<PAGE> 1
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of
JNL Series Trust
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the JNL Aggressive Growth Series,
JNL Capital Growth Series, JNL Global Equities Series, JNL/Alger Growth Series,
JNL/Phoenix Investment Counsel Balanced Series, JNL/Phoenix Investment Counsel
Growth Series, PPM America/JNL High Yield Bond Series, PPM America/JNL Money
Market Series, PPM America/JNL Value Equity Series, Salomon Brothers/JNL Global
Bond Series, Salomon Brothers/JNL U.S. Government & Quality Bond Series, T. Rowe
Price/JNL Established Growth Series, T. Rowe Price/JNL International Equity
Investment Series and T. Rowe Price/JNL Mid-Cap Growth Series (constituting JNL
Series Trust, hereafter referred to as the "Trust") at March 31, 1996, and each
of their results of operations, changes in net assets and financial highlights
for the period then ended, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Trust's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at March 31, 1996 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provide a reasonable basis
for the opinion expressed above.
PRICE WATERHOUSE LLP SIGNATURE
Milwaukee, Wisconsin
May 10, 1996
<PAGE> 2
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 1996
<TABLE>
<CAPTION>
JNL/PHOENIX
JNL INVESTMENT
AGGRESSIVE JNL CAPITAL JNL GLOBAL JNL/ALGER COUNSEL
GROWTH GROWTH EQUITIES GROWTH BALANCED
SERIES SERIES SERIES SERIES SERIES
---------- ----------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at cost.................. $7,932,131 $ 8,054,563 $15,789,329 $7,505,319 $4,611,438
========== =========== =========== ========== ==========
Investments in securities, at value................. $8,768,413 $ 9,808,857 $18,190,629 $7,888,932 $4,748,669
Cash................................................ 30,384 16,426 6,040 1,301,938 3,899
Foreign currency.................................... -- -- -- -- --
Receivables:
Dividends and interest............................ 2,114 489 13,105 2,812 18,042
Foreign currency contracts........................ 698,832 321,617 6,441,223 -- --
Foreign taxes recoverable......................... 192 55 2,542 -- 5
Investment securities sold........................ 118,941 30,679 109,552 -- --
Reimbursements from Adviser....................... 25,924 8,162 46,724 606 10,896
Prepaid expenses.................................... 124 192 441 7,929 335
---------- ----------- ----------- ---------- ----------
TOTAL ASSETS........................................ 9,644,924 10,186,477 24,810,256 9,202,217 4,781,846
---------- ----------- ----------- ---------- ----------
LIABILITIES
Payables:
Advisory fee...................................... 6,386 6,982 12,662 6,183 3,204
Foreign currency contracts........................ 698,666 321,825 6,430,820 -- --
Investment securities purchased................... 385,136 261,864 2,182,989 534,117 --
Accrued expenses and other liabilities.............. 27,681 18,273 43,236 12,680 18,013
---------- ----------- ----------- ---------- ----------
TOTAL LIABILITIES................................... 1,117,869 608,944 8,669,707 552,980 21,217
---------- ----------- ----------- ---------- ----------
NET ASSETS.......................................... $8,527,055 $ 9,577,533 $16,140,549 $8,649,237 $4,760,629
========== =========== =========== ========== ==========
NET ASSETS CONSIST OF:
Paid-in capital................................... $6,891,953 $ 7,457,586 $12,262,152 $8,442,317 $4,539,110
Undistributed net investment income............... 7,691 -- 2,538 -- 24,386
Accumulated net realized gain (loss) on
investments and foreign currency related
items........................................... 791,100 365,918 1,461,601 (176,693) 59,902
Net unrealized appreciation (depreciation) on:
Investments....................................... 836,282 1,754,294 2,401,300 383,613 137,231
Foreign currency related items.................... 29 (265) 12,958 -- --
---------- ----------- ----------- ---------- ----------
NET ASSETS.......................................... $8,527,055 $ 9,577,533 $16,140,549 $8,649,237 $4,760,629
========== =========== =========== ========== ==========
TOTAL SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED
SHARES AUTHORIZED................................. 649,425 691,024 1,173,884 832,889 426,016
======= ======= ========= ======= =======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE............................................. $13.13 $13.86 $13.75 $10.38 $11.17
======= ======= ========= ======= =======
</TABLE>
See notes to the financial statements.
