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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

Quarterly Schedule of Portfolio Holdings of Registered

Management Investment Company

 

Investment Company Act file number:   811-21938

 

ING Risk Managed Natural Resources Fund

(Exact name of registrant as specified in charter)

 

7337 East Doubletree Ranch Rd., Scottsdale, AZ 85258

(Address of principal executive offices)          (Zip code)

 

 

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

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: 1-800-992-0180

 

Date of fiscal year end:

February 28

Date of reporting period:

May 31, 2010

 



 

Item 1. Schedule of Investments

 

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

 

ING Risk Managed Natural Resources Fund

 

The schedules are not audited.

 



 

 

 

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

 

as of May 31, 2010 (Unaudited)

 

Shares

 

 

 

 

 

Value

 

COMMON STOCK: 93.5%

 

 

 

 

 

 

 

Energy: 74.4%

 

 

 

34,990

 

@

 

Alpha Natural Resources, Inc.

 

$

1,342,566

 

105,750

 

 

 

Anadarko Petroleum Corp.

 

5,533,898

 

103,591

 

 

 

Apache Corp.

 

9,275,538

 

77,388

 

 

 

Arch Coal, Inc.

 

1,667,711

 

283,519

 

@

 

Australian Worldwide Exploration Ltd.

 

499,137

 

101,471

 

 

 

Baker Hughes, Inc.

 

3,870,104

 

22,800

 

@

 

Bill Barrett Corp.

 

742,368

 

36,350

 

 

 

Cabot Oil & Gas Corp.

 

1,260,982

 

75,117

 

@

 

Cal Dive International, Inc.

 

414,646

 

79,324

 

@

 

Cameron International Corp.

 

2,871,529

 

55,491

 

 

 

Canadian Natural Resources Ltd.

 

3,854,405

 

137,200

 

 

 

Chesapeake Energy Corp.

 

3,065,048

 

384,132

 

S

 

Chevron Corp.

 

28,375,831

 

1,247,813

 

 

 

China Petroleum & Chemical Corp.

 

986,173

 

33,900

 

@

 

Complete Production Services, Inc.

 

441,039

 

301,336

 

 

 

ConocoPhillips

 

15,627,285

 

46,700

 

 

 

Consol Energy, Inc.

 

1,703,616

 

9,000

 

@

 

Contango Oil & Gas Co.

 

452,520

 

32,621

 

@

 

Dana Petroleum PLC

 

492,947

 

209,700

 

@

 

Denbury Resources, Inc.

 

3,449,565

 

120,155

 

 

 

Devon Energy Corp.

 

7,671,897

 

18,200

 

 

 

Diamond Offshore Drilling

 

1,148,420

 

176,250

 

 

 

El Paso Corp.

 

1,998,675

 

95,990

 

 

 

EnCana Corp.

 

2,961,292

 

32,915

 

 

 

Ensco International PLC ADR

 

1,231,021

 

49,050

 

 

 

EOG Resources, Inc.

 

5,142,402

 

620,099

 

 

 

ExxonMobil Corp.

 

37,491,186

 

35,000

 

@

 

FMC Technologies, Inc.

 

2,035,250

 

220,321

 

 

 

Halliburton Co.

 

5,470,570

 

17,600

 

 

 

Helmerich & Payne, Inc.

 

663,168

 

102,000

 

 

 

Hess Corp.

 

5,426,400

 

149

 

 

 

Inpex Holdings, Inc.

 

925,656

 

21,116

 

@

 

Lukoil-Spon ADR

 

1,010,401

 

132,200

 

 

 

Marathon Oil Corp.

 

4,110,098

 

43,850

 

 

 

Massey Energy Co.

 

1,452,312

 

22,200

 

@

 

McMoRan Exploration Co.

 

238,650

 

74,000

 

 

 

Murphy Oil Corp.

 

3,950,120

 

82,900

 

@

 

Nabors Industries Ltd.

 

1,577,587

 

153,025

 

 

 

National Oilwell Varco, Inc.

 

5,834,843

 

106,035

 

 

 

Nexen, Inc.

 

2,312,623

 

37,650

 

 

 

Noble Energy, Inc.

 

2,239,799

 

56,362

 

 

 

OAO Gazprom ADR

 

1,158,239

 

112,850

 

 

 

Occidental Petroleum Corp.

 

9,311,254

 

97,972

 

 

 

Peabody Energy Corp.

