| Ohio National Fund, Inc. | ON Bond Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds–92.7% | Rate | Maturity | Face Amount | Value | |
| Communication Services–6.4% | |||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.900% | 08/15/2037 | $1,000,000 | $ 1,183,592 | |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 3.700% | 04/01/2051 | 2,800,000 | 2,618,852 | |
Comcast Corp. (Media) | 3.250% | 11/01/2039 | 3,000,000 | 3,090,431 | |
Lamar Media Corp. (Media) | 4.875% | 01/15/2029 | 1,200,000 | 1,251,000 | |
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 3.700% | 11/15/2049 | 2,100,000 | 2,085,154 | |
Time Warner Cable LLC (Media) | 6.550% | 05/01/2037 | 850,000 | 1,117,746 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | (a) | 3.875% | 04/15/2030 | 1,800,000 | 1,953,648 |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.500% | 08/10/2033 | 1,000,000 | 1,161,521 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.400% | 11/01/2034 | 1,500,000 | 1,714,636 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 2.875% | 11/20/2050 | 1,000,000 | 888,782 | |
Walt Disney Co. / The (Entertainment) | 3.600% | 01/13/2051 | 1,000,000 | 1,064,014 | |
| 18,129,376 | |||||
| Consumer Discretionary–7.3% | |||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 3.875% | 08/22/2037 | 1,000,000 | 1,145,781 | |
Aptiv PLC (Auto Components) | 4.350% | 03/15/2029 | 1,000,000 | 1,126,396 | |
Best Buy Co., Inc. (Specialty Retail) | 1.950% | 10/01/2030 | 3,000,000 | 2,825,737 | |
Expedia Group, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.625% | 08/01/2027 | 1,000,000 | 1,112,745 |
Hasbro, Inc. (Leisure Products) | 3.900% | 11/19/2029 | 3,000,000 | 3,226,381 | |
Home Depot, Inc. / The (Specialty Retail) | 2.375% | 03/15/2051 | 2,000,000 | 1,716,359 | |
Lear Corp. (Auto Components) | 4.250% | 05/15/2029 | 4,000,000 | 4,431,546 | |
Lowe's Cos., Inc. (Specialty Retail) | 3.000% | 10/15/2050 | 2,000,000 | 1,865,437 | |
M.D.C. Holdings, Inc. (Household Durables) | 3.850% | 01/15/2030 | 2,000,000 | 2,085,000 | |
Magna International, Inc. (Auto Components) | 3.625% | 06/15/2024 | 1,000,000 | 1,081,190 | |
| 20,616,572 | |||||
| Consumer Staples–10.1% | |||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.700% | 02/01/2036 | 2,000,000 | 2,342,937 | |
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.900% | 02/01/2046 | 1,000,000 | 1,194,544 | |
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.600% | 04/15/2048 | 2,000,000 | 2,289,560 | |
B.A.T. Capital Corp. (Tobacco) | 3.215% | 09/06/2026 | 1,000,000 | 1,056,182 | |
B.A.T. Capital Corp. (Tobacco) | 4.700% | 04/02/2027 | 2,000,000 | 2,251,293 | |
Campbell Soup Co. (Food Products) | 4.150% | 03/15/2028 | 4,000,000 | 4,482,244 | |
Coca-Cola Co. / The (Beverages) | 2.500% | 03/15/2051 | 1,000,000 | 873,544 | |
Costco Wholesale Corp. (Food & Staples Retailing) | 1.750% | 04/20/2032 | 1,200,000 | 1,140,638 | |
Hershey Co. / The (Food Products) | 1.700% | 06/01/2030 | 1,800,000 | 1,719,629 | |
Keurig Dr Pepper, Inc. (Beverages) | 3.430% | 06/15/2027 | 3,000,000 | 3,288,342 | |
Kimberly-Clark Corp. (Household Products) | 1.050% | 09/15/2027 | 2,000,000 | 1,941,657 | |
Kraft Heinz Foods Co. (Food Products) | 4.625% | 10/01/2039 | 1,200,000 | 1,296,494 | |
Philip Morris International, Inc. (Tobacco) | 3.375% | 08/15/2029 | 2,500,000 | 2,694,888 | |
Smithfield Foods, Inc. (Food Products) | (a) | 3.000% | 10/15/2030 | 2,000,000 | 1,988,980 |
| 28,560,932 | |||||
| Energy–9.7% | |||||
Baker Hughes, a GE Co. LLC / Baker Hughes Co-Obligor, Inc. (Energy Equip. & Svs.) | 4.080% | 12/15/2047 | 2,000,000 | 2,131,975 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 3.017% | 01/16/2027 | 1,000,000 | 1,068,806 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 1.749% | 08/10/2030 | 1,400,000 | 1,322,405 | |
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.895% | 03/03/2024 | 900,000 | 959,358 | |
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.236% | 05/11/2030 | 1,800,000 | 1,790,957 | |
ConocoPhillips (Oil, Gas & Consumable Fuels) | (a) | 3.750% | 10/01/2027 | 2,000,000 | 2,209,914 |
ConocoPhillips (Oil, Gas & Consumable Fuels) | (a) | 2.400% | 02/15/2031 | 1,800,000 | 1,776,070 |
Energy Transfer LP (Oil, Gas & Consumable Fuels) | 4.950% | 06/15/2028 | 2,000,000 | 2,238,119 | |
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 4.114% | 03/01/2046 | 900,000 | 988,985 | |
Halliburton Co. (Energy Equip. & Svs.) | 4.850% | 11/15/2035 | 900,000 | 1,011,427 | |
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 5.300% | 12/01/2034 | 1,000,000 | 1,180,995 | |
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 3.850% | 06/01/2025 | 850,000 | 910,767 | |
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.750% | 09/15/2044 | 1,000,000 | 1,109,143 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 5.850% | 01/15/2026 | 1,200,000 | 1,404,798 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 6.000% | 06/15/2035 | 1,000,000 | 1,178,290 | |
Sabine Pass Liquefaction LLC (Oil, Gas & Consumable Fuels) | 4.500% | 05/15/2030 | 600,000 | 673,313 | |
Shell International Finance B.V. (Oil, Gas & Consumable Fuels) | 4.000% | 05/10/2046 | 1,000,000 | 1,115,294 | |
Tennessee Gas Pipeline Co. LLC (Oil, Gas & Consumable Fuels) | (a) | 2.900% | 03/01/2030 | 1,000,000 | 995,709 |
Texas Eastern Transmission LP (Oil, Gas & Consumable Fuels) | (a) | 4.150% | 01/15/2048 | 1,000,000 | 1,011,566 |
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.750% | 06/15/2027 | 1,000,000 | 1,090,076 | |
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 5.400% | 03/04/2044 | 1,000,000 | 1,160,595 | |
| 27,328,562 | |||||
| Financials–26.6% | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 3.300% | 01/23/2023 | 2,000,000 | 2,073,661 | |
American Express Co. (Consumer Finance) | QL + 75 | 08/03/2023 | 1,000,000 | 1,010,473 | |
American International Group, Inc. (Insurance) | 3.875% | 01/15/2035 | 2,500,000 | 2,718,465 | |
Bank of America Corp. (Banks) | 3.875% | 08/01/2025 | 1,000,000 | 1,104,502 | |
Bank of America Corp. (Rate is fixed until 01/23/2025, at which point, the rate becomes QL + 81) (Banks) | (b) | 3.366% | 01/23/2026 | 2,000,000 | 2,153,169 |
Bank of America Corp. (Rate is fixed until 04/24/2037, at which point, the rate becomes QL + 181) (Banks) | (b) | 4.244% | 04/24/2038 | 1,000,000 | 1,137,573 |
1
(continued)
| Ohio National Fund, Inc. | ON Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Financials (continued) | |||||
Bank of Montreal (Rate is fixed until 12/15/2027, at which point, the rate becomes USSW5 + 143) (Banks) | (b) | 3.803% | 12/15/2032 | $2,800,000 | $ 3,075,694 |
Berkshire Hathaway, Inc. (Diversified Financial Svs.) | 3.125% | 03/15/2026 | 900,000 | 979,803 | |
BlackRock, Inc. (Capital Markets) | 2.400% | 04/30/2030 | 1,000,000 | 1,014,936 | |
Capital One Bank U.S.A. N.A. (Rate is fixed until 01/28/2025, at which point, the rate becomes SOFR + 91) (Consumer Finance) | (b) | 2.280% | 01/28/2026 | 1,500,000 | 1,539,669 |
Citigroup, Inc. (Banks) | 4.400% | 06/10/2025 | 2,000,000 | 2,222,445 | |
Citigroup, Inc. (Banks) | 3.700% | 01/12/2026 | 1,000,000 | 1,098,323 | |
Citigroup, Inc. (Banks) | 4.450% | 09/29/2027 | 2,000,000 | 2,257,173 | |
Discover Bank (Rate is fixed until 08/09/2023, at which point, the rate becomes USSW5 + 173) (Banks) | (b) | 4.682% | 08/09/2028 | 2,000,000 | 2,133,200 |
E*TRADE Financial Corp. (Capital Markets) | 2.950% | 08/24/2022 | 1,800,000 | 1,858,794 | |
Ford Motor Credit Co. LLC (Consumer Finance) | QL + 88 | 10/12/2021 | 2,000,000 | 1,990,360 | |
General Motors Financial Co., Inc. (Consumer Finance) | 3.200% | 07/06/2021 | 2,000,000 | 2,008,684 | |
General Motors Financial Co., Inc. (Consumer Finance) | QL + 99 | 01/05/2023 | 2,000,000 | 2,017,108 | |
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.750% | 05/22/2025 | 2,000,000 | 2,183,289 | |
Goldman Sachs Group, Inc. / The (Rate is fixed until 04/23/2028, at which point, the rate becomes QL + 116) (Capital Markets) | (b) | 3.814% | 04/23/2029 | 2,000,000 | 2,191,247 |
Intercontinental Exchange, Inc. (Capital Markets) | 3.750% | 12/01/2025 | 1,000,000 | 1,096,492 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. (Diversified Financial Svs.) | 4.850% | 01/15/2027 | 1,800,000 | 2,070,728 | |
JPMorgan Chase & Co. (Banks) | 3.625% | 12/01/2027 | 2,000,000 | 2,173,148 | |
JPMorgan Chase & Co. (Rate is fixed until 05/13/2030, at which point, the rate becomes SOFR + 252) (Banks) | (b) | 2.956% | 05/13/2031 | 2,000,000 | 2,036,983 |
Marsh & McLennan Cos., Inc. (Insurance) | 3.500% | 06/03/2024 | 1,400,000 | 1,507,865 | |
Morgan Stanley (Capital Markets) | QL + 140 | 10/24/2023 | 1,260,000 | 1,283,042 | |
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 1,000,000 | 1,106,575 | |
Morgan Stanley (Rate is fixed until 01/23/2029, at which point, the rate becomes QL + 163) (Capital Markets) | (b) | 4.431% | 01/23/2030 | 2,000,000 | 2,290,021 |
Nasdaq, Inc. (Capital Markets) | 3.850% | 06/30/2026 | 2,000,000 | 2,207,731 | |
PNC Bank N.A. (Banks) | 2.700% | 10/22/2029 | 2,500,000 | 2,555,212 | |
S&P Global, Inc. (Capital Markets) | 1.250% | 08/15/2030 | 600,000 | 549,334 | |
State Street Corp. (Capital Markets) | 2.200% | 03/03/2031 | 2,000,000 | 1,949,093 | |
Synchrony Financial (Consumer Finance) | 4.250% | 08/15/2024 | 1,000,000 | 1,087,807 | |
Synchrony Financial (Consumer Finance) | 5.150% | 03/19/2029 | 2,000,000 | 2,306,540 | |
TD Ameritrade Holding Corp. (Capital Markets) | 3.300% | 04/01/2027 | 2,000,000 | 2,172,258 | |
Truist Bank (Banks) | 3.625% | 09/16/2025 | 1,000,000 | 1,091,293 | |
U.S. Bancorp (Banks) | 1.375% | 07/22/2030 | 2,000,000 | 1,843,851 | |
Wells Fargo & Co. (Banks) | 3.000% | 04/22/2026 | 1,000,000 | 1,068,613 | |
Wells Fargo & Co. (Rate is fixed until 10/30/2029, at which point, the rate becomes SOFR + 143) (Banks) | (b) | 2.879% | 10/30/2030 | 2,000,000 | 2,060,223 |
Wells Fargo & Co. (Rate is fixed until 04/30/2040, at which point, the rate becomes SOFR + 253) (Banks) | (b) | 3.068% | 04/30/2041 | 1,200,000 | 1,176,728 |
Wells Fargo & Co. (Banks) | 4.650% | 11/04/2044 | 1,000,000 | 1,151,684 | |
Westpac Banking Corp. (Rate is fixed until 02/04/2025, at which point, the rate becomes H15T5Y + 135) (Banks) | (b) | 2.894% | 02/04/2030 | 1,500,000 | 1,545,015 |
Westpac Banking Corp. (Rate is fixed until 11/23/2026, at which point, the rate becomes USISDA05 + 224) (Banks) | (b) | 4.322% | 11/23/2031 | 1,800,000 | 1,988,244 |
| 75,087,048 | |||||
| Health Care–3.7% | |||||
AbbVie, Inc. (Biotechnology) | 3.200% | 11/21/2029 | 1,000,000 | 1,063,772 | |
AbbVie, Inc. (Biotechnology) | 4.250% | 11/21/2049 | 3,000,000 | 3,394,608 | |
HCA, Inc. (Health Care Providers & Svs.) | 5.250% | 06/15/2026 | 1,000,000 | 1,149,358 | |
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 2.950% | 06/30/2030 | 2,000,000 | 2,067,443 | |
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 2.800% | 06/30/2031 | 1,200,000 | 1,219,710 | |
Regeneron Pharmaceuticals, Inc. (Biotechnology) | 1.750% | 09/15/2030 | 1,800,000 | 1,664,681 | |
| 10,559,572 | |||||
| Industrials–8.6% | |||||
Air Lease Corp. (Trading Companies & Distributors) | 2.250% | 01/15/2023 | 2,000,000 | 2,052,520 | |
Air Lease Corp. (Trading Companies & Distributors) | 2.300% | 02/01/2025 | 2,000,000 | 2,042,815 | |
BAE Systems PLC (Aerospace & Defense) | (a) | 1.900% | 02/15/2031 | 2,000,000 | 1,876,699 |
Boeing Co. / The (Aerospace & Defense) | 3.200% | 03/01/2029 | 3,000,000 | 3,038,133 | |
Burlington Northern Santa Fe LLC (Road & Rail) | 4.550% | 09/01/2044 | 900,000 | 1,064,135 | |
FedEx Corp. (Air Freight & Logistics) | 4.900% | 01/15/2034 | 2,000,000 | 2,406,984 | |
Lockheed Martin Corp. (Aerospace & Defense) | 1.850% | 06/15/2030 | 1,200,000 | 1,168,517 | |
Lockheed Martin Corp. (Aerospace & Defense) | 3.600% | 03/01/2035 | 1,000,000 | 1,114,001 | |
Northrop Grumman Corp. (Aerospace & Defense) | 2.930% | 01/15/2025 | 2,500,000 | 2,660,441 | |
Parker-Hannifin Corp. (Machinery) | 4.200% | 11/21/2034 | 1,400,000 | 1,585,204 | |
Union Pacific Corp. (Road & Rail) | 3.250% | 08/15/2025 | 1,000,000 | 1,081,053 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.250% | 01/15/2030 | 2,000,000 | 2,170,600 | |
Waste Connections, Inc. (Commercial Svs. & Supplies) | 4.250% | 12/01/2028 | 1,800,000 | 2,024,930 | |
| 24,286,032 | |||||
| Information Technology–1.3% | |||||
Broadcom, Inc. (Semiconductors & Equip.) | (a) | 2.600% | 02/15/2033 | 2,000,000 | 1,863,072 |
2
(continued)
| Ohio National Fund, Inc. | ON Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Information Technology (continued) | |||||
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 4.900% | 10/15/2025 | $ 850,000 | $ 969,332 | |
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | 4.875% | 03/01/2024 | 900,000 | 966,753 | |
| 3,799,157 | |||||
| Materials–8.1% | |||||
Anglo American Capital PLC (Metals & Mining) | (a) | 4.750% | 04/10/2027 | 1,000,000 | 1,146,595 |
Anglo American Capital PLC (Metals & Mining) | (a) | 4.000% | 09/11/2027 | 900,000 | 991,917 |
Dow Chemical Co. / The (Chemicals) | 4.250% | 10/01/2034 | 2,000,000 | 2,213,871 | |
DuPont de Nemours, Inc. (Chemicals) | 2.169% | 05/01/2023 | 2,000,000 | 2,008,443 | |
Kinross Gold Corp. (Metals & Mining) | 4.500% | 07/15/2027 | 3,000,000 | 3,378,995 | |
Mosaic Co. / The (Chemicals) | 4.050% | 11/15/2027 | 3,000,000 | 3,330,110 | |
Nutrien Ltd. (Chemicals) | 4.200% | 04/01/2029 | 1,900,000 | 2,138,149 | |
RPM International, Inc. (Chemicals) | 4.250% | 01/15/2048 | 3,000,000 | 3,054,190 | |
Steel Dynamics, Inc. (Metals & Mining) | 3.250% | 01/15/2031 | 1,200,000 | 1,269,997 | |
Syngenta Finance N.V. (Chemicals) | (a) | 5.182% | 04/24/2028 | 1,000,000 | 1,081,080 |
Yamana Gold, Inc. (Metals & Mining) | 4.625% | 12/15/2027 | 2,000,000 | 2,188,409 | |
| 22,801,756 | |||||
| Real Estate–3.4% | |||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 3.950% | 01/15/2028 | 1,000,000 | 1,111,475 | |
Federal Realty Investment Trust (Equity REIT) | 3.250% | 07/15/2027 | 2,000,000 | 2,123,835 | |
Healthcare Realty Trust, Inc. (Equity REIT) | 3.875% | 05/01/2025 | 1,400,000 | 1,518,395 | |
Healthcare Realty Trust, Inc. (Equity REIT) | 3.625% | 01/15/2028 | 1,000,000 | 1,074,710 | |
Healthpeak Properties, Inc. (Equity REIT) | 4.000% | 06/01/2025 | 1,500,000 | 1,658,026 | |
Welltower, Inc. (Equity REIT) | 4.250% | 04/01/2026 | 1,000,000 | 1,123,426 | |
Welltower, Inc. (Equity REIT) | 2.700% | 02/15/2027 | 1,000,000 | 1,042,737 | |
| 9,652,604 | |||||
| Utilities–7.5% | |||||
AEP Transmission Co. LLC (Electric Utilities) | 4.000% | 12/01/2046 | 1,000,000 | 1,097,618 | |
AEP Transmission Co. LLC (Electric Utilities) | 3.750% | 12/01/2047 | 1,351,000 | 1,436,988 | |
Ameren Corp. (Multi-Utilities) | 3.500% | 01/15/2031 | 2,000,000 | 2,122,503 | |
American Water Capital Corp. (Water Utilities) | 4.300% | 12/01/2042 | 1,400,000 | 1,585,778 | |
Berkshire Hathaway Energy Co. (Multi-Utilities) | 3.250% | 04/15/2028 | 1,900,000 | 2,048,233 | |
Commonwealth Edison Co. (Electric Utilities) | 4.350% | 11/15/2045 | 2,000,000 | 2,316,338 | |
Connecticut Light & Power Co. / The (Electric Utilities) | 4.000% | 04/01/2048 | 1,000,000 | 1,133,771 | |
Duke Energy Corp. (Electric Utilities) | 3.750% | 09/01/2046 | 1,000,000 | 1,005,676 | |
Eversource Energy (Electric Utilities) | 3.300% | 01/15/2028 | 1,000,000 | 1,068,262 | |
FirstEnergy Transmission LLC (Electric Utilities) | (a) | 4.550% | 04/01/2049 | 1,800,000 | 1,898,195 |
Florida Power & Light Co. (Electric Utilities) | 3.150% | 10/01/2049 | 2,000,000 | 2,012,829 | |
Jersey Central Power & Light Co. (Electric Utilities) | (a) | 4.300% | 01/15/2026 | 900,000 | 983,519 |
Public Service Electric & Gas Co. (Multi-Utilities) | 3.600% | 12/01/2047 | 1,500,000 | 1,599,258 | |
Southwest Gas Corp. (Gas Utilities) | 3.875% | 04/01/2022 | 1,000,000 | 1,024,801 | |
| 21,333,769 | |||||
Total Corporate Bonds (Cost $247,412,487) | $262,155,380 |
| Asset-Backed Securities–2.6% | Rate | Maturity | Face Amount | Value | |
| Industrials–2.6% | |||||
Air Canada 2017-1 Class B Pass Through Trust | (a) | 3.700% | 01/15/2026 | $1,888,227 | $ 1,808,538 |
American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 05/01/2023 | 514,859 | 480,028 | |
FedEx Corp. 2020-1 Class AA Pass Through Trust | 1.875% | 02/20/2034 | 2,919,791 | 2,827,607 | |
United Airlines 2016-1 Class B Pass Through Trust | 3.650% | 01/07/2026 | 1,337,500 | 1,320,741 | |
United Airlines 2019-2 Class AA Pass Through Trust | 2.700% | 05/01/2032 | 985,231 | 956,882 | |
Total Asset-Backed Securities (Cost $7,645,752) | $7,393,796 |
| U.S. Treasury Obligations–0.8% | Rate | Maturity | Face Amount | Value | |
U.S. Treasury Note | 0.875% | 11/15/2030 | $2,500,000 | $ 2,312,109 | |
Total U.S. Treasury Obligations (Cost $2,427,270) | $2,312,109 |
| Money Market Funds–1.0% | Shares | Value | |
State Street Institutional Liquid Reserves Fund Institutional Class, 0.069% | (c) | 2,644,379 | $ 2,645,172 |
Total Money Market Funds (Cost $2,645,172) | $2,645,172 | ||
Total Investments – 97.1% (Cost $260,130,681) | (d) | $274,506,457 | |
Other Assets in Excess of Liabilities – 2.9% | 8,193,796 | ||
| Net Assets – 100.0% | $282,700,253 |
3
(continued)
| Ohio National Fund, Inc. | ON Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Abbreviations: | ||
| H15T5Y: | U.S. Treasury Yield Curve Rate T-Note Constant Maturity 5 Year, 0.920% at 03/31/2021 | |
| QL: | Quarterly U.S. LIBOR Rate, 0.194% at 03/31/2021 | |
| SOFR: | Secured Overnight Financing Rate, 0.010% at 03/31/2021 | |
| USISDA05: | USD ICE Swap Rate 11:00am NY 5 Year, 1.027% at 01/31/2021 | |
| USSW5: | USD Swap Semi 30/360 5 Year, 1.057% at 03/31/2021 | |
| Footnotes: | ||
| (a) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At March 31, 2021, the value of these securities totaled $22,698,247, or 8.0% of the Portfolio’s net assets. | |
| (b) | Security is a fixed-then-variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated, including interest rate caps and floors, if any, are those in effect at March 31, 2021. | |
| (c) | Rate represents the seven-day yield at March 31, 2021. | |
| (d) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
The accompanying notes are an integral part of these financial statements.
4
| Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Common Stocks–71.0% | Shares | Value | |
| Communication Services–7.5% | |||
Alphabet, Inc. Class A (Interactive Media & Svs.) | (a) | 5,384 | $ 11,104,608 |
Alphabet, Inc. Class C (Interactive Media & Svs.) | (a) | 3,222 | 6,665,126 |
Altice U.S.A., Inc. Class A (Media) | (a) | 1,534 | 49,901 |
AT&T, Inc. (Diversified Telecom. Svs.) | 84,307 | 2,551,973 | |
Comcast Corp. Class A (Media) | 43,297 | 2,342,801 | |
Discovery, Inc. Class A (Media) | (a) | 3,468 | 150,719 |
Discovery, Inc. Class C (Media) | (a) | 3,666 | 135,239 |
Electronic Arts, Inc. (Entertainment) | 6,201 | 839,429 | |
Facebook, Inc. Class A (Interactive Media & Svs.) | (a) | 23,708 | 6,982,717 |
Lions Gate Entertainment Corp. Class B (Entertainment) | (a) | 4,079 | 52,619 |
Netflix, Inc. (Entertainment) | (a) | 1,542 | 804,400 |
New York Times Co. / The Class A (Media) | 802 | 40,597 | |
Omnicom Group, Inc. (Media) | 5,875 | 435,631 | |
Roku, Inc. (Entertainment) | (a) | 733 | 238,789 |
Sirius XM Holdings, Inc. (Media) | 190,285 | 1,158,836 | |
TEGNA, Inc. (Media) | 11,212 | 211,122 | |
Twitter, Inc. (Interactive Media & Svs.) | (a) | 13,320 | 847,551 |
United States Cellular Corp. (Wireless Telecom. Svs.) | (a) | 2,114 | 77,119 |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 7,132 | 414,726 | |
Walt Disney Co. / The (Entertainment) | (a) | 21,894 | 4,039,881 |
Zynga, Inc. Class A (Entertainment) | (a) | 35,486 | 362,312 |
| 39,506,096 | |||
| Consumer Discretionary–8.5% | |||
Airbnb, Inc. Class A (Hotels, Restaurants & Leisure) | (a) | 394 | 74,048 |
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 4,092 | 12,660,975 |
Aramark (Hotels, Restaurants & Leisure) | 2,623 | 99,097 | |
Best Buy Co., Inc. (Specialty Retail) | 10,356 | 1,188,972 | |
BorgWarner, Inc. (Auto Components) | 36,475 | 1,690,981 | |
Bright Horizons Family Solutions, Inc. (Diversified Consumer Svs.) | (a) | 5,059 | 867,366 |
Chipotle Mexican Grill, Inc. (Hotels, Restaurants & Leisure) | (a) | 326 | 463,187 |
Crocs, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 955 | 76,830 |
D.R. Horton, Inc. (Household Durables) | 5,120 | 456,294 | |
Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods) | (a) | 179 | 59,145 |
eBay, Inc. (Internet & Direct Marketing Retail) | 15,701 | 961,529 | |
Etsy, Inc. (Internet & Direct Marketing Retail) | (a) | 666 | 134,312 |
Graham Holdings Co. Class B (Diversified Consumer Svs.) | 526 | 295,844 | |
Home Depot, Inc. / The (Specialty Retail) | 8,874 | 2,708,789 | |
iRobot Corp. (Household Durables) | (a) | 1,648 | 201,353 |
KB Home (Household Durables) | 9,208 | 428,448 | |
Kohl's Corp. (Multiline Retail) | 5,336 | 318,079 | |
Levi Strauss & Co. Class A (Textiles, Apparel & Luxury Goods) | 2,420 | 57,862 | |
LKQ Corp. (Distributors) | (a) | 4,380 | 185,405 |
Lowe's Cos., Inc. (Specialty Retail) | 3,788 | 720,402 | |
Lululemon Athletica, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 1,230 | 377,253 |
McDonald's Corp. (Hotels, Restaurants & Leisure) | 12,360 | 2,770,370 | |
MGM Resorts International (Hotels, Restaurants & Leisure) | 1,839 | 69,864 | |
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 12,578 | 1,671,490 | |
Nordstrom, Inc. (Multiline Retail) | 25,377 | 961,027 | |
Pool Corp. (Distributors) | 3,932 | 1,357,484 | |
PulteGroup, Inc. (Household Durables) | 3,260 | 170,954 | |
Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 2,412 | 297,062 | |
Target Corp. (Multiline Retail) | 19,085 | 3,780,166 | |
Terminix Global Holdings, Inc. (Diversified Consumer Svs.) | (a) | 12,415 | 591,823 |
Tesla, Inc. (Automobiles) | (a) | 7,854 | 5,245,922 |
TJX Cos., Inc. / The (Specialty Retail) | 17,123 | 1,132,687 | |
Travel + Leisure Co. (Hotels, Restaurants & Leisure) | 18,510 | 1,132,072 | |
Vail Resorts, Inc. (Hotels, Restaurants & Leisure) | 146 | 42,582 | |
Wendy's Co. / The (Hotels, Restaurants & Leisure) | 11,366 | 230,275 | |
Whirlpool Corp. (Household Durables) | 370 | 81,530 | |
Wyndham Hotels & Resorts, Inc. (Hotels, Restaurants & Leisure) | 8,265 | 576,732 | |
Wynn Resorts Ltd. (Hotels, Restaurants & Leisure) | (a) | 5,978 | 749,462 |
| 44,887,673 | |||
| Consumer Staples–4.7% | |||
Coca-Cola Co. / The (Beverages) | 89,830 | 4,734,939 | |
Colgate-Palmolive Co. (Household Products) | 51,486 | 4,058,641 | |
Costco Wholesale Corp. (Food & Staples Retailing) | 16,725 | 5,895,228 | |
General Mills, Inc. (Food Products) | 20,124 | 1,234,004 |
5
(continued)
| Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Common Stocks (Continued) | Shares | Value | |
| Consumer Staples (continued) | |||
Herbalife Nutrition Ltd. (Personal Products) | (a) | 1,905 | $ 84,506 |
Hershey Co. / The (Food Products) | 17,868 | 2,826,003 | |
J.M. Smucker Co. / The (Food Products) | 2,425 | 306,835 | |
Kellogg Co. (Food Products) | 26,695 | 1,689,793 | |
McCormick & Co., Inc. (Food Products) | 13,066 | 1,164,965 | |
Molson Coors Beverage Co. Class B (Beverages) | 2,390 | 122,249 | |
PepsiCo, Inc. (Beverages) | 17,845 | 2,524,175 | |
Walmart, Inc. (Food & Staples Retailing) | 2,649 | 359,814 | |
| 25,001,152 | |||
| Energy–2.2% | |||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 13,932 | 1,459,934 | |
Cimarex Energy Co. (Oil, Gas & Consumable Fuels) | 5,048 | 299,801 | |
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 6,651 | 145,324 | |
Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels) | 1,120 | 82,309 | |
EQT Corp. (Oil, Gas & Consumable Fuels) | (a) | 2,453 | 45,577 |
Hess Corp. (Oil, Gas & Consumable Fuels) | 6,025 | 426,329 | |
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 90,185 | 1,501,580 | |
Phillips 66 (Oil, Gas & Consumable Fuels) | 35,554 | 2,899,073 | |
Schlumberger N.V. (Energy Equip. & Svs.) | 158,966 | 4,322,286 | |
TechnipFMC PLC (Energy Equip. & Svs.) | 37,951 | 292,982 | |
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 4,440 | 317,904 | |
| 11,793,099 | |||
| Financials–8.4% | |||
Allstate Corp. / The (Insurance) | 13,204 | 1,517,140 | |
Ally Financial, Inc. (Consumer Finance) | 12,343 | 558,027 | |
American Express Co. (Consumer Finance) | 28,999 | 4,101,618 | |
Arch Capital Group Ltd. (Insurance) | (a) | 1,796 | 68,912 |
Athene Holding Ltd. Class A (Insurance) | (a) | 19,777 | 996,761 |
Bank of Hawaii Corp. (Banks) | 2,063 | 184,618 | |
Bank of New York Mellon Corp. / The (Capital Markets) | 27,917 | 1,320,195 | |
Berkshire Hathaway, Inc. Class B (Diversified Financial Svs.) | (a) | 5,363 | 1,370,086 |
Charles Schwab Corp. / The (Capital Markets) | 11,134 | 725,714 | |
Citigroup, Inc. (Banks) | 17,113 | 1,244,971 | |
CME Group, Inc. (Capital Markets) | 4,774 | 974,994 | |
Essent Group Ltd. (Thrifts & Mortgage Finance) | 4,721 | 224,200 | |
First American Financial Corp. (Insurance) | 16,274 | 921,922 | |
Invesco Ltd. (Capital Markets) | 11,413 | 287,836 | |
JPMorgan Chase & Co. (Banks) | 37,238 | 5,668,741 | |
Marsh & McLennan Cos., Inc. (Insurance) | 16,442 | 2,002,636 | |
MetLife, Inc. (Insurance) | 30,061 | 1,827,408 | |
MGIC Investment Corp. (Thrifts & Mortgage Finance) | 10,738 | 148,721 | |
Moody's Corp. (Capital Markets) | 392 | 117,055 | |
Morgan Stanley (Capital Markets) | 68,851 | 5,346,969 | |
New York Community Bancorp, Inc. (Thrifts & Mortgage Finance) | 95,555 | 1,205,904 | |
Progressive Corp. / The (Insurance) | 10,667 | 1,019,872 | |
Rocket Cos., Inc. Class A (Thrifts & Mortgage Finance) | 3,265 | 75,389 | |
Signature Bank (Banks) | 2,912 | 658,403 | |
State Street Corp. (Capital Markets) | 4,744 | 398,543 | |
T. Rowe Price Group, Inc. (Capital Markets) | 6,700 | 1,149,720 | |
Travelers Cos., Inc. / The (Insurance) | 7,131 | 1,072,502 | |
Truist Financial Corp. (Banks) | 46,965 | 2,738,999 | |
Voya Financial, Inc. (Diversified Financial Svs.) | 35,983 | 2,289,958 | |
Wells Fargo & Co. (Banks) | 97,196 | 3,797,448 | |
Willis Towers Watson PLC (Insurance) | 1,441 | 329,816 | |
| 44,345,078 | |||
| Health Care–8.9% | |||
AbbVie, Inc. (Biotechnology) | 31,409 | 3,399,082 | |
Agilent Technologies, Inc. (Life Sciences Tools & Svs.) | 13,500 | 1,716,390 | |
Align Technology, Inc. (Health Care Equip. & Supplies) | (a) | 3,234 | 1,751,308 |
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 11,082 | 1,308,452 | |
Amgen, Inc. (Biotechnology) | 3,798 | 944,980 | |
Anthem, Inc. (Health Care Providers & Svs.) | 5,320 | 1,909,614 | |
Biogen, Inc. (Biotechnology) | (a) | 1,752 | 490,122 |
Bristol-Myers Squibb Co. (Pharmaceuticals) | 66,065 | 4,170,683 | |
Bruker Corp. (Life Sciences Tools & Svs.) | 2,950 | 189,626 | |
Cardinal Health, Inc. (Health Care Providers & Svs.) | 19,844 | 1,205,523 | |
Catalent, Inc. (Pharmaceuticals) | (a) | 2,035 | 214,306 |
6
(continued)
| Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Common Stocks (Continued) | Shares | Value | |
| Health Care (continued) | |||
Cerner Corp. (Health Care Technology) | 15,684 | $ 1,127,366 | |
Cigna Corp. (Health Care Providers & Svs.) | 3,289 | 795,083 | |
Danaher Corp. (Health Care Equip. & Supplies) | 4,611 | 1,037,844 | |
Dexcom, Inc. (Health Care Equip. & Supplies) | (a) | 2,269 | 815,456 |
Edwards Lifesciences Corp. (Health Care Equip. & Supplies) | (a) | 16,614 | 1,389,595 |
Envista Holdings Corp. (Health Care Equip. & Supplies) | (a) | 3,654 | 149,083 |
Gilead Sciences, Inc. (Biotechnology) | 76,653 | 4,954,083 | |
Henry Schein, Inc. (Health Care Providers & Svs.) | (a) | 12,626 | 874,224 |
Hill-Rom Holdings, Inc. (Health Care Equip. & Supplies) | 2,614 | 288,795 | |
Hologic, Inc. (Health Care Equip. & Supplies) | (a) | 901 | 67,016 |
Humana, Inc. (Health Care Providers & Svs.) | 1,506 | 631,391 | |
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a) | 3,192 | 1,561,878 |
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 137 | 101,235 |
Johnson & Johnson (Pharmaceuticals) | 30,027 | 4,934,937 | |
McKesson Corp. (Health Care Providers & Svs.) | 11,304 | 2,204,732 | |
Medtronic PLC (Health Care Equip. & Supplies) | 8,006 | 945,749 | |
Merck & Co., Inc. (Pharmaceuticals) | 4,468 | 344,438 | |
Pfizer, Inc. (Pharmaceuticals) | 62,499 | 2,264,339 | |
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a) | 1,214 | 574,392 |
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 9,408 | 3,500,435 | |
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a) | 5,524 | 1,187,052 |
| 47,049,209 | |||
| Industrials–6.6% | |||
AGCO Corp. (Machinery) | 452 | 64,930 | |
Alaska Air Group, Inc. (Airlines) | (a) | 960 | 66,442 |
Allegion PLC (Building Products) | 1,566 | 196,721 | |
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 1,207 | 115,184 | |
Caterpillar, Inc. (Machinery) | 181 | 41,968 | |
Cintas Corp. (Commercial Svs. & Supplies) | 1,648 | 562,479 | |
Copart, Inc. (Commercial Svs. & Supplies) | (a) | 19,215 | 2,086,941 |
Cummins, Inc. (Machinery) | 1,571 | 407,062 | |
Deere & Co. (Machinery) | 7,486 | 2,800,812 | |
Delta Air Lines, Inc. (Airlines) | (a) | 8,514 | 411,056 |
Dun & Bradstreet Holdings, Inc. (Professional Svs.) | (a) | 843 | 20,072 |
EMCOR Group, Inc. (Construction & Engineering) | 4,065 | 455,930 | |
Equifax, Inc. (Professional Svs.) | 1,508 | 273,144 | |
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 27,270 | 2,936,706 | |
Honeywell International, Inc. (Industrial Conglomerates) | 26,660 | 5,787,086 | |
IAA, Inc. (Commercial Svs. & Supplies) | (a) | 11,307 | 623,468 |
IHS Markit Ltd. (Professional Svs.) | 12,068 | 1,167,941 | |
Landstar System, Inc. (Road & Rail) | 2,618 | 432,127 | |
Lennox International, Inc. (Building Products) | 4,432 | 1,380,967 | |
Lockheed Martin Corp. (Aerospace & Defense) | 9,555 | 3,530,573 | |
MasTec, Inc. (Construction & Engineering) | (a) | 1,018 | 95,387 |
Mercury Systems, Inc. (Aerospace & Defense) | (a) | 3,432 | 242,471 |
Oshkosh Corp. (Machinery) | 4,108 | 487,455 | |
Quanta Services, Inc. (Construction & Engineering) | 1,586 | 139,536 | |
Robert Half International, Inc. (Professional Svs.) | 6,713 | 524,084 | |
Roper Technologies, Inc. (Industrial Conglomerates) | 2,120 | 855,081 | |
Ryder System, Inc. (Road & Rail) | 5,686 | 430,146 | |
Schneider National, Inc. Class B (Road & Rail) | 7,945 | 198,387 | |
SiteOne Landscape Supply, Inc. (Trading Companies & Distributors) | (a) | 4,919 | 839,870 |
Southwest Airlines Co. (Airlines) | 951 | 58,068 | |
Trane Technologies PLC (Building Products) | 22,588 | 3,739,669 | |
United Airlines Holdings, Inc. (Airlines) | (a) | 11,743 | 675,692 |
W.W. Grainger, Inc. (Trading Companies & Distributors) | 3,715 | 1,489,455 | |
Xylem, Inc. (Machinery) | 19,151 | 2,014,302 | |
| 35,151,212 | |||
| Information Technology–19.3% | |||
Accenture PLC Class A (IT Svs.) | 17,998 | 4,971,947 | |
Adobe, Inc. (Software) | (a) | 12,508 | 5,945,928 |
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | (a) | 15,291 | 1,200,343 |
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 169,482 | 20,702,231 | |
Applied Materials, Inc. (Semiconductors & Equip.) | 28,296 | 3,780,346 | |
Automatic Data Processing, Inc. (IT Svs.) | 12,916 | 2,434,279 | |
Cadence Design Systems, Inc. (Software) | (a) | 14,204 | 1,945,806 |
Cirrus Logic, Inc. (Semiconductors & Equip.) | (a) | 1,231 | 104,376 |
Cisco Systems, Inc. (Communications Equip.) | 42,677 | 2,206,828 |
7
(continued)
| Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Common Stocks (Continued) | Shares | Value | |
| Information Technology (continued) | |||
Dell Technologies, Inc. Class C (Tech. Hardware, Storage & Periph.) | (a) | 14,485 | $ 1,276,853 |
Enphase Energy, Inc. (Semiconductors & Equip.) | (a) | 481 | 77,999 |
Fidelity National Information Services, Inc. (IT Svs.) | 5,552 | 780,667 | |
Flex Ltd. (Electronic Equip., Instr. & Comp.) | (a) | 55,534 | 1,016,828 |
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 241,669 | 3,803,870 | |
HP, Inc. (Tech. Hardware, Storage & Periph.) | 8,314 | 263,969 | |
HubSpot, Inc. (Software) | (a) | 2,067 | 938,852 |
Intel Corp. (Semiconductors & Equip.) | 89,428 | 5,723,392 | |
Intuit, Inc. (Software) | 14,071 | 5,390,037 | |
Itron, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 4,813 | 426,672 |
Lam Research Corp. (Semiconductors & Equip.) | 477 | 283,929 | |
Mastercard, Inc. Class A (IT Svs.) | 8,511 | 3,030,342 | |
Microsoft Corp. (Software) | 67,525 | 15,920,369 | |
NVIDIA Corp. (Semiconductors & Equip.) | 5,492 | 2,932,344 | |
PayPal Holdings, Inc. (IT Svs.) | (a) | 14,846 | 3,605,203 |
QUALCOMM, Inc. (Semiconductors & Equip.) | 27,925 | 3,702,576 | |
Qualtrics International, Inc. Class A (Software) | (a) | 3,829 | 126,012 |
ServiceNow, Inc. (Software) | (a) | 6,472 | 3,236,712 |
Visa, Inc. (IT Svs.) | 24,748 | 5,239,894 | |
VMware, Inc. Class A (Software) | (a) | 7,277 | 1,094,825 |
| 102,163,429 | |||
| Materials–2.0% | |||
Amcor PLC (Containers & Packaging) | 34,416 | 401,979 | |
AptarGroup, Inc. (Containers & Packaging) | 3,708 | 525,312 | |
Crown Holdings, Inc. (Containers & Packaging) | 6,893 | 668,897 | |
Ecolab, Inc. (Chemicals) | 8,052 | 1,723,692 | |
FMC Corp. (Chemicals) | 8,887 | 982,991 | |
Linde PLC (Chemicals) | 3,778 | 1,058,369 | |
Martin Marietta Materials, Inc. (Construction Materials) | 327 | 109,813 | |
PPG Industries, Inc. (Chemicals) | 24,028 | 3,610,447 | |
Reliance Steel & Aluminum Co. (Metals & Mining) | 9,698 | 1,476,908 | |
| 10,558,408 | |||
| Real Estate–1.4% | |||
CBRE Group, Inc. Class A (Real Estate Mgmt. & Development) | (a) | 19,184 | 1,517,646 |
Equinix, Inc. (Equity REIT) | 3,880 | 2,636,809 | |
Kilroy Realty Corp. (Equity REIT) | 12,710 | 834,158 | |
Prologis, Inc. (Equity REIT) | 22,798 | 2,416,588 | |
| 7,405,201 | |||
| Utilities–1.5% | |||
Atmos Energy Corp. (Gas Utilities) | 748 | 73,940 | |
Avangrid, Inc. (Electric Utilities) | 2,184 | 108,785 | |
Brookfield Renewable Corp. Class A (Ind. Power & Renewable Elec.) | 1,703 | 79,700 | |
CMS Energy Corp. (Multi-Utilities) | 6,797 | 416,112 | |
Consolidated Edison, Inc. (Multi-Utilities) | 48,502 | 3,627,950 | |
Eversource Energy (Electric Utilities) | 15,526 | 1,344,396 | |
NextEra Energy, Inc. (Electric Utilities) | 24,064 | 1,819,479 | |
Sunnova Energy International, Inc. (Ind. Power & Renewable Elec.) | (a) | 10,196 | 416,201 |
Xcel Energy, Inc. (Electric Utilities) | 4,121 | 274,088 | |
| 8,160,651 | |||
Total Common Stocks (Cost $316,093,707) | $376,021,208 |
| Corporate Bonds–25.6% | Rate | Maturity | Face Amount | Value | |
| Communication Services–2.3% | |||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.900% | 08/15/2037 | $ 1,000,000 | $ 1,183,592 | |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 3.700% | 04/01/2051 | 1,200,000 | 1,122,365 | |
Comcast Corp. (Media) | 3.250% | 11/01/2039 | 2,000,000 | 2,060,287 | |
Lamar Media Corp. (Media) | 4.875% | 01/15/2029 | 800,000 | 834,000 | |
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 3.700% | 11/15/2049 | 1,400,000 | 1,390,103 | |
Time Warner Cable LLC (Media) | 6.550% | 05/01/2037 | 150,000 | 197,249 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | (b) | 3.875% | 04/15/2030 | 1,200,000 | 1,302,432 |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.500% | 08/10/2033 | 1,000,000 | 1,161,521 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.400% | 11/01/2034 | 1,000,000 | 1,143,090 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 2.875% | 11/20/2050 | 1,000,000 | 888,782 | |
Walt Disney Co. / The (Entertainment) | 3.600% | 01/13/2051 | 750,000 | 798,011 | |
| 12,081,432 |
8
(continued)
| Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Consumer Discretionary–2.0% | |||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 3.875% | 08/22/2037 | $ 1,000,000 | $ 1,145,782 | |
Aptiv PLC (Auto Components) | 4.350% | 03/15/2029 | 150,000 | 168,959 | |
Best Buy Co., Inc. (Specialty Retail) | 1.950% | 10/01/2030 | 2,000,000 | 1,883,824 | |
Expedia Group, Inc. (Hotels, Restaurants & Leisure) | (b) | 4.625% | 08/01/2027 | 1,000,000 | 1,112,745 |
Hasbro, Inc. (Leisure Products) | 3.900% | 11/19/2029 | 2,000,000 | 2,150,921 | |
Lear Corp. (Auto Components) | 3.500% | 05/30/2030 | 1,000,000 | 1,042,585 | |
Lowe's Cos., Inc. (Specialty Retail) | 3.000% | 10/15/2050 | 1,000,000 | 932,719 | |
Target Corp. (Multiline Retail) | 2.350% | 02/15/2030 | 2,000,000 | 2,027,684 | |
| 10,465,219 | |||||
| Consumer Staples–2.6% | |||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.700% | 02/01/2036 | 2,000,000 | 2,342,937 | |
B.A.T. Capital Corp. (Tobacco) | 3.215% | 09/06/2026 | 1,000,000 | 1,056,182 | |
B.A.T. Capital Corp. (Tobacco) | 4.700% | 04/02/2027 | 1,000,000 | 1,125,647 | |
Campbell Soup Co. (Food Products) | 4.150% | 03/15/2028 | 2,000,000 | 2,241,122 | |
Costco Wholesale Corp. (Food & Staples Retailing) | 1.750% | 04/20/2032 | 800,000 | 760,425 | |
Diageo Capital PLC (Beverages) | 2.375% | 10/24/2029 | 2,000,000 | 2,013,545 | |
Hershey Co. / The (Food Products) | 1.700% | 06/01/2030 | 1,200,000 | 1,146,419 | |
Keurig Dr Pepper, Inc. (Beverages) | 3.430% | 06/15/2027 | 1,000,000 | 1,096,114 | |
Kraft Heinz Foods Co. (Food Products) | 4.625% | 10/01/2039 | 800,000 | 864,330 | |
Philip Morris International, Inc. (Tobacco) | 3.375% | 08/15/2029 | 1,000,000 | 1,077,955 | |
| 13,724,676 | |||||
| Energy–2.7% | |||||
Baker Hughes, a GE Co. LLC / Baker Hughes Co-Obligor, Inc. (Energy Equip. & Svs.) | 3.337% | 12/15/2027 | 1,000,000 | 1,070,747 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 3.017% | 01/16/2027 | 1,000,000 | 1,068,806 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 1.749% | 08/10/2030 | 600,000 | 566,745 | |
