., 5.250%, 03/15/18	2,067,500	0.2
1,000,000		CIT Group, Inc., 5.000%, 05/15/17	1,030,625	0.1
1,150,000	L	Credit Agricole S.A., 9.750%, 06/29/49	1,060,875	0.1
350,000		E*Trade Financial Corp., 6.750%, 06/01/16	357,875	0.0
1,000,000		Ford Motor Credit Co., LLC, 5.625%, 09/15/15	1,089,515	0.1
2,000,000		Ford Motor Credit Co., LLC, 6.625%, 08/15/17	2,278,448	0.3
1,000,000		Ford Motor Credit Co., LLC, 8.125%, 01/15/20	1,225,881	0.2
3,000,000		Ford Motor Credit Co., LLC, 8.000%, 06/01/14	3,329,673	0.4

See Accompanying Notes to Financial Statements


ING PIMCO High Yield Portfolio		PORTFOLIO OF INVESTMENTS
ING PIMCO High Yield Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


1,000,000		Ford Motor Credit Co., LLC, 8.700%, 10/01/14	1,141,064	0.1
9,000,000		Ford Motor Credit Co., LLC, 8.000%, 12/15/16	10,671,372	1.2
1,600,000		Ford Motor Credit Co., LLC, 12.000%, 05/15/15	2,000,000	0.2
1,375,000	#	Fresenius US Finance II, Inc., 9.000%, 07/15/15	1,586,406	0.2
^EUR1,500,000		GMAC International Finance BV, 7.500%, 04/21/15	1,988,421	0.2
^EUR1,000,000		HBOS PLC, 1.327%, 03/29/16	990,256	0.1
500,000		Host Hotels & Resorts L.P., 6.000%, 10/01/21	551,250	0.1
1,500,000		Host Hotels & Resorts, Inc., 9.000%, 05/15/17	1,668,750	0.2
2,500,000		Host Hotels & Resorts, Inc., 6.000%, 11/01/20	2,725,000	0.3
1,000,000		International Lease Finance Corp., 5.875%, 05/01/13	1,027,500	0.1
750,000		International Lease Finance Corp., 6.250%, 05/15/19	764,250	0.1
1,250,000	#	International Lease Finance Corp., 6.750%, 09/01/16	1,350,000	0.2
2,250,000	#	International Lease Finance Corp., 7.125%, 09/01/18	2,491,875	0.3
1,000,000		International Lease Finance Corp., 8.250%, 12/15/20	1,148,385	0.1
3,000,000		International Lease Finance Corp., 8.625%, 09/15/15	3,326,250	0.4
3,000,000		International Lease Finance Corp., 8.750%, 03/15/17	3,382,500	0.4
^EUR1,150,000		LBG Capital No.1 PLC, 6.439%, 05/23/20	1,167,901	0.1
^GBP550,000		LBG Capital No.1 PLC, 7.869%, 08/25/20	744,663	0.1
3,350,000	#	LBG Capital No.1 PLC, 7.875%, 11/01/20	3,065,250	0.4
500,000	#	LBG Capital No.1 PLC, 8.000%, 12/29/49	425,000	0.1
499,200	#,±	Lehman Brothers Holdings, Inc., 8.160%, 05/30/09	62,825	0.0
500,000		PHH Corp., 9.250%, 03/01/16	533,750	0.1
3,000,000		Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 8.250%, 09/01/17	3,187,500	0.4
750,000	#	QBE Capital Funding III Ltd.., 7.250%, 05/24/41	677,883	0.1
^EUR500,000		RBS Capital Trust A, 2.753%, 12/29/49	338,522	0.0
1,000,000	#	Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 7.875%, 08/15/19	1,087,500	0.1


1,000,000	#	Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 8.500%, 02/15/21	955,000	0.1
2,000,000	#	Reynolds Group Issuer, Inc., 9.000%, 04/15/19	2,005,000	0.2
750,000	#	Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 9.875%, 08/15/19	779,062	0.1
3,000,000	#	Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 9.875%, 08/15/19	3,116,250	0.4
500,000	#	Reynolds Group Issuer, Inc., 6.875%, 02/15/21	522,500	0.1
3,700,000	#	Reynolds Group Issuer, Inc., 8.500%, 05/15/18	3,644,500	0.4
1,000,000	#	Reynolds Group DL Escrow, Inc./Reynolds Group Escrow LLC, 7.750%, 10/15/16	1,057,500	0.1
^EUR1,000,000		Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 8.000%, 12/15/16	1,202,227	0.1
2,500,000	#	Reynolds Group Issuer, Inc., 7.125%, 04/15/19	2,631,250	0.3
500,000	#	Rivers Pittsburgh Borrower L.P./Rivers Pittsburgh Finance Corp., 9.500%, 06/15/19	520,625	0.1
1,750,000	#	Royal Bank of Scotland PLC, 6.990%, 10/29/49	1,365,000	0.2
3,100,000		Royal Bank of Scotland Group PLC, 7.640%, 03/31/49	2,092,500	0.3
275,000		SLM Corp., 0.766%, 01/27/14	262,796	0.0
750,000		SLM Corp., 8.000%, 03/25/20	825,000	0.1
2,075,000		SLM Corp., 8.450%, 06/15/18	2,334,375	0.3
500,000		Smurfit Capital Funding PLC, 7.500%, 11/20/25	502,500	0.1
375,000	#	Societe Generale, 5.922%, 12/31/49	255,000	0.0
1,000,000		Springleaf Finance Corp., 6.900%, 12/15/17	803,120	0.1
^GBP200,000		Towergate Finance PLC, 8.500%, 02/15/18	292,869	0.0
^GBP300,000		Towergate Finance PLC, 10.500%, 02/15/19	413,463	0.1
970,000		UBS Preferred Funding Trust V, 6.243%, 05/29/49	921,500	0.1

See Accompanying Notes to Financial Statements


ING PIMCO High Yield Portfolio		PORTFOLIO OF INVESTMENTS
ING PIMCO High Yield Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


^EUR1,000,000		UPCB Finance Ltd., 7.625%, 01/15/20	1,335,105	0.2
			114,478,817	13.3

		Health Care: 9.8%
1,800,000		Alere, Inc., 8.625%, 10/01/18	1,827,000	0.2
450,000		American Renal Holdings, 8.375%, 05/15/18	478,125	0.1
3,000,000	&	Biomet, Inc., 10.375%, 10/15/17	3,221,250	0.4
7,000,000		Biomet, Inc., 11.625%, 10/15/17	7,586,250	0.9
1,185,000		Community Health Systems, Inc., 8.875%, 07/15/15	1,217,587	0.1
8,091		CHS/Community Health Systems, Inc., 3.960%, 01/25/17	7,971	0.0
303,394		CHS/Community Health Systems, Inc., 3.970%, 01/25/17	298,914	0.0
325,121		Community Health Systems, Inc. - TL B, 2.500%, 07/25/14	320,966	0.0
190,434		Community Health Systems, Inc. - TL B, 2.720%, 07/25/14	188,000	0.0
2,500,000	#	ConvaTec Healthcare SA, 10.500%, 12/15/18	2,525,000	0.3
1,025,000		DaVita, Inc., 6.375%, 11/01/18	1,060,875	0.1
2,000,000		DaVita, Inc., 6.625%, 11/01/20	2,095,000	0.2
3,500,000		DJO Finance LLC / DJO Finance Corp., 7.750%, 04/15/18	2,905,000	0.3
1,500,000		Endo Pharmaceuticals Holdings, Inc., 7.000%, 07/15/19	1,638,750	0.2
1,000,000	#	Fresenius Medical Care US Finance II, Inc., 5.625%, 07/31/19	1,045,000	0.1
1,000,000	#	Fresenius Medical Care US Finance II, Inc., 5.875%, 01/31/22	1,043,750	0.1
1,750,000		Grifols, Inc., 8.250%, 02/01/18	1,885,625	0.2
1,500,000		HCA Holdings, Inc., 7.750%, 05/15/21	1,616,250	0.2
3,750,000		HCA, Inc., 6.500%, 02/15/20	4,073,438	0.5
2,650,000		HCA, Inc., 7.250%, 09/15/20	2,928,250	0.3
3,500,000		HCA, Inc., 7.500%, 02/15/22	3,823,750	0.4
2,000,000		HCA, Inc., 8.000%, 10/01/18	2,250,000	0.3
3,500,000		HCA, Inc., 8.500%, 04/15/19	3,937,500	0.5
1,500,000	#	Health Management Associates, Inc., 7.375%, 01/15/20	1,603,125	0.2
3,000,000		Hologic, Inc., 01/29/13	2,977,500	0.3
1,000,000	#	Multiplan, Inc., 9.875%, 09/01/18	1,100,000	0.1
875,000	#	Mylan, Inc./PA, 7.625%, 07/15/17	966,875	0.1


3,000,000	#	Mylan, Inc./PA, 7.875%, 07/15/20	3,378,750	0.4
2,000,000		NBTY, Inc., 9.000%, 10/01/18	2,220,000	0.3
997,500		Pharmaceutical Product Development, 6.250%, 12/05/18	1,004,233	0.1
2,000,000	#	STHI Holding Corp., 8.000%, 03/15/18	2,125,000	0.3
1,000,000		Tenet Healthcare Corp., 8.000%, 08/01/20	1,040,000	0.1
2,020,000		Tenet Healthcare Corp., 10.000%, 05/01/18	2,323,000	0.3
1,000,000		Universal Health Services, Inc., 7.000%, 10/01/18	1,080,000	0.1
500,000	#	Valeant Pharmaceuticals International, 6.500%, 07/15/16	525,000	0.1
1,000,000	#	Valeant Pharmaceuticals International, 6.750%, 10/01/17	1,047,500	0.1
2,150,000	#	Valeant Pharmaceuticals International, 6.875%, 12/01/18	2,233,312	0.3
4,000,000	#	Valeant Pharmaceuticals International, 7.000%, 10/01/20	4,060,000	0.5
500,000	#	Valeant Pharmaceuticals International, 7.250%, 07/15/22	503,750	0.1
3,000,000		Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8.000%, 02/01/18	3,082,500	0.4
5,000,000		Warner Chilcott Co. LLC / Warner Chilcott Finance LLC, 7.750%, 09/15/18	5,387,500	0.6
			84,632,296	9.8

		Industrials: 7.2%
2,500,000	#	Aguila 3 SA, 7.875%, 01/31/18	2,587,500	0.3
2,000,000	#	AMGH Merger Sub, Inc., 9.250%, 11/01/18	2,090,000	0.2
500,000	#	Amsted Industries, Inc., 8.125%, 03/15/18	531,250	0.1
1,000,000		ArvinMeritor, Inc., 8.125%, 09/15/15	1,058,750	0.1
2,000,000	L	Associated Materials LLC, 9.125%, 11/01/17	1,795,000	0.2
2,000,000	#	Aviation Capital Group, 7.125%, 10/15/20	2,043,530	0.2
1,500,000	L	BE Aerospace, Inc., 6.875%, 10/01/20	1,665,000	0.2
^EUR750,000		Bombardier, Inc., 6.125%, 05/15/21	951,500	0.1
1,400,000	#	Bombardier, Inc., 7.500%, 03/15/18	1,541,750	0.2

See Accompanying Notes to Financial Statements

ING PIMCO High Yield Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


1,600,000	#	C8 Capital SPV Ltd., 6.640%, 12/31/49	960,000	0.1
750,000	#	Calcipar SA, 6.875%, 05/01/18	742,500	0.1
1,500,000		Case New Holland, Inc., 7.875%, 12/01/17	1,740,000	0.2
1,750,000	#	CMA CGM SA, 8.500%, 04/15/17	971,250	0.1
119,666		Continental Airlines 2001-1 Class B Pass Through Trust, 7.373%, 12/15/15	121,760	0.0
120,865		Continental Airlines Pass Through Trust, 6.920%, 04/02/13	119,579	0.0
1,000,000		Corrections Corp. of America, 7.750%, 06/01/17	1,087,500	0.1
700,000		Covanta Holding Corp., 7.250%, 12/01/20	762,118	0.1
2,000,000		Esterline Technologies Corp., 7.000%, 08/01/20	2,210,000	0.3
750,000		Florida East Coast Railway Corp., 8.125%, 02/01/17	787,500	0.1
1,500,000		Griffon Corp., 7.125%, 04/01/18	1,530,000	0.2
^EUR400,000		Grohe Holding GmbH, 4.662%, 09/15/17	479,625	0.1
1,000,000	#	HD Supply, Inc., 8.125%, 04/15/19	1,082,500	0.1
1,000,000	#,L	HD Supply, Inc., 11.000%, 04/15/20	1,078,750	0.1
1,000,000		Huntington Ingalls Industries, Inc., 6.875%, 03/15/18	1,047,500	0.1
1,750,000		Interactive Data Corp., 10.250%, 08/01/18	1,946,875	0.2
2,050,000	L	Manitowoc Co., Inc., 8.500%, 11/01/20	2,224,250	0.3
2,500,000	#,L	Masonite International Corp., 8.250%, 04/15/21	2,587,500	0.3
665,000		Mueller Water Products, Inc., 8.750%, 09/01/20	741,475	0.1
1,250,000		Polymer Group, Inc., 7.750%, 02/01/19	1,326,563	0.2
1,000,000		Polypore International, Inc., 7.500%, 11/15/17	1,066,250	0.1
6,000,000		RBS Global, Inc. and Rexnord Corp., 8.500%, 05/01/18	6,540,000	0.8
1,000,000		SPX Corp., 6.875%, 09/01/17	1,095,000	0.1
5,500,000		TransDigm, Inc., 7.750%, 12/15/18	6,063,750	0.7
72,804		UAL 2009-1 Pass Through Trust, 10.400%, 11/01/16	83,092	0.0
2,003,727		United Airlines, Inc., 9.750%, 01/15/17	2,279,239	0.3
3,000,000	L	United Rentals North America, Inc., 8.375%, 09/15/20	3,172,500	0.4
1,050,000	#	USG Corp., 8.375%, 10/15/18	1,107,750	0.1


2,250,000	&	VWR Funding, Inc., 10.250%, 07/15/15	2,328,750	0.3
			61,547,856	7.2

		Information Technology: 3.4%
750,000	#,L	Alliance Data Systems Corp., 6.375%, 04/01/20	772,500	0.1
1,250,000	#	Audatex North America, Inc., 6.750%, 06/15/18	1,321,875	0.1
2,500,000	#	Avaya, Inc., 7.000%, 04/01/19	2,331,250	0.3
250,000		Brocade Communications Systems, Inc., 6.625%, 01/15/18	263,125	0.0
1,250,000		Brocade Communications Systems, Inc., 6.875%, 01/15/20	1,359,375	0.2
2,500,000	#	CommScope, Inc., 8.250%, 01/15/19	2,656,250	0.3
1,250,000		Fidelity National Information Services, Inc., 7.625%, 07/15/17	1,384,375	0.2
1,762,369		First Data Corp., 3.000%, 09/24/14	1,695,041	0.2
2,000,000	#	First Data Corp., 8.250%, 01/15/21	2,010,000	0.2
76,000	L	First Data Corp., 9.875%, 09/24/15	77,330	0.0
775,000		Mantech International Corp., 7.250%, 04/15/18	817,625	0.1
575,000	L	NXP BV/NXP Funding, LLC, 3.208%, 10/15/13	575,719	0.1
1,500,000	#	Sensata Technologies BV, 6.500%, 05/15/19	1,556,250	0.2
1,500,000	#	Sophia L.P. / Sophia Finance, Inc., 9.750%, 01/15/19	1,601,250	0.2
2,500,000		SunGard Data Systems, Inc., 7.375%, 11/15/18	2,693,750	0.3
2,000,000	L	SunGard Data Systems, Inc., 7.625%, 11/15/20	2,140,000	0.2
^EUR1,000,000		UPC Holding BV, 8.000%, 11/01/16	1,325,614	0.2
^EUR3,500,000	L	UPC Holding BV, 8.375%, 08/15/20	4,606,429	0.5
			29,187,758	3.4

		Materials: 9.0%
3,750,000		Aleris International, Inc., 7.625%, 02/15/18	3,825,000	0.5
838,937	#,&,L	ARD Finance SA, 11.125%, 06/01/18	784,406	0.1
250,000	#	Ardagh Packaging Finance Plc, 7.375%, 10/15/17	266,875	0.0
^EUR1,500,000	L	Ardagh Packaging Finance Plc, 9.250%, 10/15/20	1,919,609	0.2
1,000,000		Berry Plastics Corp., 9.500%, 05/15/18	1,070,000	0.1
2,000,000		Berry Plastics Corp., 9.750%, 01/15/21	2,185,000	0.3

See Accompanying Notes to Financial Statements

ING PIMCO High Yield Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


1,000,000	#	Building Materials Corp. of America, 7.000%, 02/15/20	1,082,500	0.1
375,000	#	Building Materials Corp. of America, 7.500%, 03/15/20	408,750	0.1
2,000,000	#	Building Materials Corp. of America, 6.750%, 05/01/21	2,145,000	0.3
1,000,000		Celanese US Holdings LLC, 5.875%, 06/15/21	1,073,750	0.1
1,000,000		Celanese US Holdings LLC, 6.625%, 10/15/18	1,092,500	0.1
1,250,000	#,L	Cemex SAB de CV, 9.000%, 01/11/18	1,121,875	0.1
1,000,000		CF Industries, Inc., 7.125%, 05/01/20	1,220,000	0.2
750,000		CF Industries, Inc., 6.875%, 05/01/18	891,562	0.1
1,500,000		Chemtura Corp., 7.875%, 09/01/18	1,584,375	0.2
2,000,000	#,L	FMG Resources August 2006 Pty Ltd., 7.000%, 11/01/15	2,050,000	0.2
2,000,000	#	FMG Resources August 2006 Pty Ltd., 8.250%, 11/01/19	2,130,000	0.3
1,000,000	#,L	FMG Resources August 2006 Pty Ltd., 6.000%, 04/01/17	1,007,500	0.1
1,750,000	#	FMG Resources August 2006 Pty Ltd., 6.875%, 04/01/22	1,767,500	0.2
1,500,000		Georgia-Pacific Corp., 8.000%, 01/15/24	2,009,255	0.2
2,500,000		Graphic Packaging International, Inc., 7.875%, 10/01/18	2,762,500	0.3
4,000,000		Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC, 8.875%, 02/01/18	4,100,000	0.5
2,000,000	L	Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC, 9.000%, 11/15/20	1,735,000	0.2
4,000,000	L	Huntsman International LLC, 8.625%, 03/15/21	4,530,000	0.5
1,000,000	#	Ineos Finance PLC, 7.500%, 05/01/20	1,012,500	0.1
^EUR500,000	L	Ineos Finance PLC, 9.250%, 05/15/15	677,044	0.1
1,000,000	#	Ineos Finance PLC, 9.000%, 05/15/15	1,060,000	0.1
2,750,000	#,L	Ineos Group Holdings PLC, 8.500%, 02/15/16	2,536,875	0.3
750,000	#	Inmet Mining Corp., 8.750%, 06/01/20	746,250	0.1
1,800,000	#	Kinove German Bondco GmbH, 9.625%, 06/15/18	1,863,000	0.2
2,000,000	#	LyondellBasell Industries NV, 5.000%, 04/15/19	2,107,500	0.3
1,000,000	#	LyondellBasell Industries NV, 5.750%, 04/15/24	1,075,000	0.1


700,000	L	Momentive Performance Materials, Inc., 9.000%, 01/15/21	533,750	0.1
3,500,000		Novelis, Inc./GA, 8.375%, 12/15/17	3,762,500	0.4
3,000,000		Novelis, Inc./GA, 8.750%, 12/15/20	3,247,500	0.4
^EUR902,500	L	OXEA Finance/Cy SCA, 9.625%, 07/15/17	1,224,919	0.2
1,100,000	#	OXEA Finance, 9.500%, 07/15/17	1,174,250	0.1
1,000,000	#	Rain CII Carbon LLC and CII Carbon Corp., 8.000%, 12/01/18	1,015,000	0.1
500,000	#	Roofing Supply Group LLC / Roofing Supply Finance, Inc., 10.000%, 06/01/20	525,000	0.1
750,000	#	Sappi Papier Holding GmbH, 7.750%, 07/15/17	762,187	0.1
250,000		Scotts Miracle-Gro Co., 7.250%, 01/15/18	271,250	0.0
1,750,000	#	Sealed Air Corp., 8.125%, 09/15/19	1,960,000	0.2
2,000,000	#	Sealed Air Corp., 8.375%, 09/15/21	2,270,000	0.3
275,000		Smurfit Kappa Funding PLC, 7.750%, 04/01/15	279,125	0.0
200,000		Steel Dynamics, Inc., 7.750%, 04/15/16	207,000	0.0
250,000		Steel Dynamics, Inc., 7.625%, 03/15/20	268,750	0.0
^EUR1,000,000	L	Styrolution GmbH, 7.625%, 05/15/16	1,089,914	0.1
1,000,000	#	Taminco Global Chemical Corp., 9.750%, 03/31/20	1,032,500	0.1
1,986,000		Teck Resources Ltd., 10.750%, 05/15/19	2,391,172	0.3
359,000		Teck Resources Ltd., 10.250%, 05/15/16	401,056	0.1
1,000,000	#	Vertellus Specialties, Inc., 9.375%, 10/01/15	827,500	0.1
			77,084,499	9.0

		Telecommunication Services: 7.3%
2,500,000		Crown Castle International Corp., 7.125%, 11/01/19	2,693,750	0.3
50,000		Crown Castle International Corp., 9.000%, 01/15/15	54,813	0.0
4,750,000	#	Digicel Ltd., 8.250%, 09/01/17	4,880,625	0.6
750,000		Frontier Communications Corp., 7.000%, 11/01/25	660,000	0.1
1,000,000		Frontier Communications Corp., 7.125%, 03/15/19	1,015,000	0.1
2,000,000		Frontier Communications Corp., 9.000%, 08/15/31	1,920,000	0.2
1,000,000	L	Frontier Communications Corp., 7.875%, 04/15/15	1,105,000	0.1

