ING INDEX LINKED FUND II

Transcription

1 ING INDEX LINKED FUND II Société d'investissement à Capital Variable R.C.S. Luxembourg N B LUXEMBOURG

2 For additional information please contact: ING Investment Management P.O. Box LL The Hague The Netherlands Tel or ING INVESTMENT MANAGEMENT

3 Warning No subscription can be received on the basis of the financial statements alone. Subscriptions are only valid if made on the basis of the current prospectus, accompanied by the latest annual report and the most recent semi-annual report, if published thereafter. The prospectus, the statutes, the annual and semi-annual reports are made available to the shareholders at the custodian bank and at the Company's registered office as well as at the financial servicing institutions identified in this report. They will also be sent free of charge to anyone who so requests. The information given in this report is for reference purposes only. It is not a guide to future results. ING INVESTMENT MANAGEMENT

4 Table of contents Page Organisation 2 Management's report 4 Report of the approved statutory auditor 7 Combined statements Combined statement of net assets as at 31/03/ Combined statement of operations and changes in net assets for the year ended 31/03/ ING Index Linked Fund II - Continuous Click Fund World (NOK) Statistics 10 Financial statements 11 Statement of net assets as at 31/03/ Statement of operations and changes in net assets for the year ended 31/03/ Securities portfolio as at 31/03/ Financial derivative instruments as at 31/03/ ING Index Linked Fund II - ING Czech Continuous Click Fund Euro Statistics 13 Financial statements 14 Statement of net assets as at 31/03/ Statement of operations and changes in net assets for the year ended 31/03/ Securities portfolio as at 31/03/ Financial derivative instruments as at 31/03/ ING Index Linked Fund II - ING Polish Continuous Click Fund Euro Statistics 16 Financial statements 17 Statement of net assets as at 31/03/ Statement of operations and changes in net assets for the year ended 31/03/ Securities portfolio as at 31/03/ Financial derivative instruments as at 31/03/ ING Index Linked Fund II - Multi Protector Statistics 19 Financial statements 20 Statement of operations and changes in net assets for the period from 01/04/2009 to 08/07/ Notes to the financial statements 21 ING INVESTMENT MANAGEMENT 1

5 Organisation Registered Office 52, route d'esch, L-1470 Luxembourg Board of Directors Chairman Directors Michel van Elk, Director and Head of Marketing and Sales, ING Investment Management (Europe) B.V. Jonathan Atack, Chief Financial and Risk Officer, ING Investment Management (Europe) B.V. David Eckert, Chief Operating Officer, ING Investment Management (Europe) B.V. Maurice Hannon (since 09/07/2009), Head of Legal & Domiciliation, ING Investment Management Luxembourg S.A. Jan Straatman (since 09/07/2009), Chief Investment Officer, ING Investment Management (Europe) B.V. Maaike van Meer, Head of Legal Services, ING Investment Management (Europe) B.V. Bruno Springael (until 08/07/2009), Managing Director, ING Investment Management Belgium S.A. Management Company Investment Managers ING Investment Management Luxembourg S.A., 52, route d Esch, Luxembourg ING Investment Management Luxembourg S.A., 52, route d Esch, Luxembourg delegated to ING Investment Management Belgium S.A., 24, avenue Marnix/Marnixlaan, Brussels ING Asset Management B.V., 15, Prinses Beatrixlaan, The Hague ING Investment Management (C.R.), Bozděchova 2/344, Praha 2 ING INVESTMENT MANAGEMENT

6 Organisation Custodian Central Administration Registrar and Transfer Agent ING Luxembourg S.A., 52, route d Esch, Luxembourg ING Investment Management Luxembourg S.A., 52, route d Esch, Luxembourg ING Investment Management Luxembourg S.A., 52, route d Esch, Luxembourg delegated to ING Luxembourg S.A., 52, route d Esch, Luxembourg Approved statutory auditor Ernst & Young S.A., 7, Parc d Activité Syrdall, Munsbach Financial Servicing Institutions Czech Republic France Luxembourg The Netherlands ING Bank N.V., Organizačni složka, Nádražni 344/25, Praha CACEIS Bank, 1/3, Place Valhubert, Paris ING Luxembourg S.A., 52, route d Esch, Luxembourg ING Bank N.V., Amstelveenseweg 500, Amsterdam ING INVESTMENT MANAGEMENT 3