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.895% | 03/03/2024 | 100,000 | 106,595 | |
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.236% | 05/11/2030 | 1,200,000 | 1,193,971 | |
ConocoPhillips (Oil, Gas & Consumable Fuels) | (b) | 3.750% | 10/01/2027 | 1,000,000 | 1,104,957 |
ConocoPhillips (Oil, Gas & Consumable Fuels) | (b) | 2.400% | 02/15/2031 | 1,200,000 | 1,184,047 |
Energy Transfer LP (Oil, Gas & Consumable Fuels) | 4.950% | 06/15/2028 | 1,000,000 | 1,119,060 | |
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 3.150% | 04/01/2025 | 100,000 | 106,894 | |
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 4.114% | 03/01/2046 | 100,000 | 109,887 | |
Halliburton Co. (Energy Equip. & Svs.) | 4.850% | 11/15/2035 | 100,000 | 112,381 | |
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 5.300% | 12/01/2034 | 1,000,000 | 1,180,994 | |
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 3.850% | 06/01/2025 | 150,000 | 160,723 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 5.850% | 01/15/2026 | 800,000 | 936,532 | |
Sabine Pass Liquefaction LLC (Oil, Gas & Consumable Fuels) | 4.500% | 05/15/2030 | 400,000 | 448,875 | |
Shell International Finance B.V. (Oil, Gas & Consumable Fuels) | 4.000% | 05/10/2046 | 1,500,000 | 1,672,942 | |
Tennessee Gas Pipeline Co. LLC (Oil, Gas & Consumable Fuels) | (b) | 2.900% | 03/01/2030 | 1,000,000 | 995,709 |
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.750% | 06/15/2027 | 1,000,000 | 1,090,076 | |
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 5.400% | 03/04/2044 | 100,000 | 116,059 | |
| 14,346,000 | |||||
| Financials–6.6% | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 3.300% | 01/23/2023 | 1,000,000 | 1,036,830 | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 4.875% | 01/16/2024 | 1,000,000 | 1,088,146 | |
American International Group, Inc. (Insurance) | 3.875% | 01/15/2035 | 150,000 | 163,108 | |
Bank of America Corp. (Banks) | 3.875% | 08/01/2025 | 1,000,000 | 1,104,502 | |
Bank of Montreal (Rate is fixed until 12/15/2027, at which point, the rate becomes USSW5 + 143) (Banks) | (c) | 3.803% | 12/15/2032 | 200,000 | 219,692 |
Berkshire Hathaway, Inc. (Diversified Financial Svs.) | 3.125% | 03/15/2026 | 100,000 | 108,867 | |
BlackRock, Inc. (Capital Markets) | 2.400% | 04/30/2030 | 2,000,000 | 2,029,872 | |
Capital One Bank U.S.A. N.A. (Rate is fixed until 01/28/2025, at which point, the rate becomes SOFR + 91) (Consumer Finance) | (c) | 2.280% | 01/28/2026 | 1,000,000 | 1,026,446 |
Citigroup, Inc. (Banks) | 4.125% | 07/25/2028 | 1,000,000 | 1,106,626 | |
Citigroup, Inc. (Rate is fixed until 11/05/2029, at which point, the rate becomes SOFR + 142) (Banks) | (c) | 2.976% | 11/05/2030 | 1,000,000 | 1,034,188 |
Discover Bank (Banks) | 2.450% | 09/12/2024 | 1,000,000 | 1,046,740 | |
Discover Bank (Rate is fixed until 08/09/2023, at which point, the rate becomes USSW5 + 173) (Banks) | (c) | 4.682% | 08/09/2028 | 250,000 | 266,650 |
E*TRADE Financial Corp. (Capital Markets) | 2.950% | 08/24/2022 | 200,000 | 206,533 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 3.087% | 01/09/2023 | 2,000,000 | 2,032,460 | |
General Motors Financial Co., Inc. (Consumer Finance) | 3.200% | 07/06/2021 | 100,000 | 100,434 | |
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.750% | 05/22/2025 | 1,000,000 | 1,091,644 | |
Goldman Sachs Group, Inc. / The (Rate is fixed until 06/05/2027, at which point, the rate becomes QL + 151) (Capital Markets) | (c) | 3.691% | 06/05/2028 | 1,000,000 | 1,094,163 |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. (Diversified Financial Svs.) | 4.850% | 01/15/2027 | 200,000 | 230,081 | |
JPMorgan Chase & Co. (Banks) | 3.625% | 12/01/2027 | 1,000,000 | 1,086,574 | |
JPMorgan Chase & Co. (Rate is fixed until 05/13/2030, at which point, the rate becomes SOFR + 252) (Banks) | (c) | 2.956% | 05/13/2031 | 1,000,000 | 1,018,491 |
9
(continued)
| Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Financials (continued) | |||||
Marsh & McLennan Cos., Inc. (Insurance) | 3.500% | 06/03/2024 | $ 100,000 | $ 107,705 | |
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 1,000,000 | 1,106,575 | |
Morgan Stanley (Rate is fixed until 01/22/2030, at which point, the rate becomes SOFR + 114) (Capital Markets) | (c) | 2.699% | 01/22/2031 | 1,500,000 | 1,526,293 |
Nasdaq, Inc. (Capital Markets) | 3.850% | 06/30/2026 | 1,000,000 | 1,103,865 | |
PNC Bank N.A. (Banks) | 4.050% | 07/26/2028 | 1,950,000 | 2,179,894 | |
S&P Global, Inc. (Capital Markets) | 1.250% | 08/15/2030 | 400,000 | 366,223 | |
State Street Corp. (Capital Markets) | 2.200% | 03/03/2031 | 1,000,000 | 974,547 | |
Synchrony Financial (Consumer Finance) | 4.250% | 08/15/2024 | 1,000,000 | 1,087,807 | |
TD Ameritrade Holding Corp. (Capital Markets) | 3.300% | 04/01/2027 | 1,000,000 | 1,086,129 | |
Truist Bank (Rate is fixed until 09/17/2024, at which point, the rate becomes H15T5Y + 115) (Banks) | (c) | 2.636% | 09/17/2029 | 3,000,000 | 3,142,590 |
U.S. Bancorp (Banks) | 1.375% | 07/22/2030 | 1,000,000 | 921,926 | |
Wells Fargo & Co. (Banks) | 3.000% | 04/22/2026 | 1,500,000 | 1,602,919 | |
Wells Fargo & Co. (Rate is fixed until 04/30/2040, at which point, the rate becomes SOFR + 253) (Banks) | (c) | 3.068% | 04/30/2041 | 800,000 | 784,485 |
Westpac Banking Corp. (Rate is fixed until 02/04/2025, at which point, the rate becomes H15T5Y + 135) (Banks) | (c) | 2.894% | 02/04/2030 | 1,500,000 | 1,545,015 |
Westpac Banking Corp. (Rate is fixed until 11/23/2026, at which point, the rate becomes USISDA05 + 224) (Banks) | (c) | 4.322% | 11/23/2031 | 200,000 | 220,916 |
| 34,848,936 | |||||
| Health Care–1.8% | |||||
AbbVie, Inc. (Biotechnology) | 3.200% | 11/21/2029 | 1,000,000 | 1,063,772 | |
AbbVie, Inc. (Biotechnology) | 4.250% | 11/21/2049 | 2,000,000 | 2,263,072 | |
HCA, Inc. (Health Care Providers & Svs.) | 5.250% | 06/15/2026 | 2,000,000 | 2,298,716 | |
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 2.800% | 06/30/2031 | 800,000 | 813,140 | |
Regeneron Pharmaceuticals, Inc. (Biotechnology) | 1.750% | 09/15/2030 | 1,200,000 | 1,109,787 | |
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 3.875% | 12/15/2028 | 2,000,000 | 2,254,204 | |
| 9,802,691 | |||||
| Industrials–2.0% | |||||
Air Lease Corp. (Trading Companies & Distributors) | 2.250% | 01/15/2023 | 1,000,000 | 1,026,260 | |
Air Lease Corp. (Trading Companies & Distributors) | 2.300% | 02/01/2025 | 2,000,000 | 2,042,815 | |
Boeing Co. / The (Aerospace & Defense) | 3.200% | 03/01/2029 | 1,500,000 | 1,519,067 | |
Burlington Northern Santa Fe LLC (Road & Rail) | 4.550% | 09/01/2044 | 100,000 | 118,237 | |
FedEx Corp. (Air Freight & Logistics) | 4.900% | 01/15/2034 | 1,000,000 | 1,203,492 | |
Lockheed Martin Corp. (Aerospace & Defense) | 1.850% | 06/15/2030 | 800,000 | 779,011 | |
Lockheed Martin Corp. (Aerospace & Defense) | 3.600% | 03/01/2035 | 100,000 | 111,400 | |
Northrop Grumman Corp. (Aerospace & Defense) | 2.930% | 01/15/2025 | 100,000 | 106,418 | |
Parker-Hannifin Corp. (Machinery) | 4.200% | 11/21/2034 | 100,000 | 113,229 | |
Union Pacific Corp. (Road & Rail) | 3.250% | 08/15/2025 | 100,000 | 108,105 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 4.875% | 01/15/2028 | 1,000,000 | 1,053,370 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.250% | 01/15/2030 | 100,000 | 108,530 | |
Waste Connections, Inc. (Commercial Svs. & Supplies) | 4.250% | 12/01/2028 | 200,000 | 224,992 | |
Waste Connections, Inc. (Commercial Svs. & Supplies) | 2.600% | 02/01/2030 | 2,000,000 | 2,008,523 | |
| 10,523,449 | |||||
| Information Technology–0.7% | |||||
Broadcom, Inc. (Semiconductors & Equip.) | (b) | 2.600% | 02/15/2033 | 1,000,000 | 931,536 |
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 4.900% | 10/15/2025 | 150,000 | 171,059 | |
Oracle Corp. (Software) | 4.300% | 07/08/2034 | 2,100,000 | 2,362,660 | |
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | 4.875% | 03/01/2024 | 100,000 | 107,417 | |
| 3,572,672 | |||||
| Materials–1.4% | |||||
Anglo American Capital PLC (Metals & Mining) | (b) | 4.000% | 09/11/2027 | 100,000 | 110,213 |
Dow Chemical Co. / The (Chemicals) | 4.250% | 10/01/2034 | 2,000,000 | 2,213,871 | |
DuPont de Nemours, Inc. (Chemicals) | 2.169% | 05/01/2023 | 1,000,000 | 1,004,221 | |
Kinross Gold Corp. (Metals & Mining) | 4.500% | 07/15/2027 | 1,000,000 | 1,126,332 | |
Mosaic Co. / The (Chemicals) | 4.050% | 11/15/2027 | 1,000,000 | 1,110,037 | |
Nutrien Ltd. (Chemicals) | 4.200% | 04/01/2029 | 100,000 | 112,534 | |
Steel Dynamics, Inc. (Metals & Mining) | 3.250% | 01/15/2031 | 800,000 | 846,665 | |
Yamana Gold, Inc. (Metals & Mining) | 4.625% | 12/15/2027 | 1,000,000 | 1,094,205 | |
| 7,618,078 | |||||
| Real Estate–0.8% | |||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 3.950% | 01/15/2028 | 1,000,000 | 1,111,475 | |
American Tower Corp. (Equity REIT) | 2.750% | 01/15/2027 | 2,000,000 | 2,087,681 | |
Healthcare Realty Trust, Inc. (Equity REIT) | 3.875% | 05/01/2025 | 100,000 | 108,457 |
10
(continued)
| Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Real Estate (continued) | |||||
Healthpeak Properties, Inc. (Equity REIT) | 4.000% | 06/01/2025 | $ 100,000 | $ 110,535 | |
Welltower, Inc. (Equity REIT) | 2.700% | 02/15/2027 | 1,000,000 | 1,042,737 | |
| 4,460,885 | |||||
| Utilities–2.7% | |||||
AEP Transmission Co. LLC (Electric Utilities) | 4.000% | 12/01/2046 | 1,000,000 | 1,097,618 | |
AEP Transmission Co. LLC (Electric Utilities) | 3.750% | 12/01/2047 | 1,000,000 | 1,063,647 | |
Ameren Corp. (Multi-Utilities) | 2.500% | 09/15/2024 | 1,000,000 | 1,051,331 | |
Ameren Corp. (Multi-Utilities) | 3.500% | 01/15/2031 | 1,000,000 | 1,061,252 | |
American Water Capital Corp. (Water Utilities) | 4.300% | 12/01/2042 | 100,000 | 113,270 | |
Berkshire Hathaway Energy Co. (Multi-Utilities) | 3.250% | 04/15/2028 | 100,000 | 107,802 | |
Black Hills Corp. (Multi-Utilities) | 3.050% | 10/15/2029 | 2,500,000 | 2,578,677 | |
Commonwealth Edison Co. (Electric Utilities) | 4.350% | 11/15/2045 | 1,000,000 | 1,158,169 | |
Connecticut Light & Power Co. / The (Electric Utilities) | 4.000% | 04/01/2048 | 1,000,000 | 1,133,771 | |
Duke Energy Corp. (Electric Utilities) | 3.750% | 09/01/2046 | 1,500,000 | 1,508,514 | |
Duke Energy Indiana LLC (Electric Utilities) | 3.250% | 10/01/2049 | 1,000,000 | 986,868 | |
FirstEnergy Transmission LLC (Electric Utilities) | (b) | 4.550% | 04/01/2049 | 200,000 | 210,911 |
Florida Power & Light Co. (Electric Utilities) | 3.150% | 10/01/2049 | 1,000,000 | 1,006,414 | |
Jersey Central Power & Light Co. (Electric Utilities) | (b) | 4.300% | 01/15/2026 | 100,000 | 109,280 |
Public Service Electric & Gas Co. (Multi-Utilities) | 3.600% | 12/01/2047 | 1,000,000 | 1,066,172 | |
| 14,253,696 | |||||
Total Corporate Bonds (Cost $132,180,818) | $135,697,734 |
| Asset-Backed Securities–0.6% | Rate | Maturity | Face Amount | Value | |
| Industrials–0.6% | |||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | 1.875% | 02/20/2034 | $ 1,946,527 | $ 1,885,072 | |
United Airlines 2016-1 Class B Pass Through Trust | 3.650% | 01/07/2026 | 148,611 | 146,749 | |
United Airlines 2019-2 Class AA Pass Through Trust | 2.700% | 05/01/2032 | 985,231 | 956,881 | |
Total Asset-Backed Securities (Cost $3,080,370) | $2,988,702 |
| Money Market Funds–2.3% | Shares | Value | |
State Street Institutional Liquid Reserves Fund Institutional Class, 0.069% | (d) | 12,281,732 | $ 12,285,416 |
Total Money Market Funds (Cost $12,285,254) | $12,285,416 | ||
Total Investments – 99.5% (Cost $463,640,149) | (e) | $526,993,060 | |
Other Assets in Excess of Liabilities – 0.5% | (f) | 2,438,276 | |
| Net Assets – 100.0% | $529,431,336 |
Percentages are stated as a percent of net assets. |
| Abbreviations: | ||
| H15T5Y: | U.S. Treasury Yield Curve Rate T-Note Constant Maturity 5 Year, 0.920% at 03/31/2021 | |
| QL: | Quarterly U.S. LIBOR Rate, 0.194% at 03/31/2021 | |
| SOFR: | Secured Overnight Financing Rate, 0.010% at 03/31/2021 | |
| USISDA05: | USD ICE Swap Rate 11:00am NY 5 Year, 1.027% at 01/31/2021 | |
| USSW5: | USD Swap Semi 30/360 5 Year, 1.057% at 03/31/2021 | |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At March 31, 2021, the value of these securities totaled $7,061,830, or 1.3% of the Portfolio’s net assets. | |
| (c) | Security is a fixed-then-variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated, including interest rate caps and floors, if any, are those in effect at March 31, 2021. | |
| (d) | Rate represents the seven-day yield at March 31, 2021. | |
| (e) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
| (f) | Includes $682,000 of cash pledged as collateral for the futures contracts outstanding at March 31, 2021. See also the following Schedule of Open Futures Contracts. | |
The accompanying notes are an integral part of these financial statements.
| Schedule of Open Futures Contracts | March 31, 2021 (Unaudited) |
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CME E-mini S&P 500 Index - Long | 62 | June 18, 2021 | $12,201,130 | $12,298,940 | $97,810 | $56,433 |
The accompanying notes are an integral part of these financial statements.
11
| Ohio National Fund, Inc. | ON BlackRock Advantage International Equity Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
12
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage International Equity Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
13
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage International Equity Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
14
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage International Equity Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
15
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage International Equity Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
16
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage International Equity Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
17
| Ohio National Fund, Inc. | ON BlackRock Advantage International Equity Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Footnotes: | ||
| (a) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $484,698,749 or 97.0% of the Portfolio’s net assets. | |
| (b) | Non-income producing security. | |
| (c) | As discussed in Note 2 of the Notes to Schedules of Investments, not all investments that are traded on a foreign exchange are valued at an estimate that is different from the local close price. In some instances, the independent fair valuation service uses a stock’s local close price because the service’s measure of predictability related to their valuation model of a stock is below a chosen threshold. These securities represent $1,864,514 or 0.4% of the Portfolio’s net assets. Other Portfolio securities are not subjected to fair valuation procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. | |
| (d) | Represents twelve-month dividend yield. Rates are determined by actual distributions, which are impacted by factors unique to each preference share such as board authorization, distributable earnings, and preferred payout features compared to other classes of equity. | |
| (e) | Rate represents the seven-day yield at March 31, 2021. | |
| (f) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
| (g) | Includes $768,398 of cash pledged as collateral for the futures contracts outstanding at March 31, 2021. See also the following Schedule of Open Futures Contracts. | |
| Schedule of Open Futures Contracts | March 31, 2021 (Unaudited) |
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| MSCI EAFE Index - Long | 98 | June 18, 2021 | $10,812,782 | $10,740,800 | $(71,982) | $(46,780) |
The accompanying notes are an integral part of these financial statements.
18
| Ohio National Fund, Inc. | ON Janus Henderson Forty Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Abbreviations: | ||
| ADR: | American Depositary Receipts | |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $4,405,137 or 2.2% of the Portfolio’s net assets. | |
| (c) | Rate represents the seven-day yield at March 31, 2021. | |
| (d) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
The accompanying notes are an integral part of these financial statements.
19
| Ohio National Fund, Inc. | ON Janus Henderson Venture Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
20
(continued)
| Ohio National Fund, Inc. | ON Janus Henderson Venture Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Abbreviations: | ||
| ADR: | American Depositary Receipts | |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $9,036 or 0.0% of the Portfolio’s net assets. Other Portfolio securities are not subjected to fair value procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. | |
| (c) | Rate represents the seven-day yield at March 31, 2021. | |
| (d) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
The accompanying notes are an integral part of these financial statements.
21
| Ohio National Fund, Inc. | ON Janus Henderson Enterprise Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
22
(continued)
| Ohio National Fund, Inc. | ON Janus Henderson Enterprise Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Abbreviations: | ||
| ADR: | American Depositary Receipts | |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $1,845,209 or 1.7% of the Portfolio’s net assets. | |
| (c) | Rate represents the seven-day yield at March 31, 2021. | |
| (d) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
The accompanying notes are an integral part of these financial statements.
23
| Ohio National Fund, Inc. | ON S&P 500® Index Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
24
(continued)
| Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
25
(continued)
| Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
26
(continued)
| Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
27
(continued)
| Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Rate represents the seven-day yield at March 31, 2021. | |
| (c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
| (d) | Includes $385,000 of cash pledged as collateral for the futures contracts outstanding at March 31, 2021. See also the following Schedule of Open Futures Contracts. | |
The accompanying notes are an integral part of these financial statements.
28
| Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
| Schedule of Open Futures Contracts | March 31, 2021 (Unaudited) |
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CME E-mini S&P 500 Index - Long | 35 | June 18, 2021 | $6,869,249 | $6,942,950 | $73,701 | $28,863 |
The accompanying notes are an integral part of these financial statements.
29
| Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
30
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
31
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
32
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Rate represents the seven-day yield at March 31, 2021. | |
| (c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
| (d) | Includes $605,000 of cash pledged as collateral for the futures contracts outstanding at March 31, 2021. See also the following Schedule of Open Futures Contracts. | |
| Schedule of Open Futures Contracts | March 31, 2021 (Unaudited) |
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CME E-mini S&P 500 Index - Long | 50 | June 18, 2021 | $9,836,895 | $9,918,500 | $81,605 | $38,120 |
The accompanying notes are an integral part of these financial statements.
33
| Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds–96.5% | Rate | Maturity | Face Amount | Value | |
| Communication Services–16.4% | |||||
Altice France SA (Diversified Telecom. Svs.) | (a) | 7.375% | 05/01/2026 | $ 825,000 | $ 858,082 |
AMC Networks, Inc. (Media) | 5.000% | 04/01/2024 | 240,000 | 243,000 | |
AMC Networks, Inc. (Media) | 4.750% | 08/01/2025 | 175,000 | 179,519 | |
AMC Networks, Inc. (Media) | 4.250% | 02/15/2029 | 350,000 | 340,375 | |
Cars.com, Inc. (Interactive Media & Svs.) | (a) | 6.375% | 11/01/2028 | 375,000 | 390,938 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.750% | 02/15/2026 | 52,000 | 53,651 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.875% | 05/01/2027 | 900,000 | 928,800 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.000% | 02/01/2028 | 650,000 | 687,472 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.375% | 06/01/2029 | 175,000 | 187,688 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 4.750% | 03/01/2030 | 1,750,000 | 1,813,437 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 4.500% | 08/15/2030 | 250,000 | 254,800 |
CSC Holdings LLC (Media) | 5.250% | 06/01/2024 | 375,000 | 404,531 | |
CSC Holdings LLC (Media) | (a) | 5.500% | 04/15/2027 | 1,100,000 | 1,155,385 |
CSC Holdings LLC (Media) | (a) | 7.500% | 04/01/2028 | 550,000 | 606,540 |
CSC Holdings LLC (Media) | (a) | 5.750% | 01/15/2030 | 300,000 | 315,974 |
CSC Holdings LLC (Media) | (a) | 4.125% | 12/01/2030 | 200,000 | 198,656 |
CSC Holdings LLC (Media) | (a) | 4.625% | 12/01/2030 | 675,000 | 663,940 |
CSC Holdings LLC (Media) | (a) | 3.375% | 02/15/2031 | 200,000 | 188,500 |
Cumulus Media New Holdings, Inc. (Media) | (a) | 6.750% | 07/01/2026 | 306,000 | 311,738 |
Diamond Sports Group LLC / Diamond Sports Finance Co. (Media) | (a) | 5.375% | 08/15/2026 | 400,000 | 288,000 |
Diamond Sports Group LLC / Diamond Sports Finance Co. (Media) | (a) | 6.625% | 08/15/2027 | 525,000 | 273,000 |
DISH DBS Corp. (Media) | 5.875% | 11/15/2024 | 175,000 | 183,019 | |
DISH DBS Corp. (Media) | 7.750% | 07/01/2026 | 675,000 | 745,021 | |
DISH DBS Corp. (Media) | 7.375% | 07/01/2028 | 100,000 | 104,905 | |
Entercom Media Corp. (Media) | (a) | 7.250% | 11/01/2024 | 575,000 | 595,125 |
Entercom Media Corp. (Media) | (a) | 6.500% | 05/01/2027 | 400,000 | 413,500 |
Entercom Media Corp. (Media) | (a) | 6.750% | 03/31/2029 | 150,000 | 155,768 |
Gray Television, Inc. (Media) | (a) | 5.875% | 07/15/2026 | 750,000 | 777,187 |
Gray Television, Inc. (Media) | (a) | 4.750% | 10/15/2030 | 75,000 | 74,344 |
iHeartCommunications, Inc. (Media) | 6.375% | 05/01/2026 | 41,769 | 44,327 | |
iHeartCommunications, Inc. (Media) | 8.375% | 05/01/2027 | 975,707 | 1,046,446 | |
iHeartCommunications, Inc. (Media) | (a) | 5.250% | 08/15/2027 | 250,000 | 257,153 |
iHeartCommunications, Inc. (Media) | (a) | 4.750% | 01/15/2028 | 100,000 | 100,750 |
Intelsat Jackson Holdings SA (Acquired 05/15/2018, Cost $259,500) (Diversified Telecom. Svs.) | (b) | 5.500% | 08/01/2023 | 300,000 | 183,750 |
Intelsat Jackson Holdings SA (Acquired 10/02/2018, Cost $50,375) (Diversified Telecom. Svs.) | (a)(b) | 8.500% | 10/15/2024 | 50,000 | 31,349 |
Intelsat Jackson Holdings SA (Acquired 06/19/2017, Cost $250,000) (Diversified Telecom. Svs.) | (a)(b) | 9.750% | 07/15/2025 | 250,000 | 154,375 |
Lamar Media Corp. (Media) | 4.875% | 01/15/2029 | 125,000 | 130,313 | |
Lamar Media Corp. (Media) | (a) | 3.625% | 01/15/2031 | 100,000 | 96,605 |
Match Group Holdings II LLC (Interactive Media & Svs.) | (a) | 5.000% | 12/15/2027 | 450,000 | 471,375 |
Match Group Holdings II LLC (Interactive Media & Svs.) | (a) | 4.625% | 06/01/2028 | 75,000 | 76,632 |
Match Group Holdings II LLC (Interactive Media & Svs.) | (a) | 4.125% | 08/01/2030 | 425,000 | 426,194 |
Nexstar Broadcasting, Inc. (Media) | (a) | 5.625% | 07/15/2027 | 300,000 | 314,436 |
Nexstar Broadcasting, Inc. (Media) | (a) | 4.750% | 11/01/2028 | 675,000 | 682,111 |
Rackspace Technology Global, Inc. (Interactive Media & Svs.) | (a) | 3.500% | 02/15/2028 | 350,000 | 336,403 |
Rackspace Technology Global, Inc. (Interactive Media & Svs.) | (a) | 5.375% | 12/01/2028 | 200,000 | 203,365 |
Scripps Escrow II, Inc. (Media) | (a) | 3.875% | 01/15/2029 | 100,000 | 98,250 |
Scripps Escrow II, Inc. (Media) | (a) | 5.375% | 01/15/2031 | 125,000 | 124,063 |
Scripps Escrow, Inc. (Media) | (a) | 5.875% | 07/15/2027 | 300,000 | 310,500 |
Sinclair Television Group, Inc. (Media) | (a) | 5.875% | 03/15/2026 | 650,000 | 661,375 |
Sinclair Television Group, Inc. (Media) | (a) | 5.125% | 02/15/2027 | 125,000 | 122,031 |
Sinclair Television Group, Inc. (Media) | (a) | 5.500% | 03/01/2030 | 250,000 | 243,125 |
Sirius XM Radio, Inc. (Media) | (a) | 5.375% | 07/15/2026 | 725,000 | 748,562 |
Sirius XM Radio, Inc. (Media) | (a) | 5.000% | 08/01/2027 | 75,000 | 78,679 |
Sirius XM Radio, Inc. (Media) | (a) | 4.125% | 07/01/2030 | 475,000 | 475,546 |
Sprint Corp. (Wireless Telecom. Svs.) | 7.625% | 02/15/2025 | 625,000 | 745,312 | |
TEGNA, Inc. (Media) | 4.625% | 03/15/2028 | 300,000 | 305,250 | |
TEGNA, Inc. (Media) | 5.000% | 09/15/2029 | 750,000 | 778,320 | |
Telenet Finance Luxembourg Notes SARL (Media) | (a) | 5.500% | 03/01/2028 | 800,000 | 840,000 |
Terrier Media Buyer, Inc. (Media) | (a) | 8.875% | 12/15/2027 | 1,000,000 | 1,076,050 |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 5.125% | 04/15/2025 | 675,000 | 685,402 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 4.500% | 02/01/2026 | 25,000 | 25,578 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 2.875% | 02/15/2031 | 150,000 | 144,975 | |
Townsquare Media, Inc. (Media) | (a) | 6.875% | 02/01/2026 | 150,000 | 159,750 |
Urban One, Inc. (Media) | (a) | 7.375% | 02/01/2028 | 275,000 | 284,716 |
Virgin Media Finance PLC (Media) | (a) | 5.000% | 07/15/2030 | 325,000 | 324,594 |
Virgin Media Secured Finance PLC (Media) | (a) | 4.500% | 08/15/2030 | 200,000 | 201,750 |
Virgin Media Vendor Financing Notes IV DAC (Media) | (a) | 5.000% | 07/15/2028 | 575,000 | 585,062 |
Vmed O2 U.K. Financing I PLC (Wireless Telecom. Svs.) | (a) | 4.250% | 01/31/2031 | 200,000 | 194,420 |
WMG Acquisition Corp. (Entertainment) | (a) | 3.875% | 07/15/2030 | 75,000 | 75,723 |
Ziggo B.V. (Diversified Telecom. Svs.) | (a) | 5.500% | 01/15/2027 | 477,000 | 496,676 |
Ziggo Bond Co. B.V. (Diversified Telecom. Svs.) | (a) | 6.000% | 01/15/2027 | 625,000 | 651,562 |
| 28,385,750 | |||||
| Consumer Discretionary–12.1% | |||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.000% | 10/15/2030 | 1,800,000 | 1,737,000 |
Academy Ltd. (Specialty Retail) | (a) | 6.000% | 11/15/2027 | 175,000 | 184,187 |
Adient Global Holdings Ltd. (Auto Components) | (a) | 4.875% | 08/15/2026 | 675,000 | 697,666 |
Affinity Gaming (Hotels, Restaurants & Leisure) | (a) | 6.875% | 12/15/2027 | 325,000 | 342,469 |
American Axle & Manufacturing, Inc. (Auto Components) | 6.500% | 04/01/2027 | 275,000 | 285,312 |
34
(continued)
| Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Consumer Discretionary (continued) | |||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (a) | 6.375% | 05/01/2025 | $ 275,000 | $ 291,500 |
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | 4.750% | 06/01/2026 | 375,000 | 385,500 | |
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 02/01/2028 | 100,000 | 103,775 |
Bally's Corp. (Hotels, Restaurants & Leisure) | (a) | 6.750% | 06/01/2027 | 175,000 | 187,688 |
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | (a) | 8.625% | 06/01/2025 | 50,000 | 55,600 |
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 6.375% | 04/01/2026 | 525,000 | 542,062 | |
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 6.000% | 08/15/2026 | 275,000 | 286,323 | |
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 4.750% | 12/01/2027 | 75,000 | 76,442 | |
Caesars Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 6.250% | 07/01/2025 | 325,000 | 346,455 |
Caesars Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 8.125% | 07/01/2027 | 450,000 | 496,235 |
Caesars Resort Collection LLC / CRC Finco, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.750% | 07/01/2025 | 50,000 | 52,765 |
Caesars Resort Collection LLC / CRC Finco, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.250% | 10/15/2025 | 400,000 | 401,474 |
CCM Merger, Inc. (Hotels, Restaurants & Leisure) | (a) | 6.375% | 05/01/2026 | 50,000 | 53,094 |
Clarios Global LP / Clarios U.S. Finance Co. (Auto Components) | (a) | 6.250% | 05/15/2026 | 125,000 | 132,755 |
Clarios Global LP / Clarios U.S. Finance Co. (Auto Components) | (a) | 8.500% | 05/15/2027 | 1,175,000 | 1,264,594 |
Dana Financing Luxembourg SARL (Auto Components) | (a) | 6.500% | 06/01/2026 | 650,000 | 674,375 |
Garda World Security Corp. (Diversified Consumer Svs.) | (a) | 9.500% | 11/01/2027 | 1,103,000 | 1,220,878 |
Gates Global LLC / Gates Corp. (Auto Components) | (a) | 6.250% | 01/15/2026 | 950,000 | 995,125 |
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | (a) | 5.375% | 05/01/2025 | 25,000 | 26,350 |
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | (a) | 5.750% | 05/01/2028 | 75,000 | 80,720 |
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | 4.875% | 01/15/2030 | 150,000 | 159,120 | |
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | (a) | 3.625% | 02/15/2032 | 300,000 | 291,180 |
IHO Verwaltungs GmbH (Auto Components) | (a)(c) | 4.750%, 5.500% PIK | 09/15/2026 | 400,000 | 410,875 |
IHO Verwaltungs GmbH (Auto Components) | (a)(c) | 6.000%, 6.750% PIK | 05/15/2027 | 400,000 | 419,652 |
J.B. Poindexter & Co., Inc. (Auto Components) | (a) | 7.125% | 04/15/2026 | 550,000 | 580,937 |
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure) | (a) | 5.250% | 06/01/2026 | 300,000 | 309,174 |
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure) | (a) | 4.750% | 06/01/2027 | 525,000 | 550,594 |
Levi Strauss & Co. (Textiles, Apparel & Luxury Goods) | (a) | 3.500% | 03/01/2031 | 50,000 | 48,250 |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.625% | 06/15/2025 | 100,000 | 105,470 |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. (Hotels, Restaurants & Leisure) | (a) | 3.875% | 02/15/2029 | 50,000 | 49,806 |
MGM Resorts International (Hotels, Restaurants & Leisure) | 6.750% | 05/01/2025 | 400,000 | 430,970 | |
MGM Resorts International (Hotels, Restaurants & Leisure) | 4.625% | 09/01/2026 | 498,000 | 522,230 | |
MGM Resorts International (Hotels, Restaurants & Leisure) | 4.750% | 10/15/2028 | 225,000 | 232,396 | |
Michaels Stores, Inc. (Specialty Retail) | (a) | 8.000% | 07/15/2027 | 400,000 | 442,000 |
Mohegan Gaming & Entertainment (Hotels, Restaurants & Leisure) | (a) | 7.875% | 10/15/2024 | 200,000 | 208,750 |
Mohegan Gaming & Entertainment (Hotels, Restaurants & Leisure) | (a) | 8.000% | 02/01/2026 | 775,000 | 780,812 |
NMG Holding Co., Inc. / Neiman Marcus Group LLC (Specialty Retail) | (a) | 7.125% | 04/01/2026 | 200,000 | 204,000 |
Party City Holdings, Inc. (Index Floor: 0.75%) (Specialty Retail) | (a) | SL + 500 | 07/15/2025 | 166,621 | 153,291 |
Real Hero Merger Sub 2, Inc. (Auto Components) | (a) | 6.250% | 02/01/2029 | 500,000 | 516,250 |
Scientific Games International, Inc. (Hotels, Restaurants & Leisure) | (a) | 8.250% | 03/15/2026 | 25,000 | 26,813 |
Scientific Games International, Inc. (Hotels, Restaurants & Leisure) | (a) | 7.250% | 11/15/2029 | 175,000 | 189,875 |
Signal Parent, Inc. (Diversified Consumer Svs.) | (a) | 6.125% | 04/01/2029 | 400,000 | 396,000 |
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | (a) | 5.500% | 04/15/2027 | 500,000 | 518,125 |
Six Flags Theme Parks, Inc. (Hotels, Restaurants & Leisure) | (a) | 7.000% | 07/01/2025 | 50,000 | 54,063 |
Stars Group Holdings B.V. / Stars Group U.S. Co-Borrower LLC (Hotels, Restaurants & Leisure) | (a) | 7.000% | 07/15/2026 | 925,000 | 966,625 |
Station Casinos LLC (Hotels, Restaurants & Leisure) | (a) | 5.000% | 10/01/2025 | 410,000 | 415,125 |
Station Casinos LLC (Hotels, Restaurants & Leisure) | (a) | 4.500% | 02/15/2028 | 200,000 | 199,251 |
VOC Escrow Ltd. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 02/15/2028 | 150,000 | 148,181 |
William Carter Co. / The (Textiles, Apparel & Luxury Goods) | (a) | 5.500% | 05/15/2025 | 75,000 | 79,991 |
William Carter Co. / The (Textiles, Apparel & Luxury Goods) | (a) | 5.625% | 03/15/2027 | 75,000 | 79,219 |
Wyndham Hotels & Resorts, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.375% | 04/15/2026 | 200,000 | 204,500 |
Wyndham Hotels & Resorts, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.375% | 08/15/2028 | 75,000 | 75,863 |
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.750% | 01/15/2030 | 75,000 | 79,298 |
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 4.625% | 01/31/2032 | 100,000 | 102,001 | |
| 20,871,031 | |||||
| Consumer Staples–2.8% | |||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | 5.750% | 03/15/2025 | 116,000 | 119,793 | |
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | (a) | 3.250% | 03/15/2026 | 175,000 | 174,330 |
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | (a) | 5.875% | 02/15/2028 | 100,000 | 106,625 |
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | (a) | 3.500% | 03/15/2029 | 425,000 | 404,447 |
Edgewell Personal Care Co. (Personal Products) | (a) | 5.500% | 06/01/2028 | 175,000 | 184,800 |
Edgewell Personal Care Co. (Personal Products) | (a) | 4.125% | 04/01/2029 | 200,000 | 198,840 |
Energizer Holdings, Inc. (Household Products) | (a) | 4.750% | 06/15/2028 | 150,000 | 154,687 |
Energizer Holdings, Inc. (Household Products) | (a) | 4.375% | 03/31/2029 | 325,000 | 326,137 |
Kraft Heinz Foods Co. (Food Products) | 4.250% | 03/01/2031 | 500,000 | 550,468 | |
Kraft Heinz Foods Co. (Food Products) | 5.200% | 07/15/2045 | 275,000 | 318,053 | |
Kraft Heinz Foods Co. (Food Products) | 4.375% | 06/01/2046 | 500,000 | 522,685 | |
Post Holdings, Inc. (Food Products) | (a) | 5.750% | 03/01/2027 | 550,000 | 578,468 |
Post Holdings, Inc. (Food Products) | (a) | 5.625% | 01/15/2028 | 500,000 | 526,115 |
35
(continued)
| Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Consumer Staples (continued) | |||||
Post Holdings, Inc. (Food Products) | (a) | 4.625% | 04/15/2030 | $ 125,000 | $ 125,313 |
Post Holdings, Inc. (Food Products) | (a) | 4.500% | 09/15/2031 | 350,000 | 346,150 |
U.S. Foods, Inc. (Food & Staples Retailing) | (a) | 4.750% | 02/15/2029 | 250,000 | 250,000 |
| 4,886,911 | |||||
| Energy–14.7% | |||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.375% | 09/15/2024 | 625,000 | 630,469 | |
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 7.875% | 05/15/2026 | 125,000 | 134,440 |
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 03/01/2027 | 225,000 | 225,049 |
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 01/15/2028 | 625,000 | 625,000 |
Antero Resources Corp. (Oil, Gas & Consumable Fuels) | 5.625% | 06/01/2023 | 400,000 | 401,352 | |
Antero Resources Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.375% | 07/15/2026 | 25,000 | 27,563 |
Antero Resources Corp. (Oil, Gas & Consumable Fuels) | (a) | 7.625% | 02/01/2029 | 50,000 | 53,250 |
Apache Corp. (Oil, Gas & Consumable Fuels) | 4.625% | 11/15/2025 | 75,000 | 77,273 | |
Apache Corp. (Oil, Gas & Consumable Fuels) | 4.875% | 11/15/2027 | 125,000 | 128,125 | |
Archrock Partners LP / Archrock Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.875% | 04/01/2027 | 625,000 | 651,562 |
Archrock Partners LP / Archrock Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.250% | 04/01/2028 | 375,000 | 380,925 |
Ascent Resources Utica Holdings LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 7.000% | 11/01/2026 | 350,000 | 349,781 |
Ascent Resources Utica Holdings LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.250% | 12/31/2028 | 100,000 | 104,000 |
Berry Petroleum Co. LLC (Oil, Gas & Consumable Fuels) | (a) | 7.000% | 02/15/2026 | 325,000 | 314,437 |
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | 8.250% | 07/15/2025 | 450,000 | 382,500 | |
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | 6.375% | 07/01/2026 | 225,000 | 177,750 | |
Centennial Resource Production LLC (Oil, Gas & Consumable Fuels) | (a) | 6.875% | 04/01/2027 | 350,000 | 311,500 |
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | 4.500% | 10/01/2029 | 125,000 | 129,628 | |
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | (a) | 4.000% | 03/01/2031 | 725,000 | 737,687 |
Cheniere Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 4.625% | 10/15/2028 | 175,000 | 181,745 |
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.500% | 02/01/2026 | 50,000 | 52,045 |
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.875% | 02/01/2029 | 50,000 | 53,000 |
CNX Midstream Partners LP / CNX Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.500% | 03/15/2026 | 725,000 | 737,687 |
Comstock Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6.750% | 03/01/2029 | 325,000 | 333,125 |
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | 4.375% | 01/15/2028 | 225,000 | 236,587 | |
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 01/15/2031 | 350,000 | 395,451 |
CrownRock LP / CrownRock Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.625% | 10/15/2025 | 600,000 | 612,132 |
Double Eagle III Midco 1 LLC / Double Eagle Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 7.750% | 12/15/2025 | 375,000 | 400,395 |
Endeavor Energy Resources LP / EER Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6.625% | 07/15/2025 | 200,000 | 213,748 |
Endeavor Energy Resources LP / EER Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.500% | 01/30/2026 | 50,000 | 51,890 |
Endeavor Energy Resources LP / EER Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 01/30/2028 | 100,000 | 105,632 |
Enviva Partners LP / Enviva Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.500% | 01/15/2026 | 900,000 | 942,750 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 4.750% | 07/15/2023 | 59,000 | 61,213 | |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | (a) | 6.000% | 07/01/2025 | 225,000 | 242,156 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | (a) | 6.500% | 07/01/2027 | 325,000 | 353,356 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 5.500% | 07/15/2028 | 350,000 | 367,409 | |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | (a) | 4.500% | 01/15/2029 | 225,000 | 219,253 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | (a) | 4.750% | 01/15/2031 | 525,000 | 509,250 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 6.500% | 07/15/2048 | 75,000 | 74,813 | |