See Accompanying Notes to Financial Statements

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

ING PIMCO High Yield Portfolio


825,000	L	Frontier Communications Corp., 8.500%, 04/15/20	878,625	0.1
600,000		Hughes Satellite Systems Corp., 6.500%, 06/15/19	640,500	0.1
750,000		Hughes Satellite Systems Corp., 7.625%, 06/15/21	819,375	0.1
1,000,000		Intelsat Jackson Holdings SA, 7.250%, 10/15/20	1,055,000	0.1
2,000,000	#	Intelsat Jackson Holdings SA, 7.250%, 10/15/20	2,110,000	0.3
3,000,000		Intelsat Jackson Holdings SA, 7.250%, 04/01/19	3,165,000	0.4
1,500,000		Intelsat Jackson Holdings SA, 7.500%, 04/01/21	1,593,750	0.2
2,500,000		Intelsat Jackson Holdings SA, 8.500%, 11/01/19	2,775,000	0.3
1,000,000		Intelsat Bermuda Ltd., 11.250%, 02/04/17	1,033,750	0.1
1,353,515	&	Intelsat Bermuda Ltd., 11.500%, 02/04/17	1,402,580	0.2
2,500,000		MetroPCS Wireless, Inc., 6.625%, 11/15/20	2,468,750	0.3
1,100,000		Northwestern Bell Telephone, 7.750%, 05/01/30	1,173,230	0.1
500,000	#,L	Sable International Finance Ltd., 8.750%, 02/01/20	537,500	0.1
5,500,000		Sprint Capital Corp., 6.900%, 05/01/19	5,197,500	0.6
3,500,000		Sprint Nextel Corp., 6.000%, 12/01/16	3,368,750	0.4
4,000,000		Sprint Nextel Corp., 8.750%, 03/15/32	3,660,000	0.4
1,000,000		Syniverse Holdings, Inc., 9.125%, 01/15/19	1,090,000	0.1
600,000		Telesat Canada / Telesat LLC, 12.500%, 11/01/17	672,000	0.1
500,000		TW Telecom Holdings, Inc., 8.000%, 03/01/18	547,500	0.1
1,000,000	#	UPCB Finance V Ltd., 7.250%, 11/15/21	1,050,000	0.1
1,000,000	#	UPCB Finance VI Ltd., 6.875%, 01/15/22	1,025,000	0.1
1,500,000	#	Vimpel Communications Via VIP Finance Ireland Ltd.. OJSC, 7.748%, 02/02/21	1,452,360	0.2
1,000,000	#	VimpelCom Holdings BV, 7.504%, 03/01/22	941,940	0.1
973,000		Virgin Media Finance PLC, 9.500%, 08/15/16	1,089,760	0.1
215,055		Vodafone Group PLC, 6.880%, 08/17/15	213,442	0.0
2,000,000		Vodafone Group PLC, 6.880%, 08/17/15	1,985,000	0.2
1,650,000	#	Wind Acquisition Finance S.A., 7.250%, 02/15/18	1,452,000	0.2


3,000,000	#	Wind Acquisition Finance S.A., 11.750%, 07/15/17	2,437,500	0.3
2,500,000		Windstream Corp., 7.750%, 10/15/20	2,662,500	0.3
1,000,000		Windstream Corp., 7.875%, 11/01/17	1,095,000	0.1
1,000,000	L	Windstream Corp., 7.750%, 10/01/21	1,065,000	0.1
			62,987,500	7.3


		Utilities: 4.8%
1,250,000	#	AES Corp./The, 7.375%, 07/01/21	1,396,875	0.2
2,000,000		AES Corp., 8.000%, 10/15/17	2,285,000	0.3
500,000		AES Corp., 8.000%, 06/01/20	576,250	0.1
2,174,995		AES Ironwood, LLC, 8.857%, 11/30/25	2,517,557	0.3
654,895		AES Red Oak, LLC, 8.540%, 11/30/19	697,463	0.1
3,500,000	#	Calpine Corp., 7.500%, 02/15/21	3,797,500	0.4
1,000,000	#	Calpine Corp., 7.875%, 01/15/23	1,095,000	0.1
2,000,000	#	Calpine Corp., 7.875%, 07/31/20	2,215,000	0.2
2,500,000		Energy Future Holdings Corp., 10.000%, 01/15/20	2,681,250	0.3
1,000,000		Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc., 10.000%, 12/01/20	1,092,500	0.1
3,125,000	#	Intergen NV, 9.000%, 06/30/17	3,078,125	0.4
500,000	#	Ipalco Enterprises, Inc., 7.250%, 04/01/16	545,625	0.1
1,537,806	L	Midwest Generation, LLC, 8.560%, 01/02/16	1,468,605	0.2
4,000,000	L	NRG Energy, Inc., 7.375%, 01/15/17	4,170,000	0.5
2,000,000		NRG Energy, Inc., 7.625%, 01/15/18	2,080,000	0.2
500,000		NRG Energy, Inc., 7.875%, 05/15/21	507,500	0.1
4,000,000		NRG Energy, Inc., 8.250%, 09/01/20	4,160,000	0.5
2,084,000	#	NSG Holdings, LLC, 7.750%, 12/15/25	2,094,420	0.2
2,454,808	#	Tenaska Alabama Partners LP, 7.000%, 06/30/21	2,611,302	0.3
3,365,907		Texas Competitive Electric Holdings Co. LLC, 4.740%, 10/10/17	2,019,221	0.2
			41,089,193	4.8

	Total Corporate Bonds/Notes
	(Cost $706,447,392)		746,544,808	86.7

COLLATERALIZED MORTGAGE OBLIGATIONS: 0.9%
76,231		American Home Mortgage Assets, 0.435%, 05/25/46	40,177	0.0

See Accompanying Notes to Financial Statements

ING PIMCO High Yield Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


28,638	American Home Mortgage Investment Trust, 2.237%, 09/25/45	23,076	0.0
109,909	Banc of America Alternative Loan Trust, 0.645%, 05/25/35	72,821	0.0
564,680	Banc of America Funding Corp., 3.035%, 03/20/36	396,364	0.1
56,949	Bear Stearns Adjustable Rate Mortgage Trust, 3.123%, 05/25/47	37,844	0.0
182,843	Countrywide Alternative Loan Trust, 0.439%, 12/20/46	99,018	0.0
20,385	Countrywide Alternative Loan Trust, 0.505%, 07/25/35	12,007	0.0
421,043	Countrywide Alternative Loan Trust, 5.517%, 11/25/35	256,863	0.1
206,359	Countrywide Alternative Loan Trust, 6.000%, 11/25/36	135,298	0.0
60,513	Countrywide Alternative Loan Trust, 6.500%, 11/25/37	46,031	0.0
538,051	Countrywide Home Loan Mortgage Pass Through Trust, 0.585%, 03/25/36	204,407	0.0
472,421	Countrywide Home Loan Mortgage Pass Through Trust, 5.129%, 10/20/35	351,244	0.1
2,647,449	First Horizon Alternative Mortgage Securities, 2.599%, 09/25/35	1,929,693	0.2
462,253	Greenpoint Mortgage Funding Trust, 0.565%, 09/25/46	45,314	0.0
44,701	GSR Mortgage Loan Trust, 2.705%, 01/25/36	35,342	0.0
56,387	Harborview Mortgage Loan Trust, 0.423%, 07/19/46	31,201	0.0
394,674	Harborview Mortgage Loan Trust, 5.750%, 08/19/36	232,648	0.0
272,662	JPMorgan Mortgage Trust, 4.852%, 04/25/35	265,289	0.1
56,633	Luminent Mortgage Trust, 0.415%, 12/25/36	33,144	0.0
31,048	MASTR Adjustable Rate Mortgages Trust, 0.455%, 04/25/46	16,988	0.0
49,916	Merrill Lynch Mortgage-Backed Securities, 5.236%, 04/25/37	35,503	0.0


1,176,595		Structured Adjustable Rate Mortgage Loan Trust, 2.729%, 09/25/35	921,907	0.1
382,743		Structured Adjustable Rate Mortgage Loan Trust, 5.635%, 02/25/36	255,318	0.0
4,600,000		Structured Asset Mortgage Investments, Inc., 0.465%, 09/25/47	1,829,972	0.2
610,058		Suntrust Alternative Loan Trust, 0.595%, 04/25/36	179,871	0.0
56,766		Washington Mutual Mortgage Pass-through Certificates, 2.713%, 02/25/37	41,682	0.0
53,630		Washington Mutual Mortgage Pass-through Certificates, 4.997%, 05/25/37	36,675	0.0
48,875		Washington Mutual Mortgage Pass-through Certificates, 5.178%, 02/25/37	34,367	0.0

	Total Collateralized Mortgage Obligations (Cost $7,979,080)		7,600,064	0.9

MUNICIPAL BONDS: 0.0%
		Puerto Rico: 0.0%
1,600,000		Puerto Rico Sales Tax Financing Corp., 08/01/54	134,096	0.0

		Total Municipal Bonds
		(Cost $282,692)	134,096	0.0

ASSET-BACKED SECURITIES: 0.3%
Home Equity Asset-Backed Securities: 0.1%
467,942		Argent Securities, Inc., 1.295%, 12/25/33	360,145	0.1
270,682		MASTR Asset-Backed Securities Trust, 0.455%, 11/25/36	99,415	0.0
			459,560	0.1
		Other Asset-Backed Securities: 0.2%
10,455		GSAMP Trust, 0.315%, 12/25/36	6,364	0.0
1,967,159		Merrill Lynch First Franklin Mortgage Loan, 0.365%, 07/25/37	1,106,650	0.1
1,399,897		Structured Asset Securities Corp., 0.545%, 06/25/35	951,919	0.1
			2,064,933	0.2
	Total Asset-Backed Securities
	(Cost $2,665,517)		2,524,493	0.3

See Accompanying Notes to Financial Statements

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

ING PIMCO High Yield Portfolio


Shares			Value		Percentage of Net Assets
COMMON STOCK: 0.0%
Consumer Discretionary: 0.0%
112,801	@,L	Dex One Corp.		105,469		0.0
529	@,X	The Berry Company, LLC		–		–

	Total Common Stock
	(Cost $2,745,560)			105,469		0.0

	Total Long-Term Investments
	(Cost $720,120,241)			756,908,930		87.9

Principal Amount†			Value		Percentage of Net Assets
SHORT-TERM INVESTMENTS: 18.7%
U.S. Treasury Bills: 11.2%
25,600,000	S	United States Treasury Bill, 0.100%, 10/25/12		25,591,834		3.0
360,000	S	United States Treasury Bill, 0.140%, 01/10/13		359,722		0.0
400,000		United States Treasury Bill, 0.200%, 06/27/13		399,192		0.0
797,000	S	United States Treasury Bill, 0.080%, 09/27/12		796,841		0.1
6,640,000		United States Treasury Bill, 0.160%, 02/07/13		6,633,612		0.8
6,900,000		United States Treasury Bill, 0.160%, 03/07/13		6,892,403		0.8
4,200,000		United States Treasury Bill, 0.170%, 04/04/13		4,194,452		0.5
35,400,000	S	United States Treasury Bill, 0.180%, 05/02/13		35,344,776		4.1
16,000,000	S	United States Treasury Bill, 0.190%, 05/30/13		15,972,384		1.9
				96,185,216		11.2

Securities Lending Collateral^cc⁽¹⁾: 7.5%
15,372,458		BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $15,372,698, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $15,679,907, due 05/01/32-06/01/42)		15,372,458		1 .8

15,372,458

Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $15,372,711, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $15,679,907, due 07/01/42-02/20/61)

15,372,458

1 .8

15,372,458

Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $15,372,685, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $15,679,907, due 04/01/24-06/01/42)

15,372,458

1 .8

15,372,458

Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $15,372,774, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $15,679,907, due 10/01/14-02/25/44)

15,372,458

1 .8

3,236,303

UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $3,236,356, collateralized by various U.S. Government Agency Obligations, 3.000%-6.500%, Market Value plus accrued interest $3,301,029, due 07/01/21-04/01/42)

3,236,303

0.3

64,726,135

7 .5

Total Short-Term Investments

(Cost $160,911,740)

160,911,351

18 .7

Total Investments in Securities

(Cost $881,031,981)

$ 917,820,281

106.6

Liabilities in Excess of Other Assets

(56,692,631 )

(6.6)

Net Assets

$ 861,127,650

100.0

See Accompanying Notes to Financial Statements

ING PIMCO High Yield Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

†

Unless otherwise indicated, principal amount is shown in USD.

Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.

Non-income producing security

Payment-in-kind

Securities purchased with cash collateral for securities loaned.

All or a portion of this security has been identified by the Fund to cover future collateral requirements for applicable futures, options, swaps, foreign currency contracts and/or when-issued or delayed-delivery securities.

Loaned security, a portion or all of the security is on loan at June 30, 2012.

Defaulted security

Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees.

Indicates Zero Coupon Bond; rate shown reflects current effective yield.

(1)

Collateral received from brokers for securities lending was invested into these short-term investments.

EUR

EU Euro

GBP

British Pound


Cost for federal income tax purposes is $881,544,453.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation			$53,692,910
Gross Unrealized Depreciation			(17,417,082)

Net Unrealized Appreciation			$36,275,828

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Consumer Discretionary	$	105,469	$	–	$	–	$	105,469

Total Common Stock		105,469		–		–		105,469

Corporate Bonds/Notes		–		745,425,229		119,579		746,544,808
Collateralized Mortgage Obligations		–		7,600,064		–		7,600,064
Municipal Bonds		–		134,096		–		134,096
Short-Term Investments		–		160,911,351		–		160,911,351
Asset-Backed Securities		–		2,524,493		–		2,524,493

Total Investments, at fair value	$	105,469	$	916,595,233	$	119,579	$	917,820,281

Other Financial Instruments+
Swaps		–		612,753		–		612,753
Forward Foreign Currency Contracts		–		58,936		–		58,936

Total Assets	$	105,469	$	917,266,922	$	119,579	$	918,491,970

Liabilities Table
Other Financial Instruments+
Swaps	$	(19,163 )	$	(279,208 )	$	–	$	(298,371 )
Forward Foreign Currency Contracts		–		(431,292 )		–		(431,292 )

Total Liabilities	$	(19,163 )	$	(710,500 )	$	–	$	(729,663 )

See Accompanying Notes to Financial Statements

ING PIMCO High Yield Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

At June 30, 2012, the following forward foreign currency contracts were outstanding for the ING PIMCO High Yield Portfolio:


Counterparty	Currency	Contract Amount		Buy/Sell	Settlement Date	In Exchange For		Fair Value		Unrealized Appreciation (Depreciation)

Barclays Bank PLC	Brazilian Real		100,000	Buy	08/02/12	$	51,146	$	49,433	$	(1,713)
JPMorgan Chase & Co.	British Pound		183,000	Buy	07/03/12		284,850		286,603		1,753
JPMorgan Chase & Co.	EU Euro		96,000	Buy	09/14/12		119,762		121,579		1,817
JPMorgan Chase & Co.	Chinese Yuan		23,649,355	Buy	02/01/13		3,711,740		3,703,206		(8,534)

										$	(6,677)


Citigroup, Inc.	EU Euro		20,517,000	Sell	09/14/12	$	25,597,830	$	25,983,648	$	(385,818)
Citigroup, Inc.	Chinese Yuan		11,800,000	Sell	10/15/12		1,852,433		1,850,563		1,870
Goldman Sachs & Co.	British Pound		2,369,000	Sell	07/03/12		3,738,578		3,710,177		28,401
HSBC	British Pound		2,370,000	Sell	07/03/12		3,736,838		3,711,743		25,095
HSBC	EU Euro		642,000	Sell	09/14/12		803,656		813,058		(9,402)
UBS AG	British Pound		4,556,000	Sell	08/02/12		7,109,023		7,134,848		(25,825)

										$	(365,679)

ING PIMCO High Yield Portfolio Centrally Cleared Credit Default Swaps Outstanding on June 30, 2012

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾


Reference Entity/Obligation	Buy/Sell Protection	(Pay)/ Receive Fixed Rate (%)	Termination Date		Implied Credit Spread at 06/30/12 (%) ⁽⁴⁾		Notional Amount⁽²⁾		Fair Value⁽³⁾			Unrealized Appreciation/ (Depreciation)
CDX.NA.HY.16 Index	Sell	5.000		06/20/16		USD		17,520,000	$	(19,163	)	$	1,032,037

									$	(19,163	)	$	1,032,037

ING PIMCO High Yield Portfolio Over-the-Counter Credit Default Swap Agreements Outstanding on June 30, 2012:

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾


Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pay)/ Receive Fixed Rate (%)	Termination Date	Notional Amount⁽²⁾		Fair Value⁽³⁾			Upfront Payments Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	CDX.NA.HY.16 Index	Sell	5.000	06/20/16		USD 1,440,000	$	(3,692	)	$	2,081		$	(5,773)
Credit Suisse First Boston	CDX.NA.HY.18 Index	Sell	5.000	06/20/17		USD 4,950,000		(175,419	)	$	(235,125	)		59,706
Deutsche Bank AG	CDX.NA.IG.9 Index (30-100% Tranche)	Sell	0.760	12/20/12		USD 1,543,198		5,548		$	–			5,548

							$	(173,563)		$	(233,044)		$	59,481

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽¹⁾


Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pay)/ Receive Fixed Rate (%)	Termination Date	Implied Credit Spread at 06/30/12 (%) ⁽⁴⁾		Notional Amount⁽²⁾		Fair Value⁽³⁾		Upfront Payments Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Credit Suisse First Boston	AES Corp.	Sell	5.000	03/20/14		1.407	USD	2,000,000	$	122,699	$	(188,750)	$	311,449
Citigroup, Inc.	Aramark Services	Sell	5.000	03/20/14		1.116	USD	100,000		6,653	$	(2,718)		9,371
Citigroup, Inc.	Community Health Systems	Sell	5.000	09/20/14		2.839	USD	100,000		4,656	$	(9,000)		13,656
Credit Suisse First Boston	El Paso Corp.	Sell	5.000	12/20/14		1.028	USD	2,500,000		243,192	$	(75,000)		318,192
Goldman Sachs & Co.	El Paso Corp.	Sell	5.000	09/20/14		0.921	USD	2,000,000		180,271	$	(190,000)		370,271

See Accompanying Notes to Financial Statements


ING PIMCO High Yield Portfolio		PORTFOLIO OF INVESTMENTS
ING PIMCO High Yield Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


Goldman Sachs & Co.	NRG Energy Inc.	Sell	4.200	09/20/13	1.750	USD	225,000		6,709	$	–		6,709
Goldman Sachs & Co.	RRI Energy Inc.	Sell	5.000	09/20/14	6.497	USD	3,300,000		(100,097)	$	(610,500)		510,403
Barclays Bank PLC	SLM Corp.	Sell	5.000	12/20/13	2.045	USD	1,000,000		43,025	$	(110,000)		153,025

								$	507,108	$	(1,185,968)	$	1,693,076

(1)

(2)

(3)

(4)

A summary of derivative instruments by primary risk exposure is outlined in the following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities	Fair Value

Asset Derivatives

Foreign exchange contracts	Unrealized appreciation on forward foreign currency contracts	$	58,936
Credit contracts	Upfront payments paid on OTC swap agreements		2,081
Credit contracts	Unrealized appreciation on OTC swap agreements		1,758,330
Credit contracts	Net Assets-Unrealized appreciation*		1,032,037

Total Asset Derivatives		$	2,851,384


Liability Derivatives

Foreign exchange contracts	Unrealized depreciation on forward foreign currency contracts	$	431,292
Credit contracts	Upfront payments received on swap agreements		1,421,093
Credit contracts	Unrealized depreciation on OTC swap agreements		5,773

Total Liability Derivatives		$	1,858,158

* Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table following the Summary Portfolio of Investments.

See Accompanying Notes to Financial Statements


ING PIMCO High Yield Portfolio		PORTFOLIO OF INVESTMENTS
ING PIMCO High Yield Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2012 was as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments	Foreign currency related transactions*			Swaps			Total


Credit contracts	$	-			2,264,479		$	2,264,479
Foreign exchange contracts		2,729,489			-			2,729,489
Interest rate contracts		-			(724,682	)

Total	$	2,729,489		$	2,264,479		$	4,993,968


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income

Derivatives not accounted for as hedging instruments	Foreign currency related transactions*			Swaps			Total


Credit contracts	$	-		$	871,216		$	871,216
Foreign exchange contracts		(2,435,826	)		-			(2,435,826)
Interest rate contracts		-			746,821			746,821

Total	$	(2,435,826	)	$	1,618,037		$	(817,789)

See Accompanying Notes to Financial Statements

ING Pioneer Fund Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares	Value			Percentage of Net Assets
COMMON STOCK: 99.3%
		Consumer Discretionary: 12.6%
6,562	@	BorgWarner, Inc.	430,402		0.5
9,948		CBS Corp. - Class B	326,095		0.4
13,679		Coach, Inc.	799,948		1.0
62,986		Ford Motor Co.	604,036		0.8
23,489		John Wiley & Sons, Inc.	1,150,726		1.5
28,148		Johnson Controls, Inc.	779,981		1.0
28,340		Lowe’s Cos., Inc.	805,990		1.0
13,117		Macy’s, Inc.	450,569		0.6
7,284		McDonald’s Corp.	644,852		0.8
9,389		Nordstrom, Inc.	466,539		0.6
13,949		Pearson PLC	276,772		0.3
8,059		Scripps Networks Interactive - Class A	458,235		0.6
5,260		Starbucks Corp.	280,463		0.4
16,684		Target Corp.	970,842		1.2
14,961		TJX Cos., Inc.	642,276		0.8
18,757		Walt Disney Co.	909,714		1.1
			9,997,440		12.6

		Consumer Staples: 10.6%
3,630		Clorox Co.	263,030		0.3
16,989		Colgate-Palmolive Co.	1,768,555		2.2
6,286		Dr Pepper Snapple Group, Inc.	275,013		0.3
22,373		General Mills, Inc.	862,255		1.1
23,861		Hershey Co.	1,718,708		2.2
18,756		HJ Heinz Co.	1,019,951		1.3
21,775		Kraft Foods, Inc.	840,951		1.1
5,161		Procter & Gamble Co.	316,111		0.4
17,247		Sysco Corp.	514,133		0.7
28,068		Walgreen Co.	830,251		1.0
			8,408,958		10.6

		Energy: 10.4%
11,652		Apache Corp.	1,024,094		1.3
13,101		Cabot Oil & Gas Corp.	516,179		0.7
8,652		Chevron Corp.	912,786		1.2
15,791		ConocoPhillips	882,401		1.1
10,043	@	Ensco PLC	471,720		0.6
12,647		ExxonMobil Corp.	1,082,204		1.4
4,577		Helmerich & Payne, Inc.	199,008		0.2
17,436		Marathon Oil Corp.	445,839		0.6
8,717		Marathon Petroleum Corp.	391,568		0.5
4,168		National Oilwell Varco, Inc.	268,586		0.3
2,878		Occidental Petroleum Corp.	246,846		0.3
7,895	@	Phillips 66	262,430		0.3
9,873		Schlumberger Ltd.	640,856		0.8
26,996	@	Southwestern Energy Co.	861,982		1.1
			8,206,499		10.4

		Financials: 15.4%
3,970		Aflac, Inc.	169,082		0.2
11,882		American Express Co.	691,651		0.9
39,568		Bank of America Corp.	323,666		0.4
4,234		Canadian Imperial Bank of Commerce	297,973		0.4