<PAGE> 3
<TABLE>
<CAPTION>
JNL/PHOENIX PPM PPM SALOMON T. ROWE
INVESTMENT PPM AMERICA/JNL AMERICA/JNL SALOMON BROTHERS/JNL PRICE/JNL
COUNSEL AMERICA/JNL MONEY VALUE BROTHERS/JNL U.S. GOVERNMENT ESTABLISHED
GROWTH HIGH YIELD MARKET EQUITY GLOBAL BOND & QUALITY BOND GROWTH
SERIES BOND SERIES SERIES SERIES SERIES SERIES SERIES
----------- ------------ ----------- ----------- ------------ --------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$2,554,883 $5,817,916 $6,820,652 $2,845,198 $6,777,132 $ 2,982,216 $ 8,367,077
========== ========== ========== ========== ========== ========== ==========
$2,692,580 $5,848,721 $6,820,652 $3,340,333 $6,802,457 $ 2,949,192 $ 8,977,685
611 83,983 10,349 66,904 8,563 624,136 35,064
-- -- -- -- -- -- --
1,403 137,968 -- 4,518 146,237 18,615 8,833
-- -- -- -- 2,057,342 -- --
9 -- -- -- 206 -- 996
-- 304,250 -- -- 17,672 10,488 --
7,255 277 93 1,167 9,271 2,052 12,007
376 278 97 194 478 16 --
---------- ---------- ---------- ---------- ---------- ---------- ----------
2,702,234 6,375,477 6,831,191 3,413,116 9,042,226 3,604,499 9,034,585
---------- ---------- ---------- ---------- ---------- ---------- ----------
1,594 3,771 3,118 2,008 4,348 1,599 5,794
-- -- -- -- 2,051,523 -- --
167,835 203,507 -- 34,414 587,536 584,031 238,522
14,735 12,670 12,434 11,389 18,756 12,080 18,227
---------- ---------- ---------- ---------- ---------- ---------- ----------
184,164 219,948 15,552 47,811 2,662,163 597,710 262,543
---------- ---------- ---------- ---------- ---------- ---------- ----------
$2,518,070 $6,155,529 $6,815,639 $3,365,305 $6,380,063 $ 3,006,789 $ 8,772,042
========== ========== ========== ========== ========== ========== ==========
$2,241,131 $6,037,121 $6,815,639 $2,796,032 $6,139,050 $ 2,998,112 $ 8,072,351
2,938 112,478 -- 14,765 154,263 31,823 6,828
136,304 (24,875) -- 59,373 55,665 9,878 82,243
137,697 30,805 -- 495,135 25,325 (33,024) 610,608
-- -- -- -- 5,760 -- 12
---------- ---------- ---------- ---------- ---------- ---------- ----------
$2,518,070 $6,155,529 $6,815,639 $3,365,305 $6,380,063 $ 3,006,789 $ 8,772,042
========== ========== ========== ========== ========== ========== ==========
201,403 601,533 6,815,639 263,623 609,938 297,893 772,203
======= ======= ========= ======= ======= ======= =======
$12.50 $10.23 $1.00 $12.77 $10.46 $10.09 $11.36
======= ======= ========= ======= ======= ======= =======
<CAPTION>
T. ROWE
PRICE/JNL T. ROWE
INTERNATIONAL PRICE/JNL
EQUITY MID-CAP
INVESTMENT GROWTH
SERIES SERIES
------------- -----------
<S> <<C> <C>
$ 20,232,891 $ 9,701,954
=========== ===========
$ 22,686,886 $11,104,129
1,332,781 638
201,507 --
42,015 3,155
-- --
8,656 33
18,926 34,050
40,414 11,910
22 74
----------- -----------
24,331,207 11,153,989
----------- -----------
21,657 7,543
-- --
56,988 582,308
41,591 18,990
----------- -----------
120,236 608,841
----------- -----------
$ 24,210,971 $10,545,148
=========== ===========
$ 21,681,949 $ 8,719,564
80,214 44,137
(5,538) 379,272
2,453,995 1,402,175
351 --
----------- -----------
$ 24,210,971 $10,545,148
=========== ===========
2,152,870 785,397
========= =======
$11.25 $13.43
========= =======
</TABLE>
<PAGE> 4
JNL SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE PERIOD MAY 15, 1995* THROUGH MARCH 31, 1996
<TABLE>
<CAPTION>
JNL/PHOENIX
JNL INVESTMENT
AGGRESSIVE JNL CAPITAL JNL GLOBAL JNL/ALGER COUNSEL
GROWTH GROWTH EQUITIES GROWTH BALANCED
SERIES SERIES SERIES SERIES* SERIES
---------- ----------- ---------- --------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends............................................ $ 35,643 $ 12,510 $ 100,311 $ 8,888 $ 16,750
Interest............................................. 39,546 21,824 70,439 13,237 70,143
Foreign tax withholding.............................. (1,447) (580) (3,125) -- (32)
---------- ---------- --------- --------- --------
TOTAL INVESTMENT INCOME.............................. 73,742 33,754 167,625 22,125 86,861
---------- ---------- --------- -------- ----------
EXPENSES
Investment advisory fees........................... 51,530 52,979 108,335 25,093 19,520
Custodian fees..................................... 71,213 35,709 100,321 2,495 33,985
Transfer agent fees................................ 2,319 2,319 2,319 1,164 2,319
Portfolio accounting fees.......................... 4,607 4,614 4,833 2,407 4,473
Registration fees.................................. 1,795 1,869 3,575 1,724 723
Professional fees.................................. 14,622 14,622 20,622 14,418 15,622
Trustee fees....................................... 3,379 3,379 3,379 1,071 3,379
Other.............................................. 675 675 675 428 675
---------- ---------- ----------- -------- ----------
TOTAL EXPENSES....................................... 150,140 116,166 244,059 48,800 80,696
Less:
Reimbursement from Advisor......................... (90,488) (54,805) (118,109) (19,846) (57,933)
Fees paid indirectly............................... (560) (487) (56) (2,495) (896)
---------- ---------- --------- -------- ----------
NET EXPENSES......................................... 59,092 60,874 125,894 26,459 21,867
---------- ---------- --------- -------- ----------
NET INVESTMENT INCOME (LOSS)......................... 14,650 (27,120) 41,731 (4,334) 64,994
---------- ---------- --------- -------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments........................................ 1,017,633 822,061 1,904,209 (176,693 ) 121,825
Foreign currency related items..................... (27,706) (6,783) (114,384) -- --
Net change in unrealized appreciation (depreciation)
on:
Investments........................................ 836,282 1,754,294 2,401,300 383,613 137,231
Foreign currency related items..................... 29 (265) 12,958 -- --
---------- ---------- ----------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS).............. 1,826,238 2,569,307 4,204,083 206,920 259,056
---------- ---------- ----------- ---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS......................................... $1,840,888 $2,542,187 $4,245,814 $202,586 $ 324,050
========== ========== =========== ========== ==========
</TABLE>
- -------------------------
* Commencement of operations (October 16, 1995 commencement of operations for
JNL/Alger Growth Series).