EQT Corp. (Oil, Gas & Consumable Fuels) | 7.625% | 02/01/2025 | 300,000 | 345,265 | |
EQT Corp. (Oil, Gas & Consumable Fuels) | 3.900% | 10/01/2027 | 25,000 | 25,500 | |
EQT Corp. (Oil, Gas & Consumable Fuels) | 5.000% | 01/15/2029 | 75,000 | 80,250 | |
EQT Corp. (Oil, Gas & Consumable Fuels) | 8.500% | 02/01/2030 | 50,000 | 63,765 | |
Hess Midstream Operations LP (Oil, Gas & Consumable Fuels) | (a) | 5.125% | 06/15/2028 | 300,000 | 303,300 |
Holly Energy Partners LP / Holly Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.000% | 02/01/2028 | 300,000 | 303,840 |
Nabors Industries Ltd. (Energy Equip. & Svs.) | (a) | 7.250% | 01/15/2026 | 225,000 | 186,750 |
Nabors Industries Ltd. (Energy Equip. & Svs.) | (a) | 7.500% | 01/15/2028 | 175,000 | 143,938 |
NuStar Logistics LP (Oil, Gas & Consumable Fuels) | 5.625% | 04/28/2027 | 875,000 | 915,333 | |
Oasis Midstream Partners LP / OMP Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.000% | 04/01/2029 | 250,000 | 256,250 |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 2.900% | 08/15/2024 | 300,000 | 296,712 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 3.500% | 06/15/2025 | 275,000 | 272,250 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 8.000% | 07/15/2025 | 100,000 | 114,793 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 5.875% | 09/01/2025 | 225,000 | 240,480 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 3.200% | 08/15/2026 | 200,000 | 191,902 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 8.875% | 07/15/2030 | 375,000 | 472,875 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.625% | 09/01/2030 | 275,000 | 309,045 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.450% | 09/15/2036 | 325,000 | 358,722 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.300% | 08/15/2039 | 325,000 | 275,603 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.100% | 02/15/2047 | 150,000 | 120,191 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.400% | 08/15/2049 | 250,000 | 209,068 | |
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 6.125% | 09/15/2024 | 150,000 | 153,919 | |
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.750% | 05/15/2026 | 250,000 | 259,312 | |
Precision Drilling Corp. (Energy Equip. & Svs.) | 7.750% | 12/15/2023 | 250,000 | 250,937 | |
Precision Drilling Corp. (Energy Equip. & Svs.) | (a) | 7.125% | 01/15/2026 | 100,000 | 97,096 |
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 4.875% | 05/15/2025 | 225,000 | 222,750 | |
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 9.250% | 02/01/2026 | 150,000 | 162,978 | |
Range Resources Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.250% | 01/15/2029 | 200,000 | 214,000 |
Rattler Midstream LP (Oil, Gas & Consumable Fuels) | (a) | 5.625% | 07/15/2025 | 200,000 | 208,824 |
Shelf Drilling Holdings Ltd. (Oil, Gas & Consumable Fuels) | (a) | 8.250% | 02/15/2025 | 300,000 | 219,000 |
SM Energy Co. (Oil, Gas & Consumable Fuels) | 5.000% | 01/15/2024 | 175,000 | 164,588 |
36
(continued)
| Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Energy (continued) | |||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.750% | 09/15/2026 | $ 350,000 | $ 323,400 | |
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.625% | 01/15/2027 | 25,000 | 23,125 | |
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.500% | 08/15/2022 | 375,000 | 362,812 | |
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.750% | 04/15/2025 | 250,000 | 203,750 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.875% | 04/15/2026 | 150,000 | 157,031 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.375% | 02/01/2027 | 700,000 | 725,945 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 6.500% | 07/15/2027 | 25,000 | 27,167 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.000% | 01/15/2028 | 475,000 | 494,594 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.500% | 03/01/2030 | 475,000 | 498,750 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 4.875% | 02/01/2031 | 75,000 | 75,994 |
TransMontaigne Partners LP / TLP Finance Corp. (Oil, Gas & Consumable Fuels) | 6.125% | 02/15/2026 | 225,000 | 226,125 | |
U.S.A. Compression Partners LP / U.S.A. Compression Finance Corp. (Energy Equip. & Svs.) | 6.875% | 04/01/2026 | 925,000 | 948,703 | |
U.S.A. Compression Partners LP / U.S.A. Compression Finance Corp. (Energy Equip. & Svs.) | 6.875% | 09/01/2027 | 100,000 | 103,000 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 4.000% | 07/01/2022 | 100,000 | 102,503 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 4.650% | 07/01/2026 | 50,000 | 52,736 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 4.500% | 03/01/2028 | 175,000 | 181,671 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 4.750% | 08/15/2028 | 75,000 | 78,375 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 5.300% | 02/01/2030 | 75,000 | 81,441 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 5.450% | 04/01/2044 | 175,000 | 179,463 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 5.300% | 03/01/2048 | 800,000 | 802,832 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 5.500% | 08/15/2048 | 100,000 | 98,412 | |
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.750% | 06/01/2026 | 75,000 | 78,540 | |
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.250% | 10/15/2027 | 150,000 | 159,828 | |
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.875% | 06/15/2028 | 16,000 | 17,637 | |
| 25,428,998 | |||||
| Financials–9.0% | |||||
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer (Insurance) | (a) | 6.750% | 10/15/2027 | 875,000 | 931,324 |
AmWINS Group, Inc. (Insurance) | (a) | 7.750% | 07/01/2026 | 950,000 | 1,016,500 |
Ardonagh Midco 2 PLC (Insurance) | (a)(c) | 11.500%, 12.700% PIK | 01/15/2027 | 399,039 | 426,972 |
AssuredPartners, Inc. (Insurance) | (a) | 7.000% | 08/15/2025 | 675,000 | 697,680 |
AssuredPartners, Inc. (Insurance) | (a) | 5.625% | 01/15/2029 | 25,000 | 25,475 |
Ford Motor Credit Co. LLC (Consumer Finance) | 3.813% | 10/12/2021 | 300,000 | 303,185 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 3.096% | 05/04/2023 | 400,000 | 406,500 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 4.063% | 11/01/2024 | 375,000 | 393,394 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 5.125% | 06/16/2025 | 400,000 | 432,000 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 3.375% | 11/13/2025 | 575,000 | 584,775 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 4.389% | 01/08/2026 | 225,000 | 236,491 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 4.271% | 01/09/2027 | 450,000 | 466,875 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 4.125% | 08/17/2027 | 300,000 | 309,750 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 5.113% | 05/03/2029 | 525,000 | 563,561 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 4.000% | 11/13/2030 | 275,000 | 272,797 | |
GTCR AP Finance, Inc. (Insurance) | (a) | 8.000% | 05/15/2027 | 275,000 | 295,281 |
HUB International Ltd. (Insurance) | (a) | 7.000% | 05/01/2026 | 2,000,000 | 2,076,821 |
LD Holdings Group LLC (Thrifts & Mortgage Finance) | (a) | 6.125% | 04/01/2028 | 300,000 | 303,720 |
Navient Corp. (Consumer Finance) | 6.125% | 03/25/2024 | 175,000 | 185,281 | |
Navient Corp. (Consumer Finance) | 5.875% | 10/25/2024 | 775,000 | 813,835 | |
Navient Corp. (Consumer Finance) | 6.750% | 06/25/2025 | 175,000 | 190,006 | |
Navient Corp. (Consumer Finance) | 6.750% | 06/15/2026 | 125,000 | 135,500 | |
Navient Corp. (Consumer Finance) | 5.000% | 03/15/2027 | 50,000 | 50,125 | |
NFP Corp. (Insurance) | (a) | 7.000% | 05/15/2025 | 50,000 | 53,625 |
NFP Corp. (Insurance) | (a) | 6.875% | 08/15/2028 | 1,200,000 | 1,245,000 |
Outfront Media Capital LLC / Outfront Media Capital Corp. (Equity REIT) | (a) | 4.250% | 01/15/2029 | 100,000 | 96,272 |
Quicken Loans LLC (Thrifts & Mortgage Finance) | (a) | 5.250% | 01/15/2028 | 425,000 | 446,250 |
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc. (Thrifts & Mortgage Finance) | (a) | 3.625% | 03/01/2029 | 200,000 | 192,500 |
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc. (Thrifts & Mortgage Finance) | (a) | 3.875% | 03/01/2031 | 300,000 | 288,750 |
United Wholesale Mortgage LLC (Thrifts & Mortgage Finance) | (a) | 5.500% | 11/15/2025 | 750,000 | 781,875 |
United Wholesale Mortgage LLC (Thrifts & Mortgage Finance) | (a) | 5.500% | 04/15/2029 | 225,000 | 225,000 |
USI, Inc. (Insurance) | (a) | 6.875% | 05/01/2025 | 1,050,000 | 1,068,375 |
| 15,515,495 | |||||
| Health Care–11.7% | |||||
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | (a) | 5.500% | 07/01/2028 | 25,000 | 26,319 |
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | (a) | 5.000% | 04/15/2029 | 25,000 | 25,943 |
AdaptHealth LLC (Health Care Providers & Svs.) | (a) | 4.625% | 08/01/2029 | 125,000 | 124,375 |
Avantor Funding, Inc. (Health Care Equip. & Supplies) | (a) | 4.625% | 07/15/2028 | 600,000 | 626,616 |
Bausch Health Americas, Inc. (Pharmaceuticals) | (a) | 8.500% | 01/31/2027 | 525,000 | 582,422 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 7.000% | 03/15/2024 | 203,000 | 207,669 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 6.125% | 04/15/2025 | 1,050,000 | 1,076,460 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.500% | 11/01/2025 | 200,000 | 205,476 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 9.000% | 12/15/2025 | 425,000 | 461,750 |
37
(continued)
| Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Health Care (continued) | |||||
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.750% | 08/15/2027 | $ 175,000 | $ 188,344 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.000% | 01/30/2028 | 200,000 | 202,500 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.000% | 02/15/2029 | 75,000 | 74,484 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 6.250% | 02/15/2029 | 175,000 | 186,018 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 7.250% | 05/30/2029 | 575,000 | 641,844 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.250% | 02/15/2031 | 75,000 | 74,642 |
Centene Corp. (Health Care Providers & Svs.) | (a) | 5.375% | 06/01/2026 | 625,000 | 653,562 |
Centene Corp. (Health Care Providers & Svs.) | (a) | 5.375% | 08/15/2026 | 225,000 | 237,353 |
Centene Corp. (Health Care Providers & Svs.) | 4.250% | 12/15/2027 | 800,000 | 841,501 | |
Centene Corp. (Health Care Providers & Svs.) | 4.625% | 12/15/2029 | 425,000 | 459,980 | |
Centene Corp. (Health Care Providers & Svs.) | 3.375% | 02/15/2030 | 50,000 | 50,469 | |
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 3.750% | 03/15/2029 | 100,000 | 100,158 |
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 4.000% | 03/15/2031 | 125,000 | 127,069 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 6.625% | 02/15/2025 | 100,000 | 105,563 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 8.000% | 03/15/2026 | 350,000 | 378,455 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 5.625% | 03/15/2027 | 150,000 | 157,125 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 6.000% | 01/15/2029 | 50,000 | 52,875 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 6.875% | 04/15/2029 | 500,000 | 523,435 |
DaVita, Inc. (Health Care Providers & Svs.) | (a) | 4.625% | 06/01/2030 | 200,000 | 203,772 |
Endo DAC / Endo Finance LLC / Endo Finco, Inc. (Pharmaceuticals) | (a) | 9.500% | 07/31/2027 | 175,000 | 190,094 |
Endo DAC / Endo Finance LLC / Endo Finco, Inc. (Pharmaceuticals) | (a) | 6.000% | 06/30/2028 | 552,000 | 447,120 |
Endo Luxembourg Finance Co. I SARL / Endo U.S., Inc. (Pharmaceuticals) | (a) | 6.125% | 04/01/2029 | 150,000 | 151,313 |
Global Medical Response, Inc. (Health Care Providers & Svs.) | (a) | 6.500% | 10/01/2025 | 825,000 | 853,875 |
HCA, Inc. (Health Care Providers & Svs.) | 5.375% | 02/01/2025 | 900,000 | 1,003,963 | |
HCA, Inc. (Health Care Providers & Svs.) | 5.875% | 02/15/2026 | 200,000 | 229,250 | |
HCA, Inc. (Health Care Providers & Svs.) | 5.625% | 09/01/2028 | 300,000 | 345,000 | |
HCA, Inc. (Health Care Providers & Svs.) | 3.500% | 09/01/2030 | 675,000 | 680,717 | |
IQVIA, Inc. (Life Sciences Tools & Svs.) | (a) | 5.000% | 10/15/2026 | 300,000 | 311,625 |
IQVIA, Inc. (Life Sciences Tools & Svs.) | (a) | 5.000% | 05/15/2027 | 200,000 | 211,159 |
Jaguar Holding Co. II / PPD Development LP (Health Care Providers & Svs.) | (a) | 4.625% | 06/15/2025 | 275,000 | 286,907 |
Jaguar Holding Co. II / PPD Development LP (Health Care Providers & Svs.) | (a) | 5.000% | 06/15/2028 | 200,000 | 208,300 |
Legacy LifePoint Health LLC (Health Care Providers & Svs.) | (a) | 6.750% | 04/15/2025 | 250,000 | 265,625 |
Legacy LifePoint Health LLC (Health Care Providers & Svs.) | (a) | 4.375% | 02/15/2027 | 125,000 | 122,500 |
Legacy LifePoint Health LLC (Health Care Providers & Svs.) | (a) | 5.375% | 01/15/2029 | 25,000 | 24,625 |
Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Acquired 10/04/2016 through 07/09/2018, Cost $1,210,062) (Pharmaceuticals) | (a)(b) | 5.625% | 10/15/2023 | 1,275,000 | 902,062 |
Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Acquired 05/05/2016 through 09/24/2018, Cost $354,937) (Pharmaceuticals) | (a)(b) | 5.500% | 04/15/2025 | 400,000 | 281,000 |
MEDNAX, Inc. (Health Care Providers & Svs.) | (a) | 6.250% | 01/15/2027 | 325,000 | 347,522 |
Molina Healthcare, Inc. (Health Care Providers & Svs.) | (a) | 3.875% | 11/15/2030 | 75,000 | 77,156 |
MPH Acquisition Holdings LLC (Health Care Providers & Svs.) | (a) | 5.750% | 11/01/2028 | 925,000 | 901,875 |
Prestige Brands, Inc. (Pharmaceuticals) | (a) | 3.750% | 04/01/2031 | 175,000 | 166,906 |
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. (Health Care Providers & Svs.) | (a) | 9.750% | 12/01/2026 | 650,000 | 703,625 |
Syneos Health, Inc. (Life Sciences Tools & Svs.) | (a) | 3.625% | 01/15/2029 | 125,000 | 121,563 |
Team Health Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.375% | 02/01/2025 | 550,000 | 484,649 |
Teleflex, Inc. (Health Care Equip. & Supplies) | 4.625% | 11/15/2027 | 175,000 | 185,281 | |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 6.750% | 06/15/2023 | 450,000 | 487,755 | |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 4.625% | 07/15/2024 | 125,000 | 127,586 | |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 5.125% | 05/01/2025 | 525,000 | 532,376 | |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 4.875% | 01/01/2026 | 300,000 | 311,928 |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 5.125% | 11/01/2027 | 425,000 | 444,422 |
Vizient, Inc. (Health Care Providers & Svs.) | (a) | 6.250% | 05/15/2027 | 150,000 | 159,188 |
| 20,163,146 | |||||
| Industrials–10.2% | |||||
Allied Universal Holdco LLC / Allied Universal Finance Corp. (Commercial Svs. & Supplies) | (a) | 6.625% | 07/15/2026 | 200,000 | 212,096 |
Allied Universal Holdco LLC / Allied Universal Finance Corp. (Commercial Svs. & Supplies) | (a) | 9.750% | 07/15/2027 | 1,400,000 | 1,536,080 |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. (Airlines) | (a) | 5.500% | 04/20/2026 | 450,000 | 468,310 |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. (Airlines) | (a) | 5.750% | 04/20/2029 | 350,000 | 372,277 |
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (a) | 5.875% | 05/15/2026 | 975,000 | 1,006,863 |
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (a) | 4.000% | 01/15/2028 | 50,000 | 50,000 |
Brink's Co. / The (Commercial Svs. & Supplies) | (a) | 5.500% | 07/15/2025 | 75,000 | 79,219 |
Core & Main LP (Commercial Svs. & Supplies) | (a) | 6.125% | 08/15/2025 | 850,000 | 872,389 |
Cornerstone Building Brands, Inc. (Building Products) | (a) | 8.000% | 04/15/2026 | 600,000 | 624,780 |
Cornerstone Building Brands, Inc. (Building Products) | (a) | 6.125% | 01/15/2029 | 175,000 | 186,375 |
CP Atlas Buyer, Inc. (Building Products) | (a) | 7.000% | 12/01/2028 | 375,000 | 394,144 |
Dun & Bradstreet Corp. / The (Professional Svs.) | (a) | 6.875% | 08/15/2026 | 135,000 | 144,140 |
Dun & Bradstreet Corp. / The (Professional Svs.) | (a) | 10.250% | 02/15/2027 | 615,000 | 686,494 |
Foundation Building Materials, Inc. (Trading Companies & Distributors) | (a) | 6.000% | 03/01/2029 | 150,000 | 148,125 |
Garda World Security Corp. (Commercial Svs. & Supplies) | (a) | 4.625% | 02/15/2027 | 175,000 | 175,000 |
H&E Equipment Services, Inc. (Trading Companies & Distributors) | (a) | 3.875% | 12/15/2028 | 375,000 | 364,687 |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. (Airlines) | (a) | 5.750% | 01/20/2026 | 50,000 | 53,130 |
Interface, Inc. (Commercial Svs. & Supplies) | (a) | 5.500% | 12/01/2028 | 50,000 | 51,688 |
KAR Auction Services, Inc. (Commercial Svs. & Supplies) | (a) | 5.125% | 06/01/2025 | 475,000 | 483,574 |
Nielsen Co. Luxembourg SARL / The (Professional Svs.) | (a) | 5.000% | 02/01/2025 | 150,000 | 153,375 |
Nielsen Finance LLC / Nielsen Finance Co. (Professional Svs.) | (a) | 5.000% | 04/15/2022 | 287,000 | 287,059 |
Nielsen Finance LLC / Nielsen Finance Co. (Professional Svs.) | (a) | 5.625% | 10/01/2028 | 100,000 | 105,125 |
Nielsen Finance LLC / Nielsen Finance Co. (Professional Svs.) | (a) | 5.875% | 10/01/2030 | 275,000 | 298,031 |
Sensata Technologies, Inc. (Electrical Equip.) | (a) | 4.375% | 02/15/2030 | 225,000 | 235,688 |
38
(continued)
| Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Industrials (continued) | |||||
Sensata Technologies, Inc. (Electrical Equip.) | (a) | 3.750% | 02/15/2031 | $ 25,000 | $ 24,649 |
Solaris Midstream Holdings LLC (Commercial Svs. & Supplies) | (a) | 7.625% | 04/01/2026 | 100,000 | 102,250 |
Stena International SA (Transportation Infrastructure) | (a) | 6.125% | 02/01/2025 | 300,000 | 302,961 |
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. (Professional Svs.) | (a) | 6.750% | 06/01/2025 | 1,425,000 | 1,456,172 |
Terex Corp. (Machinery) | (a) | 5.000% | 05/15/2029 | 175,000 | 181,160 |
TransDigm U.K. Holdings PLC (Aerospace & Defense) | 6.875% | 05/15/2026 | 275,000 | 289,438 | |
TransDigm, Inc. (Aerospace & Defense) | 6.500% | 05/15/2025 | 350,000 | 356,562 | |
TransDigm, Inc. (Aerospace & Defense) | (a) | 6.250% | 03/15/2026 | 575,000 | 609,615 |
TransDigm, Inc. (Aerospace & Defense) | 6.375% | 06/15/2026 | 850,000 | 878,687 | |
TransDigm, Inc. (Aerospace & Defense) | 5.500% | 11/15/2027 | 100,000 | 103,513 | |
TransDigm, Inc. (Aerospace & Defense) | (a) | 4.625% | 01/15/2029 | 125,000 | 123,256 |
Trident TPI Holdings, Inc. (Machinery) | (a) | 9.250% | 08/01/2024 | 175,000 | 186,375 |
Trident TPI Holdings, Inc. (Machinery) | (a) | 6.625% | 11/01/2025 | 700,000 | 712,250 |
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.875% | 09/15/2026 | 100,000 | 104,625 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.500% | 05/15/2027 | 50,000 | 53,325 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 4.875% | 01/15/2028 | 325,000 | 342,345 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.250% | 01/15/2030 | 100,000 | 108,530 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 3.875% | 02/15/2031 | 50,000 | 50,250 | |
Vertical Holdco GmbH (Building Products) | (a) | 7.625% | 07/15/2028 | 250,000 | 268,813 |
Vertical U.S. Newco, Inc. (Building Products) | (a) | 5.250% | 07/15/2027 | 325,000 | 340,234 |
Watco Cos. LLC / Watco Finance Corp. (Road & Rail) | (a) | 6.500% | 06/15/2027 | 375,000 | 395,250 |
WESCO Distribution, Inc. (Trading Companies & Distributors) | 5.375% | 06/15/2024 | 550,000 | 560,312 | |
WESCO Distribution, Inc. (Trading Companies & Distributors) | (a) | 7.125% | 06/15/2025 | 100,000 | 109,350 |
WESCO Distribution, Inc. (Trading Companies & Distributors) | (a) | 7.250% | 06/15/2028 | 225,000 | 251,189 |
White Cap Buyer LLC (Building Products) | (a) | 6.875% | 10/15/2028 | 425,000 | 451,218 |
White Cap Parent LLC (Building Products) | (a)(c) | 8.250%, 9.000% PIK | 03/15/2026 | 200,000 | 208,500 |
| 17,559,478 | |||||
| Information Technology–5.3% | |||||
ams AG (Semiconductors & Equip.) | (a) | 7.000% | 07/31/2025 | 375,000 | 401,367 |
Banff Merger Sub, Inc. (IT Svs.) | (a) | 9.750% | 09/01/2026 | 300,000 | 319,500 |
Black Knight InfoServ LLC (IT Svs.) | (a) | 3.625% | 09/01/2028 | 200,000 | 196,522 |
Booz Allen Hamilton, Inc. (IT Svs.) | (a) | 3.875% | 09/01/2028 | 75,000 | 75,394 |
BY Crown Parent LLC (Software) | (a) | 7.375% | 10/15/2024 | 1,025,000 | 1,041,656 |
BY Crown Parent LLC / BY Bond Finance, Inc. (Software) | (a) | 4.250% | 01/31/2026 | 25,000 | 25,961 |
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 3.250% | 02/15/2029 | 225,000 | 222,188 | |
Dell International LLC / EMC Corp. (Computers & Peripherals) | (a) | 7.125% | 06/15/2024 | 950,000 | 977,906 |
Diebold Nixdorf, Inc. (Tech. Hardware, Storage & Periph.) | (a) | 9.375% | 07/15/2025 | 50,000 | 55,688 |
Gartner, Inc. (IT Svs.) | (a) | 4.500% | 07/01/2028 | 50,000 | 51,563 |
Gartner, Inc. (IT Svs.) | (a) | 3.750% | 10/01/2030 | 125,000 | 123,966 |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. (IT Svs.) | (a) | 5.250% | 12/01/2027 | 350,000 | 370,125 |
INEOS Quattro Finance 2 PLC (Software) | (a) | 3.375% | 01/15/2026 | 200,000 | 200,000 |
Logan Merger Sub, Inc. (Software) | (a) | 5.500% | 09/01/2027 | 400,000 | 418,752 |
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 8.125% | 04/15/2025 | 25,000 | 27,375 |
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 5.750% | 09/01/2027 | 275,000 | 290,984 |
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 5.000% | 10/01/2028 | 225,000 | 227,250 |
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 5.125% | 04/15/2029 | 250,000 | 251,876 |
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 6.125% | 09/01/2029 | 50,000 | 52,938 |
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 5.250% | 10/01/2030 | 350,000 | 354,419 |
ON Semiconductor Corp. (Semiconductors & Equip.) | (a) | 3.875% | 09/01/2028 | 150,000 | 154,298 |
PTC, Inc. (Software) | (a) | 3.625% | 02/15/2025 | 25,000 | 25,656 |
PTC, Inc. (Software) | (a) | 4.000% | 02/15/2028 | 125,000 | 126,875 |
Qorvo, Inc. (Semiconductors & Equip.) | 4.375% | 10/15/2029 | 250,000 | 266,877 | |
Qorvo, Inc. (Semiconductors & Equip.) | (a) | 3.375% | 04/01/2031 | 100,000 | 97,989 |
Rocket Software, Inc. (Software) | (a) | 6.500% | 02/15/2029 | 450,000 | 454,050 |
Science Applications International Corp. (IT Svs.) | (a) | 4.875% | 04/01/2028 | 75,000 | 77,531 |
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | (a) | 3.125% | 07/15/2029 | 300,000 | 289,747 |
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | (a) | 3.375% | 07/15/2031 | 250,000 | 240,362 |
SS&C Technologies, Inc. (Software) | (a) | 5.500% | 09/30/2027 | 775,000 | 825,414 |
Synaptics, Inc. (Semiconductors & Equip.) | (a) | 4.000% | 06/15/2029 | 125,000 | 124,038 |
TTM Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 4.000% | 03/01/2029 | 150,000 | 148,125 |
Veritas U.S., Inc. / Veritas Bermuda Ltd. (Software) | (a) | 7.500% | 09/01/2025 | 550,000 | 571,257 |
| 9,087,649 | |||||
| Materials–10.4% | |||||
ARD Finance SA (Containers & Packaging) | (a)(c) | 6.500%, 7.250% PIK | 06/30/2027 | 1,200,000 | 1,260,000 |
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 6.000% | 02/15/2025 | 200,000 | 206,100 |
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 5.250% | 08/15/2027 | 275,000 | 280,522 |
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 5.250% | 08/15/2027 | 200,000 | 204,016 |
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 4.000% | 09/01/2029 | 225,000 | 224,633 |
Axalta Coating Systems LLC (Chemicals) | (a) | 3.375% | 02/15/2029 | 150,000 | 146,280 |
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B B.V. (Chemicals) | (a) | 4.750% | 06/15/2027 | 150,000 | 156,795 |
Ball Corp. (Containers & Packaging) | 2.875% | 08/15/2030 | 325,000 | 313,056 | |
Berry Global, Inc. (Containers & Packaging) | (a) | 4.875% | 07/15/2026 | 375,000 | 396,808 |
Berry Global, Inc. (Containers & Packaging) | (a) | 5.625% | 07/15/2027 | 275,000 | 290,469 |
Clearwater Paper Corp. (Paper & Forest Products) | (a) | 5.375% | 02/01/2025 | 775,000 | 821,500 |
Cleveland-Cliffs, Inc. (Metals & Mining) | (a) | 4.625% | 03/01/2029 | 400,000 | 399,320 |
Cleveland-Cliffs, Inc. (Metals & Mining) | (a) | 4.875% | 03/01/2031 | 400,000 | 399,000 |
Coeur Mining, Inc. (Metals & Mining) | (a) | 5.125% | 02/15/2029 | 325,000 | 310,684 |
Compass Minerals International, Inc. (Metals & Mining) | (a) | 4.875% | 07/15/2024 | 750,000 | 777,360 |
39
(continued)
| Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Materials (continued) | |||||
Compass Minerals International, Inc. (Metals & Mining) | (a) | 6.750% | 12/01/2027 | $ 50,000 | $ 53,500 |
Crown Americas LLC / Crown Americas Capital Corp. VI (Containers & Packaging) | 4.750% | 02/01/2026 | 275,000 | 285,175 | |
Element Solutions, Inc. (Chemicals) | (a) | 3.875% | 09/01/2028 | 300,000 | 296,025 |
Flex Acquisition Co., Inc. (Containers & Packaging) | (a) | 6.875% | 01/15/2025 | 1,075,000 | 1,091,340 |
Flex Acquisition Co., Inc. (Containers & Packaging) | (a) | 7.875% | 07/15/2026 | 675,000 | 707,907 |
Freeport-McMoRan, Inc. (Metals & Mining) | 5.000% | 09/01/2027 | 175,000 | 185,955 | |
Freeport-McMoRan, Inc. (Metals & Mining) | 4.125% | 03/01/2028 | 175,000 | 183,960 | |
Freeport-McMoRan, Inc. (Metals & Mining) | 4.375% | 08/01/2028 | 175,000 | 185,631 | |
Freeport-McMoRan, Inc. (Metals & Mining) | 5.250% | 09/01/2029 | 125,000 | 136,690 | |
Freeport-McMoRan, Inc. (Metals & Mining) | 4.625% | 08/01/2030 | 150,000 | 163,234 | |
Freeport-McMoRan, Inc. (Metals & Mining) | 5.400% | 11/14/2034 | 150,000 | 178,577 | |
Graphic Packaging International LLC (Containers & Packaging) | (a) | 4.750% | 07/15/2027 | 150,000 | 163,875 |
Graphic Packaging International LLC (Containers & Packaging) | (a) | 3.500% | 03/15/2028 | 100,000 | 99,500 |
Graphic Packaging International LLC (Containers & Packaging) | (a) | 3.500% | 03/01/2029 | 100,000 | 97,250 |
HB Fuller Co. (Chemicals) | 4.250% | 10/15/2028 | 125,000 | 127,008 | |
Hexion, Inc. (Chemicals) | (a) | 7.875% | 07/15/2027 | 525,000 | 564,506 |
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. (Chemicals) | (a) | 9.000% | 07/01/2028 | 150,000 | 168,795 |
Koppers, Inc. (Chemicals) | (a) | 6.000% | 02/15/2025 | 900,000 | 927,711 |
Mauser Packaging Solutions Holding Co. (Containers & Packaging) | (a) | 5.500% | 04/15/2024 | 300,000 | 304,125 |
Mauser Packaging Solutions Holding Co. (Containers & Packaging) | (a) | 7.250% | 04/15/2025 | 700,000 | 700,000 |
Nouryon Holding B.V. (Chemicals) | (a) | 8.000% | 10/01/2026 | 800,000 | 851,000 |
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 5.875% | 08/15/2023 | 225,000 | 241,031 |
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 5.375% | 01/15/2025 | 175,000 | 184,406 |
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 6.375% | 08/15/2025 | 600,000 | 663,000 |
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 6.625% | 05/13/2027 | 50,000 | 54,356 |
PQ Corp. (Chemicals) | (a) | 5.750% | 12/15/2025 | 125,000 | 128,125 |
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer SA (Containers & Packaging) | (a) | 4.000% | 10/15/2027 | 625,000 | 612,500 |
Sealed Air Corp. (Containers & Packaging) | (a) | 4.000% | 12/01/2027 | 175,000 | 179,156 |
Standard Industries, Inc. (Building Products) | (a) | 5.000% | 02/15/2027 | 1,200,000 | 1,251,000 |
Trivium Packaging Finance B.V. (Containers & Packaging) | (a) | 5.500% | 08/15/2026 | 200,000 | 209,750 |
Trivium Packaging Finance B.V. (Containers & Packaging) | (a) | 8.500% | 08/15/2027 | 475,000 | 515,470 |
W.R. Grace & Co.-Conn (Chemicals) | (a) | 4.875% | 06/15/2027 | 175,000 | 181,160 |
| 17,878,261 | |||||
| Real Estate–0.4% | |||||
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 3.500% | 02/15/2025 | 25,000 | 25,453 |
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 4.250% | 12/01/2026 | 225,000 | 230,194 |
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 3.750% | 02/15/2027 | 50,000 | 50,000 |
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 4.625% | 12/01/2029 | 275,000 | 285,274 |
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 4.125% | 08/15/2030 | 100,000 | 100,870 |
| 691,791 | |||||
| Utilities–3.5% | |||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.875% | 08/20/2026 | 725,000 | 797,790 | |
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.750% | 05/20/2027 | 100,000 | 109,000 | |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 5.250% | 06/01/2026 | 101,000 | 103,853 |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 4.500% | 02/15/2028 | 425,000 | 428,570 |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 4.625% | 02/01/2029 | 100,000 | 97,429 |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 5.000% | 02/01/2031 | 100,000 | 97,600 |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 3.750% | 03/01/2031 | 300,000 | 285,930 |
NRG Energy, Inc. (Electric Utilities) | 7.250% | 05/15/2026 | 750,000 | 780,000 | |
NRG Energy, Inc. (Electric Utilities) | 6.625% | 01/15/2027 | 250,000 | 260,000 | |
NRG Energy, Inc. (Electric Utilities) | (a) | 3.375% | 02/15/2029 | 25,000 | 24,406 |
NRG Energy, Inc. (Electric Utilities) | (a) | 3.625% | 02/15/2031 | 25,000 | 24,375 |
Pattern Energy Operations LP / Pattern Energy Operations, Inc. (Ind. Power & Renewable Elec.) | (a) | 4.500% | 08/15/2028 | 125,000 | 127,031 |
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.500% | 06/01/2024 | 425,000 | 431,524 | |
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.875% | 03/01/2027 | 600,000 | 624,000 | |
TerraForm Power Operating LLC (Ind. Power & Renewable Elec.) | (a) | 5.000% | 01/31/2028 | 750,000 | 809,288 |
Vistra Operations Co. LLC (Ind. Power & Renewable Elec.) | (a) | 5.500% | 09/01/2026 | 225,000 | 233,156 |
Vistra Operations Co. LLC (Ind. Power & Renewable Elec.) | (a) | 5.625% | 02/15/2027 | 400,000 | 415,752 |
Vistra Operations Co. LLC (Ind. Power & Renewable Elec.) | (a) | 5.000% | 07/31/2027 | 375,000 | 386,258 |
| 6,035,962 | |||||
Total Corporate Bonds (Cost $161,648,383) | $166,504,472 |
| Common Stocks–0.7% | Shares | Value | |
| Communication Services–0.1% | |||
iHeartMedia, Inc. Class A (Media) | (d) | 7,387 | $ 134,074 |
| Consumer Discretionary–0.0% | |||
Party City Holdco, Inc. (Specialty Retail) | (d) | 7,133 | 41,374 |
| Energy–0.5% | |||
Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels) | 6,988 | 415,017 |
40
(continued)
| Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Common Stocks (Continued) | Shares | Value | |
| Energy (continued) | |||
Superior Energy Services, Inc. (Acquired August 03, 2017 through July 25, 2018, Cost $939,833) (Energy Equip. & Svs.) | (d)(e) | 14,115 | $ 451,680 |
Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels) | (d) | 1,529 | 54,203 |
| 920,900 | |||
| Materials–0.1% | |||
Hexion Holdings Corp. Class B (Chemicals) | (d) | 10,888 | 163,320 |
Total Common Stocks (Cost $2,221,773) | $1,259,668 |
| Warrants–0.1% | Expiration | Strike Price | Quantity | Value | |
| Energy–0.1% | |||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 02/09/2026 | $ 27.63 | 3,585 | $ 73,923 | |
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 02/09/2026 | 36.18 | 2,213 | 37,178 | |
Total Warrants (Cost $477,813) | $111,101 |
| Money Market Funds–2.3% | Shares | Value | |
State Street Institutional Liquid Reserves Fund Institutional Class, 0.069% | (f) | 3,880,522 | $ 3,881,687 |
Total Money Market Funds (Cost $3,881,687) | $3,881,687 | ||
Total Investments – 99.6% (Cost $168,229,656) | (g) | $171,756,928 | |
| Other Assets in Excess of Liabilities – 0.4% | 750,094 | ||
| Net Assets – 100.0% | $172,507,022 |
Percentages are stated as a percent of net assets. |
| Abbreviations: | ||
| PIK: | Payment-in-Kind | |
| SL: | Semi-Annual U.S. LIBOR Rate, 0.205% at 03/31/2021 | |
| Footnotes: | ||
| (a) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At March 31, 2021, the value of these securities totaled $123,193,672, or 71.4% of the Portfolio’s net assets. | |
| (b) | Represents a security that is in default and deemed to be non-income producing. | |
| (c) | Issuer of the security has the option to make coupon payments in cash or in additional par value of this bond (Payment-in-Kind). | |
| (d) | Non-income producing security. | |
| (e) | Represents a security deemed to be restricted. At March 31, 2021, the value of restricted securities in the Portfolio totaled $451,680, or 0.3% of the Portfolio’s net assets. | |
| (f) | Rate represents the seven-day yield at March 31, 2021. | |
| (g) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
The accompanying notes are an integral part of these financial statements.
41
| Ohio National Fund, Inc. | ON Nasdaq-100® Index Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
42
(continued)
| Ohio National Fund, Inc. | ON Nasdaq-100® Index Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Abbreviations: | ||
| ADR: | American Depositary Receipts | |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Rate represents the seven-day yield at March 31, 2021. | |
| (c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
| (d) | Includes $176,000 of cash pledged as collateral for the futures contracts outstanding at March 31, 2021. See also the following Schedule of Open Futures Contracts. | |
The accompanying notes are an integral part of these financial statements.
| Schedule of Open Futures Contracts | March 31, 2021 (Unaudited) |
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CME E-mini Nasdaq-100 Index - Long | 11 | June 18, 2021 | $2,885,496 | $2,879,745 | $(5,751) | $41,845 |
The accompanying notes are an integral part of these financial statements.
43
| Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
44
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
45
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Rate represents the seven-day yield at March 31, 2021. | |
| (c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
| (d) | Includes $737,000 of cash pledged as collateral for the futures contracts outstanding at March 31, 2021. See also the following Schedule of Open Futures Contracts. | |
The accompanying notes are an integral part of these financial statements.
46
| Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio (Continued) |
| Schedule of Open Futures Contracts | March 31, 2021 (Unaudited) |
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CME E-mini S&P 500 Index - Long | 67 | June 18, 2021 | $13,181,237 | $13,290,790 | $109,553 | $59,503 |
The accompanying notes are an integral part of these financial statements.
47
| Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
48
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
49
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
50
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
51
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Abbreviations: | ||
| ADR: | American Depositary Receipts | |
| CVR: | Contingent Value Right | |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Rate represents the seven-day yield at March 31, 2021. | |
| (c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
| (d) | Includes $383,500 of cash pledged as collateral for the futures contracts outstanding at March 31, 2021. See also the following Schedule of Open Futures Contracts. | |
The accompanying notes are an integral part of these financial statements.
| Schedule of Open Futures Contracts | March 31, 2021 (Unaudited) |
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CME E-mini Russell 2000 Index - Long | 59 | June 18, 2021 | $6,854,037 | $6,556,375 | $(297,662) | $84,030 |
The accompanying notes are an integral part of these financial statements.
52
| Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
53
(continued)
| Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
54
(continued)
| Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
55
(continued)
| Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
| (c) | Includes $216,000 of cash pledged as collateral for the futures contracts outstanding at March 31, 2021. See also the following Schedule of Open Futures Contracts. | |
The accompanying notes are an integral part of these financial statements.
| Schedule of Open Futures Contracts | March 31, 2021 (Unaudited) |
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CME E-mini S&P MidCap 400 Index - Long | 16 | June 18, 2021 | $4,123,306 | $4,168,480 | $45,174 | $(2,057) |
The accompanying notes are an integral part of these financial statements.
56
| Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Growth Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
57
(continued)
| Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Growth Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
58
| Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Growth Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Rate represents the seven-day yield at March 31, 2021. | |
| (c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
| (d) | Includes $224,000 of cash pledged as collateral for the futures contracts outstanding at March 31, 2021. See also the following Schedule of Open Futures Contracts. | |
The accompanying notes are an integral part of these financial statements.
| Schedule of Open Futures Contracts | March 31, 2021 (Unaudited) |
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CME E-mini Nasdaq-100 Index - Long | 14 | June 18, 2021 | $3,622,052 | $3,665,130 | $43,078 | $55,065 |
The accompanying notes are an integral part of these financial statements.