23,614		Chubb Corp.	1,719,571	2.2
17,717		Citigroup, Inc.	485,623	0.6
18,222		Comerica, Inc.	559,598	0.7
20,844		Discover Financial Services	720,786	0.9
5,030		Franklin Resources, Inc.	558,280	0.7
13,353	@	Invesco Ltd.	301,778	0.4
26,280		JPMorgan Chase & Co.	938,984	1.2
39,882		Keycorp	308,687	0.4
33,367		Morgan Stanley	486,825	0.6
12,337		PNC Financial Services Group, Inc.	753,914	1.0
4,069		Prudential Financial, Inc.	197,062	0.2
8,992		State Street Corp.	401,403	0.5
11,840		T. Rowe Price Group, Inc.	745,446	0.9
8,354		Travelers Cos., Inc.	533,319	0.7
28,337		US Bancorp.	911,318	1.1
32,887		Wells Fargo & Co.	1,099,741	1.4
			12,204,707	15.4

		Health Care: 14.6%
20,389		Abbott Laboratories	1,314,479	1.7
4,963		Agilent Technologies, Inc.	194,748	0.2
9,175		Amgen, Inc.	670,142	0.8
7,435		Baxter International, Inc.	395,170	0.5
15,779		Becton Dickinson & Co.	1,179,480	1.5
6,612		Cardinal Health, Inc.	277,704	0.4
3,970	@	Celgene Corp.	254,715	0.3
11,629		Covidien PLC	622,152	0.8
12,151		CR Bard, Inc.	1,305,503	1.7
8,224		Eli Lilly & Co.	352,892	0.4
5,504	@	Express Scripts Holding Co.	307,288	0.4
15,217	@	Hospira, Inc.	532,291	0.7
3,371		Johnson & Johnson	227,745	0.3
10,683		Merck & Co., Inc.	446,015	0.6
36,993		Pfizer, Inc.	850,839	1.1
57,528		Smith & Nephew PLC	575,420	0.7
8,400		St. Jude Medical, Inc.	335,244	0.4
8,137		Stryker Corp.	448,349	0.6
8,657		UnitedHealth Group, Inc.	506,435	0.6
13,300	@	Vertex Pharmaceuticals, Inc.	743,736	0.9
			11,540,347	14.6

		Industrials: 10.7%
9,879		3M Co.	885,158	1.1
5,558		Cummins, Inc.	538,626	0.7
9,671		Deere & Co.	782,094	1.0
41,167		General Electric Co.	857,920	1.1
9,825		Ingersoll-Rand PLC	414,419	0.5
14,788		KBR, Inc.	365,411	0.5
13,549		Norfolk Southern Corp.	972,412	1.2
28,558		Paccar, Inc.	1,119,188	1.4
7,166		Rockwell Automation, Inc.	473,386	0.6
5,459		SPX Corp.	356,582	0.5
3,672		Union Pacific Corp.	438,106	0.6
5,061		United Parcel Service, Inc. - Class B	398,604	0.5

See Accompanying Notes to Financial Statements


ING Pioneer Fund Portfolio		PORTFOLIO OF INVESTMENTS
ING Pioneer Fund Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


10,875		United Technologies Corp.	821,389	1.0
			8,423,295	10.7

		Information Technology: 18.3%
14,817	@	Adobe Systems, Inc.	479,626	0.6
9,843		Altera Corp.	333,087	0.4
22,077		Analog Devices, Inc.	831,641	1.0
2,856	@	Apple, Inc.	1,667,904	2.1
12,077		ASML Holding NV	620,999	0.8
15,016		Automatic Data Processing, Inc.	835,791	1.1
26,349		Cisco Systems, Inc.	452,412	0.6
9,766		DST Systems, Inc.	530,391	0.7
9,920	@	eBay, Inc.	416,739	0.5
11,100	@	EMC Corp.	284,493	0.4
7,154	@	Facebook, Inc.	222,633	0.3
6,941	@	Fiserv, Inc.	501,279	0.6
857	@	Google, Inc. - Class A	497,120	0.6
11,968		Hewlett-Packard Co.	240,677	0.3
3,560		International Business Machines Corp.	696,265	0.9
35,720		Intel Corp.	951,938	1.2
19,804	@	Juniper Networks, Inc.	323,003	0.4
361		Mastercard, Inc.	155,270	0.2
43,033		Microsoft Corp.	1,316,380	1.7
4,667		Motorola Solutions, Inc.	224,529	0.3
7,453	@	NetApp, Inc.	237,154	0.3
11,450	@	Nuance Communications, Inc.	272,739	0.3
25,965		Oracle Corp.	771,161	1.0
7,887		Qualcomm, Inc.	439,148	0.6
3,642	@	Sandisk Corp.	132,860	0.2
23,280	@	Symantec Corp.	340,121	0.4
17,431		Texas Instruments, Inc.	500,095	0.6
5,260		Xilinx, Inc.	176,578	0.2
			14,452,033	18.3

		Materials: 3.9%
8,569		Airgas, Inc.	719,882	0.9
9,604		Ecolab, Inc.	658,162	0.8
14,298		EI Du Pont de Nemours & Co.	723,050	0.9
14,021		Freeport-McMoRan Copper & Gold, Inc.	477,695	0.6
3,672		International Paper Co.	106,157	0.2
7,530		Mosaic Co/The	412,343	0.5
			3,097,289	3.9

		Telecommunication Services: 2.4%
26,405		AT&T, Inc.	941,602	1.2
21,574		Verizon Communications, Inc.	958,749	1.2
			1,900,351	2.4

		Utilities: 0.4%
7,841		American Electric Power Co., Inc.	312,856	0.4

	Total Common Stock
	(Cost $69,311,339)		78,543,775	99.3

SHORT-TERM INVESTMENTS: 0.6%

Mutual Funds: 0.6%

482,767

BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $482,767)

482,767

0.6

Total Short-Term Investments (Cost $482,767)

482,767

0.6

Total Investments in Securities (Cost $69,794,106)

$ 79,026,542

99.9

Assets in Excess of Other Liabilities

99,586

0.1

Net Assets

$ 79,126,128

100.0

@	Non-income producing security

Cost for federal income tax purposes is $70,203,694.

Net unrealized appreciation consists of:


Gross Unrealized Appreciation	$	12,268,448
Gross Unrealized Depreciation		(3,445,600)


Net Unrealized Appreciation		$8,822,848

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:

See Accompanying Notes to Financial Statements

ING Pioneer Fund Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Consumer Discretionary	$	9,720,668	$	276,772	$	–	$	9,997,440
Consumer Staples		8,408,958		–		–		8,408,958
Energy		8,206,499		–		–		8,206,499
Financials		12,204,707		–		–		12,204,707
Health Care		10,964,927		575,420		–		11,540,347
Industrials		8,423,295		–		–		8,423,295
Information Technology		14,452,033		–		–		14,452,033
Materials		3,097,289		–		–		3,097,289
Telecommunication Services		1,900,351		–		–		1,900,351
Utilities		312,856		–		–		312,856

Total Common Stock		77,691,583		852,192		–		78,543,775

Short-Term Investments		482,767		–		–		482,767

Total Investments, at fair value	$	78,174,350	$	852,192	$	–	$	79,026,542

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

See Accompanying Notes to Financial Statements

ING Templeton Global

Growth Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 98.4%
		Austria: 0.4%
229,810		Telekom Austria AG		2,258,785		0.4

		Brazil: 0.6%
55,330		Petroleo Brasileiro SA ADR		1,003,686		0.2
111,130		Vale SA ADR		2,168,146		0.4
				3,171,832		0.6

		Canada: 0.5%
220,900		Talisman Energy, Inc.		2,532,072		0.5

		China: 0.6%
165,500		China Mobile Ltd.		1,816,775		0.4
25,000	L	China Telecom Corp., Ltd. ADR ADR		1,100,500		0.2
				2,917,275		0.6

		France: 10.0%
167,500	L	Alstom		5,299,464		1.1
365,002		AXA S.A.		4,879,616		1.0
151,860		BNP Paribas		5,854,933		1.2
82,275		Cie Generale des Etablissements Michelin		5,382,964		1.1
699,560	@	Credit Agricole S.A.		3,086,776		0.6
290,480		France Telecom S.A.		3,819,355		0.8
128,780		Sanofi-Aventis		9,748,775		1.9
165,330		Total S.A.		7,441,343		1.5
225,049		Vivendi		4,181,619		0.8
				49,694,845		10.0

		Germany: 5.4%
430,200		Deutsche Lufthansa AG		4,973,465		1.0
162,440		Deutsche Post AG		2,874,134		0.6
37,540		Merck KGaA		3,748,995		0.7
33,920		Muenchener Rueckversicherungs AG		4,786,264		1.0
78,420		SAP AG		4,643,683		0.9
69,520		Siemens AG		5,841,581		1.2
				26,868,122		5.4

		Hong Kong: 0.3%
140,000		Cheung Kong Holdings Ltd.		1,728,482		0.3

		India: 0.5%
76,440		ICICI Bank Ltd. ADR		2,477,420		0.5

		Italy: 3.0%
259,567		ENI S.p.A.		5,514,552		1.1
2,995,557		Intesa Sanpaolo S.p.A.		4,263,426		0.8
1,398,491	@	UniCredit SpA		5,302,541		1.1
				15,080,519		3.0

		Japan: 3.7%
381,500		Konica Minolta Holdings, Inc.		3,005,440		0.6
1,283,000		Mazda Motor Corp.		1,747,128		0.3
28,900		Nintendo Co., Ltd.		3,374,970		0.7
342,600		Nissan Motor Co., Ltd.		3,253,237		0.7
371,900		Nomura Holdings, Inc.		1,390,363		0.3


136,700		Toyota Motor Corp.	5,517,516	1.1
			18,288,654	3.7

		Netherlands: 4.7%
74,112		Akzo Nobel NV	3,488,059	0.7
131,060		Randstad Holdings NV	3,864,562	0.8
3,471		Royal Dutch Shell PLC - Class A	116,948	0.0
252,197		Royal Dutch Shell PLC - Class B	8,807,637	1.8
290,910		Koninklijke Philips Electronics NV	5,732,592	1.1
110,348	@	SBM Offshore NV	1,529,234	0.3
			23,539,032	4.7

		Russia: 0.8%
418,290		Gazprom OAO ADR	3,944,475	0.8

		Singapore: 3.3%
313,980		DBS Group Holdings Ltd.	3,468,126	0.7
570,980	@	Flextronics International Ltd.	3,540,076	0.7
3,607,000		Singapore Telecommunications Ltd.	9,445,875	1.9
			16,454,077	3.3

		South Korea: 3.0%
120,170		KB Financial Group, Inc.	3,925,583	0.8
10,189		Samsung Electronics Co., Ltd.	10,790,023	2.2
			14,715,606	3.0

		Spain: 0.6%
233,371		Telefonica S.A.	3,071,973	0.6

		Sweden: 0.8%
414,521		Telefonaktiebolaget LM Ericsson	3,792,753	0.8

		Switzerland: 5.0%
28,350	@	Adecco S.A.	1,260,719	0.2
237,230	@	Credit Suisse Group	4,340,608	0.9
50,040		Roche Holding AG - Genusschein	8,643,560	1.7
109,330	@	Swiss Re Ltd.	6,892,361	1.4
331,460	@	UBS AG - Reg	3,878,803	0.8
			25,016,051	5.0

		Taiwan: 1.0%
362,128	@	Taiwan Semiconductor Manufacturing Co., Ltd. ADR	5,055,307	1.0

		Turkey: 0.6%
221,600	@	Turkcell Iletisim Hizmet AS ADR	2,781,080	0.6

		United Kingdom: 13.4%
1,104,186		Aviva PLC	4,728,061	1.0
530,620		BAE Systems PLC	2,405,630	0.5
1,022,410		BP PLC	6,827,840	1.4
147,170		Carillion PLC	637,540	0.1
374,121		CRH PLC	7,217,928	1.4
361,130		GlaxoSmithKline PLC	8,202,699	1.6
557,910		HSBC Holdings PLC	4,935,869	1.0

See Accompanying Notes to Financial Statements

ING Templeton Global

Growth Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


2,711,470	@	International Consolidated Airlines Group SA	6,786,429	1.4
1,458,820		Kingfisher PLC	6,580,747	1.3
2,905,390	@	Lloyds TSB Group PLC	1,419,305	0.3
885,470		Rentokil Initial PLC	1,020,684	0.2
1,036,920		Tesco PLC	5,039,235	1.0
3,918,007		Vodafone Group PLC	11,012,532	2.2
			66,814,499	13.4

		United States: 40.2%
73,630		American Express Co.	4,286,002	0.9
238,200		Amgen, Inc.	17,398,128	3.5
153,480		Baker Hughes, Inc.	6,308,028	1.3
228,360		Bank of America Corp.	1,867,985	0.4
514,160	@	Brocade Communications Systems, Inc.	2,534,809	0.5
161,220		Chesapeake Energy Corp.	2,998,692	0.6
56,130		Chevron Corp.	5,921,715	1.2
443,070		Cisco Systems, Inc.	7,607,512	1.5
201,720		Citigroup, Inc.	5,529,145	1.1
328,880		Comcast Corp. – Class A	10,514,294	2.1
145,555		CVS Caremark Corp.	6,801,785	1.4
153,920	@	Dell, Inc.	1,927,078	0.4
57,410		FedEx Corp.	5,259,330	1.0
242,140		General Electric Co.	5,046,198	1.0
117,440		Halliburton Co.	3,334,122	0.7
156,850		Hewlett-Packard Co.	3,154,254	0.6
71,240		Home Depot, Inc.	3,775,008	0.8
90,650		JPMorgan Chase & Co.	3,238,925	0.6
144,030		Medtronic, Inc.	5,578,282	1.1
190,820		Merck & Co., Inc.	7,966,735	1.6
424,260		Microsoft Corp.	12,978,113	2.6
284,070		Morgan Stanley	4,144,581	0.8
169,800	@	Navistar International Corp.	4,817,226	1.0
267,290		News Corp. - Class A	5,957,894	1.2
115,880		Noble Corp.	3,769,576	0.8
140,690		Oracle Corp.	4,178,493	0.8
560,670		Pfizer, Inc.	12,895,410	2.6
50,750		Quest Diagnostics	3,039,925	0.6
10,937		RenaissanceRe Holdings Ltd.	831,321	0.2
1,798,217	@	Sprint Nextel Corp.	5,862,187	1.2
62,540		Target Corp.	3,639,203	0.7
80,290	@	TE Connectivity Ltd.	2,562,054	0.5
71,822		Time Warner Cable, Inc.	5,896,586	1.2
127,003		Time Warner, Inc.	4,889,616	1.0
76,450		United Parcel Service, Inc. - Class B	6,021,202	1.2
55,270		Viacom - Class B	2,598,795	0.5
100,830		Walt Disney Co.	4,890,255	1.0
			200,020,464	40.2

	Total Common Stock
	(Cost $569,000,889)		490,223,323	98.4


Principal Amount†			Value		Percentage of Net Assets
SHORT-TERM INVESTMENTS: 2.3%
		U.S. Government Agency Obligations: 1.2%
6,000,000	Z	Federal Home Loan Bank Discount Notes, 0.120%, 07/02/12
		(Cost $6,000,000)		6,000,000		1.2

		Securities Lending Collateral^cc⁽¹⁾: 1.1%
1,322,928		BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $1,322,949, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $1,349,387, due 05/01/32-06/01/42)		1,322,928		0.3
1,322,928		Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $1,322,950, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $1,349,387, due 07/01/42-02/20/61)		1,322,928		0.3
1,322,928		Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $1,322,948, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $1,349,387, due 04/01/24-06/01/42)		1,322,928		0.3
1,322,928		Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $1,322,955, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $1,349,387, due 10/01/14-02/25/44)		1,322,928		0.2

See Accompanying Notes to Financial Statements

ING Templeton Global

Growth Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


278,509	UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $278,514, collateralized by various U.S. Government Agency Obligations, 3.000%- 6.500%, Market Value plus accrued interest $284,079, due 07/01/21- 04/01/42)		278,509	0.0
		5,570,221		1.1
	Total Short-Term Investments
	(Cost $11,570,221)		11,570,221	2.3

	Total Investments in Securities (Cost $580,571,110)	$ 501,793,544		100.7
	Liabilities in Excess of Other Assets	(3,719,776)		(0.7)

	Net Assets	$ 498,073,768		100.0


†		Unless otherwise indicated, principal amount is shown in USD.
@		Non-income producing security
ADR		American Depositary Receipt
cc		Securities purchased with cash collateral for securities loaned.
L		Loaned security, a portion or all of the security is on loan at June 30, 2012.
Z		Indicates Zero Coupon Bond; rate shown reflects current effective yield.
(1)		Collateral received from brokers for securities lending was invested into these short-term investments.

Cost for federal income tax purposes is $580,951,396.

Net unrealized depreciation consists of:


Gross Unrealized Appreciation	$	53,137,626
Gross Unrealized Depreciation		(132,295,478)


Net Unrealized Depreciation	$	(79,157,852)


Sector Diversification	Percentage of Net Assets
Consumer Discretionary		13.0%
Consumer Staples		2.4
Energy		12.2
Financials		17.7
Health Care		15.3
Industrials		12.4
Information Technology		13.8
Materials		2.5
Telecommunication Services		7.5
Telecommunications		1.6
U.S. Government Agency Obligations		1.2
Short-Term Investments		1.1
Liabilities in Excess of Other Assets		(0.7)

Net Assets		100.0%

See Accompanying Notes to Financial Statements

ING Templeton Global

Growth Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs # (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock
Austria	$	–	$	2,258,785	$	–	$	2,258,785
Brazil		3,171,832		–		–		3,171,832
Canada		2,532,072		–		–		2,532,072
China		1,100,500		1,816,775		–		2,917,275
France		–		49,694,845		–		49,694,845
Germany		–		26,868,122		–		26,868,122
Hong Kong		–		1,728,482		–		1,728,482
India		2,477,420		–		–		2,477,420
Italy		–		15,080,519		–		15,080,519
Japan		–		18,288,654		–		18,288,654
Netherlands		–		23,539,032		–		23,539,032
Russia		3,944,475		–		–		3,944,475
Singapore		3,540,076		12,914,001		–		16,454,077
South Korea		–		14,715,606		–		14,715,606
Spain		–		3,071,973		–		3,071,973
Sweden		–		3,792,753		–		3,792,753
Switzerland		–		25,016,051		–		25,016,051
Taiwan		5,055,307		–		–		5,055,307
Turkey		2,781,080		–		–		2,781,080
United Kingdom		–		66,814,499		–		66,814,499
United States		200,020,464		–		–		200,020,464

Total Common Stock		224,623,226		265,600,097		–		490,223,323

Short-Term Investments		–		11,570,221		–		11,570,221

Total Investments, at fair value	$	224,623,226	$	277,170,318	$	–	$	501,793,544

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.


Sector Diversification	Percentage of Net Assets
Consumer Discretionary		13.0	%
Consumer Staples		2.4
Energy		12.2
Financials		17.7
Health Care		15.3
Industrials		12.4
Information Technology		13.8
Materials		2.5
Telecommunication Services		7.5
Telecommunications		1.6
U.S. Government Agency Obligations		1.2
Short-Term Investments		1.1
Liabilities in Excess of Other Assets		(0.7	)

Net Assets		100.0	%

See Accompanying Notes to Financial Statements

ING U.S. Stock Index Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED)


Shares			Value		Percentage of Net Assets
COMMON STOCK: 98.7%
		Consumer Discretionary: 10.7%
28,264		Abercrombie & Fitch Co.		964,933		0.0
123,397	@	Amazon.com, Inc.		28,177,705		0.7
36,762	@	Apollo Group, Inc. - Class A		1,330,417		0.0
14,222	@,L	Autonation, Inc.		501,752		0.0
9,124	@	Autozone, Inc.		3,350,059		0.1
79,595	@	Bed Bath & Beyond, Inc.		4,918,971		0.1
94,898		Best Buy Co., Inc.		1,989,062		0.1
21,811	@	Big Lots, Inc.		889,671		0.0
39,241	@	BorgWarner, Inc.		2,573,817		0.1
73,325		Cablevision Systems Corp.		974,489		0.0
78,127	@	Carmax, Inc.		2,026,614		0.1
155,148		Carnival Corp.		5,316,922		0.1
221,903		CBS Corp. - Class B		7,273,980		0.2
10,855	@	Chipotle Mexican Grill, Inc.		4,124,357		0.1
98,387		Coach, Inc.		5,753,672		0.1
923,082		Comcast Corp. – Class A		29,510,932		0.7
44,047		Darden Restaurants, Inc.		2,230,100		0.1
20,176		DeVry, Inc.		624,851		0.0
224,251	@	DIRECTV		10,947,934		0.3
87,288	@	Discovery Communications, Inc. - Class A		4,713,552		0.1
79,416	@	Dollar Tree, Inc.		4,272,581		0.1
95,920		D.R. Horton, Inc.		1,763,010		0.0
30,892		Expedia, Inc.		1,484,978		0.0
39,967		Family Dollar Stores, Inc.		2,657,006		0.1
1,306,602		Ford Motor Co.		12,530,313		0.3
17,811	@	Fossil, Inc.		1,363,254		0.0
44,609	L	GameStop Corp.		819,021		0.0
80,750		Gannett Co., Inc.		1,189,447		0.0
113,895		Gap, Inc.		3,116,167		0.1
53,379		Genuine Parts Co.		3,216,085		0.1
83,348	@	Goodyear Tire & Rubber Co.		984,340		0.0
100,507		H&R Block, Inc.		1,606,102		0.0
79,265		Harley-Davidson, Inc.		3,624,788		0.1
24,131		Harman International Industries, Inc.		955,588		0.0
39,957		Hasbro, Inc.		1,353,344		0.0
524,050		Home Depot, Inc.		27,769,409		0.7
101,391		International Game Technology		1,596,908		0.0
151,685		Interpublic Group of Cos., Inc.		1,645,782		0.0
50,141	L	JC Penney Co., Inc.		1,168,787		0.0
232,879		Johnson Controls, Inc.		6,453,077		0.2
82,096		Kohl’s Corp.		3,734,547		0.1
47,721		Leggett & Platt, Inc.		1,008,345		0.0
55,711	L	Lennar Corp.		1,722,027		0.0
402,872		Lowe’s Cos., Inc.		11,457,680		0.3
82,726		Limited Brands, Inc.		3,518,337		0.1
141,449		Macy’s, Inc.		4,858,773		0.1
90,661		Marriott International, Inc.		3,553,911		0.1
116,604		Mattel, Inc.		3,782,634		0.1
347,930		McDonald’s Corp.		30,802,243		0.7
95,761		McGraw-Hill Cos., Inc.		4,309,245		0.1
19,007	@,L	NetFlix, Inc.		1,301,409		0.0