7 Management s report Economic context During the second quarter of 2009, a series of US macroeconomic indicators, particularly sentiment indicators, came in above expectations following a severe contraction during the previous two quarters. In the Eurozone, the economy also seemed to have passed its trough. The European Commission indicator for economic sentiment rose for the third consecutive month in June The IFO-index, which measures producer confidence in Germany, touched 85.9 points in June 2009 the highest level in seven months. Economic indicators and quarterly corporate results were full of increasingly positive surprises during the third quarter of 2009, a phenomenon that spread across all regions. The US economy has grown around 3% during the third quarter thanks to the resilience of the consumption which benefited from the government s incentives like the "cash for clunkers" program. In the Eurozone, exports were among the main contributors to growth in the third quarter. In the course of the fourth quarter of 2009 it became clear that the economic recovery was not only there earlier than anticipated but was also broad-based across all regions thanks to substantial support from temporary factors such as fiscal and monetary stimulus and inventory restocking. In the US, the fourth quarter of 2009 s economic growth was approximately 4% (annualised), which constitutes the highest growth rate in four years. In the Eurozone, the fourth quarter of 2009 s GDP growth was also above trend (between 2 and 3% annualised), according to the most recent Purchasing Managers Index results for the industrial and services sectors, amongst other things. The Eurozone s most important leading indicator climbed from 53.7 to 54.2 points in November, with Germany taking the lead with 54.9 points. During the first quarter of 2010, the global economy continued to recover, even though the US housing market was still vulnerable and consumption remained weak, for instance in the Eurozone. Recent US job market data were better than expected, while confidence data improved in the service sectors. These sectors, crucial to the labour market, had clearly lagged behind the industrial sectors until recently. In addition, better-than-expected corporate results showed revenue growth for the first time this cycle (instead of profit growth triggered by cost savings only). Monetary policy In response to growing optimism regarding the US economy, markets started to discount a rate increase by the Federal Reserve. However, this was premature as both unemployment and the number of bankruptcies were still rising. The US Central Bank ("the Fed") thus maintained its monetary policy (conventional and Quantitative Easing) unchanged throughout the second quarter of For its part, the European Central Bank (the "ECB") lowered its official refi rate to 1% (-25 basis points) in early May In addition, as of July 2009, the ECB decided to buy 60 billion worth of covered bonds. The ECB also offered banks liquidity with a longer duration than usual (12 months), which was eagerly seized upon. During the third quarter of 2009, Central banks from Western economies maintained their very accommodative monetary policies in view of the major bottlenecks facing the global economy (huge overcapacity, vulnerable banking sector and high debt levels) and falling inflation. The emerging markets central banks have followed the accommodative policy pursued by the Fed, the ECB and the central banks of the UK and Japan, which pushed the average level of real interest rates in the emerging markets at around 1%. As expected, the central banks of the US, Europe and Japan maintained their policy rates at extremely low levels during the fourth quarter of The monetary policymakers repeatedly announced that they will maintain a loose monetary policy for a considerable time. All in all, it will probably take some time for official interest rates to return to normal levels. As far as massive liquidity support is concerned, the message from the Fed and the ECB was clear: in 2010, come crisis measures will be gradually reversed and maturing lending operations no longer renewed. This will bring an end to the period of unlimited access for banks to liquidity supply, which has been crucial in getting the financial markets up and running again and in boosting the recovery of the credit markets. During the first quarter of 2010, Central banks from developed countries maintained their loose monetary policy. However, at the same time they didn t renew all emergency measures taken during the crisis. The Fed terminated its programme of bond purchases (i.e. quantitative easing) at the end of March However, the Fed has indicated that it may consider a new programme if circumstances require. The ECB announced for its part that the 6 months main refinancing operations of end of March 2010 would be the last of its kind. 4 ING INVESTMENT MANAGEMENT

8 Management s report Equity markets During the second quarter of 2009, equities continued to rally, boosted in part by better-than-expected macro data and corporate results, along with huge cash mountains amongst institutional investors and signs of an economic recovery in China. During the second half of June 2009, equity markets consolidated, due to profit-taking and investors switch back into safer havens. The equity markets enjoyed yet another very strong third quarter as investors were very optimistic about the recovery potential of financial markets and economies. Although the fourth quarter of 2009 got off to a disappointing start on the equity markets, the year eventually ended in style. Following seven months of rising stock prices, the global equity markets closed the month of October in the red (-3% in euro terms). However, these losses were wiped out in November (+2%) after which the markets even managed to squeeze out a year-end rally in December (+6%). The global equity markets enjoyed a strong first quarter, gaining 9.5% in euro terms. The year 2010 started well, but investors risk appetite waned in the middle of January This period lasted about a month. In the middle of February 2010, equities resumed their upward trend. The greater part of the quarterly gains were realised in March Currency developments had a major impact on returns. Measured in euro terms, US and Japanese equities showed a much higher return (11.8% and 14.7% respectively) than in local currencies (5.4% and 8.7% respectively). The euro weakened strongly versus the US dollar and the Japanese yen this quarter. Fixed Income Markets In light of the successful measures taken by central banks and governments in the US and Europe, fixed income markets started to discount a return to inflation which triggered a rise in government bond yields during the second quarter of At the same time risk premiums on corporate credits declined strongly on the back of huge flows of new issues coming to the market. Emerging market debt ("EMD") also recovered during the second quarter of 2009 as fears for the systemic risk of a "deglobalization" almost disappeared thanks to policymakers support. During the third quarter, 10-year government bond yields moved in a narrow range, while the spreads on investment-grade corporate credits, hard- and local EMD continued to narrow. In the Eurozone (Germany) and Japan, 10-year bond yields moved within a narrow range during the last quarter of the year 2009 while US bond yields clearly went up (from 3.4% to 3.8%) in December In the previous quarters we saw spreads narrowing from their peaks, and in the fourth quarter 2009 the risk premium (the return in excess of the government bond yield) narrowed even slightly further from 197 basis points on October 1, 2009 to 140 basis points on December 31, The spreads on hard-currency EMD narrowed further from 338 basis points on September 30, 2009 to 288 basis points on December 31, Government bond yields were under pressure during the first quarter of 2010, squeezed by persistently low inflation and by signs that the central banks will stick to their very loose monetary policy for an extended period of time. The US, the core countries of the Eurozone and Japan had no problems financing their huge deficits, though, helped by huge global savings surpluses on the one hand, and persisting overcapacity in the manufacturing industry and on the labour market on the other hand. The situation was quite different for Greece, however. This Eurozone member faced a huge increase in risk premiums (as compared to Germany) due to the dramatic state of its government finances. The investment grade corporate credit markets got off to an excellent start of this year, but relapsed in mid-january 2010 and during the larger part of February 2010 due to the problems financially weaker countries such as Greece had on the government bond markets. Investment grade credits recovered strongly in March 2010, which was also reflected in the number of new issues brought to the market. Both in the second and third week of March 2010, this involved some 10 billion respectively, amongst others issued by Spanish telecom and utility companies. EMD Hard Currency maintained its positive trend. The risk premiums continued to narrow from 320 basis points at December 31, 2009 to 255 basis points as of March 31, The ongoing strong recovery in the emerging markets and the relatively attractive valuations of local-currency EMD continued to support these bonds. Not just the US dollar, but also a number of emerging markets currencies managed to strengthen versus the weaker euro. This partly explained the favourable quarterly performance of local-currency EMD for Europe-based investors. ING INVESTMENT MANAGEMENT 5