59
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Common Stocks–50.3% | Shares | Value | |
| Communication Services–6.6% | |||
Activision Blizzard, Inc. (Entertainment) | 12,540 | $ 1,166,220 | |
Alphabet, Inc. Class C (Interactive Media & Svs.) | (a) | 6,253 | 12,935,144 |
Comcast Corp. Class A (Media) | 18,947 | 1,025,222 | |
Electronic Arts, Inc. (Entertainment) | 18,484 | 2,502,179 | |
Facebook, Inc. Class A (Interactive Media & Svs.) | (a) | 30,105 | 8,866,826 |
Take-Two Interactive Software, Inc. (Entertainment) | (a) | 6,216 | 1,098,367 |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 16,747 | 973,838 | |
| 28,567,796 | |||
| Consumer Discretionary–6.8% | |||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 3,105 | 9,607,118 |
AutoZone, Inc. (Specialty Retail) | (a) | 1,664 | 2,336,755 |
Burlington Stores, Inc. (Specialty Retail) | (a) | 1,773 | 529,772 |
Chegg, Inc. (Diversified Consumer Svs.) | (a) | 6,305 | 540,086 |
Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods) | (a) | 4,228 | 1,397,016 |
Dollar General Corp. (Multiline Retail) | 4,836 | 979,870 | |
Domino's Pizza, Inc. (Hotels, Restaurants & Leisure) | 2,860 | 1,051,879 | |
Etsy, Inc. (Internet & Direct Marketing Retail) | (a) | 3,530 | 711,895 |
Garmin Ltd. (Household Durables) | 3,930 | 518,171 | |
Home Depot, Inc. / The (Specialty Retail) | 18,710 | 5,711,228 | |
McDonald's Corp. (Hotels, Restaurants & Leisure) | 3,333 | 747,059 | |
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 24,358 | 3,236,935 | |
O'Reilly Automotive, Inc. (Specialty Retail) | (a) | 2,634 | 1,336,097 |
Ross Stores, Inc. (Specialty Retail) | 6,120 | 733,849 | |
| 29,437,730 | |||
| Consumer Staples–3.4% | |||
British American Tobacco PLC – ADR (Tobacco) | 17,750 | 687,635 | |
Coca-Cola Co. / The (Beverages) | 16,978 | 894,910 | |
Colgate-Palmolive Co. (Household Products) | 5,390 | 424,894 | |
Costco Wholesale Corp. (Food & Staples Retailing) | 8,264 | 2,912,895 | |
Koninklijke Ahold Delhaize N.V. – ADR (Food & Staples Retailing) | 9,400 | 262,354 | |
Monster Beverage Corp. (Beverages) | (a) | 44,262 | 4,031,825 |
PepsiCo, Inc. (Beverages) | 3,090 | 437,080 | |
Philip Morris International, Inc. (Tobacco) | 19,870 | 1,763,264 | |
Procter & Gamble Co. / The (Household Products) | 11,488 | 1,555,820 | |
Walmart, Inc. (Food & Staples Retailing) | 11,742 | 1,594,916 | |
| 14,565,593 | |||
| Energy–0.2% | |||
Royal Dutch Shell PLC Class B – ADR (Oil, Gas & Consumable Fuels) | 23,527 | 866,499 | |
| Financials–2.4% | |||
American Financial Group, Inc. (Insurance) | 5,870 | 669,767 | |
Bank of America Corp. (Banks) | 13,860 | 536,243 | |
CME Group, Inc. (Capital Markets) | 7,217 | 1,473,928 | |
Everest RE Group Ltd. (Insurance) | 3,710 | 919,375 | |
Intercontinental Exchange, Inc. (Capital Markets) | 11,219 | 1,252,938 | |
JPMorgan Chase & Co. (Banks) | 9,535 | 1,451,513 | |
MarketAxess Holdings, Inc. (Capital Markets) | 681 | 339,084 | |
Progressive Corp. / The (Insurance) | 8,665 | 828,461 | |
RenaissanceRe Holdings Ltd. (Insurance) | 3,804 | 609,591 | |
S&P Global, Inc. (Capital Markets) | 2,191 | 773,138 | |
T. Rowe Price Group, Inc. (Capital Markets) | 4,266 | 732,046 | |
U.S. Bancorp (Banks) | 14,391 | 795,966 | |
| 10,382,050 | |||
| Health Care–9.0% | |||
ABIOMED, Inc. (Health Care Equip. & Supplies) | (a) | 1,747 | 556,821 |
Align Technology, Inc. (Health Care Equip. & Supplies) | (a) | 3,885 | 2,103,844 |
Anthem, Inc. (Health Care Providers & Svs.) | 4,042 | 1,450,876 | |
Bristol-Myers Squibb Co. (Pharmaceuticals) | 21,219 | 1,339,556 | |
Edwards Lifesciences Corp. (Health Care Equip. & Supplies) | (a) | 26,799 | 2,241,468 |
Eli Lilly & Co. (Pharmaceuticals) | 2,671 | 498,996 | |
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a) | 3,210 | 1,570,685 |
Illumina, Inc. (Life Sciences Tools & Svs.) | (a) | 1,960 | 752,758 |
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 4,360 | 3,221,778 |
Johnson & Johnson (Pharmaceuticals) | 8,060 | 1,324,661 | |
Medtronic PLC (Health Care Equip. & Supplies) | 4,671 | 551,785 |
60
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Common Stocks (Continued) | Shares | Value | |
| Health Care (continued) | |||
Merck & Co., Inc. (Pharmaceuticals) | 21,654 | $ 1,669,307 | |
Mettler-Toledo International, Inc. (Life Sciences Tools & Svs.) | (a) | 500 | 577,845 |
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a) | 4,310 | 2,039,233 |
Roche Holding AG – ADR (Pharmaceuticals) | 30,340 | 1,230,590 | |
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 1,010 | 460,944 | |
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 22,274 | 8,287,487 | |
Veeva Systems, Inc. Class A (Health Care Technology) | (a) | 3,140 | 820,294 |
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a) | 15,687 | 3,370,980 |
Zoetis, Inc. (Pharmaceuticals) | 29,616 | 4,663,928 | |
| 38,733,836 | |||
| Industrials–3.2% | |||
Allegion PLC (Building Products) | 8,530 | 1,071,538 | |
AMETEK, Inc. (Electrical Equip.) | 5,070 | 647,591 | |
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 5,190 | 495,282 | |
Copart, Inc. (Commercial Svs. & Supplies) | (a) | 16,072 | 1,745,580 |
Generac Holdings, Inc. (Electrical Equip.) | (a) | 1,870 | 612,331 |
IDEX Corp. (Machinery) | 3,080 | 644,706 | |
L3Harris Technologies, Inc. (Aerospace & Defense) | 6,807 | 1,379,643 | |
Lennox International, Inc. (Building Products) | 1,600 | 498,544 | |
Lockheed Martin Corp. (Aerospace & Defense) | 2,870 | 1,060,465 | |
Masco Corp. (Building Products) | 14,013 | 839,379 | |
Regal Beloit Corp. (Electrical Equip.) | 7,660 | 1,092,929 | |
RELX PLC – ADR (Professional Svs.) | 20,690 | 520,560 | |
Robert Half International, Inc. (Professional Svs.) | 7,370 | 575,376 | |
Roper Technologies, Inc. (Industrial Conglomerates) | 4,284 | 1,727,908 | |
Trex Co., Inc. (Building Products) | (a) | 4,328 | 396,185 |
Verisk Analytics, Inc. (Professional Svs.) | 1,820 | 321,576 | |
| 13,629,593 | |||
| Information Technology–16.3% | |||
Adobe, Inc. (Software) | (a) | 6,947 | 3,302,395 |
Amdocs Ltd. (IT Svs.) | 6,750 | 473,513 | |
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 13,208 | 871,332 | |
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 25,267 | 3,086,364 | |
Arista Networks, Inc. (Communications Equip.) | (a) | 2,973 | 897,519 |
ASML Holding N.V. (Semiconductors & Equip.) | 3,390 | 2,092,850 | |
Automatic Data Processing, Inc. (IT Svs.) | 7,263 | 1,368,858 | |
Booz Allen Hamilton Holding Corp. (IT Svs.) | 7,400 | 595,922 | |
Broadcom, Inc. (Semiconductors & Equip.) | 1,260 | 584,212 | |
CDW Corp. (Electronic Equip., Instr. & Comp.) | 6,514 | 1,079,696 | |
Check Point Software Technologies Ltd. (Software) | (a) | 6,320 | 707,650 |
Citrix Systems, Inc. (Software) | 11,048 | 1,550,697 | |
Cognex Corp. (Electronic Equip., Instr. & Comp.) | 7,790 | 646,492 | |
EPAM Systems, Inc. (IT Svs.) | (a) | 2,297 | 911,197 |
Fidelity National Information Services, Inc. (IT Svs.) | 9,695 | 1,363,214 | |
Fortinet, Inc. (Software) | (a) | 10,024 | 1,848,626 |
Genpact Ltd. (IT Svs.) | 27,460 | 1,175,837 | |
IPG Photonics Corp. (Electronic Equip., Instr. & Comp.) | (a) | 5,726 | 1,207,842 |
KLA-Tencor Corp. (Semiconductors & Equip.) | 2,818 | 931,067 | |
Mastercard, Inc. Class A (IT Svs.) | 3,358 | 1,195,616 | |
Microsoft Corp. (Software) | 68,709 | 16,199,521 | |
Motorola Solutions, Inc. (Communications Equip.) | 6,390 | 1,201,639 | |
Nice Ltd. – ADR (Software) | (a) | 1,650 | 359,651 |
NortonLifeLock, Inc. (Software) | 49,830 | 1,059,386 | |
Nuance Communications, Inc. (Software) | (a) | 5,130 | 223,873 |
NVIDIA Corp. (Semiconductors & Equip.) | 3,936 | 2,101,548 | |
Oracle Corp. (Software) | 36,965 | 2,593,834 | |
Paychex, Inc. (IT Svs.) | 17,931 | 1,757,597 | |
PayPal Holdings, Inc. (IT Svs.) | (a) | 12,230 | 2,969,933 |
QUALCOMM, Inc. (Semiconductors & Equip.) | 27,061 | 3,588,018 | |
Texas Instruments, Inc. (Semiconductors & Equip.) | 10,984 | 2,075,866 | |
Tyler Technologies, Inc. (Software) | (a) | 1,720 | 730,192 |
Visa, Inc. (IT Svs.) | 33,316 | 7,053,997 | |
Xilinx, Inc. (Semiconductors & Equip.) | 17,903 | 2,218,182 | |
| 70,024,136 | |||
| Materials–1.1% | |||
Reliance Steel & Aluminum Co. (Metals & Mining) | 7,792 | 1,186,644 |
61
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Common Stocks (Continued) | Shares | Value | |
| Materials (continued) | |||
Sealed Air Corp. (Containers & Packaging) | 9,880 | $ 452,701 | |
Sherwin-Williams Co. / The (Chemicals) | 3,970 | 2,929,900 | |
| 4,569,245 | |||
| Real Estate–0.3% | |||
American Campus Communities, Inc. (Equity REIT) | 7,110 | 306,939 | |
CubeSmart (Equity REIT) | 10,440 | 394,945 | |
Sun Communities, Inc. (Equity REIT) | 3,090 | 463,624 | |
| 1,165,508 | |||
| Utilities–1.0% | |||
Alliant Energy Corp. (Electric Utilities) | 12,322 | 667,359 | |
Ameren Corp. (Multi-Utilities) | 16,641 | 1,353,912 | |
American Electric Power Co., Inc. (Electric Utilities) | 4,900 | 415,030 | |
Dominion Energy, Inc. (Multi-Utilities) | 10,460 | 794,542 | |
NextEra Energy, Inc. (Electric Utilities) | 17,260 | 1,305,028 | |
| 4,535,871 | |||
Total Common Stocks (Cost $156,183,404) | $216,477,857 |
| Corporate Bonds–17.4% | Rate | Maturity | Face Amount | Value | |
| Communication Services–2.2% | |||||
AT&T, Inc. (Diversified Telecom. Svs.) | 2.750% | 06/01/2031 | $ 10,000 | $ 9,960 | |
AT&T, Inc. (Diversified Telecom. Svs.) | (b) | 3.500% | 09/15/2053 | 293,000 | 270,772 |
AT&T, Inc. (Diversified Telecom. Svs.) | (b) | 3.550% | 09/15/2055 | 123,000 | 112,558 |
AT&T, Inc. (Diversified Telecom. Svs.) | (b) | 3.800% | 12/01/2057 | 208,000 | 197,888 |
AT&T, Inc. (Diversified Telecom. Svs.) | (b) | 3.650% | 09/15/2059 | 33,000 | 30,164 |
Cable One, Inc. (Media) | (b) | 4.000% | 11/15/2030 | 129,000 | 127,607 |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 5.050% | 03/30/2029 | 519,000 | 596,548 | |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 2.800% | 04/01/2031 | 502,000 | 495,418 | |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 6.484% | 10/23/2045 | 62,000 | 80,725 | |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 5.375% | 05/01/2047 | 49,000 | 56,879 | |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 4.800% | 03/01/2050 | 265,000 | 284,270 | |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 3.700% | 04/01/2051 | 548,000 | 512,547 | |
Comcast Corp. (Media) | 3.100% | 04/01/2025 | 80,000 | 86,415 | |
Comcast Corp. (Media) | 3.150% | 03/01/2026 | 146,000 | 158,490 | |
Comcast Corp. (Media) | 3.300% | 04/01/2027 | 218,000 | 237,665 | |
Comcast Corp. (Media) | 4.150% | 10/15/2028 | 123,000 | 140,765 | |
Comcast Corp. (Media) | 2.650% | 02/01/2030 | 113,000 | 115,676 | |
Comcast Corp. (Media) | 3.400% | 04/01/2030 | 218,000 | 236,034 | |
Comcast Corp. (Media) | 4.250% | 10/15/2030 | 205,000 | 235,551 | |
Comcast Corp. (Media) | 4.600% | 10/15/2038 | 122,000 | 147,265 | |
Comcast Corp. (Media) | 3.750% | 04/01/2040 | 87,000 | 95,457 | |
Comcast Corp. (Media) | 4.950% | 10/15/2058 | 111,000 | 145,228 | |
Level 3 Financing, Inc. (Diversified Telecom. Svs.) | (b) | 3.875% | 11/15/2029 | 309,000 | 325,609 |
Lumen Technologies, Inc. (Diversified Telecom. Svs.) | 6.450% | 06/15/2021 | 124,000 | 124,899 | |
Lumen Technologies, Inc. (Diversified Telecom. Svs.) | 5.800% | 03/15/2022 | 102,000 | 105,580 | |
Netflix, Inc. (Entertainment) | 5.875% | 11/15/2028 | 310,000 | 374,966 | |
Tencent Holdings Ltd. (Interactive Media & Svs.) | (b) | 1.810% | 01/26/2026 | 201,000 | 201,622 |
Tencent Holdings Ltd. (Interactive Media & Svs.) | 2.390% | 06/03/2030 | 200,000 | 193,157 | |
Tencent Holdings Ltd. (Interactive Media & Svs.) | (b) | 3.240% | 06/03/2050 | 201,000 | 185,079 |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | (b) | 3.500% | 04/15/2025 | 264,000 | 284,824 |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 2.625% | 04/15/2026 | 70,000 | 71,316 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | (b) | 3.750% | 04/15/2027 | 673,000 | 735,697 |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 3.375% | 04/15/2029 | 74,000 | 74,555 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | (b) | 3.875% | 04/15/2030 | 226,000 | 245,291 |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 2.875% | 02/15/2031 | 143,000 | 138,210 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | (b) | 4.375% | 04/15/2040 | 78,000 | 86,663 |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | (b) | 4.500% | 04/15/2050 | 91,000 | 102,183 |
TWDC Enterprises 18 Corp. (Entertainment) | 4.125% | 06/01/2044 | 256,000 | 290,924 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 3.150% | 03/22/2030 | 108,000 | 113,910 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 3.400% | 03/22/2041 | 457,000 | 463,940 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.862% | 08/21/2046 | 93,000 | 111,567 |
62
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Communication Services (continued) | |||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.522% | 09/15/2048 | $ 69,000 | $ 80,032 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.000% | 03/22/2050 | 77,000 | 82,870 | |
ViacomCBS, Inc. (Media) | 4.950% | 01/15/2031 | 71,000 | 83,735 | |
Weibo Corp. (Interactive Media & Svs.) | 3.375% | 07/08/2030 | 527,000 | 524,260 | |
| 9,374,771 | |||||
| Consumer Discretionary–2.1% | |||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (b) | 3.500% | 02/15/2029 | 270,000 | 262,575 |
Advance Auto Parts, Inc. (Specialty Retail) | 1.750% | 10/01/2027 | 84,000 | 82,759 | |
Advance Auto Parts, Inc. (Specialty Retail) | 3.900% | 04/15/2030 | 125,000 | 135,831 | |
Alibaba Group Holding Ltd. (Internet & Direct Marketing Retail) | 2.125% | 02/09/2031 | 459,000 | 437,859 | |
AutoNation, Inc. (Specialty Retail) | 4.750% | 06/01/2030 | 60,000 | 69,184 | |
AutoZone, Inc. (Specialty Retail) | 3.750% | 04/18/2029 | 303,000 | 328,381 | |
Booking Holdings, Inc. (Hotels, Restaurants & Leisure) | 4.625% | 04/13/2030 | 404,000 | 470,602 | |
Dollar General Corp. (Multiline Retail) | 3.500% | 04/03/2030 | 187,000 | 201,611 | |
Falabella SA (Multiline Retail) | 3.750% | 10/30/2027 | 200,000 | 215,463 | |
General Motors Co. (Automobiles) | 6.125% | 10/01/2025 | 79,000 | 92,897 | |
General Motors Co. (Automobiles) | 4.200% | 10/01/2027 | 94,000 | 103,161 | |
General Motors Co. (Automobiles) | 6.800% | 10/01/2027 | 107,000 | 132,740 | |
General Motors Co. (Automobiles) | 5.000% | 10/01/2028 | 269,000 | 308,276 | |
General Motors Co. (Automobiles) | 5.400% | 04/01/2048 | 90,000 | 106,689 | |
Hasbro, Inc. (Leisure Products) | 3.900% | 11/19/2029 | 519,000 | 558,164 | |
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | (b) | 4.000% | 05/01/2031 | 360,000 | 360,000 |
InRetail Consumer (Multiline Retail) | (b) | 3.250% | 03/22/2028 | 229,000 | 228,659 |
Las Vegas Sands Corp. (Hotels, Restaurants & Leisure) | 3.200% | 08/08/2024 | 108,000 | 112,603 | |
Las Vegas Sands Corp. (Hotels, Restaurants & Leisure) | 2.900% | 06/25/2025 | 191,000 | 195,536 | |
Lear Corp. (Auto Components) | 3.800% | 09/15/2027 | 37,000 | 40,285 | |
Lear Corp. (Auto Components) | 3.500% | 05/30/2030 | 113,000 | 117,812 | |
Levi Strauss & Co. (Textiles, Apparel & Luxury Goods) | (b) | 3.500% | 03/01/2031 | 153,000 | 147,645 |
Marriott International, Inc. (Hotels, Restaurants & Leisure) | 5.750% | 05/01/2025 | 361,000 | 414,245 | |
Mattel, Inc. (Leisure Products) | (b) | 3.375% | 04/01/2026 | 128,000 | 132,152 |
Mattel, Inc. (Leisure Products) | (b) | 3.750% | 04/01/2029 | 127,000 | 127,794 |
McDonald's Corp. (Hotels, Restaurants & Leisure) | 3.500% | 07/01/2027 | 272,000 | 299,122 | |
McDonald's Corp. (Hotels, Restaurants & Leisure) | 2.625% | 09/01/2029 | 294,000 | 301,511 | |
McDonald's Corp. (Hotels, Restaurants & Leisure) | 3.625% | 09/01/2049 | 90,000 | 93,948 | |
Newell Brands, Inc. (Household Durables) | 4.875% | 06/01/2025 | 27,000 | 29,801 | |
Newell Brands, Inc. (Household Durables) | 4.700% | 04/01/2026 | 113,000 | 124,683 | |
NIKE, Inc. (Textiles, Apparel & Luxury Goods) | 2.400% | 03/27/2025 | 98,000 | 103,299 | |
NIKE, Inc. (Textiles, Apparel & Luxury Goods) | 2.750% | 03/27/2027 | 152,000 | 161,971 | |
Nissan Motor Co. Ltd. (Automobiles) | (b) | 4.345% | 09/17/2027 | 430,000 | 467,635 |
O'Reilly Automotive, Inc. (Specialty Retail) | 3.600% | 09/01/2027 | 6,000 | 6,559 | |
O'Reilly Automotive, Inc. (Specialty Retail) | 4.350% | 06/01/2028 | 47,000 | 53,268 | |
O'Reilly Automotive, Inc. (Specialty Retail) | 3.900% | 06/01/2029 | 232,000 | 254,230 | |
Prosus N.V. (Internet & Direct Marketing Retail) | (b) | 3.680% | 01/21/2030 | 216,000 | 222,941 |
Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 2.950% | 06/15/2030 | 413,000 | 426,023 | |
Ross Stores, Inc. (Specialty Retail) | 4.700% | 04/15/2027 | 280,000 | 318,677 | |
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | (b) | 10.875% | 06/01/2023 | 136,000 | 156,441 |
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | (b) | 11.500% | 06/01/2025 | 240,000 | 279,900 |
Starbucks Corp. (Hotels, Restaurants & Leisure) | 4.450% | 08/15/2049 | 180,000 | 208,845 | |
Wynn Macau Ltd. (Hotels, Restaurants & Leisure) | (b) | 5.625% | 08/26/2028 | 292,000 | 305,227 |
| 9,197,004 | |||||
| Consumer Staples–2.2% | |||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | (b) | 3.500% | 03/15/2029 | 156,000 | 148,456 |
Alimentation Couche-Tard, Inc. (Food & Staples Retailing) | (b) | 2.950% | 01/25/2030 | 77,000 | 78,615 |
Altria Group, Inc. (Tobacco) | 4.800% | 02/14/2029 | 106,000 | 121,795 | |
Altria Group, Inc. (Tobacco) | 3.400% | 05/06/2030 | 280,000 | 292,946 | |
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.900% | 02/01/2046 | 268,000 | 320,138 | |
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.150% | 01/23/2025 | 512,000 | 568,988 | |
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 3.500% | 06/01/2030 | 570,000 | 617,285 | |
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.350% | 06/01/2040 | 190,000 | 214,813 | |
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.500% | 06/01/2050 | 192,000 | 217,846 | |
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.750% | 04/15/2058 | 162,000 | 186,727 | |
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.600% | 06/01/2060 | 136,000 | 153,278 | |
B.A.T. Capital Corp. (Tobacco) | 4.700% | 04/02/2027 | 180,000 | 202,616 | |
B.A.T. Capital Corp. (Tobacco) | 2.259% | 03/25/2028 | 435,000 | 428,280 | |
Campbell Soup Co. (Food Products) | 3.950% | 03/15/2025 | 113,000 | 124,163 | |
Cargill, Inc. (Food Products) | (b) | 1.375% | 07/23/2023 | 77,000 | 78,582 |
Cargill, Inc. (Food Products) | (b) | 2.125% | 04/23/2030 | 113,000 | 111,071 |
63
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Consumer Staples (continued) | |||||
Cencosud SA (Food & Staples Retailing) | 5.150% | 02/12/2025 | $ 276,000 | $ 307,920 | |
Coca-Cola Co. / The (Beverages) | 3.375% | 03/25/2027 | 263,000 | 290,435 | |
Coca-Cola Co. / The (Beverages) | 3.450% | 03/25/2030 | 182,000 | 200,490 | |
Coca-Cola Co. / The (Beverages) | 4.200% | 03/25/2050 | 197,000 | 231,092 | |
Coca-Cola Femsa S.A.B de C.V. (Beverages) | 2.750% | 01/22/2030 | 154,000 | 154,641 | |
Coca-Cola Femsa S.A.B de C.V. (Beverages) | 1.850% | 09/01/2032 | 171,000 | 156,419 | |
Estee Lauder Cos., Inc. / The (Personal Products) | 2.600% | 04/15/2030 | 412,000 | 424,510 | |
Fomento Economico Mexicano S.A.B de C.V. (Beverages) | 3.500% | 01/16/2050 | 182,000 | 181,287 | |
J.M. Smucker Co. / The (Food Products) | 2.375% | 03/15/2030 | 165,000 | 162,762 | |
JBS U.S.A. LUX SA / JBS U.S.A. Finance, Inc. (Food Products) | (b) | 6.750% | 02/15/2028 | 76,000 | 83,220 |
Kimberly-Clark de Mexico S.A.B de C.V. (Household Products) | (b) | 2.431% | 07/01/2031 | 274,000 | 267,293 |
Mars, Inc. (Food Products) | (b) | 2.700% | 04/01/2025 | 113,000 | 119,500 |
Mars, Inc. (Food Products) | (b) | 3.200% | 04/01/2030 | 28,000 | 29,910 |
Mondelez International Holdings Netherlands BV (Food Products) | (b) | 2.250% | 09/19/2024 | 249,000 | 260,295 |
Mondelez International, Inc. (Food Products) | 2.750% | 04/13/2030 | 41,000 | 41,858 | |
PepsiCo, Inc. (Beverages) | 2.250% | 03/19/2025 | 187,000 | 196,923 | |
PepsiCo, Inc. (Beverages) | 2.625% | 03/19/2027 | 58,000 | 61,691 | |
PepsiCo, Inc. (Beverages) | 3.625% | 03/19/2050 | 155,000 | 170,968 | |
PepsiCo, Inc. (Beverages) | 3.875% | 03/19/2060 | 47,000 | 52,974 | |
Procter & Gamble Co. / The (Household Products) | 2.800% | 03/25/2027 | 119,000 | 128,181 | |
Procter & Gamble Co. / The (Household Products) | 3.000% | 03/25/2030 | 68,000 | 73,194 | |
Sysco Corp. (Food & Staples Retailing) | 2.500% | 07/15/2021 | 73,000 | 73,297 | |
Sysco Corp. (Food & Staples Retailing) | 5.650% | 04/01/2025 | 217,000 | 252,328 | |
Sysco Corp. (Food & Staples Retailing) | 2.400% | 02/15/2030 | 72,000 | 71,491 | |
Sysco Corp. (Food & Staples Retailing) | 5.950% | 04/01/2030 | 473,000 | 591,050 | |
Sysco Corp. (Food & Staples Retailing) | 6.600% | 04/01/2040 | 270,000 | 376,658 | |
Sysco Corp. (Food & Staples Retailing) | 6.600% | 04/01/2050 | 334,000 | 482,420 | |
| 9,308,406 | |||||
| Energy–1.1% | |||||
Boardwalk Pipelines LP (Oil, Gas & Consumable Fuels) | 3.400% | 02/15/2031 | 153,000 | 152,878 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 2.939% | 06/04/2051 | 479,000 | 427,213 | |
Cenovus Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.375% | 07/15/2025 | 35,000 | 39,333 | |
Cheniere Corpus Christi Holdings LLC (Oil, Gas & Consumable Fuels) | 3.700% | 11/15/2029 | 557,000 | 587,055 | |
Chevron U.S.A., Inc. (Oil, Gas & Consumable Fuels) | 5.250% | 11/15/2043 | 227,000 | 293,686 | |
Enbridge Energy Partners LP (Oil, Gas & Consumable Fuels) | 7.375% | 10/15/2045 | 263,000 | 372,088 | |
Energy Transfer LP (Oil, Gas & Consumable Fuels) | 5.875% | 01/15/2024 | 127,000 | 141,373 | |
Energy Transfer LP (Oil, Gas & Consumable Fuels) | 6.250% | 04/15/2049 | 196,000 | 230,066 | |
Hess Corp. (Oil, Gas & Consumable Fuels) | 4.300% | 04/01/2027 | 258,000 | 281,179 | |
Husky Energy, Inc. (Oil, Gas & Consumable Fuels) | 4.400% | 04/15/2029 | 164,000 | 175,074 | |
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 4.300% | 03/01/2028 | 69,000 | 77,147 | |
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.500% | 03/01/2041 | 67,000 | 89,073 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 6.350% | 01/15/2031 | 142,000 | 178,296 | |
Plains All American Pipeline LP (Oil, Gas & Consumable Fuels) | 4.650% | 10/15/2025 | 241,000 | 264,068 | |
Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 6.800% | 05/15/2038 | 223,000 | 305,511 | |
Tengizchevroil Finance Co. International Ltd. (Oil, Gas & Consumable Fuels) | (b) | 3.250% | 08/15/2030 | 205,000 | 204,026 |
TransCanada PipeLines Ltd. (Oil, Gas & Consumable Fuels) | 4.100% | 04/15/2030 | 413,000 | 460,365 | |
TransCanada PipeLines Ltd. (Oil, Gas & Consumable Fuels) | 6.100% | 06/01/2040 | 235,000 | 304,532 | |
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 01/15/2030 | 287,000 | 309,039 | |
| 4,892,002 | |||||
| Financials–3.2% | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 6.500% | 07/15/2025 | 271,000 | 315,926 | |
Alleghany Corp. (Insurance) | 3.625% | 05/15/2030 | 291,000 | 313,771 | |
Aviation Capital Group LLC (Diversified Financial Svs.) | (b) | 2.875% | 01/20/2022 | 25,000 | 25,362 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (b) | 3.875% | 05/01/2023 | 122,000 | 127,341 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (b) | 4.375% | 01/30/2024 | 50,000 | 53,152 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (b) | 5.500% | 12/15/2024 | 148,000 | 165,485 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (b) | 4.125% | 08/01/2025 | 3,000 | 3,197 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (b) | 4.875% | 10/01/2025 | 57,000 | 62,038 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (b) | 1.950% | 01/30/2026 | 167,000 | 162,709 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (b) | 3.500% | 11/01/2027 | 50,000 | 51,475 |
Banco de Credito del Peru (Rate is fixed until 07/01/2025, at which point, the rate becomes H15T5Y + 300) (Banks) | (b)(c) | 3.125% | 07/01/2030 | 244,000 | 244,512 |
Bank of America Corp. (Rate is fixed until 04/24/2027, at which point, the rate becomes QL + 151) (Banks) | (c) | 3.705% | 04/24/2028 | 501,000 | 547,991 |
Bank of America Corp. (Rate is fixed until 03/05/2028, at which point, the rate becomes QL + 107) (Banks) | (c) | 3.970% | 03/05/2029 | 177,000 | 195,030 |
Bank of America Corp. (Rate is fixed until 04/29/2030, at which point, the rate becomes SOFR + 215) (Banks) | (c) | 2.592% | 04/29/2031 | 678,000 | 676,585 |
64
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Financials (continued) | |||||
BNP Paribas SA (Rate is fixed until 11/19/2024, at which point, the rate becomes QL + 111) (Banks) | (b)(c) | 2.819% | 11/19/2025 | $ 306,000 | $ 322,113 |
BNP Paribas SA (Rate is fixed until 01/13/2030, at which point, the rate becomes SOFR + 151) (Banks) | (b)(c) | 3.052% | 01/13/2031 | 333,000 | 341,354 |
Capital One Financial Corp. (Consumer Finance) | 2.600% | 05/11/2023 | 349,000 | 362,957 | |
Charles Schwab Corp. / The (Capital Markets) | 4.625% | 03/22/2030 | 299,000 | 351,720 | |
Citigroup, Inc. (Rate is fixed until 01/10/2027, at which point, the rate becomes QL + 156) (Banks) | (c) | 3.887% | 01/10/2028 | 570,000 | 626,534 |
Citigroup, Inc. (Rate is fixed until 03/31/2030, at which point, the rate becomes SOFR + 391) (Banks) | (c) | 4.412% | 03/31/2031 | 380,000 | 433,661 |
Citizens Financial Group, Inc. (Banks) | (b) | 2.638% | 09/30/2032 | 114,000 | 109,155 |
GE Capital Funding LLC (Diversified Financial Svs.) | (b) | 4.400% | 05/15/2030 | 401,000 | 453,993 |
General Motors Financial Co., Inc. (Consumer Finance) | 4.350% | 04/09/2025 | 177,000 | 194,137 | |
General Motors Financial Co., Inc. (Consumer Finance) | 4.300% | 07/13/2025 | 54,000 | 59,379 | |
General Motors Financial Co., Inc. (Consumer Finance) | 4.350% | 01/17/2027 | 99,000 | 109,940 | |
Harley-Davidson Financial Services, Inc. (Consumer Finance) | (b) | 3.350% | 06/08/2025 | 406,000 | 425,474 |
HSBC Holdings PLC (Rate is fixed until 03/30/2025, at which point, the rate becomes USISDA05 + 437) (Banks) | (c) | 6.375% | Perpetual | 212,000 | 233,624 |
ING Groep N.V. (Rate is fixed until 04/01/2031, at which point, the rate becomes SOFR + 132) (Banks) | (c) | 2.727% | 04/01/2032 | 456,000 | 455,726 |
JPMorgan Chase & Co. (Rate is fixed until 04/22/2025, at which point, the rate becomes SOFR + 185) (Banks) | (c) | 2.083% | 04/22/2026 | 933,000 | 958,251 |
JPMorgan Chase & Co. (Rate is fixed until 01/29/2026, at which point, the rate becomes QL + 125) (Banks) | (c) | 3.960% | 01/29/2027 | 508,000 | 561,826 |
JPMorgan Chase & Co. (Rate is fixed until 02/01/2027, at which point, the rate becomes QL + 134) (Banks) | (c) | 3.782% | 02/01/2028 | 191,000 | 210,517 |
JPMorgan Chase & Co. (Rate is fixed until 12/05/2028, at which point, the rate becomes QL + 133) (Banks) | (c) | 4.452% | 12/05/2029 | 460,000 | 526,913 |
JPMorgan Chase & Co. (Rate is fixed until 10/15/2029, at which point, the rate becomes SOFR + 151) (Banks) | (c) | 2.739% | 10/15/2030 | 218,000 | 221,558 |
JPMorgan Chase & Co. (Rate is fixed until 03/24/2030, at which point, the rate becomes SOFR + 379) (Banks) | (c) | 4.493% | 03/24/2031 | 171,000 | 197,022 |
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 396,000 | 438,204 | |
Morgan Stanley (Rate is fixed until 07/22/2027, at which point, the rate becomes QL + 134) (Capital Markets) | (c) | 3.591% | 07/22/2028 | 251,000 | 273,637 |
Morgan Stanley (Rate is fixed until 01/23/2029, at which point, the rate becomes QL + 163) (Capital Markets) | (c) | 4.431% | 01/23/2030 | 408,000 | 467,164 |
SLM Corp. (Consumer Finance) | 4.200% | 10/29/2025 | 233,000 | 244,655 | |
UniCredit SpA (Rate is fixed until 09/22/2025, at which point, the rate becomes H15T1Y + 230) (Banks) | (b)(c) | 2.569% | 09/22/2026 | 435,000 | 436,738 |
Wells Fargo & Co. (Rate is fixed until 02/11/2025, at which point, the rate becomes QL + 75) (Banks) | (c) | 2.164% | 02/11/2026 | 651,000 | 671,576 |
Wells Fargo & Co. (Rate is fixed until 10/30/2029, at which point, the rate becomes SOFR + 143) (Banks) | (c) | 2.879% | 10/30/2030 | 298,000 | 306,973 |
Wells Fargo & Co. (Rate is fixed until 04/04/2030, at which point, the rate becomes SOFR + 403) (Banks) | (c) | 4.478% | 04/04/2031 | 545,000 | 627,605 |
| 13,566,980 | |||||
| Health Care–1.1% | |||||
AbbVie, Inc. (Biotechnology) | 3.450% | 03/15/2022 | 292,000 | 298,729 | |
AbbVie, Inc. (Biotechnology) | 3.250% | 10/01/2022 | 175,000 | 181,007 | |
AbbVie, Inc. (Biotechnology) | 2.800% | 03/15/2023 | 14,000 | 14,516 | |
AbbVie, Inc. (Biotechnology) | 2.600% | 11/21/2024 | 165,000 | 174,207 | |
AbbVie, Inc. (Biotechnology) | 3.800% | 03/15/2025 | 210,000 | 229,433 | |
Baxter International, Inc. (Health Care Equip. & Supplies) | (b) | 3.950% | 04/01/2030 | 238,000 | 267,828 |
Boston Scientific Corp. (Health Care Equip. & Supplies) | 3.750% | 03/01/2026 | 137,000 | 151,262 | |
Boston Scientific Corp. (Health Care Equip. & Supplies) | 4.000% | 03/01/2029 | 71,000 | 78,977 | |
Bristol-Myers Squibb Co. (Pharmaceuticals) | 3.400% | 07/26/2029 | 125,000 | 136,602 | |
Centene Corp. (Health Care Providers & Svs.) | (b) | 5.375% | 06/01/2026 | 371,000 | 387,955 |
Centene Corp. (Health Care Providers & Svs.) | 4.250% | 12/15/2027 | 326,000 | 342,912 | |
Centene Corp. (Health Care Providers & Svs.) | 4.625% | 12/15/2029 | 376,000 | 406,947 | |
Centene Corp. (Health Care Providers & Svs.) | 3.375% | 02/15/2030 | 212,000 | 213,986 | |
Cigna Corp. (Health Care Providers & Svs.) | 2.400% | 03/15/2030 | 114,000 | 113,034 | |
Cigna Corp. (Health Care Providers & Svs.) | 3.200% | 03/15/2040 | 52,000 | 51,999 | |
Cigna Corp. (Health Care Providers & Svs.) | 3.400% | 03/15/2050 | 78,000 | 76,700 | |
CVS Health Corp. (Health Care Providers & Svs.) | 3.000% | 08/15/2026 | 33,000 | 35,262 | |
CVS Health Corp. (Health Care Providers & Svs.) | 4.300% | 03/25/2028 | 103,000 | 116,965 | |
CVS Health Corp. (Health Care Providers & Svs.) | 4.125% | 04/01/2040 | 141,000 | 155,707 | |
CVS Health Corp. (Health Care Providers & Svs.) | 5.050% | 03/25/2048 | 320,000 | 392,845 | |
DH Europe Finance II SARL (Health Care Equip. & Supplies) | 2.200% | 11/15/2024 | 129,000 | 134,447 | |
DH Europe Finance II SARL (Health Care Equip. & Supplies) | 2.600% | 11/15/2029 | 71,000 | 72,572 | |
DH Europe Finance II SARL (Health Care Equip. & Supplies) | 3.400% | 11/15/2049 | 91,000 | 92,136 |
65
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Health Care (continued) | |||||
Pfizer, Inc. (Pharmaceuticals) | 2.625% | 04/01/2030 | $ 80,000 | $ 83,043 | |
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 4.497% | 03/25/2030 | 372,000 | 433,095 | |
| 4,642,166 | |||||
| Industrials–1.7% | |||||
Air Lease Corp. (Trading Companies & Distributors) | 3.875% | 07/03/2023 | 22,000 | 23,391 | |
Air Lease Corp. (Trading Companies & Distributors) | 4.250% | 02/01/2024 | 87,000 | 94,407 | |
Air Lease Corp. (Trading Companies & Distributors) | 2.875% | 01/15/2026 | 81,000 | 84,047 | |
Air Lease Corp. (Trading Companies & Distributors) | 3.625% | 04/01/2027 | 15,000 | 15,779 | |
Aircastle Ltd. (Trading Companies & Distributors) | 5.000% | 04/01/2023 | 13,000 | 13,856 | |
Aircastle Ltd. (Trading Companies & Distributors) | 4.400% | 09/25/2023 | 145,000 | 154,427 | |
Aircastle Ltd. (Trading Companies & Distributors) | 4.125% | 05/01/2024 | 58,000 | 61,265 | |
Aircastle Ltd. (Trading Companies & Distributors) | (b) | 5.250% | 08/11/2025 | 149,000 | 162,684 |
Aircastle Ltd. (Trading Companies & Distributors) | 4.250% | 06/15/2026 | 21,000 | 22,234 | |
Aircastle Ltd. (Trading Companies & Distributors) | (b) | 2.850% | 01/26/2028 | 332,000 | 317,632 |
Allison Transmission, Inc. (Machinery) | (b) | 3.750% | 01/30/2031 | 232,000 | 224,750 |
BAE Systems PLC (Aerospace & Defense) | (b) | 3.400% | 04/15/2030 | 200,000 | 212,292 |
Carrier Global Corp. (Building Products) | 2.242% | 02/15/2025 | 145,000 | 150,140 | |
Carrier Global Corp. (Building Products) | 2.493% | 02/15/2027 | 116,000 | 119,793 | |
CITIC Ltd. (Industrial Conglomerates) | 2.850% | 02/25/2030 | 230,000 | 227,969 | |
Delta Air Lines, Inc. / SkyMiles IP Ltd. (Airlines) | (b) | 4.500% | 10/20/2025 | 134,058 | 143,093 |
Delta Air Lines, Inc. / SkyMiles IP Ltd. (Airlines) | (b) | 4.750% | 10/20/2028 | 156,000 | 169,634 |
Embraer Netherlands Finance B.V. (Aerospace & Defense) | (b) | 6.950% | 01/17/2028 | 212,000 | 233,090 |
Empresa de Transporte de Pasajeros Metro SA (Road & Rail) | (b) | 3.650% | 05/07/2030 | 200,000 | 216,941 |
Equifax, Inc. (Professional Svs.) | 2.600% | 12/01/2024 | 423,000 | 446,800 | |
Equifax, Inc. (Professional Svs.) | 2.600% | 12/15/2025 | 147,000 | 154,100 | |
Equifax, Inc. (Professional Svs.) | 3.100% | 05/15/2030 | 240,000 | 249,118 | |
General Dynamics Corp. (Aerospace & Defense) | 3.625% | 04/01/2030 | 241,000 | 266,408 | |
General Dynamics Corp. (Aerospace & Defense) | 4.250% | 04/01/2040 | 167,000 | 196,583 | |
General Electric Co. (Industrial Conglomerates) | 3.450% | 05/01/2027 | 105,000 | 114,025 | |
General Electric Co. (Industrial Conglomerates) | 6.750% | 03/15/2032 | 129,000 | 172,778 | |
General Electric Co. (Industrial Conglomerates) | 4.250% | 05/01/2040 | 79,000 | 86,711 | |
General Electric Co. (Industrial Conglomerates) | 4.350% | 05/01/2050 | 138,000 | 153,172 | |
GFL Environmental, Inc. (Commercial Svs. & Supplies) | (b) | 3.500% | 09/01/2028 | 234,000 | 226,980 |
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | 3.844% | 05/01/2025 | 205,000 | 223,667 | |
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | 4.200% | 05/01/2030 | 366,000 | 405,996 | |
Northrop Grumman Corp. (Aerospace & Defense) | 4.400% | 05/01/2030 | 205,000 | 236,226 | |
Northrop Grumman Corp. (Aerospace & Defense) | 5.150% | 05/01/2040 | 90,000 | 112,900 | |
Northrop Grumman Corp. (Aerospace & Defense) | 5.250% | 05/01/2050 | 115,000 | 149,030 | |
United Parcel Service, Inc. (Air Freight & Logistics) | 3.900% | 04/01/2025 | 173,000 | 191,462 | |