99,253		Newell Rubbermaid, Inc.	1,800,449	0.0
721,295		News Corp. - Class A	16,077,666	0.4
125,545		Nike, Inc.	11,020,340	0.3
54,837		Nordstrom, Inc.	2,724,851	0.1
93,339		Omnicom Group	4,536,275	0.1
43,170	@	O’Reilly Automotive, Inc.	3,616,351	0.1
17,048	@	Priceline.com, Inc.	11,328,737	0.3
115,588	@	Pulte Homes, Inc.	1,236,792	0.0
22,219		Ralph Lauren Corp.	3,111,993	0.1
77,231		Ross Stores, Inc.	4,824,621	0.1
31,737		Scripps Networks Interactive - Class A	1,804,566	0.0
13,119	@,L	Sears Holding Corp.	783,204	0.0
236,119		Staples, Inc.	3,081,353	0.1
259,687		Starbucks Corp.	13,846,511	0.3
226,376		Target Corp.	13,172,819	0.3
43,387		Tiffany & Co.	2,297,342	0.1
106,988		Time Warner Cable, Inc.	8,783,715	0.2
328,645		Time Warner, Inc.	12,652,832	0.3
253,679		TJX Cos., Inc.	10,890,439	0.3
32,623	@	TripAdvisor, Inc.	1,457,922	0.0
38,176	@	Urban Outfitters, Inc.	1,053,276	0.0
29,635		VF Corp.	3,954,791	0.1
180,709		Viacom - Class B	8,496,937	0.2
611,937		Walt Disney Co.	29,678,944	0.7
1,644	L	Washington Post	614,560	0.0
26,451		Whirlpool Corp.	1,617,743	0.0
49,955		Wyndham Worldwide Corp.	2,634,627	0.1
27,186		Wynn Resorts Ltd.	2,819,732	0.1
157,681		Yum! Brands, Inc.	10,157,810	0.2
			457,890,126	10.7

		Consumer Staples: 11.1%
696,666		Altria Group, Inc.	24,069,810	0.6
225,491		Archer-Daniels-Midland Co.	6,656,494	0.2
147,835		Avon Products, Inc.	2,396,405	0.1
53,957		Beam, Inc.	3,371,773	0.1
34,035		Brown-Forman Corp.	3,296,290	0.1
60,586		Campbell Soup Co.	2,022,361	0.0
44,532		Clorox Co.	3,226,789	0.1
772,365		Coca-Cola Co.	60,391,219	1 .4
102,723		Coca-Cola Enterprises, Inc.	2,880,353	0.1
163,445		Colgate-Palmolive Co.	17,014,625	0.4
142,208		ConAgra Foods, Inc.	3,687,453	0.1
52,108	@	Constellation Brands, Inc.	1,410,042	0.0
148,022		Costco Wholesale Corp.	14,062,090	0.3
438,746		CVS Caremark Corp.	20,502,601	0.5
62,789	@	Dean Foods Co.	1,069,297	0.0
72,524		Dr Pepper Snapple Group, Inc.	3,172,925	0.1
77,193		Estee Lauder Cos., Inc.	4,177,685	0.1
221,618		General Mills, Inc.	8,541,158	0.2
52,070		Hershey Co.	3,750,602	0.1
109,521		HJ Heinz Co.	5,955,752	0.1
46,793		Hormel Foods Corp.	1,423,443	0.0
38,814		JM Smucker Co.	2,931,233	0.1
84,445		Kellogg Co.	4,165,672	0.1
134,250		Kimberly-Clark Corp.	11,246,123	0.3
607,015		Kraft Foods, Inc.	23,442,919	0.5
192,059		Kroger Co.	4,453,848	0.1
44,685		Lorillard, Inc.	5,896,186	0.1
45,345		McCormick & Co., Inc.	2,750,174	0.1

See Accompanying Notes to Financial Statements

ING U.S. Stock Index Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


69,806		Mead Johnson Nutrition Co.	5,620,081	0.1
53,812		Molson Coors Brewing Co.	2,239,117	0.1
52,481	@	Monster Beverage Corp.	3,736,647	0.1
535,452		PepsiCo, Inc.	37,835,038	0.9
583,930		Philip Morris International, Inc.	50,953,732	1.2
938,125		Procter & Gamble Co.	57,460,156	1.3
113,488		Reynolds American, Inc.	5,092,207	0.1
82,306		Safeway, Inc.	1,493,854	0.0
200,548		Sysco Corp.	5,978,336	0.1
98,867		Tyson Foods, Inc.	1,861,666	0.0
295,379		Walgreen Co.	8,737,311	0.2
590,792		Wal-Mart Stores, Inc.	41,190,018	1.0
55,934		Whole Foods Market, Inc.	5,331,629	0.1
			475,495,114	11.1

		Energy: 10.7%
75,479	@	Alpha Natural Resources, Inc.	657,422	0.0
171,036		Anadarko Petroleum Corp.	11,322,583	0.3
133,809		Apache Corp.	11,760,473	0.3
150,122		Baker Hughes, Inc.	6,170,014	0.1
71,840		Cabot Oil & Gas Corp.	2,830,496	0.1
84,323	@	Cameron International Corp.	3,601,435	0.1
226,766	L	Chesapeake Energy Corp.	4,217,848	0.1
675,554		Chevron Corp.	71,270,947	1 .7
432,944		ConocoPhillips	24,192,911	0.6
77,905		Consol Energy, Inc.	2,355,847	0.1
134,000	@	Denbury Resources, Inc.	2,024,740	0.1
138,454		Devon Energy Corp.	8,028,947	0.2
23,800		Diamond Offshore Drilling	1,407,294	0.0
92,301		EOG Resources, Inc.	8,317,243	0.2
51,210		EQT Corp.	2,746,392	0.1
1,600,969		ExxonMobil Corp.	136,994,917	3 .2
81,863	@	FMC Technologies, Inc.	3,211,485	0.1
316,008		Halliburton Co.	8,971,467	0.2
36,776		Helmerich & Payne, Inc.	1,599,020	0.0
104,092		Hess Corp.	4,522,797	0.1
172,894		Kinder Morgan, Inc./Delaware	5,570,645	0.1
241,479		Marathon Oil Corp.	6,174,618	0.1
116,653		Marathon Petroleum Corp.	5,240,053	0.1
66,477		Murphy Oil Corp.	3,343,128	0.1
99,393	@	Nabors Industries Ltd.	1,431,259	0.0
145,922		National Oilwell Varco, Inc.	9,403,214	0.2
46,154	@	Newfield Exploration Co.	1,352,774	0.0
86,410		Noble Corp.	2,810,917	0.1
60,869		Noble Energy, Inc.	5,162,909	0.1
277,684		Occidental Petroleum Corp.	23,816,957	0.6
93,259		Peabody Energy Corp.	2,286,711	0.1
214,074	@	Phillips 66	7,115,820	0.2
42,120		Pioneer Natural Resources Co.	3,715,405	0.1
61,074		QEP Resources, Inc.	1,830,388	0.0
55,527		Range Resources Corp.	3,435,456	0.1
42,472	@	Rowan Companies PLC	1,373,120	0.0
456,567		Schlumberger Ltd.	29,635,764	0.7
119,192	@	Southwestern Energy Co.	3,805,801	0.1
223,477		Spectra Energy Corp.	6,494,242	0.2


36,256		Sunoco, Inc.	1,722,160	0.0
48,000	@	Tesoro Corp.	1,198,080	0.0
189,286		Valero Energy Corp.	4,571,257	0.1
214,204		Williams Cos., Inc.	6,173,359	0.1
67,695	@	WPX Energy, Inc.	1,095,305	0.0
			454,963,620	10.7

		Financials: 14.3%
115,958		ACE Ltd.	8,595,966	0.2
160,102		Aflac, Inc.	6,818,744	0.2
168,227		Allstate Corp.	5,903,085	0.1
342,811		American Express Co.	19,955,028	0.5
218,953	@	American International Group, Inc.	7,026,202	0.2
135,094		American Tower Corp.	9,444,421	0.2
74,850		Ameriprise Financial, Inc.	3,911,661	0.1
111,758	@	Aon PLC	5,228,039	0.1
45,314		Apartment Investment & Management Co.	1,224,837	0.0
29,359		Assurant, Inc.	1,022,868	0.0
32,646		AvalonBay Communities, Inc.	4,618,756	0.1
3,689,593		Bank of America Corp.	30,180,871	0.7
408,348		Bank of New York Mellon Corp.	8,963,239	0.2
239,192		BB&T Corp.	7,379,073	0.2
602,080	@	Berkshire Hathaway, Inc.	50,171,326	1 .2
43,875		Blackrock, Inc.	7,450,852	0.2
51,292		Boston Properties, Inc.	5,558,514	0.1
189,056		Capital One Financial Corp.	10,333,801	0.2
112,276	@	CBRE Group, Inc.	1,836,835	0.0
370,468		Charles Schwab Corp.	4,790,151	0.1
92,423		Chubb Corp.	6,730,243	0.2
55,576		Cincinnati Financial Corp.	2,115,778	0.1
1,003,877		Citigroup, Inc.	27,516,269	0.6
22,756		CME Group, Inc.	6,101,111	0.1
67,353		Comerica, Inc.	2,068,411	0.0
181,565		Discover Financial Services	6,278,518	0.1
86,539	@	E*Trade Financial Corp.	695,774	0.0
102,924		Equity Residential	6,418,341	0.2
31,470	L	Federated Investors, Inc.	687,619	0.0
314,998		Fifth Third Bancorp.	4,220,973	0.1
86,506		First Horizon National Corp.	748,277	0.0
48,624		Franklin Resources, Inc.	5,396,778	0.1
167,469	@	Genworth Financial, Inc.	947,874	0.0
168,403		Goldman Sachs Group, Inc.	16,143,112	0.4
150,939		Hartford Financial Services Group, Inc.	2,661,055	0.1
143,625		HCP, Inc.	6,341,044	0.1
73,205		Health Care Real Estate Investment Trust, Inc.	4,267,851	0.1
245,956		Host Hotels & Resorts, Inc.	3,891,024	0.1
180,816		Hudson City Bancorp., Inc.	1,151,798	0.0
296,037		Huntington Bancshares, Inc.	1,894,637	0.0
24,907	@	IntercontinentalExchange, Inc.	3,386,854	0.1
153,457	@	Invesco Ltd.	3,468,128	0.1
1,303,281		JPMorgan Chase & Co.	46,566,230	1 .1
326,324		Keycorp	2,525,748	0.1
139,320		Kimco Realty Corp.	2,651,260	0.1

See Accompanying Notes to Financial Statements

ING U.S. Stock Index Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


43,022		Legg Mason, Inc.	1,134,490	0.0
67,828		Leucadia National Corp.	1,442,702	0.0
97,717		Lincoln National Corp.	2,137,071	0.1
104,616		Loews Corp.	4,279,841	0.1
43,330		M&T Bank Corp.	3,577,758	0.1
186,799		Marsh & McLennan Cos., Inc.	6,020,532	0.1
363,605		Metlife, Inc.	11,217,214	0.3
67,699		Moody’s Corp.	2,474,398	0.1
521,388		Morgan Stanley	7,607,051	0.2
41,913		Nasdaq Stock Market, Inc.	950,168	0.0
82,563		Northern Trust Corp.	3,799,549	0.1
86,962		NYSE Euronext	2,224,488	0.1
121,855		People’s United Financial, Inc.	1,414,737	0.0
55,291		Plum Creek Timber Co., Inc.	2,195,053	0.1
181,039		PNC Financial Services Group, Inc.	11,063,293	0.3
102,758		Principal Financial Group, Inc.	2,695,342	0.1
208,742		Progressive Corp.	4,348,096	0.1
157,626		ProLogis, Inc.	5,237,912	0.1
160,571		Prudential Financial, Inc.	7,776,453	0.2
48,732		Public Storage, Inc.	7,037,388	0.2
483,571		Regions Financial Corp.	3,264,104	0.1
103,771		Simon Property Group, Inc.	16,152,994	0.4
166,989		SLM Corp.	2,623,397	0.1
67,668		Starwood Hotels & Resorts Worldwide, Inc.	3,589,111	0.1
167,279		State Street Corp.	7,467,335	0.2
184,252		SunTrust Bank	4,464,426	0.1
87,337		T. Rowe Price Group, Inc.	5,498,737	0.1
33,708		Torchmark Corp.	1,703,939	0.0
133,195		Travelers Cos., Inc.	8,503,169	0.2
97,866		UnumProvident Corp.	1,872,177	0.0
648,510		US Bancorp.	20,856,082	0.5
98,955		Ventas, Inc.	6,246,040	0.1
63,558		Vornado Realty Trust	5,337,601	0.1
1,819,316		Wells Fargo & Co.	60,837,927	1.4
184,007		Weyerhaeuser Co.	4,114,396	0.1
106,719		XL Group PLC	2,245,368	0.1
62,760		Zions Bancorp.	1,218,799	0.0
			609,918,114	14.3

		Health Care: 11.8%
538,679		Abbott Laboratories	34,728,635	0.8
118,939		Aetna, Inc.	4,611,265	0.1
118,974		Agilent Technologies, Inc.	4,668,540	0.1
65,766	@	Alexion Pharmaceuticals, Inc.	6,530,564	0.1
105,289		Allergan, Inc.	9,746,603	0.2
85,866		AmerisourceBergen Corp.	3,378,827	0.1
266,263		Amgen, Inc.	19,447,850	0.5
188,507		Baxter International, Inc.	10,019,147	0.2
69,398		Becton Dickinson & Co.	5,187,501	0.1
82,019	@	Biogen Idec, Inc.	11,841,903	0.3
489,345	@	Boston Scientific Corp.	2,774,586	0.1
578,289		Bristol-Myers Squibb Co.	20,789,490	0.5
118,486		Cardinal Health, Inc.	4,976,412	0.1
75,977	@	CareFusion Corp.	1,951,089	0.0
150,813	@	Celgene Corp.	9,676,162	0.2
50,189	@	Cerner Corp.	4,148,623	0.1
98,712		Cigna Corp.	4,343,328	0.1


48,910		Coventry Health Care, Inc.	1,554,849	0.0
165,117		Covidien PLC	8,833,760	0.2
28,735		CR Bard, Inc.	3,087,288	0.1
32,191	@	DaVita, Inc.	3,161,478	0.1
48,409		Densply International, Inc.	1,830,344	0.0
39,187	@	Edwards Lifesciences Corp.	4,048,017	0.1
349,615		Eli Lilly & Co.	15,001,980	0.3
275,771	@	Express Scripts Holding Co.	15,396,295	0.4
90,964	@	Forest Laboratories, Inc.	3,182,830	0.1
259,283	@	Gilead Sciences, Inc.	13,296,032	0.3
56,538	@	Hospira, Inc.	1,977,699	0.0
55,910		Humana, Inc.	4,329,670	0.1
13,593	@	Intuitive Surgical, Inc.	7,527,667	0.2
940,270		Johnson & Johnson	63,524,641	1.5
33,142	@	Laboratory Corp. of America Holdings	3,069,281	0.1
61,140	@	Life Technologies Corp.	2,750,689	0.1
80,593		McKesson Corp.	7,555,594	0.2
356,265		Medtronic, Inc.	13,798,143	0.3
1,041,335		Merck & Co., Inc.	43,475,736	1.0
146,755	@	Mylan Laboratories	3,136,154	0.1
30,016		Patterson Cos., Inc.	1,034,652	0.0
38,991		PerkinElmer, Inc.	1,005,968	0.0
31,984		Perrigo Co.	3,771,873	0.1
2,563,698		Pfizer, Inc.	58,965,054	1.4
54,317		Quest Diagnostics	3,253,588	0.1
107,443		St. Jude Medical, Inc.	4,288,050	0.1
110,857		Stryker Corp.	6,108,221	0.1
141,677	@	Tenet Healthcare Corp.	742,387	0.0
125,753		Thermo Fisher Scientific, Inc.	6,527,838	0.1
355,189		UnitedHealth Group, Inc.	20,778,557	0.5
38,176	@	Varian Medical Systems, Inc.	2,319,956	0.1
30,391	@	Waters Corp.	2,415,173	0.1
43,621	@	Watson Pharmaceuticals, Inc.	3,227,518	0.1
113,266		WellPoint, Inc.	7,225,238	0.2
60,304		Zimmer Holdings, Inc.	3,881,165	0.1
			504,903,910	11.8

		Industrials: 10.3%
237,560		3M Co.	21,285,376	0.5
35,483		Avery Dennison Corp.	970,105	0.0
256,451		Boeing Co.	19,054,309	0.4
223,340		Caterpillar, Inc.	18,963,799	0.4
55,670		CH Robinson Worldwide, Inc.	3,258,365	0.1
37,772		Cintas Corp.	1,458,377	0.0
54,461		Cooper Industries PLC	3,713,151	0.1
355,775		CSX Corp.	7,955,129	0.2
65,799		Cummins, Inc.	6,376,581	0.1
196,857		Danaher Corp.	10,252,313	0.2
136,173		Deere & Co.	11,012,310	0.3
62,872		Dover Corp.	3,370,568	0.1
16,400		Dun & Bradstreet Corp./The	1,167,188	0.0
115,615		Eaton Corp.	4,581,822	0.1
251,163		Emerson Electric Co.	11,699,173	0.3
41,216		Equifax, Inc.	1,920,666	0.0
72,721		Expeditors International Washington, Inc.	2,817,939	0.1
101,110		Fastenal Co.	4,075,744	0.1
107,972		FedEx Corp.	9,891,315	0.2

See Accompanying Notes to Financial Statements

ING U.S. Stock Index Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


18,714		Flowserve Corp.	2,147,431	0.1
57,918		Fluor Corp.	2,857,674	0.1
123,461		General Dynamics Corp.	8,143,488	0.2
3,627,495		General Electric Co.	75,596,996	1.8
43,111		Goodrich Corp.	5,470,786	0.1
266,767		Honeywell International, Inc.	14,896,269	0.3
163,432		Illinois Tool Works, Inc.	8,643,918	0.2
102,274		Ingersoll-Rand PLC	4,313,917	0.1
58,614		Iron Mountain, Inc.	1,931,917	0.0
44,176	@	Jacobs Engineering Group, Inc.	1,672,503	0.0
36,238		Joy Global, Inc.	2,055,782	0.0
33,356		L-3 Communications Holdings, Inc.	2,468,678	0.1
91,140		Lockheed Martin Corp.	7,936,471	0.2
122,260		Masco Corp.	1,695,746	0.0
111,531		Norfolk Southern Corp.	8,004,580	0.2
86,107		Northrop Grumman Corp.	5,492,766	0.1
122,119		Paccar, Inc.	4,785,844	0.1
39,646		Pall Corp.	2,172,997	0.1
51,716		Parker Hannifin Corp.	3,975,926	0.1
68,548	L	Pitney Bowes, Inc.	1,026,164	0.0
49,751		Precision Castparts Corp.	8,183,542	0.2
72,936	@	Quanta Services, Inc.	1,755,570	0.0
114,125		Raytheon Co.	6,458,334	0.2
107,742		Republic Services, Inc.	2,850,853	0.1
48,952		Robert Half International, Inc.	1,398,559	0.0
48,865		Rockwell Automation, Inc.	3,228,022	0.1
49,656		Rockwell Collins, Inc.	2,450,524	0.1
33,358		Roper Industries, Inc.	3,288,432	0.1
61,717	L	RR Donnelley & Sons Co.	726,409	0.0
17,440		Ryder System, Inc.	628,014	0.0
19,902		Snap-On, Inc.	1,238,899	0.0
262,831		Southwest Airlines Co.	2,423,302	0.1
58,508		Stanley Black & Decker, Inc.	3,765,575	0.1
29,130	@	Stericycle, Inc.	2,670,347	0.1
95,960		Textron, Inc.	2,386,525	0.1
158,470		Tyco International Ltd.	8,375,139	0.2
163,042		Union Pacific Corp.	19,452,541	0.5
328,501		United Parcel Service, Inc. - Class B	25,872,739	0.6
312,020		United Technologies Corp.	23,566,871	0.6
158,404		Waste Management, Inc.	5,290,694	0.1
20,892		WW Grainger, Inc.	3,995,386	0.1
63,487		Xylem, Inc.	1,597,968	0.0
			440,718,328	10.3


Information Technology: 19.5%
220,575		Accenture PLC	13,254,352	0.3
169,858	@	Adobe Systems, Inc.	5,498,304	0.1
201,701	@	Advanced Micro Devices, Inc.	1,155,747	0.0
61,400	@	Akamai Technologies, Inc.	1,949,450	0.0
110,459		Altera Corp.	3,737,933	0.1
55,469		Amphenol Corp.	3,046,358	0.1
102,142		Analog Devices, Inc.	3,847,689	0.1
320,136	@	Apple, Inc.	186,959,424	4.4
438,818		Applied Materials, Inc.	5,028,854	0.1
78,677	@	Autodesk, Inc.	2,752,908	0.1
167,447		Automatic Data Processing, Inc.	9,320,100	0.2
55,150	@	BMC Software, Inc.	2,353,802	0.1


169,781		Broadcom Corp.	5,738,598	0.1
121,160		CA, Inc.	3,282,224	0.1
1,834,024		Cisco Systems, Inc.	31,490,192	0.7
63,746	@	Citrix Systems, Inc.	5,350,839	0.1
104,248	@	Cognizant Technology Solutions Corp.	6,254,880	0.1
53,137		Computer Sciences Corp.	1,318,860	0.0
519,575		Corning, Inc.	6,718,105	0.2
508,985	@	Dell, Inc.	6,372,492	0.1
393,447	@	eBay, Inc.	16,528,709	0.4
108,827	@	Electronic Arts, Inc.	1,344,013	0.0
718,874	@	EMC Corp.	18,424,741	0.4
27,182	@	F5 Networks, Inc.	2,706,240	0.1
81,755		Fidelity National Information Services, Inc.	2,786,210	0.1
20,044	@,L	First Solar, Inc.	301,863	0.0
46,728	@	Fiserv, Inc.	3,374,696	0.1
52,795		Flir Systems, Inc.	1,029,503	0.0
87,064	@	Google, Inc. - Class A	50,503,215	1.2
38,954		Harris Corp.	1,630,225	0.0
676,979		Hewlett-Packard Co.	13,614,048	0.3
394,916		International Business Machines Corp.	77,237,671	1.8
1,722,453		Intel Corp.	45,903,372	1.1
100,543		Intuit, Inc.	5,967,227	0.1
62,268		Jabil Circuit, Inc.	1,265,908	0.0
79,265	@	JDS Uniphase Corp.	871,915	0.0
181,301	@	Juniper Networks, Inc.	2,957,019	0.1
57,288		KLA-Tencor Corp.	2,821,434	0.1
68,972	@	Lam Research Corp.	2,603,003	0.1
24,355		Lexmark International, Inc.	647,356	0.0
78,816		Linear Technology Corp.	2,469,305	0.1
194,776	@	LSI Logic Corp.	1,240,723	0.0
36,346		Mastercard, Inc.	15,632,778	0.4
66,277		Microchip Technology, Inc.	2,192,443	0.0
338,817	@	Micron Technology, Inc.	2,137,935	0.0
2,559,806		Microsoft Corp.	78,304,466	1.8
47,097		Molex, Inc.	1,127,502	0.0
99,993		Motorola Solutions, Inc.	4,810,663	0.1
124,246	@	NetApp, Inc.	3,953,508	0.1
211,859	@	Nvidia Corp.	2,927,891	0.1
1,328,587		Oracle Corp.	39,459,034	0.9
110,470		Paychex, Inc.	3,469,863	0.1
586,913		Qualcomm, Inc.	32,679,316	0.8
66,029	@	Red Hat, Inc.	3,729,318	0.1
94,726		SAIC, Inc.	1,148,079	0.0
47,247	@	Salesforce.com, Inc.	6,532,370	0.1
83,422	@	Sandisk Corp.	3,043,235	0.1
129,371		Seagate Technology	3,199,345	0.1
246,761	@	Symantec Corp.	3,605,178	0.1
146,388	@	TE Connectivity Ltd.	4,671,241	0.1
57,758	@	Teradata Corp.	4,159,154	0.1
63,547	@	Teradyne, Inc.	893,471	0.0
391,790		Texas Instruments, Inc.	11,240,455	0.3
55,025		Total System Services, Inc.	1,316,748	0.0
54,091	@	VeriSign, Inc.	2,356,745	0.1
170,483		Visa, Inc.	21,076,813	0.5
80,123	@	Western Digital Corp.	2,442,149	0.1
209,855		Western Union Co.	3,533,958	0.1
461,426		Xerox Corp.	3,631,423	0.1
90,353		Xilinx, Inc.	3,033,150	0.1
417,243	@	Yahoo!, Inc.	6,604,957	0.2
			834,572,695	19.5

