Ohio National Fund, Inc. | ON Bond Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds–92.8% | Rate | Maturity | Face Amount | Value | |
Communication Services–5.3% | |||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.900% | 08/15/2037 | $1,000,000 | $ 887,107 | |
Charter Communications Operating LLC / Charter Communications Operating Capital (Media) | 3.700% | 04/01/2051 | 1,000,000 | 606,050 | |
Comcast Corp. (Media) | 3.250% | 11/01/2039 | 3,000,000 | 2,203,408 | |
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 3.700% | 11/15/2049 | 2,100,000 | 1,436,220 | |
Time Warner Cable LLC (Media) | 6.550% | 05/01/2037 | 2,000,000 | 1,804,580 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 3.875% | 04/15/2030 | 1,800,000 | 1,596,628 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.400% | 11/01/2034 | 1,500,000 | 1,320,201 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 2.875% | 11/20/2050 | 1,000,000 | 611,509 | |
10,465,703 | |||||
Consumer Discretionary–9.0% | |||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 3.875% | 08/22/2037 | 1,000,000 | 869,244 | |
Aptiv PLC (Auto Components) | 4.350% | 03/15/2029 | 1,000,000 | 904,899 | |
Aptiv PLC / Aptiv Corp. (Auto Components) | 3.250% | 03/01/2032 | 2,000,000 | 1,592,303 | |
Best Buy Co., Inc. (Specialty Retail) | 1.950% | 10/01/2030 | 3,000,000 | 2,246,422 | |
Expedia Group, Inc. (Hotels, Restaurants & Leisure) | 4.625% | 08/01/2027 | 1,000,000 | 939,103 | |
Hasbro, Inc. (Leisure Products) | 3.900% | 11/19/2029 | 3,000,000 | 2,623,850 | |
Home Depot, Inc. / The (Specialty Retail) | 2.375% | 03/15/2051 | 2,000,000 | 1,170,273 | |
Lear Corp. (Auto Components) | 4.250% | 05/15/2029 | 4,000,000 | 3,525,936 | |
Lowe's Cos., Inc. (Specialty Retail) | 3.000% | 10/15/2050 | 2,000,000 | 1,224,696 | |
M.D.C. Holdings, Inc. (Household Durables) | 3.850% | 01/15/2030 | 2,000,000 | 1,544,959 | |
Magna International, Inc. (Auto Components) | 3.625% | 06/15/2024 | 1,000,000 | 980,420 | |
17,622,105 | |||||
Consumer Staples–8.8% | |||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.700% | 02/01/2036 | 2,000,000 | 1,802,485 | |
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.900% | 02/01/2046 | 1,000,000 | 869,080 | |
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.600% | 04/15/2048 | 2,000,000 | 1,656,273 | |
B.A.T. Capital Corp. (Tobacco) | 3.215% | 09/06/2026 | 1,000,000 | 893,405 | |
B.A.T. Capital Corp. (Tobacco) | 4.700% | 04/02/2027 | 2,000,000 | 1,866,134 | |
Coca-Cola Co. / The (Beverages) | 3.000% | 03/05/2051 | 1,000,000 | 698,036 | |
Coca-Cola Co. / The (Beverages) | 2.500% | 03/15/2051 | 1,000,000 | 622,944 | |
Hershey Co. / The (Food Products) | 1.700% | 06/01/2030 | 1,800,000 | 1,423,549 | |
JBS U.S.A. LUX SA / JBS U.S.A. Food Co. / JBS U.S.A. Finance, Inc. (Food Products) | (a) | 5.750% | 04/01/2033 | 1,200,000 | 1,083,768 |
Kimberly-Clark Corp. (Household Products) | 1.050% | 09/15/2027 | 2,000,000 | 1,680,796 | |
Kraft Heinz Foods Co. (Food Products) | 4.625% | 10/01/2039 | 1,200,000 | 993,270 | |
Philip Morris International, Inc. (Tobacco) | 3.375% | 08/15/2029 | 2,500,000 | 2,132,114 | |
Smithfield Foods, Inc. (Food Products) | (a) | 3.000% | 10/15/2030 | 2,000,000 | 1,544,281 |
17,266,135 | |||||
Energy–7.8% | |||||
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc. (Energy Equip. & Svs.) | 4.080% | 12/15/2047 | 2,000,000 | 1,481,743 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 3.017% | 01/16/2027 | 1,000,000 | 913,305 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 1.749% | 08/10/2030 | 1,000,000 | 777,249 | |
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.236% | 05/11/2030 | 1,800,000 | 1,503,706 | |
Energy Transfer LP (Oil, Gas & Consumable Fuels) | 4.950% | 06/15/2028 | 2,000,000 | 1,862,775 | |
Halliburton Co. (Energy Equip. & Svs.) | 4.850% | 11/15/2035 | 1,000,000 | 872,402 | |
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 5.300% | 12/01/2034 | 1,000,000 | 903,297 | |
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.750% | 09/15/2044 | 1,000,000 | 802,174 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 5.850% | 01/15/2026 | 1,200,000 | 1,203,241 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 6.000% | 06/15/2035 | 1,000,000 | 920,728 | |
Shell International Finance B.V. (Oil, Gas & Consumable Fuels) | 4.000% | 05/10/2046 | 1,000,000 | 795,461 | |
Tennessee Gas Pipeline Co. LLC (Oil, Gas & Consumable Fuels) | (a) | 2.900% | 03/01/2030 | 1,000,000 | 818,556 |
Texas Eastern Transmission LP (Oil, Gas & Consumable Fuels) | (a) | 4.150% | 01/15/2048 | 1,000,000 | 748,623 |
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.750% | 06/15/2027 | 1,000,000 | 922,417 | |
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 5.400% | 03/04/2044 | 1,000,000 | 872,299 | |
15,397,976 | |||||
Financials–28.1% | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 3.300% | 01/23/2023 | 2,000,000 | 1,988,800 | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 3.300% | 01/30/2032 | 1,500,000 | 1,128,102 | |
American Express Co. (Rate is fixed until 08/03/2032, at which point, the rate becomes SOFR + 176) (Consumer Finance) | (b) | 4.420% | 08/03/2033 | 1,800,000 | 1,637,054 |
Ares Capital Corp. (Capital Markets) | 3.200% | 11/15/2031 | 3,500,000 | 2,494,764 | |
Bank of America Corp. (Banks) | 3.875% | 08/01/2025 | 1,000,000 | 967,983 | |
Bank of America Corp. (Rate is fixed until 03/08/2032, at which point, the rate becomes H15T5Y + 200) (Banks) | (b) | 3.846% | 03/08/2037 | 1,000,000 | 806,803 |
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 | 823,850 |
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 | 2,427,959 |
BlackRock, Inc. (Capital Markets) | 2.400% | 04/30/2030 | 1,000,000 | 826,294 | |
BlackRock, Inc. (Capital Markets) | 2.100% | 02/25/2032 | 2,000,000 | 1,528,563 | |
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 | 1,395,300 |
Charles Schwab Corp. / The (Capital Markets) | 3.300% | 04/01/2027 | 2,000,000 | 1,869,160 |
1
(continued)
Ohio National Fund, Inc. | ON Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Financials (continued) | |||||
Citigroup, Inc. (Banks) | 3.700% | 01/12/2026 | $1,000,000 | $ 947,529 | |
Citigroup, Inc. (Banks) | 4.450% | 09/29/2027 | 2,000,000 | 1,851,348 | |
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 | 1,917,819 |
General Motors Financial Co., Inc. (Consumer Finance) | QL + 99 | 01/05/2023 | 2,000,000 | 1,999,271 | |
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.750% | 05/22/2025 | 2,000,000 | 1,915,040 | |
Intercontinental Exchange, Inc. (Capital Markets) | 3.750% | 12/01/2025 | 1,000,000 | 964,976 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. (Diversified Financial Svs.) | 4.850% | 01/15/2027 | 1,800,000 | 1,720,667 | |
JPMorgan Chase & Co. (Banks) | 3.625% | 12/01/2027 | 2,000,000 | 1,812,473 | |
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 | 1,584,192 |
KeyCorp (Rate is fixed until 06/01/2032, at which point, the rate becomes SOFRINDX + 206) (Banks) | (b) | 4.789% | 06/01/2033 | 2,500,000 | 2,291,666 |
Marsh & McLennan Cos., Inc. (Insurance) | 3.500% | 06/03/2024 | 1,400,000 | 1,367,389 | |
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 1,000,000 | 929,283 | |
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 | 1,838,522 |
PNC Bank N.A. (Banks) | 2.700% | 10/22/2029 | 2,500,000 | 2,054,963 | |
State Street Corp. (Capital Markets) | 2.200% | 03/03/2031 | 2,000,000 | 1,557,325 | |
Synchrony Financial (Consumer Finance) | 4.250% | 08/15/2024 | 1,000,000 | 975,049 | |
Synchrony Financial (Consumer Finance) | 5.150% | 03/19/2029 | 2,000,000 | 1,817,373 | |
Truist Bank (Banks) | 3.625% | 09/16/2025 | 1,000,000 | 953,444 | |
U.S. Bancorp (Banks) | 1.375% | 07/22/2030 | 2,000,000 | 1,503,323 | |
Wells Fargo & Co. (Banks) | 3.000% | 04/22/2026 | 1,000,000 | 916,320 | |
Wells Fargo & Co. (Rate is fixed until 10/30/2029, at which point, the rate becomes TSFR3M + 143) (Banks) | (b) | 2.879% | 10/30/2030 | 2,000,000 | 1,643,275 |
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 | 823,616 |
Wells Fargo & Co. (Banks) | 4.650% | 11/04/2044 | 1,000,000 | 794,564 | |
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 | 1,379,327 |
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 | 1,641,399 |
55,094,785 | |||||
Health Care–4.2% | |||||
AbbVie, Inc. (Biotechnology) | 3.200% | 11/21/2029 | 1,000,000 | 875,473 | |
AbbVie, Inc. (Biotechnology) | 4.250% | 11/21/2049 | 3,000,000 | 2,408,302 | |
HCA, Inc. (Health Care Providers & Svs.) | 5.250% | 06/15/2026 | 1,000,000 | 966,336 | |
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 2.950% | 06/30/2030 | 2,000,000 | 1,671,687 | |
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 2.800% | 06/30/2031 | 1,200,000 | 967,389 | |
Regeneron Pharmaceuticals, Inc. (Biotechnology) | 1.750% | 09/15/2030 | 1,800,000 | 1,362,344 | |
8,251,531 | |||||
Industrials–9.3% | |||||
Air Lease Corp. (Trading Companies & Distributors) | 2.250% | 01/15/2023 | 2,000,000 | 1,983,149 | |
Air Lease Corp. (Trading Companies & Distributors) | 2.300% | 02/01/2025 | 2,000,000 | 1,840,233 | |
BAE Systems PLC (Aerospace & Defense) | (a) | 1.900% | 02/15/2031 | 2,000,000 | 1,511,149 |
Boeing Co. / The (Aerospace & Defense) | 3.200% | 03/01/2029 | 3,000,000 | 2,504,849 | |
Burlington Northern Santa Fe LLC (Road & Rail) | 4.550% | 09/01/2044 | 900,000 | 784,567 | |
Canadian Pacific Railway Co. (Road & Rail) | 2.050% | 03/05/2030 | 1,300,000 | 1,042,160 | |
FedEx Corp. (Air Freight & Logistics) | 4.900% | 01/15/2034 | 2,000,000 | 1,833,944 | |
Lockheed Martin Corp. (Aerospace & Defense) | 1.850% | 06/15/2030 | 1,200,000 | 972,392 | |
Lockheed Martin Corp. (Aerospace & Defense) | 3.600% | 03/01/2035 | 1,000,000 | 852,524 | |
Northrop Grumman Corp. (Aerospace & Defense) | 2.930% | 01/15/2025 | 1,000,000 | 953,412 | |
Parker-Hannifin Corp. (Machinery) | 4.200% | 11/21/2034 | 1,400,000 | 1,221,058 | |
Union Pacific Corp. (Road & Rail) | 3.250% | 08/15/2025 | 1,000,000 | 962,380 | |
Waste Connections, Inc. (Commercial Svs. & Supplies) | 4.250% | 12/01/2028 | 1,800,000 | 1,694,072 | |
18,155,889 | |||||
Information Technology–1.8% | |||||
Broadcom, Inc. (Semiconductors & Equip.) | (a) | 2.600% | 02/15/2033 | 2,000,000 | 1,428,444 |
VMware, Inc. (Software) | 2.200% | 08/15/2031 | 2,800,000 | 2,038,023 | |
3,466,467 | |||||
Materials–7.6% | |||||
Anglo American Capital PLC (Metals & Mining) | (a) | 4.750% | 04/10/2027 | 1,000,000 | 945,558 |
Anglo American Capital PLC (Metals & Mining) | (a) | 4.000% | 09/11/2027 | 800,000 | 731,654 |
Dow Chemical Co. / The (Chemicals) | 4.250% | 10/01/2034 | 1,402,000 | 1,187,500 | |
Glencore Funding LLC (Metals & Mining) | (a) | 2.850% | 04/27/2031 | 2,000,000 | 1,547,392 |
Kinross Gold Corp. (Metals & Mining) | 4.500% | 07/15/2027 | 3,000,000 | 2,793,421 | |
Mosaic Co. / The (Chemicals) | 4.050% | 11/15/2027 | 3,000,000 | 2,791,676 | |
Nutrien Ltd. (Chemicals) | 4.200% | 04/01/2029 | 1,900,000 | 1,758,114 | |
RPM International, Inc. (Chemicals) | 4.250% | 01/15/2048 | 3,000,000 | 2,178,304 | |
Steel Dynamics, Inc. (Metals & Mining) | 3.250% | 01/15/2031 | 1,200,000 | 978,568 | |
14,912,187 | |||||
Real Estate–3.1% | |||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 3.950% | 01/15/2028 | 1,000,000 | 923,373 |
2
(continued)
Ohio National Fund, Inc. | ON Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Real Estate (continued) | |||||
Healthcare Realty Holdings LP (Equity REIT) | 3.875% | 05/01/2025 | $1,400,000 | $ 1,335,257 | |
Healthcare Realty Holdings LP (Equity REIT) | 3.625% | 01/15/2028 | 1,000,000 | 880,401 | |
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 4.625% | 12/01/2029 | 1,300,000 | 1,127,802 |
Welltower, Inc. (Equity REIT) | 4.250% | 04/01/2026 | 1,000,000 | 958,289 | |
Welltower, Inc. (Equity REIT) | 2.700% | 02/15/2027 | 1,000,000 | 893,354 | |
6,118,476 | |||||
Utilities–7.8% | |||||
AEP Transmission Co. LLC (Electric Utilities) | 4.000% | 12/01/2046 | 1,000,000 | 783,204 | |
AEP Transmission Co. LLC (Electric Utilities) | 3.750% | 12/01/2047 | 1,351,000 | 1,018,643 | |
Ameren Corp. (Multi-Utilities) | 3.500% | 01/15/2031 | 2,000,000 | 1,725,276 | |
American Water Capital Corp. (Water Utilities) | 4.300% | 12/01/2042 | 1,400,000 | 1,165,670 | |
Berkshire Hathaway Energy Co. (Multi-Utilities) | 3.250% | 04/15/2028 | 1,900,000 | 1,723,179 | |
Commonwealth Edison Co. (Electric Utilities) | 4.350% | 11/15/2045 | 2,000,000 | 1,664,985 | |
Connecticut Light & Power Co. / The (Electric Utilities) | 4.000% | 04/01/2048 | 1,000,000 | 815,291 | |
Duke Energy Corp. (Electric Utilities) | 3.750% | 09/01/2046 | 1,000,000 | 708,151 | |
Eversource Energy (Electric Utilities) | 3.300% | 01/15/2028 | 1,000,000 | 902,269 | |
FirstEnergy Transmission LLC (Electric Utilities) | (a) | 4.550% | 04/01/2049 | 1,800,000 | 1,405,948 |
Florida Power & Light Co. (Electric Utilities) | 3.150% | 10/01/2049 | 2,000,000 | 1,408,805 | |
Jersey Central Power & Light Co. (Electric Utilities) | (a) | 4.300% | 01/15/2026 | 900,000 | 863,939 |
Public Service Electric & Gas Co. (Multi-Utilities) | 3.600% | 12/01/2047 | 1,500,000 | 1,120,136 | |
15,305,496 | |||||
Total Corporate Bonds (Cost $216,260,976) | $182,056,750 |
Asset-Backed Securities–2.9% | Rate | Maturity | Face Amount | Value | |
Industrials–2.9% | |||||
Air Canada 2017-1 Class B Pass Through Trust | (a) | 3.700% | 01/15/2026 | $1,521,164 | $ 1,346,997 |
American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 05/01/2023 | 390,549 | 376,373 | |
FedEx Corp. 2020-1 Class AA Pass Through Trust | 1.875% | 02/20/2034 | 2,679,164 | 2,202,640 | |
United Airlines 2016-1 Class B Pass Through Trust | 3.650% | 01/07/2026 | 1,106,250 | 969,534 | |
United Airlines 2019-2 Class AA Pass Through Trust | 2.700% | 05/01/2032 | 910,051 | 726,421 | |
Total Asset-Backed Securities (Cost $6,607,243) | $5,621,965 |
Money Market Funds–3.2% | Shares | Value | |
State Street Institutional Liquid Reserves Fund Institutional Class, 3.011% | (c) | 6,295,762 | $ 6,297,021 |
Total Money Market Funds (Cost $6,295,337) | $6,297,021 | ||
Total Investments – 98.9% (Cost $229,163,556) | (d) | $193,975,736 | |
Other Assets in Excess of Liabilities – 1.1% | 2,105,740 | ||
Net Assets – 100.0% | $196,081,476 |
Percentages are stated as a percent of net assets. |
Abbreviations: | ||
H15T5Y: | U.S. Treasury Yield Curve Rate T-Note Constant Maturity 5 Year, 4.060% at 09/30/2022 | |
QL: | Quarterly U.S. LIBOR Rate, 3.755% at 09/30/2022 | |
SOFR: | Secured Overnight Financing Rate, 2.980% at 09/30/2022 | |
TSFR3M: | Quarterly CME Term SOFR, 3.593% at 09/30/2022 | |
USISDA05: | USD ICE Swap Rate 11:00am NY 5 Year, 4.032% at 09/30/2022 | |
USSW5: | USD Swap Semi 30/360 5 Year, 4.141% at 09/30/2022 |
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 September 30, 2022, the value of these securities totaled $15,104,111, or 7.7% 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 September 30, 2022. | |
(c) | Rate represents the seven-day yield at September 30, 2022. | |
(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.
3
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
Common Stocks–70.0% | Shares | Value | |
Communication Services–5.2% | |||
Alphabet, Inc. Class A (Interactive Media & Svs.) | (a) | 70,284 | $ 6,722,665 |
Alphabet, Inc. Class C (Interactive Media & Svs.) | (a) | 51,539 | 4,955,475 |
Comcast Corp. Class A (Media) | 77,492 | 2,272,840 | |
Fox Corp. Class A (Media) | 100,169 | 3,073,185 | |
Fox Corp. Class B (Media) | 1,543 | 43,975 | |
Live Nation Entertainment, Inc. (Entertainment) | (a) | 5,023 | 381,949 |
Meta Platforms, Inc. Class A (Interactive Media & Svs.) | (a) | 22,016 | 2,987,131 |
Snap, Inc. Class A (Interactive Media & Svs.) | (a) | 43,990 | 431,982 |
Warner Bros Discovery, Inc. (Entertainment) | (a) | 13,561 | 155,951 |
21,025,153 | |||
Consumer Discretionary–7.8% | |||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 71,369 | 8,064,697 |
AutoNation, Inc. (Specialty Retail) | (a) | 8,275 | 842,974 |
Best Buy Co., Inc. (Specialty Retail) | 1,949 | 123,450 | |
eBay, Inc. (Internet & Direct Marketing Retail) | 43,173 | 1,589,198 | |
General Motors Co. (Automobiles) | 17,313 | 555,574 | |
H&R Block, Inc. (Diversified Consumer Svs.) | 10,516 | 447,351 | |
Home Depot, Inc. / The (Specialty Retail) | 13,685 | 3,776,239 | |
Lear Corp. (Auto Components) | 2,698 | 322,924 | |
Lennar Corp. Class A (Household Durables) | 11,326 | 844,353 | |
Lowe's Cos., Inc. (Specialty Retail) | 8,456 | 1,588,121 | |
Lululemon Athletica, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 2,971 | 830,573 |
McDonald's Corp. (Hotels, Restaurants & Leisure) | 5,603 | 1,292,836 | |
Target Corp. (Multiline Retail) | 15,694 | 2,328,833 | |
Tesla, Inc. (Automobiles) | (a) | 22,083 | 5,857,516 |
Travel + Leisure Co. (Hotels, Restaurants & Leisure) | 44,055 | 1,503,156 | |
Ulta Beauty, Inc. (Specialty Retail) | (a) | 844 | 338,604 |
Whirlpool Corp. (Household Durables) | 2,674 | 360,482 | |
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 5,459 | 580,510 | |
31,247,391 | |||
Consumer Staples–5.0% | |||
Altria Group, Inc. (Tobacco) | 28,032 | 1,131,932 | |
Brown-Forman Corp. Class B (Beverages) | 33,757 | 2,247,204 | |
Colgate-Palmolive Co. (Household Products) | 35,917 | 2,523,169 | |
Costco Wholesale Corp. (Food & Staples Retailing) | 2,196 | 1,037,105 | |
Hershey Co. / The (Food Products) | 4,071 | 897,533 | |
Kroger Co. / The (Food & Staples Retailing) | 9,405 | 411,469 | |
Mondelez International, Inc. Class A (Food Products) | 29,966 | 1,643,036 | |
PepsiCo, Inc. (Beverages) | 31,821 | 5,195,096 | |
Procter & Gamble Co. / The (Household Products) | 39,546 | 4,992,683 | |
20,079,227 | |||
Energy–3.1% | |||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 22,337 | 3,209,157 | |
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 21,705 | 2,425,099 | |
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 42,497 | 3,710,413 | |
Halliburton Co. (Energy Equip. & Svs.) | 27,494 | 676,902 | |
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 39,627 | 894,778 | |
Schlumberger N.V. (Energy Equip. & Svs.) | 34,092 | 1,223,903 | |
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 3,727 | 398,230 | |
12,538,482 | |||
Financials–7.7% | |||
American Express Co. (Consumer Finance) | 28,748 | 3,878,393 | |
Bank of America Corp. (Banks) | 152,269 | 4,598,524 | |
Bank of New York Mellon Corp. / The (Capital Markets) | 22,374 | 861,846 | |
Berkshire Hathaway, Inc. Class B (Diversified Financial Svs.) | (a) | 16,002 | 4,272,854 |
Capital One Financial Corp. (Consumer Finance) | 16,305 | 1,502,832 | |
Charles Schwab Corp. / The (Capital Markets) | 10,781 | 774,830 | |
JPMorgan Chase & Co. (Banks) | 40,276 | 4,208,842 | |
Marsh & McLennan Cos., Inc. (Insurance) | 21,481 | 3,206,898 | |
MetLife, Inc. (Insurance) | 34,883 | 2,120,189 | |
Travelers Cos., Inc. / The (Insurance) | 14,056 | 2,153,379 | |
Voya Financial, Inc. (Diversified Financial Svs.) | 53,305 | 3,224,953 | |
30,803,540 |
4
(continued)
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Common Stocks (Continued) | Shares | Value | |
Health Care–11.0% | |||
Abbott Laboratories (Health Care Equip. & Supplies) | 15,135 | $ 1,464,463 | |
AbbVie, Inc. (Biotechnology) | 8,363 | 1,122,398 | |
Agilent Technologies, Inc. (Life Sciences Tools & Svs.) | 22,560 | 2,742,168 | |
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 7,591 | 1,027,290 | |
Amgen, Inc. (Biotechnology) | 9,485 | 2,137,919 | |
Biogen, Inc. (Biotechnology) | (a) | 2,315 | 618,105 |
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a) | 45,966 | 1,780,263 |
Bristol-Myers Squibb Co. (Pharmaceuticals) | 30,945 | 2,199,880 | |
Cigna Corp. (Health Care Providers & Svs.) | 11,224 | 3,114,323 | |
CVS Health Corp. (Health Care Providers & Svs.) | 15,590 | 1,486,818 | |
Danaher Corp. (Life Sciences Tools & Svs.) | 2,625 | 678,011 | |
Elevance Health, Inc. (Health Care Providers & Svs.) | 4,155 | 1,887,367 | |
Eli Lilly & Co. (Pharmaceuticals) | 8,775 | 2,837,396 | |
Johnson & Johnson (Pharmaceuticals) | 29,546 | 4,826,635 | |
McKesson Corp. (Health Care Providers & Svs.) | 1,827 | 620,942 | |
Medtronic PLC (Health Care Equip. & Supplies) | 18,082 | 1,460,122 | |
Merck & Co., Inc. (Pharmaceuticals) | 35,733 | 3,077,326 | |
Mettler-Toledo International, Inc. (Life Sciences Tools & Svs.) | (a) | 671 | 727,445 |
Pfizer, Inc. (Pharmaceuticals) | 47,204 | 2,065,647 | |
Syneos Health, Inc. (Life Sciences Tools & Svs.) | (a) | 16,034 | 756,003 |
Teladoc Health, Inc. (Health Care Technology) | (a) | 13,276 | 336,547 |
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 3,635 | 1,843,636 | |
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 8,621 | 4,353,950 | |
Zoetis, Inc. (Pharmaceuticals) | 5,256 | 779,412 | |
43,944,066 | |||
Industrials–5.3% | |||
AMETEK, Inc. (Electrical Equip.) | 8,132 | 922,250 | |
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 5,993 | 577,186 | |
Caterpillar, Inc. (Machinery) | 5,711 | 937,061 | |
CSX Corp. (Road & Rail) | 21,911 | 583,709 | |
Curtiss-Wright Corp. (Aerospace & Defense) | 7,669 | 1,067,218 | |
Deere & Co. (Machinery) | 2,268 | 757,263 | |
Eaton Corp. PLC (Electrical Equip.) | 8,314 | 1,108,755 | |
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 2,276 | 200,994 | |
Fortune Brands Home & Security, Inc. (Building Products) | 7,932 | 425,869 | |
General Dynamics Corp. (Aerospace & Defense) | 15,287 | 3,243,443 | |
HEICO Corp. (Aerospace & Defense) | 4,184 | 602,412 | |
Illinois Tool Works, Inc. (Machinery) | 10,447 | 1,887,251 | |
Landstar System, Inc. (Road & Rail) | 7,271 | 1,049,714 | |
Lockheed Martin Corp. (Aerospace & Defense) | 5,627 | 2,173,654 | |
Owens Corning (Building Products) | 1,902 | 149,516 | |
PACCAR, Inc. (Machinery) | 19,453 | 1,628,022 | |
SiteOne Landscape Supply, Inc. (Trading Companies & Distributors) | (a) | 8,492 | 884,357 |
Snap-on, Inc. (Machinery) | 4,927 | 992,051 | |
Tetra Tech, Inc. (Commercial Svs. & Supplies) | 863 | 110,921 | |
Timken Co. / The (Machinery) | 5,587 | 329,856 | |
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 10,491 | 1,694,716 | |
21,326,218 | |||
Information Technology–18.4% | |||
Accenture PLC Class A (IT Svs.) | 3,322 | 854,751 | |
Adobe, Inc. (Software) | (a) | 6,831 | 1,879,891 |
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | (a) | 8,539 | 541,031 |
Analog Devices, Inc. (Semiconductors & Equip.) | 25,680 | 3,578,251 | |
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 132,706 | 18,339,969 | |
Applied Materials, Inc. (Semiconductors & Equip.) | 13,342 | 1,093,110 | |
Automatic Data Processing, Inc. (IT Svs.) | 9,654 | 2,183,638 | |
Cognizant Technology Solutions Corp. Class A (IT Svs.) | 22,503 | 1,292,572 | |
Dell Technologies, Inc. Class C (Tech. Hardware, Storage & Periph.) | 22,585 | 771,729 | |
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 84,999 | 1,018,288 | |
Intel Corp. (Semiconductors & Equip.) | 103,053 | 2,655,676 | |
Intuit, Inc. (Software) | 2,324 | 900,132 | |
Juniper Networks, Inc. (Communications Equip.) | 27,381 | 715,192 | |
KLA Corp. (Semiconductors & Equip.) | 2,391 | 723,588 | |
Lam Research Corp. (Semiconductors & Equip.) | 2,692 | 985,272 | |
Mastercard, Inc. Class A (IT Svs.) | 6,298 | 1,790,773 | |
Microsoft Corp. (Software) | 83,174 | 19,371,225 | |
NetApp, Inc. (Tech. Hardware, Storage & Periph.) | 6,654 | 411,550 | |
NVIDIA Corp. (Semiconductors & Equip.) | 15,781 | 1,915,656 |
5
(continued)
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Common Stocks (Continued) | Shares | Value | |
Information Technology (continued) | |||
QUALCOMM, Inc. (Semiconductors & Equip.) | 13,087 | $ 1,478,569 | |
RingCentral, Inc. Class A (Software) | (a) | 10,295 | 411,388 |
Salesforce, Inc. (Software) | (a) | 17,461 | 2,511,590 |
ServiceNow, Inc. (Software) | (a) | 5,608 | 2,117,637 |
Silicon Laboratories, Inc. (Semiconductors & Equip.) | (a) | 6,970 | 860,377 |
Splunk, Inc. (Software) | (a) | 6,143 | 461,954 |
TE Connectivity Ltd. (Electronic Equip., Instr. & Comp.) | 2,766 | 305,256 | |
Visa, Inc. (IT Svs.) | 22,173 | 3,939,034 | |
Workday, Inc. Class A (Software) | (a) | 5,909 | 899,468 |
74,007,567 | |||
Materials–2.1% | |||
Corteva, Inc. (Chemicals) | 12,306 | 703,288 | |
Ecolab, Inc. (Chemicals) | 17,862 | 2,579,630 | |
FMC Corp. (Chemicals) | 12,527 | 1,324,104 | |
Linde PLC (Chemicals) | 12,456 | 3,358,013 | |
Steel Dynamics, Inc. (Metals & Mining) | 6,714 | 476,358 | |
8,441,393 | |||
Real Estate–2.2% | |||
CBRE Group, Inc. Class A (Real Estate Mgmt. & Development) | (a) | 8,098 | 546,696 |
Crown Castle, Inc. (Equity REIT) | 8,999 | 1,300,806 | |
Essex Property Trust, Inc. (Equity REIT) | 7,319 | 1,772,881 | |
Prologis, Inc. (Equity REIT) | 21,529 | 2,187,346 | |
Simon Property Group, Inc. (Equity REIT) | 31,452 | 2,822,817 | |
8,630,546 | |||
Utilities–2.2% | |||
CMS Energy Corp. (Multi-Utilities) | 33,525 | 1,952,496 | |
DTE Energy Co. (Multi-Utilities) | 28,086 | 3,231,294 | |
Entergy Corp. (Electric Utilities) | 14,562 | 1,465,374 | |
NextEra Energy, Inc. (Electric Utilities) | 6,704 | 525,661 | |
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 20,217 | 773,705 | |
Vistra Corp. (Ind. Power & Renewable Elec.) | 19,206 | 403,326 | |
Xcel Energy, Inc. (Electric Utilities) | 6,399 | 409,536 | |
8,761,392 | |||
Total Common Stocks (Cost $314,836,056) | $280,804,975 |
Corporate Bonds–27.3% | Rate | Maturity | Face Amount | Value | |
Communication Services–1.7% | |||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.900% | 08/15/2037 | $1,000,000 | $ 887,107 | |
Comcast Corp. (Media) | 3.250% | 11/01/2039 | 2,000,000 | 1,468,938 | |
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 3.700% | 11/15/2049 | 1,400,000 | 957,480 | |
Time Warner Cable LLC (Media) | 6.550% | 05/01/2037 | 1,000,000 | 902,290 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 3.875% | 04/15/2030 | 1,200,000 | 1,064,419 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.400% | 11/01/2034 | 1,000,000 | 880,134 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 2.875% | 11/20/2050 | 1,000,000 | 611,509 | |
6,771,877 | |||||
Consumer Discretionary–2.0% | |||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 3.875% | 08/22/2037 | 1,000,000 | 869,244 | |
Best Buy Co., Inc. (Specialty Retail) | 1.950% | 10/01/2030 | 2,000,000 | 1,497,615 | |
Expedia Group, Inc. (Hotels, Restaurants & Leisure) | 4.625% | 08/01/2027 | 1,000,000 | 939,104 | |
Hasbro, Inc. (Leisure Products) | 3.900% | 11/19/2029 | 2,000,000 | 1,749,233 | |
Lear Corp. (Auto Components) | 3.500% | 05/30/2030 | 1,000,000 | 820,406 | |
Lowe's Cos., Inc. (Specialty Retail) | 3.000% | 10/15/2050 | 1,000,000 | 612,348 | |
Target Corp. (Multiline Retail) | 2.350% | 02/15/2030 | 2,000,000 | 1,669,139 | |
8,157,089 | |||||
Consumer Staples–2.9% | |||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.700% | 02/01/2036 | 2,000,000 | 1,802,485 | |
B.A.T. Capital Corp. (Tobacco) | 3.215% | 09/06/2026 | 1,000,000 | 893,406 | |
B.A.T. Capital Corp. (Tobacco) | 4.700% | 04/02/2027 | 1,000,000 | 933,067 | |
Campbell Soup Co. (Food Products) | 4.150% | 03/15/2028 | 2,000,000 | 1,876,850 | |
Coca-Cola Co. / The (Beverages) | 3.000% | 03/05/2051 | 2,000,000 | 1,396,071 | |
Diageo Capital PLC (Beverages) | 2.375% | 10/24/2029 | 2,000,000 | 1,672,610 | |
Hershey Co. / The (Food Products) | 1.700% | 06/01/2030 | 1,200,000 | 949,032 | |
JBS U.S.A. LUX SA / JBS U.S.A. Food Co. / JBS U.S.A. Finance, Inc. (Food Products) | (b) | 5.750% | 04/01/2033 | 800,000 | 722,512 |
6
(continued)
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Consumer Staples (continued) | |||||
Kraft Heinz Foods Co. (Food Products) | 4.625% | 10/01/2039 | $ 800,000 | $ 662,180 | |
Philip Morris International, Inc. (Tobacco) | 3.375% | 08/15/2029 | 1,000,000 | 852,846 | |
11,761,059 | |||||
Energy–2.3% | |||||
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc. (Energy Equip. & Svs.) | 3.337% | 12/15/2027 | 1,000,000 | 899,284 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 3.017% | 01/16/2027 | 1,000,000 | 913,305 | |
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.236% | 05/11/2030 | 1,200,000 | 1,002,470 | |
Energy Transfer LP (Oil, Gas & Consumable Fuels) | 4.950% | 06/15/2028 | 1,000,000 | 931,388 | |
Halliburton Co. (Energy Equip. & Svs.) | 4.850% | 11/15/2035 | 1,000,000 | 872,402 | |
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 5.300% | 12/01/2034 | 1,000,000 | 903,297 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 5.850% | 01/15/2026 | 800,000 | 802,160 | |
Shell International Finance B.V. (Oil, Gas & Consumable Fuels) | 4.000% | 05/10/2046 | 1,500,000 | 1,193,192 | |
Tennessee Gas Pipeline Co. LLC (Oil, Gas & Consumable Fuels) | (b) | 2.900% | 03/01/2030 | 1,000,000 | 818,556 |
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.750% | 06/15/2027 | 1,000,000 | 922,417 | |
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 5.400% | 03/04/2044 | 100,000 | 87,230 | |
9,345,701 | |||||
Financials–7.8% | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 3.300% | 01/23/2023 | 1,000,000 | 994,400 | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 4.875% | 01/16/2024 | 1,000,000 | 983,772 | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 3.300% | 01/30/2032 | 1,000,000 | 752,068 | |
American Express Co. (Rate is fixed until 08/03/2032, at which point, the rate becomes SOFR + 176) (Consumer Finance) | (c) | 4.420% | 08/03/2033 | 1,200,000 | 1,091,369 |
Ares Capital Corp. (Capital Markets) | 3.200% | 11/15/2031 | 1,500,000 | 1,069,185 | |
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 | 173,426 |
BlackRock, Inc. (Capital Markets) | 2.100% | 02/25/2032 | 1,000,000 | 764,281 | |
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 | 930,200 |
Charles Schwab Corp. / The (Capital Markets) | 3.300% | 04/01/2027 | 1,000,000 | 934,580 | |
Citigroup, Inc. (Banks) | 4.125% | 07/25/2028 | 1,000,000 | 902,106 | |
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 | 821,666 |
Citigroup, Inc. (Rate is fixed until 05/01/2031, at which point, the rate becomes SOFR + 117) (Banks) | (c) | 2.561% | 05/01/2032 | 2,000,000 | 1,535,327 |
Discover Bank (Banks) | 2.450% | 09/12/2024 | 1,000,000 | 945,839 | |
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 | 239,727 |
Ford Motor Credit Co. LLC (Consumer Finance) | 3.087% | 01/09/2023 | 2,000,000 | 1,986,014 | |
General Motors Financial Co., Inc. (Consumer Finance) | 2.700% | 06/10/2031 | 3,000,000 | 2,202,253 | |
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.750% | 05/22/2025 | 1,000,000 | 957,520 | |
JPMorgan Chase & Co. (Banks) | 3.625% | 12/01/2027 | 1,000,000 | 906,236 | |
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 | 792,096 |
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 1,000,000 | 929,284 | |
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 | 1,216,156 |
PNC Bank N.A. (Banks) | 4.050% | 07/26/2028 | 1,950,000 | 1,788,633 | |
State Street Corp. (Capital Markets) | 2.200% | 03/03/2031 | 1,000,000 | 778,663 | |
Synchrony Financial (Consumer Finance) | 4.250% | 08/15/2024 | 1,000,000 | 975,049 | |
Truist Bank (Rate is fixed until 09/17/2024, at which point, the rate becomes H15T5Y + 115) (Banks) | (c) | 2.636% | 09/17/2029 | 2,500,000 | 2,329,319 |
U.S. Bancorp (Banks) | 1.375% | 07/22/2030 | 1,000,000 | 751,662 | |
Wells Fargo & Co. (Banks) | 3.000% | 04/22/2026 | 1,500,000 | 1,374,480 | |
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 | 549,077 |
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 | 1,379,327 |
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 | 182,378 |
31,236,093 | |||||
Health Care–2.0% | |||||
AbbVie, Inc. (Biotechnology) | 3.200% | 11/21/2029 | 1,000,000 | 875,473 | |
AbbVie, Inc. (Biotechnology) | 4.250% | 11/21/2049 | 2,000,000 | 1,605,535 | |
HCA, Inc. (Health Care Providers & Svs.) | 5.250% | 06/15/2026 | 2,000,000 | 1,932,672 | |
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 2.800% | 06/30/2031 | 800,000 | 644,926 | |
Regeneron Pharmaceuticals, Inc. (Biotechnology) | 1.750% | 09/15/2030 | 1,200,000 | 908,229 | |
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 3.875% | 12/15/2028 | 2,000,000 | 1,874,865 | |
7,841,700 | |||||
Industrials–2.1% | |||||
Air Lease Corp. (Trading Companies & Distributors) | 2.250% | 01/15/2023 | 1,000,000 | 991,574 |
7
(continued)
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Industrials (continued) | |||||
Air Lease Corp. (Trading Companies & Distributors) | 2.300% | 02/01/2025 | $2,000,000 | $ 1,840,233 | |
Boeing Co. / The (Aerospace & Defense) | 3.200% | 03/01/2029 | 1,500,000 | 1,252,425 | |
Burlington Northern Santa Fe LLC (Road & Rail) | 4.550% | 09/01/2044 | 100,000 | 87,174 | |
FedEx Corp. (Air Freight & Logistics) | 4.900% | 01/15/2034 | 1,000,000 | 916,972 | |
Lockheed Martin Corp. (Aerospace & Defense) | 1.850% | 06/15/2030 | 800,000 | 648,261 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 4.875% | 01/15/2028 | 1,000,000 | 916,840 | |
Waste Connections, Inc. (Commercial Svs. & Supplies) | 2.600% | 02/01/2030 | 2,000,000 | 1,669,180 | |
8,322,659 | |||||
Information Technology–1.4% | |||||
Broadcom, Inc. (Semiconductors & Equip.) | (b) | 2.600% | 02/15/2033 | 1,000,000 | 714,222 |
HP, Inc. (Tech. Hardware, Storage & Periph.) | 2.650% | 06/17/2031 | 3,000,000 | 2,201,398 | |
Oracle Corp. (Software) | 4.300% | 07/08/2034 | 2,100,000 | 1,711,107 | |
VMware, Inc. (Software) | 2.200% | 08/15/2031 | 1,200,000 | 873,438 | |
5,500,165 | |||||
Materials–1.5% | |||||
Dow Chemical Co. / The (Chemicals) | 4.250% | 10/01/2034 | 1,402,000 | 1,187,500 | |
Glencore Funding LLC (Metals & Mining) | (b) | 2.850% | 04/27/2031 | 3,000,000 | 2,321,087 |
Kinross Gold Corp. (Metals & Mining) | 4.500% | 07/15/2027 | 1,000,000 | 931,140 | |
Mosaic Co. / The (Chemicals) | 4.050% | 11/15/2027 | 1,000,000 | 930,559 | |
Steel Dynamics, Inc. (Metals & Mining) | 3.250% | 01/15/2031 | 800,000 | 652,379 | |
6,022,665 | |||||
Real Estate–1.0% | |||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 3.950% | 01/15/2028 | 1,000,000 | 923,373 | |
American Tower Corp. (Equity REIT) | 2.750% | 01/15/2027 | 2,000,000 | 1,768,586 | |
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (b) | 4.625% | 12/01/2029 | 700,000 | 607,278 |
Welltower, Inc. (Equity REIT) | 2.700% | 02/15/2027 | 1,000,000 | 893,354 | |
4,192,591 | |||||
Utilities–2.6% | |||||
AEP Transmission Co. LLC (Electric Utilities) | 4.000% | 12/01/2046 | 1,000,000 | 783,204 | |
AEP Transmission Co. LLC (Electric Utilities) | 3.750% | 12/01/2047 | 1,000,000 | 753,992 | |
Ameren Corp. (Multi-Utilities) | 2.500% | 09/15/2024 | 1,000,000 | 949,153 | |
Ameren Corp. (Multi-Utilities) | 3.500% | 01/15/2031 | 1,000,000 | 862,638 | |
American Water Capital Corp. (Water Utilities) | 4.300% | 12/01/2042 | 100,000 | 83,262 | |
Black Hills Corp. (Multi-Utilities) | 3.050% | 10/15/2029 | 2,500,000 | 2,094,471 | |
Commonwealth Edison Co. (Electric Utilities) | 4.350% | 11/15/2045 | 1,000,000 | 832,492 | |
Connecticut Light & Power Co. / The (Electric Utilities) | 4.000% | 04/01/2048 | 1,000,000 | 815,291 | |
Duke Energy Corp. (Electric Utilities) | 3.750% | 09/01/2046 | 1,500,000 | 1,062,226 | |
Duke Energy Indiana LLC (Electric Utilities) | 3.250% | 10/01/2049 | 1,000,000 | 678,282 | |
FirstEnergy Transmission LLC (Electric Utilities) | (b) | 4.550% | 04/01/2049 | 200,000 | 156,216 |
Florida Power & Light Co. (Electric Utilities) | 3.150% | 10/01/2049 | 1,000,000 | 704,403 | |
Public Service Electric & Gas Co. (Multi-Utilities) | 3.600% | 12/01/2047 | 1,000,000 | 746,757 | |
10,522,387 | |||||
Total Corporate Bonds (Cost $133,366,113) | $109,673,986 |
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 | $1,786,110 | $ 1,468,427 | |
United Airlines 2016-1 Class B Pass Through Trust | 3.650% | 01/07/2026 | 122,917 | 107,726 | |
United Airlines 2019-2 Class AA Pass Through Trust | 2.700% | 05/01/2032 | 910,051 | 726,422 | |
Total Asset-Backed Securities (Cost $2,819,078) | $2,302,575 |
U.S. Treasury Obligations–0.2% | Rate | Maturity | Face Amount | Value | |
U.S. Treasury Note | 1.875% | 02/15/2032 | $1,000,000 | $ 847,344 | |
Total U.S. Treasury Obligations (Cost $953,882) | $847,344 |
Money Market Funds–1.3% | Shares | Value | |
State Street Institutional Liquid Reserves Fund Institutional Class, 3.011% | (d) | 5,291,475 | $ 5,292,533 |
Total Money Market Funds (Cost $5,292,037) | $5,292,533 | ||
Total Investments – 99.4% (Cost $457,267,166) | (e) | $398,921,413 | |
Other Assets in Excess of Liabilities – 0.6% | (f) | 2,408,584 | |
Net Assets – 100.0% | $401,329,997 |
8
(continued)
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Percentages are stated as a percent of net assets. |
Abbreviations: | ||
H15T5Y: | U.S. Treasury Yield Curve Rate T-Note Constant Maturity 5 Year, 4.060% at 09/30/2022 | |
SOFR: | Secured Overnight Financing Rate, 2.980% at 09/30/2022 | |
USISDA05: | USD ICE Swap Rate 11:00am NY 5 Year, 4.032% at 09/30/2022 | |
USSW5: | USD Swap Semi 30/360 5 Year, 4.141% at 09/30/2022 |
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 September 30, 2022, the value of these securities totaled $5,339,871, 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 September 30, 2022. | |
(d) | Rate represents the seven-day yield at September 30, 2022. | |
(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 $260,000 of cash pledged as collateral for the futures contracts outstanding at September 30, 2022. 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 | September 30, 2022 (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 | 26 | December 16, 2022 | $5,162,342 | $4,681,950 | $(480,392) | $(66,038) |
The accompanying
notes are an integral part of these financial statements.