9 Management s report Outlook The global economy s accelerated growth phase has nearly come to an end. Until recently, the industrial sector was the engine boosting the recovery. Lately, indices have shown signs of recovery for the service sectors as well. These sectors are crucial to employment. We expect that the global economy can continue to grow, boosted in particular by strong growth in China and other emerging economies. Growth will be no more than moderate in the developed economies once the temporary stimuli have ceased around the end of The downside risks to this scenario are in part related to a decline in risk appetite, triggered by re-emerging political risks ( Greece, monetary tightening in the emerging economies and regulation in the financial sector). In our opinion, financial regulation will be a theme for Our view is that monetary tightening in the emerging economies is a consequence of economic strength. We do not see it as a threat to growth. As far as the Eurozone problems are concerned, we believe that policymakers will ultimately take any steps necessary to restore stability in the Eurozone. In the US, the development of domestic demand has been above expectations in the past few months. For this trend to continue, a further improvement of the labour market would be crucial, particularly because the boost from temporary stimuli will gradually disappear. Indeed, the labour market is already showing signs of stabilisation. At the same time, though, the fundamental forces behind higher consumer spending (income growth, household wealth and sentiment) have not recovered nearly enough from the shock that was caused by the credit crisis; equities are still 25% below their peak, while housing prices have fallen 15 to 25% from their highs. All in all, the elevated growth level of the fourth quarter of 2009 (5.6% year-on-year) cannot be maintained. We expect some 3% growth on average for In the Eurozone, export growth will probably not be sufficient to act as the key growth engine this time. The (German) growth model of the past 10 years is starting to show some cracks. After all, demand largely came from the US, but US consumers will be inclined to step up their savings in the coming years. At the same time, "new savers" such as China still have a long way to go before their exportoriented growth model becomes a model that is more oriented towards domestic growth. Our basic scenario still assumes that higher corporate profitability will gradually translate into growth in domestic demand. Companies will probably make replacement investments, while the rise in consumer confidence of the past few months should translate into somewhat lower savings and more take-up of consumer credit. In fact, recent data already point to this development. Nevertheless, the downside risks for the Eurozone are higher than average, for example due to the pressure that the markets and the core countries of the Eurozone are putting on Greece and some other countries to reduce their debts. Economic Forecasts Growth gross domestic product (%) E 2011 E Global economy Developed economies Emerging economies E = expected Source : ING IM / April 2010 Luxembourg, June 15, ING INVESTMENT MANAGEMENT

10 Report of the approved statutory auditor To the Shareholders of, SICAV 52, route d'esch, L-1470 Luxembourg Following our appointment by the Annual General Meeting of the Shareholders of the SICAV of July 9, 2009, we have audited the accompanying financial statements of, SICAV and of each of its sub-funds, which comprise the statement of net assets, the securities portfolio and financial derivative instruments as at March 31, 2010 and the statement of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. This responsibility includes: designing, implementing and maintaining internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error; selecting and applying appropriate accounting policies; and making accounting estimates that are reasonable in the circumstances. Responsibility of the "réviseur d entreprises agréé" Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the "Commission de Surveillance du Secteur Financier". Those Standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgement of the "réviseur d'entreprises agréé", including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the "réviseur d'entreprises agréé" considers internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of, SICAV and of each of its sub-funds as at March 31, 2010, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements. ING INVESTMENT MANAGEMENT 7

11 Report of the approved statutory auditor Other matter Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the Standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. ERNST & YOUNG Société Anonyme Cabinet de révision agréé Sylvie TESTA Luxembourg, June 15, ING INVESTMENT MANAGEMENT

12 Combined statement of net assets as at 31/03/2010 Notes Total securities portfolio 52,063, Bonds and other debt instruments 3,187, Money market instruments 48,876, Total financial derivative instruments 1,535, Options 1,535, Cash at bank 3 9,305, Other assets 4 477, Total assets 63,382, Bank overdrafts (1,330.05) Current liabilities 4 (229,743.86) Total liabilities (231,073.91) Net assets at the end of the year 63,151, Combined statements (Denominated in ) Combined statement of operations and changes in net assets for the year ended 31/03/2010 Notes Total income 1,895, Interest on bonds and other debt instruments 1,568, Bank interest 321, Interest on swaps 5, Total expenses (1,125,032.51) Management fees 5 (788,410.01) Custodian fees 6 (74,344.51) Subscription tax 7 (35,423.87) Bank interest (8,360.05) Other expenses 8 (218,494.07) Net investment income 770, Net realised gains or (losses) on securities portfolio 51, Net realised gains or (losses) on financial derivative (3,740,296.19) instruments Net realised gains or (losses) on currency (1,595.60) Changes in net unrealised gains or (losses) on securities 60, portfolio Changes in net unrealised gains or (losses) on financial 4,320, derivative instruments Result of operations 1,461, Subscriptions 1,537, Redemptions (23,934,955.70) Net assets at the beginning of the year 76,428, Conversion difference 7,659, Net assets at the end of the year 63,151, The accompanying notes form an integral part of these financial statements. ING INVESTMENT MANAGEMENT 9