See Accompanying Notes to Financial Statements

ING U.S. Stock Index Portfolio

PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)



		Materials: 3.4%
72,388		Air Products & Chemicals, Inc.	5,843,883	0.1
23,697		Airgas, Inc.	1,990,785	0.0
365,205		Alcoa, Inc.	3,195,544	0.1
36,671		Allegheny Technologies, Inc.	1,169,438	0.0
53,644		Ball Corp.	2,202,086	0.1
35,134		Bemis Co., Inc.	1,101,100	0.0
22,473		CF Industries Holdings, Inc.	4,353,919	0.1
48,700		Cliffs Natural Resources, Inc.	2,400,423	0.1
409,260		Dow Chemical Co.	12,891,690	0.3
47,227		Eastman Chemical Co.	2,378,824	0.1
100,036		Ecolab, Inc.	6,855,467	0.2
320,813		EI Du Pont de Nemours & Co.	16,223,514	0.4
46,951		FMC Corp.	2,510,940	0.1
324,947		Freeport-McMoRan Copper & Gold, Inc.	11,070,944	0.3
27,755		International Flavors & Fragrances, Inc.	1,520,974	0.0
149,644		International Paper Co.	4,326,208	0.1
59,007		MeadWestvaco Corp.	1,696,451	0.0
182,631		Monsanto Co.	15,118,194	0.4
101,965		Mosaic Co/The	5,583,603	0.1
169,659		Newmont Mining Corp.	8,230,158	0.2
108,549		Nucor Corp.	4,114,007	0.1
56,466	@	Owens-Illinois, Inc.	1,082,453	0.0
52,139		PPG Industries, Inc.	5,532,991	0.1
102,262		Praxair, Inc.	11,118,947	0.3
66,453		Sealed Air Corp.	1,026,034	0.0
29,348		Sherwin-Williams Co.	3,884,208	0.1
41,389		Sigma-Aldrich Corp.	3,059,889	0.1
28,000		Titanium Metals Corp.	316,680	0.0
49,078	L	United States Steel Corp.	1,011,007	0.0
44,299		Vulcan Materials Co.	1,759,113	0.0
			143,569,474	3.4

		Telecommunication Services: 3.2%
2,007,303		AT&T, Inc.	71,580,425	1.7
212,692		CenturyTel, Inc.	8,399,207	0.2
88,280	@	Crown Castle International Corp.	5,178,505	0.1
341,837	L	Frontier Communications Corp.	1,309,236	0.0
100,072	@	MetroPCS Communications, Inc.	605,435	0.0
1,026,709	@	Sprint Nextel Corp.	3,347,071	0.1
972,679		Verizon Communications, Inc.	43,225,855	1 .0
201,436		Windstream Corp.	1,945,872	0.1
			135,591,606	3.2
		Utilities: 3.7%
220,722	@	AES Corp.	2,831,863	0.1
40,164		AGL Resources, Inc.	1,556,355	0.0
83,071		Ameren Corp.	2,786,201	0.1
165,817		American Electric Power Co., Inc.	6,616,098	0.2
146,294		CenterPoint Energy, Inc.	3,023,897	0.1
89,120		CMS Energy Corp.	2,094,320	0.1
100,281		Consolidated Edison, Inc.	6,236,475	0.1
195,663		Dominion Resources, Inc.	10,565,802	0.3
58,241		DTE Energy Co.	3,455,439	0.1
458,125		Duke Energy Corp.	10,564,362	0.3


111,548		Edison International	5,153,518	0.1
60,654		Entergy Corp.	4,117,800	0.1
291,838		Exelon Corp.	10,978,946	0.3
143,184		FirstEnergy Corp.	7,043,221	0.2
26,682		Integrys Energy Group, Inc.	1,517,405	0.0
142,794		NextEra Energy, Inc.	9,825,655	0.2
97,264		NiSource, Inc.	2,407,284	0.1
107,368		Northeast Utilities	4,166,952	0.1
77,964	@	NRG Energy, Inc.	1,353,455	0.0
71,162		Oneok, Inc.	3,010,864	0.1
78,156		Pepco Holdings, Inc.	1,529,513	0.0
144,589		Pacific Gas & Electric Co.	6,545,544	0.2
37,482		Pinnacle West Capital Corp.	1,939,319	0.0
198,581		PPL Corp.	5,522,538	0.1
101,349		Progress Energy, Inc.	6,098,169	0.1
173,203		Public Service Enterprise Group, Inc.	5,629,098	0.1
39,854		SCANA Corp.	1,906,615	0.0
82,138		Sempra Energy	5,657,665	0.1
297,412		Southern Co.	13,770,176	0.3
73,549		TECO Energy, Inc.	1,328,295	0.0
78,901		Wisconsin Energy Corp.	3,122,113	0.1
166,714		Xcel Energy, Inc.	4,736,345	0.1
			157,091,302	3.7
	Total Common Stock
	(Cost $3,466,252,857)		4,214,714,289	98.7


Principal Amount†			Value		Percentage of Net Assets
SHORT-TERM INVESTMENTS: 1.5%
		Securities Lending Collateral^cc⁽¹⁾: 0.3%
	2,951,264	BNP Paribas Bank, Repurchase Agreement dated 06/29/12, 0.19%, due 07/02/12 (Repurchase Amount $2,951,310, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $3,010,289, due 05/01/32-06/01/42)		2,951,264		0.1
	2,951,264	Citigroup, Inc., Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $2,951,313, collateralized by various U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $3,010,289, due 07/01/42-02/20/61)		2,951,264		0.1

See Accompanying Notes to Financial Statements


ING U.S. Stock Index Portfolio		PORTFOLIO OF INVESTMENTS
ING U.S. Stock Index Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

2,951,264

Merrill Lynch & Co., Inc., Repurchase Agreement dated 06/29/12, 0.18%, due 07/02/12 (Repurchase Amount $2,951,308, collateralized by various U.S. Government Agency Obligations, 2.202%-5.000%, Market Value plus accrued interest $3,010,289, due 04/01/24-06/01/42)

2,951,264

0.0

2,951,264

Mizuho Securities USA Inc., Repurchase Agreement dated 06/29/12, 0.25%, due 07/02/12 (Repurchase Amount $2,951,325, collateralized by various U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $3,010,289, due 10/01/14-02/25/44)

2,951,264

0.1

621,316

UBS Warburg LLC, Repurchase Agreement dated 06/29/12, 0.20%, due 07/02/12 (Repurchase Amount $621,326, collateralized by various U.S. Government Agency Obligations, 3.000%-6.500%, Market Value plus accrued interest $633,742, due 07/01/21-04/01/42)

621,316

0.0

12,426,372

0.3

Shares

Value

Percentage
of Net
Assets

Mutual Funds: 1.2%

51,775,000

BlackRock Liquidity Funds, TempFund, Institutional Class

(Cost $51,775,000)

51,775,000

1.2

Total Short-Term
Investments

(Cost $64,201,372)

64,201,372

1.5

Total Investments in
Securities

(Cost $3,530,454,229)

4,278,915,661

100.2

Liabilities in Excess of
Other Assets

(8,773,717)

(0.2)

Net Assets

4,270,141,944

100.0

†	Unless otherwise indicated, principal amount is shown in USD.

@	Non-income producing security

cc	Securities purchased with cash collateral for securities loaned.

L	Loaned security, a portion or all of the security is on loan at June 30, 2012.

(1)	Collateral received from brokers for securities lending was invested into these short-term investments.


Cost for federal income tax purposes is $3,597,701,789.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation	$	911,830,131
Gross Unrealized Depreciation		(230,616,259)


Net Unrealized Appreciation	$	681,213,872

See Accompanying Notes to Financial Statements


ING U.S. Stock Index Portfolio		PORTFOLIO OF INVESTMENTS
ING U.S. Stock Index Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Common Stock*	$	4,214,714,289	$	–	$	–	$	4,214,714,289
Short-Term Investments		51,775,000		12,426,372		–		64,201,372

Total Investments, at fair value	$	4,266,489,289	$	12,426,372	$	–	$	4,278,915,661

Other Financial Instruments+
Futures		1,480,304		–		–		1,480,304

Total Assets	$	4,267,969,593	$	12,426,372	$	–	$	4,280,395,965

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

ING U.S. Stock Index Portfolio Open Futures Contracts on June 30, 2012:


Contract Description	Number of Contracts	Expiration Date	Notional Value		Unrealized Appreciation/ (Depreciation)
Long Contracts
S&P 500 E-Mini	863	09/21/12	$	58,528,660	$	1,480,304

			$	58,528,660	$	1,480,304

A summary of derivative instruments by primary risk exposure is outlined in the following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities	Fair Value

Asset Derivatives

Equity contracts	Net Assets-Unrealized appreciation*	$	1,480,304

Total Asset Derivatives		$	1,480,304

* Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments.

See Accompanying Notes to Financial Statements


ING BlackRock Inflation		PORTFOLIO OF INVESTMENTS
Protected Bond Portfolio		AS OF JUNE 30, 2012 (UNAUDITED)


Principal Amount†		Value		Percentage of Net Assets
CORPORATE BONDS/NOTES: 0.2%
	Financials: 0.2%
590,000	Bear Stearns Cos., Inc., 4.100%, 03/10/14		597,623		0.1
445,000	International Bank for Reconstruction & Development, 3.224%, 12/10/13		442,610		0.0
800,000	SLM Corp., 4.423%, 01/31/14		785,832		0.1

Total Corporate Bonds/Notes (Cost $1,786,093)			1,826,065		0 .2

COLLATERALIZED MORTGAGE OBLIGATIONS: 0.0%
199,908	GMAC Commercial Mortgage Securities, Inc., 4.547%, 12/10/41		200,350		0 .0

Total Collateralized Mortgage Obligations (Cost $191,700)			200,350		0 .0

ASSET-BACKED SECURITIES: 0.0%
	Other Asset-Backed Securities: 0.0%
39,027	Countrywide Asset- Backed Certificates, 0.295%, 07/25/37		38,605		0 .0

Total Asset-Backed Securities (Cost $37,862)			38,605		0 .0

FOREIGN GOVERNMENT BONDS: 19.9%
^EUR 3,433,545	Deutsche
	Bundesrepublik
	Inflation Linked Bond,
	0.100%, 04/15/23		4,402,142		0.4
^EUR	Deutsche
103,009,181	Bundesrepublik
	Inflation Linked Bond,
	1.500%, 04/15/16		139,626,716		12.6
^EUR 11,319,396	Deutsche
	Bundesrepublik
	Inflation Linked Bond,
	1.750%, 04/15/20		16,445,899		1.5
^EUR 41,035,342	France Government
	Bond OAT, 1.600%,
	07/25/15		54,763,435		5.0
^EUR 605,900	Hellenic Republic
	Government Bond,
	2.000%, 10/15/42		2,684		0.0
^EUR 28,854	Hellenic Republic
	Government Bond,
	2.000%, 02/24/23		6,548		0.0
^EUR 28,854	Hellenic Republic
	Government Bond,
	2.000%, 02/24/24		6,275		0.0
^EUR 28,854	Hellenic Republic
	Government Bond,
	2.000%, 02/24/25		5,850		0.0


^EUR 28,854	Hellenic Republic
	Government Bond,
	2.000%, 02/24/26	5,689	0.0
^EUR 28,854	Hellenic Republic
	Government Bond,
	2.000%, 02/24/27	5,587	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/28	6,097	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/29	5,741	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/30	5,529	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/31	5,628	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/32	5,531	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/33	5,523	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/34	5,495	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/35	5,480	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/36	5,460	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/37	5,453	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/38	5,433	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/39	5,422	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/40	5,414	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/41	5,379	0.0
^EUR 30,777	Hellenic Republic
	Government Bond,
	2.000%, 02/24/42	5,414	0.0
^EUR 3,836,485	Italy Buoni Poliennali
	Del Tesoro, 2.150%,
	09/15/14	4,734,734	0.4

Total Foreign Government Bonds (Cost $218,791,884)		220,088,558	19.9

U.S. GOVERNMENT AGENCY OBLIGATIONS: 19.4%
	Federal Home Loan Mortgage Corporation: 7.0%^##
73,685,000	3.500%, due 06/01/42	77,410,539	7.0

	Federal National Mortgage Association: 7.0%^##
73,575,078	3.500%, due 06/01/42	77,619,729	7.0

See Accompanying Notes to Financial Statements


ING BlackRock Inflation		PORTFOLIO OF INVESTMENTS
Protected Bond Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


		Government National Mortgage Association: 5.4%
55,515,000		3.500%, due 06/15/42		59,489,285	5.4

	Total U.S. Government Agency Obligations (Cost $214,298,670)			214,519,553	19.4

U.S. TREASURY OBLIGATIONS: 52.0%
		Treasury Inflation Indexed Protected Securities: 47.0%
43,314,433		0.125%, due 04/15/16		45,134,982	4.1
2,569,804		0.125%, due 04/15/17		2,715,961	0.2
1,161,126		0.125%, due 01/15/22		1,231,065	0.1
33,557,256		0.500%, due 04/15/15		34,875,955	3.2
1,932,194		0.625%, due 04/15/13		1,936,874	0.2
625,685		0.625%, due 07/15/21		698,127	0.1
20,792,360		0.750%, due 02/15/42		21,939,183	2.0
184,065		1.125%, due 01/15/21		212,264	0.0
2,908,233		1.250%, due 04/15/14		3,004,795	0.3
480,034		1.250%, due 07/15/20		558,490	0.0
1,904,560		1.375%, due 01/15/20		2,218,812	0.2
7,494,976		1.625%, due 01/15/15		7,971,611	0.7
9,762,611		1.750%, due 01/15/28		12,266,564	1.1
18,791		1.875%, due 07/15/13		19,260	0.0
24,241,288		1.875%, due 07/15/15		26,390,811	2.4
7,245,715		1.875%, due 07/15/19		8,682,403	0.8
2,664,771		2.000%, due 01/15/14		2,768,865	0.2
21,488,581		2.000%, due 07/15/14		22,787,974	2.1
7,297,479		2.000%, due 01/15/16		8,082,527	0.7
10,357,899		2.000%, due 01/15/26		13,251,637	1.2
14,526,351		2.125%, due 01/15/19		17,412,331	1.6
9,677,871	S	2.125%, due 02/15/40		13,790,966	1.2
27,223,336		2.125%, due 02/15/41		39,012,320	3.5
11,112,658		2.375%, due 01/15/17		12,838,598	1.2
48,827,031		2.375%, due 01/15/25		64,466,964	5.8
20,630,296		2.375%, due 01/15/27		27,755,815	2.5
14,850,906		2.500%, due 07/15/16		17,019,376	1.5
20,136,491	S	2.500%, due 01/15/29		28,018,035	2.5
1,720,733		2.625%, due 07/15/17		2,046,865	0.2
9,965,430		3.000%, due 07/15/12		9,992,425	0.9
2,443,431		3.375%, due 04/15/32		3,950,151	0.4
5,768,481	S	3.625%, due 04/15/28		8,918,614	0.8
35,994,913	S	3.875%, due 04/15/29		58,334,256	5.3
				520,304,876	47.0

		U.S. Treasury Notes: 5.0%
52,490,000		2.000%, due 04/30/16		55,385,138	5.0

	Total U.S. Treasury Obligations (Cost $565,163,331)			575,690,014	52.0

# of Contracts			Value		Percentage of Net Assets
PURCHASED OPTIONS: 0.2%
		Interest Rate Swaptions: 0.2%
12,600,000		Put OTC Swaption, 3- month USD-LIBOR-BBA, Portfolio Pays, Strike @ 2.600%, Exp. 09/19/12 Counterparty: Deutsche Bank AG		13,741	0.0


9,000,000	Put OTC Swaption, 3- month USD-LIBOR- BBA, Portfolio Pays, Strike @ 3.900%, Exp. 09/09/13 Counterparty: Citigroup, Inc.		40,532	0.0
10,100,000	Put OTC Swaption, 3- month USD-LIBOR- BBA, Portfolio Pays, Strike @ 2.500%, Exp. 06/08/22 Counterparty: Deutsche Bank AG		1,568,832	0.2
			1,623,105	0.2

	Options On Currencies: 0.0%
10,385,000	JPY Put vs. USD Call Currency Option, Strike @ 1.000, Exp. 03/28/13 Counterparty: Citigroup, Inc.		14,144	0.0

	Options on Exchange Traded Futures Contracts: 0.0%
112	Euro-Bund, Strike @ 140.000, Exp. 08/24/12		214,022	0.0
281	U.S. Treasury 10-Year Note, Strike @ 131.000, Exp. 07/27/12		30,736	0.0
			244,758	0.0

	Total Purchased Options (Cost $2,323,876)		1,882,007	0.2

	Total Long-Term Investments (Cost $1,002,593,416)		1,014,245,152	91.7

Shares		Value		Percentage of Net Assets
SHORT-TERM INVESTMENTS: 8.1%
	Mutual Funds: 8.1%
89,899,893	BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $89,899,893)		89,899,893	8 .1

	Total Short-Term Investments (Cost $89,899,893)		89,899,893	8 .1

	Total Investments in Securities (Cost $1,092,493,309)	$	1,104,145,045	99.8
	Assets in Excess of Other Liabilities		2,241,601	0.2

	Net Assets	$	1,106,386,646	100.0

†	Unless otherwise indicated, principal amount is shown in USD.

##	On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations.

See Accompanying Notes to Financial Statements

ING BlackRock Inflation

PORTFOLIO OF INVESTMENTS

Protected Bond Portfolio

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


S	All or a portion of this security has been identified by the Fund to cover future collateral requirements for applicable futures, options, swaps, foreign currencontracts and/or when-issued or delayed-delivery securities.

EUR	EU Euro

	Cost for federal income tax purposes is $1,094,283,011.

	Net unrealized appreciation consists of:

	Gross Unrealized Appreciation	$	14,887,887
	Gross Unrealized Depreciation		(5,025,853)


	Net Unrealized Appreciation		$9,862,034

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Purchased Options	$	244,758	$	1,637,249	$	–	$	1,882,007
Corporate Bonds/Notes		–		1,826,065		–		1,826,065
Collateralized Mortgage Obligations		–		200,350		–		200,350
U.S. Treasury Obligations		–		575,690,014		–		575,690,014
U.S. Government Agency Obligations		–		214,519,553		–		214,519,553
Foreign Government Bonds		–		220,088,558		–		220,088,558
Short-Term Investments		89,899,893		–		–		89,899,893
Asset-Backed Securities		–		38,605		–		38,605

Total Investments, at fair value	$	90,144,651	$	1,014,000,394	$	–	$	1,104,145,045

Other Financial Instruments+
Swaps		–		476,097		–		476,097
Futures		1,541,444		–		–		1,541,444
Forward Foreign Currency Contracts		–		2,366,664		–		2,366,664

Total Assets	$	91,686,095	$	1,016,843,155	$	–	$	1,108,529,250

Liabilities Table Other Financial Instruments+
Swaps	$	–	$	(2,168,912)	$	–	$	(2,168,912)
Written Options		(8,781)		(1,426,093)		–		(1,434,874)
Futures		(657,096)		–		–		(657,096)
Forward Foreign Currency Contracts		–		(2,889,478)		–		(2,889,478)

Total Liabilities	$	(665,877)	$	(6,484,483)	$	–	$	(7,150,360)

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

At June 30, 2012, the following forward foreign currency contracts were outstanding for the ING BlackRock Inflation Protected Bond Portfolio:


Counterparty	Currency		Contract Amount		Buy/Sell	Settlement Date	In Exchange For		Fair Value		Unrealized Appreciation (Depreciation)

BNP Paribas		EU Euro		13,547,000	Buy	07/25/12	$	16,850,991	$	17,147,197	$	296,206
Citigroup, Inc.		EU Euro		1,350,000	Buy	07/25/12		1,669,766		1,708,770		39,004
Citigroup, Inc.		EU Euro		550,000	Buy	07/25/12		725,786		696,166		(29,620	)
Royal Bank of
Canada		EU Euro		398,000	Buy	07/25/12		504,251		503,771		(480	)
UBS AG		EU Euro		3,980,000	Buy	07/25/12		5,005,435		5,037,709		32,274
UBS AG		EU Euro		300,000	Buy	07/25/12		372,172		379,727		7,554

See Accompanying Notes to Financial Statements

ING BlackRock Inflation

PORTFOLIO OF INVESTMENTS

Protected Bond Portfolio

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)


UBS AG	EU Euro	13,270,000	Buy	07/25/12		16,535,376		16,796,583		261,207

									$	606,145


Citigroup, Inc.	EU Euro	24,619,500	Sell	07/25/12	$	32,497,740	$	31,162,281	$	1,335,459
JPMorgan Chase & Co.	Japanese Yen	442,190,000	Sell	09/04/12		5,516,893		5,537,079		(20,186)
JPMorgan Chase & Co.	EU Euro	7,678,000	Sell	07/25/12		9,992,072		9,718,474		273,598
Royal Bank of Scotland Group PLC	EU Euro	168,070,000	Sell	07/25/12		209,928,170		212,735,617		(2,807,447)
Royal Bank of Scotland Group PLC	EU Euro	3,700,000	Sell	07/25/12		4,660,438		4,683,297		(22,859)
Royal Bank of Scotland Group PLC	EU Euro	589,000	Sell	07/25/12		736,645		745,531		(8,886)
Royal Bank of Scotland Group PLC	Japanese Yen	422,131,500	Sell	09/04/12		5,407,270		5,285,908		121,362

									$	(1,128,959)

ING BlackRock Inflation Protected Bond Portfolio Open Futures Contracts on June 30, 2012:


Contract Description	Number of Contracts	Expiration Date		Notional Value		Unrealized Appreciation/ (Depreciation)
Long Contracts
3-Month Euro Euribor	337		09/15/14	$	105,712,320	$	471,316
U.S. Treasury 10-Year Note	133		09/19/12		17,738,875		(8,079)
U.S. Treasury 5-Year Note	592		09/28/12		73,389,500		(54,170)

				$	196,840,695	$	409,067

Short Contracts
Euro-Bobl 5-Year	(904)		09/06/12		(144,019,944)		481,023
Euro-Bund	(164)		09/06/12		(29,242,723)		588,038
U.S. Treasury 2-Year Note	(14)		09/28/12		(3,082,625)		1,067
U.S. Treasury Long Bond	(343)		09/19/12		(50,753,281)		(201,201)
U.S. Treasury Ultra Long Bond	(280)		09/19/12		(46,716,250)		(393,646)

				$	(273,814,823)	$	475,281

ING BlackRock Inflation Protected Bond Portfolio Over-the-Counter Interest Rate Swap Agreements Outstanding on June 30, 2012:


	Termination Date	Notional Amount		Fair Value		Upfront Payments Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Receive a floating rate based on CPURNSA Index and pay a fixed rate equal to 1.840%
Counterparty: Deutsche Bank AG	10/25/15	USD	9,700,000	$	(163,930)	$	–	$	(163,930)
Receive a floating rate based on the 3-month USD-LIBOR- BBA and pay a fixed rate equal to 1.135% Counterparty: Deutsche Bank AG	04/23/17	USD	44,900,000		(424,956)		–		(424,956)
Receive a fixed rate equal to 2.465% and pay a floating rate based on CPURNSA Index
Counterparty: Deutsche Bank AG	10/25/20	USD	5,100,000		(10,292)		–		(10,292)
Receive a fixed rate equal to 2.665% and pay a floating rate based on CPURNSA Index
Counterparty: Deutsche Bank AG	06/23/21	USD	8,205,000		277,912		–		277,912
Receive a fixed rate equal to 2.056% and pay a floating rate based on the 3-month USD-LIBOR-BBA
Counterparty: Deutsche Bank AG	05/08/22	USD	7,300,000		198,185		–		198,185

				$	(123,081)	$	–	$	(123,081)

See Accompanying Notes to Financial Statements

ING BlackRock Inflation

PORTFOLIO OF INVESTMENTS

Protected Bond Portfolio

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

ING BlackRock Inflation Protected Bond Portfolio Total Return Swap Agreements Outstanding on June 30, 2012:


	Termination Date	Notional Amount	Fair Value		Upfront Payments Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Receive the positive price return of the Barclays Capital U.S. Treasury Inflation Protected Securities (Series-L). Pay a floating rate based on the 1-month USD-LIBOR- BBA plus 20bps and, if negative, the absolute value of the total return of the index.
Counterparty: Barclays Bank PLC	07/25/12	USD 488,016,000	$	(1,569,734)	$	–	$	(1,569,734)

			$	(1,569,734)	$	–	$	(1,569,734)

ING BlackRock Inflation Protected Bond Portfolio Written Inflation Caps Outstanding on June 30, 2012:

Inflation Caps


Description	Counterparty	Strike Index	Exercise Index	Termination Date	Notional Amount		Premiums Received		Fair Value
Cap- HICPx Index	Deutsche Bank AG	2.500%	Maximum of [1-(Index Final/Index Initial)] or $0	04/26/22		EUR 3,140,000	$	217,411	$	(171,233)

							$	217,411	$	(171,233)

ING BlackRock Inflation Protected Bond Portfolio Written Options Open on June 30, 2012:

Exchange-Traded Options


Description/Name of Issuer	Exercise Price	Expiration Date	# of Contracts	Received Premiums		Value
U.S. Treasury 10-Year Note	129.50	07/27/12	281	$	91,501	$	(8,781)

				$	91,501	$	(8,781)

ING BlackRock Inflation Protected Bond Portfolio Written Swaptions Open on June 30, 2012:

Written Interest Rate Swaptions

Description

Counterparty

Floating Rate
Index/Underlying
Reference Entity

Pay/
Receive
Floating

Exercise
Rate

Expiration
Date

Notional

Amount

Premium
Received

Fair Value

Put OTC Swaption

Deutsche Bank AG

3-month USD-

LIBOR-BBA

Pay

4.500%

06/08/22

EUR

10,100,000

475,560

(586,182)

Put OTC Swaption

Deutsche Bank AG

3-month USD-

LIBOR-BBA

Pay

2.250%

06/27/14

USD

14,100,000

148,402

(171,928)

Put OTC Swaption

Deutsche Bank AG

3-month USD-

LIBOR-BBA

Pay

2.850%

09/19/12

USD

12,600,000

212,814

(5,610)

Call OTC Swaption

Citigroup, Inc.

3-month USD-

LIBOR-BBA

Receive

2.150%

09/09/13

USD

9,000,000

202,680

(344,146)

Call OTC Swaption

Deutsche Bank AG

3-month USD-

LIBOR-BBA

Receive

1.250%

06/27/14

USD

14,100,000

148,402

(146,994)

Total Written Swaptions

1,187,858

(1,254,860)

A summary of derivative instruments by primary risk exposure is outlined in the following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities	Fair Value

Asset Derivatives

Foreign exchange contracts	Investments in securities at value*	$	14,144
Interest rate contracts	Investments in securities at value*		1,867,863
Foreign exchange contracts	Unrealized appreciation on forward foreign currency contracts		2,366,664
Interest rate contracts	Unrealized appreciation on OTC swap agreements		476,097
Interest rate contracts	Net Assets-Unrealized appreciation**		1,541,444

Total Asset Derivatives		$	6,266,212


Liability Derivatives

Foreign exchange contracts	Unrealized depreciation on forward foreign currency contracts	$	2,889,478
Interest rate contracts	Unrealized depreciation on OTC swap agreements		2,168,912
Interest rate contracts	Net Assets-Unrealized depreciation**		667,096
Interest rate contracts	Written options, at fair value		1,434,874

Total Liability Derivatives		$	7,150,360

*	Includes purchased options

**	Includes cumulative appreciation of futures contracts as reported in the table following the Summary Portfolio of investments.

See Accompanying Notes to Financial Statements


ING BlackRock Inflation		PORTFOLIO OF INVESTMENTS
Protected Bond Portfolio		AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2012 was as follows:


	Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments	Investments*		Foreign currency related transactions**		Futures		Swaps		Written options		Total

Interest rate contracts	$	1,765,293	$	-	$	(5,060,452)	$	4,530,127	$	1,998,142	$	3,233,110
Foreign exchange contracts		-		6,350,634		-		-		-		6,350,634

Total	$	1,765,293	$	6,350,634	$	(5,060,452)	$	4,530,127	$	1,998,142	$	9,583,744


	Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments	Investments*		Foreign currency related transactions**		Futures		Swaps		Written options		Total

Interest rate contracts	$	(1,562,718)	$	-	$	3,143,618	$	2,220,233	$	2,541,006	$	6,342,139
Foreign exchange contracts		(207,752)		(2,211,411)		-		-		-		(2,419,163)

Total	$	(1,770,470)	$	(2,211,411)	$	3,143,618	$	2,220,233	$	2,541,006	$	3,922,976

* Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments.

** Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions.

See Accompanying Notes to Financial Statements

ING Goldman Sachs

PORTFOLIO OF INVESTMENTS

Commodity Strategy Portfolio

AS OF JUNE 30, 2012 (UNAUDITED)


Principal Amount†		Value		Percentage of Net Assets
COLLATERALIZED MORTGAGE OBLIGATIONS: 3.7%
1,300,000	NCUA Guaranteed Notes, 0.269%, 06/12/13		1,299,623		1.3
148,295	NCUA Guaranteed Notes, 0.589%, 12/07/20		148,825		0.2
268,500	NCUA Guaranteed Notes, 0.616%, 11/06/17		268,583		0.3
348,755	NCUA Guaranteed Notes, 0.626%, 03/06/20		348,919		0.4
334,872	NCUA Guaranteed Notes, 0.626%, 04/06/20		334,964		0.3
327,050	NCUA Guaranteed Notes, 0.626%, 05/07/20		327,152		0.3
320,090	NCUA Guaranteed Notes, 0.641%, 03/11/20		320,465		0.3
586,267	NCUA Guaranteed Notes, 0.646%, 02/06/20		586,542		0.6

Total Collateralized Mortgage Obligations (Cost $3,633,816)			3,635,073		3.7

MUNICIPAL BONDS: 0.6%
	Wisconsin: 0.6%
600,000	State of Wisconsin, 4.800%, 05/01/13		621,348		0.6

Total Municipal Bonds (Cost $619,355)			621,348		0.6

U.S. GOVERNMENT AGENCY OBLIGATIONS: 31.3%
	Federal Home Loan Mortgage Corporation: 16.2%^##
2,500,000	0.193%, due 06/17/13		2,501,648		2.6
5,000,000	0.196%, due 06/03/13		5,002,415		5.1
1,600,000	0.500%, due 10/18/13		1,600,986		1.7
1,200,000	0.500%, due 01/24/14		1,201,325		1.3
5,000,000	0.500%, due 04/17/15		5,003,780		5.1
3,381	5.000%, due 11/01/16		3,616		0.0
1,212	5.000%, due 01/01/17		1,301		0.0
2,964	5.000%, due 01/01/17		3,170		0.0
3,405	5.000%, due 02/01/17		3,642		0.0
2,500	5.000%, due 02/01/17		2,674		0.0
1,549	5.000%, due 02/01/17		1,664		0.0
3,274	5.000%, due 02/01/17		3,517		0.0
3,873	5.000%, due 03/01/17		4,159		0.0
2,400	5.000%, due 03/01/17		2,567		0.0
2,006	5.000%, due 04/01/17		2,154		0.0
4,195	5.000%, due 04/01/17		4,506		0.0
3,813	5.000%, due 04/01/17		4,095		0.0
2,057	5.000%, due 04/01/17		2,209		0.0
5,011	5.000%, due 04/01/17		5,382		0.0
4,082	5.000%, due 04/01/17		4,384		0.0
3,557	5.000%, due 09/01/17		3,819		0.0
12,955	5.000%, due 09/01/17		13,914		0.0
2,457	5.000%, due 09/01/17		2,637		0.0


1,989	5.000%, due 09/01/17	2,136	0.0
2,929	5.000%, due 09/01/17	3,146	0.0
2,458	5.000%, due 09/01/17	2,640	0.0
665	5.000%, due 09/01/17	715	0.0
4,703	5.000%, due 09/01/17	5,051	0.0
4,043	5.000%, due 09/01/17	4,343	0.0
13,761	5.000%, due 09/01/17	14,780	0.0
2,512	5.000%, due 09/01/17	2,699	0.0
4,190	5.000%, due 09/01/17	4,500	0.0
3,699	5.000%, due 09/01/17	3,973	0.0
3,102	5.000%, due 10/01/17	3,315	0.0
2,801	5.000%, due 10/01/17	3,008	0.0
6,127	5.000%, due 10/01/17	6,581	0.0
6,481	5.000%, due 10/01/17	6,927	0.0
41,226	5.000%, due 10/01/17	44,116	0.1
6,016	5.000%, due 10/01/17	6,462	0.0
6,347	5.000%, due 10/01/17	6,792	0.0
5,127	5.000%, due 10/01/17	5,507	0.0
4,514	5.000%, due 10/01/17	4,848	0.0
3,271	5.000%, due 10/01/17	3,503	0.0
3,595	5.000%, due 10/01/17	3,862	0.0
5,507	5.000%, due 10/01/17	5,889	0.0
7,784	5.000%, due 10/01/17	8,331	0.0
5,013	5.000%, due 10/01/17	5,385	0.0
2,894	5.000%, due 10/01/17	3,108	0.0
46,922	5.000%, due 10/01/17	50,395	0.1
3,424	5.000%, due 11/01/17	3,677	0.0
104,722	5.000%, due 11/01/17	112,125	0.1
5,384	5.000%, due 11/01/17	5,783	0.0
6,740	5.000%, due 11/01/17	7,306	0.0
2,797	5.000%, due 11/01/17	2,993	0.0
3,552	5.000%, due 11/01/17	3,815	0.0
2,710	5.000%, due 11/01/17	2,902	0.0
1,839	5.000%, due 11/01/17	1,975	0.0
3,689	5.000%, due 11/01/17	3,999	0.0
3,833	5.000%, due 11/01/17	4,100	0.0
3,260	5.000%, due 12/01/17	3,502	0.0
4,933	5.000%, due 12/01/17	5,298	0.0
4,166	5.000%, due 12/01/17	4,474	0.0
3,239	5.000%, due 12/01/17	3,510	0.0
4,273	5.000%, due 12/01/17	4,589	0.0
2,554	5.000%, due 12/01/17	2,743	0.0
5,089	5.000%, due 12/01/17	5,466	0.0
3,896	5.000%, due 01/01/18	4,169	0.0
4,556	5.000%, due 02/01/18	4,939	0.0
4,384	5.000%, due 02/01/18	4,752	0.0
3,627	5.000%, due 02/01/18	3,931	0.0
4,213	5.000%, due 02/01/18	4,508	0.0
3,877	5.000%, due 02/01/18	4,203	0.0
3,273	5.000%, due 02/01/18	3,548	0.0
8,866	5.000%, due 02/01/18	9,609	0.0
4,963	5.000%, due 02/01/18	5,379	0.0
5,415	5.000%, due 02/01/18	5,869	0.0
3,619	5.000%, due 02/01/18	3,922	0.0
6,191	5.000%, due 03/01/18	6,710	0.0
5,553	5.000%, due 03/01/18	6,019	0.0
5,586	5.000%, due 03/01/18	6,055	0.0
4,581	5.000%, due 03/01/18	4,966	0.0
5,446	5.000%, due 03/01/18	5,903	0.0
3,363	5.000%, due 04/01/18	3,645	0.0
3,805	5.000%, due 04/01/18	4,125	0.0
5,990	5.000%, due 04/01/18	6,493	0.0
2,513	5.000%, due 04/01/18	2,699	0.0
6,005	5.000%, due 05/01/18	6,509	0.0
5,984	5.000%, due 06/01/18	6,486	0.0
5,521	5.000%, due 07/01/18	5,984	0.0
4,600	5.000%, due 07/01/18	4,986	0.0
5,376	5.000%, due 07/01/18	5,827	0.0
6,638	5.000%, due 07/01/18	7,195	0.0

See Accompanying Notes to Financial Statements

ING Goldman Sachs

CONSOLIDATED PORTFOLIO OF

INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Commodity Strategy Portfolio


6,668	5.000%, due 11/01/18	7,227	0.0
58,448	5.500%, due 01/01/20	63,988	0.1
		15,979,479	16.2

	Federal National Mortgage Association: 15.1%^##
300,000	0.375%, due 03/16/15	299,326	0.3
4,700,000	0.376%, due 05/17/13	4,706,312	4.8
3,600,000	0.600%, due 11/14/13	3,603,074	3.6
1,811,988	4.000%, due 10/01/40	1,932,120	2.0
1,148,509	4.000%, due 12/01/40	1,224,653	1.2
1,714,242	4.000%, due 01/01/41	1,827,893	1.9
500,000	4.125%, due 04/15/14	533,722	0.5
19,740	5.000%, due 03/01/18	21,538	0.0
59,804	5.000%, due 04/01/18	65,098	0.1
651,371	5.000%, due 08/25/19	702,014	0.7
		14,915,750	15.1

Total U.S. Government Agency Obligations (Cost $30,753,501)		30,895,229	31.3


U.S. TREASURY OBLIGATIONS: 4.4%
	Treasury Inflation Indexed Protected Securities: 1.7%
722,988	1.625%, due 01/15/15	768,966	0.8
354,870	1.875%, due 07/15/15	386,337	0.4
488,252	2.000%, due 07/15/14	517,776	0.5
		1,673,079	1 .7

	U.S. Treasury Notes: 2.7%
100,000	1.500%, due 03/31/19	102,891	0.1
300,000	0.125%, due 09/30/13	299,484	0.3
2,300,000	0.125%, due 12/31/13	2,294,340	2.3
		2,696,715	2.7

Total U.S. Treasury Obligations (Cost $4,383,821)		4,369,794	4.4

Total Long-Term Investments (Cost $39,390,493)		39,521,444	40.0

SHORT-TERM INVESTMENTS: 36.6%
	U.S. Government Agency Obligations: 1.8%
1,800,000	Federal Home Loan Banks, 0.210%, 01/04/13 (Cost $1,799,393)	1,800,131	1.8

	U.S. Treasury Obligations: 20.3%
20,000,000	S United States Treasury
	Bill, 0.100%, 10/11/12 (Cost $19,992,775)	19,994,960	20.3

Shares		Value	Percentage of Net Assets
	Mutual Funds: 14.5%
14,271,617	BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $14,271,617)	14,271,617	14.5

Total Short-Term Investments (Cost $36,063,785)		36,066,708	36.6


Total Investments in
Securities
(Cost $75,454,278)	$	75,588,152	76.6
Assets in Excess of
Other Liabilities		23,062,065	23.4

Net Assets	$	98,650,217	100.0

†	Unless otherwise indicated, principal amount is shown in USD.

##	On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations.

S	All or a portion of this security has been identified by the Fund to cover future collateral requirements for applicable futures, options, swaps, foreign currency contracts and/or when-issued or delayed-delivery securities.

Cost for federal income tax purposes is $86,181,131.

Net unrealized depreciation consists of:


Gross Unrealized Appreciation		$154,486
Gross Unrealized Depreciation		(10,747,465)


Net Unrealized Depreciation	$	(10,592,979)

See Accompanying Notes to Financial Statements

ING Goldman Sachs

Commodity Strategy Portfolio

CONSOLIDATED PORTFOLIO OF

INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Fair Value Measurements^

The following is a summary of the fair valuations according to the inputs used as of June 30, 2012 in valuing the assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at June 30, 2012
Asset Table
Investments, at fair value
Collateralized Mortgage Obligations	$	–	$	3,635,073	$	–	$	3,635,073
Municipal Bonds		–		621,348		–		621,348
Short-Term Investments		14,271,617		21,795,091		–		36,066,708
U.S. Government Agency Obligations		–		30,895,229		–		30,895,229
U.S. Treasury Obligations		–		4,369,794		–		4,369,794

Total Investments, at fair value	$	14,271,617	$	61,316,535	$	–	$	75,588,152

Other Financial Instruments+
Futures		90,075		–		–		90,075
Swaps		–		–		–		–

Total Assets	$	14,361,692	$	61,316,535	$	–	$	75,678,227

Liabilities Table
Other Financial Instruments+
Futures	$	(167,042)	$	–	$	–	$	(167,042)

Total Liabilities	$	(167,042)	$	–	$	–	$	(167,042)

See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.

There were no transfers in or out of any Levels of the fair value hierarchy during the period ended June 30, 2012.

ING Goldman Sachs Commodity Strategy Portfolio Open Futures Contracts on June 30, 2012:


Contract Description	Number of Contracts	Expiration Date	Notional Value		Unrealized Appreciation/ (Depreciation)

Long Contracts
90-Day Eurodollar	30	03/17/14	$	7,452,750	$	14,260
90-Day Eurodollar	69	09/15/14		17,124,075		68,985
U.S. Treasury 10-Year Note	9	09/19/12		1,200,375		(2,940)
U.S. Treasury Long Bond	4	09/19/12		591,875		(7,813)
U.S. Treasury Ultra Long Bond	1	09/19/12		166,844		2,295

			$	26,535,919	$	74,787

Short Contracts
90-Day Eurodollar	(30)	03/16/15		(7,432,875)		(34,267)
90-Day Eurodollar	(69)	09/14/15		(17,055,075)		(122,022)
U.S. Treasury 2-Year Note	(27)	09/28/12		(5,945,062)		3,881
U.S. Treasury 5-Year Note	(6)	09/28/12		(743,813)		654

				$ (31,176,825)	$	(151,754)

ING Goldman Sachs Commodity Strategy Portfolio Total Return Swap Agreements Outstanding on June 30, 2012:⁽¹⁾

Termination
Date

Notional Amount

Fair
Value

Upfront
Payments
Paid/
(Received)

Unrealized
Appreciation/
(Depreciation)

Receive the price return on the Merrill Lynch Commodity Index, if positive. Pay 25 basis points and, if negative, the absolute value of the price return for the Merrill Lynch Commodity Index.

Counterparty: Merrill Lynch & Co., Inc.

12/13/12

USD 79,489,062

–

⁽¹⁾ Each respective total return swap resets monthly based on the change in the price return of the referenced commodity index. At June 30, 2012, each total return swap reset with a positive price return and the Portfolio recorded a realized gain on June 30, 2012 in the amount of $2,966,721. The fair value of each total return swap is recorded at $0 as the price return of the respective commodity index had zero change as both the closing and opening price of the index was unchanged.

See Accompanying Notes to Financial Statements

ING Goldman Sachs

Commodity Strategy Portfolio

CONSOLIDATED PORTFOLIO OF INVESTMENTS

AS OF JUNE 30, 2012 (UNAUDITED) (CONTINUED)

Receive the price return on the Dow Jones-UBS Commodity Index Excess ReturnSM, if positive. Pay 25 basis points and, if negative, the absolute value of the price return for the Dow Jones-UBS Commodity Index Excess ReturnSM. Counterparty: UBS Warburg LLC

06/12/13

USD

19,451,222

–

A summary of derivative instruments by primary risk exposure is outlined in the following tables.

The fair value of derivative instruments as of June 30, 2012 was as follows:


Derivatives not accounted for as hedging instruments	Location on Statement of Assets and Liabilities	Fair Value

Asset Derivatives

Interest rate contracts	Net Assets-Unrealized appreciation*	$	90,075

Total Asset Derivatives		$	90,075


Liability Derivatives

Interest rate contracts	Net Assets-Unrealized appreciation*	$	167,042

Total Asset Derivatives		$	167,042

*Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments.

The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2012 was as follows:


	Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments	Futures		Swaps		Total


Commodity contracts	$	-		(9,545,021)	$	(9,545,021)
Interest rate contracts		(24,219)		-		(24,219)

Total	$	(24,219)	$	(9,545,021)	$	(9,569,240)


	Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments	Futures		Swaps		Total


Commodity contracts	$	-	$	-	$	-
Interest rate contracts		(17,752)		-		(17,752)

Total	$	(17,752)	$	-	$	(17,752)

See Accompanying Notes to Financial Statements

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-end Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-end Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-end Management Investment Company and .Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

The Board has a Nominating Committee for the purpose of considering and presenting to the Board candidates it proposes for nomination to fill Independent Trustee vacancies on the Board. The Committee currently consists of all Independent Trustees of the Board. (6 individuals). The Nominating Committee operates pursuant to a Charter approved by the Board. The primary purpose of the Nominating Committee is to consider and present to the Board the candidates it proposes for nomination to fill vacancies on the Board. In evaluating candidates, the Nominating Committee may consider a variety of factors, but it has not at this time set any specific minimum qualifications that must be met. Specific qualifications of candidates for Board membership will be based on the needs of the Board at the time of nomination.