See notes to the financial statements.
<PAGE> 5
<TABLE>
<CAPTION>
JNL/PHOENIX PPM PPM SALOMON T. ROWE
INVESTMENT PPM AMERICA/JNL AMERICA/JNL SALOMON BROTHERS/JNL PRICE/JNL
COUNSEL AMERICA/JNL MONEY VALUE BROTHERS/JNL U.S. GOVERNMENT ESTABLISHED
GROWTH HIGH YIELD MARKET EQUITY GLOBAL BOND & QUALITY BOND GROWTH
SERIES BOND SERIES SERIES SERIES SERIES SERIES SERIES
----------- ------------ ----------- ----------- ------------ --------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 8,664 $ -- $ -- $ 64,913 $ -- $ -- $ 69,175
5,404 424,978 268,660 2,100 464,842 117,781 24,481
(34) -- -- -- (628) -- (1,117)
---------- ---------- ---------- ---------- ---------- ---------- ----------
14,034 424,978 268,660 67,013 464,214 117,781 92,539
---------- ---------- ---------- ---------- ---------- ---------- ----------
10,224 34,642 27,779 15,721 39,508 13,204 45,145
25,172 4,336 5,972 5,948 26,513 8,245 37,547
2,319 2,319 2,319 2,319 2,319 2,319 2,319
4,434 4,577 4,580 4,475 4,580 4,462 4,606
385 1,818 1,781 712 1,827 716 1,963
14,622 17,622 13,622 14,622 20,622 14,622 15,622
3,379 3,379 3,379 3,379 3,379 3,379 3,379
675 675 675 675 675 675 675
---------- ---------- ---------- ---------- ---------- ---------- ----------
61,210 69,368 60,107 47,851 99,423 47,622 111,256
(49,285) (27,811) (25,244) (29,142) (52,891) (31,596) (58,158)
(1,064) (1,184) (340) (605) (105) (217) (226)
---------- ---------- ---------- ---------- ---------- ---------- ----------
10,861 40,373 34,523 18,104 46,427 15,809 52,872
---------- ---------- ---------- ---------- ---------- ---------- ----------
3,173 384,605 234,137 48,909 417,787 101,972 39,667
---------- ---------- ---------- ---------- ---------- ---------- ----------
254,010 (24,875) -- 90,665 76,520 16,922 755,376
-- -- -- -- 14,461 -- (688)
137,697 30,805 -- 495,135 25,325 (33,024) 610,608
-- -- -- -- 5,760 -- 12
---------- ---------- ---------- ---------- ---------- ---------- ----------
391,707 5,930 -- 585,800 122,066 (16,102) 1,365,308
---------- ---------- ---------- ---------- ---------- ---------- ----------
$ 394,880 $390,535 $ 234,137 $ 634,709 $539,853 $ 85,870 $ 1,404,975
========== ========== ========== ========== ========== ========== ==========
<CAPTION>
T. ROWE
PRICE/JNL T. ROWE
INTERNATIONAL PRICE/JNL
EQUITY MID-CAP
INVESTMENT GROWTH
SERIES SERIES
------------- ----------
<S> <C> <C>
$ 299,676 $ 79,241
102,461 27,965
(25,293) (102)
----------- -----------
376,844 107,104
----------- -----------
204,284 53,040
153,900 36,013
2,319 2,319
5,148 4,611
6,897 1,816
20,622 15,622
3,379 3,379
675 675
----------- -----------
397,224 117,475
(165,143) (56,015)
-- (196)
----------- -----------
232,081 61,264
----------- -----------
144,763 45,840
----------- -----------
28,284 646,003
(98,371) (638)
2,453,995 1,402,175
351 --
----------- -----------
2,384,259 2,047,540
----------- -----------
$ 2,529,022 $2,093,380
=========== ===========
</TABLE>
<PAGE> 6
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD MAY 15, 1995* THROUGH MARCH 31, 1996
<TABLE>
<CAPTION>
JNL/PHOENIX
JNL INVESTMENT
AGGRESSIVE JNL CAPITAL JNL GLOBAL JNL/ALGER COUNSEL
GROWTH GROWTH EQUITIES GROWTH BALANCED
SERIES SERIES SERIES SERIES* SERIES
---------- ----------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)........................ $ 14,650 $ (27,120) $ 41,731 $ (4,334) $ 64,994
Net realized gain (loss) on:
Investments....................................... 1,017,633 822,061 1,904,209 (176,693) 121,825
Foreign currency related items.................... (27,706) (6,783) (114,384) -- --
Net change in unrealized appreciation (depreciation)
on:
Investments....................................... 836,282 1,754,294 2,401,300 383,613 137,231
Foreign currency related items.................... 29 (265) 12,958 -- --
---------- ---------- ----------- ---------- ----------
Net increase in net assets from operations.......... 1,840,888 2,542,187 4,245,814 202,586 324,050
---------- ---------- ----------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................... -- -- (2,088) -- (40,871)
Net realized gain on investment transactions........ (205,786) (422,240) (365,329) -- (61,660)
---------- ---------- ----------- ---------- ----------
Total distributions to shareholders................. (205,786) (422,240) (367,417) -- (102,531)
---------- ---------- ----------- ---------- ----------
SHARE TRANSACTIONS:
Proceeds from the sale of shares.................... 6,815,571 7,274,705 11,922,082 8,603,764 4,496,694
Reinvested income dividends......................... -- -- 2,088 -- 40,871
Reinvested capital gain distributions............... 205,786 422,240 365,329 -- 61,660
Cost of shares redeemed............................. (129,404) (239,359) (27,347) (157,113) (60,115)
---------- ---------- ----------- ---------- ----------
Net increase in net assets from share
transactions...................................... 6,891,953 7,457,586 12,262,152 8,446,651 4,539,110
---------- ---------- ----------- ---------- ----------
Net increase in net assets.......................... 8,527,055 9,577,533 16,140,549 8,649,237 4,760,629
Net assets beginning of period...................... -- -- -- -- --
---------- ---------- ----------- ---------- ----------
NET ASSETS END OF PERIOD............................ $8,527,055 $9,577,533 $16,140,549 $8,649,237 $4,760,629
========== ========== =========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME................. $ 7,691 $ -- $ 2,538 $ -- $ 24,386
========== ========== =========== ========== ==========
</TABLE>
- -------------------------
* Commencement of operations (October 16, 1995 commencement of operations for
JNL/Alger Growth Series).