13 Statistics ING Index Linked Fund II - Continuous Click Fund World (NOK) (Denominated in NOK) Net assets 31/03/2010 NOK 256,376, /03/2009 NOK 303,760, /03/2008 NOK 507,000, Net asset value per share Capitalisation 31/03/2010 NOK /03/2009 NOK /03/2008 NOK Number of shares Capitalisation 31/03/2010 2,339,583 31/03/2009 2,826,460 31/03/2008 4,575,820 Total expense ratio (TER) in %* Capitalisation 31/03/ % Portfolio turnover in %* 31/03/ % * The total expense ratio (TER) and portfolio turnover rates are calculated in accordance with the CSSF Circular 2003/122 issued on December 19, Transaction costs are included in the purchase/sale price of the securities. These costs, which are not treated as operating expenses, are not included in the calculation of the TER. The TER and the portfolio turnover rates are calculated for the last twelve months. The TER is annualized for periods less than one year. Portfolio turnover rate is not annualized for periods less than one year. 10 ING INVESTMENT MANAGEMENT

14 ING Index Linked Fund II - Continuous Click Fund World (NOK) Financial statements (Denominated in NOK) Statement of net assets as at 31/03/2010 Notes Total securities portfolio 238,317, Bonds and other debt instruments 211, Money market instruments 238,106, Total financial derivative instruments 8,456, Options 8,456, Cash at bank 3 8,770, Other assets 4 1,977, Total assets 257,522, Bank overdrafts (10,682.36) Current liabilities 4 (1,135,158.73) Total liabilities (1,145,841.09) Net assets at the end of the year 256,376, Statement of operations and changes in net assets for the year ended 31/03/2010 Notes Total income 7,882, Interest on bonds and other debt instruments 7,701, Bank interest 181, Total expenses (4,980,032.17) Management fees 5 (3,805,698.96) Custodian fees 6 (133,624.72) Subscription tax 7 (137,215.36) Bank interest (35,066.13) Other expenses 8 (868,427.00) Net investment income 2,902, Net realised gains or (losses) on securities portfolio (32,837.00) Net realised gains or (losses) on financial derivative (30,265,987.53) instruments Net realised gains or (losses) on currency (3,135.08) Changes in net unrealised gains or (losses) on securities 17, portfolio Changes in net unrealised gains or (losses) on financial 33,121, derivative instruments Result of operations 5,739, Subscriptions 5,237, Redemptions (58,361,578.20) Net assets at the beginning of the year 303,760, Net assets at the end of the year 256,376, The accompanying notes form an integral part of these financial statements. ING INVESTMENT MANAGEMENT 11

15 ING Index Linked Fund II - Continuous Click Fund World (NOK) (Denominated in NOK) Securities portfolio as at 31/03/2010 Quantity/ Nominal Transferable securities and money market instruments listed on an official stock exchange Bonds and other debt instruments Norway 150,000 NORWEGIAN GOVT 6% 00-16/05/2011 NOK 156, ,000 NORWEGIAN GOVT 6.5% 02-15/05/2013 NOK 55, , Norway Name Money market instruments Currency Market value % in NOK NAV 211, ,000,000 NORWEGIAN T BILL 0% 09-16/06/2010 NOK 73,031, ,000,000 NORWEGIAN T-BILL 0% 09-15/09/2010 NOK 68,362, ,000,000 NORWEGIAN T-BILL 0% 09-15/12/2010 NOK 33,233, ,000,000 NORWEGIAN T-BILL 0% 10-16/03/2011 NOK 63,479, ,106, Quantity Name Currency Commitment in NOK Market value in NOK (3,300) CALL S&P 500 INDEX 18/06/ USD 23,505, (401,955.78) 2,300 CALL S&P 500 INDEX 20/12/ USD 1,422, ,600 CALL S&P 500 INDEX 21/06/ USD 1,597, (1,850) CALL S&P 500 INDEX 21/06/ USD 14,275, (1,136,603.05) 1,900 CALL S&P 500 INDEX 21/12/ USD 2,013, ,164, ,456, Total financial derivative instruments 8,456, Summary of net assets % NAV Total securities portfolio 238,317, Total financial derivative instruments 8,456, Cash at bank 8,770, Other assets and liabilities 831, Total net assets 256,376, ,106, Total securities portfolio 238,317, Financial derivative instruments as at 31/03/2010 Quantity Name Options Currency Commitment in NOK Market value in NOK 400 CALL DJ O STOXX 50 INDEX 15/06/ , CALL DJ O STOXX 50 INDEX 433, /03/ (290) CALL DJ O STOXX 50 INDEX 7,220, (433,925.77) 16/03/ CALL DJ O STOXX 50 INDEX 1,195, /12/ CALL DJ O STOXX 50 INDEX 961, /06/ CALL DJ O STOXX 50 INDEX 578, /12/ (200) CALL DJ O STOXX 50 INDEX 4,176, (578,837.58) 17/12/ CALL DJ O STOXX 50 INDEX 576, /03/ (290) CALL DJ O STOXX 50 INDEX 6,521, (576,724.08) 18/03/ CALL DJ O STOXX 50 INDEX 1,024, /06/ (600) CALL DJ O STOXX 50 INDEX 13,493, (1,024,289.75) 18/06/ CALL DJ O STOXX 50 INDEX 925, /06/ ,200 CALL NIKKEI 225 INDEX 09/12/2011 JPY 87, ,300 CALL NIKKEI 225 INDEX 10/06/2011 JPY 232, ,200 CALL NIKKEI 225 INDEX 10/12/2010 JPY 169, ,500 CALL NIKKEI 225 INDEX 14/05/2010 JPY (17,500) CALL NIKKEI 225 INDEX 14/05/2010 JPY 15,563, (200.67) ,000 CALL NIKKEI 225 (OSE) 13/05/ JPY 96, ,900 CALL S&P 500 INDEX 16/12/ USD 1,117, (1,900) CALL S&P 500 INDEX 16/12/ USD 13,533, (1,117,921.07) 900 CALL S&P 500 INDEX 17/06/ USD 685, (900) CALL S&P 500 INDEX 17/06/ USD 5,876, (685,985.34) 3,300 CALL S&P 500 INDEX 18/06/ USD 401, The accompanying notes form an integral part of these financial statements. 12 ING INVESTMENT MANAGEMENT