9
Ohio National Fund, Inc. | ON BlackRock Advantage International Equity Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
10
(continued)
Ohio National Fund, Inc. | ON BlackRock Advantage International Equity Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
11
(continued)
Ohio National Fund, Inc. | ON BlackRock Advantage International Equity Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
12
(continued)
Ohio National Fund, Inc. | ON BlackRock Advantage International Equity Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (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 $339,600,520 or 96.1% of the Portfolio’s net assets. | |
(b) | 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 $444,042 or 0.1% 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.
| |
(c) | Non-income producing security. | |
(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 September 30, 2022. | |
(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 $438,330 of cash pledged as collateral for the futures contracts outstanding at September 30, 2022. See also the following Schedule of Open Futures Contracts. |
Schedule of Open Futures Contracts | September 30, 2022 (Unaudited) |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
MSCI EAFE Index - Long | 96 | December 16, 2022 | $8,902,300 | $7,970,880 | $(931,420) | $(35,540) |
The
accompanying notes are an integral part of these financial statements.
13
Ohio National Fund, Inc. | ON Janus Henderson Forty Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
Percentages are stated as a percent of net assets. |
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 $897,922 or 1.6% of the Portfolio’s net assets. | |
(c) | Rate represents the seven-day yield at September 30, 2022. | |
(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.
14
Ohio National Fund, Inc. | ON AB Small Cap Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
15
(continued)
Ohio National Fund, Inc. | ON AB Small Cap Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
16
(continued)
Ohio National Fund, Inc. | ON AB Small Cap Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
17
(continued)
Ohio National Fund, Inc. | ON AB Small Cap Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
18
(continued)
Ohio National Fund, Inc. | ON AB Small Cap Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (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 September 30, 2022. | |
(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. |
The
accompanying notes are an integral part of these financial statements.
19
Ohio National Fund, Inc. | ON AB Mid Cap Core Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
20
(continued)
Ohio National Fund, Inc. | ON AB Mid Cap Core Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
21
(continued)
Ohio National Fund, Inc. | ON AB Mid Cap Core Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
22
(continued)
Ohio National Fund, Inc. | ON AB Mid Cap Core Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
23
(continued)
Ohio National Fund, Inc. | ON AB Mid Cap Core Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Percentages are stated as a percent of net assets. |
Abbreviations: | ||
ADR: | American Depositary Receipts |
24
(continued)
Ohio National Fund, Inc. | ON AB Mid Cap Core Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Footnotes: | ||
(a) | Non-income producing security. | |
(b) | Rate represents the seven-day yield at September 30, 2022. | |
(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 $13,500 of cash pledged as collateral for the futures contracts outstanding at September 30, 2022. 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 | September 30, 2022 (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 | 1 | December 16, 2022 | $236,972 | $220,820 | $(16,152) | $(1,700) |
The accompanying
notes are an integral part of these financial statements.
25
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
26
(continued)
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
27
(continued)
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
28
(continued)
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
29
(continued)
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Percentages are stated as a percent of net assets. |
Footnotes: | ||
(a) | Non-income producing security. | |
(b) | Security is fully pledged, in addition to $1,164,138 of the Portfolio’s cash holdings, as collateral for the futures contracts outstanding at September 30, 2022. See also the following Schedule of Open Futures Contracts. | |
(c) | Rate represents the seven-day yield at September 30, 2022. | |
(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.
Schedule of Open Futures Contracts | September 30, 2022 (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 | 136 | December 16, 2022 | $25,464,996 | $24,490,200 | $(974,796) | $(113,210) |
The
accompanying notes are an integral part of these financial statements.
30
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
31
(continued)
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
32
(continued)
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Percentages are stated as a percent of net assets. |
Footnotes: | ||
(a) | Non-income producing security. | |
(b) | Rate represents the seven-day yield at September 30, 2022. | |
(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 $220,000 of cash pledged as collateral for the futures contracts outstanding at September 30, 2022. See also the following Schedule of Open Futures Contracts. |
Schedule of Open Futures Contracts | September 30, 2022 (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 | 20 | December 16, 2022 | $3,975,755 | $3,601,500 | $(374,255) | $(52,750) |
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 | September 30, 2022 (Unaudited) |
Corporate Bonds–98.3% | Rate | Maturity | Face Amount | Value | |
Communication Services–17.6% | |||||
Audacy Capital Corp. (Media) | (a) | 6.500% | 05/01/2027 | $ 375,000 | $ 91,875 |
Audacy Capital Corp. (Media) | (a) | 6.750% | 03/31/2029 | 350,000 | 84,314 |
Cars.com, Inc. (Interactive Media & Svs.) | (a) | 6.375% | 11/01/2028 | 400,000 | 341,000 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.125% | 05/01/2027 | 225,000 | 203,063 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.000% | 02/01/2028 | 650,000 | 560,469 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.375% | 06/01/2029 | 175,000 | 153,181 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 4.750% | 03/01/2030 | 1,725,000 | 1,399,406 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 4.500% | 08/15/2030 | 250,000 | 197,710 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 4.250% | 01/15/2034 | 100,000 | 71,578 |
CMG Media Corp. (Media) | (a) | 8.875% | 12/15/2027 | 1,000,000 | 763,965 |
CSC Holdings LLC (Media) | 5.250% | 06/01/2024 | 375,000 | 346,875 | |
CSC Holdings LLC (Media) | (a) | 5.500% | 04/15/2027 | 900,000 | 792,000 |
CSC Holdings LLC (Media) | (a) | 7.500% | 04/01/2028 | 200,000 | 163,194 |
CSC Holdings LLC (Media) | (a) | 5.750% | 01/15/2030 | 300,000 | 213,230 |
CSC Holdings LLC (Media) | (a) | 4.125% | 12/01/2030 | 200,000 | 149,440 |
CSC Holdings LLC (Media) | (a) | 4.625% | 12/01/2030 | 675,000 | 459,000 |
CSC Holdings LLC (Media) | (a) | 3.375% | 02/15/2031 | 200,000 | 141,000 |
CSC Holdings LLC (Media) | (a) | 4.500% | 11/15/2031 | 150,000 | 112,677 |
Cumulus Media New Holdings, Inc. (Media) | (a) | 6.750% | 07/01/2026 | 356,000 | 300,304 |
Directv Financing LLC / Directv Financing Co-Obligor, Inc. (Media) | (a) | 5.875% | 08/15/2027 | 400,000 | 344,844 |
DISH DBS Corp. (Media) | (a) | 5.250% | 12/01/2026 | 450,000 | 368,661 |
DISH DBS Corp. (Media) | 7.375% | 07/01/2028 | 100,000 | 67,335 | |
DISH DBS Corp. (Media) | 5.125% | 06/01/2029 | 625,000 | 367,187 | |
Entegris Escrow Corp. (Media) | (a) | 5.950% | 06/15/2030 | 225,000 | 205,360 |
Gray Escrow II, Inc. (Media) | (a) | 5.375% | 11/15/2031 | 175,000 | 137,274 |
Gray Television, Inc. (Media) | (a) | 5.875% | 07/15/2026 | 750,000 | 691,875 |
Gray Television, Inc. (Media) | (a) | 4.750% | 10/15/2030 | 75,000 | 56,208 |
iHeartCommunications, Inc. (Media) | 6.375% | 05/01/2026 | 41,769 | 38,751 | |
iHeartCommunications, Inc. (Media) | 8.375% | 05/01/2027 | 1,025,707 | 862,532 | |
iHeartCommunications, Inc. (Media) | (a) | 5.250% | 08/15/2027 | 250,000 | 213,562 |
iHeartCommunications, Inc. (Media) | (a) | 4.750% | 01/15/2028 | 100,000 | 83,350 |
Lamar Media Corp. (Media) | 4.875% | 01/15/2029 | 150,000 | 133,701 | |
Lamar Media Corp. (Media) | 3.625% | 01/15/2031 | 100,000 | 78,651 | |
Match Group Holdings II LLC (Interactive Media & Svs.) | (a) | 5.000% | 12/15/2027 | 250,000 | 223,125 |
Match Group Holdings II LLC (Interactive Media & Svs.) | (a) | 4.625% | 06/01/2028 | 75,000 | 65,531 |
Match Group Holdings II LLC (Interactive Media & Svs.) | (a) | 4.125% | 08/01/2030 | 350,000 | 287,438 |
Match Group Holdings II LLC (Interactive Media & Svs.) | (a) | 3.625% | 10/01/2031 | 150,000 | 113,250 |
Midas OpCo Holdings LLC (Media) | (a) | 5.625% | 08/15/2029 | 1,000,000 | 822,570 |
Millennium Escrow Corp. (Interactive Media & Svs.) | (a) | 6.625% | 08/01/2026 | 225,000 | 177,872 |
News Corp. (Media) | (a) | 5.125% | 02/15/2032 | 75,000 | 65,813 |
Nexstar Media, Inc. (Media) | (a) | 5.625% | 07/15/2027 | 300,000 | 275,792 |
Nexstar Media, Inc. (Media) | (a) | 4.750% | 11/01/2028 | 750,000 | 637,500 |
Rackspace Technology Global, Inc. (Interactive Media & Svs.) | (a) | 3.500% | 02/15/2028 | 350,000 | 231,438 |
Rackspace Technology Global, Inc. (Interactive Media & Svs.) | (a) | 5.375% | 12/01/2028 | 375,000 | 176,229 |
ROBLOX Corp. (Entertainment) | (a) | 3.875% | 05/01/2030 | 275,000 | 223,814 |
Scripps Escrow II, Inc. (Media) | (a) | 3.875% | 01/15/2029 | 100,000 | 79,720 |
Scripps Escrow II, Inc. (Media) | (a) | 5.375% | 01/15/2031 | 300,000 | 227,256 |
Scripps Escrow, Inc. (Media) | (a) | 5.875% | 07/15/2027 | 350,000 | 304,500 |
Sinclair Television Group, Inc. (Media) | (a) | 5.125% | 02/15/2027 | 125,000 | 103,388 |
Sinclair Television Group, Inc. (Media) | (a) | 5.500% | 03/01/2030 | 525,000 | 377,312 |
Sirius XM Radio, Inc. (Media) | (a) | 3.125% | 09/01/2026 | 225,000 | 197,601 |
Sirius XM Radio, Inc. (Media) | (a) | 5.000% | 08/01/2027 | 75,000 | 68,813 |
Sirius XM Radio, Inc. (Media) | (a) | 4.000% | 07/15/2028 | 175,000 | 148,852 |
Sirius XM Radio, Inc. (Media) | (a) | 4.125% | 07/01/2030 | 475,000 | 386,099 |
Sirius XM Radio, Inc. (Media) | (a) | 3.875% | 09/01/2031 | 600,000 | 465,264 |
Sprint Corp. (Wireless Telecom. Svs.) | 7.625% | 02/15/2025 | 300,000 | 307,523 | |
TEGNA, Inc. (Media) | 5.000% | 09/15/2029 | 750,000 | 690,405 | |
Telenet Finance Luxembourg Notes SARL (Media) | (a) | 5.500% | 03/01/2028 | 800,000 | 693,816 |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 3.375% | 04/15/2029 | 500,000 | 431,990 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 2.875% | 02/15/2031 | 150,000 | 120,876 | |
Univision Communications, Inc. (Media) | (a) | 4.500% | 05/01/2029 | 275,000 | 224,254 |
Univision Communications, Inc. (Media) | (a) | 7.375% | 06/30/2030 | 75,000 | 71,572 |
UPC Broadband Finco B.V. (Media) | (a) | 4.875% | 07/15/2031 | 900,000 | 698,427 |
Urban One, Inc. (Media) | (a) | 7.375% | 02/01/2028 | 400,000 | 339,964 |
Virgin Media Finance PLC (Media) | (a) | 5.000% | 07/15/2030 | 200,000 | 147,079 |
Virgin Media Secured Finance PLC (Media) | (a) | 4.500% | 08/15/2030 | 200,000 | 156,090 |
Virgin Media Vendor Financing Notes IV DAC (Media) | (a) | 5.000% | 07/15/2028 | 575,000 | 465,031 |
Vmed O2 U.K. Financing I PLC (Wireless Telecom. Svs.) | (a) | 4.250% | 01/31/2031 | 200,000 | 151,538 |
Vmed O2 U.K. Financing I PLC (Wireless Telecom. Svs.) | (a) | 4.750% | 07/15/2031 | 400,000 | 308,598 |
VZ Secured Financing B.V. (Media) | (a) | 5.000% | 01/15/2032 | 550,000 | 410,903 |
WMG Acquisition Corp. (Entertainment) | (a) | 3.750% | 12/01/2029 | 125,000 | 103,850 |
WMG Acquisition Corp. (Entertainment) | (a) | 3.875% | 07/15/2030 | 75,000 | 61,445 |
Ziggo Bond Co. B.V. (Diversified Telecom. Svs.) | (a) | 6.000% | 01/15/2027 | 425,000 | 354,875 |
21,590,985 | |||||
Consumer Discretionary–12.0% | |||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.000% | 10/15/2030 | 1,800,000 | 1,417,644 |
Academy Ltd. (Specialty Retail) | (a) | 6.000% | 11/15/2027 | 175,000 | 158,813 |
Adient Global Holdings Ltd. (Auto Components) | (a) | 4.875% | 08/15/2026 | 300,000 | 262,929 |
34
(continued)
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Consumer Discretionary (continued) | |||||
Affinity Gaming (Hotels, Restaurants & Leisure) | (a) | 6.875% | 12/15/2027 | $ 400,000 | $ 326,080 |
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (a) | 6.375% | 05/01/2025 | 450,000 | 441,000 |
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 02/01/2028 | 100,000 | 89,071 |
Asbury Automotive Group, Inc. (Specialty Retail) | (a) | 4.625% | 11/15/2029 | 300,000 | 239,811 |
Asbury Automotive Group, Inc. (Specialty Retail) | (a) | 5.000% | 02/15/2032 | 200,000 | 154,012 |
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 4.750% | 12/01/2027 | 275,000 | 243,378 | |
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | (a) | 4.750% | 06/15/2031 | 200,000 | 161,940 |
Caesars Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 6.250% | 07/01/2025 | 325,000 | 313,219 |
Caesars Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 8.125% | 07/01/2027 | 450,000 | 429,788 |
Caesars Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.625% | 10/15/2029 | 275,000 | 210,123 |
Caesars Resort Collection LLC / CRC Finco, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.750% | 07/01/2025 | 225,000 | 217,103 |
Clarios Global LP / Clarios U.S. Finance Co. (Auto Components) | (a) | 6.250% | 05/15/2026 | 112,000 | 106,960 |
Clarios Global LP / Clarios U.S. Finance Co. (Auto Components) | (a) | 8.500% | 05/15/2027 | 1,250,000 | 1,193,112 |
Dana, Inc. (Auto Components) | 4.250% | 09/01/2030 | 250,000 | 183,113 | |
Dana, Inc. (Auto Components) | 4.500% | 02/15/2032 | 100,000 | 71,299 | |
Dornoch Debt Merger Sub, Inc. (Auto Components) | (a) | 6.625% | 10/15/2029 | 625,000 | 450,658 |
Gap, Inc. / The (Specialty Retail) | (a) | 3.625% | 10/01/2029 | 75,000 | 48,750 |
Gap, Inc. / The (Specialty Retail) | (a) | 3.875% | 10/01/2031 | 175,000 | 111,250 |
Garda World Security Corp. (Diversified Consumer Svs.) | (a) | 9.500% | 11/01/2027 | 1,103,000 | 967,689 |
Gates Global LLC / Gates Corp. (Auto Components) | (a) | 6.250% | 01/15/2026 | 950,000 | 874,000 |
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | (a) | 5.750% | 05/01/2028 | 75,000 | 70,125 |
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | 4.875% | 01/15/2030 | 150,000 | 130,500 | |
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | (a) | 3.625% | 02/15/2032 | 200,000 | 153,180 |
IHO Verwaltungs GmbH (Auto Components) | (a)(b) | 4.750%, 5.500% PIK | 09/15/2026 | 400,000 | 339,760 |
IHO Verwaltungs GmbH (Auto Components) | (a)(b) | 6.000%, 6.750% PIK | 05/15/2027 | 400,000 | 340,000 |
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure) | (a) | 4.750% | 06/01/2027 | 525,000 | 487,707 |
Kontoor Brands, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 4.125% | 11/15/2029 | 100,000 | 79,673 |
MGM Resorts International (Hotels, Restaurants & Leisure) | 4.625% | 09/01/2026 | 248,000 | 219,336 | |
MGM Resorts International (Hotels, Restaurants & Leisure) | 4.750% | 10/15/2028 | 75,000 | 62,764 | |
Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp. (Hotels, Restaurants & Leisure) | (a) | 4.875% | 05/01/2029 | 200,000 | 164,755 |
Mohegan Gaming & Entertainment (Hotels, Restaurants & Leisure) | (a) | 8.000% | 02/01/2026 | 850,000 | 709,435 |
Penn Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.625% | 01/15/2027 | 50,000 | 44,214 |
Penn Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.125% | 07/01/2029 | 125,000 | 95,682 |
Raptor Acquisition Corp. / Raptor Co-Issuer LLC (Hotels, Restaurants & Leisure) | (a) | 4.875% | 11/01/2026 | 50,000 | 43,001 |
Real Hero Merger Sub 2, Inc. (Auto Components) | (a) | 6.250% | 02/01/2029 | 875,000 | 631,837 |
Scientific Games Holdings LP / Scientific Games U.S. FinCo, Inc. (Hotels, Restaurants & Leisure) | (a) | 6.625% | 03/01/2030 | 400,000 | 320,640 |
Scientific Games International, Inc. (Hotels, Restaurants & Leisure) | (a) | 8.625% | 07/01/2025 | 350,000 | 358,326 |
Scientific Games International, Inc. (Hotels, Restaurants & Leisure) | (a) | 7.250% | 11/15/2029 | 250,000 | 232,678 |
SeaWorld Parks & Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.250% | 08/15/2029 | 500,000 | 415,200 |
Signal Parent, Inc. (Diversified Consumer Svs.) | (a) | 6.125% | 04/01/2029 | 425,000 | 206,240 |
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | (a) | 5.500% | 04/15/2027 | 300,000 | 263,427 |
Six Flags Theme Parks, Inc. (Hotels, Restaurants & Leisure) | (a) | 7.000% | 07/01/2025 | 25,000 | 24,989 |
Station Casinos LLC (Hotels, Restaurants & Leisure) | (a) | 4.500% | 02/15/2028 | 200,000 | 164,153 |
Station Casinos LLC (Hotels, Restaurants & Leisure) | (a) | 4.625% | 12/01/2031 | 200,000 | 151,057 |
William Carter Co. / The (Textiles, Apparel & Luxury Goods) | (a) | 5.625% | 03/15/2027 | 75,000 | 70,121 |
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.750% | 01/15/2030 | 75,000 | 65,543 |
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 4.625% | 01/31/2032 | 100,000 | 83,818 | |
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 5.375% | 04/01/2032 | 150,000 | 132,996 | |
14,732,899 | |||||
Consumer Staples–2.8% | |||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | (a) | 5.875% | 02/15/2028 | 100,000 | 92,250 |
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | (a) | 3.500% | 03/15/2029 | 425,000 | 342,550 |
BellRing Brands, Inc. (Personal Products) | (a) | 7.000% | 03/15/2030 | 575,000 | 525,952 |
Edgewell Personal Care Co. (Personal Products) | (a) | 5.500% | 06/01/2028 | 175,000 | 156,474 |
Edgewell Personal Care Co. (Personal Products) | (a) | 4.125% | 04/01/2029 | 200,000 | 166,000 |
Energizer Holdings, Inc. (Household Products) | (a) | 6.500% | 12/31/2027 | 100,000 | 88,769 |
Energizer Holdings, Inc. (Household Products) | (a) | 4.750% | 06/15/2028 | 150,000 | 118,844 |
Energizer Holdings, Inc. (Household Products) | (a) | 4.375% | 03/31/2029 | 425,000 | 315,256 |
Kraft Heinz Foods Co. (Food Products) | 4.375% | 06/01/2046 | 100,000 | 77,740 | |
Performance Food Group, Inc. (Food & Staples Retailing) | (a) | 5.500% | 10/15/2027 | 150,000 | 136,325 |
Performance Food Group, Inc. (Food & Staples Retailing) | (a) | 4.250% | 08/01/2029 | 250,000 | 208,150 |
Post Holdings, Inc. (Food Products) | (a) | 5.750% | 03/01/2027 | 230,000 | 219,376 |
Post Holdings, Inc. (Food Products) | (a) | 5.625% | 01/15/2028 | 500,000 | 456,360 |
U.S. Foods, Inc. (Food & Staples Retailing) | (a) | 6.250% | 04/15/2025 | 100,000 | 98,230 |
U.S. Foods, Inc. (Food & Staples Retailing) | (a) | 4.750% | 02/15/2029 | 350,000 | 299,600 |
U.S. Foods, Inc. (Food & Staples Retailing) | (a) | 4.625% | 06/01/2030 | 175,000 | 144,813 |
3,446,689 | |||||
Energy–14.3% | |||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 7.875% | 05/15/2026 | 125,000 | 125,625 |
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 03/01/2027 | 250,000 | 231,217 |
35
(continued)
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Energy (continued) | |||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 01/15/2028 | $ 625,000 | $ 568,750 |
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.375% | 06/15/2029 | 625,000 | 551,812 |
Antero Resources Corp. (Oil, Gas & Consumable Fuels) | (a) | 7.625% | 02/01/2029 | 61,000 | 60,887 |
Antero Resources Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.375% | 03/01/2030 | 225,000 | 202,291 |
Archrock Partners LP / Archrock Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.875% | 04/01/2027 | 625,000 | 559,738 |
Archrock Partners LP / Archrock Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.250% | 04/01/2028 | 450,000 | 395,548 |
Ascent Resources Utica Holdings LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 7.000% | 11/01/2026 | 425,000 | 409,757 |
Ascent Resources Utica Holdings LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.250% | 12/31/2028 | 100,000 | 96,087 |
Ascent Resources Utica Holdings LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.875% | 06/30/2029 | 75,000 | 66,750 |
Berry Petroleum Co. LLC (Oil, Gas & Consumable Fuels) | (a) | 7.000% | 02/15/2026 | 175,000 | 154,231 |
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | 8.250% | 07/15/2025 | 150,000 | 145,827 | |
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | 6.375% | 07/01/2026 | 125,000 | 112,636 | |
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | 4.500% | 10/01/2029 | 125,000 | 110,049 | |
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | 4.000% | 03/01/2031 | 325,000 | 272,506 | |
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | 3.250% | 01/31/2032 | 150,000 | 115,178 | |
Cheniere Energy, Inc. (Oil, Gas & Consumable Fuels) | 4.625% | 10/15/2028 | 175,000 | 160,533 | |
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.500% | 02/01/2026 | 50,000 | 47,875 |
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.875% | 02/01/2029 | 50,000 | 46,368 |
Chord Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.375% | 06/01/2026 | 75,000 | 71,250 |
CNX Midstream Partners LP (Oil, Gas & Consumable Fuels) | (a) | 4.750% | 04/15/2030 | 425,000 | 333,587 |
Comstock Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6.750% | 03/01/2029 | 500,000 | 461,154 |
Comstock Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.875% | 01/15/2030 | 100,000 | 87,096 |
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.000% | 04/01/2029 | 300,000 | 288,750 |
CrownRock LP / CrownRock Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.625% | 10/15/2025 | 525,000 | 502,619 |
CrownRock LP / CrownRock Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.000% | 05/01/2029 | 50,000 | 44,115 |
DT Midstream, Inc. (Oil, Gas & Consumable Fuels) | (a) | 4.375% | 06/15/2031 | 200,000 | 164,944 |
Endeavor Energy Resources LP / EER Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 01/30/2028 | 100,000 | 95,112 |
Enviva Partners LP / Enviva Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.500% | 01/15/2026 | 900,000 | 850,824 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | (a) | 7.500% | 06/01/2027 | 275,000 | 262,108 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | (a) | 6.500% | 07/01/2027 | 325,000 | 300,329 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 5.500% | 07/15/2028 | 350,000 | 299,155 | |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | (a) | 4.500% | 01/15/2029 | 225,000 | 181,278 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | (a) | 4.750% | 01/15/2031 | 675,000 | 535,781 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 6.500% | 07/15/2048 | 75,000 | 57,203 | |
Hess Midstream Operations LP (Oil, Gas & Consumable Fuels) | (a) | 5.125% | 06/15/2028 | 300,000 | 262,690 |
Hess Midstream Operations LP (Oil, Gas & Consumable Fuels) | (a) | 4.250% | 02/15/2030 | 100,000 | 80,750 |
Hess Midstream Operations LP (Oil, Gas & Consumable Fuels) | (a) | 5.500% | 10/15/2030 | 100,000 | 85,845 |
Holly Energy Partners LP / Holly Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.375% | 04/15/2027 | 175,000 | 167,125 |
Holly Energy Partners LP / Holly Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.000% | 02/01/2028 | 300,000 | 264,297 |
Nabors Industries Ltd. (Energy Equip. & Svs.) | (a) | 7.250% | 01/15/2026 | 225,000 | 195,777 |
Nabors Industries Ltd. (Energy Equip. & Svs.) | (a) | 7.500% | 01/15/2028 | 275,000 | 224,483 |
Nabors Industries, Inc. (Oil, Gas & Consumable Fuels) | (a) | 7.375% | 05/15/2027 | 50,000 | 46,148 |
NuStar Logistics LP (Oil, Gas & Consumable Fuels) | 5.625% | 04/28/2027 | 300,000 | 261,579 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 8.000% | 07/15/2025 | 100,000 | 106,000 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 5.875% | 09/01/2025 | 225,000 | 225,681 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 8.875% | 07/15/2030 | 375,000 | 417,487 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.625% | 09/01/2030 | 275,000 | 279,125 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.450% | 09/15/2036 | 225,000 | 225,000 | |
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 6.125% | 09/15/2024 | 75,000 | 73,813 | |
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.750% | 05/15/2026 | 250,000 | 231,285 | |
Permian Resources Operating LLC (Oil, Gas & Consumable Fuels) | (a) | 6.875% | 04/01/2027 | 350,000 | 338,609 |
Precision Drilling Corp. (Energy Equip. & Svs.) | (a) | 7.125% | 01/15/2026 | 200,000 | 187,667 |
Precision Drilling Corp. (Energy Equip. & Svs.) | (a) | 6.875% | 01/15/2029 | 175,000 | 154,508 |
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 4.875% | 05/15/2025 | 75,000 | 70,694 | |
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 8.250% | 01/15/2029 | 200,000 | 203,500 | |
Range Resources Corp. (Oil, Gas & Consumable Fuels) | (a) | 4.750% | 02/15/2030 | 125,000 | 108,404 |
Rockcliff Energy II LLC (Oil, Gas & Consumable Fuels) | (a) | 5.500% | 10/15/2029 | 325,000 | 284,562 |
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.750% | 09/15/2026 | 275,000 | 264,687 | |
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.625% | 01/15/2027 | 25,000 | 23,997 | |
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.500% | 07/15/2028 | 50,000 | 47,516 | |
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | 8.375% | 09/15/2028 | 225,000 | 232,942 | |
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | 5.375% | 03/15/2030 | 75,000 | 67,579 | |
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | 4.750% | 02/01/2032 | 75,000 | 62,858 | |
Tap Rock Resources LLC (Oil, Gas & Consumable Fuels) | (a) | 7.000% | 10/01/2026 | 325,000 | 297,107 |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 6.500% | 07/15/2027 | 25,000 | 24,708 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.000% | 01/15/2028 | 475,000 | 439,391 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.500% | 03/01/2030 | 475,000 | 426,317 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 4.875% | 02/01/2031 | 75,000 | 64,500 | |
TransMontaigne Partners LP / TLP Finance Corp. (Oil, Gas & Consumable Fuels) | 6.125% | 02/15/2026 | 225,000 | 187,875 | |
U.S.A. Compression Partners LP / U.S.A. Compression Finance Corp. (Energy Equip. & Svs.) | 6.875% | 04/01/2026 | 925,000 | 851,000 | |
U.S.A. Compression Partners LP / U.S.A. Compression Finance Corp. (Energy Equip. & Svs.) | 6.875% | 09/01/2027 | 150,000 | 136,324 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 4.650% | 07/01/2026 | 50,000 | 46,750 |
36
(continued)
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Energy (continued) | |||||
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 4.500% | 03/01/2028 | $ 175,000 | $ 158,375 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 4.750% | 08/15/2028 | 75,000 | 68,250 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 5.450% | 04/01/2044 | 175,000 | 143,560 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 5.300% | 03/01/2048 | 500,000 | 411,250 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 5.500% | 08/15/2048 | 100,000 | 80,875 | |
17,499,860 | |||||
Financials–11.2% | |||||
AmWINS Group, Inc. (Insurance) | (a) | 4.875% | 06/30/2029 | 400,000 | 332,025 |
Ardonagh Midco 2 PLC (Insurance) | (a)(b) | 11.500%, 12.750% PIK | 01/15/2027 | 500,000 | 507,500 |
AssuredPartners, Inc. (Insurance) | (a) | 7.000% | 08/15/2025 | 675,000 | 623,298 |
AssuredPartners, Inc. (Insurance) | (a) | 5.625% | 01/15/2029 | 200,000 | 155,445 |
BroadStreet Partners, Inc. (Insurance) | (a) | 5.875% | 04/15/2029 | 1,350,000 | 1,063,125 |
Ford Motor Credit Co. LLC (Consumer Finance) | 4.063% | 11/01/2024 | 375,000 | 351,994 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 5.125% | 06/16/2025 | 400,000 | 377,444 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 3.375% | 11/13/2025 | 575,000 | 508,016 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 4.389% | 01/08/2026 | 225,000 | 203,649 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 2.700% | 08/10/2026 | 200,000 | 165,878 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 4.271% | 01/09/2027 | 450,000 | 393,750 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 4.125% | 08/17/2027 | 300,000 | 258,150 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 5.113% | 05/03/2029 | 525,000 | 455,543 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 4.000% | 11/13/2030 | 275,000 | 214,500 | |
GTCR AP Finance, Inc. (Insurance) | (a) | 8.000% | 05/15/2027 | 500,000 | 459,972 |
GYP Holdings III Corp. (Building Products) | (a) | 4.625% | 05/01/2029 | 325,000 | 247,211 |
HUB International Ltd. (Insurance) | (a) | 7.000% | 05/01/2026 | 2,000,000 | 1,896,830 |
HUB International Ltd. (Insurance) | (a) | 5.625% | 12/01/2029 | 575,000 | 480,125 |
Navient Corp. (Consumer Finance) | 6.750% | 06/25/2025 | 175,000 | 163,828 | |
Navient Corp. (Consumer Finance) | 6.750% | 06/15/2026 | 200,000 | 181,540 | |
Navient Corp. (Consumer Finance) | 5.500% | 03/15/2029 | 350,000 | 266,052 | |
NFP Corp. (Insurance) | (a) | 6.875% | 08/15/2028 | 1,300,000 | 1,014,000 |
NFP Corp. (Insurance) | (a) | 7.500% | 10/01/2030 | 375,000 | 355,839 |
Outfront Media Capital LLC / Outfront Media Capital Corp. (Media) | (a) | 4.250% | 01/15/2029 | 100,000 | 78,550 |
Outfront Media Capital LLC / Outfront Media Capital Corp. (Media) | (a) | 4.625% | 03/15/2030 | 225,000 | 175,306 |
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. (Thrifts & Mortgage Finance) | (a) | 3.625% | 03/01/2029 | 200,000 | 153,930 |
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. (Thrifts & Mortgage Finance) | (a) | 3.875% | 03/01/2031 | 350,000 | 253,699 |
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. (Thrifts & Mortgage Finance) | (a) | 4.000% | 10/15/2033 | 450,000 | 309,381 |
Ryan Specialty Group LLC (Insurance) | (a) | 4.375% | 02/01/2030 | 275,000 | 233,238 |
United Wholesale Mortgage LLC (Thrifts & Mortgage Finance) | (a) | 5.500% | 11/15/2025 | 700,000 | 610,596 |
United Wholesale Mortgage LLC (Thrifts & Mortgage Finance) | (a) | 5.750% | 06/15/2027 | 175,000 | 138,670 |
United Wholesale Mortgage LLC (Thrifts & Mortgage Finance) | (a) | 5.500% | 04/15/2029 | 225,000 | 171,000 |
USI, Inc. (Insurance) | (a) | 6.875% | 05/01/2025 | 1,050,000 | 1,009,345 |
13,809,429 | |||||
Health Care–9.2% | |||||
AdaptHealth LLC (Health Care Providers & Svs.) | (a) | 4.625% | 08/01/2029 | 250,000 | 200,363 |
AdaptHealth LLC (Health Care Providers & Svs.) | (a) | 5.125% | 03/01/2030 | 325,000 | 267,971 |
AHP Health Partners, Inc. (Health Care Providers & Svs.) | (a) | 5.750% | 07/15/2029 | 350,000 | 271,250 |
Avantor Funding, Inc. (Health Care Equip. & Supplies) | (a) | 4.625% | 07/15/2028 | 600,000 | 533,967 |
Avantor Funding, Inc. (Health Care Equip. & Supplies) | (a) | 3.875% | 11/01/2029 | 300,000 | 243,660 |
Bausch Health Americas, Inc. (Pharmaceuticals) | (a) | 8.500% | 01/31/2027 | 525,000 | 223,125 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.500% | 11/01/2025 | 100,000 | 79,440 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 6.125% | 02/01/2027 | 275,000 | 190,343 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.000% | 02/15/2029 | 175,000 | 67,856 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 6.250% | 02/15/2029 | 175,000 | 65,297 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 7.250% | 05/30/2029 | 575,000 | 220,113 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.250% | 01/30/2030 | 375,000 | 140,055 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.250% | 02/15/2031 | 225,000 | 84,611 |
Catalent Pharma Solutions, Inc. (Pharmaceuticals) | (a) | 3.500% | 04/01/2030 | 150,000 | 118,008 |
Centene Corp. (Health Care Providers & Svs.) | 4.250% | 12/15/2027 | 800,000 | 731,760 | |
Centene Corp. (Health Care Providers & Svs.) | 4.625% | 12/15/2029 | 425,000 | 381,905 | |
Centene Corp. (Health Care Providers & Svs.) | 3.375% | 02/15/2030 | 50,000 | 40,875 | |
Centene Corp. (Health Care Providers & Svs.) | 2.625% | 08/01/2031 | 200,000 | 150,735 | |
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 3.750% | 03/15/2029 | 100,000 | 83,181 |
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 4.000% | 03/15/2031 | 125,000 | 100,803 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 8.000% | 03/15/2026 | 350,000 | 303,026 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 6.000% | 01/15/2029 | 50,000 | 36,749 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 6.875% | 04/15/2029 | 300,000 | 144,911 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 6.125% | 04/01/2030 | 150,000 | 70,740 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 5.250% | 05/15/2030 | 225,000 | 156,656 |
Embecta Corp. (Health Care Equip. & Supplies) | (a) | 5.000% | 02/15/2030 | 100,000 | 85,833 |
Embecta Corp. (Health Care Equip. & Supplies) | (a) | 6.750% | 02/15/2030 | 250,000 | 230,803 |
Garden Spinco Corp. (Health Care Equip. & Supplies) | (a) | 8.625% | 07/20/2030 | 100,000 | 103,313 |
Global Medical Response, Inc. (Health Care Providers & Svs.) | (a) | 6.500% | 10/01/2025 | 275,000 | 230,656 |
Grifols Escrow Issuer SA (Biotechnology) | (a) | 4.750% | 10/15/2028 | 200,000 | 154,454 |
HCA, Inc. (Health Care Providers & Svs.) | 5.375% | 02/01/2025 | 225,000 | 222,339 | |
HCA, Inc. (Health Care Providers & Svs.) | 3.500% | 09/01/2030 | 200,000 | 165,144 | |
HealthEquity, Inc. (Health Care Providers & Svs.) | (a) | 4.500% | 10/01/2029 | 375,000 | 316,778 |
IQVIA, Inc. (Health Care Technology) | (a) | 5.000% | 10/15/2026 | 300,000 | 285,857 |
Legacy LifePoint Health LLC (Health Care Providers & Svs.) | (a) | 6.750% | 04/15/2025 | 150,000 | 141,932 |
Legacy LifePoint Health LLC (Health Care Providers & Svs.) | (a) | 4.375% | 02/15/2027 | 125,000 | 103,291 |
37
(continued)
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Health Care (continued) | |||||
LifePoint Health, Inc. (Health Care Providers & Svs.) | (a) | 5.375% | 01/15/2029 | $ 25,000 | $ 17,430 |
Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Pharmaceuticals) | (a) | 10.000% | 06/15/2029 | 300,000 | 163,500 |
Medline Borrower LP (Health Care Equip. & Supplies) | (a) | 3.875% | 04/01/2029 | 325,000 | 260,549 |
Medline Borrower LP (Health Care Equip. & Supplies) | (a) | 5.250% | 10/01/2029 | 1,075,000 | 811,625 |
MPH Acquisition Holdings LLC (Health Care Providers & Svs.) | (a) | 5.500% | 09/01/2028 | 200,000 | 165,087 |
MPH Acquisition Holdings LLC (Health Care Providers & Svs.) | (a) | 5.750% | 11/01/2028 | 400,000 | 300,408 |