The Nominating Committee is willing to consider nominations received from shareholders and shall assess shareholder nominees in the same manner as it reviews its own nominees. A shareholder nominee for director should be submitted in writing to the Fund’s Secretary. Any such shareholder nomination should include at a minimum the following information as to each individual proposed for nomination as trustee: such individual’s written consent to be named in the proxy statement as a nominee (if nominated) and to serve as a trustee (if elected), and all information relating to such individual that is required to be disclosed in the solicitation of proxies for election of trustees, or is otherwise required, in each case under applicable federal securities laws, rules and regulations.

The secretary shall submit all nominations received in a timely manner to the Nominating Committee. To be timely, any such submission must be delivered to the Fund’s Secretary not earlier than the 90th day prior to such meeting and not later than the close of business on the later of the 60th day prior to such meeting or the 10th day following the day on which public announcement of the date of the meeting is first made, by either disclosure in a press release or in a document publicly filed by the Fund with the Securities and Exchange Commission.

Item 11. Controls and Procedures.

(a)

Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR.

(b)	There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1)

The Code of Ethics is not required for the semi-annual filing.

(a)(2)

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT.

(a)(3)

Not required for semi-annual filing.

(b)	The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant): ING Investors Trust


By		/s/ Shaun P. Mathews

		Shaun P. Mathews
		President and Chief Executive Officer

Date:		September 4, 2012

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


By		/s/ Shaun P. Mathews

		Shaun P. Mathews
		President and Chief Executive Officer

Date:		September 4, 2012


By		/s/ Todd Modic

		Todd Modic
		Senior Vice President and Chief Financial Officer

Date:		September 4, 2012

	ING Marsico Growth Portfolio		ING MFS Total Return Portfolio		ING MFS Utilities Portfolio		ING Morgan Stanley Global Franchise Portfolio
Class ADV
Net assets	$	4,853,222	$	6,161,029	$	25,459,885	$	16,956,956
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		268,913		397,062		1,796,063		1,056,914
Net asset value and redemption price per share	$	18.05	$	15.52	$	14.18	$	16.04

Class I
Net assets	$	120,157,855	$	108,758,389	$	5,160,830		n/a
Shares authorized		unlimited		unlimited		unlimited		n/a
Par value	$	0.001	$	0.001	$	0.001		n/a
Shares outstanding		6,513,610		6,941,721		358,633		n/a
Net asset value and redemption price per share	$	18.45	$	15.67	$	14.39		n/a

Class S
Net assets	$	486,413,801	$	725,896,029	$	549,475,993	$	361,898,356
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		26,666,427		46,385,878		38,363,294		22,006,288
Net asset value and redemption price per share	$	18.24	$	15.65	$	14.32	$	16.45

Class S2
Net assets	$	16,751,988	$	31,070,239	$	363,718	$	60,009,182
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		925,655		2,005,175		25,285		3,672,550
Net asset value and redemption price per share	$	18.10	$	15.50	$	14.38	$	16.34

	ING T. Rowe Price International Stock Portfolio
ASSETS:
Investments in securities at fair value+*	$	220,295,108
Short-term investments at fair value**		10,571,231
Total Investments at fair value	$	230,866,339
Cash		918,857
Foreign currencies at value***		184,016
Receivables:
Investments securities sold		1,210,604
Fund shares sold		131,817
Dividends		647,777
Interest		6
Foreign tax reclaims		172,033
Prepaid expenses		1,202
Total assets		234,132,651

LIABILITIES:
Payable for investment securities purchased		1,371,207
Payable for fund shares redeemed		105,762
Payable upon receipt of securities loaned		6,396,579
Payable to affiliates		151,473
Payable for trustee fees		1,165
Other accrued expenses and liabilities		172,546
Total liabilities		8,198,732
NET ASSETS	$	225,933,919

NET ASSETS WERE COMPRISED OF:
Paid-in capital	$	368,151,069
Undistributed net investment income		2,869,193
Accumulated net realized loss		(130,454,744	)
Net unrealized depreciation		(14,631,599	)
NET ASSETS	$	225,933,919
____________________
+ Including securities loaned at value	$	6,105,222
* Cost of investments in securities	$	234,914,266
** Cost of short-term investments	$	10,571,231
*** Cost of foreign currencies	$	182,697

	ING Artio Foreign Portfolio			ING BlackRock Health Sciences Opportunities Portfolio			ING Clarion Global Real Estate Portfolio			ING FMR^SM Diversified Mid Cap Portfolio
INVESTMENT INCOME:
Dividends, net of foreign taxes withheld*	$	7,775,177		$	1,873,324		$	5,575,430		$	7,358,626
Interest, net of foreign taxes withheld*		21,790			161			—			1,713
Securities lending income, net		278,715			56,186			153,006			135,708
Total investment income		8,075,682			1,929,671			5,728,436			7,496,047

EXPENSES:
Investment management fees		—			—			1,382,234			—
Unified fees		2,334,822			812,983			—			3,640,464
Distribution and service fees:
Class ADV		5,168			249			43,741			212,321
Class S		547,882			264,218			204,183			1,179,156
Class S2		83,550			—			4,678			166,031
Transfer agent fees		—			—			841			—
Administrative service fees		—			—			174,340			—
Shareholder reporting expense		—			—			81,750			—
Professional fees		—			—			17,428			—
Custody and accounting expense		—			—			85,494			—
Miscellaneous expense		—			—			7,415			—
Trustee fees and expenses		12,134			4,803			10,518			26,663
Interest expense		—			—			4,746			—
Total expenses		2,983,556			1,082,253			2,017,368			5,224,635
Net waived and reimbursed fees		(17,743	)		(50	)		(220,067	)		(75,670	)
Brokerage commission recapture		(1,042	)		—			—			—
Net expenses		2,964,771			1,082,203			1,797,301			5,148,965
Net investment income		5,110,911			847,468			3,931,135			2,347,082

REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(13,595,105	)		7,429,005			30,069,400			77,319,165
Foreign currency related transactions		(861,022	)		(17,718	)		(26,626	)		(71,756	)
Futures		658,259			—			—			—
Net realized gain (loss)		(13,797,868	)		7,411,287			30,042,774			77,247,409
Net change in unrealized appreciation (depreciation) on:
Investments		31,632,596			14,769,941			15,457,102			(4,374,875	)
Foreign currency related transactions		(317,188	)		121,041			2,483			6,549
Futures		290,203			—			—			—
Net change in unrealized appreciation (depreciation)		31,605,611			14,890,982			15,459,585			(4,368,326	)
Net realized and unrealized gain		17,807,743			22,302,269			45,502,359			72,879,083
Increase in net assets resulting from operations	$	22,918,654		$	23,149,737		$	49,433,494		$	75,226,165
____________________
* Foreign taxes withheld	$	838,948		$	81,416		$	358,965		$	161,630

	ING Global Resources Portfolio			ING Invesco Van Kampen Growth and Income Portfolio			ING JPMorgan Emerging Markets Equity Portfolio			ING Liquid Assets Portfolio
INVESTMENT INCOME:
Dividends, net of foreign taxes withheld*	$	7,288,612		$	6,952,613		$	11,620,175		$	10,381
Interest		—			—			—			2,450,309
Securities lending income, net		120,033			56,788			147,018			1,115
Total investment income		7,408,645			7,009,401			11,767,193			2,461,805

EXPENSES:
Unified fees		2,787,578			1,796,840			5,765,418			1,743,302
Distribution and service fees:
Class ADV		462,557			35,320			130,105			—
Class S		858,597			618,353			796,555			1,184,588
Class S2		59,971			115,251			67,910			570,585
Trustee fees and expenses		21,183			12,632			22,877			32,353
Interest expense		754			—			16,246			—
Total expenses		4,190,640			2,578,396			6,799,111			3,530,828
Net waived and reimbursed fees		(104,506	)		(30,114	)		(39,603	)		(1,125,715	)
Brokerage commission recapture		—			(15,001	)		—			—
Net expenses		4,086,134			2,533,281			6,759,508			2,405,113
Net investment income		3,322,511			4,476,120			5,007,685			56,692

REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		2,883,076			8,209,457			10,361,011			57,255
Foreign currency related transactions		11,319			882,286			(462,046	)		—
Net realized gain		2,894,395			9,091,743			9,898,965			57,255
Net change in unrealized appreciation (depreciation) on:
Investments		(89,613,623	)		27,820,635			29,547,284			—
Foreign currency related transactions		21,521			(814,557	)		122,544			—
Net change in unrealized appreciation (depreciation)		(89,592,102	)		27,006,078			29,669,828			—
Net realized and unrealized gain (loss)		(86,697,707	)		36,097,821			39,568,793			57,255
Increase (decrease) in net assets resulting from operations	$	(83,375,196	)	$	40,573,941		$	44,576,478		$	113,947
____________________
* Foreign taxes withheld	$	454,323		$	58,546		$	837,149		$	—

	ING Marsico Growth Portfolio			ING MFS Total Return Portfolio			ING MFS Utilities Portfolio			ING Morgan Stanley Global Franchise Portfolio
INVESTMENT INCOME:
Dividends, net of foreign taxes withheld*	$	4,438,184		$	6,959,308		$	11,370,257		$	10,494,053
Interest, net of foreign taxes withheld*		—			6,470,805			447,991			—
Securities lending income, net		57,158			36,179			—			143,720
Total investment income		4,495,342			13,466,292			11,818,248			10,637,773

EXPENSES:
Investment management fees		—			—			1,739,746			2,083,566
Unified fees		2,776,684			3,092,941			—			—
Distribution and service fees:
Class ADV		18,582			21,188			84,553			51,930
Class S		628,114			919,156			690,082			450,919
Class S2		43,563			79,419			585			152,013
Transfer agent fees		—			—			395			—
Administrative service fees		—			—			289,954			—
Shareholder reporting expense		—			—			65,156			—
Professional fees		—			—			24,174			—
Custody and accounting expense		—			—			111,402			—
Miscellaneous expense		—			—			10,771			—
Trustee fees and expenses		15,393			20,439			17,493			9,751
Interest expense		156			38			370			—
Total expenses		3,482,492			4,133,181			3,034,681			2,748,179
Net waived and reimbursed fees		(12,429	)		(20,121	)		(17,028	)		(40,788	)
Brokerage commission recapture		—			(3,880	)		(10,200	)		—
Net expenses		3,470,063			4,109,180			3,007,453			2,707,391
Net investment income		1,025,279			9,357,112			8,810,795			7,930,382

REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		34,520,342			15,422,244			30,182,614			10,050,004
Foreign currency related transactions		(2,987	)		(823	)		2,632,185			30,688
Net realized gain		34,517,355			15,421,421			32,814,799			10,080,692
Net change in unrealized appreciation (depreciation) on:
Investments		19,633,576			21,158,446			(12,238,742	)		15,664,072
Foreign currency related transactions		(833	)		3,345			(1,597,885	)		(14,951	)
Short sales		—			—			(9,413	)		—
Net change in unrealized appreciation (depreciation)		19,632,743			21,161,791			(13,846,040	)		15,649,121
Net realized and unrealized gain		54,150,098			36,583,212			18,968,759			25,729,813
Increase in net assets resulting from operations	$	55,175,377		$	45,940,324		$	27,779,554		$	33,660,195
____________________
* Foreign taxes withheld	$	—		$	76,088		$	882,589		$	471,120

President’s Letter					2
Market Perspective					3
Shareholder Expense Examples					5
Statements of Assets and Liabilities					8
Statements of Operations					18
Statements of Changes in Net Assets					23
Financial Highlights					32
Notes to Financial Statements					42
Summary Portfolios of Investments					68

	ING Artio Foreign Portfolio			ING BlackRock Health Sciences Opportunities Portfolio		ING Clarion Global Real Estate Portfolio			ING FMR^SM Diversified Mid Cap Portfolio
ASSETS:
Investments in securities at fair value+*	$	406,430,757		$	212,796,809	$	263,531,573		$	990,626,959
Short-term investments at fair value**		42,095,284			15,499,416		17,426,782			122,116,745
Total Investments at fair value	$	448,526,041		$	228,296,225	$	280,958,355		$	1,112,743,704
Cash		5,172			—		1,890			—
Cash collateral for futures		1,903,719			—		—			—
Foreign currencies at value***		28,173,336			253,686		412,093			237,673
Foreign cash collateral for futures****		268,873			—		—			—
Receivables:
Investments securities sold		717,119			2,694,037		382,198			11,581,491
Fund shares sold		96,569			44,138		42,704			106,811
Dividends		1,360,262			143,731		1,048,853			960,503
Interest		—			—		—			321
Foreign tax reclaims		292,581			41,266		18,092			16,505
Unrealized appreciation on forward foreign currency contracts		—			849,332		—			—
Prepaid expenses		—			—		2,046			—
Reimbursement due from manager		—			—		30,396			—
Total assets		481,343,672			232,322,415		282,896,627			1,125,647,008
LIABILITIES:
Payable for investment securities purchased		3,280			635,936		433,818			14,522,720
Payable for fund shares redeemed		136,379			533,306		68,928			767,916
Payable upon receipt of securities loaned		8,401,631			8,085,979		9,245,161			11,880,495
Unrealized depreciation on forward foreign currency contracts		140,845			139,795		—			—
Payable to affiliates		443,625			175,016		231,461			788,452
Payable for trustee fees		—			—		1,753			—
Other accrued expenses and liabilities		—			—		106,653			—
Total liabilities		9,125,760			9,570,032		10,087,774			27,959,583
NET ASSETS	$	472,217,912		$	222,752,383	$	272,808,853		$	1,097,687,425
NET ASSETS WERE COMPRISED OF:
Paid-in capital	$	1,041,536,299		$	191,571,875	$	427,547,614		$	1,082,477,330
Undistributed net investment income		7,728,830			1,905,153		5,760,559			2,331,962
Accumulated net realized gain (loss)		(568,679,172	)		9,400,680		(252,393,845	)		(51,059,897	)
Net unrealized appreciation (depreciation)		(8,368,045	)		19,874,675		91,894,525			63,938,030
NET ASSETS	$	472,217,912		$	222,752,383	$	272,808,853		$	1,097,687,425
____________________
+ Including securities loaned at value	$	7,933,750		$	7,841,534	$	8,813,616		$	11,461,170
* Cost of investments in securities	$	414,962,553		$	193,637,816	$	171,644,416		$	926,695,134
** Cost of short-term investments	$	42,095,284		$	15,499,416	$	17,426,782		$	122,116,745
*** Cost of foreign currencies	$	28,266,814		$	251,634	$	412,093		$	238,260
**** Cost of foreign cash collateral for futures	$	268,873		$	—	$	—		$	—

	ING Artio Foreign Portfolio		ING BlackRock Health Sciences Opportunities Portfolio		ING Clarion Global Real Estate Portfolio		ING FMR^SM Diversified Mid Cap Portfolio
Class ADV
Net assets	$	1,081,558	$	72,326	$	12,040,422	$	54,460,290
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		117,352		5,833		1,212,925		3,839,299
Net asset value and redemption price per share	$	9.22	$	12.40	$	9.93	$	14.18

Class I
Net assets	$	29,305,986	$	6,257,129	$	92,474,669	$	80,038,899
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		3,125,723		484,840		9,130,675		5,510,789
Net asset value and redemption price per share	$	9.38	$	12.91	$	10.13	$	14.52

Class S
Net assets	$	410,015,795	$	216,422,928	$	166,419,404	$	899,249,198
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		44,269,458		16,928,925		16,534,918		62,375,311
Net asset value and redemption price per share	$	9.26	$	12.78	$	10.06	$	14.42

Class S2
Net assets	$	31,814,573		n/a	$	1,874,358	$	63,939,038
Shares authorized		unlimited		n/a		unlimited		unlimited
Par value	$	0.001		n/a	$	0.001	$	0.001
Shares outstanding		3,458,008		n/a		185,561		4,461,440
Net asset value and redemption price per share	$	9.20		n/a	$	10.10	$	14.33

	ING Global Resources Portfolio		ING Invesco Van Kampen Growth and Income Portfolio		ING JPMorgan Emerging Markets Equity Portfolio		ING Liquid Assets Portfolio
Class ADV
Net assets	$	105,819,853	$	9,249,851	$	33,564,198		n/a
Shares authorized		unlimited		unlimited		unlimited		n/a
Par value	$	0.001	$	0.001	$	0.001		n/a
Shares outstanding		6,204,570		414,013		1,826,810		n/a
Net asset value and redemption price per share	$	17.06	$	22.34	$	18.37		n/a

Class I
Net assets	$	30,920,589	$	10,690,486	$	156,345,973	$	104,594,269
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		1,745,047		475,218		8,238,373		104,575,344
Net asset value and redemption price per share	$	17.72	$	22.50	$	18.98	$	1.00

Class S
Net assets	$	604,145,146	$	484,902,594	$	600,837,517	$	911,386,683
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		34,415,163		21,505,562		31,791,711		911,161,728
Net asset value and redemption price per share	$	17.55	$	22.55	$	18.90	$	1.00

Class S2
Net assets	$	21,269,221	$	45,121,806	$	25,538,591	$	232,877,030
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		1,221,049		2,014,610		1,362,951		232,864,557
Net asset value and redemption price per share	$	17.42	$	22.40	$	18.74	$	1.00

	ING Marsico Growth Portfolio			ING MFS Total Return Portfolio			ING MFS Utilities Portfolio			ING Morgan Stanley Global Franchise Portfolio
ASSETS:
Investments in securities at fair value+*	$	588,570,493		$	856,058,889		$	559,984,020		$	424,172,935
Short-term investments at fair value**		47,355,242			1,452,453			—			488,826
Short-term investments at amortized cost		—			14,623,984			15,779,947			—
Total Investments at fair value	$	635,925,735		$	872,135,326		$	575,763,967		$	424,661,761
Cash		—			61,022			255,020			13,888,761
Foreign currencies at value***		—			—			158,277			—
Receivables:
Investments securities sold		24,749,049			—			4,001,004			206,506
Fund shares sold		177,755			88,881			9,581			666
Dividends		510,393			935,882			2,319,510			601,380
Interest		—			2,325,413			242,287			—
Foreign tax reclaims		36,125			134,886			387,430			611,060
Unrealized appreciation on forward foreign currency contracts		—			—			1,014,225			—
Prepaid expenses		—			—			2,919			—
Total assets		661,399,057			875,681,410			584,154,220			439,970,134

LIABILITIES:
Payable for investment securities purchased		4,431,846			1,408,969			2,221,256			1,351
Payable for fund shares redeemed		24,408,925			278,817			398,134			180,410
Payable upon receipt of securities loaned		3,838,760			1,452,453			—			488,826
Unrealized depreciation on forward foreign currency contracts		—			—			547,585			—
Payable to affiliates		542,660			655,485			442,529			435,053
Payable for trustee fees		—			—			2,916			—
Other accrued expenses and liabilities		—			—			81,374			—
Total liabilities		33,222,191			3,795,724			3,693,794			1,105,640
NET ASSETS	$	628,176,866		$	871,885,686		$	580,460,426		$	438,864,494

NET ASSETS WERE COMPRISED OF:
Paid-in capital	$	645,952,344		$	905,755,291		$	588,508,423		$	322,704,171
Undistributed net investment income		3,745,985			30,627,697			11,300,420			15,262,919
Accumulated net realized gain (loss)		(135,095,849	)		(176,854,326	)		(71,791,275	)		30,220,003
Net unrealized appreciation		113,574,386			112,357,024			52,442,858			70,677,401
NET ASSETS	$	628,176,866		$	871,885,686		$	580,460,426		$	438,864,494
____________________
+ Including securities loaned at value	$	3,760,628		$	1,419,590		$	—		$	476,956
* Cost of investments in securities	$	474,996,107		$	743,697,831		$	507,999,929		$	353,467,101
** Cost of short-term investments	$	47,355,242		$	1,452,453		$	—		$	488,826
*** Cost of foreign currencies	$	—		$	—		$	158,054		$	—

	ING PIMCO Total Return Bond Portfolio			ING Pioneer Mid Cap Value Portfolio			ING T. Rowe Price Capital Appreciation Portfolio		ING T. Rowe Price Equity Income Portfolio
ASSETS:
Investments in securities at fair value+*	$	4,361,783,984		$	625,347,290		$	3,377,205,837	$	1,392,624,791
Short-term investments at fair value**		45,719,291			12,807,219			711,770,029		49,197,259
Short-term investments at amortized cost		127,111,735			—			—		—
Total Investments at fair value	$	4,534,615,010		$	638,154,509		$	4,088,975,866	$	1,441,822,050
Cash		2,659,862			—			14,605,639		4,045,899
Cash collateral for futures		17,000			—			—		—
Foreign currencies at value***		2,749,257			—			—		12,251
Foreign cash collateral for futures****		4,930			—			—		—
Receivables:
Investments securities sold		185,994,187			11,446,802			33,648,156		3,715,592
Investment securities sold on a delayed-delivery or when-issued basis		787,541,223			—			—		—
Fund shares sold		119,671			432,205			1,550,019		98,735
Dividends		40,885			968,151			2,871,299		2,447,389
Interest		22,343,393			—			6,726,142		39
Foreign tax reclaims		4,789			—			35,004		—
Unrealized appreciation on forward foreign currency contracts		2,790,055			—			—		—
Upfront payments paid on OTC swap agreements		9,426,108			—			—		—
Unrealized appreciation on OTC swap agreements		8,871,940			—			—		—
Variation margin receivable on centrally cleared swaps		1,312,366			—			—		—
Total assets		5,558,490,676			651,001,667			4,148,412,125		1,452,141,955
LIABILITIES:
Payable for investment securities purchased		122,404,471			5,221,897			22,678,034		2,124,299
Payable for investment securities purchased on a delayed-delivery or when-issued basis		1,764,441,523			—			—		—
Payable for fund shares redeemed		1,959,072			420,495			1,599,671		4,511,310
Payable upon receipt of securities loaned		39,179,295			8,385,219			20,273,347		5,916,381
Sales commitmentsˆˆ		107,625,345			—			—		—
Unrealized depreciation on forward foreign currency contracts		9,949,535			—			—		—
Upfront payments received on OTC swap agreements		4,177,127			—			—		—
Unrealized depreciation on OTC swap agreements		3,990,028			—			—		—
Payable to affiliates		2,272,523			420,151			2,890,545		972,672
Payable for cash collateral for futures		646,986			—			—		—
Payable for derivatives collateral (Note 2)		21,070,000			—			—		—
Other accrued expenses and liabilities		186,144			—			—		31,100
Written options, at fair valueˆ		1,012,972			—			23,229,043		—
Total liabilities		2,078,915,021			14,447,762			70,670,640		13,555,762
NET ASSETS	$	3,479,575,655		$	636,553,905		$	4,077,741,485	$	1,438,586,193
NET ASSETS WERE COMPRISED OF:
Paid-in capital	$	3,152,055,509		$	768,614,428		$	3,451,410,198	$	1,352,260,617
Undistributed net investment income		156,140,441			4,141,705			42,721,589		18,186,310
Accumulated net realized gain (loss)		(9,963,646	)		(150,570,308	)		318,846,640		(73,990,223	)
Net unrealized appreciation		181,343,351			14,368,080			264,763,058		142,129,489
NET ASSETS	$	3,479,575,655		$	636,553,905		$	4,077,741,485	$	1,438,586,193
____________________
+ Including securities loaned at value	$	37,589,244		$	8,128,909		$	19,806,777	$	5,697,133
* Cost of investments in securities	$	4,188,650,799		$	610,979,210		$	3,107,833,758	$	1,250,498,327
** Cost of short-term investments	$	41,046,651		$	12,807,219		$	711,770,029	$	49,197,259
*** Cost of foreign currencies	$	2,703,830		$	—		$	—	$	12,251
**** Cost of foreign cash collateral for futures	$	4,930		$	—		$	—	$	—
ˆ Premiums received on written options	$	11,660,094		$	—		$	18,624,589	$	—
ˆˆ Proceeds from sales commitments	$	107,643,045		$	—		$	—	$	—