See notes to the financial statements.
<PAGE> 7
<TABLE>
<CAPTION>
JNL/PHOENIX PPM PPM SALOMON T. ROWE
INVESTMENT PPM AMERICA/JNL AMERICA/JNL SALOMON BROTHERS/JNL PRICE/JNL
COUNSEL AMERICA/JNL MONEY VALUE BROTHERS/JNL U.S. GOVERNMENT ESTABLISHED
GROWTH HIGH YIELD MARKET EQUITY GLOBAL BOND & QUALITY BOND GROWTH
SERIES BOND SERIES SERIES SERIES SERIES SERIES SERIES
----------- ------------ ----------- ----------- ------------ --------------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ 3,173 $ 384,605 $ 234,137 $ 48,909 $ 417,787 $ 101,972 $ 39,667
254,010 (24,875) -- 90,665 76,520 16,922 755,376
-- -- -- -- 14,461 -- (688)
137,697 30,805 -- 495,135 25,325 (33,024) 610,608
-- -- -- -- 5,760 -- 12
---------- ---------- ---------- ---------- ---------- ---------- ----------
394,880 390,535 234,137 634,709 539,853 85,870 1,404,975
---------- ---------- ---------- ---------- ---------- ---------- ----------
(235) (272,127) (234,137) (34,144) (284,881) (69,090) (32,938)
(117,706) -- -- (31,292) (13,959) (8,103) (672,346)
---------- ---------- ---------- ---------- ---------- ---------- ----------
(117,941) (272,127) (234,137) (65,436) (298,840) (77,193) (705,284)
---------- ---------- ---------- ---------- ---------- ---------- ----------
2,128,041 5,775,829 7,080,475 2,744,940 5,906,032 2,948,026 7,552,012
235 272,127 234,137 34,144 284,881 69,090 32,938
117,706 -- -- 31,292 13,959 8,103 672,346
(4,851) (10,835) (498,973) (14,344) (65,822) (27,107) (184,945)
---------- ---------- ---------- ---------- ---------- ---------- ----------
2,241,131 6,037,121 6,815,639 2,796,032 6,139,050 2,998,112 8,072,351
---------- ---------- ---------- ---------- ---------- ---------- ----------
2,518,070 6,155,529 6,815,639 3,365,305 6,380,063 3,006,789 8,772,042
-- -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
$2,518,070 $6,155,529 $6,815,639 $3,365,305 $6,380,063 $ 3,006,789 $ 8,772,042
========== ========== ========== ========== ========== ========== ==========
$ 2,938 $ 112,478 $ -- $ 14,765 $ 154,263 $ 31,823 $ 6,828
========== ========== ========== ========== ========== ========== ==========
<CAPTION>
T. ROWE
PRICE/JNL T. ROWE
INTERNATIONAL PRICE/JNL
EQUITY MID-CAP
INVESTMENT GROWTH
SERIES SERIES
------------- -----------
<S> <C>
$ 144,763 $ 45,840
28,284 646,003
(98,371) (638)
2,453,995 1,402,175
351 --
----------- -----------
2,529,022 2,093,380
----------- -----------
-- (1,703)
-- (266,093)
----------- -----------
-- (267,796)
----------- -----------
21,710,034 8,712,257
-- 1,703
-- 266,093
(28,085) (260,489)
----------- -----------
21,681,949 8,719,564
----------- -----------
24,210,971 10,545,148
-- --
----------- -----------
$ 24,210,971 $10,545,148
=========== ===========
$ 80,214 $ 44,137
=========== ===========
</TABLE>
<PAGE> 8
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR THE PERIOD MAY 15, 1995* THROUGH MARCH 31, 1996
<TABLE>
<CAPTION>
JNL/PHOENIX
JNL INVESTMENT
AGGRESSIVE JNL CAPITAL JNL GLOBAL JNL/ALGER COUNSEL
GROWTH GROWTH EQUITIES GROWTH BALANCED
SERIES SERIES SERIES SERIES* SERIES
---------- ----------- ---------- --------- -----------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD.................. $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................................. 0.01 -- 0.10 -- 0.25
Net realized and unrealized gains on investments and
foreign currency related items...................... 3.53 4.70 4.02 0.38 1.40
------- ------- ------- ------ -------
Total income from investment operations............... 3.54 4.70 4.12 0.38 1.65
------- ------- ------- ------ -------
LESS DISTRIBUTIONS:
From net investment income............................ -- -- -- -- (0.19)
From net realized gains on investment transactions.... (0.41) (0.84) (0.37) -- (0.29)
------- ------- ------- ------ -------
Total distributions................................... (0.41) (0.84) (0.37) -- (0.48)
------- ------- ------- ------ -------
Net increase.......................................... 3.13 3.86 3.75 0.38 1.17
------- ------- ------- ------ -------
NET ASSET VALUE, END OF PERIOD........................ $ 13.13 $ 13.86 $ 13.75 $ 10.38 $ 11.17
======= ======= ======= ====== =======
TOTAL RETURN(A)....................................... 35.78% 47.94% 41.51% 3.80% 16.60%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in thousands).............. $ 8,527 $ 9,578 $ 16,141 $ 8,649 $ 4,761
Ratio of net expenses to average net assets(b)(c)..... 1.09% 1.09% 1.15% 1.03% 1.01%
Ratio of net investment income (loss) to average net
assets(b)(c)........................................ 0.27% (0.49)% 0.39% (0.17)% 2.99%
Portfolio turnover rate............................... 163.84% 128.56% 142.36% 50.85% 115.84%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT OR
FEES PAID INDIRECTLY
Ratio of expenses to average net assets(b)............ 2.77% 2.08% 2.25% 1.89% 3.71%
Ratio of net investment income to average net
assets(b)........................................... (1.41)% (1.48)% (0.71)% (1.03)% 0.29%
</TABLE>
- -------------------------
* Commencement of operations (October 16, 1995 commencement of operations for
JNL/Alger Growth Series).