 

3,816,989

 

28,000

 

 

 

Penn Virginia Corp.

 

612,920

 

41,600

 

 

 

Pioneer Natural Resources Co.

 

2,649,920

 

39,450

 

 

 

Range Resources Corp.

 

1,773,278

 

49,850

 

@

 

Rowan Cos., Inc.

 

1,234,286

 

30,427

 

 

 

Royal Dutch Shell PLC ADR - Class A

 

1,594,375

 

285,928

 

 

 

Schlumberger Ltd.

 

16,054,850

 

117,492

 

 

 

Smith International, Inc.

 

4,413,000

 

70,300

 

@

 

Southwestern Energy Co.

 

2,643,983

 

138,079

 

 

 

Spectra Energy Corp.

 

2,762,961

 

153,170

 

 

 

Suncor Energy, Inc.

 

4,665,558

 

45,000

 

 

 

Sunoco, Inc.

 

1,344,150

 

27,700

 

 

 

Teekay Shipping Corp.

 

698,871

 

71,400

 

 

 

Tesoro Corp.

 

835,380

 

537,400

 

 

 

Thai Oil PCL

 

716,257

 

15,100

 

 

 

Total SA ADR

 

704,113

 

6,779

 

@

 

Transocean Ltd.

 

384,844

 

125,300

 

 

 

Valero Energy Corp.

 

2,340,604

 

130,850

 

 

 

Williams Cos., Inc.

 

2,584,288

 

157,234

 

 

 

XTO Energy, Inc.

 

6,720,181

 

 

 

 

 

 

 

249,839,579

 

 

 

 

 

Materials: 19.1%

 

 

 

26,250

 

 

 

Air Products & Chemicals, Inc.

 

1,812,825

 

12,500

 

 

 

Airgas, Inc.

 

780,875

 

17,650

 

 

 

AK Steel Holding Corp.

 

264,044

 

134,900

 

 

 

Alcoa, Inc.

 

1,570,236

 

15,100

 

 

 

Allegheny Technologies, Inc.

 

825,668

 

54,638

 

@

 

Anglo American PLC ADR

 

1,038,668

 

14,150

 

 

 

Ball Corp.

 

696,888

 

78,365

 

 

 

Barrick Gold Corp.

 

3,297,599

 

17,000

 

 

 

Bemis Co.

 

487,560

 

84,600

 

@

 

Centerra Gold, Inc.

 

1,019,316

 

7,400

 

 

 

CF Industries Holdings, Inc.

 

507,566

 

 



 

 

 

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

 

as of May 31, 2010 (Unaudited) (continued)

 

Shares

 

 

 

 

 

Value

 

 

 

 

 

Materials (continued)

 

 

 

18,000

 

 

 

Cliffs Natural Resources, Inc.

 

$

1,005,480

 

45,800

 

@

 

Coeur d’Alene Mines Corp.

 

691,580

 

21,500

 

@

 

Domtar Corp.

 

1,315,800

 

154,450

 

 

 

Dow Chemical Co.

 

4,156,250

 

11,150

 

 

 

Eastman Chemical Co.

 

673,349

 

33,050

 

 

 

Ecolab, Inc.

 

1,560,952

 

122,050

 

 

 

EI Du Pont de Nemours & Co.

 

4,414,549

 

11,000

 

 

 

FMC Corp.

 

666,050

 

76,390

 

 

 

Freeport-McMoRan Copper & Gold, Inc.

 

5,351,120

 

43,664

 

 

 

GoldCorp, Inc.

 

1,881,482

 

12,300

 

 

 

International Flavors & Fragrances, Inc.

 

547,350

 

139,180

 

 

 

International Paper Co.

 

3,233,151

 

12,300

 

 

 

Kaiser Aluminum Corp.

 

460,389

 

107,057

 

@

 

Kinross Gold Corp.

 

1,842,451

 

169,800

 

@

 

Lundin Mining Corp.

 

632,474

 

26,100

 

 

 

MeadWestvaco Corp.

 

623,790

 

73,700

 

 

 

Monsanto Co.

 

3,749,119

 

53,250

 

 

 

Newmont Mining Corp.

 

2,865,915

 

43,450

 

 

 

Nucor Corp.

 

1,870,523

 

24,300

 

@

 

Owens-Illinois, Inc.

 

737,019

 

20,300

 

@

 

Pactiv Corp.