16 Statistics ING Index Linked Fund II - ING Czech Continuous Click Fund Euro (Denominated in CZK) Net assets 31/03/2010 CZK 530,044, /03/2009 CZK 700,959, /03/2008 CZK 957,518, Net asset value per share Capitalisation 31/03/2010 CZK 1, /03/2009 CZK /03/2008 CZK 1, Number of shares Capitalisation 31/03/ ,136 31/03/ ,247 31/03/ ,154 Total expense ratio (TER) in %* Capitalisation 31/03/ % Portfolio turnover in %* 31/03/ % * The total expense ratio (TER) and portfolio turnover rates are calculated in accordance with the CSSF Circular 2003/122 issued on December 19, Transaction costs are included in the purchase/sale price of the securities. These costs, which are not treated as operating expenses, are not included in the calculation of the TER. The TER and the portfolio turnover rates are calculated for the last twelve months. The TER is annualized for periods less than one year. Portfolio turnover rate is not annualized for periods less than one year. ING INVESTMENT MANAGEMENT 13

17 ING Index Linked Fund II - ING Czech Continuous Click Fund Euro Financial statements (Denominated in CZK) Statement of net assets as at 31/03/2010 Notes Total securities portfolio 494,550, Bonds and other debt instruments 80,332, Money market instruments 414,218, Cash at bank 3 32,890, Other assets 4 4,556, Total assets 531,998, Current liabilities 4 (1,953,891.82) Total liabilities (1,953,891.82) Net assets at the end of the year 530,044, Statement of operations and changes in net assets for the year ended 31/03/2010 Notes Total income 14,289, Interest on bonds and other debt instruments 13,618, Bank interest 670, Total expenses (9,083,810.90) Management fees 5 (5,421,481.20) Custodian fees 6 (1,397,382.39) Subscription tax 7 (308,477.55) Bank interest (42,446.33) Other expenses 8 (1,914,023.43) Net investment income 5,206, Net realised gains or (losses) on securities portfolio 1,558, Net realised gains or (losses) on financial derivative (59,542,719.74) instruments Net realised gains or (losses) on currency (15,363.20) Changes in net unrealised gains or (losses) on securities 1,484, portfolio Changes in net unrealised gains or (losses) on financial 59,542, derivative instruments Result of operations 8,233, Subscriptions 8,807, Redemptions (187,956,135.25) Net assets at the beginning of the year 700,959, Net assets at the end of the year 530,044, The accompanying notes form an integral part of these financial statements. 14 ING INVESTMENT MANAGEMENT