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized.
(b) Annualized.
(c) Computed after giving effect to the Adviser's expense reimbursement and fees
paid indirectly.
See notes to the financial statements.
<PAGE> 9
<TABLE>
<CAPTION>
JNL/PHOENIX PPM PPM SALOMON T. ROWE
INVESTMENT PPM AMERICA/JNL AMERICA/JNL SALOMON BROTHERS/JNL PRICE/JNL
COUNSEL AMERICA/JNL MONEY VALUE BROTHERS/JNL U.S. GOVERNMENT ESTABLISHED
GROWTH HIGH YIELD MARKET EQUITY GLOBAL BOND & QUALITY BOND GROWTH
SERIES BOND SERIES SERIES SERIES SERIES SERIES SERIES
----------- ------------ ----------- ----------- ------------ --------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 10.00 $ 10.00 $ 1.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
0.01 0.73 0.04 0.23 0.81 0.45 0.07
3.66 0.04 -- 2.86 0.24 0.02 2.68
------- ------- ------- ------- ------- ------- -------
3.67 0.77 0.04 3.09 1.05 0.47 2.75
------- ------- ------- ------- ------- ------- -------
-- (0.54) (0.04) (0.17) (0.56) (0.34) (0.06)
(1.17) -- -- (0.15) (0.03) (0.04) (1.33)
------- ------- ------- ------- ------- ------- -------
(1.17) (0.54) (0.04) (0.32) (0.59) (0.38) (1.39)
------- ------- ------- ------- ------- ------- -------
2.50 0.23 -- 2.77 0.46 0.09 1.36
------- ------- ------- ------- ------- ------- -------
$ 12.50 $ 10.23 $ 1.00 $ 12.77 $ 10.46 $ 10.09 $ 11.36
======= ======= ======= ======= ======= ======= =======
37.69% 7.82% 4.59% 31.14% 10.74% 4.65% 28.23%
$ 2,518 $ 6,156 $ 6,816 $ 3,365 $ 6,380 $ 3,007 $ 8,772
0.95% 0.88% 0.75% 0.87% 1.00% 0.84% 1.00%
0.28% 8.34% 5.06% 2.33% 9.01% 5.41% 0.75%
255.03% 186.21% -- 30.12% 152.89% 253.37% 101.13%
5.38% 1.50% 1.30% 2.28% 2.14% 2.53% 2.09%
(4.15)% 7.72% 4.51% 0.91% 7.87% 3.72% (0.34)%
<CAPTION>
T. ROWE
PRICE/JNL T. ROWE
INTERNATIONAL PRICE/JNL
EQUITY MID-CAP
INVESTMENT GROWTH
SERIES SERIES
------------- ---------
<S> <C> <C>
$ 10.00 $ 10.00
0.04 0.06
1.21 3.90
------- -------
1.25 3.96
------- -------
-- --
-- (0.53)
------- -------
-- (0.53)
------- -------
1.25 3.43
------- -------
$ 11.25 $ 13.43
======= =======
12.50% 40.06%
$24,211 $10,545
1.25% 1.10%
0.78% 0.82%
16.45% 66.04%
2.14% 2.10%
(0.11)% (0.18)%
</TABLE>
<PAGE> 10
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS
MARCH 31, 1996
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
JNL Series Trust ("Trust") is an open-end management investment company
organized under the laws of Massachusetts, by a Declaration of Trust, dated June
1, 1994. The Trust is registered with the Securities and Exchange Commission
under the Investment Company Act of 1940. The Trust currently offers shares in
fourteen (14) separate Series, each with its own investment objective. The
shares of the Trust are sold primarily to life insurance company separate
accounts to fund the benefits of variable annuity policies.