 

580,174

 

23,250

 

 

 

PPG Industries, Inc.

 

1,489,628

 

41,450

 

 

 

Praxair, Inc.

 

3,216,520

 

17,284

 

 

 

Rio Tinto PLC ADR

 

796,792

 

24,700

 

 

 

Sealed Air Corp.

 

514,748

 

17,500

 

 

 

Sigma-Aldrich Corp.

 

932,400

 

48,282

 

@

 

Teck Cominco Ltd. - Class B

 

1,642,554

 

16,550

 

@

 

Titanium Metals Corp.

 

292,439

 

40,077

 

 

 

United States Steel Corp.

 

1,892,035

 

18,600

 

 

 

Vulcan Materials Co.

 

938,928

 

30,200

 

 

 

Weyerhaeuser Co.

 

1,285,916

 

 

 

 

 

 

 

64,162,172

 

 

 

 

 

Total Common Stock

 

 

 

 

 

 

 

(Cost $282,726,672)

 

314,001,751

 

 

 

 

 

 

 

 

 

Number of

 

 

 

 

 

 

 

Contracts

 

 

 

 

 

Value

 

POSITIONS IN PURCHASED OPTIONS: 5.8%

 

 

 

 

 

 

 

5.8%

 

 

 

71,914

 

 

 

Put Option OTC - Goldman Sachs & Co.

 

 

 

 

 

 

 

Basic Industries Select Sector Index

 

 

 

 

 

 

 

Strike 297.49, exp 08/20/10

 

$

959,326

 

70,446

 

 

 

Put Option OTC - Citigroup

 

 

 

 

 

 

 

Basic Industries Select Sector Index

 

 

 

 

 

 

 

Strike 327.43, exp 06/18/10

 

1,066,327

 

68,188

 

 

 

Put Option OTC - Citigroup

 

 

 

 

 

 

 

Basic Industries Select Sector Index

 

 

 

 

 

 

 

Strike 336.46, exp 07/16/10

 

1,768,074

 

169,857

 

 

 

Put Option OTC - Goldman Sachs & Co.

 

 

 

 

 

 

 

Energy Select Sector Index

 

 

 

 

 

 

 

Strike 503.76, exp 08/20/10

 

3,995,342

 

168,933

 

 

 

Put Option OTC - Citigroup

 

 

 

 

 

 

 

Energy Select Sector Index

 

 

 

 

 

 

 

Strike 546.21, exp 06/18/10

 

4,304,311

 

162,537

 

 

 

Put Option OTC - Citigroup

 

 

 

 

 

 

 

Energy Select Sector Index

 

 

 

 

 

 

 

Strike 564.73, exp 07/16/10

 

7,127,524

 

 

 

 

 

Total Purchased Options

 

 

 

 

 

 

 

(Cost $14,235,194)

 

19,220,904

 

 

 

 

 

Total Long-Term Investments

 

 

 

 

 

 

 

(Cost $296,961,866)

 

333,222,655

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

Value

 

SHORT-TERM INVESTMENTS: 0.6%

 

 

 

 

 

 

 

Affiliated Mutual Fund: 0.6%

 

 

 

2,023,000

 

 

 

ING Institutional Prime Money Market Fund - Class I

 

$

2,023,000

 

 

 

 

 

Total Short-Term Investments

 

 

 

 

 

 

 

(Cost $2,023,000)

 

2,023,000

 

 

 

 

 

Total Investments in Securities

 

 

 

 

 

 

 

(Cost $298,984,866)*

99.9%

 

$

335,245,655

 

 

 

 

 

Other Assets and Liabilities - Net

0.1

 

502,941

 

 

 

 

 

Net Assets

100.0%

 

$

335,748,596

 

 

 

 

 

 

 

 

 

 

 

 

@

 

Non-income producing security

 

 

 

 

 

ADR

 

American Depositary Receipt

 

 

 

 

 

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 $307,261,818.