United Parcel Service, Inc. (Air Freight & Logistics) | 4.450% | 04/01/2030 | 151,000 | 176,489 | |
Verisk Analytics, Inc. (Professional Svs.) | 5.500% | 06/15/2045 | 101,000 | 127,360 | |
Westinghouse Air Brake Technologies Corp. (Machinery) | 4.400% | 03/15/2024 | 189,000 | 205,491 | |
Westinghouse Air Brake Technologies Corp. (Machinery) | 3.200% | 06/15/2025 | 45,000 | 47,607 | |
Westinghouse Air Brake Technologies Corp. (Machinery) | 3.450% | 11/15/2026 | 66,000 | 71,132 | |
Westinghouse Air Brake Technologies Corp. (Machinery) | 4.950% | 09/15/2028 | 606,000 | 690,453 | |
| 7,351,912 | |||||
| Information Technology–1.4% | |||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.400% | 08/20/2050 | 288,000 | 248,071 | |
Broadcom Corp. / Broadcom Cayman Finance Ltd. (Semiconductors & Equip.) | 3.500% | 01/15/2028 | 47,000 | 49,901 | |
Broadcom, Inc. (Semiconductors & Equip.) | 4.110% | 09/15/2028 | 44,000 | 48,103 | |
Broadcom, Inc. (Semiconductors & Equip.) | 5.000% | 04/15/2030 | 80,000 | 91,177 | |
Broadcom, Inc. (Semiconductors & Equip.) | 4.150% | 11/15/2030 | 539,000 | 581,775 | |
Broadcom, Inc. (Semiconductors & Equip.) | (b) | 3.500% | 02/15/2041 | 213,000 | 203,999 |
Dell International LLC / EMC Corp. (Computers & Peripherals) | (b) | 5.875% | 06/15/2021 | 151,000 | 151,189 |
Global Payments, Inc. (IT Svs.) | 4.800% | 04/01/2026 | 185,000 | 211,551 | |
Global Payments, Inc. (IT Svs.) | 3.200% | 08/15/2029 | 75,000 | 78,991 | |
Infor, Inc. (Software) | (b) | 1.750% | 07/15/2025 | 106,000 | 107,137 |
Lam Research Corp. (Semiconductors & Equip.) | 4.000% | 03/15/2029 | 51,000 | 57,754 | |
Mastercard, Inc. (IT Svs.) | 3.300% | 03/26/2027 | 256,000 | 281,397 | |
Mastercard, Inc. (IT Svs.) | 3.350% | 03/26/2030 | 324,000 | 356,864 | |
Micron Technology, Inc. (Semiconductors & Equip.) | 2.497% | 04/24/2023 | 366,000 | 379,868 | |
Micron Technology, Inc. (Semiconductors & Equip.) | 4.185% | 02/15/2027 | 391,000 | 434,126 | |
Oracle Corp. (Software) | 2.500% | 04/01/2025 | 216,000 | 226,955 | |
Oracle Corp. (Software) | 2.800% | 04/01/2027 | 530,000 | 558,165 | |
Oracle Corp. (Software) | 3.950% | 03/25/2051 | 265,000 | 273,179 | |
PayPal Holdings, Inc. (IT Svs.) | 2.850% | 10/01/2029 | 240,000 | 250,040 | |
SK Hynix, Inc. (Semiconductors & Equip.) | (b) | 2.375% | 01/19/2031 | 304,000 | 287,461 |
Visa, Inc. (IT Svs.) | 1.900% | 04/15/2027 | 452,000 | 463,267 |
66
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Information Technology (continued) | |||||
Visa, Inc. (IT Svs.) | 2.050% | 04/15/2030 | $ 220,000 | $ 219,615 | |
VMware, Inc. (Software) | 4.500% | 05/15/2025 | 261,000 | 291,104 | |
VMware, Inc. (Software) | 4.650% | 05/15/2027 | 293,000 | 332,120 | |
| 6,183,809 | |||||
| Materials–0.7% | |||||
Alpek S.A.B de C.V. (Chemicals) | (b) | 3.250% | 02/25/2031 | 383,000 | 378,787 |
Ardagh Metal Packaging Finance U.S.A. LLC / Ardagh Metal Packaging Finance PLC (Containers & Packaging) | (b) | 3.250% | 09/01/2028 | 308,000 | 304,418 |
Avery Dennison Corp. (Containers & Packaging) | 2.650% | 04/30/2030 | 299,000 | 300,653 | |
Axalta Coating Systems LLC (Chemicals) | (b) | 3.375% | 02/15/2029 | 220,000 | 214,544 |
Cemex S.A.B de C.V. (Construction Materials) | (b) | 3.875% | 07/11/2031 | 380,000 | 370,880 |
Ecolab, Inc. (Chemicals) | 4.800% | 03/24/2030 | 135,000 | 161,490 | |
Fresnillo PLC (Metals & Mining) | (b) | 4.250% | 10/02/2050 | 432,000 | 424,440 |
Georgia-Pacific LLC (Paper & Forest Products) | (b) | 3.163% | 11/15/2021 | 99,000 | 100,243 |
Indonesia Asahan Aluminium Persero PT (Metals & Mining) | (b) | 4.750% | 05/15/2025 | 240,000 | 260,808 |
Industrias Penoles S.A.B de C.V. (Metals & Mining) | (b) | 4.750% | 08/06/2050 | 280,000 | 287,700 |
Ingevity Corp. (Chemicals) | (b) | 3.875% | 11/01/2028 | 188,000 | 182,360 |
Nutrition & Biosciences, Inc. (Chemicals) | (b) | 1.832% | 10/15/2027 | 76,000 | 74,311 |
Suzano Austria GmbH (Paper & Forest Products) | 3.750% | 01/15/2031 | 56,000 | 57,611 | |
Volcan Cia Minera S.A.A. (Metals & Mining) | (b) | 4.375% | 02/11/2026 | 65,000 | 66,620 |
| 3,184,865 | |||||
| Real Estate–0.4% | |||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 4.900% | 12/15/2030 | 275,000 | 324,850 | |
Camden Property Trust (Equity REIT) | 2.800% | 05/15/2030 | 342,000 | 350,830 | |
Crown Castle International Corp. (Equity REIT) | 3.650% | 09/01/2027 | 133,000 | 144,935 | |
Crown Castle International Corp. (Equity REIT) | 4.300% | 02/15/2029 | 154,000 | 172,621 | |
Crown Castle International Corp. (Equity REIT) | 3.100% | 11/15/2029 | 279,000 | 287,984 | |
Crown Castle International Corp. (Equity REIT) | 3.300% | 07/01/2030 | 67,000 | 70,132 | |
Equinix, Inc. (Equity REIT) | 2.625% | 11/18/2024 | 123,000 | 129,601 | |
Equinix, Inc. (Equity REIT) | 2.900% | 11/18/2026 | 104,000 | 109,685 | |
Equinix, Inc. (Equity REIT) | 3.200% | 11/18/2029 | 233,000 | 242,237 | |
| 1,832,875 | |||||
| Utilities–1.3% | |||||
AEP Transmission Co. LLC (Electric Utilities) | 3.650% | 04/01/2050 | 162,000 | 171,836 | |
AES Panama Generation Holdings SRL (Electric Utilities) | (b) | 4.375% | 05/31/2030 | 285,000 | 294,890 |
Ameren Corp. (Multi-Utilities) | 3.500% | 01/15/2031 | 669,000 | 709,977 | |
American Water Capital Corp. (Water Utilities) | 2.800% | 05/01/2030 | 211,000 | 217,001 | |
American Water Capital Corp. (Water Utilities) | 3.450% | 05/01/2050 | 252,000 | 254,804 | |
Berkshire Hathaway Energy Co. (Multi-Utilities) | 3.700% | 07/15/2030 | 265,000 | 293,641 | |
Berkshire Hathaway Energy Co. (Multi-Utilities) | 4.250% | 10/15/2050 | 278,000 | 318,493 | |
Chile Electricity PEC SpA (Electric Utilities) | (b) | 0.000% | 01/25/2028 | 460,000 | 374,900 |
Dominion Energy, Inc. (Multi-Utilities) | 3.375% | 04/01/2030 | 340,000 | 362,005 | |
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 2.750% | 05/01/2025 | 149,000 | 157,455 | |
NRG Energy, Inc. (Electric Utilities) | (b) | 3.750% | 06/15/2024 | 308,000 | 329,833 |
NRG Energy, Inc. (Electric Utilities) | 7.250% | 05/15/2026 | 273,000 | 283,920 | |
NRG Energy, Inc. (Electric Utilities) | 6.625% | 01/15/2027 | 274,000 | 284,960 | |
Oncor Electric Delivery Co. LLC (Electric Utilities) | 3.700% | 11/15/2028 | 194,000 | 215,156 | |
Oncor Electric Delivery Co. LLC (Electric Utilities) | 3.800% | 06/01/2049 | 257,000 | 279,413 | |
Southern Co. / The (Electric Utilities) | 3.700% | 04/30/2030 | 508,000 | 548,898 | |
Star Energy Geothermal Darajat II / Star Energy Geothermal Salak (Ind. Power & Renewable Elec.) | (b) | 4.850% | 10/14/2038 | 288,000 | 313,920 |
| 5,411,102 | |||||
Total Corporate Bonds (Cost $71,116,220) | $74,945,892 |
| Purchased Options–9.7% | Notional Amount | Expiration | Exercise Price | Contracts (d) | Value | |
S&P 500 Index Call Option | $ 9,932,225 | December 2022 | $2,900 | 25 | $ 2,774,250 | |
S&P 500 Index Call Option | 11,918,670 | December 2022 | 2,950 | 30 | 3,207,300 | |
S&P 500 Index Call Option | 20,659,028 | December 2022 | 3,000 | 52 | 5,387,200 | |
S&P 500 Index Call Option | 10,329,514 | December 2022 | 3,050 | 26 | 2,628,080 | |
S&P 500 Index Call Option | 13,905,115 | December 2022 | 3,100 | 35 | 3,399,200 | |
S&P 500 Index Call Option | 9,932,225 | December 2022 | 3,200 | 25 | 2,285,000 | |
S&P 500 Index Call Option | 8,740,358 | December 2022 | 3,250 | 22 | 1,881,220 | |
S&P 500 Index Call Option | 15,891,560 | December 2022 | 3,300 | 40 | 3,349,600 | |
S&P 500 Index Call Option | 1,986,445 | December 2022 | 3,350 | 5 | 389,950 | |
S&P 500 Index Call Option | 2,781,023 | December 2022 | 3,400 | 7 | 520,100 | |
S&P 500 Index Call Option | 7,945,780 | December 2022 | 3,450 | 20 | 1,413,200 |
67
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Purchased Options (Continued) | Notional Amount | Expiration | Exercise Price | Contracts (d) | Value | |
S&P 500 Index Call Option | $11,918,670 | December 2022 | $3,500 | 30 | $ 2,034,000 | |
S&P 500 Index Call Option | 1,986,445 | December 2022 | 3,600 | 5 | 300,250 | |
S&P 500 Index Call Option | 1,986,445 | December 2022 | 3,650 | 5 | 283,650 | |
S&P 500 Index Call Option | 1,986,445 | December 2022 | 4,000 | 5 | 178,960 | |
S&P 500 Index Call Option | 7,945,780 | December 2023 | 3,700 | 20 | 1,192,800 | |
S&P 500 Index Call Option | 5,959,335 | December 2023 | 3,800 | 15 | 804,450 | |
S&P 500 Index Call Option | 3,972,890 | December 2023 | 4,000 | 10 | 448,400 | |
S&P 500 Index Put Option | 1,986,445 | December 2022 | 2,800 | 5 | 59,700 | |
S&P 500 Index Put Option | 9,932,225 | December 2022 | 2,900 | 25 | 339,250 | |
S&P 500 Index Put Option | 11,918,670 | December 2022 | 2,950 | 30 | 433,200 | |
S&P 500 Index Put Option | 20,659,028 | December 2022 | 3,000 | 52 | 797,680 | |
S&P 500 Index Put Option | 10,329,514 | December 2022 | 3,050 | 26 | 423,540 | |
S&P 500 Index Put Option | 13,905,115 | December 2022 | 3,100 | 35 | 612,500 | |
S&P 500 Index Put Option | 9,932,225 | December 2022 | 3,200 | 25 | 484,250 | |
S&P 500 Index Put Option | 8,740,358 | December 2022 | 3,250 | 22 | 450,560 | |
S&P 500 Index Put Option | 15,891,560 | December 2022 | 3,300 | 40 | 876,400 | |
S&P 500 Index Put Option | 5,959,335 | December 2022 | 3,350 | 15 | 342,450 | |
S&P 500 Index Put Option | 10,726,803 | December 2022 | 3,400 | 27 | 650,160 | |
S&P 500 Index Put Option | 7,945,780 | December 2022 | 3,450 | 20 | 507,400 | |
S&P 500 Index Put Option | 11,918,670 | December 2022 | 3,500 | 30 | 810,000 | |
S&P 500 Index Put Option | 1,986,445 | December 2022 | 3,600 | 5 | 149,000 | |
S&P 500 Index Put Option | 1,986,445 | December 2022 | 3,650 | 5 | 155,500 | |
S&P 500 Index Put Option | 1,986,445 | December 2022 | 4,000 | 5 | 218,500 | |
S&P 500 Index Put Option | 5,959,335 | December 2023 | 3,700 | 15 | 615,000 | |
S&P 500 Index Put Option | 5,959,335 | December 2023 | 3,800 | 15 | 671,850 | |
S&P 500 Index Put Option | 3,972,890 | December 2023 | 4,000 | 10 | 551,000 | |
Total Purchased Options (Cost $34,687,504) | $41,625,550 |
| U.S. Treasury Obligations–9.4% | Rate | Maturity | Face Amount | Value | |
U.S. Treasury Bill | 0.000% | 04/27/2021 | $12,220,000 | $ 12,219,874 | |
U.S. Treasury Bill | 0.000% | 04/29/2021 | 4,365,000 | 4,364,966 | |
U.S. Treasury Note | 0.375% | 03/31/2022 | 6,284,600 | 6,303,257 | |
U.S. Treasury Note | 1.500% | 09/15/2022 | 626,000 | 638,447 | |
U.S. Treasury Note | (e) | 2.250% | 11/15/2024 | 1,865,000 | 1,979,158 |
U.S. Treasury Note | (e) | 0.500% | 03/31/2025 | 7,834,500 | 7,784,616 |
U.S. Treasury Note | 2.750% | 08/15/2042 | 2,119,300 | 2,273,280 | |
U.S. Treasury Note | 2.250% | 08/15/2049 | 1,246,800 | 1,205,646 | |
U.S. Treasury Note | 2.375% | 11/15/2049 | 338,600 | 336,391 | |
U.S. Treasury Note | 1.250% | 05/15/2050 | 755,000 | 569,760 | |
U.S. Treasury Note | 1.375% | 08/15/2050 | 1,679,400 | 1,310,457 | |
U.S. Treasury Note | 1.625% | 11/15/2050 | 240,000 | 199,988 | |
U.S. Treasury Note | 1.875% | 02/15/2051 | 1,560,000 | 1,384,500 | |
Total U.S. Treasury Obligations (Cost $41,308,251) | $40,570,340 |
| Asset-Backed / Mortgage-Backed Securities–4.9% | Rate | Maturity | Face Amount | Value | |
| Consumer Discretionary–0.1% | |||||
Great Wolf Trust 2019-WOLF A | (b) | ML + 103 | 12/15/2036 | $ 64,000 | $ 63,923 |
Great Wolf Trust 2019-WOLF C | (b) | ML + 163 | 12/15/2036 | 79,000 | 78,214 |
Hardee's Funding LLC 2018-1A A23 | (b) | 5.710% | 06/20/2048 | 130,287 | 144,635 |
Hardee's Funding LLC 2020-1A A2 | (b) | 3.981% | 12/20/2050 | 134,703 | 139,026 |
| 425,798 | |||||
| Financials–4.8% | |||||
Affirm Asset Securitization Trust 2020-A A | (b) | 2.100% | 02/18/2025 | 120,000 | 121,288 |
Affirm Asset Securitization Trust 2021-A C | (b) | 1.660% | 08/15/2025 | 200,000 | 200,863 |
Apidos CLO XXXIII 2020-33A B | (b) | QL + 220 | 07/24/2031 | 300,000 | 300,590 |
Ballyrock CLO 15 Ltd 2021-1A C | (b) | QL + 310 | 04/15/2034 | 250,000 | 250,000 |
Ballyrock CLO 2020-1A B | (b) | QL + 290 | 07/20/2030 | 300,000 | 300,720 |
BBCMS 2020-BID A | (b) | ML + 214 | 10/15/2037 | 241,000 | 242,208 |
Bellemeade RE 2020-3A M1B | (b) | ML + 285 | 10/25/2030 | 150,000 | 151,266 |
Bellemeade RE 2020-4A M2A | (b) | ML + 260 | 06/25/2030 | 150,000 | 150,000 |
Bellemeade RE Ltd. 2021-1A M1C | (b) | SOFR30A + 295 | 03/25/2031 | 167,482 | 166,779 |
Brex Commercial Charge Card Master Trust 2021-1 A | (b) | 2.090% | 07/17/2024 | 167,000 | 166,988 |
Citigroup Commercial Mortgage Trust 2017-P8 AS | 3.789% | 09/15/2050 | 127,167 | 139,186 | |
COMM 2015-LC23 C | 4.617% | 10/10/2048 | 100,000 | 107,424 |
68
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Asset-Backed / Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | |
| Financials (continued) | |||||
Connecticut Avenue Securities Trust 2019-R02 1M2 | (b) | ML + 230 | 08/25/2031 | $ 56,205 | $ 56,295 |
Connecticut Avenue Securities Trust 2019-R03 1M2 | (b) | ML + 215 | 09/25/2031 | 143,791 | 144,128 |
Connecticut Avenue Securities Trust 2019-R04 2M2 | (b) | ML + 210 | 06/25/2039 | 32,088 | 32,154 |
Connecticut Avenue Securities Trust 2019-R05 1M2 | (b) | ML + 200 | 07/25/2039 | 141,369 | 141,369 |
Connecticut Avenue Securities Trust 2019-R07 1M2 | (b) | ML + 210 | 10/25/2039 | 209,338 | 209,489 |
Connecticut Avenue Securities Trust 2020-R02 2M2 | (b) | ML + 200 | 01/25/2040 | 360,000 | 358,878 |
Connecticut Avenue Securities Trust 2020-SBT1 1M2 | (b) | ML + 365 | 02/25/2040 | 255,000 | 255,317 |
Connecticut Avenue Securities Trust 2020-SBT1 2M2 | (b) | ML + 365 | 02/25/2040 | 270,000 | 271,220 |
Eagle RE 2020-2 M1B | (b) | ML + 400 | 10/25/2030 | 621,026 | 630,700 |
Fannie Mae Connecticut Avenue Securities 2014-C04 1M2 | ML + 490 | 11/25/2024 | 316,657 | 326,153 | |
Fannie Mae Connecticut Avenue Securities 2015-C02 1M2 | ML + 400 | 05/25/2025 | 37,972 | 38,426 | |
Fannie Mae Connecticut Avenue Securities 2015-C03 1M2 | ML + 500 | 07/25/2025 | 211,037 | 216,451 | |
Fannie Mae Connecticut Avenue Securities 2015-C03 2M2 | ML + 500 | 07/25/2025 | 38,436 | 38,928 | |
Fannie Mae Connecticut Avenue Securities 2015-C04 1M2 | ML + 570 | 04/25/2028 | 76,199 | 80,826 | |
Fannie Mae Connecticut Avenue Securities 2016-C01 1M2 | ML + 675 | 08/25/2028 | 118,712 | 125,554 | |
Fannie Mae Connecticut Avenue Securities 2016-C03 2M2 | ML + 590 | 10/25/2028 | 126,928 | 134,234 | |
Fannie Mae Connecticut Avenue Securities 2016-C04 1M2 | ML + 425 | 01/25/2029 | 245,446 | 255,360 | |
Fannie Mae Connecticut Avenue Securities 2016-C07 2M2 | ML + 435 | 05/25/2029 | 104,783 | 109,049 | |
Fannie Mae Connecticut Avenue Securities 2017-C01 1M2 | ML + 355 | 07/25/2029 | 277,710 | 286,052 | |
Fannie Mae Connecticut Avenue Securities 2017-C02 2M2C | ML + 365 | 09/25/2029 | 241,691 | 248,185 | |
Fannie Mae Connecticut Avenue Securities 2017-C07 1B1 | ML + 400 | 05/25/2030 | 300,000 | 307,872 | |
Fannie Mae Connecticut Avenue Securities 2018-C05 1M2 | ML + 235 | 01/25/2031 | 81,835 | 81,835 | |
Fannie Mae Connecticut Avenue Securities 2018-C06 1M2 | ML + 200 | 03/25/2031 | 210,830 | 209,905 | |
Fannie Mae REMICS FNR 2020-26 GS | ML + 600 | 05/25/2050 | 708,335 | 122,738 | |
First Investors Auto Owner Trust 2018-1A E | (b) | 5.350% | 07/15/2024 | 350,000 | 366,203 |
Freddie Mac Multifamily Structured Credit Risk 2021-MN1 M1 | (b) | SOFR30A + 200 | 01/25/2051 | 56,831 | 56,972 |
Freddie Mac REMICS FHR 4981 HS | ML + 610 | 06/25/2050 | 1,401,572 | 237,870 | |
Freddie Mac REMICS FHR 5015 BI | 4.000% | 09/25/2050 | 801,299 | 147,839 | |
Freddie Mac Stacr Remic Trust 2020-DNA1 M2 | (b) | ML + 170 | 01/25/2050 | 236,037 | 235,250 |
Freddie Mac STACR REMIC Trust 2020-DNA5 M2 | (b) | SOFR30A + 280 | 10/25/2050 | 240,000 | 241,388 |
Freddie Mac STACR Trust 2019-DNA4 M2 | (b) | ML + 195 | 10/25/2049 | 85,119 | 85,039 |
Freddie Mac STACR Trust 2019-HQA2 M2 | (b) | ML + 205 | 04/25/2049 | 70,527 | 70,351 |
Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA4 M3 | ML + 380 | 03/25/2029 | 293,130 | 304,579 | |
Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA2 M3 | ML + 515 | 11/25/2028 | 212,876 | 221,728 | |
Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA4 M3 | ML + 390 | 04/25/2029 | 264,740 | 273,880 | |
Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA2 M2 | ML + 345 | 10/25/2029 | 300,000 | 310,883 | |
Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA3 M2 | ML + 250 | 03/25/2030 | 270,000 | 275,125 | |
Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA1 M2 | ML + 355 | 08/25/2029 | 253,299 | 259,718 | |
Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA2 M2B | ML + 265 | 12/25/2029 | 458,126 | 460,271 | |
Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA1 M2 | ML + 180 | 07/25/2030 | 99,086 | 98,403 | |
GS Mortgage Securities Trust 2012-GC6 B | (b) | 5.652% | 01/10/2045 | 300,000 | 305,320 |
GS Mortgage Securities Trust 2012-GCJ9 AS | 3.124% | 11/10/2045 | 287,514 | 296,246 | |
GS Mortgage Securities Trust 2016-GS3 A4 | 2.850% | 10/10/2049 | 270,000 | 285,565 | |
GS Mortgage Securities Trust 2017-GS7 A4 | 3.430% | 08/10/2050 | 270,000 | 292,585 | |
GS Mortgage Securities Trust 2018-GS9 A4 | 3.992% | 03/10/2051 | 153,543 | 171,852 | |
GS Mortgage Securities Trust 2019-GC38 A4 | 3.968% | 02/10/2052 | 250,000 | 279,737 | |
GSF Issuer LLC 2021-1 A1 | (b) | 1.433% | 08/17/2026 | 17,913 | 17,913 |
GSF Issuer LLC 2021-1 A2 | (b) | 2.435% | 08/15/2026 | 35,000 | 36,050 |
GSF Issuer LLC 2021-1 AS | (b) | 2.638% | 08/15/2026 | 10,000 | 10,300 |
HFX Funding Issuer 2017-1 A3 | (b) | 3.647% | 03/15/2035 | 280,000 | 288,980 |
Home RE 2020-1 M1B | (b) | ML + 325 | 10/25/2030 | 195,626 | 199,303 |
Invitation Homes 2018-SFR1 C | (b) | ML + 125 | 03/17/2037 | 475,000 | 475,818 |
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2 A3 | (b) | 4.070% | 11/15/2043 | 66,432 | 66,598 |
JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 A5 | 2.840% | 12/15/2047 | 214,692 | 220,779 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 B | 3.674% | 12/15/2047 | 300,000 | 309,721 | |
JPMBB Commercial Mortgage Securities Trust 2013-C15 AS | 4.420% | 11/15/2045 | 250,000 | 269,704 | |
JPMBB Commercial Mortgage Securities Trust 2014-C21 C | 4.655% | 08/15/2047 | 295,000 | 293,923 | |
JPMBB Commercial Mortgage Securities Trust 2015-C27 AS | 3.634% | 02/15/2048 | 130,694 | 139,854 | |
KAYNE CLO 2021-11A D | (b) | QL + 290 | 04/15/2034 | 250,000 | 250,027 |
Magnetite XXVI Ltd. 2020-26A A | (b) | QL + 175 | 07/15/2030 | 401,052 | 401,939 |
Morgan Stanley Capital I Trust 2018-H3 AS | 4.429% | 07/15/2051 | 270,000 | 304,569 | |
Morgan Stanley Capital I Trust 2018-H4 A4 | 4.310% | 12/15/2051 | 250,000 | 284,597 | |
Neighborly Issuer LLC 2021-1A A2 | (b) | 3.584% | 04/30/2051 | 126,627 | 127,009 |
Oaktown RE V Ltd. 2020-2A M1B | (b) | ML + 360 | 10/25/2030 | 368,357 | 374,177 |
OCP CLO 2020-18A A | (b) | QL + 180 | 04/20/2030 | 250,000 | 250,099 |
Radnor RE 2020-2 M1C | (b) | ML + 460 | 10/25/2030 | 150,000 | 152,840 |
69
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Asset-Backed / Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | |
| Financials (continued) | |||||
SG Commercial Mortgage Securities Trust 2016-C5 A4 | 3.055% | 10/10/2048 | $ 250,000 | $ 263,441 | |
STACR Trust 2018-DNA3 M2 | (b) | ML + 210 | 09/25/2048 | 110,313 | 109,900 |
Traingle RE 2020-1 M1B | (b) | ML + 390 | 10/25/2030 | 423,651 | 430,471 |
Traingle RE 2021-1 M1B | (b) | ML + 300 | 08/25/2033 | 150,146 | 150,146 |
UBS Commercial Mortgage Trust 2018-C10 A3 | 4.048% | 05/15/2051 | 270,000 | 298,497 | |
Upstart Securitization Trust 2020-3 A | (b) | 1.702% | 11/20/2030 | 128,539 | 129,554 |
Wells Fargo Commercial Mortgage Trust 2015-C28 A4 | 3.540% | 05/15/2048 | 250,000 | 271,937 | |
Wells Fargo Commercial Mortgage Trust 2015-C30 A3 | 3.411% | 09/15/2058 | 232,889 | 252,623 | |
Wells Fargo Commercial Mortgage Trust 2015-NXS3 A4 | 3.617% | 09/15/2057 | 270,000 | 295,565 | |
Wells Fargo Commercial Mortgage Trust 2016-C35 A3 | 2.674% | 07/15/2048 | 300,000 | 309,804 | |
Wells Fargo Commercial Mortgage Trust 2016-C35 B | 3.438% | 07/15/2048 | 270,000 | 277,246 | |
Wells Fargo Commercial Mortgage Trust 2017-C39 A5 | 3.418% | 09/15/2050 | 270,000 | 293,445 | |
Wells Fargo Commercial Mortgage Trust 2017-C41 A3 | 3.210% | 11/15/2050 | 270,000 | 283,329 | |
Wells Fargo Commercial Mortgage Trust 2018-C44 A4 | 3.948% | 05/15/2051 | 270,000 | 299,902 | |
WFRBS Commercial Mortgage Trust 2014-C24 AS | 3.931% | 11/15/2047 | 270,000 | 285,814 | |
| 20,681,108 | |||||
Total Asset-Backed / Mortgage-Backed Securities (Cost $20,679,757) | $21,106,906 |
| U.S. Government Agency Mortgage-Backed Securities–2.1% | Rate | Maturity | Face Amount | Value | |
Fannie Mae Pool FN AL5310 | 3.500% | 04/01/2044 | $ 3,061 | $ 3,330 | |
Fannie Mae Pool FN AL5887 | 4.500% | 10/01/2044 | 20,151 | 22,657 | |
Fannie Mae Pool FN AL6542 | 4.500% | 03/01/2045 | 31,182 | 35,060 | |
Fannie Mae Pool FN AL6620 | 4.500% | 08/01/2042 | 187,796 | 211,669 | |
Fannie Mae Pool FN AL6997 | 4.500% | 11/01/2042 | 13,720 | 15,462 | |
Fannie Mae Pool FN AL8855 | 3.500% | 07/01/2046 | 12,849 | 13,852 | |
Fannie Mae Pool FN AS7168 | 3.500% | 05/01/2046 | 28,428 | 30,605 | |
Fannie Mae Pool FN AS7587 | 3.500% | 07/01/2046 | 137,539 | 148,815 | |
Fannie Mae Pool FN AS7822 | 3.500% | 08/01/2046 | 316,776 | 338,965 | |
Fannie Mae Pool FN AZ9203 | 3.000% | 10/01/2045 | 31,767 | 33,217 | |
Fannie Mae Pool FN BA2885 | 3.000% | 10/01/2045 | 54,789 | 57,637 | |
Fannie Mae Pool FN BA4752 | 3.000% | 01/01/2046 | 6,973 | 7,324 | |
Fannie Mae Pool FN BC1520 | 3.500% | 08/01/2046 | 233,925 | 251,862 | |
Fannie Mae Pool FN BC2468 | 3.000% | 03/01/2046 | 151,525 | 158,450 | |
Fannie Mae Pool FN BC2488 | 3.000% | 03/01/2046 | 184,797 | 193,311 | |
Fannie Mae Pool FN BC9077 | 3.500% | 12/01/2046 | 15,888 | 17,088 | |
Fannie Mae Pool FN BH1902 | 3.500% | 12/01/2047 | 13,109 | 14,227 | |
Fannie Mae Pool FN BH3892 | 3.500% | 08/01/2047 | 38,727 | 41,173 | |
Fannie Mae Pool FN BH6940 | 3.500% | 08/01/2047 | 29,882 | 32,110 | |
Fannie Mae Pool FN BJ1692 | 3.500% | 12/01/2047 | 72,156 | 77,471 | |
Fannie Mae Pool FN BJ1695 | 3.500% | 12/01/2047 | 11,085 | 11,847 | |
Fannie Mae Pool FN BJ4558 | 3.500% | 01/01/2048 | 53,578 | 57,598 | |
Fannie Mae Pool FN BJ4559 | 3.500% | 01/01/2048 | 20,521 | 21,922 | |
Fannie Mae Pool FN BJ4566 | 4.000% | 01/01/2048 | 171,722 | 187,952 | |
Fannie Mae Pool FN BJ4567 | 4.000% | 01/01/2048 | 272,270 | 294,048 | |
Fannie Mae Pool FN BJ5170 | 3.500% | 03/01/2048 | 12,393 | 13,485 | |
Fannie Mae Pool FN BK1964 | 4.000% | 03/01/2048 | 63,640 | 69,694 | |
Fannie Mae Pool FN BK1975 | 3.500% | 03/01/2048 | 32,235 | 34,441 | |
Fannie Mae Pool FN BK3211 | 4.500% | 03/01/2048 | 65,803 | 71,895 | |
Fannie Mae Pool FN BK4157 | 4.000% | 05/01/2048 | 104,315 | 112,423 | |
Fannie Mae Pool FN BM3282 | 3.500% | 12/01/2047 | 7,823 | 8,524 | |
Fannie Mae Pool FN BM3511 | 4.500% | 02/01/2046 | 115,211 | 129,214 | |
Fannie Mae Pool FN BM3912 | 3.000% | 03/01/2047 | 170,377 | 180,072 | |
Fannie Mae Pool FN BM4427 | 3.500% | 04/01/2048 | 108,728 | 116,576 | |
Fannie Mae Pool FN BM4735 | 3.500% | 04/01/2048 | 123,929 | 134,282 | |
Fannie Mae Pool FN BM4896 | 3.000% | 02/01/2047 | 1,154,064 | 1,226,181 | |
Fannie Mae Pool FN BM5138 | 3.500% | 11/01/2048 | 212,916 | 230,704 | |
Fannie Mae Pool FN BM5334 | 3.500% | 01/01/2049 | 60,114 | 64,170 | |
Fannie Mae Pool FN BN0012 | 4.500% | 08/01/2048 | 37,100 | 40,422 | |
Fannie Mae Pool FN BO3223 | 3.000% | 10/01/2034 | 50,715 | 53,948 | |
Fannie Mae Pool FN BO4725 | 2.500% | 11/01/2034 | 75,201 | 79,176 | |
Fannie Mae Pool FN BO5957 | 3.000% | 12/01/2034 | 9,513 | 10,198 | |
Fannie Mae Pool FN BO7717 | 3.000% | 11/01/2034 | 9,723 | 10,436 | |
Fannie Mae Pool FN CA0108 | 3.500% | 08/01/2047 | 27,465 | 29,916 | |
Fannie Mae Pool FN FM0029 | 3.000% | 09/01/2046 | 277,519 | 294,818 | |
Fannie Mae Pool FN FM1036 | 3.000% | 05/01/2043 | 153,111 | 161,787 | |
Fannie Mae Pool FN MA3211 | 4.000% | 12/01/2047 | 94,777 | 102,270 |
70
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| U.S. Government Agency Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | |
Fannie Mae Pool FN MA3239 | 4.000% | 01/01/2048 | $ 14,820 | $ 16,034 | |
Freddie Mac Gold Pool FG G60658 | 3.500% | 07/01/2046 | 268,667 | 292,911 | |
Freddie Mac Gold Pool FG G61360 | 3.500% | 03/01/2048 | 56,014 | 60,230 | |
Freddie Mac Gold Pool FG G61737 | 3.500% | 11/01/2048 | 259,283 | 278,798 | |
Freddie Mac Gold Pool FG Q54793 | 4.500% | 03/01/2048 | 67,951 | 74,174 | |
Freddie Mac Gold Pool FG Q55394 | 3.500% | 04/01/2048 | 20,967 | 22,566 | |
Freddie Mac Pool FR QN0783 | 3.000% | 10/01/2034 | 40,618 | 43,342 | |
Freddie Mac Pool FR QN0786 | 3.000% | 10/01/2034 | 98,229 | 104,947 | |
Freddie Mac Pool FR QN0951 | 2.500% | 11/01/2034 | 63,218 | 66,587 | |
Freddie Mac Pool FR SB0040 | 2.500% | 12/01/2033 | 359,280 | 373,728 | |
Freddie Mac Pool FR SB0116 | 2.500% | 11/01/2034 | 90,761 | 95,567 | |
Freddie Mac Pool FR ZA4718 | 3.000% | 10/01/2046 | 207,968 | 219,411 | |
Freddie Mac Pool FR ZK8962 | 3.000% | 09/01/2032 | 86,483 | 92,109 | |
Freddie Mac Pool FR ZK9009 | 3.000% | 10/01/2032 | 32,115 | 33,939 | |
Freddie Mac Pool FR ZK9163 | 3.000% | 01/01/2033 | 43,641 | 46,457 | |
Freddie Mac Pool FR ZM1434 | 3.500% | 07/01/2046 | 43,822 | 46,674 | |
Freddie Mac Pool FR ZM4821 | 3.500% | 11/01/2047 | 39,519 | 42,638 | |
Freddie Mac Pool FR ZM4939 | 3.500% | 11/01/2047 | 63,713 | 67,635 | |
Freddie Mac Pool FR ZM5102 | 3.500% | 12/01/2047 | 86,484 | 93,310 | |
Freddie Mac Pool FR ZM5228 | 3.500% | 12/01/2047 | 49,660 | 53,411 | |
Freddie Mac Pool FR ZM5705 | 3.500% | 02/01/2048 | 21,608 | 23,089 | |
Freddie Mac Pool FR ZM5707 | 3.500% | 02/01/2048 | 16,781 | 17,919 | |
Freddie Mac Pool FR ZM5945 | 4.000% | 03/01/2048 | 52,975 | 57,887 | |
Freddie Mac Pool FR ZM6220 | 4.000% | 04/01/2048 | 40,279 | 43,254 | |
Freddie Mac Pool FR ZM6276 | 4.000% | 04/01/2048 | 68,586 | 74,513 | |
Freddie Mac Pool FR ZM6427 | 4.000% | 05/01/2048 | 175,433 | 188,577 | |
Freddie Mac Pool FR ZN2165 | 4.500% | 12/01/2048 | 73,819 | 82,227 | |
Freddie Mac Pool FR ZS4598 | 3.000% | 01/01/2045 | 29,170 | 30,697 | |
Freddie Mac Pool FR ZS7403 | 3.000% | 05/01/2031 | 249,454 | 263,858 | |
Freddie Mac Pool FR ZS9830 | 3.500% | 10/01/2046 | 298,972 | 321,606 | |
Freddie Mac Pool FR ZT0272 | 3.500% | 02/01/2047 | 170,069 | 182,714 | |
Freddie Mac Pool FR ZT0337 | 3.500% | 12/01/2044 | 30,051 | 32,637 | |
Freddie Mac Pool FR ZT0537 | 3.500% | 03/01/2048 | 224,082 | 241,682 | |
Freddie Mac Pool FR ZT1633 | 4.000% | 03/01/2047 | 15,917 | 17,473 | |
Total U.S. Government Agency Mortgage-Backed Securities (Cost $8,719,323) | $9,154,885 |
| Exchange Traded Funds–1.9% | Shares | Value | |
SPDR S&P 500 ETF Trust | 20,176 | $ 7,996,354 | |
Total Exchange Traded Funds (Cost $6,675,743) | $7,996,354 |
| Preferred Securities–0.9% | Rate | Quantity | Value | |
| Financials–0.8% | ||||
American Express Co. DR (Consumer Finance) | QL + 329 | 61,000 | $ 60,449 | |
American Express Co. DR (Consumer Finance) | QL + 343 | 26,000 | 25,967 | |
Bank of America Corp. DR (Rate is fixed until 09/05/2024, at which point, the rate becomes QL + 371) (Banks) | (c) | 6.250% | 286,000 | 316,545 |
Bank of America Corp. DR (Rate is fixed until 03/17/2025, at which point, the rate becomes QL + 390) (Banks) | (c) | 6.100% | 124,000 | 137,640 |
Bank of New York Mellon Corp. / The DR (Rate is fixed until 09/20/2025, at which point, the rate becomes H15T5Y + 436) (Capital Markets) | (c) | 4.700% | 61,000 | 66,090 |
Capital One Financial Corp. (Consumer Finance) | QL + 380 | 154,000 | 153,230 | |
Charles Schwab Corp. / The DR (Rate is fixed until 06/01/2026, at which point, the rate becomes H15T5Y + 317) (Capital Markets) | (c) | 4.000% | 455,000 | 461,734 |
Citigroup, Inc. DR (Rate is fixed until 01/30/2023, at which point, the rate becomes QL + 407) (Banks) | (c) | 5.950% | 217,000 | 227,661 |
Citigroup, Inc. DR (Rate is fixed until 05/15/2025, at which point, the rate becomes QL + 391) (Banks) | (c) | 5.950% | 142,000 | 153,005 |
Citigroup, Inc. (Rate is fixed until 12/10/2025, at which point, the rate becomes H15T5Y + 360) (Banks) | (c) | 4.000% | 101,000 | 101,985 |
Citigroup, Inc. DR (Rate is fixed until 02/15/2023, at which point, the rate becomes QL + 423) (Banks) | (c) | 5.900% | 27,000 | 28,540 |
Discover Financial Services (Rate is fixed until 09/23/2025, at which point, the rate becomes H15T5Y + 578) (Consumer Finance) | (c) | 6.125% | 404,000 | 448,440 |
Fifth Third Bancorp DR (Rate is fixed until 09/30/2025, at which point, the rate becomes H15T5Y + 422) (Banks) | (c) | 4.500% | 76,000 | 80,712 |
JPMorgan Chase & Co. DR (Banks) | QL + 347 | 131,000 | 130,771 | |
JPMorgan Chase & Co. DR (Banks) | QL + 380 | 110,000 | 110,209 | |
JPMorgan Chase & Co. DR (Banks) | QL + 332 | 65,000 | 64,707 | |
Morgan Stanley DR (Capital Markets) | QL + 381 | 272,000 | 272,000 | |
Morgan Stanley DR (Capital Markets) | QL + 361 | 33,000 | 33,049 | |
Truist Financial Corp. DR (Rate is fixed until 09/01/2030, at which point, the rate becomes H15T10Y + 435) (Banks) | (c) | 5.100% | 256,000 | 279,117 |
Wells Fargo & Co. DR (Rate is fixed until 06/15/2025, at which point, the rate becomes QL + 399) (Banks) | (c) | 5.875% | 292,000 | 321,492 |
| 3,473,343 |
71
(continued)
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Preferred Securities (Continued) | Rate | Quantity | Value | |
| Industrials–0.1% | ||||
General Electric Co. (Industrial Conglomerates) | QL + 333 | 336,000 | $ 317,520 | |
Total Preferred Securities (Cost $3,716,777) | $3,790,863 |
| Sovereign Issues–0.8% | Rate | Maturity | Face Amount | Value | |
CDBL Funding 1 | 3.500% | 10/24/2027 | $ 230,000 | $ 243,596 | |
China Cinda 2020 I Management Ltd. | 3.125% | 03/18/2030 | 235,000 | 236,746 | |
Colombia Government International Bond | 3.125% | 04/15/2031 | 540,000 | 528,854 | |
Comision Federal de Electricidad | (b) | 3.348% | 02/09/2031 | 236,000 | 226,798 |
Corp. Financiera de Desarrollo SA | (b) | 2.400% | 09/28/2027 | 435,000 | 428,697 |
Dominican Republic International Bond | (b) | 4.875% | 09/23/2032 | 250,000 | 255,000 |
Egypt Government International Bond | (b) | 5.875% | 02/16/2031 | 307,000 | 287,383 |
ENA Master Trust | (b) | 4.000% | 05/19/2048 | 203,000 | 206,045 |
Oleoducto Central SA | (b) | 4.000% | 07/14/2027 | 410,000 | 433,169 |
Oman Government International Bond | 4.875% | 02/01/2025 | 200,000 | 208,300 | |
Oman Government International Bond | (b) | 6.250% | 01/25/2031 | 230,000 | 240,350 |
Uruguay Government International Bond | 4.375% | 01/23/2031 | 58,061 | 67,342 | |
Total Sovereign Issues (Cost $3,378,248) | $3,362,280 |
| Money Market Funds–2.6% | Shares | Value | |
State Street Institutional Liquid Reserves Fund Institutional Class, 0.069% | (f) | 6,796,997 | $ 6,799,036 |
State Street Institutional U.S. Government Money Market Fund, 0.036% | (f) | 4,198,830 | 4,198,830 |
Total Money Market Funds (Cost $10,997,866) | $10,997,866 | ||
Total Investments – 100.0% (Cost $357,463,093) | (g) | $430,028,793 | |
| Other Assets in Excess of Liabilities – 0.0% | 93,845 | ||
| Net Assets – 100.0% | $430,122,638 |
Percentages are stated as a percent of net assets. |
| Abbreviations: | ||
| ADR: | American Depositary Receipts | |
| CLO: | Collaterized Loan Obligation | |
| DR: | Depositary Receipt | |
| H15T10Y: | U.S. Treasury Yield Curve Rate T-Note Constant Maturity 10 Year, 1.740% at 03/31/2021 | |
| H15T1Y: | U.S. Treasury Yield Curve Rate T-Note Constant Maturity 1 Year, 0.070% at 03/31/2021 | |
| H15T5Y: | U.S. Treasury Yield Curve Rate T-Note Constant Maturity 5 Year, 0.920% at 03/31/2021 | |
| ML: | Monthly U.S. LIBOR Rate, 0.111% at 03/31/2021 | |
| QL: | Quarterly U.S. LIBOR Rate, 0.194% at 03/31/2021 | |
| SOFR: | Secured Overnight Financing Rate, 0.010% at 03/31/2021 | |
| SOFR30A: | 30 Day Average Secured Overnight Financing Rate, 0.015% at 03/31/2021 | |
| USISDA05: | USD ICE Swap Rate 11:00am NY 5 Year, 1.027% at 01/31/2021 | |
| Footnotes: | ||
| (a) | Non-income producing security. | |
| (b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At March 31, 2021, the value of these securities totaled $28,738,450, or 6.7% of the Portfolio’s net assets. | |
| (c) | Security is a fixed-then-variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated, including interest rate caps and floors, if any, are those in effect at March 31, 2021. | |
| (d) | 100 shares per contract. | |
| (e) | Security is partially pledged as collateral for the futures contracts outstanding at March 31, 2021. The market value pledged totaled $4,142,380. See also the following Schedule of Open Futures Contracts. | |
| (f) | Rate represents the seven-day yield at March 31, 2021. | |
| (g) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
The accompanying notes are an integral part of these financial statements.
72
| Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
| Schedule of Open Futures Contracts | March 31, 2021 (Unaudited) |
Long Futures Contracts
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CBT U.S. Ultra Bond - Long | 24 | June 21, 2021 | $4,435,754 | $4,349,250 | $(86,504) | $(29,063) | ||||||
| CBT 10-Year U.S. Treasury Note - Long | 1,315 | June 21, 2021 | 176,898,713 | 172,182,813 | (4,715,900) | (328,750) | ||||||
| CBT U.S. Long Bond - Long | 74 | June 21, 2021 | 11,884,325 | 11,439,938 | (444,387) | (32,375) | ||||||
| CBT 5-Year U.S. Treasury Note - Long | 94 | June 30, 2021 | 11,635,480 | 11,599,453 | (36,027) | (15,281) | ||||||
| CBT 2-Year U.S. Treasury Note - Long | 332 | June 30, 2021 | 73,306,971 | 73,281,219 | (25,752) | (11,563) | ||||||
| $278,161,243 | $272,852,673 | $(5,308,570) | $(417,032) |
Short Futures Contracts
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CME E-mini S&P 500 Index - Short | 110 | June 18, 2021 | $(21,630,709) | (21,820,700) | $(189,991) | $(108,350) | ||||||
| CBT 10-Year U.S. Ultra Bond - Short | 71 | June 21, 2021 | (10,497,722) | (10,201,813) | 295,909 | 891 | ||||||
| $(32,128,431) | $(32,022,513) | $105,918 | $(107,459) | |||||||||
| Total Futures Contracts | $246,032,812 | $240,830,160 | $(5,202,652) | $(524,491) |
The accompanying notes are an integral part of these financial statements.