Organon & Co. / Organon Foreign Debt Co-Issuer B.V. (Pharmaceuticals) | (a) | 5.125% | 04/30/2031 | 450,000 | 368,622 |
Pediatrix Medical Group, Inc. (Health Care Providers & Svs.) | (a) | 5.375% | 02/15/2030 | 225,000 | 186,470 |
Prestige Brands, Inc. (Pharmaceuticals) | (a) | 3.750% | 04/01/2031 | 175,000 | 135,958 |
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. (Health Care Providers & Svs.) | (a) | 9.750% | 12/01/2026 | 450,000 | 402,660 |
Syneos Health, Inc. (Life Sciences Tools & Svs.) | (a) | 3.625% | 01/15/2029 | 175,000 | 139,349 |
Team Health Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.375% | 02/01/2025 | 200,000 | 148,143 |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 4.625% | 07/15/2024 | 51,000 | 49,316 | |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 4.875% | 01/01/2026 | 300,000 | 278,781 |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 6.250% | 02/01/2027 | 125,000 | 116,644 |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 5.125% | 11/01/2027 | 425,000 | 381,347 |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 6.125% | 10/01/2028 | 300,000 | 262,827 |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 4.250% | 06/01/2029 | 150,000 | 124,238 |
11,260,754 | |||||
Industrials–10.9% | |||||
Allied Universal Holdco LLC / Allied Universal Finance Corp. (Commercial Svs. & Supplies) | (a) | 6.625% | 07/15/2026 | 200,000 | 178,250 |
Allied Universal Holdco LLC / Allied Universal Finance Corp. (Commercial Svs. & Supplies) | (a) | 9.750% | 07/15/2027 | 1,300,000 | 1,068,575 |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. (Airlines) | (a) | 5.500% | 04/20/2026 | 300,000 | 281,751 |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. (Airlines) | (a) | 5.750% | 04/20/2029 | 150,000 | 130,875 |
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (a) | 4.000% | 01/15/2028 | 175,000 | 153,086 |
BCPE Empire Holdings, Inc. (Commercial Svs. & Supplies) | (a) | 7.625% | 05/01/2027 | 850,000 | 737,046 |
Brink's Co. / The (Commercial Svs. & Supplies) | (a) | 5.500% | 07/15/2025 | 75,000 | 70,988 |
Camelot Return Merger Sub, Inc. (Building Products) | (a) | 8.750% | 08/01/2028 | 175,000 | 144,235 |
Clarivate Science Holdings Corp. (Professional Svs.) | (a) | 3.875% | 07/01/2028 | 75,000 | 61,860 |
Clarivate Science Holdings Corp. (Professional Svs.) | (a) | 4.875% | 07/01/2029 | 400,000 | 313,200 |
Cornerstone Building Brands, Inc. (Building Products) | (a) | 6.125% | 01/15/2029 | 200,000 | 111,600 |
CP Atlas Buyer, Inc. (Building Products) | (a) | 7.000% | 12/01/2028 | 525,000 | 391,083 |
Dun & Bradstreet Corp. / The (Professional Svs.) | (a) | 5.000% | 12/15/2029 | 475,000 | 391,875 |
Foundation Building Materials, Inc. (Trading Companies & Distributors) | (a) | 6.000% | 03/01/2029 | 800,000 | 583,858 |
Garda World Security Corp. (Commercial Svs. & Supplies) | (a) | 4.625% | 02/15/2027 | 175,000 | 150,062 |
Garda World Security Corp. (Commercial Svs. & Supplies) | (a) | 6.000% | 06/01/2029 | 300,000 | 219,958 |
H&E Equipment Services, Inc. (Trading Companies & Distributors) | (a) | 3.875% | 12/15/2028 | 300,000 | 235,500 |
Interface, Inc. (Commercial Svs. & Supplies) | (a) | 5.500% | 12/01/2028 | 125,000 | 106,467 |
KAR Auction Services, Inc. (Commercial Svs. & Supplies) | (a) | 5.125% | 06/01/2025 | 83,000 | 80,127 |
Madison IAQ LLC (Commercial Svs. & Supplies) | (a) | 4.125% | 06/30/2028 | 50,000 | 40,160 |
Madison IAQ LLC (Commercial Svs. & Supplies) | (a) | 5.875% | 06/30/2029 | 900,000 | 626,904 |
MIWD Holdco II LLC / MIWD Finance Corp. (Building Products) | (a) | 5.500% | 02/01/2030 | 75,000 | 55,547 |
Nielsen Finance LLC / Nielsen Finance Co. (Professional Svs.) | (a) | 5.625% | 10/01/2028 | 100,000 | 99,253 |
Nielsen Finance LLC / Nielsen Finance Co. (Professional Svs.) | (a) | 5.875% | 10/01/2030 | 500,000 | 497,932 |
Nielsen Finance LLC / Nielsen Finance Co. (Professional Svs.) | (a) | 4.750% | 07/15/2031 | 175,000 | 171,566 |
Science Applications International Corp. (Professional Svs.) | (a) | 4.875% | 04/01/2028 | 75,000 | 66,724 |
Sensata Technologies B.V. (Electrical Equip.) | (a) | 5.875% | 09/01/2030 | 200,000 | 187,132 |
Sensata Technologies, Inc. (Electrical Equip.) | (a) | 4.375% | 02/15/2030 | 125,000 | 104,439 |
Sensata Technologies, Inc. (Electrical Equip.) | (a) | 3.750% | 02/15/2031 | 25,000 | 19,693 |
Solaris Midstream Holdings LLC (Commercial Svs. & Supplies) | (a) | 7.625% | 04/01/2026 | 400,000 | 384,000 |
SPX FLOW, Inc. (Machinery) | (a) | 8.750% | 04/01/2030 | 475,000 | 369,312 |
Stena International SA (Transportation Infrastructure) | (a) | 6.125% | 02/01/2025 | 300,000 | 281,393 |
TK Elevator Holdco GmbH (Building Products) | (a) | 7.625% | 07/15/2028 | 269,000 | 225,287 |
TK Elevator U.S. Newco, Inc. (Building Products) | (a) | 5.250% | 07/15/2027 | 325,000 | 276,318 |
TransDigm U.K. Holdings PLC (Aerospace & Defense) | 6.875% | 05/15/2026 | 275,000 | 260,765 | |
TransDigm, Inc. (Aerospace & Defense) | (a) | 6.250% | 03/15/2026 | 625,000 | 606,250 |
TransDigm, Inc. (Aerospace & Defense) | 6.375% | 06/15/2026 | 550,000 | 519,619 | |
TransDigm, Inc. (Aerospace & Defense) | 5.500% | 11/15/2027 | 150,000 | 130,455 | |
TransDigm, Inc. (Aerospace & Defense) | 4.625% | 01/15/2029 | 125,000 | 100,629 | |
TransDigm, Inc. (Aerospace & Defense) | 4.875% | 05/01/2029 | 425,000 | 343,530 | |
Trident TPI Holdings, Inc. (Machinery) | (a) | 9.250% | 08/01/2024 | 175,000 | 160,589 |
Trident TPI Holdings, Inc. (Machinery) | (a) | 6.625% | 11/01/2025 | 700,000 | 603,107 |
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.500% | 05/15/2027 | 25,000 | 24,159 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 4.875% | 01/15/2028 | 325,000 | 297,973 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.250% | 01/15/2030 | 100,000 | 90,503 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 3.875% | 02/15/2031 | 50,000 | 40,664 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 3.750% | 01/15/2032 | 150,000 | 117,750 | |
Watco Cos. LLC / Watco Finance Corp. (Road & Rail) | (a) | 6.500% | 06/15/2027 | 400,000 | 364,062 |
WESCO Distribution, Inc. (Trading Companies & Distributors) | (a) | 7.125% | 06/15/2025 | 100,000 | 100,055 |
WESCO Distribution, Inc. (Trading Companies & Distributors) | (a) | 7.250% | 06/15/2028 | 225,000 | 220,377 |
White Cap Buyer LLC (Building Products) | (a) | 6.875% | 10/15/2028 | 425,000 | 346,783 |
White Cap Parent LLC (Building Products) | (a)(b) | 8.250%, 9.000% PIK | 03/15/2026 | 325,000 | 275,340 |
13,418,666 | |||||
Information Technology–6.5% | |||||
AthenaHealth Group, Inc. (Software) | (a) | 6.500% | 02/15/2030 | 825,000 | 652,220 |
Black Knight InfoServ LLC (IT Svs.) | (a) | 3.625% | 09/01/2028 | 275,000 | 234,438 |
Booz Allen Hamilton, Inc. (IT Svs.) | (a) | 4.000% | 07/01/2029 | 50,000 | 42,778 |
38
(continued)
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Information Technology (continued) | |||||
Boxer Parent Co., Inc. (Software) | (a) | 9.125% | 03/01/2026 | $ 325,000 | $ 312,325 |
Central Parent, Inc. / CDK Global, Inc. (Software) | (a) | 7.250% | 06/15/2029 | 550,000 | 522,882 |
Ciena Corp. (Communications Equip.) | (a) | 4.000% | 01/31/2030 | 75,000 | 62,625 |
Coherent Corp. (Electronic Equip., Instr. & Comp.) | (a) | 5.000% | 12/15/2029 | 475,000 | 392,920 |
Condor Merger Sub, Inc. (Software) | (a) | 7.375% | 02/15/2030 | 975,000 | 797,126 |
Consensus Cloud Solutions, Inc. (Software) | (a) | 6.500% | 10/15/2028 | 300,000 | 254,662 |
Elastic N.V. (Software) | (a) | 4.125% | 07/15/2029 | 425,000 | 335,682 |
Fair Isaac Corp. (Software) | (a) | 4.000% | 06/15/2028 | 125,000 | 106,510 |
Gartner, Inc. (IT Svs.) | (a) | 4.500% | 07/01/2028 | 50,000 | 44,710 |
Gartner, Inc. (IT Svs.) | (a) | 3.750% | 10/01/2030 | 125,000 | 102,331 |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. (IT Svs.) | (a) | 5.250% | 12/01/2027 | 350,000 | 322,357 |
GoTo Group, Inc. (Software) | (a) | 5.500% | 09/01/2027 | 425,000 | 260,660 |
Helios Software Holdings, Inc. / ION Corporate Solutions Finance SARL (Software) | (a) | 4.625% | 05/01/2028 | 375,000 | 280,125 |
NCR Corp. (Software) | (a) | 5.000% | 10/01/2028 | 225,000 | 177,025 |
NCR Corp. (Software) | (a) | 5.125% | 04/15/2029 | 50,000 | 37,501 |
NCR Corp. (Software) | (a) | 6.125% | 09/01/2029 | 50,000 | 43,051 |
NCR Corp. (Software) | (a) | 5.250% | 10/01/2030 | 350,000 | 264,130 |
Open Text Corp. (Software) | (a) | 3.875% | 12/01/2029 | 350,000 | 269,580 |
Picard Midco, Inc. (Software) | (a) | 6.500% | 03/31/2029 | 150,000 | 126,705 |
Rocket Software, Inc. (Software) | (a) | 6.500% | 02/15/2029 | 625,000 | 462,500 |
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | 3.125% | 07/15/2029 | 300,000 | 219,819 | |
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | 3.375% | 07/15/2031 | 250,000 | 174,549 | |
SS&C Technologies, Inc. (Software) | (a) | 5.500% | 09/30/2027 | 600,000 | 547,316 |
Synaptics, Inc. (Semiconductors & Equip.) | (a) | 4.000% | 06/15/2029 | 125,000 | 100,632 |
TTM Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 4.000% | 03/01/2029 | 450,000 | 362,398 |
Veritas U.S., Inc. / Veritas Bermuda Ltd. (Software) | (a) | 7.500% | 09/01/2025 | 475,000 | 363,776 |
Viavi Solutions, Inc. (Communications Equip.) | (a) | 3.750% | 10/01/2029 | 75,000 | 60,006 |
7,933,339 | |||||
Materials–10.1% | |||||
ARD Finance SA (Containers & Packaging) | (a)(b) | 6.500%, 7.250% PIK | 06/30/2027 | 653,176 | 447,230 |
Ardagh Metal Packaging Finance U.S.A. LLC / Ardagh Metal Packaging Finance PLC (Containers & Packaging) | (a) | 4.000% | 09/01/2029 | 475,000 | 347,868 |
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 5.250% | 08/15/2027 | 775,000 | 484,941 |
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 5.250% | 08/15/2027 | 275,000 | 172,076 |
Axalta Coating Systems LLC (Chemicals) | (a) | 3.375% | 02/15/2029 | 150,000 | 117,593 |
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B B.V. (Chemicals) | (a) | 4.750% | 06/15/2027 | 150,000 | 133,625 |
Ball Corp. (Containers & Packaging) | 2.875% | 08/15/2030 | 325,000 | 249,420 | |
Berry Global, Inc. (Containers & Packaging) | (a) | 5.625% | 07/15/2027 | 275,000 | 257,272 |
Cheever Escrow Issuer LLC (Chemicals) | (a) | 7.125% | 10/01/2027 | 200,000 | 179,000 |
Clearwater Paper Corp. (Paper & Forest Products) | (a) | 5.375% | 02/01/2025 | 575,000 | 567,035 |
Cleveland-Cliffs, Inc. (Metals & Mining) | (a) | 4.875% | 03/01/2031 | 325,000 | 268,430 |
Clydesdale Acquisition Holdings, Inc. (Containers & Packaging) | (a) | 8.750% | 04/15/2030 | 1,250,000 | 1,033,787 |
Coeur Mining, Inc. (Metals & Mining) | (a) | 5.125% | 02/15/2029 | 325,000 | 245,567 |
Compass Minerals International, Inc. (Metals & Mining) | (a) | 4.875% | 07/15/2024 | 150,000 | 141,002 |
Crown Americas LLC / Crown Americas Capital Corp. VI (Containers & Packaging) | 4.750% | 02/01/2026 | 275,000 | 256,132 | |
Diamond BC B.V. (Chemicals) | (a) | 4.625% | 10/01/2029 | 675,000 | 469,678 |
Element Solutions, Inc. (Chemicals) | (a) | 3.875% | 09/01/2028 | 300,000 | 241,560 |
Graphic Packaging International LLC (Containers & Packaging) | (a) | 4.750% | 07/15/2027 | 150,000 | 137,331 |
Graphic Packaging International LLC (Containers & Packaging) | (a) | 3.500% | 03/15/2028 | 100,000 | 85,032 |
Graphic Packaging International LLC (Containers & Packaging) | (a) | 3.500% | 03/01/2029 | 100,000 | 82,262 |
Graphic Packaging International LLC (Containers & Packaging) | (a) | 3.750% | 02/01/2030 | 25,000 | 20,633 |
H.B. Fuller Co. (Chemicals) | 4.250% | 10/15/2028 | 125,000 | 105,175 | |
Herens Holdco SARL (Chemicals) | (a) | 4.750% | 05/15/2028 | 500,000 | 400,000 |
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. (Chemicals) | (a) | 9.000% | 07/01/2028 | 100,000 | 83,000 |
Koppers, Inc. (Chemicals) | (a) | 6.000% | 02/15/2025 | 775,000 | 693,625 |
Mauser Packaging Solutions Holding Co. (Containers & Packaging) | (a) | 5.500% | 04/15/2024 | 300,000 | 285,000 |
Mauser Packaging Solutions Holding Co. (Containers & Packaging) | (a) | 7.250% | 04/15/2025 | 225,000 | 197,926 |
OI European Group B.V. (Containers & Packaging) | (a) | 4.750% | 02/15/2030 | 300,000 | 238,500 |
Olympus Water U.S. Holding Corp. (Chemicals) | (a) | 4.250% | 10/01/2028 | 200,000 | 153,750 |
Olympus Water U.S. Holding Corp. (Chemicals) | (a) | 6.250% | 10/01/2029 | 400,000 | 274,000 |
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 5.375% | 01/15/2025 | 175,000 | 161,437 |
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 6.375% | 08/15/2025 | 475,000 | 444,747 |
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 6.625% | 05/13/2027 | 38,000 | 34,436 |
Polar U.S. Borrower LLC / Schenectady International Group, Inc. (Chemicals) | (a) | 6.750% | 05/15/2026 | 500,000 | 274,995 |
Sealed Air Corp. (Containers & Packaging) | (a) | 4.000% | 12/01/2027 | 175,000 | 151,436 |
Sealed Air Corp. (Containers & Packaging) | (a) | 5.000% | 04/15/2029 | 75,000 | 66,938 |
SPCM SA (Chemicals) | (a) | 3.375% | 03/15/2030 | 200,000 | 156,130 |
SRS Distribution, Inc. (Construction Materials) | (a) | 6.125% | 07/01/2029 | 200,000 | 160,620 |
SRS Distribution, Inc. (Construction Materials) | (a) | 6.000% | 12/01/2029 | 625,000 | 498,450 |
Standard Industries, Inc. (Construction Materials) | (a) | 5.000% | 02/15/2027 | 1,125,000 | 995,524 |
Standard Industries, Inc. (Construction Materials) | (a) | 4.750% | 01/15/2028 | 25,000 | 21,122 |
Trivium Packaging Finance B.V. (Containers & Packaging) | (a) | 5.500% | 08/15/2026 | 200,000 | 178,874 |
Trivium Packaging Finance B.V. (Containers & Packaging) | (a) | 8.500% | 08/15/2027 | 675,000 | 595,898 |
W.R. Grace Holdings LLC (Chemicals) | (a) | 4.875% | 06/15/2027 | 125,000 | 107,454 |
W.R. Grace Holdings LLC (Chemicals) | (a) | 5.625% | 08/15/2029 | 250,000 | 187,500 |
12,404,011 | |||||
Real Estate–0.5% | |||||
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 4.625% | 06/15/2025 | 100,000 | 94,103 |
39
(continued)
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Real Estate (continued) | |||||
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 4.250% | 12/01/2026 | $ 225,000 | $ 203,084 |
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 3.875% | 02/15/2029 | 50,000 | 41,945 |
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 4.625% | 12/01/2029 | 275,000 | 238,573 |
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 4.125% | 08/15/2030 | 100,000 | 83,522 |
661,227 | |||||
Utilities–3.2% | |||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.875% | 08/20/2026 | 425,000 | 385,119 | |
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.750% | 05/20/2027 | 100,000 | 89,804 | |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 5.250% | 06/01/2026 | 50,000 | 47,132 |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 4.500% | 02/15/2028 | 425,000 | 374,421 |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 4.625% | 02/01/2029 | 150,000 | 122,229 |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 5.000% | 02/01/2031 | 100,000 | 79,456 |
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 3.750% | 03/01/2031 | 300,000 | 234,750 |
NRG Energy, Inc. (Electric Utilities) | 6.625% | 01/15/2027 | 76,000 | 74,424 | |
NRG Energy, Inc. (Electric Utilities) | (a) | 3.375% | 02/15/2029 | 25,000 | 20,241 |
NRG Energy, Inc. (Electric Utilities) | (a) | 3.625% | 02/15/2031 | 25,000 | 19,500 |
NRG Energy, Inc. (Electric Utilities) | (a) | 3.875% | 02/15/2032 | 775,000 | 604,535 |
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.875% | 03/01/2027 | 600,000 | 566,041 | |
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | (a) | 5.000% | 06/01/2031 | 125,000 | 102,600 |
TerraForm Power Operating LLC (Ind. Power & Renewable Elec.) | (a) | 5.000% | 01/31/2028 | 750,000 | 660,772 |
Vistra Operations Co. LLC (Ind. Power & Renewable Elec.) | (a) | 5.500% | 09/01/2026 | 225,000 | 208,687 |
Vistra Operations Co. LLC (Ind. Power & Renewable Elec.) | (a) | 5.000% | 07/31/2027 | 375,000 | 338,719 |
3,928,430 | |||||
Total Corporate Bonds (Cost $144,867,596) | $120,686,289 |
Common Stocks–0.2% | Shares | Value | |
Communication Services–0.0% | |||
iHeartMedia, Inc. Class A (Media) | (c) | 7,387 | $ 54,147 |
Health Care–0.2% | |||
Mallinckrodt PLC (Pharmaceuticals) | (c) | 14,672 | 249,424 |
Total Common Stocks (Cost $449,920) | $303,571 |
Rights–0.0% | Quantity | Value | |
Communication Services–0.0% | |||
Intelsat Jackson Holdings SA Series B CVR (Diversified Telecom. Svs.) | (c) | 591 | $ 3,251 |
Total Rights (Cost $0) | $3,251 |
Money Market Funds–1.9% | Shares | Value | |
State Street Institutional Liquid Reserves Fund Institutional Class, 3.011% | (d) | 2,327,211 | $ 2,327,676 |
Total Money Market Funds (Cost $2,327,525) | $2,327,676 | ||
Total Investments – 100.4% (Cost $147,645,041) | (e) | $123,320,787 | |
Liabilities in Excess of Other Assets – (0.4)% | (550,439) | ||
Net Assets – 100.0% | $122,770,348 |
Percentages are stated as a percent of net assets. |
Abbreviations: | ||
CVR: | Contingent Value Right | |
PIK: | Payment-in-Kind |
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 September 30, 2022, the value of these securities totaled $99,600,566, or 81.1% of the Portfolio’s net assets. | |
(b) | Issuer of the security has the option to make coupon payments in cash or in additional par value of this bond (Payment-in-Kind). | |
(c) | Non-income producing security. | |
(d) | Rate represents the seven-day yield at September 30, 2022. | |
(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. |
The accompanying
notes are an integral part of these financial statements.
40
Ohio National Fund, Inc. | ON Nasdaq-100® Index Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
41
(continued)
Ohio National Fund, Inc. | ON Nasdaq-100® Index Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Percentages are stated as a percent of net assets. |
Abbreviations: | ||
ADR: | American Depositary Receipts |
Footnotes: | ||
(a) | Non-income producing security. | |
(b) | Security is fully pledged, in addition to $37,070 of the Portfolio’s cash holdings, as collateral for the futures contracts outstanding at September 30, 2022. See also the following Schedule of Open Futures Contracts. | |
(c) | Rate represents the seven-day yield at September 30, 2022. | |
(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.
Schedule of Open Futures Contracts | September 30, 2022 (Unaudited) |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
CME E-mini Nasdaq-100 Index - Long | 9 | December 16, 2022 | $2,084,036 | $1,986,390 | $(97,646) | $(19,682) |
The
accompanying notes are an integral part of these financial statements.
42
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
43
(continued)
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Percentages are stated as a percent of net assets. |
Footnotes: | ||
(a) | Non-income producing security. | |
(b) | Rate represents the seven-day yield at September 30, 2022. | |
(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 $260,000 of cash pledged as collateral for the futures contracts outstanding at September 30, 2022. 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 | September 30, 2022 (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 | 26 | December 16, 2022 | $5,227,229 | $4,681,950 | $(545,279) | $(68,575) |
The
accompanying notes are an integral part of these financial statements.
44
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
45
(continued)
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
46
(continued)
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
47
(continued)
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (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 September 30, 2022. | |
(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 $137,500 of cash pledged as collateral for the futures contracts outstanding at September 30, 2022. 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 | September 30, 2022 (Unaudited) |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
CME E-mini Russell 2000 Index - Long | 25 | December 16, 2022 | $2,336,996 | $2,087,250 | $(249,746) | $(15,375) |
The
accompanying notes are an integral part of these financial statements.
48
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
49
(continued)
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
50
(continued)
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
51
(continued)
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Percentages are stated as a percent of net assets. |
Footnotes: | ||
(a) | Non-income producing security. | |
(b) | Security is fully pledged, in addition to $145,070 of the Portfolio’s cash holdings, as collateral for the futures contracts outstanding at September 30, 2022. See also the following Schedule of Open Futures Contracts. | |
(c) | Rate represents the seven-day yield at September 30, 2022. | |
(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.
52
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Open Futures Contracts | September 30, 2022 (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 | 18 | December 16, 2022 | $4,216,173 | $3,974,760 | $(241,413) | $(16,698) |
The accompanying
notes are an integral part of these financial statements.
53
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Growth Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
54
(continued)
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Growth Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Percentages are stated as a percent of net assets. |
Footnotes: | ||
(a) | Non-income producing security. | |
(b) | Rate represents the seven-day yield at September 30, 2022. | |
(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 $45,000 of cash pledged as collateral for the futures contracts outstanding at September 30, 2022. 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 | September 30, 2022 (Unaudited) |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
CME E-mini Nasdaq-100 Index - Long | 3 | December 16, 2022 | $760,555 | $662,130 | $(98,425) | $(11,565) |
The
accompanying notes are an integral part of these financial statements.
55
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
Common Stocks–47.6% | Shares | Value | |
Communication Services–3.6% | |||
Alphabet, Inc. Class A (Interactive Media & Svs.) | (a) | 5,914 | $ 565,674 |
Alphabet, Inc. Class C (Interactive Media & Svs.) | (a) | 237,733 | 22,858,028 |
AT&T, Inc. (Diversified Telecom. Svs.) | 95,173 | 1,459,954 | |
Comcast Corp. Class A (Media) | 66,982 | 1,964,582 | |
Electronic Arts, Inc. (Entertainment) | 24,573 | 2,843,342 | |
Lumen Technologies, Inc. (Diversified Telecom. Svs.) | 86,311 | 628,344 | |
Meta Platforms, Inc. Class A (Interactive Media & Svs.) | (a) | 25,560 | 3,467,981 |
Netflix, Inc. (Entertainment) | (a) | 7,176 | 1,689,517 |
Paramount Global Class B (Media) | 39,060 | 743,702 | |
Pinterest, Inc. Class A (Interactive Media & Svs.) | (a) | 50,939 | 1,186,879 |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 47,932 | 1,819,978 | |
Warner Bros Discovery, Inc. (Entertainment) | (a) | 72,902 | 838,373 |
40,066,354 | |||
Consumer Discretionary–4.1% | |||
Advance Auto Parts, Inc. (Specialty Retail) | 3,286 | 513,733 | |
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 91,571 | 10,347,523 |
Aptiv PLC (Auto Components) | (a) | 7,218 | 564,520 |
AutoZone, Inc. (Specialty Retail) | (a) | 2,403 | 5,147,058 |
Best Buy Co., Inc. (Specialty Retail) | 8,764 | 555,112 | |
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | (a) | 488 | 801,886 |
BorgWarner, Inc. (Auto Components) | 16,589 | 520,895 | |
Chipotle Mexican Grill, Inc. (Hotels, Restaurants & Leisure) | (a) | 1,475 | 2,216,571 |
Dollar General Corp. (Multiline Retail) | 4,443 | 1,065,698 | |
Domino's Pizza, Inc. (Hotels, Restaurants & Leisure) | 1,406 | 436,141 | |
Etsy, Inc. (Internet & Direct Marketing Retail) | (a) | 26,398 | 2,643,232 |
General Motors Co. (Automobiles) | 26,329 | 844,898 | |
Home Depot, Inc. / The (Specialty Retail) | 32,422 | 8,946,527 | |
Lennar Corp. Class A (Household Durables) | 8,933 | 665,955 | |
Lithia Motors, Inc. (Specialty Retail) | 2,011 | 431,460 | |
LKQ Corp. (Distributors) | 12,033 | 567,356 | |
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 41,544 | 3,453,137 | |
O'Reilly Automotive, Inc. (Specialty Retail) | (a) | 3,709 | 2,608,725 |
PulteGroup, Inc. (Household Durables) | 13,775 | 516,562 | |
Service Corp. International (Diversified Consumer Svs.) | 8,894 | 513,539 | |
Tractor Supply Co. (Specialty Retail) | 4,453 | 827,724 | |
V.F. Corp. (Textiles, Apparel & Luxury Goods) | 13,783 | 412,249 | |
Whirlpool Corp. (Household Durables) | 3,601 | 485,451 | |
Williams-Sonoma, Inc. (Specialty Retail) | 4,702 | 554,131 | |
45,640,083 | |||
Consumer Staples–3.9% | |||
Altria Group, Inc. (Tobacco) | 32,228 | 1,301,367 | |
BJ's Wholesale Club Holdings, Inc. (Food & Staples Retailing) | (a) | 20,702 | 1,507,313 |
Bunge Ltd. (Food Products) | 14,867 | 1,227,568 | |
Coca-Cola Co. / The (Beverages) | 66,276 | 3,712,782 | |
Costco Wholesale Corp. (Food & Staples Retailing) | 18,254 | 8,620,817 | |
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 5,492 | 1,185,723 | |
General Mills, Inc. (Food Products) | 27,086 | 2,075,058 | |
Keurig Dr Pepper, Inc. (Beverages) | 78,576 | 2,814,592 | |
Kimberly-Clark Corp. (Household Products) | 10,786 | 1,213,856 | |
Koninklijke Ahold Delhaize N.V. – ADR (Food & Staples Retailing) | 75,810 | 1,928,606 | |
Kroger Co. / The (Food & Staples Retailing) | 31,348 | 1,371,475 | |
Molson Coors Beverage Co. Class B (Beverages) | 24,305 | 1,166,397 | |
Monster Beverage Corp. (Beverages) | (a) | 84,486 | 7,346,903 |
Philip Morris International, Inc. (Tobacco) | 28,808 | 2,391,352 | |
Procter & Gamble Co. / The (Household Products) | 15,171 | 1,915,339 | |
Tyson Foods, Inc. Class A (Food Products) | 16,680 | 1,099,712 | |
Walgreens Boots Alliance, Inc. (Food & Staples Retailing) | 38,399 | 1,205,729 | |
Walmart, Inc. (Food & Staples Retailing) | 14,372 | 1,864,048 | |
43,948,637 | |||
Energy–1.6% | |||
APA Corp. (Oil, Gas & Consumable Fuels) | 36,923 | 1,262,397 | |
Baker Hughes Co. (Energy Equip. & Svs.) | 48,466 | 1,015,847 | |
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 15,760 | 1,484,750 | |
Coterra Energy, Inc. (Oil, Gas & Consumable Fuels) | 51,831 | 1,353,826 | |
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 5,088 | 444,233 | |
Halliburton Co. (Energy Equip. & Svs.) | 42,954 | 1,057,527 |
56
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Common Stocks (Continued) | Shares | Value | |
Energy (continued) | |||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 86,386 | $ 1,437,463 | |
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 18,611 | 1,848,631 | |
Phillips 66 (Oil, Gas & Consumable Fuels) | 18,212 | 1,470,073 | |
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 6,515 | 1,410,693 | |
Schlumberger N.V. (Energy Equip. & Svs.) | 44,049 | 1,581,359 | |
Shell PLC – ADR (Oil, Gas & Consumable Fuels) | 48,373 | 2,407,041 | |
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 14,317 | 1,529,771 | |
18,303,611 | |||
Financials–4.9% | |||
Alleghany Corp. (Insurance) | (a) | 1,388 | 1,165,046 |
Ally Financial, Inc. (Consumer Finance) | 34,704 | 965,812 | |
American International Group, Inc. (Insurance) | 27,040 | 1,283,859 | |
Annaly Capital Management, Inc. (Mortgage REIT) | 48,692 | 835,559 | |
Bank of New York Mellon Corp. / The (Capital Markets) | 31,393 | 1,209,258 | |
Berkshire Hathaway, Inc. Class B (Diversified Financial Svs.) | (a) | 17,308 | 4,621,582 |
Capital One Financial Corp. (Consumer Finance) | 13,320 | 1,227,704 | |
CBOE Global Markets, Inc. (Capital Markets) | 8,844 | 1,038,020 | |
Citigroup, Inc. (Banks) | 38,128 | 1,588,794 | |
Citizens Financial Group, Inc. (Banks) | 33,953 | 1,166,625 | |
CME Group, Inc. (Capital Markets) | 3,336 | 590,906 | |
Discover Financial Services (Consumer Finance) | 13,525 | 1,229,693 | |
Everest Re Group Ltd. (Insurance) | 10,557 | 2,770,579 | |
Fidelity National Financial, Inc. (Insurance) | 31,282 | 1,132,408 | |
Fifth Third Bancorp (Banks) | 37,267 | 1,191,053 | |
Hartford Financial Services Group, Inc. / The (Insurance) | 18,978 | 1,175,497 | |
Houlihan Lokey, Inc. (Capital Markets) | 21,531 | 1,623,007 | |
Intercontinental Exchange, Inc. (Capital Markets) | 19,675 | 1,777,636 | |
JPMorgan Chase & Co. (Banks) | 55,373 | 5,786,479 | |
KeyCorp (Banks) | 69,723 | 1,116,963 | |
Lincoln National Corp. (Insurance) | 24,478 | 1,074,829 | |
Marsh & McLennan Cos., Inc. (Insurance) | 12,728 | 1,900,163 | |
MetLife, Inc. (Insurance) | 22,318 | 1,356,488 | |
MSCI, Inc. (Capital Markets) | 3,124 | 1,317,672 | |
Progressive Corp. / The (Insurance) | 21,329 | 2,478,643 | |
Prudential Financial, Inc. (Insurance) | 14,092 | 1,208,812 | |
Regions Financial Corp. (Banks) | 64,668 | 1,297,887 | |
Reinsurance Group of America, Inc. (Insurance) | 9,728 | 1,223,880 | |
Selective Insurance Group, Inc. (Insurance) | 11,515 | 937,321 | |
State Street Corp. (Capital Markets) | 20,278 | 1,233,105 | |
Synchrony Financial (Consumer Finance) | 42,904 | 1,209,464 | |
T. Rowe Price Group, Inc. (Capital Markets) | 11,186 | 1,174,642 | |
U.S. Bancorp (Banks) | 59,748 | 2,409,039 | |
Willis Towers Watson PLC (Insurance) | 13,776 | 2,768,150 | |
55,086,575 | |||
Health Care–9.7% | |||
AbbVie, Inc. (Biotechnology) | 27,001 | 3,623,804 | |
ABIOMED, Inc. (Health Care Equip. & Supplies) | (a) | 4,317 | 1,060,514 |
Align Technology, Inc. (Health Care Equip. & Supplies) | (a) | 5,415 | 1,121,501 |
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 9,150 | 1,238,270 | |
Avantor, Inc. (Life Sciences Tools & Svs.) | (a) | 41,667 | 816,673 |
Biogen, Inc. (Biotechnology) | (a) | 7,170 | 1,914,390 |
Cardinal Health, Inc. (Health Care Providers & Svs.) | 25,783 | 1,719,210 | |
Centene Corp. (Health Care Providers & Svs.) | (a) | 42,166 | 3,280,936 |
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 5,948 | 1,170,566 |
Cigna Corp. (Health Care Providers & Svs.) | 6,780 | 1,881,247 | |
CVS Health Corp. (Health Care Providers & Svs.) | 49,527 | 4,723,390 | |
DENTSPLY SIRONA, Inc. (Health Care Equip. & Supplies) | 36,356 | 1,030,693 | |
Edwards Lifesciences Corp. (Health Care Equip. & Supplies) | (a) | 59,438 | 4,911,362 |
Eli Lilly & Co. (Pharmaceuticals) | 7,676 | 2,482,035 | |
Genmab A/S – ADR (Biotechnology) | (a) | 23,379 | 751,167 |
Gilead Sciences, Inc. (Biotechnology) | 29,384 | 1,812,699 | |
HCA Healthcare, Inc. (Health Care Providers & Svs.) | 8,993 | 1,652,823 | |
Hologic, Inc. (Health Care Equip. & Supplies) | (a) | 19,746 | 1,274,012 |
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a) | 11,110 | 3,619,638 |
Illumina, Inc. (Life Sciences Tools & Svs.) | (a) | 4,369 | 833,562 |
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 25,936 | 4,861,444 |
Johnson & Johnson (Pharmaceuticals) | 19,773 | 3,230,117 | |
McKesson Corp. (Health Care Providers & Svs.) | 10,986 | 3,733,812 |
57
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Common Stocks (Continued) | Shares | Value | |
Health Care (continued) | |||
Merck & Co., Inc. (Pharmaceuticals) | 49,839 | $ 4,292,135 | |
Mettler-Toledo International, Inc. (Life Sciences Tools & Svs.) | (a) | 1,774 | 1,923,229 |
Moderna, Inc. (Biotechnology) | (a) | 11,136 | 1,316,832 |
Molina Healthcare, Inc. (Health Care Providers & Svs.) | (a) | 4,650 | 1,533,756 |
Organon & Co. (Pharmaceuticals) | 38,691 | 905,369 | |
QIAGEN N.V. (Life Sciences Tools & Svs.) | (a) | 27,999 | 1,155,799 |
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a) | 2,794 | 1,924,703 |
Roche Holding AG – ADR (Pharmaceuticals) | 61,503 | 2,498,252 | |
Royalty Pharma PLC Class A (Pharmaceuticals) | 32,266 | 1,296,448 | |
Teleflex, Inc. (Health Care Equip. & Supplies) | 5,401 | 1,088,085 | |
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 1,664 | 843,964 | |
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 31,680 | 15,999,667 | |
Veeva Systems, Inc. Class A (Health Care Technology) | (a) | 22,088 | 3,641,869 |
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a) | 31,626 | 9,156,992 |
Viatris, Inc. (Pharmaceuticals) | 127,621 | 1,087,331 | |
Zoetis, Inc. (Pharmaceuticals) | 53,472 | 7,929,363 | |
109,337,659 | |||
Industrials–2.2% | |||
3M Co. (Industrial Conglomerates) | 8,245 | 911,073 | |
AECOM (Construction & Engineering) | 17,007 | 1,162,769 | |
AMETEK, Inc. (Electrical Equip.) | 16,790 | 1,904,154 | |
Builders FirstSource, Inc. (Building Products) | (a) | 11,027 | 649,711 |
Carrier Global Corp. (Building Products) | 20,956 | 745,195 | |
Copart, Inc. (Commercial Svs. & Supplies) | (a) | 37,611 | 4,001,810 |
Fortune Brands Home & Security, Inc. (Building Products) | 9,492 | 509,626 | |
General Dynamics Corp. (Aerospace & Defense) | 4,189 | 888,780 | |
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | 2,654 | 587,861 | |
IDEX Corp. (Machinery) | 9,680 | 1,934,548 | |
Johnson Controls International PLC (Building Products) | 16,084 | 791,655 | |
L3Harris Technologies, Inc. (Aerospace & Defense) | 3,590 | 746,110 | |
Lockheed Martin Corp. (Aerospace & Defense) | 7,352 | 2,840,004 | |
Masco Corp. (Building Products) | 12,035 | 561,914 | |
Northrop Grumman Corp. (Aerospace & Defense) | 2,667 | 1,254,343 | |
Otis Worldwide Corp. (Machinery) | 10,286 | 656,247 | |
Pentair PLC (Machinery) | 12,662 | 514,457 | |
RELX PLC – ADR (Professional Svs.) | 33,084 | 804,272 | |
Robert Half International, Inc. (Professional Svs.) | 7,324 | 560,286 | |
Stanley Black & Decker, Inc. (Machinery) | 6,110 | 459,533 | |
Textron, Inc. (Aerospace & Defense) | 10,166 | 592,271 | |
Trex Co., Inc. (Building Products) | (a) | 17,928 | 787,756 |
Verisk Analytics, Inc. (Professional Svs.) | 3,410 | 581,507 | |
Watsco, Inc. (Trading Companies & Distributors) | 2,372 | 610,695 | |
25,056,577 | |||
Information Technology–14.9% | |||
Adobe, Inc. (Software) | (a) | 17,253 | 4,748,026 |
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | (a) | 23,422 | 1,484,018 |
Amdocs Ltd. (IT Svs.) | 28,441 | 2,259,637 | |
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 44,308 | 2,966,864 | |
Analog Devices, Inc. (Semiconductors & Equip.) | 2,702 | 376,497 | |
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 63,413 | 8,763,677 | |
Arista Networks, Inc. (Communications Equip.) | (a) | 45,521 | 5,138,866 |
ASML Holding N.V. (Semiconductors & Equip.) | 3,380 | 1,403,883 | |
Atlassian Corp. PLC Class A (Software) | (a) | 7,263 | 1,529,515 |
Autodesk, Inc. (Software) | (a) | 14,200 | 2,652,560 |
Automatic Data Processing, Inc. (IT Svs.) | 9,004 | 2,036,615 | |
Block, Inc. (IT Svs.) | (a) | 10,847 | 596,477 |
Booz Allen Hamilton Holding Corp. (IT Svs.) | 31,890 | 2,945,041 | |
Broadcom, Inc. (Semiconductors & Equip.) | 8,923 | 3,961,901 | |