The Trust is comprised of the following Series: JNL Aggressive Growth, JNL
Capital Growth and JNL Global Equities for which Janus Capital Corporation
serves as the sub-adviser; JNL/Alger Growth for which Fred Alger Management,
Inc. serves as the sub-adviser; JNL/Phoenix Investment Counsel Balanced and
JNL/Phoenix Investment Counsel Growth for which Phoenix Investment Counsel, Inc.
serves as the sub-adviser; PPM America/JNL High Yield Bond, PPM America/JNL
Money Market and PPM America/JNL Value Equity for which PPM America, Inc. serves
as the sub-adviser; Salomon Brothers/JNL Global Bond and Salomon Brothers/JNL
U.S. Government & Quality Bond for which Salomon Brothers Asset Management Inc
serves as the sub-adviser; T. Rowe Price/JNL Established Growth and T. Rowe
Price/JNL Mid-Cap Growth for which T. Rowe Price Associates, Inc. serves as the
sub-adviser; and T. Rowe Price/JNL International Equity Investment for which
Rowe Price-Fleming International, Inc. serves as the sub-adviser. Salomon
Brothers Asset Management Inc has entered into a sub-advisory consulting
agreement with its London based affiliate, Salomon Brothers Asset Management
Limited pursuant to which it will provide certain sub-advisory services to
Salomon Brothers Asset Management Inc. relating to currency transactions and
investments in non-dollar denominated debt securities for the benefit of the
Series. Jackson National Financial Services, Inc. ("JNFSI"), a wholly-owned
subsidiary of Jackson National Life Insurance Company ("Jackson National"),
serves as investment adviser ("Adviser") for all the Series of the Trust. PPM
America, Inc. is an affiliate of the Adviser. Shares are presently offered only
to Jackson National and its separate account.
On May 15, 1995, Jackson National purchased 100,000 shares of JNL/Phoenix
Investment Counsel Growth Series; 200,000 shares in each of the JNL/Phoenix
Investment Counsel Balanced, PPM America/JNL Value Equity, and Salomon
Brothers/JNL U.S. Government & Quality Bond Series; 500,000 shares in each of
the JNL Aggressive Growth, JNL Capital Growth, PPM America/JNL High Yield Bond,
Salomon Brothers/JNL Global Bond, T. Rowe Price/JNL Established Growth and T.
Rowe Price/JNL Mid-Cap Growth Series; 1,000,000 shares of the JNL Global
Equities Series; 2,000,000 shares of the T. Rowe Price/JNL International Equity
Investment Series; and 5,000,000 shares of the PPM America/JNL Money Market
Series. On October 16, 1995, Jackson National purchased 500,000 shares of
JNL/Alger Growth Series. As of March 31, 1996, Jackson National's investment in
the Trust totaled $94,020,623.
The costs associated with the organization of the Trust and certain other
initial period costs have been borne by Jackson National.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Trust in the preparation of its financial statements.
USE OF ESTIMATES -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those estimates.
SECURITY VALUATION -- Bonds are valued on the basis of prices furnished by
a service which determines prices for normal institutional size trading units of
bonds, without regard to exchange or over-the-counter prices. When quotations
are not readily available, bonds are valued at fair market value determined by
procedures approved by
<PAGE> 11
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
the Board of Trustees. Stocks listed on a national or foreign stock exchange are
valued at the final sale price, or final bid price in absence of a sale. Stocks
not listed on a national or foreign stock exchange are valued at the closing bid
price on the over-the-counter market. Short-term securities maturing within 60
days of purchase, and all securities in the PPM America/JNL Money Market Series,
are valued at amortized cost, which approximates market value. American
Depository Receipts ("ADRs"), which are certificates representing shares of
foreign securities deposited in domestic and foreign banks, are traded and
valued in U.S. dollars.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for no later than trade date plus one. Dividend income is recorded on
the ex-dividend date or, in the case of certain foreign securities, as soon as
reliable information is available to the Trust. Interest income, including
level-yield amortization of discounts and premiums, is accrued daily. Realized
gains and losses are determined on the specific identification basis, which is
the same basis used for federal income tax purposes.
FOREIGN CURRENCY TRANSLATIONS -- The accounting records of the Trust are
maintained in U.S. dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are translated into U.S. dollars
using exchange rates in effect at the time of valuation. Purchases and sales of
investment securities, income receipts, and expense payments are translated into
U.S. dollars at the exchange rates prevailing on the respective dates of such
transactions.
Realized gains and losses arising from selling foreign currencies and
certain non-dollar denominated fixed income securities, entering into foreign
currency contracts, and accruing income or settling portfolio purchases and
sales denominated in a foreign currency paid or received at a later date are
recorded as net realized foreign currency related gains (losses) and are
considered ordinary income for tax purposes. Realized and unrealized gains and
losses on investments which result from changes in foreign currency exchange
rates are primarily included in net realized gain (loss) on investments and net
unrealized appreciation (depreciation) on investments, respectively.
FOREIGN CURRENCY CONTRACTS -- Some of the Series may enter into foreign
currency contracts ("contracts"), generally to hedge foreign currency exposure
between trade date and settlement date on security purchases and sales ("spot
hedges") or to minimize foreign currency risk on portfolio securities
denominated in foreign currencies ("position hedges"). All contracts are valued
at the forward currency exchange rate and are marked-to-market daily. When the
contract is open, the change in market value is recorded as net unrealized
appreciation (depreciation) on foreign currency related items. When the contract
is closed, the difference between the value of the contract at the time it was
opened and the value at the time it was closed is recorded as net realized gain
(loss) on foreign currency related items.
The use of foreign currency contracts does not eliminate fluctuations in
the underlying prices of the Series' portfolio securities, but it does establish
a rate of exchange that can be achieved in the future. Although contracts limit
the risk of loss due to a decline in the value of the hedged currency, they also
limit any potential gain that might result should the value of the currency
increase. Additionally, the Series could be exposed to the risk of a previously
hedged position becoming unhedged if the counterparties to the contracts are
unable to meet the terms of the contracts. See Note 7 for a listing of open
position hedge forward foreign currency exchange contracts as of March 31, 1996.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- The Series may purchase
securities on a when-issued or delayed delivery basis. On the trade date, the
Series record purchases of when-issued securities and reflect the values of such
securities in determining net asset value in the same manner as other portfolio
securities. Income is not accrued until settlement date.