73
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds–44.8% | Rate | Maturity | Face Amount | Value | |
| Communication Services–5.6% | |||||
Alphabet, Inc. (Interactive Media & Svs.) | 1.900% | 08/15/2040 | $ 400,000 | $ 345,579 | |
AMC Networks, Inc. (Media) | 5.000% | 04/01/2024 | 20,000 | 20,250 | |
AMC Networks, Inc. (Media) | 4.250% | 02/15/2029 | 25,000 | 24,313 | |
America Movil S.A.B de C.V. (Wireless Telecom. Svs.) | 2.875% | 05/07/2030 | 200,000 | 204,050 | |
AT&T, Inc. (Diversified Telecom. Svs.) | 0.900% | 03/25/2024 | 150,000 | 150,320 | |
AT&T, Inc. (Diversified Telecom. Svs.) | 1.700% | 03/25/2026 | 150,000 | 149,947 | |
AT&T, Inc. (Diversified Telecom. Svs.) | 4.300% | 02/15/2030 | 175,000 | 197,010 | |
AT&T, Inc. (Diversified Telecom. Svs.) | 3.500% | 06/01/2041 | 300,000 | 295,932 | |
AT&T, Inc. (Diversified Telecom. Svs.) | 3.650% | 06/01/2051 | 375,000 | 362,697 | |
AT&T, Inc. (Diversified Telecom. Svs.) | (a) | 3.800% | 12/01/2057 | 645,000 | 613,644 |
Bell Canada, Inc. (Diversified Telecom. Svs.) | 0.750% | 03/17/2024 | 250,000 | 249,669 | |
Bell Canada, Inc. (Diversified Telecom. Svs.) | 4.464% | 04/01/2048 | 250,000 | 288,639 | |
Cars.com, Inc. (Interactive Media & Svs.) | (a) | 6.375% | 11/01/2028 | 50,000 | 52,125 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.500% | 05/01/2026 | 50,000 | 51,565 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 4.500% | 08/15/2030 | 150,000 | 152,880 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 4.250% | 02/01/2031 | 75,000 | 75,166 |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 2.800% | 04/01/2031 | 125,000 | 123,361 | |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 6.484% | 10/23/2045 | 225,000 | 292,953 | |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 4.800% | 03/01/2050 | 205,000 | 219,907 | |
Comcast Corp. (Media) | 3.400% | 04/01/2030 | 225,000 | 243,613 | |
Comcast Corp. (Media) | 3.450% | 02/01/2050 | 750,000 | 774,798 | |
CSC Holdings LLC (Media) | (a) | 7.500% | 04/01/2028 | 250,000 | 275,700 |
Cumulus Media New Holdings, Inc. (Media) | (a) | 6.750% | 07/01/2026 | 48,000 | 48,900 |
Deutsche Telekom International Finance B.V. (Diversified Telecom. Svs.) | (a) | 3.600% | 01/19/2027 | 375,000 | 410,926 |
Diamond Sports Group LLC / Diamond Sports Finance Co. (Media) | (a) | 5.375% | 08/15/2026 | 25,000 | 18,000 |
Diamond Sports Group LLC / Diamond Sports Finance Co. (Media) | (a) | 6.625% | 08/15/2027 | 25,000 | 13,000 |
Discovery Communications LLC (Media) | 4.650% | 05/15/2050 | 250,000 | 275,677 | |
DISH DBS Corp. (Media) | 7.750% | 07/01/2026 | 50,000 | 55,187 | |
DISH DBS Corp. (Media) | 7.375% | 07/01/2028 | 25,000 | 26,226 | |
Entercom Media Corp. (Media) | (a) | 7.250% | 11/01/2024 | 50,000 | 51,750 |
Entercom Media Corp. (Media) | (a) | 6.500% | 05/01/2027 | 50,000 | 51,688 |
Entercom Media Corp. (Media) | (a) | 6.750% | 03/31/2029 | 50,000 | 51,923 |
Fox Corp. (Media) | 3.500% | 04/08/2030 | 100,000 | 106,390 | |
Fox Corp. (Media) | 5.576% | 01/25/2049 | 125,000 | 159,351 | |
Gray Television, Inc. (Media) | (a) | 5.875% | 07/15/2026 | 25,000 | 25,906 |
Gray Television, Inc. (Media) | (a) | 4.750% | 10/15/2030 | 25,000 | 24,781 |
Grupo Televisa S.A.B. (Media) | 5.000% | 05/13/2045 | 375,000 | 411,701 | |
iHeartCommunications, Inc. (Media) | 6.375% | 05/01/2026 | 50,000 | 53,063 | |
iHeartCommunications, Inc. (Media) | 8.375% | 05/01/2027 | 100,000 | 107,250 | |
iHeartCommunications, Inc. (Media) | (a) | 5.250% | 08/15/2027 | 25,000 | 25,715 |
Interpublic Group of Cos., Inc. / The (Media) | 3.375% | 03/01/2041 | 395,000 | 383,905 | |
Lamar Media Corp. (Media) | 3.750% | 02/15/2028 | 25,000 | 24,969 | |
Lamar Media Corp. (Media) | 4.875% | 01/15/2029 | 25,000 | 26,063 | |
Match Group Holdings II LLC (Interactive Media & Svs.) | (a) | 5.000% | 12/15/2027 | 25,000 | 26,188 |
Match Group Holdings II LLC (Interactive Media & Svs.) | (a) | 4.625% | 06/01/2028 | 50,000 | 51,088 |
Match Group Holdings II LLC (Interactive Media & Svs.) | (a) | 4.125% | 08/01/2030 | 25,000 | 25,070 |
Nexstar Broadcasting, Inc. (Media) | (a) | 5.625% | 07/15/2027 | 75,000 | 78,609 |
Nexstar Broadcasting, Inc. (Media) | (a) | 4.750% | 11/01/2028 | 25,000 | 25,263 |
Omnicom Group, Inc. (Media) | 2.450% | 04/30/2030 | 225,000 | 222,574 | |
Rackspace Technology Global, Inc. (Interactive Media & Svs.) | (a) | 3.500% | 02/15/2028 | 25,000 | 24,029 |
Rackspace Technology Global, Inc. (Interactive Media & Svs.) | (a) | 5.375% | 12/01/2028 | 25,000 | 25,421 |
Scripps Escrow, Inc. (Media) | (a) | 5.875% | 07/15/2027 | 75,000 | 77,625 |
Sinclair Television Group, Inc. (Media) | (a) | 5.875% | 03/15/2026 | 100,000 | 101,750 |
Sirius XM Radio, Inc. (Media) | (a) | 4.625% | 07/15/2024 | 50,000 | 51,505 |
Sirius XM Radio, Inc. (Media) | (a) | 5.375% | 07/15/2026 | 50,000 | 51,625 |
Sirius XM Radio, Inc. (Media) | (a) | 5.500% | 07/01/2029 | 50,000 | 54,063 |
Sky Ltd. (Media) | (a) | 3.750% | 09/16/2024 | 200,000 | 219,659 |
Sprint Capital Corp. (Wireless Telecom. Svs.) | 6.875% | 11/15/2028 | 50,000 | 63,048 | |
Sprint Corp. (Wireless Telecom. Svs.) | 7.625% | 03/01/2026 | 75,000 | 91,852 | |
TEGNA, Inc. (Media) | (a) | 4.750% | 03/15/2026 | 25,000 | 26,531 |
TEGNA, Inc. (Media) | 4.625% | 03/15/2028 | 50,000 | 50,875 | |
TEGNA, Inc. (Media) | 5.000% | 09/15/2029 | 25,000 | 25,944 | |
Telefonica Emisiones SA (Diversified Telecom. Svs.) | 4.895% | 03/06/2048 | 375,000 | 425,462 | |
Telenet Finance Luxembourg Notes SARL (Media) | (a) | 5.500% | 03/01/2028 | 200,000 | 210,000 |
Terrier Media Buyer, Inc. (Media) | (a) | 8.875% | 12/15/2027 | 75,000 | 80,704 |
74
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Communication Services (continued) | |||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 4.500% | 02/01/2026 | $ 50,000 | $ 51,156 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 4.750% | 02/01/2028 | 150,000 | 159,490 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | (a) | 3.875% | 04/15/2030 | 250,000 | 271,340 |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | (a) | 4.500% | 04/15/2050 | 125,000 | 140,361 |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | (a) | 3.300% | 02/15/2051 | 200,000 | 186,914 |
Townsquare Media, Inc. (Media) | (a) | 6.875% | 02/01/2026 | 25,000 | 26,625 |
Urban One, Inc. (Media) | (a) | 7.375% | 02/01/2028 | 75,000 | 77,650 |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 3.150% | 03/22/2030 | 175,000 | 184,577 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 3.400% | 03/22/2041 | 755,000 | 766,465 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.000% | 03/22/2050 | 450,000 | 484,303 | |
ViacomCBS, Inc. (Media) | 4.950% | 01/15/2031 | 300,000 | 353,812 | |
ViacomCBS, Inc. (Media) | 4.900% | 08/15/2044 | 150,000 | 173,642 | |
Virgin Media Finance PLC (Media) | (a) | 5.000% | 07/15/2030 | 200,000 | 199,750 |
Vodafone Group PLC (Wireless Telecom. Svs.) | 4.125% | 05/30/2025 | 175,000 | 195,677 | |
Vodafone Group PLC (Wireless Telecom. Svs.) | 5.250% | 05/30/2048 | 225,000 | 280,899 | |
Walt Disney Co. / The (Entertainment) | 3.800% | 03/22/2030 | 125,000 | 139,326 | |
Walt Disney Co. / The (Entertainment) | 4.700% | 03/23/2050 | 175,000 | 219,306 | |
Walt Disney Co. / The (Entertainment) | 3.600% | 01/13/2051 | 100,000 | 106,401 | |
WMG Acquisition Corp. (Entertainment) | (a) | 3.875% | 07/15/2030 | 50,000 | 50,482 |
Ziggo B.V. (Diversified Telecom. Svs.) | (a) | 5.500% | 01/15/2027 | 176,000 | 183,260 |
| 13,776,810 | |||||
| Consumer Discretionary–2.8% | |||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.000% | 10/15/2030 | 150,000 | 144,750 |
Academy Ltd. (Specialty Retail) | (a) | 6.000% | 11/15/2027 | 25,000 | 26,313 |
Advance Auto Parts, Inc. (Specialty Retail) | 3.900% | 04/15/2030 | 375,000 | 407,493 | |
Affinity Gaming (Hotels, Restaurants & Leisure) | (a) | 6.875% | 12/15/2027 | 50,000 | 52,687 |
Alibaba Group Holding Ltd. (Internet & Direct Marketing Retail) | 2.125% | 02/09/2031 | 200,000 | 190,788 | |
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 3.875% | 08/22/2037 | 300,000 | 343,734 | |
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 2.500% | 06/03/2050 | 250,000 | 223,610 | |
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 04/01/2025 | 50,000 | 51,188 |
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 02/01/2028 | 75,000 | 77,831 |
AutoNation, Inc. (Specialty Retail) | 4.750% | 06/01/2030 | 335,000 | 386,277 | |
AutoZone, Inc. (Specialty Retail) | 4.000% | 04/15/2030 | 200,000 | 221,410 | |
Bally's Corp. (Hotels, Restaurants & Leisure) | (a) | 6.750% | 06/01/2027 | 25,000 | 26,813 |
Booking Holdings, Inc. (Hotels, Restaurants & Leisure) | 4.625% | 04/13/2030 | 200,000 | 232,971 | |
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | (a) | 8.625% | 06/01/2025 | 25,000 | 27,800 |
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 4.750% | 12/01/2027 | 75,000 | 76,442 | |
Caesars Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 6.250% | 07/01/2025 | 25,000 | 26,650 |
Caesars Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 8.125% | 07/01/2027 | 25,000 | 27,569 |
Caesars Resort Collection LLC / CRC Finco, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.250% | 10/15/2025 | 75,000 | 75,276 |
Clarios Global LP (Automobiles) | (a) | 6.750% | 05/15/2025 | 25,000 | 26,743 |
Clarios Global LP / Clarios U.S. Finance Co. (Auto Components) | (a) | 6.250% | 05/15/2026 | 25,000 | 26,551 |
Clarios Global LP / Clarios U.S. Finance Co. (Auto Components) | (a) | 8.500% | 05/15/2027 | 75,000 | 80,719 |
Daimler Finance North America LLC (Automobiles) | (a) | 3.350% | 02/22/2023 | 325,000 | 340,761 |
Dana Financing Luxembourg SARL (Auto Components) | (a) | 5.750% | 04/15/2025 | 75,000 | 77,156 |
Dana, Inc. (Auto Components) | 5.375% | 11/15/2027 | 25,000 | 26,250 | |
Dollar General Corp. (Multiline Retail) | 3.875% | 04/15/2027 | 375,000 | 416,653 | |
Dollar Tree, Inc. (Multiline Retail) | 3.700% | 05/15/2023 | 400,000 | 424,639 | |
Expedia Group, Inc. (Hotels, Restaurants & Leisure) | 3.800% | 02/15/2028 | 250,000 | 264,794 | |
Expedia Group, Inc. (Hotels, Restaurants & Leisure) | (a) | 2.950% | 03/15/2031 | 250,000 | 246,575 |
Garda World Security Corp. (Diversified Consumer Svs.) | (a) | 9.500% | 11/01/2027 | 75,000 | 83,015 |
Gates Global LLC / Gates Corp. (Auto Components) | (a) | 6.250% | 01/15/2026 | 75,000 | 78,562 |
General Motors Co. (Automobiles) | 6.125% | 10/01/2025 | 200,000 | 235,182 | |
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | (a) | 3.750% | 05/01/2029 | 50,000 | 49,500 |
Home Depot, Inc. / The (Specialty Retail) | 3.300% | 04/15/2040 | 450,000 | 473,126 | |
J.B. Poindexter & Co., Inc. (Auto Components) | (a) | 7.125% | 04/15/2026 | 50,000 | 52,812 |
Levi Strauss & Co. (Textiles, Apparel & Luxury Goods) | (a) | 3.500% | 03/01/2031 | 25,000 | 24,125 |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.625% | 06/15/2025 | 25,000 | 26,368 |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. (Hotels, Restaurants & Leisure) | 4.500% | 01/15/2028 | 25,000 | 25,868 | |
MGM Resorts International (Hotels, Restaurants & Leisure) | 6.750% | 05/01/2025 | 75,000 | 80,807 | |
Mohegan Gaming & Entertainment (Hotels, Restaurants & Leisure) | (a) | 8.000% | 02/01/2026 | 100,000 | 100,750 |
NMG Holding Co., Inc. / Neiman Marcus Group LLC (Specialty Retail) | (a) | 7.125% | 04/01/2026 | 50,000 | 51,000 |
O'Reilly Automotive, Inc. (Specialty Retail) | 4.200% | 04/01/2030 | 200,000 | 224,841 | |
O'Reilly Automotive, Inc. (Specialty Retail) | 1.750% | 03/15/2031 | 160,000 | 147,826 | |
Real Hero Merger Sub 2, Inc. (Auto Components) | (a) | 6.250% | 02/01/2029 | 50,000 | 51,625 |
Scientific Games International, Inc. (Hotels, Restaurants & Leisure) | (a) | 7.250% | 11/15/2029 | 50,000 | 54,250 |
75
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Consumer Discretionary (continued) | |||||
Signal Parent, Inc. (Diversified Consumer Svs.) | (a) | 6.125% | 04/01/2029 | $ 50,000 | $ 49,500 |
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | (a) | 5.500% | 04/15/2027 | 50,000 | 51,812 |
Stars Group Holdings B.V. / Stars Group U.S. Co-Borrower LLC (Hotels, Restaurants & Leisure) | (a) | 7.000% | 07/15/2026 | 100,000 | 104,500 |
Station Casinos LLC (Hotels, Restaurants & Leisure) | (a) | 5.000% | 10/01/2025 | 40,000 | 40,500 |
Station Casinos LLC (Hotels, Restaurants & Leisure) | (a) | 4.500% | 02/15/2028 | 25,000 | 24,906 |
William Carter Co. / The (Textiles, Apparel & Luxury Goods) | (a) | 5.500% | 05/15/2025 | 25,000 | 26,664 |
Wyndham Hotels & Resorts, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.375% | 08/15/2028 | 25,000 | 25,288 |
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 3.625% | 03/15/2031 | 75,000 | 72,094 | |
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 4.625% | 01/31/2032 | 50,000 | 51,000 | |
| 6,756,364 | |||||
| Consumer Staples–3.7% | |||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | 5.750% | 03/15/2025 | 8,000 | 8,262 | |
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | (a) | 5.875% | 02/15/2028 | 100,000 | 106,625 |
Alimentation Couche-Tard, Inc. (Food & Staples Retailing) | (a) | 3.800% | 01/25/2050 | 350,000 | 354,319 |
Altria Group, Inc. (Tobacco) | 3.875% | 09/16/2046 | 500,000 | 485,129 | |
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.350% | 06/01/2040 | 200,000 | 226,119 | |
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.500% | 06/01/2050 | 700,000 | 794,232 | |
B.A.T. Capital Corp. (Tobacco) | 3.734% | 09/25/2040 | 100,000 | 95,208 | |
B.A.T. Capital Corp. (Tobacco) | 4.540% | 08/15/2047 | 350,000 | 352,411 | |
Coca-Cola Femsa S.A.B de C.V. (Beverages) | 2.750% | 01/22/2030 | 250,000 | 251,040 | |
Coca-Cola Femsa S.A.B de C.V. (Beverages) | 1.850% | 09/01/2032 | 150,000 | 137,210 | |
Conagra Brands, Inc. (Food Products) | 1.375% | 11/01/2027 | 180,000 | 173,393 | |
Constellation Brands, Inc. (Beverages) | 3.750% | 05/01/2050 | 200,000 | 209,024 | |
Edgewell Personal Care Co. (Personal Products) | (a) | 5.500% | 06/01/2028 | 25,000 | 26,400 |
Edgewell Personal Care Co. (Personal Products) | (a) | 4.125% | 04/01/2029 | 25,000 | 24,855 |
Energizer Holdings, Inc. (Household Products) | (a) | 4.375% | 03/31/2029 | 50,000 | 50,175 |
Flowers Foods, Inc. (Food Products) | 3.500% | 10/01/2026 | 325,000 | 352,113 | |
Flowers Foods, Inc. (Food Products) | 2.400% | 03/15/2031 | 85,000 | 82,915 | |
General Mills, Inc. (Food Products) | 3.700% | 10/17/2023 | 150,000 | 160,841 | |
General Mills, Inc. (Food Products) | 2.875% | 04/15/2030 | 150,000 | 154,854 | |
Grupo Bimbo S.A.B de C.V. (Food Products) | (a) | 4.875% | 06/27/2044 | 325,000 | 366,611 |
Heineken N.V. (Beverages) | (a) | 3.500% | 01/29/2028 | 375,000 | 408,234 |
J.M. Smucker Co. / The (Food Products) | 3.500% | 03/15/2025 | 200,000 | 217,135 | |
J.M. Smucker Co. / The (Food Products) | 2.375% | 03/15/2030 | 250,000 | 246,609 | |
Keurig Dr Pepper, Inc. (Beverages) | 4.417% | 05/25/2025 | 150,000 | 168,299 | |
Keurig Dr Pepper, Inc. (Beverages) | 3.200% | 05/01/2030 | 200,000 | 211,625 | |
Kraft Heinz Foods Co. (Food Products) | 4.375% | 06/01/2046 | 475,000 | 496,550 | |
Kroger Co. / The (Food & Staples Retailing) | 2.200% | 05/01/2030 | 200,000 | 195,851 | |
Kroger Co. / The (Food & Staples Retailing) | 3.950% | 01/15/2050 | 200,000 | 216,111 | |
McCormick & Co., Inc. (Food Products) | 2.500% | 04/15/2030 | 200,000 | 200,023 | |
McCormick & Co., Inc. (Food Products) | 1.850% | 02/15/2031 | 110,000 | 103,416 | |
Mondelez International, Inc. (Food Products) | 1.500% | 05/04/2025 | 175,000 | 176,907 | |
PepsiCo, Inc. (Beverages) | 2.750% | 03/19/2030 | 450,000 | 468,582 | |
Philip Morris International, Inc. (Tobacco) | 3.875% | 08/21/2042 | 290,000 | 307,230 | |
Post Holdings, Inc. (Food Products) | (a) | 5.750% | 03/01/2027 | 75,000 | 78,882 |
Post Holdings, Inc. (Food Products) | (a) | 4.625% | 04/15/2030 | 75,000 | 75,188 |
Smithfield Foods, Inc. (Food Products) | (a) | 3.000% | 10/15/2030 | 150,000 | 149,174 |
Sysco Corp. (Food & Staples Retailing) | 4.450% | 03/15/2048 | 350,000 | 395,283 | |
Tyson Foods, Inc. (Food Products) | 3.550% | 06/02/2027 | 350,000 | 382,144 | |
U.S. Foods, Inc. (Food & Staples Retailing) | (a) | 4.750% | 02/15/2029 | 50,000 | 50,000 |
Unilever Capital Corp. (Personal Products) | 0.375% | 09/14/2023 | 100,000 | 100,304 | |
| 9,059,283 | |||||
| Energy–4.3% | |||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 7.875% | 05/15/2026 | 25,000 | 26,888 |
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 03/01/2027 | 125,000 | 125,027 |
Antero Resources Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.375% | 07/15/2026 | 50,000 | 55,125 |
Apache Corp. (Oil, Gas & Consumable Fuels) | 4.375% | 10/15/2028 | 75,000 | 74,775 | |
Archrock Partners LP / Archrock Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.875% | 04/01/2027 | 50,000 | 52,125 |
Archrock Partners LP / Archrock Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.250% | 04/01/2028 | 25,000 | 25,395 |
Ascent Resources Utica Holdings LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 7.000% | 11/01/2026 | 50,000 | 49,969 |
Boardwalk Pipelines LP (Oil, Gas & Consumable Fuels) | 3.400% | 02/15/2031 | 450,000 | 449,642 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 3.194% | 04/06/2025 | 175,000 | 188,309 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 3.588% | 04/14/2027 | 350,000 | 383,654 |
76
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Energy (continued) | |||||
Buckeye Partners LP (Oil, Gas & Consumable Fuels) | (a) | 4.125% | 03/01/2025 | $ 50,000 | $ 51,015 |
Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels) | 3.900% | 02/01/2025 | 250,000 | 269,763 | |
Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels) | 2.050% | 07/15/2025 | 250,000 | 252,798 | |
Centennial Resource Production LLC (Oil, Gas & Consumable Fuels) | (a) | 6.875% | 04/01/2027 | 25,000 | 22,250 |
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | 5.625% | 10/01/2026 | 25,000 | 26,143 | |
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | 4.500% | 10/01/2029 | 50,000 | 51,851 | |
Cheniere Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 4.625% | 10/15/2028 | 25,000 | 25,964 |
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.875% | 02/01/2029 | 25,000 | 26,500 |
Chevron Corp. (Oil, Gas & Consumable Fuels) | 3.078% | 05/11/2050 | 225,000 | 215,088 | |
CNX Midstream Partners LP / CNX Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.500% | 03/15/2026 | 75,000 | 76,313 |
Comstock Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6.750% | 03/01/2029 | 50,000 | 51,250 |
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 01/15/2031 | 75,000 | 84,739 |
CrownRock LP / CrownRock Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.625% | 10/15/2025 | 75,000 | 76,517 |
Enbridge Energy Partners LP (Oil, Gas & Consumable Fuels) | 5.500% | 09/15/2040 | 250,000 | 295,001 | |
Energy Transfer LP (Oil, Gas & Consumable Fuels) | 3.750% | 05/15/2030 | 400,000 | 412,387 | |
Energy Transfer LP (Oil, Gas & Consumable Fuels) | 5.000% | 05/15/2050 | 200,000 | 206,849 | |
Enterprise Products Operating LLC (Oil, Gas & Consumable Fuels) | 3.950% | 02/15/2027 | 100,000 | 111,127 | |
Enterprise Products Operating LLC (Oil, Gas & Consumable Fuels) | 3.700% | 01/31/2051 | 400,000 | 393,800 | |
Enviva Partners LP / Enviva Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.500% | 01/15/2026 | 75,000 | 78,563 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 5.500% | 07/15/2028 | 75,000 | 78,731 | |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | (a) | 4.500% | 01/15/2029 | 25,000 | 24,362 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 6.500% | 07/15/2048 | 50,000 | 49,875 | |
EQT Corp. (Oil, Gas & Consumable Fuels) | 7.625% | 02/01/2025 | 50,000 | 57,544 | |
EQT Corp. (Oil, Gas & Consumable Fuels) | 5.000% | 01/15/2029 | 25,000 | 26,750 | |
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 3.482% | 03/19/2030 | 500,000 | 542,886 | |
Hess Midstream Operations LP (Oil, Gas & Consumable Fuels) | (a) | 5.125% | 06/15/2028 | 25,000 | 25,275 |
Holly Energy Partners LP / Holly Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.000% | 02/01/2028 | 25,000 | 25,320 |
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 4.300% | 03/01/2028 | 300,000 | 335,423 | |
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 3.250% | 08/01/2050 | 145,000 | 126,782 | |
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 4.400% | 07/15/2027 | 350,000 | 385,287 | |
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.750% | 09/15/2044 | 250,000 | 277,286 | |
Nabors Industries Ltd. (Energy Equip. & Svs.) | (a) | 7.250% | 01/15/2026 | 50,000 | 41,500 |
NuStar Logistics LP (Oil, Gas & Consumable Fuels) | 6.000% | 06/01/2026 | 50,000 | 53,904 | |
NuStar Logistics LP (Oil, Gas & Consumable Fuels) | 6.375% | 10/01/2030 | 25,000 | 27,031 | |
Oasis Midstream Partners LP / OMP Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.000% | 04/01/2029 | 25,000 | 25,625 |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 2.900% | 08/15/2024 | 25,000 | 24,726 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 8.000% | 07/15/2025 | 25,000 | 28,698 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 8.875% | 07/15/2030 | 25,000 | 31,525 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.450% | 09/15/2036 | 75,000 | 82,782 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.300% | 08/15/2039 | 50,000 | 42,401 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.400% | 04/15/2046 | 75,000 | 64,233 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 2.200% | 09/15/2025 | 75,000 | 76,363 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 03/15/2050 | 300,000 | 300,277 | |
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 6.125% | 09/15/2024 | 25,000 | 25,653 | |
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.750% | 05/15/2026 | 25,000 | 25,931 | |
Phillips 66 (Oil, Gas & Consumable Fuels) | 0.900% | 02/15/2024 | 150,000 | 150,039 | |
Phillips 66 (Oil, Gas & Consumable Fuels) | 3.850% | 04/09/2025 | 175,000 | 191,757 | |
Phillips 66 (Oil, Gas & Consumable Fuels) | 4.875% | 11/15/2044 | 250,000 | 295,033 | |
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 2.150% | 01/15/2031 | 250,000 | 236,354 | |
Precision Drilling Corp. (Energy Equip. & Svs.) | 5.250% | 11/15/2024 | 50,000 | 46,250 | |
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 4.875% | 05/15/2025 | 25,000 | 24,750 | |
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 9.250% | 02/01/2026 | 25,000 | 27,163 | |
Range Resources Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.250% | 01/15/2029 | 25,000 | 26,750 |
Rattler Midstream LP (Oil, Gas & Consumable Fuels) | (a) | 5.625% | 07/15/2025 | 25,000 | 26,103 |
Shell International Finance B.V. (Oil, Gas & Consumable Fuels) | 0.375% | 09/15/2023 | 230,000 | 230,269 | |
Shell International Finance B.V. (Oil, Gas & Consumable Fuels) | 2.375% | 04/06/2025 | 200,000 | 210,811 | |
Shell International Finance B.V. (Oil, Gas & Consumable Fuels) | 2.750% | 04/06/2030 | 250,000 | 258,187 | |
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.750% | 09/15/2026 | 50,000 | 46,200 | |
Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 3.750% | 03/04/2051 | 400,000 | 389,224 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.875% | 04/15/2026 | 100,000 | 104,687 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.375% | 02/01/2027 | 50,000 | 51,853 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 4.875% | 02/01/2031 | 50,000 | 50,663 |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 4.000% | 01/15/2032 | 50,000 | 47,026 |
U.S.A. Compression Partners LP / U.S.A. Compression Finance Corp. (Energy Equip. & Svs.) | 6.875% | 04/01/2026 | 100,000 | 102,562 | |
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 2.150% | 09/15/2027 | 320,000 | 313,546 |
77
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Energy (continued) | |||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 4.350% | 06/01/2028 | $ 175,000 | $ 193,027 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 4.500% | 03/01/2028 | 50,000 | 51,906 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 5.300% | 03/01/2048 | 50,000 | 50,177 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 5.500% | 08/15/2048 | 50,000 | 49,206 | |
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.750% | 06/15/2027 | 250,000 | 272,519 | |
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.750% | 06/01/2026 | 25,000 | 26,180 | |
| 10,437,239 | |||||
| Financials–10.4% | |||||
Aflac, Inc. (Insurance) | 3.625% | 06/15/2023 | 350,000 | 374,679 | |
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer (Insurance) | (a) | 6.750% | 10/15/2027 | 75,000 | 79,828 |
American Express Credit Corp. (Consumer Finance) | 3.300% | 05/03/2027 | 400,000 | 437,626 | |
American Honda Finance Corp. (Consumer Finance) | 0.875% | 07/07/2023 | 400,000 | 402,792 | |
American International Group, Inc. (Insurance) | 4.500% | 07/16/2044 | 250,000 | 283,054 | |
AmWINS Group, Inc. (Insurance) | (a) | 7.750% | 07/01/2026 | 125,000 | 133,750 |
AssuredPartners, Inc. (Insurance) | (a) | 7.000% | 08/15/2025 | 75,000 | 77,520 |
AssuredPartners, Inc. (Insurance) | (a) | 5.625% | 01/15/2029 | 25,000 | 25,475 |
Bank of America Corp. (Rate is fixed until 02/13/2025, at which point, the rate becomes QL + 64) (Banks) | (b) | 2.015% | 02/13/2026 | 1,175,000 | 1,203,492 |
Bank of America Corp. (Rate is fixed until 04/29/2030, at which point, the rate becomes SOFR + 215) (Banks) | (b) | 2.592% | 04/29/2031 | 900,000 | 898,121 |
Bank of New York Mellon Corp. / The (Capital Markets) | 2.200% | 08/16/2023 | 650,000 | 676,005 | |
BlackRock, Inc. (Capital Markets) | 1.900% | 01/28/2031 | 200,000 | 193,445 | |
Capital One Financial Corp. (Consumer Finance) | 3.900% | 01/29/2024 | 350,000 | 378,412 | |
Chubb INA Holdings, Inc. (Insurance) | 3.350% | 05/03/2026 | 200,000 | 217,948 | |
Citigroup, Inc. (Rate is fixed until 01/24/2022, at which point, the rate becomes QL + 72) (Banks) | (b) | 3.142% | 01/24/2023 | 550,000 | 561,418 |
Citigroup, Inc. (Rate is fixed until 04/24/2024, at which point, the rate becomes QL + 90) (Banks) | (b) | 3.352% | 04/24/2025 | 350,000 | 374,573 |
Citigroup, Inc. (Rate is fixed until 01/28/2026, at which point, the rate becomes SOFR + 77) (Banks) | (b) | 1.122% | 01/28/2027 | 300,000 | 293,451 |
Citigroup, Inc. (Rate is fixed until 01/29/2030, at which point, the rate becomes SOFR + 115) (Banks) | (b) | 2.666% | 01/29/2031 | 725,000 | 728,427 |
Citizens Bank N.A. (Banks) | 3.750% | 02/18/2026 | 250,000 | 274,951 | |
Comerica, Inc. (Banks) | 3.800% | 07/22/2026 | 200,000 | 220,156 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 4.250% | 09/20/2022 | 200,000 | 206,880 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 5.113% | 05/03/2029 | 200,000 | 214,690 | |
GE Capital Funding LLC (Diversified Financial Svs.) | (a) | 4.400% | 05/15/2030 | 550,000 | 622,684 |
General Motors Financial Co., Inc. (Consumer Finance) | 2.900% | 02/26/2025 | 400,000 | 419,395 | |
General Motors Financial Co., Inc. (Consumer Finance) | 2.700% | 08/20/2027 | 350,000 | 356,568 | |
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.500% | 04/01/2025 | 375,000 | 406,280 | |
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.800% | 03/15/2030 | 700,000 | 770,994 | |
Goldman Sachs Group, Inc. / The (Rate is fixed until 01/27/2031, at which point, the rate becomes SOFR + 109) (Capital Markets) | (b) | 1.992% | 01/27/2032 | 375,000 | 355,892 |
GTCR AP Finance, Inc. (Insurance) | (a) | 8.000% | 05/15/2027 | 50,000 | 53,688 |
Hartford Financial Services Group, Inc. / The (Insurance) | 3.600% | 08/19/2049 | 200,000 | 207,728 | |
HSBC Holdings PLC (Banks) | 3.900% | 05/25/2026 | 900,000 | 992,376 | |
HUB International Ltd. (Insurance) | (a) | 7.000% | 05/01/2026 | 200,000 | 207,682 |
Huntington Bancshares, Inc. (Banks) | 2.550% | 02/04/2030 | 225,000 | 225,567 | |
Hyundai Capital America (Consumer Finance) | (a) | 2.375% | 10/15/2027 | 455,000 | 456,385 |
Jefferies Group LLC (Diversified Financial Svs.) | 2.750% | 10/15/2032 | 105,000 | 102,857 | |
John Deere Capital Corp. (Consumer Finance) | 3.450% | 03/07/2029 | 375,000 | 411,152 | |
JPMorgan Chase & Co. (Rate is fixed until 04/25/2022, at which point, the rate becomes QL + 94) (Banks) | (b) | 2.776% | 04/25/2023 | 350,000 | 358,420 |
JPMorgan Chase & Co. (Banks) | 3.125% | 01/23/2025 | 725,000 | 776,752 | |
JPMorgan Chase & Co. (Rate is fixed until 04/22/2030, at which point, the rate becomes SOFR + 204) (Banks) | (b) | 2.522% | 04/22/2031 | 900,000 | 898,105 |
JPMorgan Chase & Co. (Rate is fixed until 11/19/2030, at which point, the rate becomes SOFR + 111) (Banks) | (b) | 1.764% | 11/19/2031 | 100,000 | 93,269 |
JPMorgan Chase & Co. (Rate is fixed until 02/04/2031, at which point, the rate becomes SOFR + 107) (Banks) | (b) | 1.953% | 02/04/2032 | 210,000 | 199,030 |
LD Holdings Group LLC (Thrifts & Mortgage Finance) | (a) | 6.125% | 04/01/2028 | 25,000 | 25,310 |
Liberty Mutual Group, Inc. (Insurance) | (a) | 3.951% | 10/15/2050 | 225,000 | 232,097 |
Lincoln National Corp. (Insurance) | 4.000% | 09/01/2023 | 200,000 | 216,161 | |
Lincoln National Corp. (Insurance) | 3.050% | 01/15/2030 | 200,000 | 207,075 | |
M&T Bank Corp. (Banks) | 3.550% | 07/26/2023 | 375,000 | 401,424 | |
MetLife, Inc. (Insurance) | 4.050% | 03/01/2045 | 200,000 | 226,890 | |
Morgan Stanley (Capital Markets) | 4.100% | 05/22/2023 | 225,000 | 240,599 | |
Morgan Stanley (Capital Markets) | 6.250% | 08/09/2026 | 225,000 | 276,349 |
78
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Financials (continued) | |||||
Morgan Stanley (Rate is fixed until 01/24/2028, at which point, the rate becomes QL + 114) (Capital Markets) | (b) | 3.772% | 01/24/2029 | $ 700,000 | $ 765,618 |
Morgan Stanley (Rate is fixed until 02/13/2031, at which point, the rate becomes SOFR + 103) (Capital Markets) | (b) | 1.794% | 02/13/2032 | 125,000 | 116,670 |
Morgan Stanley (Rate is fixed until 04/28/2031, at which point, the rate becomes SOFR + 102) (Capital Markets) | (b) | 1.928% | 04/28/2032 | 250,000 | 236,176 |
Nationwide Mutual Insurance Co. (Insurance) | (a) | 4.950% | 04/22/2044 | 160,000 | 172,570 |
Nationwide Mutual Insurance Co. (Insurance) | (a) | 4.350% | 04/30/2050 | 40,000 | 41,987 |
Navient Corp. (Consumer Finance) | 5.500% | 01/25/2023 | 50,000 | 51,875 | |
Navient Corp. (Consumer Finance) | 5.875% | 10/25/2024 | 50,000 | 52,506 | |
Navient Corp. (Consumer Finance) | 4.875% | 03/15/2028 | 25,000 | 24,469 | |
NFP Corp. (Insurance) | (a) | 7.000% | 05/15/2025 | 25,000 | 26,813 |
NFP Corp. (Insurance) | (a) | 6.875% | 08/15/2028 | 100,000 | 103,750 |
Northern Trust Corp. (Capital Markets) | 1.950% | 05/01/2030 | 175,000 | 170,718 | |
Outfront Media Capital LLC / Outfront Media Capital Corp. (Equity REIT) | (a) | 4.250% | 01/15/2029 | 25,000 | 24,068 |
PNC Bank N.A. (Banks) | 3.250% | 01/22/2028 | 250,000 | 269,817 | |
Prudential Financial, Inc. (Insurance) | 3.700% | 03/13/2051 | 300,000 | 317,585 | |
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc. (Thrifts & Mortgage Finance) | (a) | 3.625% | 03/01/2029 | 50,000 | 48,125 |
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc. (Thrifts & Mortgage Finance) | (a) | 3.875% | 03/01/2031 | 25,000 | 24,063 |
Raymond James Financial, Inc. (Capital Markets) | 4.650% | 04/01/2030 | 100,000 | 116,358 | |
Regions Financial Corp. (Banks) | 2.250% | 05/18/2025 | 170,000 | 176,401 | |
Stifel Financial Corp. (Capital Markets) | 4.000% | 05/15/2030 | 200,000 | 215,980 | |
Synovus Bank (Rate is fixed until 02/10/2022, at which point, the rate becomes SOFR + 95) (Banks) | (b) | 2.289% | 02/10/2023 | 250,000 | 252,121 |
Toyota Motor Credit Corp. (Consumer Finance) | 2.700% | 01/11/2023 | 475,000 | 494,187 | |
Travelers Cos., Inc. / The (Insurance) | 2.550% | 04/27/2050 | 300,000 | 268,137 | |
Truist Bank (Banks) | 3.000% | 02/02/2023 | 700,000 | 731,908 | |
U.S. Bancorp (Banks) | 1.375% | 07/22/2030 | 400,000 | 368,770 | |
United Wholesale Mortgage LLC (Thrifts & Mortgage Finance) | (a) | 5.500% | 11/15/2025 | 75,000 | 78,188 |
United Wholesale Mortgage LLC (Thrifts & Mortgage Finance) | (a) | 5.500% | 04/15/2029 | 25,000 | 25,000 |
USI, Inc. (Insurance) | (a) | 6.875% | 05/01/2025 | 125,000 | 127,187 |
Volkswagen Group of America Finance LLC (Consumer Finance) | (a) | 4.250% | 11/13/2023 | 350,000 | 380,376 |
Wells Fargo & Co. (Banks) | 3.750% | 01/24/2024 | 350,000 | 378,478 | |
Wells Fargo & Co. (Banks) | 3.000% | 10/23/2026 | 550,000 | 587,021 | |
Wells Fargo & Co. (Rate is fixed until 02/11/2030, at which point, the rate becomes SOFR + 126) (Banks) | (b) | 2.572% | 02/11/2031 | 725,000 | 728,926 |
| 25,373,270 | |||||
| Health Care–3.7% | |||||
Abbott Laboratories (Health Care Equip. & Supplies) | 3.750% | 11/30/2026 | 225,000 | 252,554 | |
AbbVie, Inc. (Biotechnology) | 3.200% | 11/21/2029 | 225,000 | 239,349 | |
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | (a) | 5.500% | 07/01/2028 | 25,000 | 26,319 |
AdaptHealth LLC (Health Care Providers & Svs.) | (a) | 4.625% | 08/01/2029 | 25,000 | 24,875 |
Agilent Technologies, Inc. (Life Sciences Tools & Svs.) | 2.750% | 09/15/2029 | 100,000 | 102,386 | |
Agilent Technologies, Inc. (Life Sciences Tools & Svs.) | 2.100% | 06/04/2030 | 110,000 | 107,608 | |
Alcon Finance Corp. (Health Care Equip. & Supplies) | (a) | 2.600% | 05/27/2030 | 200,000 | 200,552 |
Amgen, Inc. (Biotechnology) | 3.375% | 02/21/2050 | 375,000 | 374,841 | |
AstraZeneca PLC (Pharmaceuticals) | 2.375% | 06/12/2022 | 125,000 | 127,749 | |
AstraZeneca PLC (Pharmaceuticals) | 3.125% | 06/12/2027 | 400,000 | 430,467 | |
Avantor Funding, Inc. (Health Care Equip. & Supplies) | (a) | 4.625% | 07/15/2028 | 50,000 | 52,218 |
Bausch Health Americas, Inc. (Pharmaceuticals) | (a) | 8.500% | 01/31/2027 | 50,000 | 55,469 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 6.125% | 04/15/2025 | 100,000 | 102,520 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.500% | 11/01/2025 | 50,000 | 51,369 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.000% | 01/30/2028 | 25,000 | 25,313 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.000% | 02/15/2029 | 100,000 | 99,312 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 6.250% | 02/15/2029 | 50,000 | 53,148 |
Bayer U.S. Finance LLC (Pharmaceuticals) | (a) | 3.375% | 10/08/2024 | 375,000 | 404,107 |
Becton Dickinson & Co. (Health Care Equip. & Supplies) | 4.685% | 12/15/2044 | 200,000 | 238,306 | |
Becton Dickinson & Co. (Health Care Equip. & Supplies) | 3.794% | 05/20/2050 | 100,000 | 106,245 | |
Biogen, Inc. (Biotechnology) | 3.150% | 05/01/2050 | 350,000 | 321,426 | |
Bristol-Myers Squibb Co. (Pharmaceuticals) | 0.750% | 11/13/2025 | 120,000 | 118,205 | |
Bristol-Myers Squibb Co. (Pharmaceuticals) | 3.900% | 02/20/2028 | 375,000 | 421,835 | |
Bristol-Myers Squibb Co. (Pharmaceuticals) | 4.250% | 10/26/2049 | 100,000 | 117,788 | |
Centene Corp. (Health Care Providers & Svs.) | 4.250% | 12/15/2027 | 100,000 | 105,188 | |
Centene Corp. (Health Care Providers & Svs.) | 3.000% | 10/15/2030 | 50,000 | 49,917 | |
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 3.750% | 03/15/2029 | 25,000 | 25,040 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 6.625% | 02/15/2025 | 50,000 | 52,781 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 5.625% | 03/15/2027 | 25,000 | 26,187 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 6.875% | 04/15/2029 | 25,000 | 26,172 |
79
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Health Care (continued) | |||||
CVS Health Corp. (Health Care Providers & Svs.) | 2.875% | 06/01/2026 | $ 200,000 | $ 212,306 | |
CVS Health Corp. (Health Care Providers & Svs.) | 4.250% | 04/01/2050 | 425,000 | 477,064 | |
Danaher Corp. (Health Care Equip. & Supplies) | 2.600% | 10/01/2050 | 295,000 | 261,003 | |
DaVita, Inc. (Health Care Providers & Svs.) | (a) | 4.625% | 06/01/2030 | 50,000 | 50,943 |
DENTSPLY SIRONA, Inc. (Health Care Equip. & Supplies) | 3.250% | 06/01/2030 | 110,000 | 115,011 | |
Emergent BioSolutions, Inc. (Biotechnology) | (a) | 3.875% | 08/15/2028 | 25,000 | 24,438 |
Endo DAC / Endo Finance LLC / Endo Finco, Inc. (Pharmaceuticals) | (a) | 9.500% | 07/31/2027 | 5,000 | 5,431 |
Endo DAC / Endo Finance LLC / Endo Finco, Inc. (Pharmaceuticals) | (a) | 6.000% | 06/30/2028 | 25,000 | 20,250 |
Endo Luxembourg Finance Co. I SARL / Endo U.S., Inc. (Pharmaceuticals) | (a) | 6.125% | 04/01/2029 | 25,000 | 25,219 |
Global Medical Response, Inc. (Health Care Providers & Svs.) | (a) | 6.500% | 10/01/2025 | 100,000 | 103,500 |
HCA, Inc. (Health Care Providers & Svs.) | 5.375% | 09/01/2026 | 100,000 | 112,750 | |
HCA, Inc. (Health Care Providers & Svs.) | 3.500% | 09/01/2030 | 150,000 | 151,270 | |
Jaguar Holding Co. II / PPD Development LP (Health Care Providers & Svs.) | (a) | 4.625% | 06/15/2025 | 25,000 | 26,083 |
Jaguar Holding Co. II / PPD Development LP (Health Care Providers & Svs.) | (a) | 5.000% | 06/15/2028 | 25,000 | 26,038 |
Legacy LifePoint Health LLC (Health Care Providers & Svs.) | (a) | 6.750% | 04/15/2025 | 50,000 | 53,125 |
Legacy LifePoint Health LLC (Health Care Providers & Svs.) | (a) | 5.375% | 01/15/2029 | 25,000 | 24,625 |
Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Acquired 05/05/2020, Cost $12,500) (Pharmaceuticals) | (a)(c) | 5.625% | 10/15/2023 | 50,000 | 35,375 |
MEDNAX, Inc. (Health Care Providers & Svs.) | (a) | 6.250% | 01/15/2027 | 25,000 | 26,732 |
Merck & Co., Inc. (Pharmaceuticals) | 3.400% | 03/07/2029 | 450,000 | 496,862 | |
MPH Acquisition Holdings LLC (Health Care Providers & Svs.) | (a) | 5.750% | 11/01/2028 | 75,000 | 73,125 |
Par Pharmaceutical, Inc. (Pharmaceuticals) | (a) | 7.500% | 04/01/2027 | 14,000 | 14,849 |
PerkinElmer, Inc. (Life Sciences Tools & Svs.) | 3.300% | 09/15/2029 | 200,000 | 210,962 | |
PerkinElmer, Inc. (Life Sciences Tools & Svs.) | 2.550% | 03/15/2031 | 165,000 | 163,466 | |
Prestige Brands, Inc. (Pharmaceuticals) | (a) | 5.125% | 01/15/2028 | 75,000 | 78,644 |
Prestige Brands, Inc. (Pharmaceuticals) | (a) | 3.750% | 04/01/2031 | 25,000 | 23,844 |
Regeneron Pharmaceuticals, Inc. (Biotechnology) | 2.800% | 09/15/2050 | 352,000 | 305,063 | |
Royalty Pharma PLC (Pharmaceuticals) | (a) | 3.550% | 09/02/2050 | 235,000 | 223,943 |
Stryker Corp. (Health Care Equip. & Supplies) | 3.500% | 03/15/2026 | 200,000 | 219,416 | |
Syneos Health, Inc. (Life Sciences Tools & Svs.) | (a) | 3.625% | 01/15/2029 | 25,000 | 24,313 |
Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | 2.050% | 03/31/2030 | 200,000 | 192,758 | |
Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | 3.025% | 07/09/2040 | 200,000 | 193,433 | |
Team Health Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.375% | 02/01/2025 | 50,000 | 44,059 |
Teleflex, Inc. (Health Care Equip. & Supplies) | (a) | 4.250% | 06/01/2028 | 25,000 | 25,906 |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 6.750% | 06/15/2023 | 25,000 | 27,097 | |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 4.625% | 07/15/2024 | 50,000 | 51,034 | |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 5.125% | 05/01/2025 | 75,000 | 76,054 | |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 6.125% | 10/01/2028 | 25,000 | 26,094 |
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 2.900% | 05/15/2050 | 320,000 | 306,437 | |
Vizient, Inc. (Health Care Providers & Svs.) | (a) | 6.250% | 05/15/2027 | 25,000 | 26,531 |
Zoetis, Inc. (Pharmaceuticals) | 3.000% | 05/15/2050 | 300,000 | 285,658 | |
| 9,179,957 | |||||
| Industrials–5.2% | |||||
Airbus SE (Aerospace & Defense) | (a) | 3.150% | 04/10/2027 | 375,000 | 398,787 |
Allegion PLC (Building Products) | 3.500% | 10/01/2029 | 400,000 | 420,029 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp. (Commercial Svs. & Supplies) | (a) | 6.625% | 07/15/2026 | 25,000 | 26,512 |
Allied Universal Holdco LLC / Allied Universal Finance Corp. (Commercial Svs. & Supplies) | (a) | 9.750% | 07/15/2027 | 125,000 | 137,150 |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. (Airlines) | (a) | 5.500% | 04/20/2026 | 50,000 | 52,035 |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. (Airlines) | (a) | 5.750% | 04/20/2029 | 25,000 | 26,591 |
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (a) | 5.875% | 05/15/2026 | 25,000 | 25,817 |
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (a) | 4.000% | 01/15/2028 | 25,000 | 25,000 |
BAE Systems PLC (Aerospace & Defense) | (a) | 3.000% | 09/15/2050 | 200,000 | 182,026 |
Boeing Co. / The (Aerospace & Defense) | 2.500% | 03/01/2025 | 200,000 | 204,952 | |
Boeing Co. / The (Aerospace & Defense) | 2.196% | 02/04/2026 | 250,000 | 249,225 | |
Boeing Co. / The (Aerospace & Defense) | 2.950% | 02/01/2030 | 225,000 | 224,374 | |
Boeing Co. / The (Aerospace & Defense) | 5.805% | 05/01/2050 | 300,000 | 377,685 | |
Brink's Co. / The (Commercial Svs. & Supplies) | (a) | 5.500% | 07/15/2025 | 25,000 | 26,406 |
Burlington Northern Santa Fe LLC (Road & Rail) | 3.000% | 04/01/2025 | 175,000 | 188,384 | |
Canadian Pacific Railway Co. (Road & Rail) | 2.050% | 03/05/2030 | 175,000 | 169,064 | |
Carrier Global Corp. (Building Products) | 2.722% | 02/15/2030 | 80,000 | 80,727 | |
Carrier Global Corp. (Building Products) | 2.700% | 02/15/2031 | 165,000 | 164,951 | |
Carrier Global Corp. (Building Products) | 3.577% | 04/05/2050 | 250,000 | 245,499 | |
CNH Industrial N.V. (Machinery) | 3.850% | 11/15/2027 | 375,000 | 414,681 | |
Core & Main LP (Commercial Svs. & Supplies) | (a) | 6.125% | 08/15/2025 | 50,000 | 51,317 |
Cornerstone Building Brands, Inc. (Building Products) | (a) | 8.000% | 04/15/2026 | 75,000 | 78,097 |
Cornerstone Building Brands, Inc. (Building Products) | (a) | 6.125% | 01/15/2029 | 50,000 | 53,250 |
CP Atlas Buyer, Inc. (Building Products) | (a) | 7.000% | 12/01/2028 | 50,000 | 52,552 |
Dun & Bradstreet Corp. / The (Professional Svs.) | (a) | 10.250% | 02/15/2027 | 60,000 | 66,975 |
80
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Industrials (continued) | |||||
Equifax, Inc. (Professional Svs.) | 2.600% | 12/15/2025 | $ 350,000 | $ 366,904 | |