 

 

 

 

 

 

 

Net unrealized appreciation consists of:

 

 

 

 

 

 

 

Gross Unrealized Appreciation

 

$

50,490,355

 

 

 

 

 

Gross Unrealized Depreciation

 

(22,506,518)

 

 

 

 

 

Net Unrealized Appreciation

 

$

27,983,837

 

 



 

 

 

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

 

as of May 31, 2010 (Unaudited) (continued)

 

Fair Value Measurements

 

The following is a summary of the fair valuations according to the inputs used as of May 31, 2010 in valuing the Fund’s assets and liabilities:

 

 

 

Quoted Prices

 

Significant Other

 

Significant

 

 

 

 

 

in Active Markets

 

Observable

 

Unobservable

 

Fair Value

 

 

 

for Identical Investments

 

Inputs#

 

Inputs

 

at

 

 

 

(Level 1)

 

(Level 2)

 

(Level 3)

 

5/31/2010

 

Asset Table

 

 

 

 

 

 

 

 

 

Investments, at value

 

 

 

 

 

 

 

 

 

Common Stock

 

 

 

 

 

 

 

 

 

Energy

 

$

246,219,409

 

$

3,620,170

 

$

 

$

249,839,579

 

Materials

 

63,123,504

 

1,038,668

 

 

64,162,172

 

Total Common Stock

 

309,342,913

 

4,658,838

 

 

314,001,751

 

Positions In Purchased Options

 

 

 

19,220,904

 

19,220,904

 

Short-Term Investments

 

2,023,000

 

 

 

2,023,000

 

Total Investments, at value

 

$

311,365,913

 

$

4,658,838

 

$

19,220,904

 

$

335,245,655

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended May 31, 2010:

 

 

 

Beginning
Balance

 

 

 

 

 

Accrued
Discounts/

 

Total
Realized

 

Total Unrealized
Appreciation/

 

Transfers
Into

 

Transfers
Out of

 

Ending
Balance

 

 

2/28/2010

 

Purchases

 

Sales

 

(Premiums)

 

Gain/(Loss)

 

(Depreciation)

 

Level 3

 

Level 3

 

5/31/2010

Asset Table

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments, at value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Positions In Purchased Options

 

$

 10,085,798

 

$

14,235,195

 

$

(2,657,664)

 

$

 

$

(9,673,660)

 

$

7,231,235

 

$

 

$

 

$

19,220,904

Total Investments, at value

 

$

 10,085,798

 

$

14,235,195

 

$

(2,657,664)

 

$

 

$

(9,673,660)

 

$

7,231,235

 

$

 

$

 

$

19,220,904

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities Table

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Financial Instruments+:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Written options

 

(2,886,756)

 

2,283,954

 

 

 

4,172,598

 

(3,569,796)

 

 

 

Total Liabilities

 

$

 (2,886,756)

 

$

2,283,954

 

$

 

$

 

$

4,172,598

 

$

(3,569,796)

 

$

 

$

 

$

 

As of May 31, 2010, total change in unrealized gain (loss) on Level 3 securities still held at period end and included in the change in net assets was $4,985,709.

 

+ Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts and futures are reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Fund. Swaps and written options are reported at their market value at measurement date.

 

Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any security or derivative instrument where a change in the pricing level occurred from the beginning to the end of the period.

 

# 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 Portfolio 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 Portfolio’s investments are categorized as Level 2 investments.

 



 

 

 

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

 

as of May 31, 2010 (Unaudited) (continued)

 

On March 19, 2008, the FASB issued Statement of Financial Accounting Standards No. 161 (“SFAS No. 161”), “Disclosure about Derivative Instruments and Hedging Activities.” This new accounting statement requires enhanced disclosures about an entity’s derivative and hedging activities. Entities are required to provide enhanced disclosures about (a) how and why an entity invests in derivatives, (b) how derivatives are accounted for under SFAS No. 133, and ( c ) how derivatives affect an entity’s financial position, financial performance, and cash flows. SFAS No. 161 also requires enhanced disclosures regarding credit-risk related contingent features of derivative instruments.

 

The following is a summary of the fair valuations of the Fund’s derivative instruments categorized by risk exposure as of May 31, 2010:

 

 

 

Derivatives Fair Value*

 

Equity contracts

 

$

19,220,904

 

Total

 

$

19,220,904

 

 

* Forward foreign currency contracts and futures are reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Fund. Swaps, purchased options and written options are reported at their market value at measurement date.

 



 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant):   ING Risk Managed Natural Resources Fund

 

By

/s/ Shaun P. Mathews

 

 

Shaun P. Mathews

 

 

President and Chief Executive Officer

 

 

 

 

Date:

July 21, 2010

 

 

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:

July 21, 2010

 

 

 

 

By

/s/ Todd Modic

 

 

Todd Modic

 

 

Senior Vice President and Chief Financial Officer

 

 

 

 

Date:

July 21, 2010