DOLLAR ROLL TRANSACTIONS -- The Salomon Brothers/JNL Global Bond Series and
the Salomon Brothers/JNL U.S. Government & Quality Bond Series entered into
dollar roll transactions with respect to mortgage securities in which the Series
sells mortgage securities and simultaneously agrees to repurchase similar (same
type, coupon and maturity) securities at a later date at an agreed upon price.
The Series is compensated by the interest earned on the cash proceeds of the
initial sale and from negotiated fees paid by brokers offered as an inducement
to the Series to "roll over" its purchase commitments.
REPURCHASE AGREEMENTS -- Certain Series in the Trust may invest in
repurchase agreements. A repurchase agreement involves the purchase of a
security by a Series and a simultaneous agreement (generally by a bank or
<PAGE> 12
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
broker-dealer) to repurchase that security back from the
Series at a specified price and date or upon demand. Securities pledged as
collateral for repurchase agreements are held by the Series custodian bank until
the maturity of the repurchase agreement. Procedures for all repurchase
agreements have been designed to assure that the daily market value of the
collateral is in excess of the repurchase agreement in the event of default.
DISTRIBUTIONS TO SHAREHOLDERS -- The PPM America/JNL Money Market Series
declares dividends daily and pays dividends monthly. For all other Series,
dividends from net investment income are declared and paid annually, but may be
done more frequently to avoid excise tax. Distributions of net realized capital
gains, if any, will be distributed at least annually. All income, dividends and
capital gain distributions, if any, on Series shares are reinvested
automatically in additional shares of the Series at the net asset value
determined on the first business day following the record date, unless
otherwise requested by the shareholder.
FEDERAL INCOME TAXES -- The Trust's policy is to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute income in amounts that will avoid federal income or
excise taxes for each Series. The Trust may periodically make reclassifications
among certain of its capital accounts as a result of the recognition and
characterization of certain income and capital gain distributions determined
annually in accordance with federal tax regulations which may differ from
generally accepted accounting principles. See Note 8 for a summary of such
reclassifications.
For federal income tax purposes, PPM America/JNL High Yield Bond Series had
a capital loss carryover totaling $24,875 expiring in 2004 which can be used to
offset future realized capital gains.
NOTE 3. INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES
JNFSI is the investment adviser of each Series and provides each Series
with professional investment supervision and management. JNFSI provides
accounting services, preparation of financial statements, tax services and
regulatory reports to the Trust. In addition to providing the services described
above, JNFSI selects, contracts with, and compensates sub-advisers to manage the
investment and reinvestment of the assets of the Trust.
As compensation for its services, JNFSI receives a fee from each Series.
The fees, which are accrued daily and payable monthly, are calculated on the
basis of the average daily net assets of each Series. Once the average net
assets of a Series exceed specified amounts, the fee is reduced with respect to
such excess. The following is a schedule of the fees each Series is currently
obligated to pay JNFSI.
<TABLE>
<CAPTION>
$150 $300
$0 TO $50 TO TO TO OVER
(M - MILLIONS) $50 M $150 M $300 M $500 M $500 M
- --------------------------------------------------------------- ----- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
JNL Aggressive Growth Series................................... .95% .95% .90% .85% .85%
JNL Capital Growth Series...................................... .95% .95% .90% .85% .85%
JNL Global Equities Series..................................... 1.00% 1.00% .95% .90% .90%
JNL/Alger Growth Series........................................ .975% .975% .975% .95% .90%
JNL/Phoenix Investment Counsel Balanced Series................. .90% .80% .75% .70% .65%
JNL/Phoenix Investment Counsel Growth Series................... .90% .85% .80% .75% .70%
PPM America/JNL High Yield Bond Series......................... .75% .70% .675% .65% .625%
PPM America/JNL Money Market Series............................ .60% .60% .575% .55% .525%
PPM America/JNL Value Equity Series............................ .75% .70% .675% .65% .625%
Salomon Brothers/JNL Global Bond Series........................ .85% .85% .80% .80% .75%
Salomon Brothers/JNL U.S. Government & Quality Bond Series..... .70% .70% .65% .60% .55%
T. Rowe Price/JNL Established Growth Series.................... .85% .85% .80% .80% .80%
T. Rowe Price/JNL International Equity Investment Series....... 1.10% 1.05% 1.00% .95% .90%
T. Rowe Price/JNL Mid-Cap Growth Series........................ .95% .95% .90% .90% .90%
</TABLE>
<PAGE> 13
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
As compensation for their services, the sub-advisers receive fees from
JNFSI computed separately for each Series. The fee for each Series is stated as
an annual percentage of the net assets of such Series.
The following is a schedule of the management fees JNFSI currently is
obligated to pay the sub-advisers out of the advisory fee it receives from each
Series as specified above.