ERAC U.S.A. Finance LLC (Road & Rail) | (a) | 3.850% | 11/15/2024 | 350,000 | 384,054 |
Experian Finance PLC (Professional Svs.) | (a) | 4.250% | 02/01/2029 | 200,000 | 224,439 |
FedEx Corp. (Air Freight & Logistics) | 4.250% | 05/15/2030 | 100,000 | 113,801 | |
FedEx Corp. (Air Freight & Logistics) | 4.050% | 02/15/2048 | 200,000 | 217,960 | |
Foundation Building Materials, Inc. (Trading Companies & Distributors) | (a) | 6.000% | 03/01/2029 | 75,000 | 74,062 |
Garda World Security Corp. (Commercial Svs. & Supplies) | (a) | 4.625% | 02/15/2027 | 25,000 | 25,000 |
GE Capital International Funding Co. Unlimited Co. (Industrial Conglomerates) | 4.418% | 11/15/2035 | 300,000 | 343,428 | |
General Electric Co. (Industrial Conglomerates) | 4.350% | 05/01/2050 | 100,000 | 110,994 | |
H&E Equipment Services, Inc. (Trading Companies & Distributors) | (a) | 3.875% | 12/15/2028 | 50,000 | 48,625 |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. (Airlines) | (a) | 5.750% | 01/20/2026 | 25,000 | 26,565 |
Honeywell International, Inc. (Industrial Conglomerates) | 1.350% | 06/01/2025 | 65,000 | 65,938 | |
Honeywell International, Inc. (Industrial Conglomerates) | 2.800% | 06/01/2050 | 70,000 | 66,323 | |
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | 3.483% | 12/01/2027 | 400,000 | 431,564 | |
IHS Markit Ltd. (Professional Svs.) | 4.750% | 08/01/2028 | 250,000 | 288,760 | |
Interface, Inc. (Commercial Svs. & Supplies) | (a) | 5.500% | 12/01/2028 | 25,000 | 25,844 |
Kansas City Southern (Road & Rail) | 3.500% | 05/01/2050 | 200,000 | 200,280 | |
KAR Auction Services, Inc. (Commercial Svs. & Supplies) | (a) | 5.125% | 06/01/2025 | 75,000 | 76,354 |
Lennox International, Inc. (Building Products) | 3.000% | 11/15/2023 | 375,000 | 395,494 | |
Lockheed Martin Corp. (Aerospace & Defense) | 2.900% | 03/01/2025 | 275,000 | 294,085 | |
Lockheed Martin Corp. (Aerospace & Defense) | 1.850% | 06/15/2030 | 100,000 | 97,376 | |
Masco Corp. (Building Products) | 3.500% | 11/15/2027 | 150,000 | 163,485 | |
Nielsen Finance LLC / Nielsen Finance Co. (Professional Svs.) | (a) | 5.000% | 04/15/2022 | 27,000 | 27,006 |
Nielsen Finance LLC / Nielsen Finance Co. (Professional Svs.) | (a) | 5.625% | 10/01/2028 | 25,000 | 26,281 |
Nielsen Finance LLC / Nielsen Finance Co. (Professional Svs.) | (a) | 5.875% | 10/01/2030 | 50,000 | 54,187 |
Northrop Grumman Corp. (Aerospace & Defense) | 3.250% | 01/15/2028 | 400,000 | 429,096 | |
Otis Worldwide Corp. (Machinery) | 2.565% | 02/15/2030 | 200,000 | 201,439 | |
Otis Worldwide Corp. (Machinery) | 3.112% | 02/15/2040 | 250,000 | 246,115 | |
Penske Truck Leasing Co. LP / PTL Finance Corp. (Road & Rail) | (a) | 3.450% | 07/01/2024 | 350,000 | 377,173 |
Roper Technologies, Inc. (Industrial Conglomerates) | 2.800% | 12/15/2021 | 325,000 | 329,879 | |
Roper Technologies, Inc. (Industrial Conglomerates) | 1.000% | 09/15/2025 | 250,000 | 245,719 | |
Ryder System, Inc. (Road & Rail) | 3.400% | 03/01/2023 | 350,000 | 367,328 | |
Sensata Technologies, Inc. (Electrical Equip.) | (a) | 4.375% | 02/15/2030 | 25,000 | 26,188 |
Sensata Technologies, Inc. (Electrical Equip.) | (a) | 3.750% | 02/15/2031 | 25,000 | 24,649 |
Solaris Midstream Holdings LLC (Commercial Svs. & Supplies) | (a) | 7.625% | 04/01/2026 | 25,000 | 25,563 |
Southwest Airlines Co. (Airlines) | 5.250% | 05/04/2025 | 375,000 | 426,682 | |
Southwest Airlines Co. (Airlines) | 5.125% | 06/15/2027 | 100,000 | 114,967 | |
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. (Professional Svs.) | (a) | 6.750% | 06/01/2025 | 100,000 | 102,187 |
Terex Corp. (Machinery) | (a) | 5.000% | 05/15/2029 | 25,000 | 25,880 |
Textron, Inc. (Aerospace & Defense) | 3.650% | 03/15/2027 | 300,000 | 323,073 | |
TransDigm, Inc. (Aerospace & Defense) | 6.500% | 05/15/2025 | 50,000 | 50,938 | |
TransDigm, Inc. (Aerospace & Defense) | (a) | 6.250% | 03/15/2026 | 75,000 | 79,515 |
TransDigm, Inc. (Aerospace & Defense) | 5.500% | 11/15/2027 | 75,000 | 77,635 | |
TransDigm, Inc. (Aerospace & Defense) | (a) | 4.625% | 01/15/2029 | 25,000 | 24,651 |
Trident TPI Holdings, Inc. (Machinery) | (a) | 9.250% | 08/01/2024 | 75,000 | 79,875 |
Union Pacific Corp. (Road & Rail) | 2.400% | 02/05/2030 | 275,000 | 275,579 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.250% | 01/15/2030 | 50,000 | 54,265 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 3.875% | 02/15/2031 | 25,000 | 25,125 | |
Verisk Analytics, Inc. (Professional Svs.) | 4.125% | 03/15/2029 | 200,000 | 222,251 | |
Watco Cos. LLC / Watco Finance Corp. (Road & Rail) | (a) | 6.500% | 06/15/2027 | 50,000 | 52,700 |
WESCO Distribution, Inc. (Trading Companies & Distributors) | (a) | 7.125% | 06/15/2025 | 25,000 | 27,338 |
WESCO Distribution, Inc. (Trading Companies & Distributors) | (a) | 7.250% | 06/15/2028 | 50,000 | 55,820 |
Westinghouse Air Brake Technologies Corp. (Machinery) | 3.200% | 06/15/2025 | 100,000 | 105,792 | |
White Cap Buyer LLC (Building Products) | (a) | 6.875% | 10/15/2028 | 50,000 | 53,084 |
White Cap Parent LLC (Building Products) | (a)(d) | 8.250%, 9.000% PIK | 03/15/2026 | 25,000 | 26,063 |
Xylem, Inc. (Machinery) | 2.250% | 01/30/2031 | 155,000 | 152,087 | |
| 12,719,551 | |||||
| Information Technology–3.0% | |||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.900% | 09/12/2027 | 200,000 | 215,513 | |
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.375% | 02/08/2041 | 125,000 | 116,132 | |
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.400% | 08/20/2050 | 400,000 | 344,543 | |
BBVA U.S.A. (IT Svs.) | 3.875% | 04/10/2025 | 250,000 | 273,149 | |
Black Knight InfoServ LLC (IT Svs.) | (a) | 3.625% | 09/01/2028 | 25,000 | 24,565 |
Broadcom, Inc. (Semiconductors & Equip.) | 4.150% | 11/15/2030 | 100,000 | 107,936 | |
Broadcom, Inc. (Semiconductors & Equip.) | (a) | 3.419% | 04/15/2033 | 360,000 | 361,031 |
Broadcom, Inc. (Semiconductors & Equip.) | (a) | 3.750% | 02/15/2051 | 25,000 | 23,905 |
BY Crown Parent LLC (Software) | (a) | 7.375% | 10/15/2024 | 50,000 | 50,812 |
BY Crown Parent LLC / BY Bond Finance, Inc. (Software) | (a) | 4.250% | 01/31/2026 | 25,000 | 25,961 |
81
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Information Technology (continued) | |||||
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 4.250% | 04/01/2028 | $ 25,000 | $ 25,875 | |
Cisco Systems, Inc. (Communications Equip.) | 3.625% | 03/04/2024 | 250,000 | 272,970 | |
Dell International LLC / EMC Corp. (Computers & Peripherals) | (a) | 7.125% | 06/15/2024 | 75,000 | 77,203 |
Dell International LLC / EMC Corp. (Computers & Peripherals) | (a) | 5.850% | 07/15/2025 | 350,000 | 408,028 |
Diebold Nixdorf, Inc. (Tech. Hardware, Storage & Periph.) | (a) | 9.375% | 07/15/2025 | 75,000 | 83,531 |
Entegris, Inc. (Semiconductors & Equip.) | (a) | 4.625% | 02/10/2026 | 25,000 | 25,875 |
Fair Isaac Corp. (Software) | (a) | 4.000% | 06/15/2028 | 25,000 | 25,639 |
Fidelity National Information Services, Inc. (IT Svs.) | 1.150% | 03/01/2026 | 60,000 | 58,995 | |
Fidelity National Information Services, Inc. (IT Svs.) | 3.100% | 03/01/2041 | 305,000 | 299,599 | |
Fiserv, Inc. (IT Svs.) | 3.800% | 10/01/2023 | 150,000 | 161,261 | |
Fiserv, Inc. (IT Svs.) | 3.500% | 07/01/2029 | 200,000 | 215,720 | |
Fortinet, Inc. (Software) | 1.000% | 03/15/2026 | 170,000 | 166,209 | |
Gartner, Inc. (IT Svs.) | (a) | 4.500% | 07/01/2028 | 25,000 | 25,781 |
Global Payments, Inc. (IT Svs.) | 1.200% | 03/01/2026 | 160,000 | 157,508 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. (IT Svs.) | (a) | 5.250% | 12/01/2027 | 50,000 | 52,875 |
Keysight Technologies, Inc. (Electronic Equip., Instr. & Comp.) | 3.000% | 10/30/2029 | 250,000 | 259,554 | |
Lam Research Corp. (Semiconductors & Equip.) | 1.900% | 06/15/2030 | 175,000 | 169,605 | |
Leidos, Inc. (IT Svs.) | (a) | 3.625% | 05/15/2025 | 95,000 | 103,075 |
Leidos, Inc. (IT Svs.) | (a) | 4.375% | 05/15/2030 | 250,000 | 277,910 |
Logan Merger Sub, Inc. (Software) | (a) | 5.500% | 09/01/2027 | 50,000 | 52,344 |
Micron Technology, Inc. (Semiconductors & Equip.) | 2.497% | 04/24/2023 | 200,000 | 207,578 | |
Micron Technology, Inc. (Semiconductors & Equip.) | 4.663% | 02/15/2030 | 250,000 | 283,984 | |
Microsoft Corp. (Software) | 2.375% | 05/01/2023 | 200,000 | 207,601 | |
Microsoft Corp. (Software) | 2.525% | 06/01/2050 | 500,000 | 455,287 | |
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 8.125% | 04/15/2025 | 25,000 | 27,375 |
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 5.750% | 09/01/2027 | 50,000 | 52,906 |
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 5.000% | 10/01/2028 | 25,000 | 25,250 |
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 5.125% | 04/15/2029 | 25,000 | 25,188 |
Nuance Communications, Inc. (Software) | 5.625% | 12/15/2026 | 25,000 | 26,219 | |
ON Semiconductor Corp. (Semiconductors & Equip.) | (a) | 3.875% | 09/01/2028 | 25,000 | 25,716 |
Open Text Corp. (Software) | (a) | 3.875% | 02/15/2028 | 25,000 | 25,167 |
Oracle Corp. (Software) | 3.600% | 04/01/2050 | 600,000 | 581,149 | |
PTC, Inc. (Software) | (a) | 4.000% | 02/15/2028 | 25,000 | 25,375 |
Qorvo, Inc. (Semiconductors & Equip.) | 4.375% | 10/15/2029 | 25,000 | 26,688 | |
Qorvo, Inc. (Semiconductors & Equip.) | (a) | 3.375% | 04/01/2031 | 25,000 | 24,497 |
Rocket Software, Inc. (Software) | (a) | 6.500% | 02/15/2029 | 50,000 | 50,450 |
Science Applications International Corp. (IT Svs.) | (a) | 4.875% | 04/01/2028 | 25,000 | 25,844 |
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | (a) | 3.125% | 07/15/2029 | 25,000 | 24,146 |
SS&C Technologies, Inc. (Software) | (a) | 5.500% | 09/30/2027 | 50,000 | 53,252 |
Synaptics, Inc. (Semiconductors & Equip.) | (a) | 4.000% | 06/15/2029 | 25,000 | 24,807 |
TTM Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 4.000% | 03/01/2029 | 25,000 | 24,687 |
Veritas U.S., Inc. / Veritas Bermuda Ltd. (Software) | (a) | 7.500% | 09/01/2025 | 25,000 | 25,966 |
Visa, Inc. (IT Svs.) | 3.150% | 12/14/2025 | 150,000 | 163,605 | |
Visa, Inc. (IT Svs.) | 2.050% | 04/15/2030 | 325,000 | 324,431 | |
Vontier Corp. (Electronic Equip., Instr. & Comp.) | (a) | 1.800% | 04/01/2026 | 165,000 | 164,139 |
| 7,364,411 | |||||
| Materials–1.7% | |||||
Albemarle Corp. (Chemicals) | 4.150% | 12/01/2024 | 125,000 | 137,357 | |
Albemarle Corp. (Chemicals) | 5.450% | 12/01/2044 | 125,000 | 144,197 | |
ARD Finance SA (Containers & Packaging) | (a)(d) | 6.500%, 7.250% PIK | 06/30/2027 | 200,000 | 210,000 |
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 4.000% | 09/01/2029 | 200,000 | 199,674 |
Berry Global, Inc. (Containers & Packaging) | (a) | 5.625% | 07/15/2027 | 75,000 | 79,219 |
Carpenter Technology Corp. (Metals & Mining) | 4.450% | 03/01/2023 | 100,000 | 103,626 | |
Clearwater Paper Corp. (Paper & Forest Products) | (a) | 4.750% | 08/15/2028 | 75,000 | 75,562 |
Cleveland-Cliffs, Inc. (Metals & Mining) | (a) | 4.625% | 03/01/2029 | 25,000 | 24,958 |
Cleveland-Cliffs, Inc. (Metals & Mining) | (a) | 4.875% | 03/01/2031 | 50,000 | 49,875 |
Coeur Mining, Inc. (Metals & Mining) | (a) | 5.125% | 02/15/2029 | 25,000 | 23,899 |
Compass Minerals International, Inc. (Metals & Mining) | (a) | 4.875% | 07/15/2024 | 50,000 | 51,824 |
Compass Minerals International, Inc. (Metals & Mining) | (a) | 6.750% | 12/01/2027 | 25,000 | 26,750 |
Element Solutions, Inc. (Chemicals) | (a) | 3.875% | 09/01/2028 | 25,000 | 24,669 |
Flex Acquisition Co., Inc. (Containers & Packaging) | (a) | 6.875% | 01/15/2025 | 100,000 | 101,520 |
Flex Acquisition Co., Inc. (Containers & Packaging) | (a) | 7.875% | 07/15/2026 | 100,000 | 104,875 |
Freeport-McMoRan, Inc. (Metals & Mining) | 5.000% | 09/01/2027 | 50,000 | 53,130 | |
Freeport-McMoRan, Inc. (Metals & Mining) | 5.400% | 11/14/2034 | 50,000 | 59,526 | |
Graphic Packaging International LLC (Containers & Packaging) | (a) | 3.500% | 03/01/2029 | 25,000 | 24,313 |
HB Fuller Co. (Chemicals) | 4.250% | 10/15/2028 | 25,000 | 25,402 | |
Hexion, Inc. (Chemicals) | (a) | 7.875% | 07/15/2027 | 25,000 | 26,881 |
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. (Chemicals) | (a) | 9.000% | 07/01/2028 | 50,000 | 56,265 |
82
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Materials (continued) | |||||
Koppers, Inc. (Chemicals) | (a) | 6.000% | 02/15/2025 | $ 75,000 | $ 77,309 |
Mauser Packaging Solutions Holding Co. (Containers & Packaging) | (a) | 5.500% | 04/15/2024 | 25,000 | 25,344 |
Mauser Packaging Solutions Holding Co. (Containers & Packaging) | (a) | 7.250% | 04/15/2025 | 25,000 | 25,000 |
Nutrition & Biosciences, Inc. (Chemicals) | (a) | 1.832% | 10/15/2027 | 300,000 | 293,332 |
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 5.375% | 01/15/2025 | 50,000 | 52,688 |
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 6.625% | 05/13/2027 | 25,000 | 27,178 |
Packaging Corp. of America (Containers & Packaging) | 3.650% | 09/15/2024 | 400,000 | 434,822 | |
PPL Capital Funding, Inc. (Chemicals) | 3.950% | 03/15/2024 | 250,000 | 269,937 | |
PPL Capital Funding, Inc. (Chemicals) | 3.100% | 05/15/2026 | 200,000 | 213,137 | |
PQ Corp. (Chemicals) | (a) | 5.750% | 12/15/2025 | 25,000 | 25,625 |
Reliance Steel & Aluminum Co. (Metals & Mining) | 4.500% | 04/15/2023 | 360,000 | 383,934 | |
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer SA (Containers & Packaging) | (a) | 4.000% | 10/15/2027 | 50,000 | 49,000 |
RPM International, Inc. (Chemicals) | 4.550% | 03/01/2029 | 200,000 | 225,013 | |
Standard Industries, Inc. (Building Products) | (a) | 5.000% | 02/15/2027 | 75,000 | 78,187 |
Standard Industries, Inc. (Building Products) | (a) | 3.375% | 01/15/2031 | 50,000 | 47,375 |
W.R. Grace & Co.-Conn (Chemicals) | (a) | 4.875% | 06/15/2027 | 25,000 | 25,880 |
WRKCo, Inc. (Containers & Packaging) | 4.000% | 03/15/2028 | 250,000 | 276,964 | |
| 4,134,247 | |||||
| Real Estate–1.9% | |||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 3.950% | 01/15/2028 | 200,000 | 222,295 | |
Alexandria Real Estate Equities, Inc. (Equity REIT) | 1.875% | 02/01/2033 | 130,000 | 118,196 | |
American Tower Corp. (Equity REIT) | 2.900% | 01/15/2030 | 200,000 | 203,310 | |
American Tower Corp. (Equity REIT) | 2.950% | 01/15/2051 | 210,000 | 185,654 | |
AvalonBay Communities, Inc. (Equity REIT) | 3.350% | 05/15/2027 | 375,000 | 407,128 | |
Boston Properties LP (Equity REIT) | 3.650% | 02/01/2026 | 200,000 | 218,307 | |
Camden Property Trust (Equity REIT) | 2.800% | 05/15/2030 | 200,000 | 205,164 | |
Crown Castle International Corp. (Equity REIT) | 3.300% | 07/01/2030 | 150,000 | 157,012 | |
Crown Castle International Corp. (Equity REIT) | 2.250% | 01/15/2031 | 105,000 | 100,921 | |
Crown Castle International Corp. (Equity REIT) | 3.250% | 01/15/2051 | 250,000 | 230,118 | |
Cushman & Wakefield U.S. Borrower LLC (Real Estate Mgmt. & Development) | (a) | 6.750% | 05/15/2028 | 25,000 | 27,031 |
Healthcare Trust of America Holdings LP (Equity REIT) | 2.000% | 03/15/2031 | 225,000 | 209,496 | |
Kimco Realty Corp. (Equity REIT) | 2.700% | 10/01/2030 | 250,000 | 248,785 | |
Mid-America Apartments LP (Equity REIT) | 4.000% | 11/15/2025 | 375,000 | 416,094 | |
Prologis LP (Equity REIT) | 2.250% | 04/15/2030 | 360,000 | 355,960 | |
Regency Centers LP (Equity REIT) | 2.950% | 09/15/2029 | 350,000 | 356,008 | |
UDR, Inc. (Equity REIT) | 3.500% | 01/15/2028 | 375,000 | 401,541 | |
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 4.250% | 12/01/2026 | 50,000 | 51,154 |
Welltower, Inc. (Equity REIT) | 4.250% | 04/01/2026 | 175,000 | 196,600 | |
WP Carey, Inc. (Equity REIT) | 3.850% | 07/15/2029 | 175,000 | 188,192 | |
WP Carey, Inc. (Equity REIT) | 2.400% | 02/01/2031 | 120,000 | 114,818 | |
| 4,613,784 | |||||
| Utilities–2.5% | |||||
Ameren Corp. (Multi-Utilities) | 1.750% | 03/15/2028 | 500,000 | 483,287 | |
American Electric Power Co., Inc. (Electric Utilities) | 3.200% | 11/13/2027 | 375,000 | 404,326 | |
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.500% | 05/20/2025 | 25,000 | 27,188 | |
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.750% | 05/20/2027 | 25,000 | 27,250 | |
Avangrid, Inc. (Electric Utilities) | 3.800% | 06/01/2029 | 275,000 | 302,509 | |
Berkshire Hathaway Energy Co. (Multi-Utilities) | 4.050% | 04/15/2025 | 250,000 | 275,848 | |
Black Hills Corp. (Multi-Utilities) | 2.500% | 06/15/2030 | 120,000 | 117,893 | |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 5.250% | 06/01/2026 | 50,000 | 51,413 |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 5.000% | 02/01/2031 | 50,000 | 48,800 |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 3.750% | 03/01/2031 | 25,000 | 23,828 |
Dominion Energy, Inc. (Multi-Utilities) | 1.450% | 04/15/2026 | 120,000 | 119,520 | |
Dominion Energy, Inc. (Multi-Utilities) | 3.375% | 04/01/2030 | 250,000 | 266,180 | |
Duke Energy Corp. (Electric Utilities) | 3.750% | 09/01/2046 | 225,000 | 226,277 | |
Duke Energy Corp. (Electric Utilities) | 4.200% | 06/15/2049 | 250,000 | 265,009 | |
Eastern Energy Gas Holdings LLC (Multi-Utilities) | 3.900% | 11/15/2049 | 150,000 | 153,089 | |
Emera U.S. Finance LP (Electric Utilities) | 3.550% | 06/15/2026 | 200,000 | 216,872 | |
Emera U.S. Finance LP (Electric Utilities) | 4.750% | 06/15/2046 | 200,000 | 222,948 | |
Eversource Energy (Electric Utilities) | 3.350% | 03/15/2026 | 220,000 | 237,094 | |
Exelon Corp. (Electric Utilities) | 4.050% | 04/15/2030 | 400,000 | 445,712 | |
FirstEnergy Corp. (Electric Utilities) | 2.650% | 03/01/2030 | 250,000 | 237,736 | |
National Fuel Gas Co. (Gas Utilities) | 5.500% | 01/15/2026 | 250,000 | 285,710 | |
National Fuel Gas Co. (Gas Utilities) | 2.950% | 03/01/2031 | 170,000 | 163,704 | |
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 2.750% | 05/01/2025 | 210,000 | 221,916 | |
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 3.550% | 05/01/2027 | 200,000 | 219,505 | |
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 2.250% | 06/01/2030 | 200,000 | 195,681 |
83
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
| Utilities (continued) | |||||
NRG Energy, Inc. (Electric Utilities) | 5.750% | 01/15/2028 | $ 50,000 | $ 53,125 | |
NRG Energy, Inc. (Electric Utilities) | (a) | 3.625% | 02/15/2031 | 25,000 | 24,375 |
Pattern Energy Operations LP / Pattern Energy Operations, Inc. (Ind. Power & Renewable Elec.) | (a) | 4.500% | 08/15/2028 | 25,000 | 25,406 |
Southern Co. / The (Rate is fixed until 01/15/2026, at which point, the rate becomes H15T5Y + 373) (Electric Utilities) | (b) | 4.000% | 01/15/2051 | 450,000 | 474,862 |
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.750% | 03/01/2025 | 50,000 | 50,813 | |
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.875% | 03/01/2027 | 25,000 | 26,000 | |
TerraForm Power Operating LLC (Ind. Power & Renewable Elec.) | (a) | 5.000% | 01/31/2028 | 75,000 | 80,929 |
Vistra Operations Co. LLC (Ind. Power & Renewable Elec.) | (a) | 5.500% | 09/01/2026 | 50,000 | 51,812 |
WEC Energy Group, Inc. (Multi-Utilities) | 0.800% | 03/15/2024 | 220,000 | 219,940 | |
| 6,246,557 | |||||
Total Corporate Bonds (Cost $109,088,749) | $109,661,473 |
| U.S. Treasury Obligations–19.7% | Rate | Maturity | Face Amount | Value | |
U.S. Treasury Note | 0.125% | 04/30/2022 | $10,050,000 | $ 10,053,926 | |
U.S. Treasury Note | 0.125% | 06/30/2022 | 2,400,000 | 2,400,563 | |
U.S. Treasury Note | 0.125% | 12/31/2022 | 1,000,000 | 999,570 | |
U.S. Treasury Note | 0.125% | 03/31/2023 | 950,000 | 949,369 | |
U.S. Treasury Note | 0.250% | 04/15/2023 | 5,500,000 | 5,507,949 | |
U.S. Treasury Note | 0.375% | 04/30/2025 | 9,900,000 | 9,775,863 | |
U.S. Treasury Note | 0.375% | 12/31/2025 | 3,000,000 | 2,929,805 | |
U.S. Treasury Note | 0.375% | 01/31/2026 | 1,700,000 | 1,657,898 | |
U.S. Treasury Note | 0.750% | 03/31/2026 | 675,000 | 669,146 | |
U.S. Treasury Note | (e) | 0.500% | 04/30/2027 | 3,200,000 | 3,064,750 |
U.S. Treasury Note | 1.250% | 03/31/2028 | 425,000 | 420,617 | |
U.S. Treasury Note | 1.125% | 02/15/2031 | 300,000 | 283,453 | |
U.S. Treasury Note | 1.375% | 11/15/2040 | 525,000 | 446,578 | |
U.S. Treasury Note | 1.875% | 02/15/2041 | 125,000 | 116,387 | |
U.S. Treasury Note | 2.000% | 02/15/2050 | 3,750,000 | 3,429,345 | |
U.S. Treasury Note | 1.875% | 02/15/2051 | 475,000 | 421,563 | |
United States Treasury Inflation Indexed Bond | 0.125% | 07/15/2030 | 1,657,679 | 1,799,121 | |
United States Treasury Inflation Indexed Bond | 0.125% | 01/15/2031 | 803,784 | 865,188 | |
United States Treasury Inflation Indexed Bond | 0.250% | 02/15/2050 | 2,466,977 | 2,575,935 | |
Total U.S. Treasury Obligations (Cost $50,140,290) | $48,367,026 |
| U.S. Government Agency Mortgage-Backed Securities–16.8% | Rate | Maturity | Face Amount | Value | |
Fannie Mae Pool FN BM4333 | 3.500% | 12/01/2047 | $ 2,058,022 | $ 2,194,142 | |
Fannie Mae Pool FN BP1938 | 2.500% | 04/01/2050 | 2,194,729 | 2,254,261 | |
Fannie Mae Pool FN BP2797 | 2.500% | 05/01/2050 | 2,090,968 | 2,147,685 | |
Fannie Mae Pool FN BR1844 | 2.500% | 01/01/2051 | 1,493,174 | 1,538,685 | |
Fannie Mae Pool FN CA4819 | 4.000% | 12/01/2049 | 1,822,717 | 1,989,356 | |
Fannie Mae Pool FN CA5348 | 3.500% | 03/01/2050 | 3,096,632 | 3,312,442 | |
Fannie Mae Pool FN CA5549 | 3.000% | 04/01/2050 | 3,208,762 | 3,341,846 | |
Fannie Mae Pool FN CA7231 | 2.500% | 10/01/2050 | 952,869 | 979,412 | |
Fannie Mae Pool FN CA8118 | 2.000% | 12/01/2050 | 2,225,578 | 2,224,295 | |
Fannie Mae Pool FN FM2778 | 3.000% | 03/01/2050 | 3,487,511 | 3,673,098 | |
Fannie Mae Pool FN FM3734 | 3.500% | 09/01/2049 | 1,785,188 | 1,920,270 | |
Fannie Mae Pool FN MA4095 | 2.000% | 08/01/2035 | 2,505,058 | 2,573,057 | |
Freddie Mac Pool FR QB4932 | 1.500% | 11/01/2050 | 986,293 | 953,657 | |
Freddie Mac Pool FR RA3357 | 2.000% | 08/01/2050 | 1,475,432 | 1,473,673 | |
Freddie Mac Pool FR SD0451 | 3.000% | 10/01/2050 | 2,661,159 | 2,810,595 | |
Freddie Mac Pool FR SD7505 | 4.500% | 08/01/2049 | 1,421,002 | 1,576,942 | |
Freddie Mac Pool FR SD7514 | 3.500% | 04/01/2050 | 2,606,834 | 2,796,248 | |
Freddie Mac Pool FR SD8135 | 2.500% | 03/01/2051 | 747,162 | 767,428 | |
Freddie Mac Pool FR SD8141 | 2.500% | 04/01/2051 | 1,500,000 | 1,540,688 | |
Freddie Mac Pool FR ZT1257 | 3.000% | 01/01/2046 | 1,014,830 | 1,081,385 | |
Total U.S. Government Agency Mortgage-Backed Securities (Cost $41,658,798) | $41,149,165 |
| Investment Companies–9.2% | Shares | Value | |
Federated Hermes Core Trust - Emerging Markets Core Fund (Acquired 05/01/2020 through 03/26/2021, Cost $8,784,521) | (f)(g) | 921,398 | $ 9,232,408 |
Federated Hermes Core Trust - Federated Bank Loan Core Fund (Acquired 05/01/2020 through 01/05/2021, Cost $5,750,000) | (f)(g) | 625,936 | 6,021,501 |
Federated Hermes Core Trust III - Federated Project and Trade Finance Core Fund (Acquired 05/01/2020 through 01/05/2021, Cost $7,050,000) | (g)(h) | 811,147 | 7,170,541 |
Total Investment Companies (Cost $21,584,522) | $22,424,450 |
84
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
| Asset-Backed / Mortgage-Backed Securities–5.6% | Rate | Maturity | Face Amount | Value | |
| Financials–5.6% | |||||
AmeriCredit Automobile Receivables Trust 2020-2 D | 2.130% | 03/18/2026 | $ 180,000 | $ 185,321 | |
AmeriCredit Automobile Receivables Trust 2020-3 D | 1.490% | 09/18/2026 | 175,000 | 175,792 | |
Benchmark 2020-B19 A5 | 1.850% | 09/15/2053 | 1,150,000 | 1,103,322 | |
Carmax Auto Owner Trust 2021-1 D | 1.280% | 07/15/2027 | 100,000 | 98,821 | |
Chesapeake Funding II LLC 2020-1A D | (a) | 2.830% | 08/16/2032 | 150,000 | 155,830 |
CNH Equipment Trust 2020-A A3 | 1.160% | 06/16/2025 | 260,000 | 262,666 | |
Ford Credit Auto Lease Trust 2020-B C | 1.700% | 02/15/2025 | 335,000 | 341,834 | |
Ford Credit Auto Owner Trust 2020-B B | 1.190% | 01/15/2026 | 500,000 | 506,569 | |
Ford Credit Floorplan Master Owner Trust A 2020-1 D | 2.120% | 09/15/2025 | 395,000 | 404,887 | |
Freddie Mac Multifamily Structured Pass Through Certificates K108 A2 | 1.517% | 03/25/2030 | 400,000 | 389,870 | |
Freddie Mac Multifamily Structured Pass Through Certificates K109 A2 | 1.558% | 04/25/2030 | 400,000 | 390,561 | |
GM Financial Automobile Leasing Trust 2020-2 C | 2.560% | 07/22/2024 | 375,000 | 387,839 | |
GM Financial Consumer Automobile Receivables Trust 2020-3 C | 1.370% | 01/16/2026 | 180,000 | 183,016 | |
GM Financial Consumer Automobile Receivables Trust 2020-3 D | 1.910% | 09/16/2027 | 400,000 | 406,310 | |
GMF Floorplan Owner Revolving Trust 2020-1 C | (a) | 1.480% | 08/15/2025 | 100,000 | 101,600 |
HPEFS Equipment Trust 2020-2A C | (a) | 2.000% | 07/22/2030 | 525,000 | 536,713 |
HPEFS Equipment Trust 2020-2A D | (a) | 2.790% | 07/22/2030 | 750,000 | 776,855 |
Hyundai Auto Receivables Trust 2020-B C | 1.600% | 12/15/2026 | 150,000 | 152,485 | |
MMAF Equipment Finance LLC 2020-A A5 | (a) | 1.560% | 10/09/2042 | 750,000 | 750,504 |
Navient Private Education Refi Loan Trust 2020-FA A | (a) | 1.220% | 07/15/2069 | 349,999 | 351,414 |
Navistar Financial Dealer Note Master Trust 2020-1 D | (a) | ML + 290 | 07/25/2025 | 275,000 | 278,522 |
PFS Financing Corp. 2020-E A | (a) | 1.000% | 10/15/2025 | 625,000 | 628,756 |
PFS Financing Corp. 2020-G B | (a) | 1.570% | 02/15/2026 | 310,000 | 313,937 |
Santander Consumer Auto Receivables Trust 2020-BA D | (a) | 2.140% | 12/15/2026 | 200,000 | 202,577 |
Santander Drive Auto Receivables Trust 2020-2 D | 2.220% | 09/15/2026 | 450,000 | 461,810 | |
Santander Drive Auto Receivables Trust 2020-3 D | 1.640% | 11/16/2026 | 750,000 | 760,984 | |
Sierra Timeshare 2020-2A A | (a) | 1.330% | 07/20/2037 | 525,164 | 529,311 |
SMB Private Education Loan Trust 2020-B A1A | (a) | 1.290% | 07/15/2053 | 719,482 | 720,934 |
Tesla Auto Lease Trust 2020-A C | (a) | 1.680% | 02/20/2024 | 330,000 | 334,432 |
Tesla Auto Lease Trust 2020-A D | (a) | 2.330% | 02/20/2024 | 100,000 | 102,303 |
Toyota Auto Loan Extended Note Trust 2020-1A A | (a) | 1.350% | 05/25/2033 | 700,000 | 710,107 |
World Omni Auto Receivables Trust 2020-B B | 1.220% | 03/16/2026 | 750,000 | 757,820 | |
World Omni Select Auto Trust 2020-A D | 1.700% | 10/15/2026 | 250,000 | 250,752 | |
Total Asset-Backed / Mortgage-Backed Securities (Cost $13,664,629) | $13,714,454 |
| Sovereign Issues–0.7% | Rate | Maturity | Face Amount | Value | |
Colombia Government International Bond | 4.500% | 03/15/2029 | $ 375,000 | $ 409,035 | |
Colombia Government International Bond | 3.000% | 01/30/2030 | 250,000 | 244,842 | |
Mexico Government International Bond | 3.750% | 01/11/2028 | 350,000 | 374,248 | |
Mexico Government International Bond | 4.500% | 01/31/2050 | 400,000 | 405,292 | |
Republic of Poland Government International Bond | 4.000% | 01/22/2024 | 200,000 | 219,000 | |
Total Sovereign Issues (Cost $1,634,366) | $1,652,417 |
| U.S. Government Agency Issues–0.4% | Rate | Maturity | Face Amount | Value | |
Federal Farm Credit Banks Funding Corp. | 0.700% | 01/27/2027 | $ 1,000,000 | $ 973,694 | |
Total U.S. Government Agency Issues (Cost $1,000,000) | $973,694 |
| Money Market Funds–2.7% | Shares | Value | |
State Street Institutional Liquid Reserves Fund Institutional Class, 0.069% | (i) | 6,713,662 | $ 6,715,676 |
Total Money Market Funds (Cost $6,715,676) | $6,715,676 | ||
Total Investments – 99.9% (Cost $245,487,030) | (j) | $244,658,355 | |
Other Assets in Excess of Liabilities – 0.1% | 327,924 | ||
| Net Assets – 100.0% | $244,986,279 |
85
(continued)
| Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
| Schedule of Investments | March 31, 2021 (Unaudited) |
Percentages are stated as a percent of net assets. |
| Abbreviations: | ||
| H15T5Y: | U.S. Treasury Yield Curve Rate T-Note Constant Maturity 5 Year, 0.920% at 03/31/2021 | |
| ML: | Monthly U.S. LIBOR Rate, 0.111% at 03/31/2021 | |
| PIK: | Payment-in-Kind | |
| QL: | Quarterly U.S. LIBOR Rate, 0.194% at 03/31/2021 | |
| SOFR: | Secured Overnight Financing Rate, 0.010% at 03/31/2021 | |
| Footnotes: | ||
| (a) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At March 31, 2021, the value of these securities totaled $28,530,125, or 11.6% of the Portfolio’s net assets. | |
| (b) | Security is a fixed-then-variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated, including interest rate caps and floors, if any, are those in effect at March 31, 2021. | |
| (c) | Represents a security that is in default and deemed to be non-income producing. | |
| (d) | Issuer of the security has the option to make coupon payments in cash or in additional par value of this bond (Payment-in-Kind). | |
| (e) | Security is partially pledged as collateral for the futures contracts outstanding at March 31, 2021. The market value pledged totaled $337,110. See also the following Schedule of Open Futures Contracts. | |
| (f) | Shares of this fund have not been registered and are issued in reliance on Section 4(a)(2) and Regulation D of the Securities Act of 1933. Investments in this fund may only be made by investment companies, insurance company separate accounts, common or commingled trust funds or similar organizations or entities that are “accredited investors” within the meaning of Regulation D of the 1933 Act. | |
| (g) | Represents a security deemed to be restricted. At March 31, 2021, the value of restricted securities in the Portfolio totaled $22,424,450, or 9.2% of the Portfolio’s net assets. | |
| (h) | Open-end extended payment fund. Beneficial interests in this fund are issued solely in private placement transactions which do not involve any “public offering” within the meaning of Section 4(a)(2) and Regulation D of the Securities Act of 1933. Investments in this fund may only be made by organizations or entities that are “accredited investors” within the meaning of Regulation D of the 1933 Act and that are also “qualified purchasers” as defined in Section 2(a)(51) of the Investment Company Act of 1940, as amended (“Eligible Investors”). This fund has adopted policies to limit the transfer of its shares, which may occur only pursuant to authorization by this fund's Board of Directors, and only to Eligible Investors.When a redeeming shareholder of this fund presents shares to the fund's transfer agent in proper order for redemption, the fund will have up to 31 days to make payment to the redeeming shareholder. The price of redeemed shares will be determined as of the closing net asset value of the fund 24 days after receipt of a shareholder redemption request or, if such date is a weekend or holiday, on the preceding business day. The fund's NAV is calculated each day the NYSE is open. | |
| (i) | Rate represents the seven-day yield at March 31, 2021. | |
| (j) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 4 of the Notes to Schedules of Investments. | |
The accompanying notes are an integral part of these financial statements.
| Schedule of Open Futures Contracts | March 31, 2021 (Unaudited) |
Long Futures Contracts
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CBT 2-Year U.S. Treasury Note - Long | 75 | June 30, 2021 | $16,561,717 | $16,554,492 | $(7,225) | $(3,516) |
Short Futures Contracts
| Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
| CBT U.S. Ultra Bond - Short | 35 | June 21, 2021 | $(6,560,133) | $(6,342,656) | $217,477 | $40,469 | ||||||
| CBT 10-Year U.S. Ultra Bond - Short | 14 | June 21, 2021 | (2,029,093) | (2,011,625) | 17,468 | 4,813 | ||||||
| $(8,589,226) | $(8,354,281) | $234,945 | $45,282 | |||||||||
| Total Futures Contracts | $7,972,491 | $8,200,211 | $227,720 | $41,766 |
The accompanying notes are an integral part of these financial statements.
86
| Ohio National Fund, Inc. | ON Moderately Conservative Model Portfolio |
| Schedule of Investments in Unaffiliated Issuers | March 31, 2021 (Unaudited) |
| Open-End Mutual Funds–39.6% | Shares | Value | |
DFA Emerging Markets Portfolio Institutional | 129,521 | $ 4,423,129 | |
DFA International Core Equity Portfolio Institutional | 573,731 | 8,852,673 | |
PIMCO Low Duration Institutional | 2,374,801 | 23,581,779 | |
PIMCO Total Return Institutional | 3,753,668 | 38,362,488 | |
Vanguard International Growth Fund Admiral Class | 18,569 | 2,945,781 | |
Western Asset Core Plus Bond IS | 3,222,345 | 38,378,122 | |
Total Open-End Mutual Funds | $116,543,972 | ||
Total Investments in Securities of Unaffiliated Issuers – 39.6% (Cost $112,198,312) | $116,543,972 | ||
| Total Investments in Affiliates – 60.4% (Cost $149,974,361) (see schedule below) | 178,219,786 | ||
| Liabilities in Excess of Other Assets – 0.0% | (110,603) | ||
| Net Assets – 100.0% | $294,653,155 |
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of these financial statements.
| Schedule of Investments in Affiliates | March 31, 2021 (Unaudited) |
| Affiliate | Value at January 1, 2021 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Shares at March 31, 2021 | Value at March 31, 2021 | ||||
| Open-End Mutual Funds – 60.4% | ||||||||||||
Fidelity Advisor® Real Estate I | (a) | $3,034,303 | $116,568 | $436,529 | $(9,806) | $241,246 | $446 | 138,495 | $2,945,782 | |||
ON BlackRock Advantage International Equity Portfolio | (a) | 13,654,362 | 118,995 | 1,046,076 | 114,503 | 414,233 | — | 774,753 | 13,256,017 | |||
ON BlackRock Advantage Large Cap Core Portfolio | (a) | 6,068,605 | 70,928 | 597,550 | 85,993 | 263,587 | — | 143,907 | 5,891,563 | |||
ON BlackRock Advantage Large Cap Value Portfolio | (a) | 15,171,513 | 231,787 | 2,230,604 | 445,893 | 1,110,319 | — | 695,744 | 14,728,908 | |||
ON Bond Portfolio | (a) | 21,240,118 | 540,130 | 177,299 | 26,247 | (1,008,725) | — | 1,039,338 | 20,620,471 | |||
ON Federated Core Plus Bond Portfolio | (a) | 30,343,026 | 9,373,697 | 537,736 | 17,369 | (901,196) | — | 3,765,502 | 38,295,160 | |||
ON Federated High Income Bond Portfolio | (a) | 15,171,513 | 194,020 | 830,931 | 121,157 | 73,149 | — | 671,633 | 14,728,908 | |||
ON Janus Henderson Enterprise Portfolio | (a) | 3,034,303 | 43,845 | 286,595 | 83,827 | 70,402 | — | 49,187 | 2,945,782 | |||
ON Janus Henderson Forty Portfolio | (a) | 3,034,303 | 45,487 | 162,403 | 57,742 | (29,347) | — | 83,167 | 2,945,782 | |||
ON Janus Henderson Venture Portfolio | (a) | 3,034,303 | 140,977 | 285,763 | 73,338 | (17,073) | — | 65,215 | 2,945,782 | |||
ON Nasdaq-100® Index Portfolio | (a) | 6,068,605 | 92,797 | 379,838 | 134,685 | (24,686) | — | 206,360 | 5,891,563 | |||
ON S&P 500® Index Portfolio | (a) | 39,445,934 | 410,055 | 3,906,822 | 971,106 | 1,374,887 | — | 932,209 | 38,295,160 | |||
ON S&P MidCap 400® Index Portfolio | (a) | 15,171,513 | 97,106 | 2,478,615 | 732,041 | 1,206,863 | — | 598,980 | 14,728,908 | |||
Total Open-End Mutual Funds | $2,854,095 | $2,773,659 | $446 | $178,219,786 |
Percentages are stated as a percent of net assets. |
| Footnotes: | ||
| (a) | Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person”, as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding at March 31, 2021. | |
The accompanying notes are an integral part of these financial statements.
87
| Ohio National Fund, Inc. | ON Balanced Model Portfolio |
| Schedule of Investments in Unaffiliated Issuers | March 31, 2021 (Unaudited) |
| Open-End Mutual Funds–34.0% | Shares | Value | |
DFA Emerging Markets Portfolio Institutional | 1,300,637 | $ 44,416,744 | |
DFA International Core Equity Portfolio Institutional | 2,880,731 | 44,449,673 | |
PIMCO Low Duration Institutional | 6,707,108 | 66,601,584 | |
PIMCO Total Return Institutional | 8,698,319 | 88,896,816 | |
Vanguard International Growth Fund Admiral Class | 209,776 | 33,278,919 | |
Western Asset Core Plus Bond IS | 8,400,229 | 100,046,731 | |
Total Open-End Mutual Funds | $377,690,467 | ||
Total Investments in Securities of Unaffiliated Issuers – 34.0% (Cost $346,428,562) | $377,690,467 | ||
| Total Investments in Affiliates – 66.0% (Cost $577,816,752) (see schedule below) | 732,136,222 | ||
| Liabilities in Excess of Other Assets – 0.0% | (370,674) | ||
| Net Assets – 100.0% | $1,109,456,015 |
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of these financial statements.
| Schedule of Investments in Affiliates | March 31, 2021 (Unaudited) |
| Affiliate | Value at January 1, 2021 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Shares at March 31, 2021 | Value at March 31, 2021 | ||||
| Open-End Mutual Funds – 66.0% | ||||||||||||
Fidelity Advisor® Real Estate I | (a) | $11,276,978 | $1,674 | $1,037,709 | $(77,996) | $930,026 | $1,674 | 521,531 | $11,092,973 | |||
ON BlackRock Advantage International Equity Portfolio | (a) | 90,215,828 | — | 4,954,550 | 535,425 | 2,947,082 | — | 5,186,662 | 88,743,785 | |||
ON BlackRock Advantage Large Cap Core Portfolio | (a) | 22,553,957 | — | 1,676,491 | 379,899 | 928,581 | — | 541,914 | 22,185,946 | |||
ON BlackRock Advantage Large Cap Growth Portfolio | (a) | 22,553,957 | 1,725 | 681,180 | 207,833 | 103,611 | — | 602,061 | 22,185,946 | |||
ON BlackRock Advantage Large Cap Value Portfolio | (a) | 67,661,871 | — | 8,127,339 | 1,753,184 | 5,270,122 | — | 3,143,970 | 66,557,838 | |||
ON BlackRock Advantage Small Cap Growth Portfolio | (a) | 22,553,957 | 628,492 | 2,167,254 | 800,476 | 370,275 | — | 507,804 | 22,185,946 | |||
ON Bond Portfolio | (a) | 56,384,892 | 1,806,354 | 156,304 | 24,388 | (2,594,465) | — | 2,795,608 | 55,464,865 | |||
ON Federated Core Plus Bond Portfolio | (a) | 90,215,828 | 1,420,744 | 316,083 | 13,764 | (2,590,468) | — | 8,726,036 | 88,743,785 | |||
ON Federated High Income Bond Portfolio | (a) | 33,830,935 | 2,603 | 987,934 | 155,486 | 277,829 | — | 1,517,506 | 33,278,919 | |||
ON Janus Henderson Enterprise Portfolio | (a) | 11,276,978 | — | 755,311 | 222,766 | 348,540 | — | 185,222 | 11,092,973 | |||
ON Janus Henderson Forty Portfolio | (a) | 22,553,957 | 877 | 565,852 | 247,565 | (50,601) | — | 626,368 | 22,185,946 | |||
ON Janus Henderson Venture Portfolio | (a) | 11,276,978 | 230,820 | 606,523 | 235,645 | (43,947) | — | 245,583 | 11,092,973 | |||
ON Nasdaq-100® Index Portfolio | (a) | 22,553,957 | 2,038 | 763,666 | 272,946 | 120,671 | — | 777,091 | 22,185,946 | |||
ON S&P 500® Index Portfolio | (a) | 157,877,698 | — | 12,034,456 | 3,381,277 | 6,077,104 | — | 3,780,468 | 155,301,623 | |||
ON S&P MidCap 400® Index Portfolio | (a) | 101,492,806 | — | 14,736,944 | 4,037,598 | 9,043,298 | — | 4,060,055 | 99,836,758 | |||
Total Open-End Mutual Funds | $12,190,256 | $21,137,658 | $1,674 | $732,136,222 |
Percentages are stated as a percent of net assets. |
| Footnotes: | ||
| (a) | Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person”, as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding at March 31, 2021. | |
The accompanying notes are an integral part of these financial statements.
88
| Ohio National Fund, Inc. | ON Moderate Growth Model Portfolio |
| Schedule of Investments in Unaffiliated Issuers | March 31, 2021 (Unaudited) |
| Open-End Mutual Funds–23.5% | Shares | Value | |
DFA Emerging Markets Portfolio Institutional | 2,301,744 | $ 78,604,548 | |
DFA International Core Equity Portfolio Institutional | 7,647,099 | 117,994,743 | |
PIMCO Low Duration Institutional | 2,967,415 | 29,466,435 | |
PIMCO Total Return Institutional | 1,924,181 | 19,665,125 | |
Vanguard International Growth Fund Admiral Class | 494,994 | 78,525,894 | |
Western Asset Core Plus Bond IS | 11,562,374 | 137,707,872 | |
Total Open-End Mutual Funds | $461,964,617 | ||
Total Investments in Securities of Unaffiliated Issuers – 23.5% (Cost $403,097,028) | $461,964,617 | ||
| Total Investments in Affiliates – 76.5% (Cost $1,153,571,212) (see schedule below) | 1,501,807,731 | ||
| Liabilities in Excess of Other Assets – 0.0% | (719,648) | ||
| Net Assets – 100.0% | $1,963,052,700 |
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of these financial statements.
| Schedule of Investments in Affiliates | March 31, 2021 (Unaudited) |
| Affiliate | Value at January 1, 2021 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Shares at March 31, 2021 | Value at March 31, 2021 | ||||
| Open-End Mutual Funds – 76.5% | ||||||||||||
Fidelity Advisor® Real Estate I | (a) | $19,878,241 | $2,933 | $1,744,663 | $(153,774) | $1,648,737 | $2,932 | 922,965 | $19,631,474 | |||
ON BlackRock Advantage International Equity Portfolio | (a) | 178,904,172 | — | 9,112,776 | 969,247 | 5,922,620 | — | 10,326,316 | 176,683,263 | |||
ON BlackRock Advantage Large Cap Core Portfolio | (a) | 79,512,965 | — | 5,588,018 | 2,010,803 | 2,590,144 | — | 1,918,073 | 78,525,894 | |||
ON BlackRock Advantage Large Cap Growth Portfolio | (a) | 59,634,724 | — | 1,566,736 | 717,452 | 108,981 | — | 1,598,220 | 58,894,421 | |||
ON BlackRock Advantage Large Cap Value Portfolio | (a) | 139,147,689 | — | 16,113,447 | 3,287,970 | 11,098,103 | — | 6,491,276 | 137,420,315 | |||
ON BlackRock Advantage Small Cap Growth Portfolio | (a) | 59,634,724 | 2,363,813 | 6,210,278 | 2,287,781 | 818,381 | — | 1,348,007 | 58,894,421 | |||
ON Bond Portfolio | (a) | 69,573,845 | 2,555,492 | 250,695 | 38,881 | (3,207,365) | — | 3,463,214 | 68,710,158 | |||
ON Federated Core Plus Bond Portfolio | (a) | 119,269,448 | 2,478,044 | 555,494 | 23,353 | (3,426,509) | — | 11,581,990 | 117,788,842 | |||
ON Federated High Income Bond Portfolio | (a) | 39,756,483 | — | 1,001,897 | 154,100 | 354,261 | — | 1,790,376 | 39,262,947 | |||
ON Janus Henderson Enterprise Portfolio | (a) | 19,878,241 | — | 1,252,196 | 367,833 | 637,596 | — | 327,792 | 19,631,474 | |||
ON Janus Henderson Forty Portfolio | (a) | 79,512,965 | 251,338 | 1,936,736 | 696,722 | 1,605 | — | 2,216,993 | 78,525,894 | |||
ON Janus Henderson Venture Portfolio | (a) | 39,756,483 | 1,264,269 | 2,451,587 | 922,946 | (229,164) | — | 869,226 | 39,262,947 | |||
ON Nasdaq-100® Index Portfolio | (a) | 79,512,965 | 624,423 | 3,009,303 | 1,077,952 | 319,857 | — | 2,750,469 | 78,525,894 | |||
ON S&P 500® Index Portfolio | (a) | 337,930,102 | — | 24,387,893 | 6,801,725 | 13,391,117 | — | 8,124,028 | 333,735,051 | |||
ON S&P MidCap 400® Index Portfolio | (a) | 198,782,413 | — | 27,946,209 | 7,537,711 | 17,940,821 | — | 7,983,519 | 196,314,736 | |||
Total Open-End Mutual Funds | $26,740,702 | $47,969,185 | $2,932 | $1,501,807,731 |
Percentages are stated as a percent of net assets. |
| Footnotes: | ||
| (a) | Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person”, as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding at March 31, 2021. | |
The accompanying notes are an integral part of these financial statements.