CDW Corp. (Electronic Equip., Instr. & Comp.) | 8,511 | 1,328,397 | |
Cognex Corp. (Electronic Equip., Instr. & Comp.) | 21,040 | 872,108 | |
Corning, Inc. (Electronic Equip., Instr. & Comp.) | 19,058 | 553,063 | |
Dell Technologies, Inc. Class C (Tech. Hardware, Storage & Periph.) | 11,198 | 382,636 | |
DocuSign, Inc. (Software) | (a) | 8,009 | 428,241 |
Entegris, Inc. (Semiconductors & Equip.) | 26,632 | 2,210,989 | |
EPAM Systems, Inc. (IT Svs.) | (a) | 11,543 | 4,180,759 |
Fidelity National Information Services, Inc. (IT Svs.) | 43,280 | 3,270,670 | |
Fortinet, Inc. (Software) | (a) | 93,449 | 4,591,149 |
Genpact Ltd. (IT Svs.) | 75,497 | 3,304,504 |
58
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Common Stocks (Continued) | Shares | Value | |
Information Technology (continued) | |||
Global Payments, Inc. (IT Svs.) | 5,966 | $ 644,626 | |
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 42,149 | 504,945 | |
HP, Inc. (Tech. Hardware, Storage & Periph.) | 18,573 | 462,839 | |
Intel Corp. (Semiconductors & Equip.) | 41,799 | 1,077,160 | |
KLA Corp. (Semiconductors & Equip.) | 4,568 | 1,382,414 | |
Manhattan Associates, Inc. (Software) | (a) | 8,773 | 1,167,072 |
Mastercard, Inc. Class A (IT Svs.) | 5,369 | 1,526,621 | |
Micron Technology, Inc. (Semiconductors & Equip.) | 15,045 | 753,754 | |
Microsoft Corp. (Software) | 150,651 | 35,086,618 | |
Motorola Solutions, Inc. (Communications Equip.) | 13,714 | 3,071,525 | |
NortonLifeLock, Inc. (Software) | 139,500 | 2,809,530 | |
NVIDIA Corp. (Semiconductors & Equip.) | 35,914 | 4,359,600 | |
Oracle Corp. (Software) | 49,932 | 3,049,347 | |
Paychex, Inc. (IT Svs.) | 26,605 | 2,985,347 | |
PayPal Holdings, Inc. (IT Svs.) | (a) | 37,514 | 3,228,830 |
PTC, Inc. (Software) | (a) | 17,179 | 1,796,923 |
Qorvo, Inc. (Semiconductors & Equip.) | (a) | 5,375 | 426,829 |
QUALCOMM, Inc. (Semiconductors & Equip.) | 61,255 | 6,920,590 | |
Roper Technologies, Inc. (Software) | 9,485 | 3,411,185 | |
Salesforce, Inc. (Software) | (a) | 8,717 | 1,253,853 |
ServiceNow, Inc. (Software) | (a) | 6,880 | 2,597,957 |
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 5,847 | 498,574 | |
SS&C Technologies Holdings, Inc. (IT Svs.) | 9,081 | 433,618 | |
Synopsys, Inc. (Software) | (a) | 808 | 246,852 |
Texas Instruments, Inc. (Semiconductors & Equip.) | 4,673 | 723,287 | |
Tyler Technologies, Inc. (Software) | (a) | 5,581 | 1,939,397 |
VeriSign, Inc. (IT Svs.) | (a) | 14,950 | 2,596,815 |
Visa, Inc. (IT Svs.) | 82,791 | 14,707,821 | |
VMware, Inc. Class A (Software) | 18,517 | 1,971,320 | |
Workday, Inc. Class A (Software) | (a) | 3,573 | 543,882 |
Zebra Technologies Corp. Class A (Electronic Equip., Instr. & Comp.) | (a) | 9,363 | 2,453,200 |
Zoom Video Communications, Inc. Class A (Software) | (a) | 5,237 | 385,391 |
167,003,815 | |||
Materials–0.6% | |||
Amcor PLC (Containers & Packaging) | 52,991 | 568,593 | |
Celanese Corp. (Chemicals) | 5,229 | 472,388 | |
Dow, Inc. (Chemicals) | 15,478 | 679,949 | |
DuPont de Nemours, Inc. (Chemicals) | 13,134 | 661,954 | |
International Paper Co. (Containers & Packaging) | 15,187 | 481,428 | |
LyondellBasell Industries N.V. Class A (Chemicals) | 22,114 | 1,664,742 | |
Sherwin-Williams Co. / The (Chemicals) | 7,330 | 1,500,817 | |
Westrock Co. (Containers & Packaging) | 14,948 | 461,744 | |
6,491,615 | |||
Real Estate–0.5% | |||
Boston Properties, Inc. (Equity REIT) | 7,731 | 579,593 | |
CBRE Group, Inc. Class A (Real Estate Mgmt. & Development) | (a) | 9,590 | 647,421 |
Federal Realty Investment Trust (Equity REIT) | 6,691 | 602,993 | |
Lamar Advertising Co. Class A (Equity REIT) | 6,913 | 570,253 | |
Medical Properties Trust, Inc. (Equity REIT) | 42,691 | 506,315 | |
Regency Centers Corp. (Equity REIT) | 11,127 | 599,189 | |
Simon Property Group, Inc. (Equity REIT) | 7,793 | 699,422 | |
Sun Communities, Inc. (Equity REIT) | 2,947 | 398,817 | |
VICI Properties, Inc. (Equity REIT) | 26,741 | 798,219 | |
Weyerhaeuser Co. (Equity REIT) | 23,160 | 661,450 | |
6,063,672 | |||
Utilities–1.6% | |||
Ameren Corp. (Multi-Utilities) | 16,513 | 1,330,122 | |
American Electric Power Co., Inc. (Electric Utilities) | 26,112 | 2,257,382 | |
CenterPoint Energy, Inc. (Multi-Utilities) | 72,363 | 2,039,189 | |
Constellation Energy Corp. (Electric Utilities) | 24,369 | 2,027,257 | |
Evergy, Inc. (Electric Utilities) | 20,910 | 1,242,054 | |
NextEra Energy, Inc. (Electric Utilities) | 16,484 | 1,292,511 | |
NiSource, Inc. (Multi-Utilities) | 45,632 | 1,149,470 | |
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 34,680 | 1,327,204 | |
PG&E Corp. (Electric Utilities) | (a) | 137,435 | 1,717,938 |
Pinnacle West Capital Corp. (Electric Utilities) | 18,028 | 1,162,986 |
59
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Common Stocks (Continued) | Shares | Value | |
Utilities (continued) | |||
UGI Corp. (Gas Utilities) | 34,108 | $ 1,102,712 | |
Vistra Corp. (Ind. Power & Renewable Elec.) | 56,959 | 1,196,139 | |
17,844,964 | |||
Total Common Stocks (Cost $567,509,051) | $534,843,562 |
U.S. Treasury Obligations–15.9% | Rate | Maturity | Face Amount | Value | |
U.S. Treasury Note | 2.500% | 04/30/2024 | $40,351,900 | $ 39,226,460 | |
U.S. Treasury Note | 3.000% | 06/30/2024 | 2,293,600 | 2,243,607 | |
U.S. Treasury Note | (b) | 2.250% | 11/15/2024 | 1,865,000 | 1,788,943 |
U.S. Treasury Note | (b) | 0.500% | 03/31/2025 | 6,986,200 | 6,373,543 |
U.S. Treasury Note | 1.625% | 05/15/2026 | 1,662,900 | 1,519,930 | |
U.S. Treasury Note | 2.750% | 07/31/2027 | 38,326,900 | 36,090,166 | |
U.S. Treasury Note | 1.875% | 02/15/2032 | 54,359,300 | 46,061,013 | |
U.S. Treasury Note | 2.750% | 08/15/2032 | 4,674,200 | 4,273,972 | |
U.S. Treasury Note | 1.750% | 08/15/2041 | 2,584,800 | 1,767,256 | |
U.S. Treasury Note | 2.000% | 11/15/2041 | 656,500 | 469,859 | |
U.S. Treasury Note | 2.375% | 02/15/2042 | 268,200 | 205,508 | |
U.S. Treasury Note | 3.250% | 05/15/2042 | 24,263,600 | 21,533,945 | |
U.S. Treasury Note | (b) | 2.750% | 08/15/2042 | 2,036,600 | 1,654,419 |
U.S. Treasury Note | 2.250% | 08/15/2049 | 1,246,800 | 911,576 | |
U.S. Treasury Note | 2.375% | 11/15/2049 | 338,600 | 254,982 | |
U.S. Treasury Note | 1.875% | 02/15/2051 | 263,000 | 174,114 | |
U.S. Treasury Note | 2.375% | 05/15/2051 | 338,200 | 253,016 | |
U.S. Treasury Note | 2.000% | 08/15/2051 | 866,300 | 591,724 | |
U.S. Treasury Note | (b) | 2.250% | 02/15/2052 | 16,994,700 | 12,347,712 |
U.S. Treasury Note | 2.875% | 05/15/2052 | 1,371,700 | 1,150,299 | |
Total U.S. Treasury Obligations (Cost $194,948,779) | $178,892,044 |
Corporate Bonds–15.0% | Rate | Maturity | Face Amount | Value | |
Communication Services–0.8% | |||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.650% | 09/15/2059 | $ 33,000 | $ 21,381 | |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (c) | 4.500% | 08/15/2030 | 59,000 | 46,660 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (c) | 4.750% | 02/01/2032 | 102,000 | 79,436 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (c) | 4.500% | 06/01/2033 | 209,000 | 154,403 |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 5.050% | 03/30/2029 | 519,000 | 477,698 | |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 6.484% | 10/23/2045 | 62,000 | 54,596 | |
Discovery Communications LLC (Media) | 5.200% | 09/20/2047 | 75,000 | 55,353 | |
Discovery Communications LLC (Media) | 5.300% | 05/15/2049 | 35,000 | 26,118 | |
DISH DBS Corp. (Media) | (c) | 5.250% | 12/01/2026 | 1,021,000 | 836,451 |
DISH DBS Corp. (Media) | (c) | 5.750% | 12/01/2028 | 158,000 | 119,407 |
Entegris Escrow Corp. (Media) | (c) | 4.750% | 04/15/2029 | 209,000 | 184,092 |
Fox Corp. (Media) | 5.576% | 01/25/2049 | 1,068,000 | 913,322 | |
Globo Comunicacao e Participacoes SA (Media) | 4.875% | 01/22/2030 | 794,000 | 597,485 | |
Level 3 Financing, Inc. (Diversified Telecom. Svs.) | (c) | 3.875% | 11/15/2029 | 309,000 | 243,449 |
Magallanes, Inc. (Media) | (c) | 4.279% | 03/15/2032 | 1,122,000 | 923,050 |
Netflix, Inc. (Entertainment) | 5.875% | 11/15/2028 | 310,000 | 302,492 | |
Tencent Holdings Ltd. (Interactive Media & Svs.) | (c) | 1.810% | 01/26/2026 | 201,000 | 180,160 |
Tencent Holdings Ltd. (Interactive Media & Svs.) | (c) | 3.240% | 06/03/2050 | 201,000 | 122,068 |
Time Warner Cable LLC (Media) | 7.300% | 07/01/2038 | 811,000 | 771,242 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 2.625% | 04/15/2026 | 70,000 | 63,435 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 2.625% | 02/15/2029 | 46,000 | 37,980 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 3.375% | 04/15/2029 | 28,000 | 24,191 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 3.875% | 04/15/2030 | 1,293,000 | 1,146,911 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 2.550% | 02/15/2031 | 94,000 | 74,475 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 2.875% | 02/15/2031 | 143,000 | 115,235 | |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 3.150% | 03/22/2030 | 1,458,000 | 1,240,155 | |
Weibo Corp. (Interactive Media & Svs.) | 3.375% | 07/08/2030 | 742,000 | 544,669 | |
9,355,914 | |||||
Consumer Discretionary–1.7% | |||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (c) | 3.500% | 02/15/2029 | 1,088,000 | 894,880 |
Advance Auto Parts, Inc. (Specialty Retail) | 3.900% | 04/15/2030 | 1,335,000 | 1,146,009 | |
Advance Auto Parts, Inc. (Specialty Retail) | 3.500% | 03/15/2032 | 3,000 | 2,392 | |
AutoZone, Inc. (Specialty Retail) | 3.750% | 04/18/2029 | 303,000 | 272,859 | |
AutoZone, Inc. (Specialty Retail) | 1.650% | 01/15/2031 | 1,010,000 | 750,264 | |
Bath & Body Works, Inc. (Specialty Retail) | (c) | 6.625% | 10/01/2030 | 995,000 | 865,650 |
60
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Consumer Discretionary (continued) | |||||
Booking Holdings, Inc. (Hotels, Restaurants & Leisure) | 4.625% | 04/13/2030 | $ 1,302,000 | $ 1,223,665 | |
Carnival Corp. (Hotels, Restaurants & Leisure) | (c) | 4.000% | 08/01/2028 | 237,000 | 191,197 |
Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op (Hotels, Restaurants & Leisure) | 5.375% | 04/15/2027 | 1,000,000 | 928,895 | |
Expedia Group, Inc. (Hotels, Restaurants & Leisure) | 4.625% | 08/01/2027 | 1,257,000 | 1,180,453 | |
Ford Motor Co. (Automobiles) | 6.100% | 08/19/2032 | 441,000 | 388,786 | |
General Motors Co. (Automobiles) | 6.125% | 10/01/2025 | 79,000 | 79,034 | |
General Motors Co. (Automobiles) | 4.200% | 10/01/2027 | 94,000 | 86,061 | |
General Motors Co. (Automobiles) | 6.800% | 10/01/2027 | 107,000 | 108,135 | |
General Motors Co. (Automobiles) | 5.000% | 10/01/2028 | 269,000 | 247,445 | |
GLP Capital LP / GLP Financing II, Inc. (Hotels, Restaurants & Leisure) | 3.250% | 01/15/2032 | 2,123,000 | 1,595,904 | |
Jaguar Land Rover Automotive PLC (Automobiles) | (c) | 5.500% | 07/15/2029 | 1,227,000 | 854,225 |
Las Vegas Sands Corp. (Hotels, Restaurants & Leisure) | 3.900% | 08/08/2029 | 1,829,000 | 1,512,177 | |
Lowe's Cos., Inc. (Specialty Retail) | 5.800% | 09/15/2062 | 640,000 | 587,235 | |
Marriott International, Inc. (Hotels, Restaurants & Leisure) | 5.750% | 05/01/2025 | 1,264,000 | 1,276,472 | |
Mattel, Inc. (Leisure Products) | (c) | 3.375% | 04/01/2026 | 128,000 | 114,232 |
McDonald's Corp. (Hotels, Restaurants & Leisure) | 3.500% | 07/01/2027 | 272,000 | 254,018 | |
McDonald's Corp. (Hotels, Restaurants & Leisure) | 2.625% | 09/01/2029 | 1,700,000 | 1,450,872 | |
McDonald's Corp. (Hotels, Restaurants & Leisure) | 3.625% | 09/01/2049 | 90,000 | 65,526 | |
MDC Holdings, Inc. (Household Durables) | 6.000% | 01/15/2043 | 1,150,000 | 862,899 | |
Nissan Motor Co. Ltd. (Automobiles) | (c) | 4.345% | 09/17/2027 | 430,000 | 370,654 |
O'Reilly Automotive, Inc. (Specialty Retail) | 3.600% | 09/01/2027 | 6,000 | 5,571 | |
O'Reilly Automotive, Inc. (Specialty Retail) | 4.350% | 06/01/2028 | 47,000 | 44,740 | |
O'Reilly Automotive, Inc. (Specialty Retail) | 3.900% | 06/01/2029 | 232,000 | 211,393 | |
Prosus N.V. (Internet & Direct Marketing Retail) | (c) | 3.257% | 01/19/2027 | 629,000 | 526,563 |
Prosus N.V. (Internet & Direct Marketing Retail) | (c) | 3.680% | 01/21/2030 | 216,000 | 161,840 |
Ross Stores, Inc. (Specialty Retail) | 4.700% | 04/15/2027 | 280,000 | 272,309 | |
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | (c) | 10.875% | 06/01/2023 | 136,000 | 139,060 |
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | (c) | 11.500% | 06/01/2025 | 143,000 | 151,938 |
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | (c) | 8.250% | 01/15/2029 | 416,000 | 404,920 |
Wynn Macau Ltd. (Hotels, Restaurants & Leisure) | (c) | 5.625% | 08/26/2028 | 292,000 | 194,507 |
19,422,780 | |||||
Consumer Staples–1.2% | |||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | (c) | 3.500% | 03/15/2029 | 156,000 | 125,736 |
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | (c) | 4.875% | 02/15/2030 | 971,000 | 821,476 |
Alimentation Couche-Tard, Inc. (Food & Staples Retailing) | (c) | 2.950% | 01/25/2030 | 77,000 | 63,310 |
Altria Group, Inc. (Tobacco) | 4.800% | 02/14/2029 | 106,000 | 97,846 | |
Altria Group, Inc. (Tobacco) | 3.400% | 05/06/2030 | 1,934,000 | 1,566,028 | |
B.A.T. Capital Corp. (Tobacco) | 4.700% | 04/02/2027 | 180,000 | 167,952 | |
B.A.T. Capital Corp. (Tobacco) | 2.259% | 03/25/2028 | 1,460,000 | 1,161,281 | |
Campbell Soup Co. (Food Products) | 3.950% | 03/15/2025 | 113,000 | 109,905 | |
Cargill, Inc. (Food Products) | (c) | 1.375% | 07/23/2023 | 77,000 | 74,999 |
Cargill, Inc. (Food Products) | (c) | 2.125% | 04/23/2030 | 1,301,000 | 1,054,070 |
Coca-Cola Co. / The (Beverages) | 3.375% | 03/25/2027 | 1,376,000 | 1,312,790 | |
Coca-Cola Co. / The (Beverages) | 3.450% | 03/25/2030 | 182,000 | 165,439 | |
Estee Lauder Cos., Inc. / The (Personal Products) | 2.600% | 04/15/2030 | 412,000 | 349,205 | |
Fomento Economico Mexicano S.A.B. de C.V. (Beverages) | 3.500% | 01/16/2050 | 182,000 | 124,872 | |
J.M. Smucker Co. / The (Food Products) | 2.375% | 03/15/2030 | 165,000 | 132,973 | |
MARB BondCo PLC (Food Products) | 3.950% | 01/29/2031 | 1,483,000 | 1,073,321 | |
Mars, Inc. (Food Products) | (c) | 2.700% | 04/01/2025 | 113,000 | 107,465 |
Mars, Inc. (Food Products) | (c) | 3.200% | 04/01/2030 | 28,000 | 24,724 |
Mondelez International Holdings Netherlands B.V. (Food Products) | (c) | 2.250% | 09/19/2024 | 249,000 | 235,425 |
Mondelez International, Inc. (Food Products) | 2.750% | 04/13/2030 | 19,000 | 15,825 | |
Natura Cosmeticos SA (Personal Products) | 4.125% | 05/03/2028 | 563,000 | 444,770 | |
Natura Cosmeticos SA (Personal Products) | (c) | 4.125% | 05/03/2028 | 230,000 | 181,700 |
PepsiCo, Inc. (Beverages) | 2.250% | 03/19/2025 | 1,412,000 | 1,335,701 | |
PepsiCo, Inc. (Beverages) | 2.625% | 03/19/2027 | 58,000 | 53,221 | |
Pilgrim's Pride Corp. (Food Products) | (c) | 5.875% | 09/30/2027 | 347,000 | 337,458 |
Pilgrim's Pride Corp. (Food Products) | (c) | 4.250% | 04/15/2031 | 1,000,000 | 798,270 |
Procter & Gamble Co. / The (Household Products) | 3.000% | 03/25/2030 | 68,000 | 60,883 | |
Sysco Corp. (Food & Staples Retailing) | 2.400% | 02/15/2030 | 72,000 | 58,596 | |
Sysco Corp. (Food & Staples Retailing) | 5.950% | 04/01/2030 | 1,279,000 | 1,294,605 | |
13,349,846 | |||||
Energy–1.9% | |||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 4.250% | 01/15/2030 | 1,000,000 | 874,500 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 2.939% | 06/04/2051 | 2,874,000 | 1,825,243 |
61
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Energy (continued) | |||||
Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels) | 5.850% | 02/01/2035 | $ 860,000 | $ 808,645 | |
Cheniere Corpus Christi Holdings LLC (Oil, Gas & Consumable Fuels) | 3.700% | 11/15/2029 | 557,000 | 483,039 | |
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | (c) | 5.750% | 01/15/2031 | 1,582,000 | 1,429,904 |
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | (c) | 2.875% | 04/01/2032 | 218,000 | 159,640 |
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 4.500% | 01/15/2030 | 1,733,000 | 1,577,394 | |
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 5.600% | 07/15/2041 | 195,000 | 174,615 | |
Enbridge Energy Partners LP (Oil, Gas & Consumable Fuels) | 7.375% | 10/15/2045 | 1,014,000 | 1,101,926 | |
Energy Transfer LP (Oil, Gas & Consumable Fuels) | 6.250% | 04/15/2049 | 931,000 | 825,915 | |
EQT Corp. (Oil, Gas & Consumable Fuels) | 7.000% | 02/01/2030 | 1,013,000 | 1,045,315 | |
GNL Quintero SA (Oil, Gas & Consumable Fuels) | 4.634% | 07/31/2029 | 739,593 | 680,041 | |
Hess Corp. (Oil, Gas & Consumable Fuels) | 4.300% | 04/01/2027 | 1,806,000 | 1,698,945 | |
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 4.300% | 03/01/2028 | 1,449,000 | 1,356,043 | |
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 6.800% | 03/15/2032 | 1,193,000 | 1,192,173 | |
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.500% | 03/01/2041 | 1,072,000 | 1,061,543 | |
Oleoducto Central SA (Oil, Gas & Consumable Fuels) | (c) | 4.000% | 07/14/2027 | 410,000 | 316,202 |
Oleoducto Central SA (Oil, Gas & Consumable Fuels) | 4.000% | 07/14/2027 | 356,000 | 274,556 | |
ONEOK Partners LP (Oil, Gas & Consumable Fuels) | 6.125% | 02/01/2041 | 975,000 | 858,039 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 6.350% | 01/15/2031 | 127,000 | 124,522 | |
Ovintiv, Inc. (Oil, Gas & Consumable Fuels) | 7.375% | 11/01/2031 | 985,000 | 1,026,106 | |
Plains All American Pipeline LP / PAA Finance Corp. (Oil, Gas & Consumable Fuels) | 3.550% | 12/15/2029 | 136,000 | 113,287 | |
Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 6.800% | 05/15/2038 | 1,561,000 | 1,577,324 | |
Tengizchevroil Finance Co. International Ltd. (Oil, Gas & Consumable Fuels) | (c) | 3.250% | 08/15/2030 | 487,000 | 345,770 |
20,930,687 | |||||
Financials–3.9% | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 6.500% | 07/15/2025 | 271,000 | 270,511 | |
Alleghany Corp. (Insurance) | 3.625% | 05/15/2030 | 291,000 | 259,305 | |
Argentum Netherlands B.V. for Swiss Re Ltd. (Rate is fixed until 08/15/2025, at which point, the rate becomes QL + 359) (Insurance) | (d) | 5.750% | 08/15/2050 | 1,500,000 | 1,370,370 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (c) | 4.375% | 01/30/2024 | 50,000 | 48,356 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (c) | 5.500% | 12/15/2024 | 148,000 | 143,272 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (c) | 4.125% | 08/01/2025 | 3,000 | 2,744 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (c) | 4.875% | 10/01/2025 | 57,000 | 52,943 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (c) | 1.950% | 01/30/2026 | 181,000 | 151,933 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (c) | 1.950% | 09/20/2026 | 2,008,000 | 1,626,201 |
Aviation Capital Group LLC (Diversified Financial Svs.) | (c) | 3.500% | 11/01/2027 | 50,000 | 41,522 |
Banco de Credito del Peru S.A. (Rate is fixed until 07/01/2025, at which point, the rate becomes H15T5Y + 300) (Banks) | (c)(d) | 3.125% | 07/01/2030 | 244,000 | 213,384 |
Banco Santander SA (Rate is fixed until 03/24/2027, at which point, the rate becomes H15T1Y + 200) (Banks) | (d) | 4.175% | 03/24/2028 | 1,800,000 | 1,622,018 |
Bank of America Corp. (Rate is fixed until 04/24/2027, at which point, the rate becomes QL + 151) (Banks) | (d) | 3.705% | 04/24/2028 | 501,000 | 455,879 |
Bank of America Corp. (Rate is fixed until 04/27/2027, at which point, the rate becomes SOFR + 158) (Banks) | (d) | 4.376% | 04/27/2028 | 271,000 | 253,937 |
Bank of America Corp. (Rate is fixed until 03/05/2028, at which point, the rate becomes QL + 107) (Banks) | (d) | 3.970% | 03/05/2029 | 177,000 | 160,131 |
Bank of America Corp. (Rate is fixed until 04/29/2030, at which point, the rate becomes SOFR + 215) (Banks) | (d) | 2.592% | 04/29/2031 | 1,441,000 | 1,142,801 |
Bank of Ireland Group PLC (Rate is fixed until 09/16/2025, at which point, the rate becomes H15T1Y + 265) (Banks) | (c)(d) | 6.253% | 09/16/2026 | 354,000 | 346,415 |
Barclays PLC (Rate is fixed until 08/09/2025, at which point, the rate becomes H15T1Y + 230) (Banks) | (d) | 5.304% | 08/09/2026 | 565,000 | 542,807 |
BNP Paribas SA (Rate is fixed until 08/16/2029, at which point, the rate becomes H15T5Y + 490) (Banks) | (c)(d) | 7.750% | Perpetual | 877,000 | 809,296 |
BNP Paribas SA (Rate is fixed until 11/19/2024, at which point, the rate becomes QL + 111) (Banks) | (c)(d) | 2.819% | 11/19/2025 | 2,170,000 | 2,022,508 |
BNP Paribas SA (Rate is fixed until 01/13/2030, at which point, the rate becomes SOFR + 151) (Banks) | (c)(d) | 3.052% | 01/13/2031 | 333,000 | 264,889 |
Capital One Financial Corp. (Rate is fixed until 05/10/2027, at which point, the rate becomes SOFR + 206) (Consumer Finance) | (d) | 4.927% | 05/10/2028 | 197,000 | 187,689 |
Capital One Financial Corp. (Rate is fixed until 03/01/2029, at which point, the rate becomes SOFR + 179) (Consumer Finance) | (d) | 3.273% | 03/01/2030 | 1,651,000 | 1,380,454 |
Citigroup, Inc. (Rate is fixed until 01/10/2027, at which point, the rate becomes QL + 156) (Banks) | (d) | 3.887% | 01/10/2028 | 1,538,000 | 1,415,594 |
Citigroup, Inc. (Rate is fixed until 04/23/2028, at which point, the rate becomes QL + 119) (Banks) | (d) | 4.075% | 04/23/2029 | 212,000 | 191,887 |
Citigroup, Inc. (Rate is fixed until 03/20/2029, at which point, the rate becomes QL + 134) (Banks) | (d) | 3.980% | 03/20/2030 | 145,000 | 128,671 |
Citigroup, Inc. (Rate is fixed until 03/31/2030, at which point, the rate becomes SOFR + 391) (Banks) | (d) | 4.412% | 03/31/2031 | 380,000 | 340,909 |
Cloverie PLC for Zurich Insurance Co. Ltd. (Rate is fixed until 06/24/2026, at which point, the rate becomes QL + 492) (Insurance) | (d) | 5.625% | 06/24/2046 | 1,116,000 | 1,031,017 |
62
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Financials (continued) | |||||
Cooperatieve Rabobank UA (Rate is fixed until 04/10/2024, at which point, the rate becomes USSW5 + 189) (Banks) | (d) | 4.000% | 04/10/2029 | $ 1,000,000 | $ 953,864 |
Credit Suisse Group AG (Rate is fixed until 12/23/2027, at which point, the rate becomes H15T5Y + 638) (Capital Markets) | (c)(d) | 9.750% | Perpetual | 641,000 | 628,744 |
Credit Suisse Group AG (Rate is fixed until 06/05/2025, at which point, the rate becomes SOFR + 204) (Capital Markets) | (c)(d) | 2.193% | 06/05/2026 | 1,445,000 | 1,256,411 |
Credit Suisse Group AG (Rate is fixed until 07/15/2025, at which point, the rate becomes SOFR + 334) (Capital Markets) | (c)(d) | 6.373% | 07/15/2026 | 753,000 | 727,576 |
Danske Bank A/S (Rate is fixed until 04/01/2027, at which point, the rate becomes H15T1Y + 175) (Banks) | (c)(d) | 4.298% | 04/01/2028 | 1,829,000 | 1,628,439 |
Deutsche Bank AG (Rate is fixed until 07/14/2025, at which point, the rate becomes SOFR + 319) (Banks) | (d) | 6.119% | 07/14/2026 | 256,000 | 248,622 |
Deutsche Bank AG (Rate is fixed until 01/07/2027, at which point, the rate becomes SOFR + 132) (Banks) | (d) | 2.552% | 01/07/2028 | 204,000 | 165,615 |
Federation des Caisses Desjardins du Quebec (Banks) | (c) | 4.550% | 08/23/2027 | 883,000 | 834,527 |
General Motors Financial Co., Inc. (Consumer Finance) | 4.350% | 01/17/2027 | 99,000 | 91,781 | |
General Motors Financial Co., Inc. (Consumer Finance) | 2.400% | 10/15/2028 | 1,366,000 | 1,079,584 | |
General Motors Financial Co., Inc. (Consumer Finance) | 4.300% | 04/06/2029 | 126,000 | 109,510 | |
Goldman Sachs Group, Inc. / The (Rate is fixed until 04/22/2031, at which point, the rate becomes SOFR + 128) (Capital Markets) | (d) | 2.615% | 04/22/2032 | 2,059,000 | 1,595,988 |
Goldman Sachs Group, Inc. / The (Rate is fixed until 07/21/2031, at which point, the rate becomes SOFR + 125) (Capital Markets) | (d) | 2.383% | 07/21/2032 | 103,000 | 77,661 |
Harley-Davidson Financial Services, Inc. (Consumer Finance) | (c) | 3.350% | 06/08/2025 | 138,000 | 129,297 |
Harley-Davidson Financial Services, Inc. (Consumer Finance) | (c) | 3.050% | 02/14/2027 | 324,000 | 278,086 |
HSBC Holdings PLC (Rate is fixed until 08/11/2032, at which point, the rate becomes SOFR + 287) (Banks) | (d) | 5.402% | 08/11/2033 | 334,000 | 296,991 |
ING Bank N.V. (Banks) | (c) | 5.800% | 09/25/2023 | 1,306,000 | 1,302,033 |
ING Groep N.V. (Rate is fixed until 03/28/2027, at which point, the rate becomes SOFR + 183) (Banks) | (d) | 4.017% | 03/28/2028 | 209,000 | 189,767 |
JPMorgan Chase & Co. (Rate is fixed until 12/05/2028, at which point, the rate becomes QL + 133) (Banks) | (d) | 4.452% | 12/05/2029 | 1,465,000 | 1,340,846 |
JPMorgan Chase & Co. (Rate is fixed until 10/15/2029, at which point, the rate becomes SOFR + 151) (Banks) | (d) | 2.739% | 10/15/2030 | 218,000 | 177,254 |
JPMorgan Chase & Co. (Rate is fixed until 03/24/2030, at which point, the rate becomes SOFR + 379) (Banks) | (d) | 4.493% | 03/24/2031 | 171,000 | 155,549 |
JPMorgan Chase & Co. (Rate is fixed until 04/22/2031, at which point, the rate becomes SOFR + 125) (Banks) | (d) | 2.580% | 04/22/2032 | 458,000 | 355,019 |
Mizuho Financial Group, Inc. (Rate is fixed until 09/13/2029, at which point, the rate becomes SOFR + 157) (Banks) | (d) | 2.869% | 09/13/2030 | 1,261,000 | 1,026,434 |
Morgan Stanley (Rate is fixed until 04/20/2027, at which point, the rate becomes SOFR + 161) (Capital Markets) | (d) | 4.210% | 04/20/2028 | 1,992,000 | 1,863,948 |
Nationwide Building Society (Thrifts & Mortgage Finance) | (c) | 4.000% | 09/14/2026 | 1,299,000 | 1,180,812 |
Nationwide Building Society (Rate is fixed until 02/16/2027, at which point, the rate becomes SOFR + 129) (Thrifts & Mortgage Finance) | (c)(d) | 2.972% | 02/16/2028 | 368,000 | 316,250 |
Nomura Holdings, Inc. (Capital Markets) | 2.999% | 01/22/2032 | 1,330,000 | 1,006,364 | |
S&P Global, Inc. (Capital Markets) | (c) | 4.750% | 08/01/2028 | 16,000 | 15,616 |
S&P Global, Inc. (Capital Markets) | (c) | 4.250% | 05/01/2029 | 66,000 | 61,993 |
Santander Holdings U.S.A., Inc. (Rate is fixed until 01/06/2027, at which point, the rate becomes SOFR + 125) (Banks) | (d) | 2.490% | 01/06/2028 | 1,365,000 | 1,138,301 |
Santander U.K. Group Holdings PLC (Rate is fixed until 01/11/2027, at which point, the rate becomes SOFR + 122) (Banks) | (d) | 2.469% | 01/11/2028 | 1,374,000 | 1,143,547 |
Societe Generale SA (Rate is fixed until 01/19/2027, at which point, the rate becomes H15T1Y + 130) (Banks) | (c)(d) | 2.797% | 01/19/2028 | 380,000 | 320,346 |
Standard Chartered PLC (Rate is fixed until 03/30/2025, at which point, the rate becomes H15T1Y + 165) (Banks) | (c)(d) | 3.971% | 03/30/2026 | 1,839,000 | 1,729,095 |
Swedbank AB (Rate is fixed until 09/17/2024, at which point, the rate becomes H15T5Y + 413) (Banks) | (d) | 5.625% | Perpetual | 200,000 | 184,904 |
Swiss Re Finance Luxembourg SA (Rate is fixed until 04/02/2029, at which point, the rate becomes H15T5Y + 358) (Insurance) | (d) | 5.000% | 04/02/2049 | 200,000 | 175,000 |
Synchrony Financial (Consumer Finance) | 4.875% | 06/13/2025 | 812,000 | 783,339 | |
Synchrony Financial (Consumer Finance) | 3.950% | 12/01/2027 | 591,000 | 512,649 | |
UBS Group AG (Rate is fixed until 05/12/2025, at which point, the rate becomes H15T1Y + 155) (Capital Markets) | (c)(d) | 4.488% | 05/12/2026 | 267,000 | 257,333 |
UniCredit SpA (Rate is fixed until 06/03/2031, at which point, the rate becomes H15T1Y + 155) (Banks) | (c)(d) | 3.127% | 06/03/2032 | 200,000 | 142,409 |
63
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Financials (continued) | |||||
Wells Fargo & Co. (Rate is fixed until 10/30/2029, at which point, the rate becomes TSFR3M + 143) (Banks) | (d) | 2.879% | 10/30/2030 | $ 298,000 | $ 244,848 |
Wells Fargo & Co. (Rate is fixed until 04/04/2030, at which point, the rate becomes SOFR + 403) (Banks) | (d) | 4.478% | 04/04/2031 | 2,033,000 | 1,859,585 |
44,063,380 | |||||
Health Care–0.6% | |||||
AbbVie, Inc. (Biotechnology) | 2.800% | 03/15/2023 | 14,000 | 13,886 | |
AbbVie, Inc. (Biotechnology) | 2.600% | 11/21/2024 | 165,000 | 157,018 | |
AbbVie, Inc. (Biotechnology) | 3.800% | 03/15/2025 | 1,235,000 | 1,196,103 | |
Amgen, Inc. (Biotechnology) | 3.350% | 02/22/2032 | 159,000 | 135,652 | |
Bayer U.S. Finance II LLC (Pharmaceuticals) | (c) | 5.500% | 07/30/2035 | 879,000 | 818,578 |
Bristol-Myers Squibb Co. (Pharmaceuticals) | 3.400% | 07/26/2029 | 624,000 | 565,810 | |
Centene Corp. (Health Care Providers & Svs.) | 4.625% | 12/15/2029 | 376,000 | 337,873 | |
Centene Corp. (Health Care Providers & Svs.) | 3.375% | 02/15/2030 | 212,000 | 173,310 | |
Cigna Corp. (Health Care Providers & Svs.) | 2.400% | 03/15/2030 | 1,334,000 | 1,086,423 | |
Cigna Corp. (Health Care Providers & Svs.) | 3.200% | 03/15/2040 | 52,000 | 37,382 | |
Cigna Corp. (Health Care Providers & Svs.) | 3.400% | 03/15/2050 | 78,000 | 52,747 | |
CVS Health Corp. (Health Care Providers & Svs.) | 3.000% | 08/15/2026 | 33,000 | 30,447 | |
CVS Health Corp. (Health Care Providers & Svs.) | 4.300% | 03/25/2028 | 682,000 | 643,233 | |
DH Europe Finance II SARL (Health Care Equip. & Supplies) | 2.200% | 11/15/2024 | 129,000 | 121,977 | |
DH Europe Finance II SARL (Health Care Equip. & Supplies) | 2.600% | 11/15/2029 | 71,000 | 60,684 | |
Medline Borrower LP (Health Care Equip. & Supplies) | (c) | 3.875% | 04/01/2029 | 240,000 | 192,405 |
Pfizer, Inc. (Pharmaceuticals) | 2.625% | 04/01/2030 | 1,080,000 | 927,823 | |
6,551,351 | |||||
Industrials–1.1% | |||||
Air Lease Corp. (Trading Companies & Distributors) | 2.875% | 01/15/2026 | 28,000 | 25,065 | |
Air Lease Corp. (Trading Companies & Distributors) | 3.625% | 04/01/2027 | 15,000 | 13,290 | |
Air Lease Corp. (Trading Companies & Distributors) | 2.100% | 09/01/2028 | 107,000 | 83,375 | |
Air Lease Corp. (Trading Companies & Distributors) | 4.625% | 10/01/2028 | 883,000 | 792,617 | |
Aircastle Ltd. (Trading Companies & Distributors) | 4.125% | 05/01/2024 | 58,000 | 55,733 | |
Aircastle Ltd. (Trading Companies & Distributors) | (c) | 5.250% | 08/11/2025 | 1,269,000 | 1,194,546 |
Aircastle Ltd. (Trading Companies & Distributors) | 4.250% | 06/15/2026 | 21,000 | 18,836 | |
Aircastle Ltd. (Trading Companies & Distributors) | (c) | 2.850% | 01/26/2028 | 332,000 | 257,735 |
Ashtead Capital, Inc. (Trading Companies & Distributors) | (c) | 5.500% | 08/11/2032 | 264,000 | 245,022 |
BAE Systems PLC (Aerospace & Defense) | (c) | 3.400% | 04/15/2030 | 200,000 | 173,208 |
Carrier Global Corp. (Building Products) | 2.242% | 02/15/2025 | 21,000 | 19,623 | |
Carrier Global Corp. (Building Products) | 2.493% | 02/15/2027 | 26,000 | 23,047 | |
CNH Industrial Capital LLC (Machinery) | 3.950% | 05/23/2025 | 205,000 | 197,700 | |
Delta Air Lines, Inc. / SkyMiles IP Ltd. (Airlines) | (c) | 4.500% | 10/20/2025 | 859,058 | 833,850 |
Delta Air Lines, Inc. / SkyMiles IP Ltd. (Airlines) | (c) | 4.750% | 10/20/2028 | 156,000 | 145,292 |
Embraer Netherlands Finance B.V. (Aerospace & Defense) | (c) | 6.950% | 01/17/2028 | 647,000 | 608,180 |
ENA Master Trust (Transportation Infrastructure) | (c) | 4.000% | 05/19/2048 | 203,000 | 150,829 |
Equifax, Inc. (Professional Svs.) | 2.600% | 12/01/2024 | 1,138,000 | 1,080,581 | |
Equifax, Inc. (Professional Svs.) | 2.600% | 12/15/2025 | 147,000 | 134,428 | |
Equifax, Inc. (Professional Svs.) | 3.100% | 05/15/2030 | 240,000 | 199,243 | |
Flowserve Corp. (Machinery) | 2.800% | 01/15/2032 | 1,801,000 | 1,289,221 | |
General Dynamics Corp. (Aerospace & Defense) | 3.625% | 04/01/2030 | 1,205,000 | 1,102,378 | |
General Electric Co. (Industrial Conglomerates) | 6.750% | 03/15/2032 | 1,085,000 | 1,172,314 | |
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | 3.844% | 05/01/2025 | 205,000 | 196,452 | |
Parker-Hannifin Corp. (Machinery) | 4.500% | 09/15/2029 | 868,000 | 818,274 | |
RELX Capital, Inc. (Professional Svs.) | 4.750% | 05/20/2032 | 65,000 | 61,156 | |
Westinghouse Air Brake Technologies Corp. (Machinery) | 4.400% | 03/15/2024 | 1,125,000 | 1,103,814 | |
Westinghouse Air Brake Technologies Corp. (Machinery) | 3.200% | 06/15/2025 | 45,000 | 41,947 | |
12,037,756 | |||||
Information Technology–2.0% | |||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 1.250% | 08/20/2030 | 1,070,000 | 823,473 | |
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 4.100% | 08/08/2062 | 663,000 | 543,514 | |
Broadcom, Inc. (Semiconductors & Equip.) | (c) | 4.000% | 04/15/2029 | 36,000 | 31,732 |
Broadcom, Inc. (Semiconductors & Equip.) | 4.150% | 11/15/2030 | 1,143,000 | 989,318 | |
Broadcom, Inc. (Semiconductors & Equip.) | (c) | 4.150% | 04/15/2032 | 123,000 | 102,871 |
Broadcom, Inc. (Semiconductors & Equip.) | (c) | 4.926% | 05/15/2037 | 180,000 | 148,423 |
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 4.250% | 04/01/2028 | 1,196,000 | 1,064,440 | |
Global Payments, Inc. (IT Svs.) | 3.200% | 08/15/2029 | 75,000 | 62,492 | |
Global Payments, Inc. (IT Svs.) | 5.400% | 08/15/2032 | 544,000 | 504,816 | |
HP, Inc. (Tech. Hardware, Storage & Periph.) | 5.500% | 01/15/2033 | 1,119,000 | 993,023 | |
Infor, Inc. (Software) | (c) | 1.750% | 07/15/2025 | 1,696,000 | 1,525,676 |
Intel Corp. (Semiconductors & Equip.) | 5.050% | 08/05/2062 | 888,000 | 768,617 |
64
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Information Technology (continued) | |||||
International Business Machines Corp. (IT Svs.) | 4.900% | 07/27/2052 | $ 862,000 | $ 754,286 | |
Kyndryl Holdings, Inc. (IT Svs.) | 2.050% | 10/15/2026 | 2,046,000 | 1,643,324 | |
Lam Research Corp. (Semiconductors & Equip.) | 4.000% | 03/15/2029 | 816,000 | 763,515 | |
Mastercard, Inc. (IT Svs.) | 3.350% | 03/26/2030 | 1,713,000 | 1,543,987 | |
Micron Technology, Inc. (Semiconductors & Equip.) | 4.185% | 02/15/2027 | 139,000 | 129,766 | |
Micron Technology, Inc. (Semiconductors & Equip.) | 5.327% | 02/06/2029 | 73,000 | 69,035 | |
NXP B.V. / NXP Funding LLC (Semiconductors & Equip.) | 5.550% | 12/01/2028 | 125,000 | 120,724 | |
Oracle Corp. (Software) | 2.950% | 04/01/2030 | 1,796,000 | 1,447,695 | |
Oracle Corp. (Software) | 2.875% | 03/25/2031 | 225,000 | 177,450 | |
Oracle Corp. (Software) | 3.900% | 05/15/2035 | 1,039,000 | 795,963 | |
Oracle Corp. (Software) | 3.600% | 04/01/2040 | 134,000 | 90,947 | |
Oracle Corp. (Software) | 5.375% | 07/15/2040 | 43,000 | 35,835 | |
Oracle Corp. (Software) | 3.650% | 03/25/2041 | 77,000 | 52,316 | |
PayPal Holdings, Inc. (IT Svs.) | 2.850% | 10/01/2029 | 1,440,000 | 1,231,781 | |
SK Hynix, Inc. (Semiconductors & Equip.) | (c) | 2.375% | 01/19/2031 | 304,000 | 224,781 |
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 3.000% | 06/01/2031 | 1,331,000 | 1,006,938 | |
VeriSign, Inc. (IT Svs.) | 2.700% | 06/15/2031 | 1,408,000 | 1,092,254 | |
Visa, Inc. (IT Svs.) | 1.900% | 04/15/2027 | 452,000 | 401,622 | |
Visa, Inc. (IT Svs.) | 2.050% | 04/15/2030 | 220,000 | 181,751 | |
VMware, Inc. (Software) | 4.500% | 05/15/2025 | 954,000 | 931,715 | |
VMware, Inc. (Software) | 4.650% | 05/15/2027 | 293,000 | 279,864 | |
Western Digital Corp. (Tech. Hardware, Storage & Periph.) | 2.850% | 02/01/2029 | 1,595,000 | 1,239,539 | |