18 ING Index Linked Fund II - ING Czech Continuous Click Fund Euro (Denominated in CZK) Securities portfolio as at 31/03/2010 Quantity/ Nominal Name Currency Market value % in CZK NAV Transferable securities and money market instruments listed on an official stock exchange Quantity Name Currency Commitment in CZK Market value in CZK 275 CALL DJ O STOXX 50 INDEX 1,485, /06/ (275) CALL DJ O STOXX 50 INDEX 18/06/ ,565, (1,485,284.12) 130,734, Bonds and other debt instruments Czech Republic 20,000,000 CZECH REPUBLIC 08-27/10/2016 FRN CZK 19,242, ,000,000 CZECH REPUBLIC 09-11/04/2012 FRN CZK 41,119, ,361, Netherlands 20,000,000 E.ON INTL FIN BV 08-12/03/2013 FRN CZK 19,971, ,971, ,332, Other transferable securities and money market instruments Summary of net assets % NAV Total securities portfolio 494,550, Cash at bank 32,890, Other assets and liabilities 2,602, Total net assets 530,044, Money market instruments Czech Republic 60,000,000 MOF CZECH T-BILL 0% 09-04/06/2010 CZK 59,740, ,000,000 MOF CZECH T-BILL 0% 09-09/04/2010 CZK 58,595, ,000,000 MOF CZECH T-BILL 0% 09-14/05/2010 CZK 29,303, ,000,000 MOF CZECH T-BILL 0% 09-16/07/2010 CZK 39,222, ,000,000 MOF CZECH T-BILL 0% 09-25/06/2010 CZK 29,411, ,000,000 MOF CZECH T-BILL 0% 09-27/08/2010 CZK 29,463, ,000,000 MOF CZECH T-BILL 0% 09-28/05/2010 CZK 29,350, ,000,000 MOF CZECH T-BILL 0% 10-04/03/2011 CZK 29,587, ,000,000 MOF CZECH T-BILL 0% 10-06/08/2010 CZK 49,700, ,000,000 MOF CZECH T-BILL 0% 10-21/05/2010 CZK 29,920, ,000,000 MOF CZECH T-BILL 0% 10-25/06/2010 CZK 29,921, ,218, ,218, Total securities portfolio 494,550, Financial derivative instruments as at 31/03/2010 Quantity Name Options Currency Commitment in CZK Market value in CZK 250 CALL DJ O STOXX 50 INDEX 16/03/ ,183, (250) CALL DJ O STOXX 50 INDEX 19,692, (1,183,484.98) 16/03/ CALL DJ O STOXX 50 INDEX 2,802, /12/ (200) CALL DJ O STOXX 50 INDEX 12,196, (2,802,622.38) 16/12/ CALL DJ O STOXX 50 INDEX 2,252, /06/ (200) CALL DJ O STOXX 50 INDEX 12,705, (2,252,945.63) 17/06/ CALL DJ O STOXX 50 INDEX 1,831, /12/ (200) CALL DJ O STOXX 50 INDEX 13,213, (1,831,310.64) 17/12/ CALL DJ O STOXX 50 INDEX 559, /12/ (350) CALL DJ O STOXX 50 INDEX 28,459, (559,803.64) 17/12/ CALL DJ O STOXX 50 INDEX 2,202, /03/ (350) CALL DJ O STOXX 50 INDEX 24,901, (2,202,132.24) 18/03/ The accompanying notes form an integral part of these financial statements. ING INVESTMENT MANAGEMENT 15

19 Statistics ING Index Linked Fund II - ING Polish Continuous Click Fund Euro (Denominated in PLN) Net assets 31/03/2010 PLN 40,035, /03/2009 PLN 37,115, /03/2008 PLN 43,797, Net asset value per share Capitalisation 31/03/2010 PLN 1, /03/2009 PLN 1, /03/2008 PLN 1, Number of shares Capitalisation 31/03/ ,222 31/03/ ,143 31/03/ ,443 Total expense ratio (TER) in %* Capitalisation 31/03/ % Portfolio turnover in %* 31/03/ % * The total expense ratio (TER) and portfolio turnover rates are calculated in accordance with the CSSF Circular 2003/122 issued on December 19, Transaction costs are included in the purchase/sale price of the securities. These costs, which are not treated as operating expenses, are not included in the calculation of the TER. The TER and the portfolio turnover rates are calculated for the last twelve months. The TER is annualized for periods less than one year. Portfolio turnover rate is not annualized for periods less than one year. 16 ING INVESTMENT MANAGEMENT

20 ING Index Linked Fund II - ING Polish Continuous Click Fund Euro Financial statements (Denominated in PLN) Statement of net assets as at 31/03/2010 Notes Total securities portfolio 11,304, Money market instruments 11,304, Total financial derivative instruments 1,861, Options 1,861, Cash at bank 3 26,712, Other assets 4 201, Total assets 40,080, Current liabilities 4 (44,438.73) Total liabilities (44,438.73) Net assets at the end of the year 40,035, Statement of operations and changes in net assets for the year ended 31/03/2010 Notes Total income 1,252, Interest on bonds and other debt instruments 284, Bank interest 967, Total expenses (467,970.80) Management fees 5 (312,267.50) Custodian fees 6 (9,707.21) Subscription tax 7 (19,537.27) Bank interest (6,661.44) Other expenses 8 (119,797.38) Net investment income 784, Net realised gains or (losses) on securities portfolio (20,664.66) Net realised gains or (losses) on financial derivative (3,986,246.41) instruments Net realised gains or (losses) on currency (2,318.78) Changes in net unrealised gains or (losses) on financial 4,696, derivative instruments Result of operations 1,471, Subscriptions 2,080, Redemptions (632,372.75) Net assets at the beginning of the year 37,115, Net assets at the end of the year 40,035, The accompanying notes form an integral part of these financial statements. ING INVESTMENT MANAGEMENT 17

21 ING Index Linked Fund II - ING Polish Continuous Click Fund Euro (Denominated in PLN) Securities portfolio as at 31/03/2010 Quantity/ Nominal Name Currency Market value % in PLN NAV Other transferable securities and money market instruments Poland Money market instruments 2,000,000 POLAND T-BILL 0% 09-05/05/2010 PLN 1,984, ,000,000 POLAND T-BILL 0% 09-08/09/2010 PLN 1,967, ,500,000 POLAND T-BILL 0% 09-11/08/2010 PLN 2,436, ,500,000 POLAND T-BILL 0% 09-14/04/2010 PLN 2,462, ,500,000 POLAND T-BILL 0% 09-29/09/2010 PLN 2,453, ,304, ,304, Total securities portfolio 11,304, Financial derivative instruments as at 31/03/2010 Quantity Name Options Currency Commitment in PLN Market value in PLN 225 CALL DJ O STOXX 50 INDEX 15/06/ , CALL DJ O STOXX 50 INDEX 215, /03/ CALL DJ O STOXX 50 INDEX 479, /12/ CALL DJ O STOXX 50 INDEX 385, /06/ CALL DJ O STOXX 50 INDEX 313, /12/ CALL DJ O STOXX 50 INDEX 143, /03/ CALL DJ O STOXX 50 INDEX 123, /06/ (150) CALL DJ O STOXX 50 INDEX 1,621, (123,087.11) 18/06/ ,621, ,861, Total financial derivative instruments 1,861, Summary of net assets % NAV Total securities portfolio 11,304, Total financial derivative instruments 1,861, Cash at bank 26,712, Other assets and liabilities 156, Total net assets 40,035, The accompanying notes form an integral part of these financial statements. 18 ING INVESTMENT MANAGEMENT