	ING PIMCO Total Return Bond Portfolio		ING Pioneer Mid Cap Value Portfolio		ING T. Rowe Price Capital Appreciation Portfolio		ING T. Rowe Price Equity Income Portfolio
Class ADV
Net assets	$	146,580,699	$	3,985,090	$	155,772,797	$	39,952,737
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		12,454,583		376,536		6,503,195		3,262,956
Net asset value and redemption price per share	$	11.77	$	10.58	$	23.95	$	12.24

Class I
Net assets	$	330,699,087	$	170,876,312	$	491,850,661	$	365,951,638
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		27,115,014		15,828,612		20,103,342		29,562,714
Net asset value and redemption price per share	$	12.20	$	10.80	$	24.47	$	12.38

Class S
Net assets	$	2,936,912,116	$	461,534,731	$	3,348,054,329	$	938,052,662
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		241,093,470		42,803,690		136,885,470		75,762,474
Net asset value and redemption price per share	$	12.18	$	10.78	$	24.46	$	12.38

Class S2
Net assets	$	65,383,753	$	157,772	$	82,063,698	$	94,629,156
Shares authorized		unlimited		unlimited		unlimited		unlimited
Par value	$	0.001	$	0.001	$	0.001	$	0.001
Shares outstanding		5,400,957		14,540		3,370,896		7,701,028
Net asset value and redemption price per share	$	12.11	$	10.85	$	24.34	$	12.29

	ING T. Rowe Price International Stock Portfolio
Class ADV
Net assets	$	5,786,891
Shares authorized		unlimited
Par value	$	0.001
Shares outstanding		551,771
Net asset value and redemption price per share	$	10.49

Class I
Net assets	$	51,920,232
Shares authorized		unlimited
Par value	$	0.001
Shares outstanding		4,951,729
Net asset value and redemption price per share	$	10.49

Class S
Net assets	$	168,226,796
Shares authorized		unlimited
Par value	$	0.001
Shares outstanding		16,127,151
Net asset value and redemption price per share	$	10.43

	ING PIMCO Total Return Bond Portfolio			ING Pioneer Mid Cap Value Portfolio			ING T. Rowe Price Capital Appreciation Portfolio			ING T. Rowe Price Equity Income Portfolio
INVESTMENT INCOME:
Dividends, net of foreign taxes withheld*	$	1,577,067		$	6,051,910		$	25,619,527		$	20,813,247
Interest		54,078,969			—			24,462,411			404
Securities lending income, net		89,930			13,010			94,005			231,243
Total investment income		55,745,966			6,064,920			50,175,943			21,044,894

EXPENSES:
Unified fees		9,267,983			2,136,966			13,023,103			4,656,780
Distribution and service fees:
Class ADV		487,942			16,197			546,855			146,496
Class S		3,522,218			614,787			4,197,594			1,197,374
Class S2		162,041			224			204,119			226,306
Trustee fees and expenses		86,800			15,449			91,243			32,577
Interest expense		3,238			—			127			—
Total expenses		13,530,222			2,783,623			18,063,041			6,259,533
Net waived and reimbursed fees		(156,021	)		(3,284	)		(150,195	)		(74,560	)
Brokerage commission recapture		—			(57,932	)		(22,837	)		(2,820	)
Net expenses		13,374,201			2,722,407			17,890,009			6,182,153
Net investment income		42,371,765			3,342,513			32,285,934			14,862,741

REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		24,131,441			16,495,674			200,241,600			31,223,598
Foreign currency related transactions		17,034,984			—			363,836			437
Futures		9,327,586			—			—			—
Swaps		21,826,578			—			—			—
Written options		5,074,345			—			8,565,365			—
Net realized gain		77,394,934			16,495,674			209,170,801			31,224,035
Net change in unrealized appreciation (depreciation) on:
Investments		73,676,313			13,038,530			33,007,566			68,727,405
Foreign currency related transactions		(15,470,021	)		—			(1,597	)		6,364
Futures		(5,803,390	)		—			—			—
Swaps		(13,082,183	)		—			—			—
Written options		477,834			—			(9,573,008	)		—
Sales commitments		1,287,886			—			—			—
Net change in unrealized appreciation (depreciation)		41,086,439			13,038,530			23,432,961			68,733,769
Net realized and unrealized gain		118,481,373			29,534,204			232,603,762			99,957,804
Increase in net assets resulting from operations	$	160,853,138		$	32,876,717		$	264,889,696		$	114,820,545
____________________
* Foreign taxes withheld	$	—		$	37,409		$	30,108		$	175,371

	ING T. Rowe Price International Stock Portfolio
INVESTMENT INCOME:
Dividends, net of foreign taxes withheld*	$	3,167,484
Interest		49
Securities lending income, net		80,469
Total investment income		3,248,002

EXPENSES:
Investment management fees		625,596
Distribution and service fees:
Class ADV		19,370
Class S		215,259
Transfer agent fees		273
Administrative service fees		115,850
Shareholder reporting expense		31,702
Professional fees		12,388
Custody and accounting expense		100,256
Trustee fees		6,989
Miscellaneous expense		3,735
Total expenses		1,131,418
Net waived and reimbursed fees		(3,874	)
Net expenses		1,127,544
Net investment income		2,120,458

REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(6,649,676	)
Foreign currency related transactions		(96,488	)
Net realized loss		(6,746,164	)
Net change in unrealized appreciation (depreciation) on:
Investments		16,139,155
Foreign currency related transactions		29,477
Net change in unrealized appreciation (depreciation)		16,168,632
Net realized and unrealized gain		9,422,468
Increase in net assets resulting from operations	$	11,542,926
____________________
* Foreign taxes withheld	$	240,647

MUTUAL FUNDS

	Forward foreign currency contracts		Purchased Options		Swaps
BlackRock Health Sciences Opportunities	$	849,332	$	—	$	—
Invesco Van Kampen Growth and Income		16,103		—		—
MFS Utilities		1,014,225		—		—
PIMCO		2,790,055		—		18,298,048

	Forward foreign currency contracts
Artio Foreign	$	140,845
BlackRock Health Sciences Opportunities		139,795
Invesco Van Kampen Growth and Income		111,480
MFS Utilities		547,585

	Buy		Sell
Artio Foreign*	$	4,663,818	$	27,355,568
BlackRock Health Sciences and Opportunities*		6,110,654		23,687,319
Invesco Van Kampen Growth and Income*		913,333		21,111,543
MFS Utilities*		6,312,051		89,751,787
PIMCO Total Return Bond**		226,787,773		624,359,041

				Buy				Sell
Artio Foreign				$	1,658,316			$	813,093
PIMCO Total Return Bond					709,190,231				1,069,856

	Purchases		Sales
Artio Foreign	$	153,207,151	$	172,803,582
BlackRock Health Sciences Opportunities		145,153,778		150,432,903
Clarion Global Real Estate		78,316,300		227,314,349
FMR^SM Diversified Mid Cap		994,104,054		1,127,579,569
Global Resources		213,296,195		264,751,922
Invesco Van Kampen Growth and Income		63,575,204		96,620,824
JPMorgan Emerging Markets Equity		46,712,053		131,948,843
Marsico Growth		159,817,806		249,190,229
MFS Total Return		54,558,889		100,226,454
MFS Utilities		146,867,122		168,279,983
Morgan Stanley Global Franchise		52,111,654		48,589,586
PIMCO Total Return Bond		92,515,012		438,590,517
Pioneer Mid Cap Value		302,981,849		345,653,293
T. Rowe Price Capital Appreciation		1,265,065,256		1,485,880,185
T. Rowe Price Equity Income		79,131,428		131,204,672
T. Rowe Price International Stock		49,875,743		49,612,324

				Purchases				Sales
MFS Total Return				$	51,134,649			$	46,021,085
PIMCO Total Return Bond					14,907,306,980				14,398,915,686

Portfolio				Fee
MFS Utilities				0.60% of the first $1 billion; 0.55% of the next $500 million; 0.50% of the next $1 billion; 0.47% of the next $1 billion; 0.45% of the next $1 billion; 0.44% of the next $1 billion; 0.43% thereafter
T. Rowe Price International Stock				0.54% of the first $4 billion; 0.53% thereafter

Portfolio				Fee
Artio Foreign				1.00% of the first $50 million; 0.95% of the next $200 million; 0.90% of the next $250 million; 0.85% of the amount in excess of $500 million.
BlackRock Health Sciences Opportunities				0.75% of the first $500 million; 0.70% of the amount in excess of $500 million
FMR^SM Diversified Mid Cap				0.65% of the first $800 million; 0.60% of the next $700 million; and 0.58% of the amount in excess of $1.5 billion
JPMorgan Emerging Markets Equity				1.25%
Liquid Assets⁽¹⁾				0.35% of the first $200 million; 0.30% of the next $300 million; 0.25% of the amount in excess of $500 million
Marsico Growth				0.85% of the first $250 million; 0.80% of the next $400 million; 0.75% of the next $450 million; 0.70% of the amount in excess of $1.1 billion
MFS Total Return				0.75% of the first $250 million; 0.70% of the next $400 million; 0.65% of the next $450 million; 0.60% of the amount in excess of $1.1 billion

Portfolio				Fee
Morgan Stanley Global Franchise				1.00% of the first $250 million; 0.90% of the next $250 million; and 0.75% of the amount in excess of $500 million
PIMCO Total Return Bond				0.75% of the first $100 million; 0.65% of the next $100 million; 0.55% of the amount in excess of $200 million
Pioneer Mid Cap Value				0.64%
Global Resources, T. Rowe Price Capital Appreciation, T. Rowe Price Equity Income and Invesco Van Kampen Growth and Income⁽²⁾				0.75% first $750 million; 0.70% of the next $1.25 billion; 0.65% of the next $1.5 billion; and 0.60% of the amount in excess of $3.5 billion

⁽¹⁾		ING Investments has contractually agreed to waive a portion of the advisory fee for the Portfolio. The waiver for Clarion Global Real Estate is limited to an annual 50% of the savings based on the Portfolio’s assets as of May 1, 2009.
⁽²⁾		DSL has contractually agreed to waive a portion of the advisory fee for the Portfolio. The waiver for T. Rowe Price Equity Income is based on the total aggregated savings in excess of $500,000 as a result of the sub-advisory fee schedule effective June 1, 2010 with respect to T. Rowe Price Equity Income and ING T. Rowe Price Growth Equity Portfolio, which is not in this book, and effective May 1, 2011 with respect to T. Rowe Price Equity Income, pro rata based on each Portfolio’s contribution to the amount saved.

Portfolio				Sub-Adviser
Artio Foreign				Artio Global Management, LLC
BlackRock Health Sciences Opportunities				BlackRock Advisors, LLC
Clarion Global Real Estate				CBRE Clarion Securities LLC
FMR^SM Diversified Mid Cap				Fidelity Management & Research Company
Global Resources				ING Investment Management Co. LLC*
Invesco Van Kampen Growth & Income				Invesco Advisers, Inc.
JPMorgan Emerging Markets Equity				J.P. Morgan Investment Management Inc.
Liquid Assets				ING Investment Management Co. LLC*
Marsico Growth				Marsico Capital Management, LLC
MFS Total Return				Massachusetts Financial Services Company
MFS Utilities				Massachusetts Financial Services Company
Morgan Stanley Global Franchise				Morgan Stanley Investment Management, Inc.
PIMCO Total Return Bond				Pacific Investment Management Company LLC
Pioneer Mid Cap Value				Pioneer Investment Management, Inc.
T. Rowe Price Capital Appreciation				T. Rowe Price Associates, Inc.
T. Rowe Price Equity Income				T. Rowe Price Associates, Inc.
T. Rowe Price International Stock				T. Rowe Price Associates, Inc.

Subsidiary/ING Portfolio	Portfolios
ING Life Insurance and Annuity Company	Artio Foreign	7.10	%
	BlackRock Health Sciences Opportunities	10.41	%
	Clarion Global Real Estate	28.49	%
	FMR^SM Diversified Mid Cap	23.78	%
	Global Resources	21.41	%
	Invesco Van Kampen Growth and Income	9.63	%
	JPMorgan Emerging Markets Equity	10.88	%
	Marsico Growth	5.51	%
	Marsico Growth	5.51	%
	MFS Total Return	15.37	%
	MFS Utilities	11.43	%
	Pioneer Mid Cap Value	15.57	%
	T. Rowe Price Capital Appreciation	22.78	%
	T. Rowe Price Equity Income	23.42	%
	T. Rowe Price International Stock	11.92	%

ING National Trust	FMR^SM Diversified Mid Cap	12.80	%
	Liquid Assets	17.32	%
	T. Rowe Price Capital Appreciation	8.34	%
	T. Rowe Price Equity Income	10.19	%

ING Solution 2035 Portfolio	Marsico Growth	5.51	%
ING USA Annuity and Life Insurance Company	Artio Foreign	83.75	%
	BlackRock Health Sciences Opportunities	84.16	%
	Clarion Global Real Estate	47.87	%
	FMR^SM Diversified Mid Cap	59.46	%
	Global Resources	66.62	%
	Invesco Van Kampen Growth and Income	81.35	%
	JPMorgan Emerging Markets Equity	67.22	%
	Liquid Assets	69.03	%
	Marsico Growth	75.00	%
	MFS Total Return	80.58	%
	MFS Utilities	78.17	%
	Morgan Stanley Global Franchise	94.66	%
	PIMCO Total Return Bond	84.49	%
	Pioneer Mid Cap Value	70.20	%
	T. Rowe Price Capital Appreciation	61.22	%
	T. Rowe Price Equity Income	46.72	%
	T. Rowe Price International Stock	62.75	%
ReliaStar Life Insurance Company	T. Rowe Price International Stock	13.45	%

Portfolio	Accrued Investment Management Fees		Accrued Administrative Fees		Accrued Shareholder Service and Distribution Fees		Total
Artio Foreign	$	351,189	$	—	$	92,436	$	443,625
BlackRock Health Sciences Opportunities		132,182		—		42,834		175,016
Clarion Global Real Estate		171,056		21,411		38,994		231,461
FMR^SM Diversified Mid Cap		561,387		—		227,065		788,452
Global Resources		391,081		—		178,837		569,918
Invesco Van Kampen Growth and Income		282,325		—		115,824		398,149
JPMorgan Emerging Markets Equity		810,205		—		143,440		953,645
Liquid Assets		146,517		—		265,288		411,805
Marsico Growth		435,546		—		107,114		542,660
MFS Total Return		495,595		—		159,890		655,485
MFS Utilities		275,723		45,953		120,853		442,529
Morgan Stanley Global Franchise		335,657		—		99,396		435,053
PIMCO Total Return Bond		1,586,774		—		685,749		2,272,523
Pioneer Mid Cap Value		325,635		—		94,516		420,151
T. Rowe Price Capital Appreciation		2,112,969		—		777,576		2,890,545
T. Rowe Price Equity Income		737,030		—		235,642		972,672
T. Rowe Price International Stock		97,246		18,008		36,219		151,473

Portfolio		Approximate Average Daily Balance For Days Utilized
Clarion Global Real Estate	8	$	16,703,125	1.30	%
Global Resources	7		3,034,286	1.30	%
JPMorgan Emerging Markets Equity	24		18,911,875	1.31	%
Marsico Growth	2		2,185,000	1.31	%
MFS Total Return	1		1,195,000	1.16	%
MFS Utilities	7		1,478,571	1.31	%
PIMCO Total Return Bond	9		10,449,444	1.26	%
T. Rowe Price Capital Appreciation	1		3,730,000	1.25	%

		Cost
Balance at 12/31/11	11,889	$	94,042
Options Purchased	—		—
Options Terminated in Closing Sell Transactions	—		—
Options Exercised	—		—
Options Expired	—		—
Balance at 6/30/12	11,889	$	94,042

			Cost
Balance at 12/31/11	50,300,000		$	198,496
Options Purchased	—			—
Options Terminated in Closing Sell Transactions	(50,300,000	)	$	(198,496	)
Options Exercised	—			—
Options Expired	—			—
Balance at 6/30/12	—		$	—

			Premiums Received
Balance at 12/31/11	1,544,700,000		$	12,522,297
Options Written	560,400,000			3,563,587
Options Terminated in Closing Purchase Transactions	(350,700,000	)		(1,375,290	)
Options Exercised	—			—
Options Expired	(359,500,000	)		(3,497,080	)
Balance at 6/30/12	1,394,900,000		$	11,213,513

		Premiums Received
Balance at 12/31/11	32,900,000	$	320,570
Options Written	—		—
Options Terminated in Closing Purchase Transactions	—		—
Options Exercised	—		—
Options Expired	—		—
Balance at 6/30/12	32,900,000	$	320,570

			Premiums Received
Balance at 12/31/11	83,166		$	11,259,506
Options Written	123,756			18,437,705
Options Terminated in Closing Purchase Transactions	(16,726	)		(1,567,029	)
Options Exercised	(29,806	)		(5,269,041	)
Options Expired	(35,587	)		(4,236,551	)
Balance at 6/30/12	124,803		$	18,624,589

Year or	Shares sold		Shares issued in merger		Reinvestment of distributions		Shares redeemed			Net increase (decrease) in shares outstanding			Shares sold		Proceeds from shares issued in merger		Reinvestment of distributions		Shares redeemed			Net increase (decrease)
period ended	#		#		#		#			#			($)		($)		($)		($)			($)
Artio Foreign
Class ADV
6-30-12		23,064		—		—		(121,466	)		(98,402	)		216,565		—		—		(1,139,665	)		(923,100	)
12-31-11		81,302		—		2,775		(192,393	)		(108,316	)		846,047		—		31,362		(2,155,815	)		(1,278,406	)
Class I
6-30-12		220,498		—		—		(569,060	)		(348,562	)		2,128,282		—		—		(5,366,923	)		(3,238,641	)
12-31-11		1,410,941		—		74,091		(25,335,315	)		(23,850,283	)		16,141,076		—		846,861		(298,839,203	)		(281,851,266	)
Class S
6-30-12		1,616,255		—		—		(4,863,410	)		(3,247,155	)		14,762,206		—		—		(46,350,184	)		(31,587,978	)
12-31-11		1,344,949		—		895,685		(11,156,105	)		(8,915,471	)		13,502,463		—		10,139,159		(120,955,941	)		(97,314,319	)
Class S2
6-30-12		102,194		—		—		(209,827	)		(107,633	)		935,540		—		—		(1,980,357	)		(1,044,817	)
12-31-11		79,130		—		62,439		(735,389	)		(593,820	)		793,249		—		703,066		(7,906,818	)		(6,410,503	)
BlackRock Health Sciences Opportunities
Class ADV
6-30-12		2,061		—		—		(743	)		1,318			24,471		—		—		(8,861	)		15,610
12-31-11		8,090		—		8		(3,665	)		4,433			85,577		—		93		(38,864	)		46,806
Class I
6-30-12		267,109		—		—		(158,123	)		108,986			3,253,549		—		—		(1,961,768	)		1,291,781
12-31-11		438,829		—		3,739		(485,024	)		(42,456	)		5,296,176		—		45,950		(5,577,065	)		(234,939	)
Class S
6-30-12		875,370		—		—		(1,490,708	)		(615,338	)		10,638,172		—		—		(18,228,143	)		(7,589,971	)
12-31-11		4,860,533		—		89,280		(4,751,208	)		198,605			57,437,158		—		1,090,103		(53,813,975	)		4,713,286
Class S2
6-30-12		—		—		—		—			—			—		—		—		—			—
12-31-11		—		—		—		(82	)		(82	)		—		—		—		(980	)		(980	)
Clarion Global Real Estate
Class ADV
6-30-12		183,612		—		—		(134,542	)		49,070			1,753,752		—		—		(1,312,112	)		441,640
12-31-11		625,880		—		33,355		(45,782	)		613,453			6,016,513		—		329,550		(437,202	)		5,908,861
Class I
6-30-12		1,191,664		—		—		(15,597,534	)		(14,405,870	)		11,652,895		—		—		(157,177,693	)		(145,524,798	)
12-31-11		5,838,546		—		799,178		(5,978,530	)		659,194			56,652,604		—		8,007,773		(59,642,681	)		5,017,696
Class S
6-30-12		442,790		—		—		(1,232,729	)		(789,939	)		4,262,494		—		—		(12,017,720	)		(7,755,226	)
12-31-11		742,992		—		603,503		(3,312,929	)		(1,966,434	)		7,269,039		—		6,022,964		(31,639,566	)		(18,347,563	)
Class S2
6-30-12		674		—		—		(18,355	)		(17,681	)		6,107		—		—		(179,681	)		(173,574	)
12-31-11		488		—		6,736		(36,471	)		(29,247	)		4,874		—		67,565		(348,068	)		(275,629	)
FMR^SM Diversified Mid Cap
Class ADV
6-30-12		336,988		—		—		(545,905	)		(208,917	)		4,854,379		—		—		(7,916,763	)		(3,062,384	)
12-31-11		2,034,498		—		6,083		(585,947	)		1,454,634			30,194,716		—		91,000		(8,624,372	)		21,661,344
Class I
6-30-12		302,593		—		—		(352,234	)		(49,641	)		4,497,307		—		—		(5,210,162	)		(712,855	)
12-31-11		454,274		—		11,253		(1,027,307	)		(561,780	)		6,778,313		—		171,393		(15,268,939	)		(8,319,233	)
Class S
6-30-12		1,470,201		—		—		(5,881,565	)		(4,411,364	)		21,610,290		—		—		(85,729,851	)		(64,119,561	)
12-31-11		3,678,718		—		138,991		(15,818,620	)		(12,000,911	)		55,076,311		—		2,105,717		(234,811,106	)		(177,629,078	)
Class S2
6-30-12		165,426		—		—		(357,889	)		(192,463	)		2,413,504		—		—		(5,175,246	)		(2,761,742	)
12-31-11		525,329		—		9,309		(608,513	)		(73,875	)		7,812,433		—		140,382		(8,926,664	)		(973,849	)