Workday, Inc. (Software) | 3.700% | 04/01/2029 | 42,000 | 37,668 | |
Workday, Inc. (Software) | 3.800% | 04/01/2032 | 1,100,000 | 954,780 | |
22,765,931 | |||||
Materials–0.4% | |||||
Anglo American Capital PLC (Metals & Mining) | (c) | 3.875% | 03/16/2029 | 355,000 | 305,057 |
Celanese U.S. Holdings LLC (Chemicals) | 5.900% | 07/05/2024 | 869,000 | 856,955 | |
CSN Resources SA (Metals & Mining) | 5.875% | 04/08/2032 | 787,000 | 572,543 | |
Freeport Indonesia PT (Metals & Mining) | (c) | 4.763% | 04/14/2027 | 749,000 | 674,317 |
Freeport Indonesia PT (Metals & Mining) | 4.763% | 04/14/2027 | 350,000 | 315,101 | |
Nucor Corp. (Metals & Mining) | 4.300% | 05/23/2027 | 685,000 | 655,757 | |
Stillwater Mining Co. (Metals & Mining) | (c) | 4.000% | 11/16/2026 | 300,000 | 246,750 |
Suzano Austria GmbH (Paper & Forest Products) | 3.750% | 01/15/2031 | 56,000 | 43,873 | |
Volcan Cia Minera S.A.A. (Metals & Mining) | (c) | 4.375% | 02/11/2026 | 31,000 | 25,575 |
W.R. Grace Holdings LLC (Chemicals) | (c) | 4.875% | 06/15/2027 | 551,000 | 473,656 |
4,169,584 | |||||
Real Estate–0.5% | |||||
American Tower Corp. (Equity REIT) | 3.650% | 03/15/2027 | 138,000 | 126,226 | |
American Tower Corp. (Equity REIT) | 3.800% | 08/15/2029 | 1,455,000 | 1,276,359 | |
American Tower Corp. (Equity REIT) | 4.050% | 03/15/2032 | 70,000 | 60,315 | |
Camden Property Trust (Equity REIT) | 2.800% | 05/15/2030 | 1,197,000 | 1,004,771 | |
Crown Castle, Inc. (Equity REIT) | 3.650% | 09/01/2027 | 133,000 | 120,399 | |
Crown Castle, Inc. (Equity REIT) | 4.300% | 02/15/2029 | 154,000 | 141,259 | |
Crown Castle, Inc. (Equity REIT) | 3.100% | 11/15/2029 | 279,000 | 234,471 | |
Crown Castle, Inc. (Equity REIT) | 3.300% | 07/01/2030 | 67,000 | 56,101 | |
Equinix, Inc. (Equity REIT) | 3.200% | 11/18/2029 | 1,689,000 | 1,427,846 | |
Vornado Realty LP (Equity REIT) | 3.400% | 06/01/2031 | 1,326,000 | 1,014,636 | |
5,462,383 | |||||
Utilities–0.9% | |||||
AES Panama Generation Holdings SRL (Electric Utilities) | (c) | 4.375% | 05/31/2030 | 285,000 | 224,437 |
AES Panama Generation Holdings SRL (Electric Utilities) | 4.375% | 05/31/2030 | 241,000 | 189,787 | |
Ameren Corp. (Multi-Utilities) | 3.500% | 01/15/2031 | 669,000 | 577,105 | |
American Water Capital Corp. (Water Utilities) | 2.800% | 05/01/2030 | 1,002,000 | 846,749 | |
Chile Electricity PEC SpA (Electric Utilities) | (c) | 0.000% | 01/25/2028 | 460,000 | 321,599 |
Comision Federal de Electricidad (Electric Utilities) | (c) | 4.688% | 05/15/2029 | 221,000 | 184,535 |
Comision Federal de Electricidad (Electric Utilities) | 3.348% | 02/09/2031 | 1,177,000 | 840,084 | |
Comision Federal de Electricidad (Electric Utilities) | (c) | 3.348% | 02/09/2031 | 236,000 | 168,445 |
Dominion Energy, Inc. (Multi-Utilities) | 3.375% | 04/01/2030 | 1,554,000 | 1,336,400 | |
Duke Energy Carolinas NC Storm Funding LLC (Electric Utilities) | 2.617% | 07/01/2041 | 200,000 | 148,778 | |
Enel Chile SA (Electric Utilities) | 4.875% | 06/12/2028 | 688,000 | 636,719 | |
Engie Energia Chile SA (Electric Utilities) | 3.400% | 01/28/2030 | 673,000 | 506,824 | |
NRG Energy, Inc. (Electric Utilities) | (c) | 3.750% | 06/15/2024 | 308,000 | 296,031 |
Oncor Electric Delivery Co. LLC (Electric Utilities) | 3.700% | 11/15/2028 | 1,164,000 | 1,079,325 |
65
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Utilities (continued) | |||||
Pacific Gas and Electric Co. (Electric Utilities) | 4.400% | 03/01/2032 | $ 985,000 | $ 809,905 | |
Southern Co. / The (Electric Utilities) | 3.700% | 04/30/2030 | 2,032,000 | 1,788,393 | |
9,955,116 | |||||
Total Corporate Bonds (Cost $185,931,692) | $168,064,728 |
Purchased Options–6.7% | Notional Amount | Expiration | Exercise Price | Contracts (e) | Value | |
S&P 500 Index Call Option | $35,856,200 | December 2023 | $4,150 | 100 | $ 1,903,000 | |
S&P 500 Index Call Option | 78,525,078 | December 2023 | 4,200 | 219 | 4,432,560 | |
S&P 500 Index Call Option | 71,712,400 | December 2023 | 4,250 | 200 | 3,541,800 | |
S&P 500 Index Call Option | 7,529,802 | December 2023 | 4,300 | 21 | 341,040 | |
S&P 500 Index Call Option | 16,852,414 | December 2023 | 4,500 | 47 | 451,200 | |
S&P 500 Index Call Option | 8,605,488 | December 2023 | 4,600 | 24 | 201,552 | |
S&P 500 Index Call Option | 8,964,050 | December 2023 | 4,700 | 25 | 165,850 | |
S&P 500 Index Call Option | 37,649,010 | December 2024 | 4,000 | 105 | 4,256,700 | |
S&P 500 Index Call Option | 6,812,678 | December 2024 | 4,200 | 19 | 612,370 | |
S&P 500 Index Call Option | 43,027,440 | December 2024 | 4,300 | 120 | 3,609,600 | |
S&P 500 Index Put Option | 35,856,200 | December 2023 | 4,150 | 100 | 5,837,000 | |
S&P 500 Index Put Option | 78,525,078 | December 2023 | 4,200 | 219 | 13,203,510 | |
S&P 500 Index Put Option | 71,712,400 | December 2023 | 4,250 | 200 | 13,178,000 | |
S&P 500 Index Put Option | 7,529,802 | December 2023 | 4,300 | 21 | 1,450,260 | |
S&P 500 Index Put Option | 16,852,414 | December 2023 | 4,500 | 47 | 3,801,595 | |
S&P 500 Index Put Option | 8,605,488 | December 2023 | 4,600 | 24 | 2,175,696 | |
S&P 500 Index Put Option | 3,585,620 | December 2023 | 4,700 | 10 | 981,600 | |
S&P 500 Index Put Option | 46,254,498 | December 2024 | 4,000 | 129 | 7,145,955 | |
S&P 500 Index Put Option | 6,812,678 | December 2024 | 4,200 | 19 | 1,261,220 | |
S&P 500 Index Put Option | 35,856,200 | December 2024 | 4,300 | 100 | 7,100,000 | |
Total Purchased Options (Cost $82,930,228) | $75,650,508 |
Asset-Backed / Mortgage-Backed Securities–6.0% | Rate | Maturity | Face Amount | Value | |
Consumer Discretionary–0.0% | |||||
Domino's Pizza Master Issuer LLC 2021-1A A2I | (c) | 2.662% | 04/25/2051 | $ 173,800 | $ 143,122 |
Great Wolf Trust 2019-WOLF C | (c) | ML + 163 | 12/15/2036 | 79,000 | 75,326 |
Hardee's Funding LLC 2018-1A A23 | (c) | 5.710% | 06/20/2048 | 128,283 | 117,447 |
Hardee's Funding LLC 2020-1A A2 | (c) | 3.981% | 12/20/2050 | 132,678 | 113,882 |
449,777 | |||||
Financials–5.9% | |||||
AB Issuer LLC 2021-1 A2 | (c) | 3.734% | 07/30/2051 | 317,600 | 260,511 |
ACM Auto Trust 2022-1A A | (c) | 3.230% | 04/20/2029 | 194,312 | 193,675 |
Affirm Asset Securitization Trust 2021-A C | (c) | 1.660% | 08/15/2025 | 200,000 | 193,621 |
Affirm Asset Securitization Trust 2021-Z1 A | (c) | 1.070% | 08/15/2025 | 104,121 | 100,917 |
Affirm Asset Securitization Trust 2021-Z2 A | (c) | 1.170% | 11/16/2026 | 66,202 | 63,780 |
AGL CLO 2021-12A D | (c) | QL + 285 | 07/20/2034 | 250,000 | 217,799 |
AGL CLO 10 Ltd. 2021-10A A | (c) | QL + 113 | 04/15/2034 | 600,000 | 581,282 |
American Credit Acceptance Receivables Trust 2022-3 A | (c) | 4.120% | 02/13/2026 | 1,250,903 | 1,244,977 |
Amur Equipment Finance Receivables XI LLC 2022-2A A2 | (c) | 5.300% | 06/21/2028 | 464,000 | 461,195 |
AREIT 2022-CRE6 A | (c) | SOFR30A + 125 | 01/16/2037 | 498,322 | 476,102 |
Atalaya Equipment Leasing Trust 2021-1A C | (c) | 2.690% | 06/15/2028 | 300,000 | 278,582 |
Avant Loans Funding Trust 2021-REV1 A | (c) | 1.210% | 07/15/2030 | 441,000 | 414,004 |
Bain Capital Credit CLO 2021-4A D | (c) | QL + 310 | 10/20/2034 | 250,000 | 218,946 |
Balboa Bay Loan Funding 2020-1A AR | (c) | QL + 112 | 01/20/2032 | 1,500,000 | 1,451,250 |
Balboa Bay Loan Funding 2021-1A D | (c) | QL + 305 | 07/20/2034 | 307,948 | 269,781 |
Ballyrock CLO 15 Ltd. 2021-1A C | (c) | QL + 310 | 04/15/2034 | 250,000 | 220,599 |
Ballyrock CLO 16 Ltd. 2021-16A C | (c) | QL + 290 | 07/20/2034 | 250,000 | 221,657 |
Ballyrock CLO 17 Ltd. 2021-17A A1A | (c) | QL + 115 | 10/20/2034 | 1,000,000 | 969,854 |
Ballyrock CLO 17 Ltd. 2021-17A C | (c) | QL + 305 | 10/20/2034 | 250,000 | 218,497 |
Battalion CLO 17 Ltd. 2021-17A A1 | (c) | QL + 126 | 03/09/2034 | 600,000 | 584,371 |
BBCMS 2020-BID A | (c) | ML + 214 | 10/15/2037 | 301,000 | 296,462 |
Bellemeade Re 2021-3A A2 | (c) | SOFR30A + 100 | 09/25/2031 | 286,223 | 269,050 |
Bellemeade Re 2022-1 M1C | (c) | SOFR30A + 370 | 01/26/2032 | 327,948 | 306,080 |
Bellemeade Re 2022-2 M1A | (c) | SOFR30A + 400 | 09/27/2032 | 959,476 | 959,383 |
Bellemeade Re Ltd. 2021-1A M1C | (c) | SOFR30A + 295 | 03/25/2031 | 167,482 | 161,941 |
BFLD Trust 2021-FPM A | (c) | ML + 160 | 06/15/2038 | 462,000 | 445,537 |
Brex Commercial Charge Card Master Trust 2021-1 A | (c) | 2.090% | 07/15/2024 | 167,000 | 163,801 |
BX Commercial Mortgage Trust 2019-IMC E | (c) | ML + 215 | 04/15/2034 | 320,787 | 302,519 |
Cajun Global LLC 2021-1 A2 | (c) | 3.931% | 11/20/2051 | 61,303 | 52,117 |
66
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Asset-Backed / Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | |
Financials (continued) | |||||
Carvana Auto Receivables Trust 2021-N3 C | 1.020% | 06/12/2028 | $ 141,000 | $ 135,506 | |
Carvana Auto Receivables Trust 2021-N4 D | 2.300% | 09/11/2028 | 128,000 | 117,563 | |
Carvana Auto Receivables Trust 2021-P4 N | (c) | 2.150% | 09/11/2028 | 232,479 | 231,626 |
CIFC Funding 2020-4A A | (c) | QL + 132 | 01/15/2034 | 260,000 | 253,306 |
College Ave Student Loans 2021-C C | (c) | 3.060% | 07/26/2055 | 136,800 | 115,304 |
COMM 2015-LC23 C | 4.718% | 10/10/2048 | 100,000 | 91,694 | |
Connecticut Avenue Securities Trust 2019-R02 1M2 | (c) | ML + 230 | 08/25/2031 | 6,938 | 6,921 |
Connecticut Avenue Securities Trust 2019-R03 1M2 | (c) | ML + 215 | 09/25/2031 | 19,931 | 19,874 |
Connecticut Avenue Securities Trust 2019-R04 2B1 | (c) | ML + 525 | 06/25/2039 | 885,960 | 899,651 |
Connecticut Avenue Securities Trust 2019-R06 2B1 | (c) | ML + 375 | 09/25/2039 | 1,000,000 | 976,509 |
Connecticut Avenue Securities Trust 2019-R07 1M2 | (c) | ML + 210 | 10/25/2039 | 27,709 | 27,557 |
Connecticut Avenue Securities Trust 2020-R02 2M2 | (c) | ML + 200 | 01/25/2040 | 113,979 | 111,711 |
Connecticut Avenue Securities Trust 2020-SBT1 1M2 | (c) | ML + 365 | 02/25/2040 | 255,000 | 249,669 |
Connecticut Avenue Securities Trust 2020-SBT1 2M2 | (c) | ML + 365 | 02/25/2040 | 270,000 | 267,013 |
Connecticut Avenue Securities Trust 2021-R01 1M2 | (c) | SOFR30A + 155 | 10/25/2041 | 462,831 | 439,640 |
Connecticut Avenue Securities Trust 2021-R03 1M2 | (c) | SOFR30A + 165 | 12/25/2041 | 117,550 | 107,056 |
Connecticut Avenue Securities Trust 2022-R01 1B1 | (c) | SOFR30A + 315 | 12/25/2041 | 305,277 | 263,494 |
Connecticut Avenue Securities Trust 2022-R02 2M1 | (c) | SOFR30A + 120 | 01/25/2042 | 319,308 | 312,644 |
Connecticut Avenue Securities Trust 2022-R02 2M2 | (c) | SOFR30A + 300 | 01/25/2042 | 960,000 | 876,469 |
Connecticut Avenue Securities Trust 2022-R03 1M1 | (c) | SOFR30A + 210 | 03/25/2042 | 1,280,719 | 1,265,571 |
Connecticut Avenue Securities Trust 2022-R03 1M2 | (c) | SOFR30A + 350 | 03/25/2042 | 253,631 | 240,950 |
Connecticut Avenue Securities Trust 2022-R04 1M2 | (c) | SOFR30A + 310 | 03/25/2042 | 63,262 | 59,229 |
Connecticut Avenue Securities Trust 2022-R05 2M2 | (c) | SOFR30A + 300 | 04/25/2042 | 599,367 | 552,916 |
Connecticut Avenue Securities Trust 2022-R06 1M1 | (c) | SOFR30A + 275 | 05/25/2042 | 1,428,741 | 1,427,400 |
Connecticut Avenue Securities Trust 2022-R07 1M1 | (c) | SOFR30A + 295 | 06/25/2042 | 1,218,076 | 1,218,164 |
Connecticut Avenue Securities Trust 2022-R08 1M1 | (c) | SOFR30A + 255 | 07/25/2042 | 1,070,530 | 1,065,195 |
CPS Auto Receivables Trust 2021-B C | (c) | 1.230% | 03/15/2027 | 234,000 | 224,621 |
CPS Auto Receivables Trust 2021-C D | (c) | 1.690% | 06/15/2027 | 210,000 | 189,833 |
Dext ABS 2021-1 C | (c) | 2.290% | 09/15/2028 | 264,000 | 231,730 |
Dext ABS 2021-1 D | (c) | 2.810% | 03/15/2029 | 133,000 | 114,241 |
Diamond Issuer 2021-1A B | (c) | 2.701% | 11/20/2051 | 271,624 | 227,539 |
Donlen Fleet Lease Funding 2021-2 C | (c) | 1.200% | 12/11/2034 | 460,000 | 428,040 |
Dryden 78 CLO Ltd. 2020-78A A | (c) | QL + 118 | 04/17/2033 | 1,500,000 | 1,447,500 |
Eagle Re 2021-2 M1B | (c) | SOFR30A + 205 | 04/25/2034 | 152,272 | 148,054 |
Elmwood CLO IX Ltd. 2021-2A D | (c) | QL + 295 | 07/20/2034 | 250,000 | 218,873 |
Fannie Mae Connecticut Avenue Securities 2014-C04 1M2 | ML + 490 | 11/25/2024 | 164,611 | 170,117 | |
Fannie Mae Connecticut Avenue Securities 2015-C02 1M2 | ML + 400 | 05/25/2025 | 17,029 | 17,288 | |
Fannie Mae Connecticut Avenue Securities 2015-C03 1M2 | ML + 500 | 07/25/2025 | 92,877 | 94,724 | |
Fannie Mae Connecticut Avenue Securities 2015-C04 1M2 | ML + 570 | 04/25/2028 | 55,652 | 57,621 | |
Fannie Mae Connecticut Avenue Securities 2016-C01 1M2 | ML + 675 | 08/25/2028 | 66,782 | 70,508 | |
Fannie Mae Connecticut Avenue Securities 2017-C07 1B1 | ML + 400 | 05/25/2030 | 300,000 | 303,667 | |
Fannie Mae Connecticut Avenue Securities 2018-C05 1M2 | ML + 235 | 01/25/2031 | 743,555 | 731,479 | |
Fannie Mae Connecticut Avenue Securities 2018-C06 1M2 | ML + 200 | 03/25/2031 | 164,840 | 163,020 | |
Fannie Mae Connecticut Avenue Securities 2021-R02 2B1 | (c) | SOFR30A + 330 | 11/25/2041 | 211,036 | 190,535 |
Fannie Mae Connecticut Avenue Securities 2021-R02 2M2 | (c) | SOFR30A + 200 | 11/25/2041 | 1,000,000 | 893,984 |
FHF Trust 2021-2A A | (c) | 0.830% | 12/15/2026 | 91,400 | 86,809 |
Flatiron CLO 2021-1A D | (c) | QL + 290 | 07/19/2034 | 250,000 | 221,725 |
Ford Credit Auto Owner Trust 2021-1 D | (c) | 2.310% | 10/17/2033 | 230,000 | 198,222 |
Freddie Mac Multifamily Structured Credit Risk 2021-MN1 M1 | (c) | SOFR30A + 200 | 01/25/2051 | 30,717 | 29,504 |
Freddie Mac REMICS FHR 4981 HS | (f) | ML + 610 | 06/25/2050 | 750,754 | 73,882 |
Freddie Mac REMICS FHR 5015 BI | (f) | 4.000% | 09/25/2050 | 532,277 | 100,963 |
Freddie Mac STACR REMIC Trust 2020-DNA1 M2 | (c) | ML + 170 | 01/25/2050 | 49,769 | 49,235 |
Freddie Mac STACR REMIC Trust 2020-DNA5 M2 | (c) | SOFR30A + 280 | 10/25/2050 | 104,180 | 104,164 |
Freddie Mac STACR REMIC Trust 2020-DNA6 M2 | (c) | SOFR30A + 200 | 12/25/2050 | 1,386,789 | 1,363,383 |
Freddie Mac STACR REMIC Trust 2021-DNA3 B1 | (c) | SOFR30A + 350 | 10/25/2033 | 278,276 | 256,254 |
Freddie Mac STACR REMIC Trust 2021-DNA5 B1 | (c) | SOFR30A + 305 | 01/25/2034 | 1,000,000 | 887,194 |
Freddie Mac STACR REMIC Trust 2021-DNA6 M2 | (c) | SOFR30A + 150 | 10/25/2041 | 393,665 | 357,251 |
Freddie Mac STACR REMIC Trust 2021-DNA7 M2 | (c) | SOFR30A + 180 | 11/25/2041 | 986,480 | 884,132 |
Freddie Mac STACR REMIC Trust 2021-HQA2 M1 | (c) | SOFR30A + 70 | 12/25/2033 | 647,388 | 640,182 |
Freddie Mac STACR REMIC Trust 2021-HQA3 M2 | (c) | SOFR30A + 210 | 09/25/2041 | 1,000,000 | 840,000 |
Freddie Mac STACR REMIC Trust 2021-HQA4 M2 | (c) | SOFR30A + 235 | 12/25/2041 | 1,046,349 | 889,396 |
Freddie Mac STACR REMIC Trust 2022-DNA1 M1B | (c) | SOFR30A + 185 | 01/25/2042 | 1,600,000 | 1,451,999 |
Freddie Mac STACR REMIC Trust 2022-DNA1 M2 | (c) | SOFR30A + 250 | 01/25/2042 | 394,327 | 344,050 |
Freddie Mac STACR REMIC Trust 2022-DNA2 M2 | (c) | SOFR30A + 375 | 02/25/2042 | 295,064 | 269,615 |
Freddie Mac STACR REMIC Trust 2022-DNA3 M1A | (c) | SOFR30A + 200 | 04/25/2042 | 1,229,274 | 1,217,004 |
Freddie Mac STACR REMIC Trust 2022-DNA3 M1B | (c) | SOFR30A + 290 | 04/25/2042 | 1,600,000 | 1,509,998 |
Freddie Mac STACR REMIC Trust 2022-DNA3 M2 | (c) | SOFR30A + 435 | 04/25/2042 | 200,000 | 183,500 |
Freddie Mac STACR REMIC Trust 2022-DNA4 M1B | (c) | SOFR30A + 335 | 05/25/2042 | 1,621,038 | 1,539,988 |
67
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Asset-Backed / Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | |
Financials (continued) | |||||
Freddie Mac STACR REMIC Trust 2022-DNA5 M1B | (c) | SOFR30A + 450 | 06/25/2042 | $ 1,331,433 | $ 1,334,350 |
Freddie Mac STACR REMIC Trust 2022-DNA6 M1A | (c) | SOFR30A + 215 | 09/25/2042 | 473,758 | 470,944 |
Freddie Mac STACR REMIC Trust 2022-DNA7 M1A | (c) | SOFR30A + 250 | 09/25/2042 | 1,213,438 | 1,213,817 |
Freddie Mac STACR REMIC Trust 2022-HQA1 M1B | (c) | SOFR30A + 350 | 03/25/2042 | 65,368 | 62,549 |
Freddie Mac STACR Trust 2018-DNA2 B1 | (c) | ML + 370 | 12/25/2030 | 1,000,000 | 985,915 |
Freddie Mac STACR Trust 2019-DNA4 M2 | (c) | ML + 195 | 10/25/2049 | 10,470 | 10,410 |
Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA2 M1A | (c) | SOFR30A + 265 | 07/25/2042 | 478,054 | 475,751 |
FREED ABS Trust 2021-2 C | (c) | 1.940% | 06/19/2028 | 460,000 | 443,304 |
Galaxy 30 CLO Ltd. 2022-30A D | (c) | TSFR3M + 335 | 04/15/2035 | 400,000 | 372,730 |
GCI Funding I LLC 2021-1 A | (c) | 2.380% | 06/18/2046 | 148,960 | 127,126 |
Goldentree Loan Management U.S. CLO 7 Ltd. 2020-7A AR | (c) | QL + 107 | 04/20/2034 | 250,000 | 241,017 |
Hertz Vehicle Financing III LLC 2022-1A C | (c) | 2.630% | 06/25/2026 | 220,000 | 196,623 |
HFX Funding Issuer 2017-1 | (c) | 3.622% | 03/15/2035 | 280,000 | 257,057 |
Home Re 2021-2 M1B | (c) | SOFR30A + 160 | 01/25/2034 | 222,490 | 217,534 |
Invesco CLO 2021-1A A1 | (c) | QL + 100 | 04/15/2034 | 1,700,000 | 1,633,268 |
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 B | 3.674% | 12/15/2047 | 300,000 | 293,250 | |
JPMBB Commercial Mortgage Securities Trust 2013-C15 AS | 4.420% | 11/15/2045 | 250,000 | 246,254 | |
JPMBB Commercial Mortgage Securities Trust 2014-C21 C | 4.795% | 08/15/2047 | 295,000 | 269,094 | |
JPMBB Commercial Mortgage Securities Trust 2015-C27 AS | 3.634% | 02/15/2048 | 130,694 | 123,521 | |
LAD Auto Receivables Trust 2021-1A C | (c) | 2.350% | 04/15/2027 | 406,000 | 369,261 |
LAD Auto Receivables Trust 2022-1A A | (c) | 5.210% | 06/15/2027 | 807,410 | 797,128 |
Morgan Stanley Capital I Trust 2018-H3 AS | 4.429% | 07/15/2051 | 270,000 | 249,572 | |
MVW 2021-2A C | (c) | 2.230% | 05/20/2039 | 358,527 | 315,557 |
Neighborly Issuer 2022-1A A2 | (c) | 3.695% | 01/30/2052 | 226,860 | 182,506 |
Neighborly Issuer LLC 2021-1A A2 | (c) | 3.584% | 04/30/2051 | 125,044 | 103,355 |
Nelnet Student Loan Trust 2021-BA B | (c) | 2.680% | 04/20/2062 | 100,000 | 79,539 |
Nelnet Student Loan Trust 2021-DA C | (c) | 3.500% | 04/20/2062 | 100,000 | 80,918 |
Neuberger Berman Loan Advisers CLO 2021-42A D | (c) | QL + 280 | 07/16/2035 | 301,613 | 263,858 |
Neuberger Berman Loan Advisers CLO 43 Ltd. 2021-43A D | (c) | QL + 310 | 07/17/2035 | 250,000 | 219,756 |
Oaktown Re VII Ltd. 2021-2 M1A | (c) | SOFR30A + 160 | 04/25/2034 | 272,026 | 267,075 |
OCP CLO 2020-18A AR | (c) | QL + 109 | 07/20/2032 | 322,000 | 313,576 |
Octane Receivables Trust 2021-2A C | (c) | 2.530% | 05/21/2029 | 209,000 | 182,411 |
OneMain Direct Auto Receivables Trust 2022-1A C | (c) | 5.310% | 06/14/2029 | 1,100,000 | 1,060,989 |
PMT Credit Risk Transfer Trust 2019-2R A | (c) | ML + 275 | 05/27/2023 | 113,526 | 108,949 |
Rad CLO 11 Ltd. 2021-11A D | (c) | QL + 290 | 04/15/2034 | 250,000 | 222,175 |
Regatta XX Funding Ltd. 2021-2A A | (c) | QL + 116 | 10/15/2034 | 450,431 | 434,891 |
Regatta XXIV Funding Ltd. 2021-5A D | (c) | QL + 310 | 01/20/2035 | 450,000 | 398,869 |
Research-Driven Pagaya Motor Asset Trust VII 2022-3A A | (c) | 5.380% | 11/25/2030 | 859,593 | 848,138 |
Rockford Tower CLO 2021-1A D | (c) | QL + 300 | 07/20/2034 | 306,626 | 267,889 |
Rockford Tower CLO 2021-2A A1 | (c) | QL + 116 | 07/20/2034 | 250,000 | 242,234 |
Santander Bank Auto Credit-Linked Notes Series 2022-A B | (c) | 5.281% | 05/15/2032 | 722,269 | 708,739 |
Santander Bank Auto Credit-Linked Notes Series 2022-B B | (c) | 5.721% | 08/16/2032 | 892,119 | 893,414 |
Santander Bank N.A. - SBCLN 2021-1A C | (c) | 3.268% | 12/15/2031 | 465,065 | 448,946 |
Santander Consumer Auto Receivables Trust 2021-CA B | (c) | 1.440% | 04/17/2028 | 20,978 | 20,908 |
SEB Funding LLC 2021-1A A2 | (c) | 4.969% | 01/30/2052 | 331,170 | 278,968 |
SG Commercial Mortgage Securities Trust 2016-C5 A4 | 3.055% | 10/10/2048 | 250,000 | 228,135 | |
Signal Peak CLO 2022-12A C | (c) | TSFR3M + 345 | 07/18/2034 | 1,115,000 | 1,099,688 |
TICP CLO XV Ltd. 2020-15A A | (c) | QL + 128 | 04/20/2033 | 1,600,000 | 1,557,387 |
Triangle Re 2021-3 M1B | (c) | SOFR30A + 290 | 02/25/2034 | 240,000 | 228,698 |
UBS-Barclays Commercial Mortgage Trust 2012-C4 C | (c) | 4.500% | 12/10/2045 | 390,000 | 386,511 |
United Auto Credit Securitization Trust 2022-2 A | (c) | 4.390% | 04/10/2025 | 784,968 | 781,259 |
Upstart Securitization Trust 2020-3 A | (c) | 1.702% | 11/20/2030 | 4,812 | 4,805 |
Upstart Securitization Trust 2021-3 B | (c) | 1.660% | 07/20/2031 | 210,000 | 193,408 |
VASA Trust 2021-VASA A | (c) | ML + 90 | 07/15/2039 | 460,000 | 437,891 |
Wells Fargo Commercial Mortgage Trust 2016-C35 B | 3.438% | 07/15/2048 | 270,000 | 239,335 | |
WFRBS Commercial Mortgage Trust 2014-C24 AS | 3.931% | 11/15/2047 | 270,000 | 257,584 | |
66,101,582 | |||||
Industrials–0.1% | |||||
Avis Budget Rental Car Funding AESOP LLC 2017-2A D | (c) | 4.560% | 03/20/2024 | 1,185,000 | 1,179,823 |
Total Asset-Backed / Mortgage-Backed Securities (Cost $70,193,057) | $67,731,182 |
U.S. Government Agency Mortgage-Backed Securities–4.5% | Rate | Maturity | Face Amount | Value | |
Fannie Mae or Freddie Mac UMBS TBA | 2.000% | 10/15/2052 | $ 1,523,097 | $ 1,232,876 | |
Fannie Mae or Freddie Mac UMBS TBA | 2.500% | 10/15/2052 | 15,030,022 | 12,607,312 | |
Fannie Mae or Freddie Mac UMBS TBA | 3.000% | 10/15/2052 | 4,172,412 | 3,630,813 | |
Fannie Mae or Freddie Mac UMBS TBA | 3.500% | 10/15/2052 | 6,605,359 | 5,944,307 |
68
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
U.S. Government Agency Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | |
Fannie Mae or Freddie Mac UMBS TBA | 4.000% | 10/15/2052 | $ 2,881,017 | $ 2,673,156 | |
Fannie Mae or Freddie Mac UMBS TBA | 4.500% | 10/15/2052 | 2,854,498 | 2,719,132 | |
Fannie Mae Pool FN AL5310 | 3.500% | 04/01/2044 | 2,231 | 2,057 | |
Fannie Mae Pool FN AL5887 | 4.500% | 10/01/2044 | 13,613 | 13,337 | |
Fannie Mae Pool FN AL6542 | 4.500% | 03/01/2045 | 20,371 | 19,958 | |
Fannie Mae Pool FN AL6620 | 4.500% | 08/01/2042 | 125,737 | 121,941 | |
Fannie Mae Pool FN AL6997 | 4.500% | 11/01/2042 | 9,109 | 8,924 | |
Fannie Mae Pool FN AL8855 | 3.500% | 07/01/2046 | 7,718 | 7,092 | |
Fannie Mae Pool FN AS7168 | 3.500% | 05/01/2046 | 16,077 | 14,770 | |
Fannie Mae Pool FN AS7587 | 3.500% | 07/01/2046 | 93,345 | 85,756 | |
Fannie Mae Pool FN AS7822 | 3.500% | 08/01/2046 | 181,180 | 166,028 | |
Fannie Mae Pool FN AZ9203 | 3.000% | 10/01/2045 | 17,312 | 15,446 | |
Fannie Mae Pool FN BA2885 | 3.000% | 10/01/2045 | 39,543 | 35,118 | |
Fannie Mae Pool FN BA4752 | 3.000% | 01/01/2046 | 5,076 | 4,521 | |
Fannie Mae Pool FN BC1520 | 3.500% | 08/01/2046 | 143,191 | 131,265 | |
Fannie Mae Pool FN BC2468 | 3.000% | 03/01/2046 | 95,267 | 84,541 | |
Fannie Mae Pool FN BC2488 | 3.000% | 03/01/2046 | 106,540 | 94,555 | |
Fannie Mae Pool FN BC9077 | 3.500% | 12/01/2046 | 10,495 | 9,594 | |
Fannie Mae Pool FN BH1902 | 3.500% | 12/01/2047 | 9,705 | 8,904 | |
Fannie Mae Pool FN BH3892 | 3.500% | 08/01/2047 | 20,744 | 18,971 | |
Fannie Mae Pool FN BH6940 | 3.500% | 08/01/2047 | 19,031 | 17,447 | |
Fannie Mae Pool FN BJ1692 | 3.500% | 12/01/2047 | 44,797 | 41,022 | |
Fannie Mae Pool FN BJ1695 | 3.500% | 12/01/2047 | 6,592 | 6,024 | |
Fannie Mae Pool FN BJ4558 | 3.500% | 01/01/2048 | 33,673 | 30,879 | |
Fannie Mae Pool FN BJ4559 | 3.500% | 01/01/2048 | 12,464 | 11,386 | |
Fannie Mae Pool FN BJ4566 | 4.000% | 01/01/2048 | 109,747 | 103,810 | |
Fannie Mae Pool FN BJ4567 | 4.000% | 01/01/2048 | 155,489 | 147,005 | |
Fannie Mae Pool FN BJ5170 | 3.500% | 03/01/2048 | 8,673 | 7,985 | |
Fannie Mae Pool FN BK1964 | 4.000% | 03/01/2048 | 31,813 | 30,083 | |
Fannie Mae Pool FN BK1975 | 3.500% | 03/01/2048 | 20,163 | 18,464 | |
Fannie Mae Pool FN BK3211 | 4.500% | 03/01/2048 | 35,640 | 34,435 | |
Fannie Mae Pool FN BK4157 | 4.000% | 05/01/2048 | 44,995 | 42,619 | |
Fannie Mae Pool FN BM3282 | 3.500% | 12/01/2047 | 5,699 | 5,284 | |
Fannie Mae Pool FN BM3511 | 4.500% | 02/01/2046 | 72,597 | 71,129 | |
Fannie Mae Pool FN BM3912 | 3.000% | 03/01/2047 | 114,661 | 102,139 | |
Fannie Mae Pool FN BM4427 | 3.500% | 04/01/2048 | 66,180 | 60,490 | |
Fannie Mae Pool FN BM4735 | 3.500% | 04/01/2048 | 83,147 | 76,052 | |
Fannie Mae Pool FN BM4896 | 3.000% | 02/01/2047 | 750,545 | 671,956 | |
Fannie Mae Pool FN BM5138 | 3.500% | 11/01/2048 | 150,317 | 138,662 | |
Fannie Mae Pool FN BM5334 | 3.500% | 01/01/2049 | 35,520 | 32,480 | |
Fannie Mae Pool FN BN0012 | 4.500% | 08/01/2048 | 20,240 | 19,509 | |
Fannie Mae Pool FN BO3223 | 3.000% | 10/01/2034 | 29,799 | 27,746 | |
Fannie Mae Pool FN BO4725 | 2.500% | 11/01/2034 | 45,844 | 41,692 | |
Fannie Mae Pool FN BO5957 | 3.000% | 12/01/2034 | 5,781 | 5,383 | |
Fannie Mae Pool FN BO7717 | 3.000% | 11/01/2034 | 5,684 | 5,293 | |
Fannie Mae Pool FN BU1240 | 3.000% | 03/01/2052 | 1,058,095 | 926,181 | |
Fannie Mae Pool FN BU1349 | 3.000% | 02/01/2052 | 830,410 | 727,531 | |
Fannie Mae Pool FN BU8919 | 2.500% | 04/01/2052 | 688,217 | 581,116 | |
Fannie Mae Pool FN BU8922 | 2.500% | 04/01/2052 | 668,469 | 562,230 | |
Fannie Mae Pool FN CA0108 | 3.500% | 08/01/2047 | 19,553 | 18,129 | |
Fannie Mae Pool FN CB1113 | 2.000% | 07/01/2051 | 1,108,981 | 899,838 | |
Fannie Mae Pool FN CB2538 | 2.500% | 01/01/2052 | 713,248 | 602,435 | |
Fannie Mae Pool FN CB3564 | 2.500% | 05/01/2052 | 582,766 | 492,084 | |
Fannie Mae Pool FN CB3565 | 2.500% | 05/01/2052 | 461,108 | 388,024 | |
Fannie Mae Pool FN FM0029 | 3.000% | 09/01/2046 | 187,713 | 168,126 | |
Fannie Mae Pool FN FM1036 | 3.000% | 05/01/2043 | 94,508 | 84,650 | |
Fannie Mae Pool FN FS0967 | 2.500% | 03/01/2052 | 776,908 | 656,011 | |
Fannie Mae Pool FN MA3211 | 4.000% | 12/01/2047 | 43,965 | 41,681 | |
Fannie Mae Pool FN MA3239 | 4.000% | 01/01/2048 | 7,111 | 6,723 | |
Freddie Mac Gold Pool FG G60658 | 3.500% | 07/01/2046 | 185,152 | 170,938 | |
Freddie Mac Gold Pool FG G61360 | 3.500% | 03/01/2048 | 39,325 | 35,962 | |
Freddie Mac Gold Pool FG G61737 | 3.500% | 11/01/2048 | 160,471 | 146,762 | |
Freddie Mac Gold Pool FG Q54793 | 4.500% | 03/01/2048 | 31,353 | 30,259 | |
Freddie Mac Gold Pool FG Q55394 | 3.500% | 04/01/2048 | 12,675 | 11,573 | |
Freddie Mac Pool FR QD8682 | 3.000% | 03/01/2052 | 691,123 | 604,964 | |
Freddie Mac Pool FR QE0805 | 2.500% | 04/01/2052 | 642,138 | 540,217 | |
Freddie Mac Pool FR QE0808 | 2.500% | 04/01/2052 | 693,545 | 585,185 | |
Freddie Mac Pool FR QN0783 | 3.000% | 10/01/2034 | 30,932 | 28,801 | |
Freddie Mac Pool FR QN0786 | 3.000% | 10/01/2034 | 65,926 | 61,379 | |
Freddie Mac Pool FR QN0951 | 2.500% | 11/01/2034 | 45,724 | 41,583 |
69
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
U.S. Government Agency Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | |
Freddie Mac Pool FR RA6963 | 2.000% | 03/01/2052 | $ 1,072,659 | $ 871,141 | |
Freddie Mac Pool FR SB0040 | 2.500% | 12/01/2033 | 216,981 | 201,325 | |
Freddie Mac Pool FR SB0116 | 2.500% | 11/01/2034 | 56,314 | 51,235 | |
Freddie Mac Pool FR SD0932 | 2.500% | 04/01/2052 | 713,095 | 602,825 | |
Freddie Mac Pool FR ZA4718 | 3.000% | 10/01/2046 | 137,839 | 122,481 | |
Freddie Mac Pool FR ZK8962 | 3.000% | 09/01/2032 | 51,460 | 47,956 | |
Freddie Mac Pool FR ZK9009 | 3.000% | 10/01/2032 | 19,371 | 18,048 | |
Freddie Mac Pool FR ZK9163 | 3.000% | 01/01/2033 | 30,809 | 28,711 | |
Freddie Mac Pool FR ZM1434 | 3.500% | 07/01/2046 | 24,532 | 22,531 | |
Freddie Mac Pool FR ZM4821 | 3.500% | 11/01/2047 | 25,768 | 23,538 | |
Freddie Mac Pool FR ZM4939 | 3.500% | 11/01/2047 | 46,767 | 42,879 | |
Freddie Mac Pool FR ZM5102 | 3.500% | 12/01/2047 | 55,814 | 50,984 | |
Freddie Mac Pool FR ZM5228 | 3.500% | 12/01/2047 | 32,015 | 29,438 | |
Freddie Mac Pool FR ZM5705 | 3.500% | 02/01/2048 | 15,492 | 14,163 | |
Freddie Mac Pool FR ZM5707 | 3.500% | 02/01/2048 | 9,806 | 8,958 | |
Freddie Mac Pool FR ZM5945 | 4.000% | 03/01/2048 | 31,157 | 29,434 | |
Freddie Mac Pool FR ZM6220 | 4.000% | 04/01/2048 | 13,561 | 12,809 | |
Freddie Mac Pool FR ZM6276 | 4.000% | 04/01/2048 | 39,588 | 37,460 | |
Freddie Mac Pool FR ZM6427 | 4.000% | 05/01/2048 | 91,674 | 86,613 | |
Freddie Mac Pool FR ZN2165 | 4.500% | 12/01/2048 | 44,792 | 44,047 | |
Freddie Mac Pool FR ZS4598 | 3.000% | 01/01/2045 | 17,453 | 15,558 | |
Freddie Mac Pool FR ZS7403 | 3.000% | 05/01/2031 | 160,256 | 151,732 | |
Freddie Mac Pool FR ZS9830 | 3.500% | 10/01/2046 | 185,230 | 170,125 | |
Freddie Mac Pool FR ZT0272 | 3.500% | 02/01/2047 | 104,722 | 96,200 | |
Freddie Mac Pool FR ZT0337 | 3.500% | 12/01/2044 | 18,222 | 16,736 | |
Freddie Mac Pool FR ZT0537 | 3.500% | 03/01/2048 | 144,677 | 132,693 | |
Freddie Mac Pool FR ZT1633 | 4.000% | 03/01/2047 | 9,119 | 8,654 | |
Ginnie Mae II Jumbo TBA | 3.000% | 10/15/2052 | 1,154,251 | 1,019,934 | |
Ginnie Mae II Jumbo TBA | 4.000% | 10/15/2052 | 2,802,682 | 2,617,114 | |
Ginnie Mae II Jumbo TBA | 4.500% | 10/15/2052 | 4,324,000 | 4,138,710 | |
Total U.S. Government Agency Mortgage-Backed Securities (Cost $53,812,876) | $50,525,762 |
Preferred Securities–0.2% | Rate | Quantity | Value | |
Financials–0.2% | ||||
Charles Schwab Corp. / The DR (Rate is fixed until 06/01/2026, at which point, the rate becomes H15T5Y + 317) (Capital Markets) | (d) | 4.000% | 455,000 | $ 373,194 |
Citigroup, Inc. DR (Rate is fixed until 01/30/2023, at which point, the rate becomes QL + 407) (Banks) | (d) | 5.950% | 217,000 | 214,422 |
Citigroup, Inc. DR (Rate is fixed until 05/15/2025, at which point, the rate becomes QL + 391) (Banks) | (d) | 5.950% | 142,000 | 128,517 |
Citigroup, Inc. (Rate is fixed until 12/10/2025, at which point, the rate becomes H15T5Y + 360) (Banks) | (d) | 4.000% | 101,000 | 85,092 |
Citigroup, Inc. DR (Rate is fixed until 02/15/2023, at which point, the rate becomes QL + 423) (Banks) | (d) | 5.900% | 27,000 | 26,730 |
Discover Financial Services (Rate is fixed until 09/23/2025, at which point, the rate becomes H15T5Y + 578) (Consumer Finance) | (d) | 6.125% | 404,000 | 394,085 |
Fifth Third Bancorp DR (Rate is fixed until 09/30/2025, at which point, the rate becomes H15T5Y + 422) (Banks) | (d) | 4.500% | 76,000 | 69,913 |
Goldman Sachs Group, Inc. / The DR (Rate is fixed until 11/10/2026, at which point, the rate becomes H15T5Y + 295) (Capital Markets) | (d) | 4.125% | 120,000 | 95,400 |
JPMorgan Chase & Co. DR (Banks) | QL + 347 | 95,000 | 94,999 | |
JPMorgan Chase & Co. DR (Banks) | QL + 332 | 5,000 | 5,000 | |
Truist Financial Corp. DR (Rate is fixed until 09/01/2030, at which point, the rate becomes H15T10Y + 435) (Banks) | (d) | 5.100% | 256,000 | 226,980 |
1,714,332 | ||||
Industrials–0.0% | ||||
General Electric Co. (Industrial Conglomerates) | QL + 333 | 336,000 | 314,222 | |
Utilities–0.0% | ||||
Vistra Corp. (Rate is fixed until 12/15/2026, at which point, the rate becomes H15T5Y + 574) (Ind. Power & Renewable Elec.) | (c)(d) | 7.000% | 107,000 | 93,412 |
Total Preferred Securities (Cost $2,347,878) | $2,121,966 |
Sovereign Debt Issues–0.1% | Rate | Maturity | Face Amount | Value | |
CDBL Funding 1 | 3.500% | 10/24/2027 | $ 230,000 | $ 210,992 | |
Colombia Government International Bond | 3.125% | 04/15/2031 | 1,176,000 | 815,454 | |
Dominican Republic International Bond | (c) | 4.875% | 09/23/2032 | 250,000 | 187,953 |
Total Sovereign Debt Issues (Cost $1,535,555) | $1,214,399 |
70
(continued)
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Taxable Municipal Bonds–0.1% | Rate | Maturity | Face Amount | Value | |
Ochsner LSU Health System of North Louisiana | 2.510% | 05/15/2031 | $ 230,000 | $ 175,868 | |
Tobacco Settlement Finance Authority | 3.000% | 06/01/2035 | 73,548 | 69,795 | |
University of California | 3.071% | 05/15/2051 | 310,000 | 206,699 | |
Total Taxable Municipal Bonds (Cost $612,558) | $452,362 |
Money Market Funds–6.9% | Shares | Value | |
State Street Institutional Liquid Reserves Fund Institutional Class, 3.011% | (g) | 54,287,802 | $ 54,298,659 |
State Street Institutional U.S. Government Money Market Fund, 2.942% | (g) | 22,885,973 | 22,885,973 |
Total Money Market Funds (Cost $77,174,310) | $77,184,632 | ||
Total Investments – 103.0% (Cost $1,236,995,984) | (h) | $1,156,681,145 | |
Liabilities in Excess of Other Assets – (3.0)% | (33,700,911) | ||
Net Assets – 100.0% | $1,122,980,234 |
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, 3.830% at 09/30/2022 | |
H15T1Y: | U.S. Treasury Yield Curve Rate T-Note Constant Maturity 1 Year, 4.050% at 09/30/2022 | |
H15T5Y: | U.S. Treasury Yield Curve Rate T-Note Constant Maturity 5 Year, 4.060% at 09/30/2022 | |
ML: | Monthly U.S. LIBOR Rate, 3.143% at 09/30/2022 | |
QL: | Quarterly U.S. LIBOR Rate, 3.755% at 09/30/2022 | |
SOFR: | Secured Overnight Financing Rate, 2.980% at 09/30/2022 | |
SOFR30A: | 30 Day Average Secured Overnight Financing Rate, 2.469% at 09/30/2022 | |
TSFR3M: | Quarterly CME Term SOFR, 3.593% at 09/30/2022 | |
UMBS TBA: | Uniform Mortgage-Backed Security To Be Announced ("TBA"); the securities backed by fixed rate mortgage loans that are delivered on a future settlement date could be issued by Fannie Mae, Freddie Mac, or a combination thereof. | |
USSW5: | USD Swap Semi 30/360 5 Year, 4.141% at 09/30/2022 |
Footnotes: | ||
(a) | Non-income producing security. | |
(b) | Security is partially pledged as collateral for the futures contracts outstanding at September 30, 2022. The market value pledged totaled $21,770,444. See also the following Schedule of Open Futures Contracts. | |
(c) | 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 September 30, 2022, the value of these securities totaled $103,918,721, or 9.3% of the Portfolio’s net assets. | |
(d) | 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 September 30, 2022. | |
(e) | 100 shares per contract. | |
(f) | Interest-only security | |
(g) | Rate represents the seven-day yield at September 30, 2022. | |
(h) | 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 | September 30, 2022 (Unaudited) |
Long Futures
Contracts
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
CME Micro E-mini S&P 500 Index - Long | 75 | December 16, 2022 | $1,518,765 | $1,350,563 | $(168,202) | $(19,781) | ||||||
CBT 10-Year U.S. Ultra Bond - Long | 129 | December 20, 2022 | 15,600,366 | 15,284,484 | (315,882) | (58,125) | ||||||
CBT U.S. Long Bond - Long | 288 | December 20, 2022 | 39,444,091 | 36,405,000 | (3,039,091) | (181,375) | ||||||
CBT U.S. Ultra Bond - Long | 4 | December 20, 2022 | 603,631 | 548,000 | (55,631) | (6,500) | ||||||
CBT 10-Year U.S. Treasury Note - Long | 3,049 | December 20, 2022 | 358,612,532 | 341,678,563 | (16,933,969) | (1,196,656) | ||||||
CBT 2-Year U.S. Treasury Note - Long | 61 | December 30, 2022 | 12,532,239 | 12,528,828 | (3,411) | (3,411) | ||||||
$428,311,624 | $407,795,438 | $(20,516,186) | $(1,465,848) |
71
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Open Futures Contracts | September 30, 2022 (Unaudited) |
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 | 1,128 | December 16, 2022 | $(229,452,799) | (203,124,600) | $26,328,199 | $2,434,909 | ||||||
CBT 5-Year U.S. Treasury Note - Short | 118 | December 30, 2022 | (12,693,693) | (12,685,922) | 7,771 | 18,922 | ||||||
$(242,146,492) | $(215,810,522) | $26,335,970 | $2,453,831 | |||||||||
Total Futures Contracts | $186,165,132 | $191,984,916 | $5,819,784 | $987,983 |
The accompanying
notes are an integral part of these financial statements.