22 Statistics ING Index Linked Fund II - Multi Protector (Denominated in ) Net assets 31/03/ /03/2009 9,066, /03/2008 8,769, Net asset value per share Capitalisation 31/03/ /03/ /03/ Number of shares Capitalisation 31/03/ /03/ ,779 31/03/ ,779 Total expense ratio (TER) in %* Capitalisation 31/03/ % Portfolio turnover in %* 31/03/2010 (97.97%) * The total expense ratio (TER) and portfolio turnover rates are calculated in accordance with the CSSF Circular 2003/122 issued on December 19, Transaction costs are included in the purchase/sale price of the securities. These costs, which are not treated as operating expenses, are not included in the calculation of the TER. The TER and the portfolio turnover rates are calculated for the last twelve months. The TER is annualized for periods less than one year. Portfolio turnover rate is not annualized for periods less than one year. ING INVESTMENT MANAGEMENT 19

23 Financial statements ING Index Linked Fund II - Multi Protector (Denominated in ) Statement of operations and changes in net assets for the period from 01/04/2009 to 08/07/2009 Notes Total income 27, Bank interest 21, Interest on swaps 5, Total expenses (26,261.83) Management fees 5 (20,317.19) Custodian fees 6 (198.59) Subscription tax 7 (1,138.45) Bank interest (598.01) Other expenses 8 (4,009.59) Net investment income 1, Net realised gains or (losses) on financial derivative 3,403, instruments Changes in net unrealised gains or (losses) on financial (3,363,699.52) derivative instruments Result of operations 41, Redemptions (9,107,596.74) Net assets at the beginning of the period 9,066, Net assets at the end of the period - The accompanying notes form an integral part of these financial statements. 20 ING INVESTMENT MANAGEMENT

24 Notes to the financial statements 1- GENERAL (the "Company" or the "SICAV") is a "Société d'investissement à Capital Variable" ("SICAV") incorporated on October 27, 2000 for an unlimited period as a société anonyme (public limited company), governed by Part I of the Luxembourg Law of December 20, 2002 on undertakings for collective investment. The Memorandum and Articles of Association of the Company were published in the Mémorial, Recueil Spécial des Sociétés et Associations du Grand-Duché de Luxembourg and filed with the Registry of the Luxembourg District Court where they may be consulted and copies may be obtained upon payment of Registry fees. The Company is registered with the Luxembourg Register of Companies under number B Change The sub-fund ING Index Linked Fund II - Multi Protector has matured on July 8, The NAV per share reimbursed amounted to PRINCIPAL ACCOUNTING METHODS The financial statements are prepared and presented in accordance with generally accepted accounting principles and regulations in force in Luxembourg. Currency conversion The financial statements have been drawn up in the accounting currency of each sub-fund. Assets and liabilities expressed in currencies other than the accounting currency of the sub-fund are converted into that currency at the exchange rate prevailing on the closing date. The various items in the combined statements correspond to the sum of the corresponding items in the financial statements of each subfund, converted if necessary into at the exchange rate prevailing on the closing date. Securities valuation The securities admitted to an official listing or to any other regulated market are valued at the last known prices. If these securities are traded on several markets, the valuation is made on the basis of the last known price on the main market on which the securities are listed. Securities not listed or not traded on a stock exchange or on any other regulated market and securities listed or traded on such a market but whose last known price is not representative, are valued with prudence and in good faith on the basis of their probable realisation value. Money market instruments and other short-term securities are valued using the straight-line amortisation method provided these instruments or securities have an initial or residual maturity at the time of their purchase by the Company of less than 12 months and if it appears that the last known price on the main market for the security in question cannot be considered as representative of the price of that security. These instruments and securities are shown at acquisition cost in the securities portfolio, accrued interest calculated through the straight-line amortisation method being included in the item "Other assets" in the statement of net assets and in the item "Interest on bonds and other debt instruments" in the statement of operations and changes in net assets. Financial derivative instruments valuation Financial derivative instruments listed on a regulated market are valued at the last available published prices applicable at the closing date. Financial derivative instruments not listed on a regulated market are valued by means of an actuarial method recognized in the market. Positive fair values of financial derivative instruments are disclosed as assets and negative fair values as liabilities in the statement of net assets, under the item "Total financial derivative instruments". ING INVESTMENT MANAGEMENT 21