89
| Ohio National Fund, Inc. | ON Growth Model Portfolio |
| Schedule of Investments in Unaffiliated Issuers | March 31, 2021 (Unaudited) |
| Open-End Mutual Funds–20.0% | Shares | Value | |
DFA Emerging Markets Portfolio Institutional | 651,102 | $ 22,235,134 | |
DFA International Core Equity Portfolio Institutional | 2,018,970 | 31,152,704 | |
PIMCO Total Return Institutional | 435,442 | 4,450,217 | |
Vanguard International Growth Fund Admiral Class | 140,022 | 22,213,075 | |
Western Asset Core Plus Bond IS | 747,590 | 8,903,805 | |
Total Open-End Mutual Funds | $88,954,935 | ||
Total Investments in Securities of Unaffiliated Issuers – 20.0% (Cost $73,371,543) | $88,954,935 | ||
| Total Investments in Affiliates – 80.0% (Cost $263,799,578) (see schedule below) | 355,409,195 | ||
| Liabilities in Excess of Other Assets – 0.0% | (217,835) | ||
| Net Assets – 100.0% | $444,146,295 |
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of these financial statements.
| Schedule of Investments in Affiliates | March 31, 2021 (Unaudited) |
| Affiliate | Value at January 1, 2021 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Shares at March 31, 2021 | Value at March 31, 2021 | ||||
| Open-End Mutual Funds – 80.0% | ||||||||||||
Fidelity Advisor® Real Estate I | (a) | $4,432,373 | $22,713 | $348,545 | $(16,292) | $352,366 | $661 | 208,868 | $4,442,615 | |||
ON BlackRock Advantage International Equity Portfolio | (a) | 53,188,478 | 21,237 | 1,941,306 | 196,818 | 1,846,152 | — | 3,115,802 | 53,311,379 | |||
ON BlackRock Advantage Large Cap Core Portfolio | (a) | 22,161,866 | — | 1,236,761 | 444,139 | 843,831 | — | 542,576 | 22,213,075 | |||
ON BlackRock Advantage Large Cap Growth Portfolio | (a) | 13,297,120 | 106,446 | 258,607 | 118,372 | 64,514 | — | 361,678 | 13,327,845 | |||
ON BlackRock Advantage Large Cap Value Portfolio | (a) | 31,026,612 | — | 3,150,546 | 646,970 | 2,575,268 | — | 1,468,980 | 31,098,304 | |||
ON BlackRock Advantage Small Cap Growth Portfolio | (a) | 19,945,679 | 994,101 | 1,973,564 | 659,575 | 365,976 | — | 457,582 | 19,991,767 | |||
ON Bond Portfolio | (a) | 4,432,373 | 235,914 | 22,256 | 3,943 | (207,359) | — | 223,922 | 4,442,615 | |||
ON Federated High Income Bond Portfolio | (a) | 4,432,373 | 34,476 | 80,949 | 9,253 | 47,462 | — | 202,582 | 4,442,615 | |||
ON Janus Henderson Enterprise Portfolio | (a) | 4,432,373 | — | 213,609 | 62,154 | 161,697 | — | 74,179 | 4,442,615 | |||
ON Janus Henderson Forty Portfolio | (a) | 22,161,866 | 232,168 | 370,900 | 132,369 | 57,572 | — | 627,134 | 22,213,075 | |||
ON Janus Henderson Venture Portfolio | (a) | 17,729,493 | 679,308 | 934,494 | 348,240 | (52,087) | — | 393,413 | 17,770,460 | |||
ON Nasdaq-100® Index Portfolio | (a) | 31,026,612 | 530,082 | 999,737 | 380,427 | 160,920 | — | 1,089,258 | 31,098,304 | |||
ON S&P 500® Index Portfolio | (a) | 75,350,344 | — | 4,345,389 | 1,468,185 | 3,051,314 | — | 1,838,473 | 75,524,454 | |||
ON S&P MidCap 400® Index Portfolio | (a) | 50,972,292 | — | 6,426,369 | 1,722,429 | 4,821,720 | — | 2,077,677 | 51,090,072 | |||
Total Open-End Mutual Funds | $6,176,582 | $14,089,346 | $661 | $355,409,195 |
Percentages are stated as a percent of net assets. |
| Footnotes: | ||
| (a) | Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person”, as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding at March 31, 2021. | |
The accompanying notes are an integral part of these financial statements.
90
Ohio National Fund, Inc.
| Notes to Schedules of Investments | March 31, 2021 (Unaudited) |
(1)Organization
Ohio National Fund, Inc. (the “Fund”) is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the "40 Act"). The Fund is an open-end investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies”. The Fund consists of twenty separate investment portfolios (the “Portfolios”) that seek the following objectives and strategies:
| ■ | ON Bond Portfolio – High level of income and opportunity for capital appreciation consistent with preservation of capital by investing, under normal circumstances, at least 80% of its net assets in corporate debt securities. |
| ■ | ON BlackRock Balanced Allocation Portfolio – High level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments. |
| ■ | ON BlackRock Advantage International Equity Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in non-U.S. equity securities and equity-like instruments of companies that are components of, or have characteristics similar to, the companies included in the MSCI EAFE Index (Net - USD). |
| ■ | ON Janus Henderson Forty Portfolio – Long-term capital growth by investing primarily in domestic and foreign equity securities selected for growth potential. |
| ■ | ON Janus Henderson Venture Portfolio – Long-term capital appreciation by investing, under normal circumstances, at least 80% of its net assets in stocks of small capitalization companies. |
| ■ | ON Janus Henderson Enterprise Portfolio – Long-term total return by investing, under normal circumstances, at least 50% of its net assets in equity securities of mid-cap companies, primarily those that are strategically positioned for long-term growth. |
| ■ | ON S&P 500® Index Portfolio – Total return approximating that of the Standard & Poor's 500® Index (S&P 500® Index), at a risk level consistent with that of the S&P 500® Index by investing, under normal circumstances, more than 80% of its net assets in securities included in the S&P 500® Index. |
| ■ | ON BlackRock Advantage Large Cap Value Portfolio – Growth of capital by investing, under normal circumstances, at least 80% of its net assets in stocks of large capitalization companies with market capitalizations at the time of investment that are within the range of market capitalizations of the companies in the Russell 1000® Value Index for the previous twelve months. |
| ■ | ON Federated High Income Bond Portfolio – High current income by investing, under normal circumstances, at least 80% of its net assets in lower rated corporate debt obligations commonly referred to as "junk bonds". The Portfolio's investments are generally rated BB or lower by Standard & Poor’s or Fitch, or Ba or lower by Moody's. |
| ■ | ON Nasdaq-100® Index Portfolio – Long-term growth of capital by investing, under normal circumstances, more than 80% of its net assets in the common stocks of companies that are included in the Nasdaq-100® Index. |
| ■ | ON BlackRock Advantage Large Cap Core Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization. |
| ■ | ON BlackRock Advantage Small Cap Growth Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in stocks of companies with a market capitalization at the time of investment that is no greater than the largest market capitalization of a company in the Russell 2000® Index for the previous twelve months. |
| ■ | ON S&P MidCap 400® Index Portfolio – Total return approximating that of the Standard & Poor’s MidCap 400® Index (S&P MidCap 400® Index), including reinvestment of dividends, at a risk level consistent with that of the S&P MidCap 400® Index by investing, under normal circumstances, more than 80% of its net assets in the securities included in the S& P MidCap 400® Index. |
| ■ | ON BlackRock Advantage Large Cap Growth Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in stocks of companies with market capitalizations at the time of investment that are within the range of market capitalizations of the companies in the Russell 1000® Growth Index for the previous twelve months. |
| ■ | ON Risk Managed Balanced Portfolio – Long-term capital growth, consistent with preservation of capital and balanced by current income. The Portfolio invests in a balanced portfolio of equity and fixed-income securities and a risk management portfolio intended to enhance the risk adjusted return of the Portfolio. |
| ■ | ON Federated Core Plus Bond Portfolio - Total return by investing at least 80% of its net assets in fixed-income investments, primarily U.S. dollar denominated, investment-grade, fixed income securities. Investment-grade, fixed income securities are rated in one of the four highest categories (BBB- or higher) by a nationally recognized statistical rating organization (“NRSRO”). |
91
(continued)
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
| ■ | ON Moderately Conservative Model Portfolio* – Current income and moderate growth of capital with a greater emphasis on current income by investing in underlying mutual funds. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 20-40%, International Equity 5-20%, and Fixed Income 30-70%. |
| ■ | ON Balanced Model Portfolio* – A balance between growth of capital and current income with a greater emphasis on growth of capital by investing in underlying mutual funds. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 25-50%, International Equity 10-25%, and Fixed Income 25-50%. |
| ■ | ON Moderate Growth Model Portfolio* – Growth of capital and moderate current income with a greater emphasis on growth of capital by investing in underlying mutual funds. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 40-60%, International Equity 15-35%, and Fixed Income 10-30%. |
| ■ | ON Growth Model Portfolio* – Growth of capital and some current income by investing in underlying mutual funds. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 50-80%, International Equity 15-45%, and Fixed Income 0-15%. |
| * | Collectively, the "ON Model Portfolios". |
Additional detail regarding portfolio-specific objectives, policies, and investment strategies is provided in the Prospectus and Statement of Additional Information of Ohio National Fund, Inc. There are no assurances that these objectives will be met. Each Portfolio, except the ON Nasdaq-100® Index Portfolio, is classified as diversified for purposes of Section 5(b) of the 40 Act.
At present, the Fund issues its shares to separate accounts of The Ohio National Life Insurance Company (“ONLIC”), Ohio National Life Assurance Corporation (“ONLAC”), and National Security Life and Annuity Company (“NSLA”) to support certain benefits under variable contracts issued by those entities, as well as for purchases by other Portfolios of the Fund. In the future, Fund shares may be used for other purposes but, unless there is a change in applicable law, they will not be sold directly to the public.
ONLIC and NSLA no longer market, nor issue, variable annuities. ONLIC and NSLA will continue to service the in-force variable annuity contracts, the variable separate accounts, and underlying subaccounts regardless of new sales.
Interest in each Portfolio is represented by a separate class of the Fund’s capital stock, par value $1. Each share of a Portfolio participates equally in the Portfolio’s dividends, distributions, net assets, and voting matters.
The Fund is authorized to issue 1.55 billion of its capital shares. Of this total, shares authorized have been allocated to specific Portfolios of the Fund as follows:
| Portfolio | Authorized Shares | Portfolio | Authorized Shares | |||
| ON Bond | 22,000,000 | ON S&P MidCap 400® Index | 31,000,000 | |||
| ON BlackRock Balanced Allocation | 22,000,000 | ON BlackRock Advantage Large Cap Growth | 42,000,000 | |||
| ON BlackRock Advantage International Equity | 50,000,000 | ON Risk Managed Balanced | 175,000,000 | |||
| ON Janus Henderson Forty | 9,000,000 | ON Federated Core Plus Bond | 115,000,000 | |||
| ON Janus Henderson Venture | 7,000,000 | ON Moderately Conservative Model | 36,000,000 | |||
| ON Janus Henderson Enterprise | 4,000,000 | ON Balanced Model | 130,000,000 | |||
| ON S&P 500® Index | 50,000,000 | ON Moderate Growth Model | 240,000,000 | |||
| ON BlackRock Advantage Large Cap Value | 26,000,000 | ON Growth Model | 48,000,000 | |||
| ON Federated High Income Bond | 13,000,000 | ON iShares Managed Risk Balanced** | 133,000,000 | |||
| ON Nasdaq-100® Index | 22,000,000 | ON iShares Managed Risk Moderate Growth** | 105,000,000 | |||
| ON BlackRock Advantage Large Cap Core | 17,000,000 | ON iShares Managed Risk Growth** | 90,000,000 | |||
| ON BlackRock Advantage Small Cap Growth | 8,000,000 | ON Janus Henderson U.S. Low Volatility** | 155,000,000 |
| ** | These Portfolios and their respective authorized shares have been approved, but the Portfolios are not yet in operation. |
The Fund’s Board of Directors (the “Board”) periodically reallocates authorized shares among the Portfolios of the Fund and may authorize additional shares as deemed necessary.
Under the Fund’s organizational documents, its Officers and Directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the risk of loss to the Fund is expected to be remote.
92
(continued)
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
(2)Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements:
Use of Estimates
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) 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.
Security Valuation
Investments are valued using pricing procedures approved by the Board.
Fixed income instruments that mature in sixty days or less, and of sufficient credit quality, are valued at amortized cost. Amortized cost valuation involves valuing a security at its cost initially and thereafter amortizing to maturity any discounts or premiums on the level-yield method, regardless of the impact of fluctuating market interest rates on the value of the security. In these instances, amortized cost approximates fair value.
Investments, other than those securities aforementioned, are valued as follows:
Domestic equity securities that are traded on U.S. exchanges, other than the Nasdaq Stock Market, are valued at the last trade price reported by the primary exchange of each security (4:00 pm Eastern Time for normal trading sessions). Domestic equity securities that are listed on the Nasdaq Stock Market are valued at the Nasdaq Official Closing Price (“NOCP”). Over-the-counter domestic equity securities are valued at the last trade price reported daily as of 4:00 pm Eastern Time (normal trading sessions). If, on a particular day, a domestic equity security does not trade, or otherwise can’t be priced by independent pricing services, then a broker quotation as of the end of the current trading session, the evaluated mean between the bid and ask prices, as reported by an approved independent pricing source, or the last trade price may be used when appropriate.
Over-the-counter traded American Depositary Receipts ("ADRs") may also be valued at an evaluated price based on the value of the underlying securities. If a domestic equity security is not traded on a particular day, the mean between the bid and ask prices reported at 4:00 pm Eastern Time (normal trading sessions) by the primary exchange will generally be used for valuation purposes. The principal sources for market quotations are independent pricing services that have been approved by the Board.
Fixed income securities that have a remaining maturity exceeding sixty days are generally valued at the evaluated bid price reported at 4:00 pm Eastern Time (normal trading sessions), as provided by independent pricing services approved by the Board. Many fixed income securities, including investment grade and high-yield corporate bonds, U.S. Treasury and government agency obligations, and other asset-backed instruments are not actively traded on a daily basis. As such, the approved pricing services may use asset type-specific valuation models to provide good faith determinations that the holders of securities would receive in an orderly transaction under current market conditions. The valuation models may use observable market data such as recent transaction data, benchmark yields, broker/dealer inputs, valuations and yields of comparable instruments, relative credit information, observed market movements, and market research and news. Asset-backed securities and mortgage-backed securities may use valuation models that heavily consider predicted cash flows of each tranche of an issue, benchmark spreads, and unique attributes of the tranche. The last trade or last evaluated bid may be used if an evaluated bid price is not available.
U.S exchange-traded options are valued at the composite basis last sale price as reported to a Board-approved independent pricing service by the OPRA (Options Price Reporting Authority) at 4:15 pm Eastern Time (normal trading sessions). If there are no reported trades for a trading session, the evaluated composite-basis bid price or other method will be used for valuation purposes.
Futures contracts are valued at the daily quoted settlement prices as reported by an approved independent pricing source.
Shares of open-end mutual funds are valued at each fund’s last calculated net asset value per share.
Shares of closed-end mutual funds that are traded on U.S. exchanges are valued similarly to other domestic equity securities, typically at the last trade price reported by the primary exchange of each fund (4:00 pm Eastern Time for normal trading sessions).
Foreign equity securities are initially priced at the reported close price of the exchange on which a security is primarily traded. Securities not traded on a particular day are valued at the mean between the last reported bid and ask quotes at daily close, or the last sale price when appropriate. The principal sources for market quotations are independent pricing services that have been approved by the Board.
93
(continued)
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
Equity securities that are primarily traded on foreign exchanges, other than those with close times that are consistent with the normal 4:00 pm Eastern Time close of U.S. equity markets, are further subjected to fair valuation pricing procedures provided by an independent fair valuation service. The service provides data that can be used to estimate the price of a foreign issue that would prevail in a liquid market given market information available daily at 4:00 pm Eastern Time (normal trading sessions). Multiple factors may be considered in performing this valuation, including an issue’s local close price, relevant general and sector indices, currency fluctuations, and pricing of related depository receipts, exchange traded funds, and futures. The pricing procedures are performed for each individual security for which there is a fairly large degree of certainty that the local close price is not the liquid market price at the time of U.S. market close. The procedures are performed each day there is a change in a consistently used market index from the time of local close to the U.S. market close. Backtesting analysis is performed on a quarterly basis to monitor the effectiveness of these procedures. The testing is reviewed by management of the Fund and is reported to the Board. Prior results have indicated that these procedures have been effective in reaching valuation objectives.
Restricted securities, illiquid securities, or other investments for which market quotations or other observable market inputs are not readily available are valued at an estimate of value using methods determined in good faith by the Fund’s Pricing Committee under the supervision of the Board.
The differences between the aggregate cost and values of investments are reflected as unrealized appreciation or unrealized depreciation.
Pricing inputs used in the Fund’s determination of its investment values are categorized according to a three-tier hierarchy framework. The hierarchy is summarized in three broad levels:
| Level 1: | Quoted prices in active markets for identical securities. |
| Level 2: | Other significant observable inputs, including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc. |
| Level 3: | Significant unobservable inputs, including the Fund’s own assumptions used to determine the value of securities. |
The following is a summary of the inputs used in valuing each of the Portfolio’s assets (liabilities) at value as of March 31, 2021:
| Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||
ON Bond | Corporate Bonds*** | $— | $262,155,380 | $— | ||||
| Asset-Backed Securities*** | — | 7,393,796 | — | |||||
| U.S. Treasury Obligations | — | 2,312,109 | — | |||||
| Money Market Funds | 2,645,172 | — | — | |||||
| $2,645,172 | $271,861,285 | $ — | ||||||
ON BlackRock Balanced Allocation | Common Stocks*** | $376,021,208 | $— | $— | ||||
| Corporate Bonds*** | — | 135,697,734 | — | |||||
| Asset-Backed Securities*** | — | 2,988,702 | — | |||||
| Money Market Funds | 12,285,416 | — | — | |||||
| $388,306,624 | $138,686,436 | $ — | ||||||
| Long Futures Contracts | $97,810 | $— | $— | |||||
ON BlackRock Advantage International Equity | Common Stocks*** | $1,864,514 | $481,676,825 | $— | ||||
| Preferred Securities*** | — | 3,021,924 | — | |||||
| Money Market Funds | 7,206,886 | — | — | |||||
| $9,071,400 | $484,698,749 | $ — | ||||||
| Long Futures Contracts | $(71,982) | $— | $— | |||||
ON Janus Henderson Forty | Common Stocks*** | $190,740,291 | $4,405,137 | $— | ||||
| Money Market Funds | 4,103,983 | — | — | |||||
| $194,844,274 | $4,405,137 | $ — |
94
(continued)
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
| Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||
ON Janus Henderson Venture | Common Stocks*** | $173,320,154 | $9,036 | $— | ||||
| Money Market Funds | 1,860,990 | — | — | |||||
| $175,181,144 | $9,036 | $ — | ||||||
ON Janus Henderson Enterprise | Common Stocks*** | $105,075,184 | $1,845,209 | $— | ||||
| Money Market Funds | 1,228,656 | — | — | |||||
| $106,303,840 | $1,845,209 | $ — | ||||||
ON S&P 500® Index | Common Stocks*** | $1,240,497,360 | $— | $— | ||||
| Money Market Funds | 5,233,827 | — | — | |||||
| $1,245,731,187 | $ — | $ — | ||||||
| Long Futures Contracts | $73,701 | $— | $— | |||||
ON BlackRock Advantage Large Cap Value | Common Stocks*** | $312,274,759 | $— | $— | ||||
| Money Market Funds | 5,906,669 | — | — | |||||
| $318,181,428 | $ — | $ — | ||||||
| Long Futures Contracts | $81,605 | $— | $— | |||||
ON Federated High Income Bond | Corporate Bonds*** | $— | $166,504,472 | $— | ||||
| Common Stocks*** | 807,988 | 451,680 | — | |||||
| Warrants | 37,178 | 73,923 | — | |||||
| Money Market Funds | 3,881,687 | — | — | |||||
| $4,726,853 | $167,030,075 | $ — | ||||||
ON Nasdaq-100® Index | Common Stocks*** | $367,565,030 | $— | $— | ||||
| Money Market Funds | 2,328,693 | — | — | |||||
| $369,893,723 | $ — | $ — | ||||||
| Long Futures Contracts | $(5,751) | $— | $— | |||||
ON BlackRock Advantage Large Cap Core | Common Stocks*** | $410,223,367 | $— | $— | ||||
| Money Market Funds | 10,863,673 | — | — | |||||
| $421,087,040 | $ — | $ — | ||||||
| Long Futures Contracts | $109,553 | $— | $— | |||||
ON BlackRock Advantage Small Cap Growth | Common Stocks*** | $194,702,932 | $— | $— | ||||
| Rights*** | — | 13,991 | — | |||||
| Money Market Funds | 5,786,056 | — | — | |||||
| $200,488,988 | $13,991 | $ — | ||||||
| Long Futures Contracts | $(297,662) | $— | $— | |||||
ON S&P MidCap 400® Index | Common Stocks*** | $436,147,524 | $— | $— | ||||
| Long Futures Contracts | $45,174 | $— | $— |
95
(continued)
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
| Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||
ON BlackRock Advantage Large Cap Growth | Common Stocks*** | $111,646,073 | $— | $— | ||||
| Money Market Funds | 3,412,871 | — | — | |||||
| $115,058,944 | $ — | $ — | ||||||
| Long Futures Contracts | $43,078 | $— | $— | |||||
ON Risk Managed Balanced | Common Stocks*** | $216,477,857 | $— | $— | ||||
| Corporate Bonds*** | — | 74,945,892 | — | |||||
| Purchased Options | 11,513,360 | 30,112,190 | — | |||||
| U.S. Treasury Obligations | — | 40,570,340 | — | |||||
| Asset-Backed / Mortgage-Backed Securities*** | — | 21,106,906 | — | |||||
| U.S. Government Agency Mortgage-Backed Securities | — | 9,154,885 | — | |||||
| Exchange Traded Funds | 7,996,354 | — | — | |||||
| Preferred Securities*** | — | 3,790,863 | — | |||||
| Sovereign Issues | — | 3,362,280 | — | |||||
| Money Market Funds | 10,997,866 | — | — | |||||
| $246,985,437 | $183,043,356 | $ — | ||||||
| Long Futures Contracts | $(5,308,570) | $— | $— | |||||
| Short Futures Contracts | $105,918 | $— | $— | |||||
ON Federated Core Plus Bond | Corporate Bonds*** | $— | $109,661,473 | $— | ||||
| U.S. Treasury Obligations | — | 48,367,026 | — | |||||
| U.S. Government Agency Mortgage-Backed Securities | — | 41,149,165 | — | |||||
| Investment Companies | 22,424,450 | — | — | |||||
| Asset-Backed / Mortgage-Backed Securities*** | — | 13,714,454 | — | |||||
| Sovereign Issues | — | 1,652,417 | — | |||||
| U.S. Government Agency Issues | — | 973,694 | — | |||||
| Money Market Funds | 6,715,676 | — | — | |||||
| $29,140,126 | $215,518,229 | $ — | ||||||
| Long Futures Contracts | $(7,225) | $— | $— | |||||
| Short Futures Contracts | $234,945 | $— | $— | |||||
ON Moderately Conservative Model | Open-End Mutual Funds | $294,763,758 | $— | $— | ||||
ON Balanced Model | Open-End Mutual Funds | $1,109,826,689 | $— | $— | ||||
ON Moderate Growth Model | Open-End Mutual Funds | $1,963,772,348 | $— | $— | ||||
ON Growth Model | Open-End Mutual Funds | $444,364,130 | $— | $— |
| *** | For detailed industry descriptions, see the accompanying Schedules of Investments. |
96
(continued)
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
Foreign Securities and Currency
The books and records of all the Portfolios are maintained in U.S. dollars. All investments and cash quoted in foreign currencies are valued daily in U.S. dollars on the basis of the foreign currency exchange rates provided by an independent source. These exchange rates are currently determined daily at 4:00 pm Eastern Time for normal trading sessions. Purchases and sales of foreign-denominated investments are recorded at rates of exchange prevailing on the respective dates of such transactions.
The Fund may not fully isolate that portion of the results of operations resulting from changes in foreign exchange rates from fluctuations arising from changes in market prices on foreign currency-denominated investments. For the portion that is isolated, amounts are reflected in the Statements of Operations as other foreign currency related transactions. However, for tax purposes, the Fund does fully isolate the effect of fluctuations in foreign exchange rates when determining the gain or loss upon sale or maturity of such investments to the extent required by federal income tax regulations.
All Portfolios of the Fund may invest in securities of foreign issuers. The ON BlackRock Advantage International Equity Portfolio may be invested entirely in foreign securities. Investments in securities of foreign issuers, including investments in foreign companies through the use of depositary receipts, carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability, or diplomatic developments that could adversely affect capital investment within those countries.
Restricted Securities
Restricted securities are typically those securities purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (“the 1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. 144A securities are issued by corporations without registration in reliance on 1933 Act provisions allowing for the private resale of unregistered securities to qualified institutional buyers. Section 4(a)(2) commercial paper is issued pursuant to Section 4(a)(2) of the 1933 Act which exempts an issue from registration. This paper may be used to finance non-current transactions, such as acquisitions, stock repurchase programs, and other long-term assets. Investments by a Portfolio in Rule 144A and Section 4(a)(2) securities could have the effect of decreasing the liquidity of a Portfolio during any period in which qualified institutional investors were no longer interested in purchasing these securities.
Investment Transactions and Related Income
For financial reporting purposes, investment transactions are accounted for on a trade date (T+0) basis. For purposes of executing separate account shareholder transactions in the normal course of business, however, the Fund’s investment transactions are recorded no later than the first calculation on the first business day following the trade date (T+1), in accordance with Rule 2a-4 of the 40 Act. Accordingly, differences between the net asset values for financial reporting and for executing separate account shareholder transactions may arise.
Dividend income is recognized on the ex-dividend date, except in the case of those Portfolios holding foreign securities, in which dividends are recorded as soon after the ex-dividend date as the Fund’s information agents become aware of such dividends. Interest income is accrued daily as earned and includes the amortization of premium and accretion of discount using the interest method. The period of amortization or accretion extends from the purchase date to the maturity date, except for securities that are purchased at a premium and have explicit, noncontingent call features, whereby the securities are callable at fixed prices and on pre-determined dates. The premium amounts related to those securities are generally amortized to the earliest call date. Net realized gain or loss on investments and foreign exchange transactions are determined using the specific identification method.
Distributions to Shareholders and Federal Taxes
The Fund satisfies its distribution requirements, as required for each of the Portfolios to qualify as a regulated investment company pursuant to Subchapter M of the Internal Revenue Code. The Fund has the intent to continue to comply with tax provisions pertaining to regulated investment companies and make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. As such, no provisions for federal income or excise taxes have been recorded. Also, no tax-related interest or penalties have been incurred or accrued. The Board's intent is that the Fund will not initiate any realized gain distributions until any applicable capital loss carryforwards have been offset.
97
(continued)
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
The character of ordinary income distributions, realized capital gains distributions, and return of capital, if any, are determined in accordance with federal income tax regulations and may differ from net investment income and realized gains for financial reporting purposes. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, they are reclassified within the composition of net assets; temporary differences do not require such reclassification. Distributions to shareholders that exceed taxable income and net taxable realized gains are reported as return of capital distributions.
The Fund’s management and its tax agent perform an affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether it is more-likely-than-not (i.e. greater than 50-percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Implementation of the evaluation included a review of tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal tax and the state of Maryland. The determination has been made that there are no uncertain tax positions that would require the Portfolios to record a tax liability or provision.
Expense Allocation
Expenses directly attributable to a Portfolio are charged to that Portfolio. Expenses that cannot be directly attributed to a Portfolio are allocated among all the benefited Portfolios on a basis of relative net assets or other appropriate method.
Foreign Withholding Taxes
Certain Portfolios in the Fund may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally withheld based on income earned. These Portfolios accrue such taxes as the related income is earned.
TBA Commitments
To-Be-Announced (“TBA”) commitments are agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date beyond the customary settlement period for such securities. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and term and be within industry-accepted “good delivery” standards. When entering into TBA commitments, a Portfolio may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
Mortgage Dollar Rolls
A Portfolio may enter into a mortgage dollar roll (“MDR”) transaction, in which the Portfolio agrees to both sell and purchase a similar, but not identical, TBA mortgage-backed security with the same issuer, rate, and term on a later date at a set price. MDRs are treated as purchases and sales, which may have the effect of increasing portfolio turnover rates, and result in realized gains and losses based on the agreed-upon fixed prices.
New Accounting Pronouncements and Regulations
In December 2020, the Securities and Exchange Commission (the “SEC”) adopted Rules 2a-5 and 31a-4 ("Rules") that clarify how investment companies may satisfy their valuation obligations under the 1940 Act, as amended. The Rules permit an investment company’s board to designate the determination of fair value to an investment adviser. The Rules also create a framework for the determination of the fair value of an investment company’s investments to establish a standard baseline for valuation practices. The Rules will become effective 60 days after publication in the Federal Register, and will have a compliance date 18 months following the effective date. Management of the Fund is evaluating the Rules to determine their potential impact on the Fund’s financial statements.
LIBOR Transition
The Portfolios may invest in certain fixed income securities that rely upon the London Interbank Offered Rate (“LIBOR”) for determination of variable interest rate terms. LIBOR is an average interest rate that banks charge one another for the use of short-term money. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has announced plans to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding future utilization of LIBOR and the nature of any replacement rate. Any potential effects of the transition away from LIBOR on the Portfolios, or on certain instruments in which the Portfolios invest, are not known.
98
(continued)
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
Pandemic Risks
The COVID-19 virus pandemic has continued to significantly impact the global economy and market environment. Liquidity and performance of the Portfolios may be negatively impacted as a result of ongoing economic uncertainties caused by the pandemic. The values for the investments in future financial statements may differ significantly from those presented for this period end.
Subsequent Events
The Fund, along with ONLIC, NSLA and certain variable separate account entities affiliated with ONLIC and NSLA, was a party to an application filed with the SEC for an order of approval pursuant to Section 26(c) and order of exemption pursuant to Section 17(b) of the 40 Act. In the application, those entities proposed to substitute shares of certain unaffiliated underlying funds currently available under certain variable contracts for shares of different underlying funds. The entities also requested permission to carry out in-kind security transfers in order to execute certain of the proposed substitution transactions. The proposed substitution transactions that affect the Fund are:
| Existing Unaffiliated Fund | Replacement Ohio National Fund Portfolio | |
| Federated Hermes Managed Volatility Fund II (Primary Shares and Service Shares) | ON iShares Managed Risk Balanced Portfolio | |
| Janus Henderson VIT U.S. Low Volatility Portfolio (Service Shares) | ON Janus Henderson U.S. Low Volatility Portfolio | |
| Morgan Stanley VIF Core Plus Fixed Income Portfolio (Class II) | ON Federated Core Plus Bond Portfolio | |
| PIMCO Total Return Portfolio (Administrative Share Class) | ON Federated Core Plus Bond Portfolio |
On May 4, 2021, the application for the substitution transactions and in-kind transfers was approved by the SEC. As such, the substitution transactions are currently planned to occur on or about the end of business June 25, 2021. Shortly before the execution of the substitution transactions, two previously Board-approved Fund Portfolios, the ON iShares Managed Risk Balanced Portfolio and the ON Janus Henderson U.S. Low Volatility Portfolio, will commence operations.
At meetings held on February 16, 2021 and February 17, 2021, the Board, including a majority of the Directors who are not “interested persons” of the Fund (the “Independent Directors”), approved an amended advisory agreement with the Fund’s adviser, Ohio National Investments, Inc. (“ONI”) and sub-advisory agreements between ONI and AllianceBernstein L.P. (“AB”). As a result, AB became the sub-adviser to the ON Janus Henderson Venture and ON Janus Henderson Enterprise Portfolios, effective May 1, 2021. On that date, those Portfolios became known as the ON AB Small Cap Portfolio and ON AB Mid Cap Core Portfolio, respectively, and their investment objectives, strategies, and benchmarks were revised as a result of the change in sub-adviser.
The Board also approved revisions to those Portfolios’ advisory and sub-advisory fee schedules, also effective May 1, 2021. The revised breakpoint schedules, based on the Portfolios’ respective daily net assets, are as follows:
| ON AB Small Cap (ON Janus Henderson Venture) | ON AB Mid Cap Core (ON Janus Henderson Enterprise) | |
| Advisory Fees | ||
| 0.73% on the first $400 million | 0.715% on the first $100 million | |
| 0.675% on the next $200 million | 0.71% on the next $200 million | |
| 0.63% over $600 million | 0.69% of the next $200 million | |
| 0.66% over $500 million | ||
| Sub-advisory Fees | ||
| 0.32% on the first $400 million | 0.28% on the first $100 million | |
| 0.29% on the next $200 million | 0.27% on the next $200 million | |
| 0.255% over $600 million | 0.265% of the next $200 million | |
| 0.26% over $500 million | ||
Management has evaluated events and transactions through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements, and there are no other subsequent events to report.
(3)Financial Instruments
The Fund’s Portfolios may trade in financial instruments with off-balance sheet risk for hedging purposes or, otherwise, in accordance with stated investing objectives. These financial instruments may include options, futures, and foreign currency contracts that may involve, to a varying degree, elements of risk in excess of the amounts recognized on financial statements.
99
(continued)
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
Options
A Portfolio may buy call and put options. In purchasing call options, a Portfolio pays the seller of the call option a premium for the right of the Portfolio to buy the underlying securities from the seller at a specified exercise price prior to the expiration of the option. In purchasing put options, a Portfolio pays the seller of the put option a premium for the right of the Portfolio to sell the underlying securities to the seller at a specified exercise price prior to the expiration of the option. In order to terminate its position as the purchaser of an option, the Portfolio may enter into a “closing” transaction, which is the sale of an option on the same underlying securities and having the same exercise price and expiration date as the option previously purchased by the Portfolio.
When a Portfolio purchases a put or call option, an amount equal to the premium paid is included on the Portfolio’s Statement of Assets and Liabilities as an investment, and is subsequently marked-to-market to reflect the current market value of the option. If an option expires on the stipulated expiration date or if the Portfolio enters into a closing sale transaction, a gain or loss is realized. If a Portfolio exercises a call option on an individual security, the cost of the security acquired is increased by the premium paid for the call. If the Portfolio exercises a put option on an individual security, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid. If the Portfolio exercises a put option on a security index, a gain or loss is realized as determined by the premium originally paid, the exercise price and the market value of the index.
The ON Risk Managed Balanced Portfolio purchased call and put options associated with the S&P 500® Index or related exchange traded fund during the three-month period ended March 31, 2021. These instruments were used by the Risk Management Component of the Portfolio to provide for the Portfolio’s stated risk management strategy.
Purchased options are non-income producing securities.
Futures Contracts
A Portfolio may buy or sell two kinds of financial futures contracts: stock index futures contracts and interest rate futures contracts. Stock index futures contracts are contracts developed by and traded on national commodity exchanges whereby the buyer will, on a specified future date, pay or receive a final cash payment equal to the difference between the actual value of the stock index on the last day of the contract and the value of the stock index established by the contract multiplied by the specific dollar amount set by the exchange. Futures contracts may be based on broad-based stock indices, such as the S&P 500® Index, or on narrow-based stock indices. A particular index will be selected according to the Adviser’s investment strategy for the particular Portfolio. An interest rate futures contract is an agreement whereby one party agrees to sell and another party agrees to purchase a specified amount of a specified financial instrument (debt security) at a specified price at a specified date, time and place. Although interest rate futures contracts typically require actual future delivery of and payment for financial instruments, the contracts are usually closed out before the delivery date. A public market exists in interest rate futures contracts covering primarily the following financial instruments: U.S. Treasury bonds; U.S. Treasury notes; Government National Mortgage Association ("GNMA") modified pass-through mortgage-backed securities; three-month U.S. Treasury bills; 90-day commercial paper; bank certificates of deposit; and Eurodollar certificates of deposit. U.S. futures contracts are traded on exchanges which have been designated “contract markets” by the Commodities Futures Trading Commission (“CFTC”) and must be executed through a futures commission merchant (“FCM”), or brokerage firm, which is a member of the relevant contract market. It is expected that futures contracts trading in additional financial instruments will be authorized.
The Fund, on behalf of each Portfolio, has filed with the National Futures Association, a notice claiming an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act, as amended, and the rules of the CFTC promulgated thereunder, with respect to each Portfolio's operation. Accordingly, the Portfolios are not subject to registration or regulation as a commodity pool operator.
The buyer or seller of a futures contract is not required to deliver or pay for the underlying instrument unless the contract is held until the delivery date. However, both the buyer and seller are required to deposit “initial margin” for the benefit of the broker when the contract is entered into. Initial margin deposits are equal to a percentage of the contract's value, as set by the exchange on which the contract is traded, and are similar to good faith deposits or performance bonds.
Unlike margin extended by a securities broker, initial margin payments do not constitute purchasing securities on margin for purposes of a Portfolio’s investment limitations. A Portfolio, its futures commission merchant and the Custodian retain control of the initial margin until the contract is liquidated. If the value of either party's position declines, the party on the side of the declining position will be required to make additional “variation margin” payments to settle the change in value on a daily basis. The party that has a gain may be entitled to receive all or a portion of this amount. Variation margin is recognized as a receivable and/or payable for variation margin on futures contracts on the Statement of Assets and Liabilities. In the event of a bankruptcy of the FCM that holds margin on behalf of a Portfolio, the Portfolio may be entitled to return of margin owed to the Portfolio only in proportion to the amount received by the FCM’s other customers. ONI and the sub-advisers will attempt to minimize this risk by carefully monitoring the creditworthiness of the FCMs with which the Portfolios do business. In addition to the margin restrictions discussed above,
100
(continued)
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
transactions in futures contracts and options on futures contracts may involve the segregation of funds pursuant to requirements imposed by the SEC. Under those requirements, where a Portfolio has a long position in a futures contract or sells a put option, it will be required to establish a segregated account (not with an FCM or broker) containing cash or certain liquid assets equal to the purchase price of the contract or the exercise price of the option (less any margin on deposit). For a short position in futures contacts held by a Portfolio or call options sold by a Portfolio, those requirements mandate the establishment of a segregated account (not with a futures commission merchant or broker) containing cash or certain liquid assets that, when added to the amounts deposited as margin, equal the market value of the instruments underlying the futures contracts or call options. However, segregation of assets is not required if a Portfolio “covers” its position.
Portions of certain Portfolios’ securities and cash holdings, as noted on those Portfolios’ Schedules of Investments, were pledged at March 31, 2021 as collateral for the Portfolios’ futures contracts. The futures contracts, except those held by the ON Risk Managed Balanced and ON Federated Core Plus Bond Portfolios, were used for the purpose of gaining equity exposure for cash and cash equivalents, thereby seeking to lessen a performance difference between the Portfolios and their respective benchmark indices. For the ON Risk Managed Balanced Portfolio, these futures contracts were used by the Portfolio to provide for the Portfolio’s stated risk management strategy. For the ON Federated Core Plus Bond Portfolio, futures contracts were used by the Portfolio to manage total exposure to underlying investments, to manage interest rate risk, or to otherwise execute the Portfolio's stated investment strategy. There were other futures contracts executed and closed in the Portfolios during the three-month period ended March 31, 2021. Those contracts were executed for similar purposes as the contracts outstanding at March 31, 2021.
(4)Federal Income Tax Information
The cost basis for Federal income tax purposes may differ from the cost basis for financial reporting purposes. The table below details the unrealized appreciation (depreciation) and aggregate cost of investments at March 31, 2021 for federal income tax purposes.
| ON Bond | ON BlackRock Balanced Allocation | ON BlackRock Advantage International Equity | ON Janus Henderson Forty | ON Janus Henderson Venture | ON Janus Henderson Enterprise | ||||||
| Gross unrealized: | |||||||||||
Appreciation | $16,764,391 | $65,283,284 | $48,435,691 | $70,261,877 | $68,737,813 | $32,361,496 | |||||
Depreciation | (2,408,297) | (4,778,408) | (24,447,696) | (1,554,412) | (2,864,386) | (1,493,549) | |||||
Net unrealized appreciation (depreciation) | $14,356,094 | $60,504,876 | $23,987,995 | $68,707,465 | $65,873,427 | $30,867,947 | |||||
Aggregate cost of investments: | $260,150,363 | $466,585,994 | $469,710,172 | $130,541,946 | $109,316,753 | $77,281,102 |
| ON S&P 500® Index | ON BlackRock Advantage Large Cap Value | ON Federated High Income Bond | ON Nasdaq-100® Index | ON BlackRock Advantage Large Cap Core | ON BlackRock Advantage Small Cap Growth | ||||||
| Gross unrealized: | |||||||||||
Appreciation | $474,211,263 | $44,530,262 | $6,924,361 | $158,514,964 | $66,028,057 | $51,050,286 | |||||
Depreciation | (40,031,606) | (6,118,001) | (3,462,637) | (2,993,382) | (5,282,581) | (8,115,847) | |||||
Net unrealized appreciation (depreciation) | $434,179,657 | $38,412,261 | $3,461,724 | $155,521,582 | $60,745,476 | $42,934,439 | |||||
Aggregate cost of investments: | $811,625,231 | $279,850,772 | $168,295,204 | $214,366,390 | $360,451,117 | $157,270,878 |
| ON S&P MidCap 400® Index | ON BlackRock Advantage Large Cap Growth | ON Risk Managed Balanced | ON Federated Core Plus Bond | ON Moderately Conservative Model | ON Balanced Model | ||||||
| Gross unrealized: | |||||||||||
Appreciation | $118,652,403 | $20,491,193 | $86,149,959 | $3,877,269 | $32,620,669 | $185,581,376 | |||||
Depreciation | (21,087,914) | (1,317,624) | (26,533,926) | (4,641,890) | (8,786,416) | (42,289,966) | |||||
Net unrealized appreciation (depreciation) | $97,564,489 | $19,173,569 | $59,616,033 | $(764,621) | $23,834,253 | $143,291,410 | |||||
Aggregate cost of investments: | $338,628,209 | $95,928,453 | $365,210,108 | $245,650,696 | $270,929,505 | $966,535,279 |
101
(continued)
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
| ON Moderate Growth Model | ON Growth Model | ||
| Gross unrealized: | |||
Appreciation | $407,949,636 | $107,382,622 | |
Depreciation | (112,681,672) | (29,085,364) | |
Net unrealized appreciation (depreciation) | $295,267,964 | $78,297,258 | |
Aggregate cost of investments: | $1,668,504,384 | $366,066,872 |
(5)Legal Matters
In December 2007, the ON S&P 500® Index Portfolio and the ON BlackRock Advantage Large Cap Value Portfolio (formerly known as "Strategic Value Portfolio"), shareholders of the Tribune Company, participated in a cash out merger in which shareholders received $34 per share of consideration. The value of the proceeds received by the ON S&P 500® Index Portfolio and ON BlackRock Advantage Large Cap Value Portfolio was $37,910 and $384,200, respectively. The company subsequently filed for bankruptcy and several legal complaints have been initiated by groups of Tribune Company creditors seeking to recover, or clawback, proceeds received by shareholders based on fraudulent transfer claims (the "Tribune Bankruptcy").
The first action, Official Committee of Unsecured Creditors of Tribune Company v. FitzSimons, et. al. (“FitzSimons”) was initiated on November 1, 2010 in the U.S. Bankruptcy Court for the District of Delaware. As a result of these proceedings, the Court agreed to allow individual creditors to file similar complaints in U.S. district courts. The Fund is specifically named in a complaint in the U.S. District Court, Southern District of Ohio, Western Division, Deutsche Bank Trust Company Americas, et. al. v. American Electric Power, et. al., that was initiated in June of 2011. The Fund, along with the Strategic Value Portfolio, is also named in a similar complaint in the U.S. District Court, Eastern District of Pennsylvania, Deutsche Bank Trust Company Americas, et. al. v. Ametek Inc. Employees Master Retirement Trust, et. al. These Tribune litigation actions have been consolidated into a single Multidistrict Litigation ("MDL") in the U.S. District Court, Southern District of New York ("District Court").
Thereafter, certain defendants in the MDL, including the Fund, filed various motions to dismiss. The District Court dismissed the Creditor Actions on September 23, 2013, holding that the plaintiffs could not pursue their claims so long as the Trustee pursued essentially the same claims in his action. On December 20, 2013, the plaintiffs appealed the dismissal to the Second Circuit Court of Appeals ("Second Circuit"). On March 29, 2016, the Second Circuit affirmed the dismissal and rejected the plaintiffs’ appeal. On September 9, 2016, plaintiffs filed a petition for writ of certiorari in the Supreme Court and the defendants opposed it. April 3, 2018, the Supreme Court issued a “Statement” from two justices announcing that consideration of the petition for certiorari would be deferred for an undetermined period of time to “allow” the Second Circuit or the District Court to consider, among other things, whether the Second Circuit’s decision should be vacated as a result of the Supreme Court’s recent decision in Merit Management Group, LP v. FTI Consulting, Inc. On May 15, 2018, the Second Circuit recalled the mandate on its earlier decision for further panel review.
In December 2019, the Second Circuit reinstated its prior affirmance of dismissal, which safe-harbors all of the claims except the trustee’s actual intent claims (those claims are excepted from the safe harbor altogether). Those claims were earlier dismissed on traditional grounds, and that dismissal is now on appeal.
In January 2020, the Tribune creditors sought panel rehearing and rehearing en banc, asserting, among other arguments, that the Second Circuit improperly relied on extrinsic evidence to reach its decision regarding Computershare’s status as Tribune’s agent, that the question of Computershare’s agency was a new argument on appeal that should not have been considered, and that the Court’s findings regarding preemption go against the Supreme Court’s decision in Merit Management and other cases. On February 6, 2020 the Second Circuit denied this request.
In July 2020, the creditors filed a petition for writ of certiorari appealing the Second Circuit’s decision to the Supreme Court. The creditors dropped some of shareholder defendants, mostly unaffiliated funds, from the appeal to the Supreme Court. For those defendants only, this has the effect of accepting the adverse judgment and ending the case. Any non-listed defendant presumably is still a party to the appeal. On April 19, 2021 the Supreme Court denied the creditor’s petition for writ of certiorari, meaning that the Second Circuit’s decision in our favor stands.
In the Trustee Action, in 2014, various shareholder defendants filed a motion to dismiss the intentional fraudulent transfer claims. On January 9, 2017, the District Court granted the motion to dismiss the Trustee's actual fraudulent conveyance claim. The plaintiff will almost certainly appeal to the Second Circuit. Because of a procedural issue, however, the plaintiff could not automatically appeal the decision, but must first obtain permission from the District Court. On January 14, 2019, the District Court held a status conference during which it indicated that the plaintiff would be allowed to file a motion seeking reconsideration of the prior dismissal of the
102
Ohio National Fund, Inc.
| Notes to Schedules of Investments (Continued) | March 31, 2021 (Unaudited) |
intentional fraudulent transfer claims. On April 23, 2019, the District Court denied the Trustee’s motion to amend and add federal constructive fraudulent transfer claims. The judge accepted the defendants’ “alternative safe harbor” argument. In June 2019, the Trustee appealed the dismissal of the intentional fraudulent transfer claims and ruling that any constructive claims would be barred by the safe harbor. The Trustee’s initial brief was filed January 8, 2020 and the brief in opposition was filed April 27, 2020. The Second Circuit held oral argument on August 24, 2020.
The outcome of these proceedings cannot be predicted. Management of the Fund continues to assess litigation matters and any offers of settlement.
103