72
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
U.S. Treasury Obligations–43.6% | Rate | Maturity | Face Amount | Value | |
U.S. Treasury Note | 0.125% | 04/30/2023 | $ 1,500,000 | $ 1,466,426 | |
U.S. Treasury Note | 0.125% | 06/30/2023 | 12,500,000 | 12,136,719 | |
U.S. Treasury Note | 0.750% | 12/31/2023 | 7,250,000 | 6,940,459 | |
U.S. Treasury Note | 2.250% | 03/31/2024 | 14,000,000 | 13,580,000 | |
U.S. Treasury Note | 2.500% | 04/30/2024 | 8,400,000 | 8,165,719 | |
U.S. Treasury Note | 0.250% | 05/15/2024 | 7,500,000 | 7,025,976 | |
U.S. Treasury Note | 3.000% | 06/30/2024 | 5,000,000 | 4,891,016 | |
U.S. Treasury Note | 3.000% | 07/31/2024 | 10,000,000 | 9,777,344 | |
U.S. Treasury Note | 0.375% | 09/15/2024 | 6,000,000 | 5,566,172 | |
U.S. Treasury Note | 0.375% | 12/31/2025 | 3,000,000 | 2,652,773 | |
U.S. Treasury Note | 0.875% | 06/30/2026 | 18,000,000 | 15,935,625 | |
U.S. Treasury Note | 0.625% | 07/31/2026 | 2,400,000 | 2,098,969 | |
U.S. Treasury Note | 1.500% | 01/31/2027 | 3,500,000 | 3,137,422 | |
U.S. Treasury Note | 2.500% | 03/31/2027 | 5,900,000 | 5,511,430 | |
U.S. Treasury Note | (a) | 0.500% | 04/30/2027 | 3,200,000 | 2,721,875 |
U.S. Treasury Note | 2.750% | 04/30/2027 | 12,600,000 | 11,890,758 | |
U.S. Treasury Note | 2.625% | 05/31/2027 | 1,500,000 | 1,408,125 | |
U.S. Treasury Note | 3.125% | 08/31/2027 | 2,930,000 | 2,810,511 | |
U.S. Treasury Note | 1.250% | 03/31/2028 | 575,000 | 495,780 | |
U.S. Treasury Note | 1.500% | 11/30/2028 | 4,200,000 | 3,620,039 | |
U.S. Treasury Note | 1.375% | 12/31/2028 | 3,650,000 | 3,124,029 | |
U.S. Treasury Note | 2.375% | 03/31/2029 | 6,500,000 | 5,885,547 | |
U.S. Treasury Note | 2.625% | 07/31/2029 | 21,000,000 | 19,297,031 | |
U.S. Treasury Note | 1.125% | 02/15/2031 | 405,000 | 327,939 | |
U.S. Treasury Note | 1.875% | 02/15/2032 | 15,300,000 | 12,964,359 | |
U.S. Treasury Note | 2.875% | 05/15/2032 | 22,500,000 | 20,801,953 | |
U.S. Treasury Note | 1.375% | 11/15/2040 | 525,000 | 339,384 | |
U.S. Treasury Note | 1.875% | 02/15/2041 | 180,000 | 127,498 | |
U.S. Treasury Note | 2.375% | 02/15/2042 | 11,850,000 | 9,080,062 | |
U.S. Treasury Note | 2.000% | 02/15/2050 | 3,750,000 | 2,576,221 | |
U.S. Treasury Note | 1.875% | 02/15/2051 | 3,940,000 | 2,608,403 | |
U.S. Treasury Note | 2.875% | 05/15/2052 | 35,300,000 | 29,602,359 | |
Total U.S. Treasury Obligations (Cost $251,558,957) | $228,567,923 |
U.S. Government Agency Mortgage-Backed Securities–23.2% | Rate | Maturity | Face Amount | Value | |
Fannie Mae or Freddie Mac UMBS TBA | 2.000% | 10/15/2052 | $ 3,500,000 | $ 2,833,086 | |
Fannie Mae or Freddie Mac UMBS TBA | 2.500% | 10/15/2052 | 5,500,000 | 4,613,447 | |
Fannie Mae or Freddie Mac UMBS TBA | 3.000% | 10/15/2052 | 3,250,000 | 2,828,135 | |
Fannie Mae or Freddie Mac UMBS TBA | 3.500% | 10/15/2052 | 2,000,000 | 1,799,844 | |
Fannie Mae or Freddie Mac UMBS TBA | 4.000% | 10/15/2052 | 2,000,000 | 1,855,703 | |
Fannie Mae or Freddie Mac UMBS TBA | 4.500% | 10/15/2052 | 1,000,000 | 952,578 | |
Fannie Mae or Freddie Mac UMBS TBA | 5.000% | 10/15/2052 | 4,500,000 | 4,383,304 | |
Fannie Mae or Freddie Mac UMBS TBA | 5.500% | 10/15/2052 | 500,000 | 496,953 | |
Fannie Mae Pool FN BM4333 | 3.500% | 12/01/2047 | 1,024,167 | 935,212 | |
Fannie Mae Pool FN BN6715 | 4.000% | 06/01/2049 | 3,004,680 | 2,826,771 | |
Fannie Mae Pool FN BP2797 | 2.500% | 05/01/2050 | 1,499,346 | 1,267,997 | |
Fannie Mae Pool FN BP6700 | 2.500% | 09/01/2050 | 4,198,100 | 3,553,696 | |
Fannie Mae Pool FN BP8188 | 2.000% | 09/01/2050 | 6,231,287 | 5,082,472 | |
Fannie Mae Pool FN BQ4558 | 2.000% | 03/01/2051 | 2,172,475 | 1,767,483 | |
Fannie Mae Pool FN BR1844 | 2.500% | 01/01/2051 | 1,215,564 | 1,027,920 | |
Fannie Mae Pool FN BR4390 | 2.000% | 03/01/2051 | 3,683,765 | 2,999,150 | |
Fannie Mae Pool FN BR4694 | 2.000% | 03/01/2051 | 5,739,121 | 4,670,947 | |
Fannie Mae Pool FN BR9750 | 2.000% | 04/01/2051 | 3,698,296 | 3,010,390 | |
Fannie Mae Pool FN BT7183 | 2.500% | 08/01/2051 | 1,656,946 | 1,397,159 | |
Fannie Mae Pool FN CA4819 | 4.000% | 12/01/2049 | 1,033,346 | 970,989 | |
Fannie Mae Pool FN CA5348 | 3.500% | 03/01/2050 | 1,588,569 | 1,444,129 | |
Fannie Mae Pool FN CA5706 | 2.500% | 05/01/2050 | 1,991,747 | 1,684,951 | |
Fannie Mae Pool FN CA6998 | 3.000% | 09/01/2050 | 3,052,753 | 2,685,049 | |
Fannie Mae Pool FN CA8118 | 2.000% | 12/01/2050 | 1,833,231 | 1,493,711 | |
Fannie Mae Pool FN CA9293 | 2.500% | 02/01/2051 | 2,469,905 | 2,086,576 | |
Fannie Mae Pool FN CB1131 | 2.500% | 07/01/2051 | 1,760,858 | 1,484,952 | |
Fannie Mae Pool FN CB3335 | 4.500% | 04/01/2052 | 4,846,524 | 4,698,948 | |
Fannie Mae Pool FN FM2778 | 3.000% | 03/01/2050 | 2,182,451 | 1,916,593 | |
Fannie Mae Pool FN FM3734 | 3.500% | 09/01/2049 | 1,188,971 | 1,092,981 | |
Fannie Mae Pool FN FM3919 | 4.000% | 05/01/2049 | 738,318 | 703,936 | |
Fannie Mae Pool FN FM4122 | 2.000% | 08/01/2050 | 6,390,497 | 5,213,107 | |
Fannie Mae Pool FN FM4317 | 3.000% | 09/01/2050 | 2,913,253 | 2,553,997 | |
Fannie Mae Pool FN FM4532 | 3.000% | 09/01/2050 | 3,299,057 | 2,904,145 | |
Fannie Mae Pool FN FM6708 | 2.500% | 01/01/2051 | 3,659,832 | 3,094,514 |
73
(continued)
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
U.S. Government Agency Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | |
Fannie Mae Pool FN FM7293 | 2.500% | 05/01/2051 | $ 1,288,986 | $ 1,089,140 | |
Fannie Mae Pool FN FM7706 | 3.500% | 08/01/2050 | 3,276,352 | 2,981,876 | |
Fannie Mae Pool FN FM8421 | 2.500% | 08/01/2051 | 2,230,042 | 1,880,527 | |
Fannie Mae Pool FN MA4138 | 1.500% | 09/01/2050 | 4,339,563 | 3,340,400 | |
Fannie Mae Pool FN MA4255 | 2.000% | 02/01/2051 | 1,664,582 | 1,356,698 | |
Fannie Mae Pool FN MA4593 | 4.000% | 03/01/2052 | 906,182 | 841,550 | |
Freddie Mac Pool FR QD7126 | 2.500% | 02/01/2052 | 2,402,089 | 2,021,313 | |
Freddie Mac Pool FR RA3357 | 2.000% | 08/01/2050 | 1,225,111 | 997,857 | |
Freddie Mac Pool FR RA3575 | 2.000% | 09/01/2050 | 5,929,254 | 4,829,359 | |
Freddie Mac Pool FR RA5761 | 2.000% | 06/01/2051 | 2,390,344 | 1,944,307 | |
Freddie Mac Pool FR SD0451 | 3.000% | 10/01/2050 | 1,719,470 | 1,508,021 | |
Freddie Mac Pool FR SD0625 | 2.500% | 05/01/2051 | 2,151,217 | 1,815,020 | |
Freddie Mac Pool FR SD0977 | 3.500% | 02/01/2052 | 5,837,219 | 5,283,322 | |
Freddie Mac Pool FR SD7505 | 4.500% | 08/01/2049 | 789,441 | 767,330 | |
Freddie Mac Pool FR SD8104 | 1.500% | 11/01/2050 | 2,119,938 | 1,628,423 | |
Freddie Mac Pool FR SD8121 | 2.000% | 01/01/2051 | 1,645,374 | 1,340,155 | |
Freddie Mac Pool FR SD8148 | 3.000% | 05/01/2051 | 3,112,227 | 2,725,842 | |
Freddie Mac Pool FR SD8210 | 4.000% | 03/01/2052 | 901,679 | 838,207 | |
Freddie Mac Pool FR ZT1257 | 3.000% | 01/01/2046 | 766,394 | 686,622 | |
Ginnie Mae II Pool G2 MA6866 | 3.000% | 09/20/2050 | 1,452,085 | 1,291,884 | |
Total U.S. Government Agency Mortgage-Backed Securities (Cost $141,329,215) | $121,498,678 |
Corporate Bonds–22.2% | Rate | Maturity | Face Amount | Value | |
Communication Services–2.2% | |||||
Alphabet, Inc. (Interactive Media & Svs.) | 1.900% | 08/15/2040 | $ 650,000 | $ 417,229 | |
America Movil S.A.B. de C.V. (Wireless Telecom. Svs.) | 2.875% | 05/07/2030 | 275,000 | 230,950 | |
AT&T, Inc. (Diversified Telecom. Svs.) | 0.900% | 03/25/2024 | 550,000 | 520,180 | |
AT&T, Inc. (Diversified Telecom. Svs.) | 1.700% | 03/25/2026 | 550,000 | 489,109 | |
AT&T, Inc. (Diversified Telecom. Svs.) | 3.800% | 12/01/2057 | 1,870,000 | 1,263,268 | |
Audacy Capital Corp. (Media) | (b) | 6.500% | 05/01/2027 | 75,000 | 18,375 |
Audacy Capital Corp. (Media) | (b) | 6.750% | 03/31/2029 | 75,000 | 18,067 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (b) | 5.000% | 02/01/2028 | 100,000 | 86,226 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (b) | 4.500% | 08/15/2030 | 125,000 | 98,855 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (b) | 4.250% | 02/01/2031 | 125,000 | 95,880 |
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (b) | 4.500% | 06/01/2033 | 75,000 | 55,408 |
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 6.484% | 10/23/2045 | 550,000 | 484,323 | |
CMG Media Corp. (Media) | (b) | 8.875% | 12/15/2027 | 125,000 | 95,496 |
Comcast Corp. (Media) | 3.450% | 02/01/2050 | 950,000 | 663,405 | |
CSC Holdings LLC (Media) | (b) | 7.500% | 04/01/2028 | 200,000 | 163,194 |
Cumulus Media New Holdings, Inc. (Media) | (b) | 6.750% | 07/01/2026 | 48,000 | 40,490 |
Directv Financing LLC / Directv Financing Co-Obligor, Inc. (Media) | (b) | 5.875% | 08/15/2027 | 50,000 | 43,105 |
DISH DBS Corp. (Media) | (b) | 5.250% | 12/01/2026 | 50,000 | 40,962 |
DISH DBS Corp. (Media) | 7.375% | 07/01/2028 | 25,000 | 16,834 | |
DISH DBS Corp. (Media) | 5.125% | 06/01/2029 | 75,000 | 44,062 | |
Entegris Escrow Corp. (Media) | (b) | 5.950% | 06/15/2030 | 25,000 | 22,818 |
Gray Escrow II, Inc. (Media) | (b) | 5.375% | 11/15/2031 | 75,000 | 58,832 |
Gray Television, Inc. (Media) | (b) | 4.750% | 10/15/2030 | 75,000 | 56,208 |
Grupo Televisa S.A.B. (Media) | 5.000% | 05/13/2045 | 350,000 | 295,671 | |
iHeartCommunications, Inc. (Media) | 6.375% | 05/01/2026 | 25,000 | 23,193 | |
iHeartCommunications, Inc. (Media) | 8.375% | 05/01/2027 | 75,000 | 63,069 | |
iHeartCommunications, Inc. (Media) | (b) | 5.250% | 08/15/2027 | 100,000 | 85,425 |
Lamar Media Corp. (Media) | 4.875% | 01/15/2029 | 25,000 | 22,284 | |
Magallanes, Inc. (Media) | (b) | 4.279% | 03/15/2032 | 450,000 | 370,207 |
Magallanes, Inc. (Media) | (b) | 5.050% | 03/15/2042 | 470,000 | 351,675 |
Match Group Holdings II LLC (Interactive Media & Svs.) | (b) | 5.000% | 12/15/2027 | 100,000 | 89,250 |
Midas OpCo Holdings LLC (Media) | (b) | 5.625% | 08/15/2029 | 150,000 | 123,385 |
Netflix, Inc. (Entertainment) | 4.875% | 04/15/2028 | 325,000 | 304,172 | |
Nexstar Media, Inc. (Media) | (b) | 5.625% | 07/15/2027 | 150,000 | 137,896 |
Paramount Global (Media) | 4.200% | 05/19/2032 | 525,000 | 425,675 | |
Paramount Global (Media) | 4.900% | 08/15/2044 | 300,000 | 210,912 | |
Rackspace Technology Global, Inc. (Interactive Media & Svs.) | (b) | 3.500% | 02/15/2028 | 25,000 | 16,531 |
Rackspace Technology Global, Inc. (Interactive Media & Svs.) | (b) | 5.375% | 12/01/2028 | 100,000 | 46,994 |
ROBLOX Corp. (Entertainment) | (b) | 3.875% | 05/01/2030 | 50,000 | 40,693 |
Rogers Communications, Inc. (Wireless Telecom. Svs.) | (b) | 4.500% | 03/15/2042 | 465,000 | 374,748 |
Scripps Escrow, Inc. (Media) | (b) | 5.875% | 07/15/2027 | 75,000 | 65,250 |
Sinclair Television Group, Inc. (Media) | (b) | 5.125% | 02/15/2027 | 25,000 | 20,678 |
Sinclair Television Group, Inc. (Media) | (b) | 5.500% | 03/01/2030 | 75,000 | 53,902 |
Sirius XM Radio, Inc. (Media) | (b) | 3.875% | 09/01/2031 | 200,000 | 155,088 |
Sky Ltd. (Media) | (b) | 3.750% | 09/16/2024 | 375,000 | 365,876 |
74
(continued)
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Communication Services (continued) | |||||
Sprint Corp. (Wireless Telecom. Svs.) | 7.625% | 03/01/2026 | $ 50,000 | $ 51,717 | |
TEGNA, Inc. (Media) | (b) | 4.750% | 03/15/2026 | 25,000 | 24,120 |
TEGNA, Inc. (Media) | 4.625% | 03/15/2028 | 25,000 | 23,081 | |
TEGNA, Inc. (Media) | 5.000% | 09/15/2029 | 25,000 | 23,014 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 4.750% | 02/01/2028 | 75,000 | 70,801 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 3.375% | 04/15/2029 | 50,000 | 43,199 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 3.300% | 02/15/2051 | 500,000 | 325,749 | |
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 5.650% | 01/15/2053 | 110,000 | 103,908 | |
Univision Communications, Inc. (Media) | (b) | 7.375% | 06/30/2030 | 50,000 | 47,715 |
UPC Broadband Finco B.V. (Media) | (b) | 4.875% | 07/15/2031 | 200,000 | 155,206 |
Urban One, Inc. (Media) | (b) | 7.375% | 02/01/2028 | 50,000 | 42,495 |
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.000% | 03/22/2050 | 950,000 | 725,279 | |
Virgin Media Finance PLC (Media) | (b) | 5.000% | 07/15/2030 | 200,000 | 147,079 |
Vodafone Group PLC (Wireless Telecom. Svs.) | 4.125% | 05/30/2025 | 275,000 | 269,814 | |
Vodafone Group PLC (Wireless Telecom. Svs.) | 5.250% | 05/30/2048 | 300,000 | 248,410 | |
Walt Disney Co. / The (Entertainment) | 3.800% | 03/22/2030 | 125,000 | 113,654 | |
Walt Disney Co. / The (Entertainment) | 4.700% | 03/23/2050 | 325,000 | 288,936 | |
Walt Disney Co. / The (Entertainment) | 3.600% | 01/13/2051 | 350,000 | 259,424 | |
11,629,451 | |||||
Consumer Discretionary–1.2% | |||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (b) | 4.000% | 10/15/2030 | 175,000 | 137,826 |
Advance Auto Parts, Inc. (Specialty Retail) | 3.900% | 04/15/2030 | 675,000 | 579,443 | |
Affinity Gaming (Hotels, Restaurants & Leisure) | (b) | 6.875% | 12/15/2027 | 75,000 | 61,140 |
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 3.875% | 08/22/2037 | 425,000 | 369,429 | |
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 2.500% | 06/03/2050 | 725,000 | 452,642 | |
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (b) | 5.000% | 04/01/2025 | 25,000 | 23,876 |
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (b) | 5.000% | 02/01/2028 | 50,000 | 44,536 |
Asbury Automotive Group, Inc. (Specialty Retail) | (b) | 5.000% | 02/15/2032 | 50,000 | 38,503 |
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 4.750% | 12/01/2027 | 50,000 | 44,251 | |
Caesars Entertainment, Inc. (Hotels, Restaurants & Leisure) | (b) | 8.125% | 07/01/2027 | 75,000 | 71,631 |
Caesars Entertainment, Inc. (Hotels, Restaurants & Leisure) | (b) | 4.625% | 10/15/2029 | 50,000 | 38,204 |
Caesars Resort Collection LLC / CRC Finco, Inc. (Hotels, Restaurants & Leisure) | (b) | 5.750% | 07/01/2025 | 50,000 | 48,245 |
Clarios Global LP (Automobiles) | (b) | 6.750% | 05/15/2025 | 22,000 | 21,543 |
Clarios Global LP / Clarios U.S. Finance Co. (Auto Components) | (b) | 8.500% | 05/15/2027 | 175,000 | 167,036 |
Daimler Trucks Finance North America LLC (Automobiles) | (b) | 2.000% | 12/14/2026 | 340,000 | 292,581 |
Daimler Trucks Finance North America LLC (Automobiles) | (b) | 2.375% | 12/14/2028 | 180,000 | 146,853 |
Dana Financing Luxembourg SARL (Auto Components) | (b) | 5.750% | 04/15/2025 | 25,000 | 23,793 |
Dana, Inc. (Auto Components) | 4.500% | 02/15/2032 | 50,000 | 35,649 | |
Dollar General Corp. (Multiline Retail) | 3.875% | 04/15/2027 | 575,000 | 543,394 | |
Dornoch Debt Merger Sub, Inc. (Auto Components) | (b) | 6.625% | 10/15/2029 | 125,000 | 90,132 |
Garda World Security Corp. (Diversified Consumer Svs.) | (b) | 9.500% | 11/01/2027 | 175,000 | 153,532 |
Gates Global LLC / Gates Corp. (Auto Components) | (b) | 6.250% | 01/15/2026 | 125,000 | 115,000 |
General Motors Co. (Automobiles) | 6.125% | 10/01/2025 | 575,000 | 575,249 | |
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | (b) | 3.625% | 02/15/2032 | 50,000 | 38,295 |
Home Depot, Inc. / The (Specialty Retail) | 3.300% | 04/15/2040 | 950,000 | 726,513 | |
Mercedes-Benz Finance North America LLC (Automobiles) | (b) | 3.350% | 02/22/2023 | 700,000 | 696,724 |
Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp. (Hotels, Restaurants & Leisure) | (b) | 4.875% | 05/01/2029 | 50,000 | 41,189 |
Mohegan Gaming & Entertainment (Hotels, Restaurants & Leisure) | (b) | 8.000% | 02/01/2026 | 150,000 | 125,194 |
Penn Entertainment, Inc. (Hotels, Restaurants & Leisure) | (b) | 5.625% | 01/15/2027 | 25,000 | 22,107 |
Penn Entertainment, Inc. (Hotels, Restaurants & Leisure) | (b) | 4.125% | 07/01/2029 | 25,000 | 19,136 |
Raptor Acquisition Corp. / Raptor Co-Issuer LLC (Hotels, Restaurants & Leisure) | (b) | 4.875% | 11/01/2026 | 25,000 | 21,501 |
Real Hero Merger Sub 2, Inc. (Auto Components) | (b) | 6.250% | 02/01/2029 | 100,000 | 72,210 |
Scientific Games Holdings LP / Scientific Games U.S. FinCo, Inc. (Hotels, Restaurants & Leisure) | (b) | 6.625% | 03/01/2030 | 75,000 | 60,120 |
Scientific Games International, Inc. (Hotels, Restaurants & Leisure) | (b) | 8.625% | 07/01/2025 | 50,000 | 51,190 |
Scientific Games International, Inc. (Hotels, Restaurants & Leisure) | (b) | 7.250% | 11/15/2029 | 50,000 | 46,536 |
SeaWorld Parks & Entertainment, Inc. (Hotels, Restaurants & Leisure) | (b) | 5.250% | 08/15/2029 | 50,000 | 41,520 |
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | (b) | 5.500% | 04/15/2027 | 50,000 | 43,905 |
Station Casinos LLC (Hotels, Restaurants & Leisure) | (b) | 4.500% | 02/15/2028 | 50,000 | 41,038 |
Station Casinos LLC (Hotels, Restaurants & Leisure) | (b) | 4.625% | 12/01/2031 | 50,000 | 37,764 |
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 4.625% | 01/31/2032 | 75,000 | 62,863 | |
6,222,293 | |||||
Consumer Staples–1.5% | |||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | (b) | 5.875% | 02/15/2028 | 75,000 | 69,188 |
Alimentation Couche-Tard, Inc. (Food & Staples Retailing) | (b) | 3.800% | 01/25/2050 | 625,000 | 418,015 |
Altria Group, Inc. (Tobacco) | 3.875% | 09/16/2046 | 800,000 | 505,831 |
75
(continued)
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Consumer Staples (continued) | |||||
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.350% | 06/01/2040 | $ 300,000 | $ 254,085 | |
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.500% | 06/01/2050 | 1,050,000 | 865,231 | |
B.A.T. Capital Corp. (Tobacco) | 4.540% | 08/15/2047 | 725,000 | 480,350 | |
BellRing Brands, Inc. (Personal Products) | (b) | 7.000% | 03/15/2030 | 75,000 | 68,603 |
Coca-Cola Europacific Partners PLC (Beverages) | (b) | 1.500% | 01/15/2027 | 600,000 | 513,376 |
Coca-Cola Femsa S.A.B. de C.V. (Beverages) | 2.750% | 01/22/2030 | 750,000 | 646,710 | |
Constellation Brands, Inc. (Beverages) | 3.750% | 05/01/2050 | 400,000 | 290,594 | |
Edgewell Personal Care Co. (Personal Products) | (b) | 5.500% | 06/01/2028 | 25,000 | 22,353 |
Edgewell Personal Care Co. (Personal Products) | (b) | 4.125% | 04/01/2029 | 25,000 | 20,750 |
Energizer Holdings, Inc. (Household Products) | (b) | 6.500% | 12/31/2027 | 25,000 | 22,192 |
Energizer Holdings, Inc. (Household Products) | (b) | 4.375% | 03/31/2029 | 75,000 | 55,633 |
Flowers Foods, Inc. (Food Products) | 3.500% | 10/01/2026 | 675,000 | 629,037 | |
Flowers Foods, Inc. (Food Products) | 2.400% | 03/15/2031 | 185,000 | 144,902 | |
Grupo Bimbo S.A.B. de C.V. (Food Products) | (b) | 4.875% | 06/27/2044 | 925,000 | 769,449 |
Keurig Dr Pepper, Inc. (Beverages) | 4.417% | 05/25/2025 | 36,000 | 35,406 | |
Kraft Heinz Foods Co. (Food Products) | 4.375% | 06/01/2046 | 425,000 | 330,394 | |
Kroger Co. / The (Food & Staples Retailing) | 3.950% | 01/15/2050 | 325,000 | 247,974 | |
Performance Food Group, Inc. (Food & Staples Retailing) | (b) | 4.250% | 08/01/2029 | 50,000 | 41,630 |
Philip Morris International, Inc. (Tobacco) | 3.875% | 08/21/2042 | 615,000 | 416,310 | |
Post Holdings, Inc. (Food Products) | (b) | 5.750% | 03/01/2027 | 150,000 | 143,072 |
Sysco Corp. (Food & Staples Retailing) | 4.450% | 03/15/2048 | 525,000 | 426,336 | |
U.S. Foods, Inc. (Food & Staples Retailing) | (b) | 4.750% | 02/15/2029 | 50,000 | 42,800 |
U.S. Foods, Inc. (Food & Staples Retailing) | (b) | 4.625% | 06/01/2030 | 75,000 | 62,063 |
Unilever Capital Corp. (Personal Products) | 0.375% | 09/14/2023 | 100,000 | 96,106 | |
7,618,390 | |||||
Energy–1.7% | |||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 7.875% | 05/15/2026 | 50,000 | 50,250 |
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 5.750% | 03/01/2027 | 25,000 | 23,122 |
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 5.750% | 01/15/2028 | 50,000 | 45,500 |
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 5.375% | 06/15/2029 | 75,000 | 66,217 |
Antero Resources Corp. (Oil, Gas & Consumable Fuels) | (b) | 5.375% | 03/01/2030 | 50,000 | 44,953 |
Archrock Partners LP / Archrock Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 6.875% | 04/01/2027 | 75,000 | 67,169 |
Archrock Partners LP / Archrock Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 6.250% | 04/01/2028 | 50,000 | 43,950 |
Ascent Resources Utica Holdings LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 7.000% | 11/01/2026 | 25,000 | 24,103 |
Ascent Resources Utica Holdings LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 5.875% | 06/30/2029 | 100,000 | 89,000 |
Boardwalk Pipelines LP (Oil, Gas & Consumable Fuels) | 3.400% | 02/15/2031 | 450,000 | 361,969 | |
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 3.588% | 04/14/2027 | 725,000 | 678,983 | |
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | (b) | 7.500% | 06/15/2030 | 25,000 | 21,888 |
Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels) | 2.050% | 07/15/2025 | 525,000 | 478,659 | |
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | 4.500% | 10/01/2029 | 50,000 | 44,019 | |
Cheniere Energy, Inc. (Oil, Gas & Consumable Fuels) | 4.625% | 10/15/2028 | 25,000 | 22,933 | |
Chevron Corp. (Oil, Gas & Consumable Fuels) | 3.078% | 05/11/2050 | 475,000 | 336,073 | |
CNX Midstream Partners LP (Oil, Gas & Consumable Fuels) | (b) | 4.750% | 04/15/2030 | 50,000 | 39,246 |
Comstock Resources, Inc. (Oil, Gas & Consumable Fuels) | (b) | 6.750% | 03/01/2029 | 100,000 | 92,231 |
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 8.000% | 04/01/2029 | 50,000 | 48,125 |
CrownRock LP / CrownRock Finance, Inc. (Oil, Gas & Consumable Fuels) | (b) | 5.625% | 10/15/2025 | 75,000 | 71,803 |
DT Midstream, Inc. (Oil, Gas & Consumable Fuels) | (b) | 4.375% | 06/15/2031 | 50,000 | 41,236 |
Eastern Gas Transmission & Storage, Inc. (Oil, Gas & Consumable Fuels) | 3.900% | 11/15/2049 | 150,000 | 111,095 | |
Enbridge Energy Partners LP (Oil, Gas & Consumable Fuels) | 5.500% | 09/15/2040 | 700,000 | 637,027 | |
Endeavor Energy Resources LP / EER Finance, Inc. (Oil, Gas & Consumable Fuels) | (b) | 5.750% | 01/30/2028 | 25,000 | 23,778 |
Energy Transfer LP (Oil, Gas & Consumable Fuels) | 3.750% | 05/15/2030 | 500,000 | 423,381 | |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 5.500% | 07/15/2028 | 75,000 | 64,105 | |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | (b) | 4.500% | 01/15/2029 | 50,000 | 40,284 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | (b) | 4.750% | 01/15/2031 | 50,000 | 39,687 |
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 6.500% | 07/15/2048 | 75,000 | 57,202 | |
Hess Corp. (Oil, Gas & Consumable Fuels) | 5.600% | 02/15/2041 | 580,000 | 507,253 | |
Hess Midstream Operations LP (Oil, Gas & Consumable Fuels) | (b) | 5.125% | 06/15/2028 | 25,000 | 21,891 |
Hess Midstream Operations LP (Oil, Gas & Consumable Fuels) | (b) | 4.250% | 02/15/2030 | 25,000 | 20,188 |
Holly Energy Partners LP / Holly Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 5.000% | 02/01/2028 | 75,000 | 66,074 |
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 3.250% | 08/01/2050 | 320,000 | 201,315 | |
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.750% | 09/15/2044 | 525,000 | 421,141 | |
MPLX LP (Oil, Gas & Consumable Fuels) | 4.950% | 03/14/2052 | 525,000 | 410,850 | |
Nabors Industries Ltd. (Energy Equip. & Svs.) | (b) | 7.250% | 01/15/2026 | 50,000 | 43,506 |
76
(continued)
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Energy (continued) | |||||
Nabors Industries Ltd. (Energy Equip. & Svs.) | (b) | 7.500% | 01/15/2028 | $ 25,000 | $ 20,408 |
NuStar Logistics LP (Oil, Gas & Consumable Fuels) | 6.375% | 10/01/2030 | 25,000 | 21,392 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 8.000% | 07/15/2025 | 50,000 | 53,000 | |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.450% | 09/15/2036 | 75,000 | 75,000 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 2.200% | 09/15/2025 | 150,000 | 136,376 | |
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 03/15/2050 | 625,000 | 451,983 | |
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.750% | 05/15/2026 | 50,000 | 46,257 | |
Permian Resources Operating LLC (Oil, Gas & Consumable Fuels) | (b) | 6.875% | 04/01/2027 | 50,000 | 48,373 |
Phillips 66 (Oil, Gas & Consumable Fuels) | 0.900% | 02/15/2024 | 150,000 | 142,034 | |
Phillips 66 (Oil, Gas & Consumable Fuels) | 3.850% | 04/09/2025 | 300,000 | 290,712 | |
Phillips 66 (Oil, Gas & Consumable Fuels) | 4.875% | 11/15/2044 | 375,000 | 322,557 | |
Precision Drilling Corp. (Energy Equip. & Svs.) | (b) | 6.875% | 01/15/2029 | 50,000 | 44,145 |
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 8.250% | 01/15/2029 | 50,000 | 50,875 | |
Rockcliff Energy II LLC (Oil, Gas & Consumable Fuels) | (b) | 5.500% | 10/15/2029 | 50,000 | 43,779 |
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.750% | 09/15/2026 | 50,000 | 48,125 | |
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.500% | 07/15/2028 | 50,000 | 47,516 | |
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | 5.375% | 03/15/2030 | 25,000 | 22,526 | |
Tap Rock Resources LLC (Oil, Gas & Consumable Fuels) | (b) | 7.000% | 10/01/2026 | 50,000 | 45,709 |
Targa Resources Corp. (Oil, Gas & Consumable Fuels) | 4.200% | 02/01/2033 | 180,000 | 149,904 | |
U.S.A. Compression Partners LP / U.S.A. Compression Finance Corp. (Energy Equip. & Svs.) | 6.875% | 04/01/2026 | 150,000 | 138,000 | |
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 4.350% | 06/01/2028 | 350,000 | 334,520 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 5.300% | 03/01/2048 | 75,000 | 61,687 | |
Western Midstream Operating LP (Oil, Gas & Consumable Fuels) | 5.500% | 08/15/2048 | 25,000 | 20,219 | |
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.750% | 06/15/2027 | 525,000 | 484,269 | |
8,879,572 | |||||
Financials–5.3% | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 3.000% | 10/29/2028 | 165,000 | 132,324 | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 3.400% | 10/29/2033 | 350,000 | 253,939 | |
American Express Co. (Consumer Finance) | 3.300% | 05/03/2027 | 825,000 | 761,411 | |
AmWINS Group, Inc. (Insurance) | (b) | 4.875% | 06/30/2029 | 75,000 | 62,255 |
Ardonagh Midco 2 PLC (Insurance) | (b)(c) | 11.500%, 12.750% PIK | 01/15/2027 | 200,000 | 203,000 |
AssuredPartners, Inc. (Insurance) | (b) | 7.000% | 08/15/2025 | 25,000 | 23,085 |
AssuredPartners, Inc. (Insurance) | (b) | 5.625% | 01/15/2029 | 100,000 | 77,722 |
Bank of America Corp. (Rate is fixed until 02/13/2025, at which point, the rate becomes QL + 64) (Banks) | (d) | 2.015% | 02/13/2026 | 1,475,000 | 1,352,108 |
Bank of America Corp. (Rate is fixed until 04/29/2030, at which point, the rate becomes SOFR + 215) (Banks) | (d) | 2.592% | 04/29/2031 | 1,900,000 | 1,506,816 |
Bank of New York Mellon Corp. / The (Capital Markets) | 2.200% | 08/16/2023 | 1,350,000 | 1,323,364 | |
Bank of New York Mellon Corp. / The (Rate is fixed until 06/13/2027, at which point, the rate becomes SOFR + 115) (Capital Markets) | (d) | 3.992% | 06/13/2028 | 300,000 | 281,474 |
BlackRock, Inc. (Capital Markets) | 1.900% | 01/28/2031 | 425,000 | 331,810 | |
BroadStreet Partners, Inc. (Insurance) | (b) | 5.875% | 04/15/2029 | 200,000 | 157,500 |
Chubb INA Holdings, Inc. (Insurance) | 3.350% | 05/03/2026 | 425,000 | 401,662 | |
Citigroup, Inc. (Rate is fixed until 04/24/2024, at which point, the rate becomes QL + 90) (Banks) | (d) | 3.352% | 04/24/2025 | 725,000 | 699,165 |
Citigroup, Inc. (Rate is fixed until 01/29/2030, at which point, the rate becomes SOFR + 115) (Banks) | (d) | 2.666% | 01/29/2031 | 1,600,000 | 1,276,562 |
Citizens Bank N.A. (Banks) | 3.750% | 02/18/2026 | 475,000 | 452,412 | |
Comerica, Inc. (Banks) | 3.800% | 07/22/2026 | 475,000 | 452,194 | |
FNB Corp. (Banks) | 5.150% | 08/25/2025 | 320,000 | 315,638 | |
Ford Motor Credit Co. LLC (Consumer Finance) | 5.113% | 05/03/2029 | 200,000 | 173,540 | |
General Motors Financial Co., Inc. (Consumer Finance) | 2.900% | 02/26/2025 | 675,000 | 630,658 | |
General Motors Financial Co., Inc. (Consumer Finance) | 5.000% | 04/09/2027 | 260,000 | 246,456 | |
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.500% | 04/01/2025 | 775,000 | 740,282 | |
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.800% | 03/15/2030 | 1,400,000 | 1,213,888 | |
Goldman Sachs Group, Inc. / The (Rate is fixed until 01/27/2031, at which point, the rate becomes SOFR + 109) (Capital Markets) | (d) | 1.992% | 01/27/2032 | 500,000 | 369,656 |
GTCR AP Finance, Inc. (Insurance) | (b) | 8.000% | 05/15/2027 | 75,000 | 68,996 |
GYP Holdings III Corp. (Building Products) | (b) | 4.625% | 05/01/2029 | 75,000 | 57,049 |
HSBC Holdings PLC (Banks) | 3.900% | 05/25/2026 | 975,000 | 913,787 | |
HUB International Ltd. (Insurance) | (b) | 5.625% | 12/01/2029 | 375,000 | 313,125 |
Huntington Bancshares, Inc. (Rate is fixed until 08/04/2027, at which point, the rate becomes SOFR + 197) (Banks) | (d) | 4.443% | 08/04/2028 | 350,000 | 330,475 |
Jefferies Group LLC (Diversified Financial Svs.) | 2.750% | 10/15/2032 | 305,000 | 217,295 | |
John Deere Capital Corp. (Consumer Finance) | 3.450% | 03/07/2029 | 800,000 | 736,340 | |
JPMorgan Chase & Co. (Banks) | 3.125% | 01/23/2025 | 525,000 | 503,351 | |
JPMorgan Chase & Co. (Rate is fixed until 04/22/2030, at which point, the rate becomes SOFR + 204) (Banks) | (d) | 2.522% | 04/22/2031 | 900,000 | 711,415 |
77
(continued)
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Financials (continued) | |||||
JPMorgan Chase & Co. (Rate is fixed until 11/19/2030, at which point, the rate becomes TSFR3M + 111) (Banks) | (d) | 1.764% | 11/19/2031 | $ 100,000 | $ 73,093 |
JPMorgan Chase & Co. (Rate is fixed until 04/22/2031, at which point, the rate becomes SOFR + 125) (Banks) | (d) | 2.580% | 04/22/2032 | 100,000 | 77,515 |
JPMorgan Chase & Co. (Rate is fixed until 01/25/2032, at which point, the rate becomes SOFR + 126) (Banks) | (d) | 2.963% | 01/25/2033 | 1,200,000 | 943,302 |
Lincoln National Corp. (Insurance) | 4.000% | 09/01/2023 | 300,000 | 297,891 | |
M&T Bank Corp. (Banks) | 3.550% | 07/26/2023 | 575,000 | 571,376 | |
Morgan Stanley (Capital Markets) | 4.100% | 05/22/2023 | 325,000 | 323,924 | |
Morgan Stanley (Capital Markets) | 6.250% | 08/09/2026 | 475,000 | 486,329 | |
Morgan Stanley (Rate is fixed until 01/24/2028, at which point, the rate becomes QL + 114) (Capital Markets) | (d) | 3.772% | 01/24/2029 | 750,000 | 674,506 |
Morgan Stanley (Rate is fixed until 02/13/2031, at which point, the rate becomes SOFR + 103) (Capital Markets) | (d) | 1.794% | 02/13/2032 | 295,000 | 215,592 |
Morgan Stanley (Rate is fixed until 04/28/2031, at which point, the rate becomes SOFR + 102) (Capital Markets) | (d) | 1.928% | 04/28/2032 | 250,000 | 182,511 |
Morgan Stanley (Rate is fixed until 07/20/2032, at which point, the rate becomes SOFR + 208) (Capital Markets) | (d) | 4.889% | 07/20/2033 | 140,000 | 129,719 |
Navient Corp. (Consumer Finance) | 4.875% | 03/15/2028 | 75,000 | 57,287 | |
Navient Corp. (Consumer Finance) | 5.500% | 03/15/2029 | 50,000 | 38,007 | |
NFP Corp. (Insurance) | (b) | 6.875% | 08/15/2028 | 175,000 | 136,500 |
NFP Corp. (Insurance) | (b) | 7.500% | 10/01/2030 | 25,000 | 23,723 |
Outfront Media Capital LLC / Outfront Media Capital Corp. (Media) | (b) | 4.250% | 01/15/2029 | 50,000 | 39,275 |
PNC Bank N.A. (Banks) | 3.875% | 04/10/2025 | 475,000 | 459,937 | |
PNC Financial Services Group, Inc. / The (Rate is fixed until 06/06/2032, at which point, the rate becomes SOFRINDX + 185) (Banks) | (d) | 4.626% | 06/06/2033 | 630,000 | 562,006 |
Prudential Financial, Inc. (Insurance) | 3.700% | 03/13/2051 | 575,000 | 422,843 | |