25 Notes to the financial statements Income Interest is accrued on a daily basis. 3- CASH AT BANK Cash at bank is broken down as follows: Sub-fund ING Index Linked Fund II - Continuous Click Fund World (NOK) Counterparty Currency Current account % NAV ING Luxembourg NOK 8,770, % Total 8,770, % Total cash at bank 8,770, % Sub-fund ING Index Linked Fund II - Czech Continuous Click Fund Euro Counterparty Currency Current account % NAV ING Luxembourg CZK 32,890, % Total 32,890, % Total cash at bank 32,890, % Sub-fund ING Index Linked Fund II - ING Polish Continuous Click Fund Euro Counterparty Currency Maturity Time deposit % NAV ABN Amro Bank NV PLN 18/05/2010 3,500, % ABN Amro Bank NV PLN 19/07/2010 3,500, % BNP Paribas Luxembourg PLN 08/07/2010 2,500, % BNP Paribas Luxembourg PLN 04/05/2010 3,000, % BNP Paribas Luxembourg PLN 30/04/ , % ING Luxembourg PLN 26/04/2010 2,000, % ING Luxembourg PLN 02/04/2010 2,000, % Nordea Bank Poland S.A. PLN 25/05/2010 2,000, % Royal Bank of Scotland PLN 06/04/2010 3,500, % Société Générale PLN 23/08/2010 1,500, % Total 24,300, % Counterparty Currency Current account % NAV ING Luxembourg PLN 2,412, % Total 2,412, % Total cash at bank 26,712, % 22 ING INVESTMENT MANAGEMENT

26 Notes to the financial statements 4- OTHER ASSETS AND CURRENT LIABILITIES Other assets account includes mainly accrued interest and receivables. Current liabilities account includes mainly fee accruals and payables. 5- MANAGEMENT FEES In accordance with the terms and conditions of the "Collective Portfolio Management Agreement" between ING Investment Management Luxembourg S.A. and the SICAV, the sub-funds will pay ING Investment Management Luxembourg S.A. an annual management fee calculated on the average net assets of each class of shares as described below. This fee is payable monthly in arrears. Sub-funds ING Index Linked Fund II - Continuous Click Fund World (NOK) ING Index Linked Fund II - ING Czech Continuous Click Fund Euro ING Index Linked Fund II - ING Polish Continuous Click Fund Euro ING Index Linked Fund II - Multi Protector (until July 8, 2009) Management fees rate Maximum 1.80% p.a. 0.72% p.a. (1.25% p.a. up to June 30, 2009) 0.80% p.a. 1.33% p.a.* * For the ING Index Linked Fund II - Multi Protector, the management fee is based on the initial price per outstanding share, payable every 6 months on the basis of the average number of shares outstanding. For the ING Index Linked Fund II - ING Polish Continuous Click Fund Euro sub-fund, in case the Polish 6 months money market rate changes, the Board of Directors may decide to change the remuneration according to the following schedule: PLN 6 months interest rate >12%: 2.80% p.a., with a minimum of 50,000 p.a.; PLN 6 months interest rate <12% and >6%:1.80% p.a., with a minimum of 50,000 p.a.; PLN 6 months interest rate <6%: 0.80% p.a., with a minimum of 50,000 p.a.. For the ING Index Linked Fund II - Continuous Click Fund World (NOK) sub-fund, in case the Norwegian 3 months money market rate decreases to a level below 3% and the net asset value of the sub-fund exceeds the protection level of the sub-fund, as defined in the prospectus, by less than 3%, the following management fees will be applicable: NOK 3 months interest rate >3%: 1.80% p.a.; NOK 3 months interest rate <3% and >2%: 1.30% p.a.; NOK 3 months interest rate <2%: 0.80% p.a.. ING Investment Management Luxembourg S.A. has entrusted, at its own expense, the management of the different sub-funds to ING Investment Management Belgium, ING Asset Management B.V. and ING Investment Management (C.R.). In the case where the sub-funds invest in the units of other UCITS and/or other UCIs that are managed directly or by delegation by the Management Company or by any other company with which the Management Company is linked by common management or control, or by a substantial direct or indirect holding, the management fees paid by the UCITS and/or other UCIs will be deducted from the management fees paid to the Management Company. 6- CUSTODIAN FEES The depositary bank is remunerated in accordance with the agreement between ING Luxembourg, acting as the custodian, and the SICAV. ING INVESTMENT MANAGEMENT 23

27 Notes to the financial statements 7- SUBSCRIPTION TAX The Company is liable in Luxembourg to a subscription tax ("Taxe d'abonnement") of 0.05% per annum of its net assets, such tax being payable quarterly and calculated on the net asset value at the end of the relevant calendar quarter. No subscription tax is paid on the assets held by the Company in other UCIs already subject to that tax in Luxembourg. 8- OTHER EXPENSES This account includes mainly administration fees and audit fees. 9- CHANGES IN THE COMPOSITION OF THE SECURITIES PORTFOLIO These changes are made available to the shareholders at the custodian bank and at the Company's registered office as well as at the financial servicing institutions identified in this report. They will also be sent free of charge to anyone who so requests. 10- SUBSEQUENT EVENT The ING Index Linked Fund II - ING Czech Continuous Click Fund Euro sub-fund (the "absorbed sub-fund") merged into the ING (L) Patrimonial - Multi Asset 5 sub-fund (the "absorbing sub-fund") on June 4, The merger was made by the contribution of the absorbed sub-fund into the absorbing sub-fund. The exchange ratio was class C hedged capitalisation (CZK) share of the absorbing sub-fund for 1 capitalisation (CZK) share of the absorbed sub-fund. 24 ING INVESTMENT MANAGEMENT