Raymond James Financial, Inc. (Capital Markets) | 4.650% | 04/01/2030 | 100,000 | 94,121 | |
Regions Financial Corp. (Banks) | 2.250% | 05/18/2025 | 345,000 | 319,527 | |
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. (Thrifts & Mortgage Finance) | (b) | 2.875% | 10/15/2026 | 50,000 | 41,000 |
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. (Thrifts & Mortgage Finance) | (b) | 3.625% | 03/01/2029 | 75,000 | 57,724 |
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. (Thrifts & Mortgage Finance) | (b) | 4.000% | 10/15/2033 | 50,000 | 34,376 |
Ryan Specialty Group LLC (Insurance) | (b) | 4.375% | 02/01/2030 | 50,000 | 42,407 |
S&P Global, Inc. (Capital Markets) | (b) | 2.900% | 03/01/2032 | 240,000 | 200,230 |
Stifel Financial Corp. (Capital Markets) | 4.000% | 05/15/2030 | 200,000 | 172,192 | |
Toyota Motor Credit Corp. (Consumer Finance) | 3.950% | 06/30/2025 | 600,000 | 585,636 | |
U.S. Bancorp (Rate is fixed until 07/22/2032, at which point, the rate becomes SOFR + 211) (Banks) | (d) | 4.967% | 07/22/2033 | 350,000 | 326,836 |
United Wholesale Mortgage LLC (Thrifts & Mortgage Finance) | (b) | 5.500% | 11/15/2025 | 175,000 | 152,649 |
USI, Inc. (Insurance) | (b) | 6.875% | 05/01/2025 | 200,000 | 192,256 |
Wells Fargo & Co. (Banks) | 3.750% | 01/24/2024 | 750,000 | 738,300 | |
Wells Fargo & Co. (Rate is fixed until 02/11/2030, at which point, the rate becomes SOFR + 126) (Banks) | (d) | 2.572% | 02/11/2031 | 1,550,000 | 1,240,690 |
Wells Fargo & Co. (Rate is fixed until 07/25/2032, at which point, the rate becomes SOFR + 210) (Banks) | (d) | 4.897% | 07/25/2033 | 300,000 | 276,580 |
27,480,614 | |||||
Health Care–1.8% | |||||
Abbott Laboratories (Health Care Equip. & Supplies) | 3.750% | 11/30/2026 | 475,000 | 460,680 | |
AdaptHealth LLC (Health Care Providers & Svs.) | (b) | 4.625% | 08/01/2029 | 25,000 | 20,036 |
AdaptHealth LLC (Health Care Providers & Svs.) | (b) | 5.125% | 03/01/2030 | 75,000 | 61,839 |
AHP Health Partners, Inc. (Health Care Providers & Svs.) | (b) | 5.750% | 07/15/2029 | 50,000 | 38,750 |
Alcon Finance Corp. (Health Care Equip. & Supplies) | (b) | 2.600% | 05/27/2030 | 400,000 | 322,705 |
Amgen, Inc. (Biotechnology) | 3.375% | 02/21/2050 | 500,000 | 340,275 | |
AstraZeneca PLC (Pharmaceuticals) | 3.125% | 06/12/2027 | 610,000 | 565,189 | |
AstraZeneca PLC (Pharmaceuticals) | 1.375% | 08/06/2030 | 225,000 | 173,651 | |
Avantor Funding, Inc. (Health Care Equip. & Supplies) | (b) | 4.625% | 07/15/2028 | 75,000 | 66,746 |
Avantor Funding, Inc. (Health Care Equip. & Supplies) | (b) | 3.875% | 11/01/2029 | 25,000 | 20,305 |
Bausch Health Americas, Inc. (Pharmaceuticals) | (b) | 8.500% | 01/31/2027 | 75,000 | 31,875 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (b) | 6.125% | 02/01/2027 | 50,000 | 34,608 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (b) | 5.000% | 02/15/2029 | 100,000 | 38,775 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (b) | 6.250% | 02/15/2029 | 50,000 | 18,656 |
Bausch Health Cos., Inc. (Pharmaceuticals) | (b) | 5.250% | 02/15/2031 | 100,000 | 37,605 |
Bayer U.S. Finance LLC (Pharmaceuticals) | (b) | 3.375% | 10/08/2024 | 775,000 | 746,191 |
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 4.685% | 12/15/2044 | 264,000 | 225,469 | |
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 3.794% | 05/20/2050 | 68,000 | 50,860 | |
Biogen, Inc. (Biotechnology) | 3.150% | 05/01/2050 | 725,000 | 467,098 | |
Bristol-Myers Squibb Co. (Pharmaceuticals) | 0.750% | 11/13/2025 | 245,000 | 217,432 | |
Bristol-Myers Squibb Co. (Pharmaceuticals) | 3.900% | 02/20/2028 | 800,000 | 761,896 |
78
(continued)
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Health Care (continued) | |||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 4.250% | 10/26/2049 | $ 200,000 | $ 167,251 | |
Catalent Pharma Solutions, Inc. (Pharmaceuticals) | (b) | 3.500% | 04/01/2030 | 25,000 | 19,668 |
Centene Corp. (Health Care Providers & Svs.) | 4.250% | 12/15/2027 | 200,000 | 182,940 | |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (b) | 5.625% | 03/15/2027 | 25,000 | 19,242 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (b) | 6.125% | 04/01/2030 | 50,000 | 23,580 |
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (b) | 5.250% | 05/15/2030 | 75,000 | 52,219 |
CVS Health Corp. (Health Care Providers & Svs.) | 2.875% | 06/01/2026 | 425,000 | 393,464 | |
CVS Health Corp. (Health Care Providers & Svs.) | 4.250% | 04/01/2050 | 450,000 | 352,191 | |
Danaher Corp. (Life Sciences Tools & Svs.) | 2.600% | 10/01/2050 | 645,000 | 396,651 | |
Embecta Corp. (Health Care Equip. & Supplies) | (b) | 6.750% | 02/15/2030 | 50,000 | 46,161 |
Garden Spinco Corp. (Health Care Equip. & Supplies) | (b) | 8.625% | 07/20/2030 | 25,000 | 25,828 |
HCA, Inc. (Health Care Providers & Svs.) | 5.375% | 09/01/2026 | 75,000 | 72,660 | |
HCA, Inc. (Health Care Providers & Svs.) | 3.500% | 07/15/2051 | 475,000 | 294,106 | |
HealthEquity, Inc. (Health Care Providers & Svs.) | (b) | 4.500% | 10/01/2029 | 50,000 | 42,237 |
Legacy LifePoint Health LLC (Health Care Providers & Svs.) | (b) | 6.750% | 04/15/2025 | 50,000 | 47,311 |
LifePoint Health, Inc. (Health Care Providers & Svs.) | (b) | 5.375% | 01/15/2029 | 75,000 | 52,290 |
Medline Borrower LP (Health Care Equip. & Supplies) | (b) | 3.875% | 04/01/2029 | 50,000 | 40,084 |
Medline Borrower LP (Health Care Equip. & Supplies) | (b) | 5.250% | 10/01/2029 | 175,000 | 132,125 |
MPH Acquisition Holdings LLC (Health Care Providers & Svs.) | (b) | 5.750% | 11/01/2028 | 50,000 | 37,551 |
Pediatrix Medical Group, Inc. (Health Care Providers & Svs.) | (b) | 5.375% | 02/15/2030 | 50,000 | 41,438 |
Prestige Brands, Inc. (Pharmaceuticals) | (b) | 5.125% | 01/15/2028 | 75,000 | 67,490 |
Regeneron Pharmaceuticals, Inc. (Biotechnology) | 2.800% | 09/15/2050 | 702,000 | 424,197 | |
Stryker Corp. (Health Care Equip. & Supplies) | 3.500% | 03/15/2026 | 450,000 | 428,418 | |
Syneos Health, Inc. (Life Sciences Tools & Svs.) | (b) | 3.625% | 01/15/2029 | 50,000 | 39,814 |
Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | 2.050% | 03/31/2030 | 350,000 | 276,670 | |
Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | 3.025% | 07/09/2040 | 400,000 | 283,052 | |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 4.625% | 07/15/2024 | 21,000 | 20,307 | |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (b) | 4.875% | 01/01/2026 | 75,000 | 69,695 |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (b) | 6.125% | 10/01/2028 | 75,000 | 65,707 |
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (b) | 4.250% | 06/01/2029 | 25,000 | 20,706 |
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 1.215% | 10/18/2024 | 350,000 | 325,487 | |
Zoetis, Inc. (Pharmaceuticals) | 3.000% | 05/15/2050 | 625,000 | 409,706 | |
9,570,887 | |||||
Industrials–2.7% | |||||
Airbus SE (Aerospace & Defense) | (b) | 3.150% | 04/10/2027 | 800,000 | 739,210 |
Allegion PLC (Building Products) | 3.500% | 10/01/2029 | 750,000 | 635,715 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp. (Commercial Svs. & Supplies) | (b) | 6.625% | 07/15/2026 | 25,000 | 22,281 |
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (b) | 4.000% | 01/15/2028 | 25,000 | 21,870 |
BAE Systems PLC (Aerospace & Defense) | (b) | 3.000% | 09/15/2050 | 500,000 | 318,744 |
BCPE Empire Holdings, Inc. (Commercial Svs. & Supplies) | (b) | 7.625% | 05/01/2027 | 100,000 | 86,711 |
Boeing Co. / The (Aerospace & Defense) | 2.196% | 02/04/2026 | 1,025,000 | 909,623 | |
Boeing Co. / The (Aerospace & Defense) | 2.950% | 02/01/2030 | 225,000 | 180,885 | |
Boeing Co. / The (Aerospace & Defense) | 5.805% | 05/01/2050 | 225,000 | 195,523 | |
Burlington Northern Santa Fe LLC (Road & Rail) | 3.000% | 04/01/2025 | 475,000 | 456,607 | |
Camelot Return Merger Sub, Inc. (Building Products) | (b) | 8.750% | 08/01/2028 | 25,000 | 20,605 |
Canadian Pacific Railway Co. (Road & Rail) | 1.750% | 12/02/2026 | 90,000 | 78,806 | |
Canadian Pacific Railway Co. (Road & Rail) | 2.050% | 03/05/2030 | 175,000 | 140,291 | |
Canadian Pacific Railway Co. (Road & Rail) | 3.000% | 12/02/2041 | 75,000 | 53,118 | |
Clarivate Science Holdings Corp. (Professional Svs.) | (b) | 4.875% | 07/01/2029 | 75,000 | 58,725 |
CNH Industrial N.V. (Machinery) | 3.850% | 11/15/2027 | 525,000 | 479,027 | |
Cornerstone Building Brands, Inc. (Building Products) | (b) | 6.125% | 01/15/2029 | 50,000 | 27,900 |
CP Atlas Buyer, Inc. (Building Products) | (b) | 7.000% | 12/01/2028 | 50,000 | 37,246 |
Dun & Bradstreet Corp. / The (Professional Svs.) | (b) | 5.000% | 12/15/2029 | 75,000 | 61,875 |
Equifax, Inc. (Professional Svs.) | 2.600% | 12/15/2025 | 750,000 | 685,859 | |
ERAC U.S.A. Finance LLC (Road & Rail) | (b) | 3.850% | 11/15/2024 | 650,000 | 627,975 |
Experian Finance PLC (Professional Svs.) | (b) | 4.250% | 02/01/2029 | 350,000 | 317,365 |
Foundation Building Materials, Inc. (Trading Companies & Distributors) | (b) | 6.000% | 03/01/2029 | 100,000 | 72,982 |
Garda World Security Corp. (Commercial Svs. & Supplies) | (b) | 4.625% | 02/15/2027 | 50,000 | 42,875 |
Garda World Security Corp. (Commercial Svs. & Supplies) | (b) | 6.000% | 06/01/2029 | 50,000 | 36,660 |
GE Capital International Funding Co. Unlimited Co. (Industrial Conglomerates) | 4.418% | 11/15/2035 | 287,000 | 257,129 | |
General Dynamics Corp. (Aerospace & Defense) | 1.150% | 06/01/2026 | 670,000 | 586,856 | |
GXO Logistics, Inc. (Air Freight & Logistics) | 1.650% | 07/15/2026 | 369,000 | 301,506 | |
GXO Logistics, Inc. (Air Freight & Logistics) | 2.650% | 07/15/2031 | 670,000 | 474,369 | |
H&E Equipment Services, Inc. (Trading Companies & Distributors) | (b) | 3.875% | 12/15/2028 | 50,000 | 39,250 |
Honeywell International, Inc. (Industrial Conglomerates) | 1.350% | 06/01/2025 | 390,000 | 358,947 | |
Honeywell International, Inc. (Industrial Conglomerates) | 2.800% | 06/01/2050 | 270,000 | 190,330 | |
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | 3.483% | 12/01/2027 | 775,000 | 695,018 | |
Kansas City Southern (Road & Rail) | 3.500% | 05/01/2050 | 675,000 | 470,564 |
79
(continued)
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Industrials (continued) | |||||
Madison IAQ LLC (Commercial Svs. & Supplies) | (b) | 4.125% | 06/30/2028 | $ 25,000 | $ 20,080 |
Madison IAQ LLC (Commercial Svs. & Supplies) | (b) | 5.875% | 06/30/2029 | 100,000 | 69,656 |
Masco Corp. (Building Products) | 3.500% | 11/15/2027 | 350,000 | 317,609 | |
MIWD Holdco II LLC / MIWD Finance Corp. (Building Products) | (b) | 5.500% | 02/01/2030 | 25,000 | 18,516 |
Nielsen Finance LLC / Nielsen Finance Co. (Professional Svs.) | (b) | 5.875% | 10/01/2030 | 100,000 | 99,587 |
Northrop Grumman Corp. (Aerospace & Defense) | 3.250% | 01/15/2028 | 825,000 | 750,673 | |
Penske Truck Leasing Co. LP / PTL Finance Corp. (Road & Rail) | (b) | 3.450% | 07/01/2024 | 500,000 | 481,017 |
Solaris Midstream Holdings LLC (Commercial Svs. & Supplies) | (b) | 7.625% | 04/01/2026 | 50,000 | 48,000 |
SPX FLOW, Inc. (Machinery) | (b) | 8.750% | 04/01/2030 | 75,000 | 58,312 |
Textron, Inc. (Aerospace & Defense) | 3.650% | 03/15/2027 | 600,000 | 551,179 | |
TransDigm, Inc. (Aerospace & Defense) | (b) | 6.250% | 03/15/2026 | 75,000 | 72,750 |
TransDigm, Inc. (Aerospace & Defense) | 5.500% | 11/15/2027 | 150,000 | 130,455 | |
Trident TPI Holdings, Inc. (Machinery) | (b) | 9.250% | 08/01/2024 | 75,000 | 68,824 |
Trident TPI Holdings, Inc. (Machinery) | (b) | 6.625% | 11/01/2025 | 50,000 | 43,079 |
Union Pacific Corp. (Road & Rail) | 2.375% | 05/20/2031 | 385,000 | 312,969 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 4.875% | 01/15/2028 | 75,000 | 68,763 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.250% | 01/15/2030 | 25,000 | 22,626 | |
United Rentals North America, Inc. (Trading Companies & Distributors) | 3.875% | 02/15/2031 | 25,000 | 20,332 | |
Valmont Industries, Inc. (Construction & Engineering) | 5.000% | 10/01/2044 | 40,000 | 33,699 | |
Verisk Analytics, Inc. (Professional Svs.) | 4.125% | 03/15/2029 | 600,000 | 547,326 | |
Watco Cos. LLC / Watco Finance Corp. (Road & Rail) | (b) | 6.500% | 06/15/2027 | 50,000 | 45,508 |
WESCO Distribution, Inc. (Trading Companies & Distributors) | (b) | 7.250% | 06/15/2028 | 100,000 | 97,945 |
White Cap Buyer LLC (Building Products) | (b) | 6.875% | 10/15/2028 | 50,000 | 40,798 |
White Cap Parent LLC (Building Products) | (b)(c) | 8.250%, 9.000% PIK | 03/15/2026 | 50,000 | 42,360 |
Xylem, Inc. (Machinery) | 2.250% | 01/30/2031 | 455,000 | 363,787 | |
14,008,297 | |||||
Information Technology–1.6% | |||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.900% | 09/12/2027 | 600,000 | 553,880 | |
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.375% | 02/08/2041 | 375,000 | 259,554 | |
AthenaHealth Group, Inc. (Software) | (b) | 6.500% | 02/15/2030 | 150,000 | 118,585 |
Boxer Parent Co., Inc. (Software) | (b) | 9.125% | 03/01/2026 | 25,000 | 24,025 |
Broadcom, Inc. (Semiconductors & Equip.) | 4.150% | 11/15/2030 | 285,000 | 246,680 | |
Broadcom, Inc. (Semiconductors & Equip.) | (b) | 3.419% | 04/15/2033 | 160,000 | 122,115 |
Broadcom, Inc. (Semiconductors & Equip.) | (b) | 3.187% | 11/15/2036 | 15,000 | 10,259 |
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 2.670% | 12/01/2026 | 480,000 | 416,340 | |
Central Parent, Inc. / CDK Global, Inc. (Software) | (b) | 7.250% | 06/15/2029 | 75,000 | 71,302 |
Coherent Corp. (Electronic Equip., Instr. & Comp.) | (b) | 5.000% | 12/15/2029 | 75,000 | 62,040 |
Condor Merger Sub, Inc. (Software) | (b) | 7.375% | 02/15/2030 | 150,000 | 122,635 |
Consensus Cloud Solutions, Inc. (Software) | (b) | 6.500% | 10/15/2028 | 50,000 | 42,444 |
Elastic N.V. (Software) | (b) | 4.125% | 07/15/2029 | 50,000 | 39,492 |
Fidelity National Information Services, Inc. (IT Svs.) | 4.700% | 07/15/2027 | 300,000 | 288,752 | |
Fidelity National Information Services, Inc. (IT Svs.) | 3.100% | 03/01/2041 | 305,000 | 202,572 | |
Fiserv, Inc. (IT Svs.) | 3.800% | 10/01/2023 | 450,000 | 445,743 | |
Fiserv, Inc. (IT Svs.) | 3.500% | 07/01/2029 | 425,000 | 369,767 | |
Fortinet, Inc. (Software) | 1.000% | 03/15/2026 | 670,000 | 576,532 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. (IT Svs.) | (b) | 5.250% | 12/01/2027 | 50,000 | 46,051 |
GoTo Group, Inc. (Software) | (b) | 5.500% | 09/01/2027 | 100,000 | 61,332 |
Leidos, Inc. (IT Svs.) | 3.625% | 05/15/2025 | 220,000 | 210,839 | |
Leidos, Inc. (IT Svs.) | 4.375% | 05/15/2030 | 525,000 | 460,116 | |
Microsoft Corp. (Software) | 2.375% | 05/01/2023 | 1,200,000 | 1,187,496 | |
NCR Corp. (Software) | (b) | 5.000% | 10/01/2028 | 25,000 | 19,669 |
NCR Corp. (Software) | (b) | 5.250% | 10/01/2030 | 50,000 | 37,733 |
Open Text Corp. (Software) | (b) | 3.875% | 12/01/2029 | 50,000 | 38,511 |
Oracle Corp. (Software) | 3.600% | 04/01/2050 | 500,000 | 312,851 | |
Picard Midco, Inc. (Software) | (b) | 6.500% | 03/31/2029 | 25,000 | 21,118 |
Rocket Software, Inc. (Software) | (b) | 6.500% | 02/15/2029 | 125,000 | 92,500 |
Roper Technologies, Inc. (Software) | 1.000% | 09/15/2025 | 525,000 | 465,946 | |
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | 3.125% | 07/15/2029 | 50,000 | 36,636 | |
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 1.800% | 06/01/2026 | 50,000 | 43,301 | |
SS&C Technologies, Inc. (Software) | (b) | 5.500% | 09/30/2027 | 100,000 | 91,219 |
TTM Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (b) | 4.000% | 03/01/2029 | 75,000 | 60,400 |
VeriSign, Inc. (IT Svs.) | 2.700% | 06/15/2031 | 660,000 | 511,994 | |
Veritas U.S., Inc. / Veritas Bermuda Ltd. (Software) | (b) | 7.500% | 09/01/2025 | 50,000 | 38,292 |
VMware, Inc. (Software) | 1.400% | 08/15/2026 | 240,000 | 205,253 | |
VMware, Inc. (Software) | 2.200% | 08/15/2031 | 190,000 | 138,294 | |
Vontier Corp. (Electronic Equip., Instr. & Comp.) | 1.800% | 04/01/2026 | 465,000 | 395,283 | |
8,447,551 |
80
(continued)
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Materials–1.0% | |||||
Albemarle Corp. (Chemicals) | 5.450% | 12/01/2044 | $ 275,000 | $ 238,804 | |
Anglo American Capital PLC (Metals & Mining) | (b) | 2.875% | 03/17/2031 | 775,000 | 600,384 |
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (b) | 5.250% | 08/15/2027 | 200,000 | 125,146 |
Ball Corp. (Containers & Packaging) | 3.125% | 09/15/2031 | 25,000 | 18,844 | |
Clearwater Paper Corp. (Paper & Forest Products) | (b) | 4.750% | 08/15/2028 | 100,000 | 87,562 |
Cleveland-Cliffs, Inc. (Metals & Mining) | (b) | 4.875% | 03/01/2031 | 50,000 | 41,297 |
Clydesdale Acquisition Holdings, Inc. (Containers & Packaging) | (b) | 8.750% | 04/15/2030 | 275,000 | 227,433 |
Coeur Mining, Inc. (Metals & Mining) | (b) | 5.125% | 02/15/2029 | 50,000 | 37,780 |
Diamond BC B.V. (Chemicals) | (b) | 4.625% | 10/01/2029 | 100,000 | 69,582 |
Glencore Funding LLC (Metals & Mining) | (b) | 1.625% | 04/27/2026 | 400,000 | 345,858 |
Glencore Funding LLC (Metals & Mining) | (b) | 3.375% | 09/23/2051 | 200,000 | 121,741 |
Graphic Packaging International LLC (Containers & Packaging) | (b) | 3.500% | 03/01/2029 | 50,000 | 41,131 |
International Flavors & Fragrances, Inc. (Chemicals) | (b) | 1.832% | 10/15/2027 | 450,000 | 368,604 |
Koppers, Inc. (Chemicals) | (b) | 6.000% | 02/15/2025 | 75,000 | 67,125 |
OI European Group B.V. (Containers & Packaging) | (b) | 4.750% | 02/15/2030 | 50,000 | 39,750 |
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (b) | 5.375% | 01/15/2025 | 50,000 | 46,125 |
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (b) | 6.625% | 05/13/2027 | 38,000 | 34,436 |
Packaging Corp. of America (Containers & Packaging) | 3.650% | 09/15/2024 | 675,000 | 658,422 | |
Polar U.S. Borrower LLC / Schenectady International Group, Inc. (Chemicals) | (b) | 6.750% | 05/15/2026 | 100,000 | 54,999 |
Reliance Steel & Aluminum Co. (Metals & Mining) | 4.500% | 04/15/2023 | 760,000 | 758,331 | |
RPM International, Inc. (Chemicals) | 4.550% | 03/01/2029 | 425,000 | 387,262 | |
SRS Distribution, Inc. (Construction Materials) | (b) | 6.125% | 07/01/2029 | 25,000 | 20,078 |
SRS Distribution, Inc. (Construction Materials) | (b) | 6.000% | 12/01/2029 | 100,000 | 79,752 |
Standard Industries, Inc. (Construction Materials) | (b) | 5.000% | 02/15/2027 | 150,000 | 132,736 |
Trivium Packaging Finance B.V. (Containers & Packaging) | (b) | 8.500% | 08/15/2027 | 225,000 | 198,633 |
W.R. Grace Holdings LLC (Chemicals) | (b) | 4.875% | 06/15/2027 | 25,000 | 21,491 |
W.R. Grace Holdings LLC (Chemicals) | (b) | 5.625% | 08/15/2029 | 50,000 | 37,500 |
WRKCo, Inc. (Containers & Packaging) | 4.000% | 03/15/2028 | 525,000 | 483,774 | |
5,344,580 | |||||
Real Estate–1.1% | |||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 1.875% | 02/01/2033 | 930,000 | 653,634 | |
AvalonBay Communities, Inc. (Equity REIT) | 3.350% | 05/15/2027 | 725,000 | 665,027 | |
Boston Properties LP (Equity REIT) | 3.650% | 02/01/2026 | 650,000 | 611,535 | |
Crown Castle, Inc. (Equity REIT) | 3.250% | 01/15/2051 | 450,000 | 284,754 | |
Healthcare Realty Holdings LP (Equity REIT) | 2.000% | 03/15/2031 | 525,000 | 385,629 | |
Kimco Realty Corp. (Equity REIT) | 2.700% | 10/01/2030 | 450,000 | 362,750 | |
Mid-America Apartments LP (Equity REIT) | 4.000% | 11/15/2025 | 725,000 | 700,662 | |
Piedmont Operating Partnership LP (Equity REIT) | 2.750% | 04/01/2032 | 300,000 | 213,566 | |
Regency Centers LP (Equity REIT) | 2.950% | 09/15/2029 | 700,000 | 580,561 | |
UDR, Inc. (Equity REIT) | 3.500% | 01/15/2028 | 725,000 | 643,382 | |
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (b) | 4.625% | 06/15/2025 | 75,000 | 70,577 |
W.P. Carey, Inc. (Equity REIT) | 3.850% | 07/15/2029 | 350,000 | 308,746 | |
Welltower, Inc. (Equity REIT) | 4.250% | 04/01/2026 | 475,000 | 455,188 | |
5,936,011 | |||||
Utilities–2.1% | |||||
Ameren Corp. (Multi-Utilities) | 1.750% | 03/15/2028 | 1,000,000 | 825,429 | |
American Electric Power Co., Inc. (Electric Utilities) | 2.031% | 03/15/2024 | 335,000 | 320,616 | |
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.500% | 05/20/2025 | 50,000 | 46,422 | |
Black Hills Corp. (Multi-Utilities) | 2.500% | 06/15/2030 | 370,000 | 291,250 | |
Calpine Corp. (Ind. Power & Renewable Elec.) | (b) | 5.000% | 02/01/2031 | 50,000 | 39,728 |
Calpine Corp. (Ind. Power & Renewable Elec.) | (b) | 3.750% | 03/01/2031 | 25,000 | 19,563 |
Dominion Energy, Inc. (Multi-Utilities) | 1.450% | 04/15/2026 | 670,000 | 588,283 | |
Duke Energy Corp. (Electric Utilities) | 3.750% | 09/01/2046 | 650,000 | 460,298 | |
Duke Energy Corp. (Electric Utilities) | 4.200% | 06/15/2049 | 725,000 | 548,853 | |
Emera U.S. Finance LP (Electric Utilities) | 3.550% | 06/15/2026 | 400,000 | 371,474 | |
Emera U.S. Finance LP (Electric Utilities) | 4.750% | 06/15/2046 | 400,000 | 314,145 | |
Enel Finance International N.V. (Electric Utilities) | (b) | 2.250% | 07/12/2031 | 750,000 | 520,523 |
Eversource Energy (Electric Utilities) | 3.350% | 03/15/2026 | 670,000 | 627,034 | |
Exelon Corp. (Electric Utilities) | 4.050% | 04/15/2030 | 1,175,000 | 1,064,969 | |
Exelon Corp. (Electric Utilities) | (b) | 4.100% | 03/15/2052 | 55,000 | 42,434 |
FirstEnergy Corp. (Electric Utilities) | 2.650% | 03/01/2030 | 250,000 | 201,875 | |
National Fuel Gas Co. (Gas Utilities) | 5.500% | 01/15/2026 | 450,000 | 441,932 | |
National Fuel Gas Co. (Gas Utilities) | 2.950% | 03/01/2031 | 270,000 | 210,738 | |
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 3.550% | 05/01/2027 | 600,000 | 554,988 | |
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 2.250% | 06/01/2030 | 600,000 | 478,674 | |
NRG Energy, Inc. (Electric Utilities) | 5.750% | 01/15/2028 | 50,000 | 46,144 | |
NRG Energy, Inc. (Electric Utilities) | (b) | 3.875% | 02/15/2032 | 25,000 | 19,501 |
PPL Capital Funding, Inc. (Electric Utilities) | 3.100% | 05/15/2026 | 200,000 | 184,398 |
81
(continued)
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |
Utilities (continued) | |||||
Puget Energy, Inc. (Electric Utilities) | 2.379% | 06/15/2028 | $ 685,000 | $ 569,938 | |
Sempra Energy (Multi-Utilities) | 3.700% | 04/01/2029 | 590,000 | 526,937 | |
Southern Co. / The (Rate is fixed until 01/15/2026, at which point, the rate becomes H15T5Y + 373) (Electric Utilities) | (d) | 4.000% | 01/15/2051 | 1,350,000 | 1,209,870 |
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.875% | 03/01/2027 | 50,000 | 47,170 | |
TerraForm Power Operating LLC (Ind. Power & Renewable Elec.) | (b) | 5.000% | 01/31/2028 | 75,000 | 66,077 |
Vistra Operations Co. LLC (Ind. Power & Renewable Elec.) | (b) | 5.500% | 09/01/2026 | 75,000 | 69,563 |
WEC Energy Group, Inc. (Multi-Utilities) | 0.800% | 03/15/2024 | 220,000 | 207,043 | |
WEC Energy Group, Inc. (Multi-Utilities) | 2.200% | 12/15/2028 | 190,000 | 156,983 | |
11,072,852 | |||||
Total Corporate Bonds (Cost $144,489,787) | $116,210,498 |
Investment Companies–5.7% | Shares | Value | |
Federated Hermes Core Trust - Bank Loan Core Fund (Acquired 06/28/2021, Cost $746,662) | (e)(f) | 77,055 | $ 669,607 |
Federated Hermes Core Trust - Emerging Markets Core Fund (Acquired 05/01/2020 through 07/22/2022, Cost $14,276,492) | (e)(f) | 1,443,283 | 10,622,566 |
Federated Hermes Core Trust III - Federated Project and Trade Finance Core Fund (Acquired 05/01/2020 through 06/28/2021, Cost $19,222,113) | (f)(g) | 2,176,961 | 18,874,255 |
Total Investment Companies (Cost $34,245,267) | $30,166,428 |
Asset-Backed / Mortgage-Backed Securities–3.9% | Rate | Maturity | Face Amount | Value | |
Financials–3.9% | |||||
AmeriCredit Automobile Receivables Trust 2020-2 D | 2.130% | 03/18/2026 | $ 180,000 | $ 168,900 | |
AmeriCredit Automobile Receivables Trust 2020-3 D | 1.490% | 09/18/2026 | 175,000 | 162,743 | |
BANK 2022-BNK40 A4 | 3.507% | 03/15/2064 | 660,000 | 573,280 | |
Benchmark 2020-B19 A5 | 1.850% | 09/15/2053 | 1,150,000 | 903,269 | |
Benchmark 2021-B26 A2 | 1.957% | 06/15/2054 | 520,000 | 460,943 | |
Carmax Auto Owner Trust 2021-1 D | 1.280% | 07/15/2027 | 100,000 | 88,170 | |
Chesapeake Funding II LLC 2020-1A D | (b) | 2.830% | 08/15/2032 | 150,000 | 143,436 |
Ford Credit Auto Lease Trust 2020-B C | 1.700% | 02/15/2025 | 335,000 | 333,326 | |
Ford Credit Floorplan Master Owner Trust A 2020-1 D | 2.120% | 09/15/2025 | 395,000 | 378,376 | |
Freddie Mac Multifamily Structured Pass Through Certificates K108 A2 | 1.517% | 03/25/2030 | 400,000 | 326,665 | |
Freddie Mac Multifamily Structured Pass Through Certificates K109 A2 | 1.558% | 04/25/2030 | 400,000 | 326,215 | |
GM Financial Consumer Automobile Receivables Trust 2020-3 D | 1.910% | 09/16/2027 | 400,000 | 376,819 | |
GS Mortgage-Backed Securities Trust 2022-PJ3 A4 | (b) | 2.500% | 08/25/2052 | 1,931,523 | 1,533,826 |
Home Partners of America 2022-1 B | (b) | 4.330% | 04/17/2039 | 746,159 | 700,657 |
HPEFS Equipment Trust 2020-2A D | (b) | 2.790% | 07/22/2030 | 750,000 | 737,969 |
Invitation Homes 2018-SFR4 B | (b) | ML + 125 | 01/17/2038 | 2,999,862 | 2,940,707 |
J.P. Morgan Mortgage Trust 2022-1 A2 | (b) | 3.000% | 07/25/2052 | 1,417,255 | 1,170,841 |
JP Morgan Mortgage Trust 2022-2 A3 | (b) | 2.500% | 08/25/2052 | 1,910,274 | 1,516,952 |
JP Morgan Mortgage Trust 2022-3 A3 | (b) | 2.500% | 08/25/2052 | 1,920,114 | 1,524,767 |
MMAF Equipment Finance LLC 2020-A A5 | (b) | 1.560% | 10/09/2042 | 750,000 | 638,028 |
Navient Private Education Refi Loan Trust 2020-FA A | (b) | 1.220% | 07/15/2069 | 176,080 | 158,680 |
PFS Financing Corp. 2020-G B | (b) | 1.570% | 02/15/2026 | 310,000 | 292,026 |
Progress Residential 2022-SFR1 E1 | (b) | 3.930% | 02/17/2041 | 900,000 | 728,778 |
Progress Residential 2022-SFR2 D | 3.945% | 04/17/2027 | 1,000,000 | 881,609 | |
Progress Residential 2022-SFR4 B | (b) | 4.788% | 05/17/2041 | 800,000 | 735,160 |
Santander Consumer Auto Receivables Trust 2020-BA D | (b) | 2.140% | 12/15/2026 | 530,000 | 498,345 |
Santander Drive Auto Receivables Trust 2020-3 D | 1.640% | 11/16/2026 | 750,000 | 725,864 | |
Sierra Timeshare 2020-2A A | (b) | 1.330% | 07/20/2037 | 244,906 | 228,170 |
SMB Private Education Loan Trust 2020-B A1A | (b) | 1.290% | 07/15/2053 | 442,175 | 396,032 |
Tesla Auto Lease Trust 2020-A C | (b) | 1.680% | 02/20/2024 | 330,000 | 324,725 |
Tesla Auto Lease Trust 2020-A D | (b) | 2.330% | 02/20/2024 | 100,000 | 98,079 |
World Omni Select Auto Trust 2020-A D | 1.700% | 10/15/2026 | 250,000 | 237,336 | |
Total Asset-Backed / Mortgage-Backed Securities (Cost $22,812,210) | $20,310,693 |
Sovereign Debt Issues–0.3% | Rate | Maturity | Face Amount | Value | |
Mexico Government International Bond | 3.750% | 01/11/2028 | $ 625,000 | $ 573,285 | |
Mexico Government International Bond | 4.500% | 01/31/2050 | 775,000 | 556,507 | |
Republic of Poland Government International Bond | 4.000% | 01/22/2024 | 600,000 | 591,138 | |
Total Sovereign Debt Issues (Cost $2,116,352) | $1,720,930 |
Common Stocks–0.0% | Shares | Value | |
Health Care–0.0% | |||
Mallinckrodt PLC (Pharmaceuticals) | (h) | 436 | $ 7,412 |
Total Common Stocks (Cost $8,073) | $7,412 |
82
(continued)
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Money Market Funds–4.5% | Shares | Value | |
State Street Institutional Liquid Reserves Fund Institutional Class, 3.011% | (i) | 23,548,586 | $ 23,553,296 |
Total Money Market Funds (Cost $23,552,868) | $23,553,296 | ||
Total Investments – 103.4% (Cost $620,112,729) | (j) | $542,035,858 | |
Liabilities in Excess of Other Assets – (3.4)% | (17,614,266) | ||
Net Assets – 100.0% | $524,421,592 |
Percentages are stated as a percent of net assets. |
Abbreviations: | ||
H15T5Y: | U.S. Treasury Yield Curve Rate T-Note Constant Maturity 5 Year, 4.060% at 09/30/2022 | |
ML: | Monthly U.S. LIBOR Rate, 3.143% at 09/30/2022 | |
PIK: | Payment-in-Kind | |
QL: | Quarterly U.S. LIBOR Rate, 3.755% at 09/30/2022 | |
SOFR: | Secured Overnight Financing Rate, 2.980% at 09/30/2022 | |
TSFR3M: | Quarterly CME Term SOFR, 3.593% at 09/30/2022 | |
UMBS TBA: | Uniform Mortgage-Backed Security To Be Announced ("TBA"); the securities backed by fixed rate mortgage loans that are delivered on a future settlement date could be issued by Fannie Mae, Freddie Mac, or a combination thereof. |
Footnotes: | ||
(a) | Security is partially pledged as collateral for the futures contracts outstanding at September 30, 2022. The market value of securities pledged totaled $613,272. See also the following Schedule of Open Futures Contracts. | |
(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 September 30, 2022, the value of these securities totaled $36,953,552, or 7.0% of the Portfolio’s net assets. | |
(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) | 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 September 30, 2022. | |
(e) | 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. | |
(f) | Represents a security deemed to be restricted. At September 30, 2022, the value of restricted securities in the Portfolio totaled $30,166,428, or 5.7% of the Portfolio’s net assets. | |
(g) | 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. | |
(h) | Non-income producing security. | |
(i) | Rate represents the seven-day yield at September 30, 2022. | |
(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 | September 30, 2022 (Unaudited) |
Long Futures
Contracts
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
CBT 10-Year U.S. Ultra Bond - Long | 130 | December 20, 2022 | $16,112,069 | $15,402,969 | $(709,100) | $(65,000) | ||||||
CBT 5-Year U.S. Treasury Note - Long | 135 | December 30, 2022 | 14,884,963 | 14,513,555 | (371,408) | (35,859) | ||||||
CBT 2-Year U.S. Treasury Note - Long | 272 | December 30, 2022 | 56,141,820 | 55,866,250 | (275,570) | (40,375) | ||||||
$87,138,852 | $85,782,774 | $(1,356,078) | $(141,234) |
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 | 100 | December 20, 2022 | $(14,758,061) | (13,700,000) | $1,058,061 | $162,500 | ||||||
CBT 10-Year U.S. Treasury Note - Short | 113 | December 20, 2022 | (13,305,496) | (12,663,063) | 642,433 | 44,141 |
83
Ohio National Fund, Inc. | ON Federated Core Plus Bond Portfolio (Continued) |
Schedule of Open Futures Contracts | September 30, 2022 (Unaudited) |
Short Futures Contracts (Continued)
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
$(28,063,557) | $(26,363,063) | $1,700,494 | $206,641 | |||||||||
Total Futures Contracts | $59,075,295 | $59,419,711 | $344,416 | $65,407 |
The accompanying
notes are an integral part of these financial statements.
84
Ohio National Fund, Inc. | ON U.S. Low Volatility Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
85
(continued)
Ohio National Fund, Inc. | ON U.S. Low Volatility Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (Unaudited) |
Percentages are stated as a percent of net assets. |
Footnotes: | ||
(a) | Non-income producing security. | |
(b) | Rate represents the seven-day yield at September 30, 2022. | |
(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. |
The
accompanying notes are an integral part of these financial statements.
86
Ohio National Fund, Inc. | ON AB Relative Value Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
87
(continued)
Ohio National Fund, Inc. | ON AB Relative Value Portfolio (Continued) |
Schedule of Investments | September 30, 2022 (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 September 30, 2022. | |
(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. |
The accompanying
notes are an integral part of these financial statements.
88
Ohio National Fund, Inc. | ON iShares Managed Risk Balanced Portfolio |
Schedule of Investments | September 30, 2022 (Unaudited) |
Exchange Traded Funds–82.8% | Shares | Value | |
iShares Core MSCI EAFE ETF | 278,219 | $ 14,653,795 | |
iShares Core S&P 500 ETF | 129,395 | 46,407,517 | |
iShares Core U.S. Aggregate Bond ETF | 1,206,730 | 116,256,368 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 121,848 | 12,483,328 | |
iShares MSCI Australia ETF | 105,072 | 2,061,513 | |
iShares MSCI Canada ETF | 191,774 | 5,898,968 | |
iShares MSCI China ETF | 49,825 | 2,120,552 | |
iShares MSCI France ETF | 71,049 | 1,904,113 | |
iShares MSCI Germany ETF | 155,370 | 3,067,004 | |
iShares MSCI Hong Kong ETF | 21,785 | 397,358 | |
iShares MSCI Italy ETF | 12,432 | 267,288 | |
iShares MSCI Japan ETF | 102,258 | 4,995,303 | |
iShares MSCI Netherlands ETF | 2,251 | 68,813 | |
iShares MSCI Poland ETF | 41,221 | 443,950 | |
iShares MSCI Singapore ETF | 48,902 | 836,713 | |
iShares MSCI South Africa ETF | 48,557 | 1,749,994 | |
iShares MSCI South Korea ETF | 7,935 | 375,802 | |
iShares MSCI Spain ETF | 78,318 | 1,552,263 | |
iShares MSCI Sweden ETF | 6,485 | 176,716 | |
iShares MSCI Taiwan ETF | 70,377 | 3,033,249 | |
iShares MSCI United Kingdom ETF | 97,110 | 2,545,253 | |
iShares Russell 1000 ETF | 175,563 | 34,643,847 | |
Total Exchange Traded Funds (Cost $308,655,384) | $255,939,707 |
Money Market Funds–13.9% | Shares | Value | |
State Street Institutional Liquid Reserves Fund Institutional Class, 3.011% | (a) | 42,926,799 | $ 42,935,384 |
Total Money Market Funds (Cost $42,929,932) | $42,935,384 | ||
Total Investments – 96.7% (Cost $351,585,316) | (b) | $298,875,091 | |
Other Assets in Excess of Liabilities – 3.3% | (c) | 10,143,904 | |
Net Assets – 100.0% | $309,018,995 |
Percentages are stated as a percent of net assets. |
Footnotes: | ||
(a) | Rate represents the seven-day yield at September 30, 2022. | |
(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 $1,852,611 of cash pledged as collateral for the futures contracts outstanding at September 30, 2022. 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 | September 30, 2022 (Unaudited) |
Long Futures
Contracts
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
OSE TOPIX Index - Long | 51 | December 8, 2022 | $6,730,935 | $6,469,702 | $(261,233) | $(91,267) | ||||||
MOD S&P TSX 60 Index - Long | 16 | December 15, 2022 | 2,715,778 | 2,585,297 | (130,481) | (2,843) | ||||||
MSCI Emerging Markets Index - Long | 182 | December 16, 2022 | 8,877,468 | 7,930,650 | (946,818) | (32,760) | ||||||
CBT 10-Year U.S. Treasury Note - Long | 191 | December 20, 2022 | 22,365,172 | 21,403,938 | (961,234) | (74,610) | ||||||
$40,689,353 | $38,389,587 | $(2,299,766) | $(201,480) |
Short Futures
Contracts
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
MSCI EAFE Index - Short | 207 | December 16, 2022 | $(17,355,960) | (17,187,210) | $168,750 | $21,610 | ||||||
CME E-mini S&P 500 Index - Short | 39 | December 16, 2022 | (7,194,624) | (7,022,925) | 171,699 | 104,018 | ||||||
EUR Currency Future - Short | 3 | December 19, 2022 | (376,623) | (369,806) | 6,817 | (563) |
89
Ohio National Fund, Inc. | ON iShares Managed Risk Balanced Portfolio (Continued) |
Schedule of Open Futures Contracts | September 30, 2022 (Unaudited) |
Short Futures Contracts (Continued)
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
JPY Currency Future - Short | 13 | December 19, 2022 | $(1,136,594) | $(1,131,569) | $5,025 | $3,006 | ||||||
CBT U.S. Ultra Bond - Short | 22 | December 20, 2022 | (3,262,875) | (3,014,000) | 248,875 | 35,750 | ||||||
$(29,326,676) | $(28,725,510) | $601,166 | $163,821 | |||||||||
Total Futures Contracts | $11,362,677 | $9,664,077 | $(1,698,600) | $(37,659) |
The accompanying
notes are an integral part of these financial statements.
90
Ohio National Fund, Inc. | ON Moderately Conservative Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | September 30, 2022 (Unaudited) |
Open-End Mutual Funds–37.1% | Shares | Value | |
DFA Emerging Markets Portfolio Institutional | 93,256 | $ 2,158,878 | |
DFA International Core Equity Portfolio Institutional | 557,709 | 6,430,385 | |
PIMCO Low Duration Institutional | 2,562,578 | 23,370,713 | |
PIMCO Total Return Institutional | 3,001,176 | 25,509,992 | |
Vanguard International Growth Fund Admiral Class | 24,757 | 2,119,189 | |
Western Asset Core Plus Bond IS | 2,089,140 | 19,136,524 | |
Total Open-End Mutual Funds | $78,725,681 | ||
Total Investments in Securities of Unaffiliated Issuers – 37.1% (Cost $92,633,502) | $78,725,681 | ||
Total Investments in Affiliates – 62.9% (Cost $157,098,559) (see schedule below) | 133,508,883 | ||
Liabilities in Excess of Other Assets – 0.0% | (104,359) | ||
Net Assets – 100.0% | $212,130,205 |
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 | September 30, 2022 (Unaudited) |
Affiliate | Value at January 1, 2022 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at September 30, 2022 | Value at September 30, 2022 | |||||
Open-End Mutual Funds – 62.9% | ||||||||||||||
Fidelity Advisor® Real Estate I | (a) | $2,815,609 | $556,710 | $434,031 | $23,472 | $(842,571) | $ — | $ — | 118,192 | $2,119,189 | ||||
ON AB Mid Cap Core Portfolio | (a) | 2,815,609 | 1,571,934 | 412,081 | 88,859 | (1,945,132) | 5,357 | 1,058,876 | 90,525 | 2,119,189 | ||||
ON AB Relative Value Portfolio | (a) | 2,815,609 | 234,420 | 532,151 | 15,141 | (413,830) | 382 | 1,195 | 240,543 | 2,119,189 | ||||
ON AB Small Cap Portfolio | (a) | 2,815,609 | 2,061,922 | 383,595 | (10,413) | (2,364,334) | 1,179 | 1,442,126 | 210,655 | 2,119,189 | ||||
ON BlackRock Advantage International Equity Portfolio | (a) | 12,670,241 | 3,060,148 | 1,223,412 | 111,243 | (5,081,871) | 291,137 | 1,375,565 | 845,421 | 9,536,349 | ||||
ON BlackRock Advantage Large Cap Core Portfolio | (a) | 5,631,218 | 1,893,195 | 643,957 | 106,290 | (2,748,369) | 36,969 | 1,233,167 | 176,894 | 4,238,377 | ||||
ON BlackRock Advantage Large Cap Value Portfolio | (a) | 11,262,436 | 3,066,293 | 1,739,552 | 430,480 | (4,542,903) | 147,411 | 2,038,375 | 583,397 | 8,476,754 | ||||
ON Bond Portfolio | (a) | 19,709,263 | 1,492,929 | 2,209,113 | (35,916) | (4,122,843) | 548,285 | 99,596 | 950,309 | 14,834,320 | ||||
ON Federated Core Plus Bond Portfolio | (a) | 36,602,917 | 7,174,577 | 6,158,164 | (449,466) | (5,382,035) | 562,210 | 17,845 | 3,653,773 | 31,787,829 | ||||
ON Federated High Income Bond Portfolio | (a) | 14,078,045 | 982,590 | 1,780,326 | 85,944 | (2,770,310) | 679,159 | — | 614,614 | 10,595,943 | ||||
ON Janus Henderson Forty Portfolio | (a) | 2,815,609 | 591,156 | 2,590,865 | (272,742) | (543,158) | — | — | — | — | ||||
ON Nasdaq-100® Index Portfolio | (a) | 5,631,218 | 2,759,090 | 765,997 | 172,922 | (3,558,856) | 1,532,110 | 17,333 | 339,614 | 4,238,377 | ||||
ON S&P 500® Index Portfolio | (a) | 36,602,917 | 10,644,260 | 3,407,605 | 927,537 | (14,038,874) | 399,310 | 3,926,487 | 1,012,462 | 30,728,235 | ||||
ON S&P MidCap 400® Index Portfolio | (a) | 14,078,045 | 3,887,567 | 2,571,316 | 667,754 | (5,466,107) | 122,386 | 1,853,490 | 626,979 | 10,595,943 | ||||
Total Open-End Mutual Funds | $1,861,105 | $(53,821,193) | $4,325,895 | $13,064,055 | $133,508,883 |
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 September 30, 2022. |
The accompanying
notes are an integral part of these financial statements.
91
Ohio National Fund, Inc. | ON Balanced Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | September 30, 2022 (Unaudited) |
Open-End Mutual Funds–32.1% | Shares | Value | |
DFA Emerging Markets Portfolio Institutional | 1,006,053 | $ 23,290,130 | |
DFA International Core Equity Portfolio Institutional | 3,341,423 | 38,526,605 | |
PIMCO Low Duration Institutional | 5,861,074 | 53,452,992 | |
PIMCO Total Return Institutional | 8,090,033 | 68,765,287 | |
Vanguard International Growth Fund Admiral Class | 177,951 | 15,232,580 | |
Western Asset Core Plus Bond IS | 5,005,841 | 45,853,508 | |
Total Open-End Mutual Funds | $245,121,102 | ||
Total Investments in Securities of Unaffiliated Issuers – 32.1% (Cost $290,598,442) | $245,121,102 | ||
Total Investments in Affiliates – 67.9% (Cost $614,767,723) (see schedule below) | 517,907,734 | ||
Liabilities in Excess of Other Assets – 0.0% | (336,570) | ||
Net Assets – 100.0% | $762,692,266 |
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 | September 30, 2022 (Unaudited) |
Affiliate | Value at January 1, 2022 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at September 30, 2022 | Value at September 30, 2022 | |||||
Open-End Mutual Funds – 67.9% | ||||||||||||||
Fidelity Advisor® Real Estate I | (a) | $10,924,811 | $1,112,047 | $1,332,272 | $177,526 | $(3,265,822) | $ — | $ — | 424,779 | $7,616,290 | ||||
ON AB Mid Cap Core Portfolio | (a) | 10,924,811 | 4,586,521 | 910,684 | 153,981 | (7,138,339) | 19,838 | 3,921,418 | 325,343 | 7,616,290 | ||||
ON AB Relative Value Portfolio | (a) | 21,849,621 | 18,064,894 | 3,938,317 | 30,692 | (5,541,729) | 5,631 | 17,619 | 3,458,021 | 30,465,161 | ||||
ON AB Small Cap Portfolio | (a) | 10,924,811 | 6,370,313 | 752,484 | 99,059 | (9,025,409) | 4,364 | 5,335,852 | 757,086 | 7,616,290 | ||||
ON BlackRock Advantage International Equity Portfolio | (a) | 87,398,485 | 12,109,662 | 5,322,774 | 536,823 | (33,791,874) | 1,902,985 | 8,991,228 | 5,401,624 | 60,930,322 | ||||
ON BlackRock Advantage Large Cap Core Portfolio | (a) | 21,849,621 | 5,303,219 | 2,009,040 | 446,540 | (10,357,760) | 136,582 | 4,555,865 | 635,750 | 15,232,580 | ||||
ON BlackRock Advantage Large Cap Growth Portfolio | (a) | 10,924,811 | 3,446,089 | 5,151,743 | 497,676 | (5,908,688) | — | 2,901,929 | 574,381 | 3,808,145 | ||||
ON BlackRock Advantage Large Cap Value Portfolio | (a) | 54,624,053 | 10,668,117 | 8,002,718 | 2,098,042 | (21,306,043) | 679,409 | 9,394,777 | 2,620,884 | 38,081,451 | ||||
ON BlackRock Advantage Small Cap Growth Portfolio | (a) | 21,849,621 | 7,310,930 | 1,744,082 | 76,177 | (12,260,066) | — | 5,666,415 | 869,936 | 15,232,580 | ||||
ON Bond Portfolio | (a) | 54,624,053 | 3,635,669 | 8,977,035 | (152,900) | (11,048,336) | 1,434,705 | 260,615 | 2,439,555 | 38,081,451 | ||||
ON Federated Core Plus Bond Portfolio | (a) | 87,398,485 | 13,382,453 | 18,857,494 | (1,415,160) | (11,961,672) | 1,235,159 | 39,205 | 7,878,921 | 68,546,612 | ||||
ON Federated High Income Bond Portfolio | (a) | 32,774,432 | 1,753,959 | 5,619,081 | 289,716 | (6,350,155) | 1,495,776 | — | 1,325,341 | 22,848,871 | ||||
ON Janus Henderson Forty Portfolio | (a) | 10,924,811 | 4,900,135 | 5,045,808 | 1,499,689 | (8,470,682) | — | 3,884,948 | 3,430,761 | 3,808,145 | ||||
ON Nasdaq-100® Index Portfolio | (a) | 21,849,621 | 4,825,984 | 10,317,177 | 1,803,967 | (10,546,105) | 37,416 | 2,827,972 | 610,280 | 7,616,290 | ||||
ON S&P 500® Index Portfolio | (a) | 163,872,158 | 27,341,731 | 15,234,125 | 4,308,450 | (58,427,570) | 1,568,852 | 15,426,808 | 4,015,178 | 121,860,644 | ||||
ON S&P MidCap 400® Index Portfolio | (a) | 98,323,295 | 16,520,535 | 13,586,342 | 4,139,956 | (36,850,832) | 814,325 | 12,332,604 | 4,056,013 | 68,546,612 | ||||
Total Open-End Mutual Funds | $14,590,234 | $(252,251,082) | $9,335,042 | $75,557,255 | $517,907,734 |
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 September 30, 2022. |
The accompanying
notes are an integral part of these financial statements.
92
Ohio National Fund, Inc. | ON Moderate Growth Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | September 30, 2022 (Unaudited) |
Open-End Mutual Funds–22.6% | Shares | Value | |
DFA Emerging Markets Portfolio Institutional | 1,819,514 | $ 42,121,737 | |
DFA International Core Equity Portfolio Institutional | 8,452,685 | 97,459,463 | |
PIMCO Low Duration Institutional | 3,782,230 | 34,493,940 | |
PIMCO Total Return Institutional | 6,496,663 | 55,221,634 | |
Vanguard International Growth Fund Admiral Class | 482,282 | 41,283,379 | |
Western Asset Core Plus Bond IS | 4,522,358 | 41,424,799 | |
Total Open-End Mutual Funds | $312,004,952 | ||
Total Investments in Securities of Unaffiliated Issuers – 22.6% (Cost $373,501,474) | $312,004,952 | ||
Total Investments in Affiliates – 77.4% (Cost $1,307,429,592) (see schedule below) | 1,066,487,278 | ||
Liabilities in Excess of Other Assets – 0.0% | (503,919) | ||
Net Assets – 100.0% | $1,377,988,311 |
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 | September 30, 2022 (Unaudited) |
Affiliate | Value at January 1, 2022 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at September 30, 2022 | Value at September 30, 2022 | |||||
Open-End Mutual Funds – 77.4% | ||||||||||||||
Fidelity Advisor® Real Estate I | (a) | $19,776,234 | $1,850,784 | $2,239,186 | $345,888 | $(5,972,594) | $ — | $ — | 767,492 | $13,761,126 | ||||
ON AB Mid Cap Core Portfolio | (a) | 19,776,234 | 8,091,772 | 1,327,931 | 205,573 | (12,984,522) | 36,243 | 7,164,076 | 587,831 | 13,761,126 | ||||
ON AB Relative Value Portfolio | (a) | 39,552,467 | 48,025,277 | 7,123,689 | (127,613) | (11,520,811) | 12,900 | 40,367 | 7,809,947 | 68,805,631 | ||||
ON AB Small Cap Portfolio | (a) | 39,552,467 | 22,793,726 | 2,273,130 | 220,083 | (32,770,894) | 15,880 | 19,416,303 | 2,735,810 | 27,522,252 | ||||
ON BlackRock Advantage International Equity Portfolio | (a) | 177,986,103 | 23,973,035 | 9,978,322 | 925,727 | (69,056,407) | 3,884,798 | 18,354,901 | 10,979,622 | 123,850,136 | ||||
ON BlackRock Advantage Large Cap Core Portfolio | (a) | 79,104,935 | 17,959,953 | 5,770,954 | 1,700,700 | (37,950,129) | 498,427 | 16,625,664 | 2,297,350 | 55,044,505 | ||||
ON BlackRock Advantage Large Cap Growth Portfolio | (a) | 39,552,467 | 18,011,086 | 10,116,839 | 2,891,977 | (29,697,002) | — | 15,861,837 | 3,113,377 | 20,641,689 | ||||
ON BlackRock Advantage Large Cap Value Portfolio | (a) | 158,209,869 | 29,573,077 | 21,340,272 | 5,200,176 | (61,553,841) | 1,991,218 | 27,534,296 | 7,576,670 | 110,089,009 | ||||
ON BlackRock Advantage Small Cap Growth Portfolio | (a) | 59,328,701 | 19,492,727 | 4,152,892 | 72,731 | (33,457,888) | — | 15,487,591 | 2,357,703 | 41,283,379 | ||||
ON Bond Portfolio | (a) | 69,216,818 | 6,123,247 | 12,913,624 | (234,847) | (14,027,652) | 1,829,774 | 332,380 | 3,085,454 | 48,163,942 | ||||
ON Federated Core Plus Bond Portfolio | (a) | 118,657,402 | 6,805,174 | 25,629,556 | (1,905,945) | (15,360,318) | 1,501,417 | 47,657 | 9,490,432 | 82,566,757 | ||||
ON Federated High Income Bond Portfolio | (a) | 39,552,467 | 2,559,032 | 7,197,330 | 276,618 | (7,668,535) | 1,823,015 | — | 1,596,418 | 27,522,252 | ||||
ON Janus Henderson Forty Portfolio | (a) | 39,552,467 | 10,981,077 | 25,205,245 | 2,873,341 | (21,321,077) | — | 7,081,369 | 6,198,705 | 6,880,563 | ||||
ON Nasdaq-100® Index Portfolio | (a) | 59,328,701 | 15,596,369 | 19,752,032 | 3,376,815 | (31,027,601) | 253,106 | 10,186,581 | 2,205,309 | 27,522,252 | ||||
ON S&P 500® Index Portfolio | (a) | 355,972,206 | 52,870,255 | 28,247,919 | 8,326,078 | (127,459,223) | 3,443,488 | 33,860,445 | 8,614,873 | 261,461,397 | ||||
ON S&P MidCap 400® Index Portfolio | (a) | 197,762,337 | 30,237,976 | 23,673,904 | 6,294,570 | (73,009,717) | 1,654,281 | 25,053,381 | 8,142,678 | 137,611,262 | ||||
Total Open-End Mutual Funds | $30,441,872 | $(584,838,211) | $16,944,547 | $197,046,848 | $1,066,487,278 |
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 September 30, 2022. |
The accompanying
notes are an integral part of these financial statements.
93
Ohio National Fund, Inc. | ON Growth Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | September 30, 2022 (Unaudited) |
Open-End Mutual Funds–17.2% | Shares | Value | |
DFA Emerging Markets Portfolio Institutional | 543,622 | $ 12,584,859 | |
DFA International Core Equity Portfolio Institutional | 2,436,619 | 28,094,219 | |
PIMCO Total Return Institutional | 364,116 | 3,094,983 | |
Vanguard International Growth Fund Admiral Class | 108,119 | 9,254,983 | |
Total Open-End Mutual Funds | $53,029,044 | ||
Total Investments in Securities of Unaffiliated Issuers – 17.2% (Cost $65,764,236) | $53,029,044 | ||
Total Investments in Affiliates – 82.8% (Cost $325,780,734) (see schedule below) | 256,054,537 | ||
Liabilities in Excess of Other Assets – 0.0% | (137,309) | ||
Net Assets – 100.0% | $308,946,272 |
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 | September 30, 2022 (Unaudited) |
Affiliate | Value at January 1, 2022 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at September 30, 2022 | Value at September 30, 2022 | |||||
Open-End Mutual Funds – 82.8% | ||||||||||||||
Fidelity Advisor® Real Estate I | (a) | $4,483,285 | $342,982 | $466,949 | $72,964 | $(1,347,288) | $ — | $ — | 172,058 | $3,084,994 | ||||
ON AB Mid Cap Core Portfolio | (a) | 4,483,285 | 1,752,242 | 242,283 | 10,387 | (2,918,637) | 8,244 | 1,629,594 | 131,781 | 3,084,994 | ||||
ON AB Relative Value Portfolio | (a) | 13,449,855 | 10,813,242 | 2,477,441 | (57,592) | (3,218,097) | 3,511 | 10,986 | 2,101,018 | 18,509,967 | ||||
ON AB Small Cap Portfolio | (a) | 17,933,140 | 7,734,392 | 4,262,159 | 213,840 | (12,364,230) | 5,412 | 6,617,470 | 919,978 | 9,254,983 | ||||
ON BlackRock Advantage International Equity Portfolio | (a) | 53,799,420 | 7,772,435 | 3,963,253 | 186,022 | (20,774,691) | 1,171,852 | 5,536,768 | 3,281,909 | 37,019,933 | ||||
ON BlackRock Advantage Large Cap Core Portfolio | (a) | 26,899,710 | 5,866,164 | 1,906,393 | 575,448 | (12,924,962) | 169,826 | 5,664,773 | 772,536 | 18,509,967 | ||||
ON BlackRock Advantage Large Cap Growth Portfolio | (a) | 8,966,570 | 5,291,174 | 390,598 | 56,202 | (7,753,359) | 1,584,357 | 3,219,495 | 930,617 | 6,169,989 | ||||
ON BlackRock Advantage Large Cap Value Portfolio | (a) | 35,866,280 | 6,976,271 | 5,366,171 | 1,148,098 | (13,944,522) | 452,041 | 6,250,756 | 1,698,552 | 24,679,956 | ||||
ON BlackRock Advantage Small Cap Growth Portfolio | (a) | 20,174,782 | 6,350,545 | 1,231,370 | (117,008) | (11,294,474) | — | 5,289,560 | 792,831 | 13,882,475 | ||||
ON Bond Portfolio | (a) | 4,483,285 | 425,732 | 900,409 | 3,461 | (927,075) | 118,523 | 21,530 | 197,629 | 3,084,994 | ||||
ON Federated Core Plus Bond Portfolio | (a) | — | 7,255,456 | 504,892 | (41,576) | (538,999) | 113,404 | 3,600 | 709,194 | 6,169,989 | ||||
ON Federated High Income Bond Portfolio | (a) | 4,483,285 | 292,531 | 856,535 | (3,555) | (830,732) | 206,411 | — | 178,944 | 3,084,994 | ||||
ON Janus Henderson Forty Portfolio | (a) | 13,449,855 | 4,273,044 | 7,558,288 | 1,457,426 | (8,537,043) | — | 3,212,429 | 2,779,274 | 3,084,994 | ||||
ON Nasdaq-100® Index Portfolio | (a) | 17,933,140 | 4,750,147 | 4,499,577 | 703,777 | (9,632,504) | 3,468,851 | 86,190 | 741,585 | 9,254,983 | ||||
ON S&P 500® Index Portfolio | (a) | 80,699,130 | 10,820,386 | 5,951,069 | 1,796,638 | (28,750,191) | 877,494 | 7,518,544 | 1,931,298 | 58,614,894 | ||||
ON S&P MidCap 400® Index Portfolio | (a) | 51,557,777 | 10,539,484 | 5,100,439 | 1,266,585 | (19,700,976) | — | 7,589,713 | 2,281,801 | 38,562,431 | ||||
Total Open-End Mutual Funds | $7,271,117 | $(155,457,780) | $8,179,926 | $52,651,408 | $256,054,537 |
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 September 30, 2022. |
The accompanying
notes are an integral part of these financial statements.
94
Ohio National Fund, Inc.
Notes to Schedules of Investments | September 30, 2022 (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-three 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 AB Small Cap Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of smaller capitalization companies with market capitalizations at the time of investment that fall within the lowest 20% of the total U.S. equity market capitalization (excluding companies with market capitalizations of less than $10 million). |
■ | ON AB Mid Cap Core Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of mid-capitalization companies with public stock market capitalization at the time of investment that are within the range of market capitalizations of the companies constituting the Russell Midcap® Index. |
■ | 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 common stock and other securities of companies that are 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 small capitalization 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 common stock and other 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 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® Growth Index for the previous twelve months. |
95
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
■ | 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, under normal circumstances, 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”). |
■ | ON U.S. Low Volatility Portfolio (formerly ON Janus Henderson U.S. Low Volatility Portfolio) - Capital appreciation by investing, under normal circumstances, at least 80% of its net assets in U.S. common stocks of companies included in the S&P 500® Index. Those stocks are selected by a mathematical investment process which seeks to achieve returns similar to those of the S&P 500® Index over the long-term with lower absolute volatility. |
■ | ON AB Relative Value Portfolio - Long-term growth of capital by investing primarily in the equity securities of U.S. companies that the Portfolio's sub-adviser believes are trading at attractive valuations and that have strong or improving business models. |
■ | ON iShares Managed Risk Balanced Portfolio - Income and capital appreciation by investing in underlying exchange traded funds ("ETFs") and futures. Under normal market conditions, through investments in the underlying funds and derivatives, the Portfolio invests a minimum of 25% of its assets in equity investments and a minimum of 25% of its assets in fixed income investments. |
■ | 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 Prospectuses and Statements 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.
96
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
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 BlackRock Advantage Large Cap Growth | 42,000,000 | |||
ON BlackRock Balanced Allocation | 22,000,000 | ON Risk Managed Balanced | 170,000,000 | |||
ON BlackRock Advantage International Equity | 50,000,000 | ON Federated Core Plus Bond | 115,000,000 | |||
ON Janus Henderson Forty | 9,000,000 | ON U.S. Low Volatility | 155,000,000 | |||
ON AB Small Cap | 7,000,000 | ON AB Relative Value | 50,000,000 | |||
ON AB Mid Cap Core | 4,000,000 | ON iShares Managed Risk Balanced | 133,000,000 | |||
ON S&P 500® Index | 50,000,000 | ON iShares Managed Risk Moderate Growth** | 105,000,000 | |||
ON BlackRock Advantage Large Cap Value | 26,000,000 | ON iShares Managed Risk Growth** | 90,000,000 | |||
ON Federated High Income Bond | 13,000,000 | ON Moderately Conservative Model | 36,000,000 | |||
ON Nasdaq-100® Index | 22,000,000 | ON Balanced Model | 120,000,000 | |||
ON BlackRock Advantage Large Cap Core | 17,000,000 | ON Moderate Growth Model | 210,000,000 | |||
ON BlackRock Advantage Small Cap Growth | 8,000,000 | ON Growth Model | 43,000,000 | |||
ON S&P MidCap 400® Index | 31,000,000 |
** | These Portfolios and their respective authorized shares have been approved, although 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.
(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
The Board has adopted policies for the valuation of the Fund’s securities, which include guidelines for valuation when active market quotations are not readily available. The Board has delegated authority to
the Fund’s adviser, Ohio National Investments, Inc. (“ONI”) to apply those guidelines in the determination of fair value, subject to oversight 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 cannot 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 a previous last trade price
may be used when appropriate.
97
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
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 4:00 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.
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.
98
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
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 September 30, 2022:
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||
ON Bond | Corporate Bonds*** | $— | $182,056,750 | $— | ||||
Asset-Backed Securities*** | — | 5,621,965 | — | |||||
Money Market Funds | 6,297,021 | — | — | |||||
$6,297,021 | $187,678,715 | $ — | ||||||
ON BlackRock Balanced Allocation | Common Stocks*** | $280,804,975 | $— | $— | ||||
Corporate Bonds*** | — | 109,673,986 | — | |||||
Asset-Backed Securities*** | — | 2,302,575 | — | |||||
U.S. Treasury Obligations | — | 847,344 | — | |||||
Money Market Funds | 5,292,533 | — | — | |||||
$286,097,508 | $112,823,905 | $ — | ||||||
Long Futures Contracts | $(480,392) | $— | $— | |||||
ON BlackRock Advantage International Equity | Common Stocks*** | $34,357 | $337,681,062 | $— | ||||
Preferred Securities*** | — | 2,329,143 | — | |||||
Money Market Funds | 7,183,893 | — | — | |||||
$7,218,250 | $340,010,205 | $ — | ||||||
Long Futures Contracts | $(931,420) | $— | $— | |||||
ON Janus Henderson Forty | Common Stocks*** | $51,697,754 | $897,922 | $— | ||||
Money Market Funds | 2,940,782 | — | — | |||||
$54,638,536 | $897,922 | $ — | ||||||
ON AB Small Cap | Common Stocks*** | $105,595,294 | $— | $— | ||||
Exchange Traded Funds | 701,879 | — | — | |||||
Money Market Funds | 1,751,026 | — | — | |||||
$108,048,199 | $ — | $ — | ||||||
ON AB Mid Cap Core | Common Stocks*** | $72,391,025 | $— | $— | ||||
Money Market Funds | 706,704 | — | — | |||||
$73,097,729 | $ — | $ — | ||||||
Long Futures Contracts | $(16,152) | $— | $— | |||||
ON S&P 500® Index | Common Stocks*** | $942,634,406 | $406,120 | $— | ||||
U.S. Treasury Obligations | — | 197,833 | — | |||||
Money Market Funds | 8,252,535 | — | — | |||||
$950,886,941 | $603,953 | $ — | ||||||
Long Futures Contracts | $(974,796) | $— | $— |
99
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||
ON BlackRock Advantage Large Cap Value | Common Stocks*** | $226,293,606 | $— | $— | ||||
Money Market Funds | 2,907,636 | — | — | |||||
$229,201,242 | $ — | $ — | ||||||
Long Futures Contracts | $(374,255) | $— | $— | |||||
ON Federated High Income Bond | Corporate Bonds*** | $— | $120,686,289 | $— | ||||
Common Stocks*** | 303,571 | — | — | |||||
Rights*** | — | 3,251 | — | |||||
Money Market Funds | 2,327,676 | — | — | |||||
$2,631,247 | $120,689,540 | $ — | ||||||
ON Nasdaq-100® Index | Common Stocks*** | $204,462,301 | $— | $— | ||||
U.S. Treasury Obligations | — | 98,916 | — | |||||
Money Market Funds | 1,046,840 | — | — | |||||
$205,509,141 | $98,916 | $ — | ||||||
Long Futures Contracts | $(97,646) | $— | $— | |||||
ON BlackRock Advantage Large Cap Core | Common Stocks*** | $295,120,468 | $— | $— | ||||
Money Market Funds | 4,312,919 | — | — | |||||
$299,433,387 | $ — | $ — | ||||||
Long Futures Contracts | $(545,279) | $— | $— | |||||
ON BlackRock Advantage Small Cap Growth | Common Stocks*** | $131,144,535 | $— | $— | ||||
Rights*** | — | 4,950 | — | |||||
Money Market Funds | 1,926,081 | — | — | |||||
$133,070,616 | $4,950 | $ — | ||||||
Long Futures Contracts | $(249,746) | $— | $— | |||||
ON S&P MidCap 400® Index | Common Stocks*** | $303,618,239 | $— | $— | ||||
U.S. Treasury Obligations | — | 98,917 | — | |||||
Money Market Funds | 1,622,112 | — | — | |||||
$305,240,351 | $98,917 | $ — | ||||||
Long Futures Contracts | $(241,413) | $— | $— | |||||
ON BlackRock Advantage Large Cap Growth | Common Stocks*** | $43,533,468 | $— | $— | ||||
Money Market Funds | 734,523 | — | — | |||||
$44,267,991 | $ — | $ — | ||||||
Long Futures Contracts | $(98,425) | $— | $— |
100
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||
ON Risk Managed Balanced | Common Stocks*** | $534,843,562 | $— | $— | ||||
U.S. Treasury Obligations | — | 178,892,044 | — | |||||
Corporate Bonds*** | — | 168,064,728 | — | |||||
Purchased Options | 52,007,358 | 23,643,150 | — | |||||
Asset-Backed / Mortgage-Backed Securities*** | — | 67,731,182 | — | |||||
U.S. Government Agency Mortgage-Backed Securities | — | 50,525,762 | — | |||||
Preferred Securities*** | — | 2,121,966 | — | |||||
Sovereign Debt Issues | — | 1,214,399 | — | |||||
Taxable Municipal Bonds | — | 452,362 | — | |||||
Money Market Funds | 77,184,632 | — | — | |||||
$664,035,552 | $492,645,593 | $ — | ||||||
Long Futures Contracts | $(20,516,186) | $— | $— | |||||
Short Futures Contracts | $26,335,970 | $— | $— | |||||
ON Federated Core Plus Bond | U.S. Treasury Obligations | $— | $228,567,923 | $— | ||||
U.S. Government Agency Mortgage-Backed Securities | — | 121,498,678 | — | |||||
Corporate Bonds*** | — | 116,210,498 | — | |||||
Investment Companies | 30,166,428 | — | — | |||||
Asset-Backed / Mortgage-Backed Securities*** | — | 20,310,693 | — | |||||
Sovereign Debt Issues | — | 1,720,930 | — | |||||
Common Stocks*** | 7,412 | — | — | |||||
Money Market Funds | 23,553,296 | — | — | |||||
$53,727,136 | $488,308,722 | $ — | ||||||
Long Futures Contracts | $(1,356,078) | $— | $— | |||||
Short Futures Contracts | $1,700,494 | $— | $— | |||||
ON U.S. Low Volatility | Common Stocks*** | $695,324,166 | $7,853,664 | $— | ||||
Money Market Funds | 6,995,763 | — | — | |||||
$702,319,929 | $7,853,664 | $ — | ||||||
ON AB Relative Value | Common Stocks*** | $117,621,916 | $— | $— | ||||
Money Market Funds | 4,298,075 | — | — | |||||
$121,919,991 | $ — | $ — | ||||||
ON iShares Managed Risk Balanced | Exchange Traded Funds | $255,939,707 | $— | $— | ||||
Money Market Funds | 42,935,384 | — | — | |||||
$298,875,091 | $ — | $ — | ||||||
Long Futures Contracts | $(2,299,766) | $— | $— | |||||
Short Futures Contracts | $601,166 | $— | $— | |||||
ON Moderately Conservative Model | Open-End Mutual Funds | $212,234,564 | $— | $— | ||||
ON Balanced Model | Open-End Mutual Funds | $763,028,836 | $— | $— | ||||
ON Moderate Growth Model | Open-End Mutual Funds | $1,378,492,230 | $— | $— |
101
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||
ON Growth Model | Open-End Mutual Funds | $309,083,581 | $— | $— |
*** | Each of the Portfolio's Schedules of Investments include detailed industry descriptions. |
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. Payments received for interest-only mortgage-backed securities are included in interest income. Because no principal is received at the maturity of an interest-only security, adjustments
are made to the cost of the security until maturity. These adjustments are also included in interest income on the Statements of Operations.
102
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
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.
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 October 2020, the Securities and Exchange Commission (the “SEC”) adopted Rule 18f-4, which governs the use of derivatives by registered investment companies. Rule 18f-4 imposes limits on the
amount of derivatives a fund can enter into, eliminates the asset segregation framework currently used by funds to comply with Section 18 of the 40 Act, and requires funds whose use of derivatives is greater than a
limited specified amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. Rule 18f-4 had a compliance date of August 19, 2022.
Management has implemented changes in connection with the rule and has determined that there is no material impact to the Portfolio’s financial statements.
103
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
In December 2020, the SEC adopted Rules 2a-5 and 31a-4 (the "Rules") that clarify how investment companies may satisfy their valuation obligations under the 40 Act. The Rules permit an investment
company’s board to designate the determination of fair value to a fund's investment adviser, subject to the board's oversight and certain other conditions. 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 and recordkeeping. The Rules had a compliance date of September 8, 2022.
Management has implemented changes in connection with the Rules and has determined that there is no material impact to the Portfolio’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. On March 5, 2021, the ICE Benchmark Administration, the administrator of LIBOR, stated that it will cease the publication of the overnight and
one-, three-, six- and twelve-month USD LIBOR settings immediately following the LIBOR publication on Friday, June 30, 2023. The ICE Benchmark Administration ceased the publication of all other LIBOR settings,
including the one-week and two-month USD LIBOR settings on December 31, 2021. There remains uncertainty regarding the impact of the transition from LIBOR on the Fund’s transactions and the financial markets
generally. As such, the potential effect of a transition away from LIBOR on the Fund or the Fund’s investments cannot yet be determined.
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
ONLIC, NSLA, and certain variable separate account entities affiliated with ONLIC and NSLA were parties to a correspondence letter filed with the SEC on July 22, 2022, which described the intent of those entities to
execute a substitution of investment options pursuant to Commission Statement on Insurance Product Fund Substitution Applications, Release No. IC-34199. As outlined in the correspondence letter, those entities
communicated their intent to substitute shares of four unaffiliated funds (the “Unaffiliated Funds”) currently available under certain variable contracts for shares of four affiliated fund options (the
“Replacement Ohio National Fund Portfolios”). The substitution transactions are:
Unaffiliated Funds | Replacement Ohio National Fund Portfolios | |
Fidelity® VIP Contrafund® Portfolio (Service Class 2) | ON BlackRock Advantage Large Cap Growth Portfolio | |
TOPS® Managed Risk Balanced ETF Portfolio (Class 2 and Class 3 Shares) | ON iShares Managed Risk Balanced Portfolio | |
TOPS® Managed Risk Moderate Growth ETF Portfolio (Class 2 and Class 3 Shares) | ON iShares Managed Risk Moderate Growth Portfolio | |
TOPS® Managed Risk Growth ETF Portfolio (Class 2 and Class 3 Shares) | ON iShares Managed Risk Growth Portfolio |
At a meeting held on July 18, 2022, the Board, including a majority of the Directors who are not “interested persons” of the Fund (the “Independent Directors”), approved amendments to the
Investment Advisory Agreement with the Fund’s adviser, Ohio National Investments, Inc. (“ONI”) and sub-advisory agreements between ONI and BlackRock Investment Management, LLC.
(“BlackRock”). Pursuant to those amended agreements, the advisory fee and sub-advisory fee schedules for the ON iShares Managed Risk Balanced, ON iShares Managed Risk Moderate Growth, and ON iShares
Managed Risk Growth Portfolios (the “iShares Portfolios”) were revised, effective October 14, 2022. The revised advisory fee breakpoint schedules for each of the iShares Portfolios, based on each
Portfolio’s daily net assets, along with the previously approved advisory fee breakpoint schedules for those Portfolios, are as follows:
Revised Advisory Fees | Previous Advisory Fees | |
0.55% on the first $1.5 billion | 0.58% on the first $1.5 billion | |
0.53% over $1.5 billion | 0.55% over $1.5 billion |
The
revised sub-advisory fee breakpoint schedule, based on the combined net assets of the ON iShares Portfolios, along with the previously approved combined sub-advisory fee breakpoint schedule for those Portfolios, are
as follows:
104
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
Revised Sub-advisory Fees | Previous Sub-advisory Fees | |
0.19% on the first $1.5 billion | 0.20% on the first $1.5 billion | |
0.18% over $1.5 billion | 0.20% on the first $1.5 billion |
In conjunction with the substitution transactions, ONI entered into expense limitation agreements with the Replacement Ohio National Fund Portfolios whereby, for a period of two years following the Substitution
Date, the annual net operating expenses for each applicable Replacement Ohio National Fund Portfolio will not exceed the annual net operating expenses of the related Unaffiliated Fund for the fiscal year ended
December 31, 2021. The net operating expense limitation for each Replacement Ohio National Fund Portfolio, stated as a percent of average net assets, are as follows:
Portfolio | Expense Limitation | |
ON BlackRock Advantage Large Cap Growth | 0.85% | |
ON iShares Managed Risk Balanced | 0.75% | |
ON iShares Managed Risk Moderate Growth | 0.74% | |
ON iShares Managed Risk Growth | 0.74% |
The substitution transactions will occur as cash redemptions of each Unaffiliated Fund’s shares and cash subscriptions to each corresponding Replacement Ohio National Fund Portfolio’s shares. Those
transactions are intended to take effect on or about October 14, 2022. Upon execution of those substitution transactions, the ON iShares Managed Risk Moderate Growth and ON iShares Managed Risk Growth Portfolios
will commence operations and the fees and expenses related to certain of the Replacement Ohio National Fund Portfolios may be amended or limited.
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 Portfolios may trade in financial instruments with off-balance sheet risk for hedging purposes or, otherwise, in accordance with stated investment 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.
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 nine-month period ended September 30, 2022. 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 futures contracts relating to stock indices, foreign currencies, or interest rates. 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.
105
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
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. Foreign currency futures contracts are contracts traded on commodity exchanges whereby the buyer will, on a specified future date, pay or receive a final cash payment equal to the
difference between the value of a stated foreign currency in relation to the U.S dollar, or other currency, on the last day of the contract and the relative value of those currencies on the date of executing the
contract. Foreign currency futures may be valued by exchange rates that are based on the relative value of a variety of foreign currencies. 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.
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, 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 September 30, 2022 as collateral for the Portfolios’ futures
contracts. The futures contracts, except those held by the ON Risk Managed Balanced, ON Federated Core Plus Bond, and ON iShares Managed Risk Balanced 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 and ON iShares Managed Risk
Balanced Portfolios, futures contracts were used to provide for the Portfolios' respective stated risk management strategies. 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 nine-month period ended September 30, 2022. Those contracts were executed for similar purposes as the contracts outstanding at September 30, 2022.
106
(continued)
Ohio National Fund, Inc.
Notes to Schedules of Investments (Continued) | September 30, 2022 (Unaudited) |
(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
September 30, 2022 for federal income tax purposes.
ON Bond | ON BlackRock Balanced Allocation | ON BlackRock Advantage International Equity | ON Janus Henderson Forty | ON AB Small Cap | ON AB Mid Cap Core | ||||||
Gross unrealized: | |||||||||||
Appreciation | $30,782 | $14,606,127 | $9,885,083 | $7,199,393 | $3,169,577 | $2,717,412 | |||||
Depreciation | (35,243,439) | (74,219,015) | (81,257,260) | (7,837,958) | (31,106,472) | (19,884,652) | |||||
Net unrealized appreciation (depreciation) | $(35,212,657) | $(59,612,888) | $(71,372,177) | $(638,565) | $(27,936,895) | $(17,167,240) | |||||
Aggregate cost of investments: | $229,188,393 | $458,053,909 | $417,669,212 | $56,175,023 | $135,985,094 | $90,248,817 |
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 | $285,431,503 | $4,234,335 | $344,085 | $63,492,993 | $15,074,251 | $8,789,106 | |||||
Depreciation | (68,063,559) | (41,751,156) | (24,739,046) | (21,495,072) | (52,763,752) | (45,566,811) | |||||
Net unrealized appreciation (depreciation) | $217,367,944 | $(37,516,821) | $(24,394,961) | $41,997,921 | $(37,689,501) | $(36,777,705) | |||||
Aggregate cost of investments: | $733,148,154 | $266,343,808 | $147,715,748 | $163,512,490 | $336,577,609 | $169,603,525 |
ON S&P MidCap 400® Index | ON BlackRock Advantage Large Cap Growth | ON Risk Managed Balanced | ON Federated Core Plus Bond | ON U.S. Low Volatility | ON AB Relative Value | ||||||
Gross unrealized: | |||||||||||
Appreciation | $47,840,620 | $1,201,952 | $56,815,488 | $1,980,639 | $13,569,739 | $967,021 | |||||
Depreciation | (50,953,156) | (7,959,663) | (141,282,716) | (80,914,181) | (64,886,922) | (17,668,346) | |||||
Net unrealized appreciation (depreciation) | $(3,112,536) | $(6,757,711) | $(84,467,228) | $(78,933,542) | $(51,317,183) | $(16,701,325) | |||||
Aggregate cost of investments: | $308,210,392 | $50,927,277 | $1,246,968,157 | $621,313,816 | $761,490,776 | $138,621,316 |
ON iShares Managed Risk Balanced | ON Moderately Conservative Model | ON Balanced Model | ON Moderate Growth Model | ON Growth Model | |||||
Gross unrealized: | |||||||||
Appreciation | $621,962 | $ — | $ — | $ — | $ — | ||||
Depreciation | (55,193,611) | (42,550,540) | (170,037,373) | (373,359,803) | (101,041,703) | ||||
Net unrealized appreciation (depreciation) | $(54,571,649) | $(42,550,540) | $(170,037,373) | $(373,359,803) | $(101,041,703) | ||||
Aggregate cost of investments: | $351,748,140 | $254,785,104 | $933,066,209 | $1,751,852,033 | $410,125,284 |
107