<TABLE>
<CAPTION>
$150 $300
$0 TO $50 TO TO TO OVER
(M - MILLIONS) $50 M $150 M $300 M $500 M $500 M
- --------------------------------------------------------------- ----- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
JNL Aggressive Growth Series................................... .60% .55% .45% .40% .40%
JNL Capital Growth Series...................................... .60% .55% .45% .40% .40%
JNL Global Equities Series..................................... .60% .55% .45% .40% .40%
JNL/Alger Growth Series........................................ .55% .55% .55% .50% .45%
JNL/Phoenix Investment Counsel Balanced Series................. .50% .40% .30% .25% .20%
JNL/Phoenix Investment Counsel Growth Series................... .50% .40% .30% .25% .20%
PPM America/JNL High Yield Bond Series......................... .25% .20% .175% .15% .125%
PPM America/JNL Money Market Series............................ .20% .15% .125% .10% .075%
PPM America/JNL Value Equity Series............................ .25% .20% .175% .15% .125%
Salomon Brothers/JNL Global Bond Series........................ .375% .35% .30% .30% .25%
Salomon Brothers/JNL U.S. Government & Quality Bond Series..... .225% .225% .175% .15% .10%
</TABLE>
<TABLE>
<CAPTION>
$20
$0 TO TO $50 TO
$20 M $50 M $200 M $200 M+
----- ----- ------ -------
<S> <C> <C> <C> <C>
T. Rowe Price/JNL Established Growth Series............................ .45% .40% .40%* .40%
T. Rowe Price/JNL International Equity Investment Series............... .75% .60% .50% .50%*
T. Rowe Price/JNL Mid-Cap Growth Series................................ .60% .50% .50%* .50%
</TABLE>
* When average daily net assets exceed this amount, the sub-advisory fee
asterisked is applicable to all amounts in this Series.
Trustees not affiliated with Jackson National receive a fee of $2,500 for
each meeting of the Board of Trustees attended as well as reimbursement of their
out of pocket expenses. No remuneration has been paid by the Trust to any of the
officers or affiliated Trustees. The Trust paid fees of $45,000 to
non-affiliated Trustees for the period ended March 31, 1996. This included fees
paid for meetings that took place prior to the Series' commencement date.
Each Series is charged for those expenses that are directly attributable to
it, such as advisory, custodian, accounting services and certain shareholder
service fees, while other expenses that cannot be directly attributable to a
Series are allocated in equal proportion to each Series.
Currently, the Adviser reimburses each of the Series for annual expenses
(excluding the management fee) in excess of .15 % of average daily net assets.
These voluntary reimbursements may be modified or discontinued by the Adviser at
any time.
During the period ended March 31, 1996, the Series earned credits on
uninvested cash balances held by each Series at the custodian. These credits
were used to reduce custodian expenses. Of the credits for the JNL/Alger Growth
Series, $2,495 was used to reduce expenses and the remaining $11,632 in credits
are included in interest income.
<PAGE> 14
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
NOTE 4. SECURITY TRANSACTIONS
During the period ended March 31, 1996, cost of purchases and proceeds
from sales and maturities of securities, other than short-term investments,
were as follows (in thousands):
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM SALES
PURCHASES AND MATURITIES
--------- -------------------
<S> <C> <C>
JNL Aggressive Growth Series................................................. $12,956 $ 8,342
JNL Capital Growth Series.................................................... 14,003 7,271
JNL Global Equities Series................................................... 27,540 15,252
JNL/Alger Growth Series...................................................... 10,007 2,325
JNL/Phoenix Investment Counsel Balanced Series............................... 5,979 2,369
JNL/Phoenix Investment Counsel Growth Series................................. 4,535 2,858
PPM America/JNL High Yield Bond Series....................................... 13,618 8,482
PPM America/JNL Value Equity Series.......................................... 3,420 666
Salomon Brothers/JNL Global Bond Series...................................... 12,558 6,828
Salomon Brothers/JNL U.S. Government & Quality Bond Series................... 6,852 4,581
T. Rowe Price/JNL Established Growth Series.................................. 12,374 5,499
T. Rowe Price/JNL International Equity Investment Series..................... 23,200 2,987
T. Rowe Price/JNL Mid-Cap Growth Series...................................... 11,429 3,727
</TABLE>
Included in these transactions were purchases and sales of U.S. Government
obligations of $2,145,704 and $766,285 in the JNL/Phoenix Investment Counsel
Balanced Series; $4,368,765 and $2,956,367 in the Salomon Brothers/JNL Global
Bond Series; $6,177,097 and $4,146,047 in the Salomon Brothers/JNL U.S.
Government & Quality Bond Series, respectively.
The federal income tax cost basis and gross unrealized appreciation and
depreciation on investments as of March 31, 1996, were as follows (in
thousands):
<TABLE>
<CAPTION>
TAX GROSS GROSS NET UNREALIZED
COST UNREALIZED UNREALIZED APPRECIATION
BASIS APPRECIATION (DEPRECIATION) (DEPRECIATION)
------- ------------ -------------- --------------
<S> <C> <C> <C> <C>
JNL Aggressive Growth Series............................ $ 7,966 $ 895 $ (93) $ 802
JNL Capital Growth Series............................... 8,074 1,873 (138) 1,735
JNL Global Equities Series.............................. 15,805 2,667 (281) 2,386
JNL/Alger Growth Series................................. 7,507 633 (251) 382
JNL/Phoenix Investment Counsel Balanced Series.......... 4,611 209 (72) 137
JNL/Phoenix Investment Counsel Growth Series............ 2,557 191 (55) 136
PPM America/JNL High Yield Bond Series.................. 5,818 79 (48) 31
PPM America/JNL Value Equity Series..................... 2,845 511 (16) 495
Salomon Brothers/JNL Global Bond Series................. 6,779 121 (98) 23
Salomon Brothers/JNL U.S. Government & Quality Bond
Series................................................ 2,982 2 (35) (33)
T. Rowe Price/JNL Established Growth Series............. 8,367 778 (167) 611
T. Rowe Price/JNL International Equity Investment
Series................................................ 20,268 2,967 (548) 2,419
T. Rowe Price/JNL Mid-Cap Growth Series................. 9,704 1,572 (172) 1,400
</TABLE>
<PAGE> 15
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
NOTE 5. TRUST TRANSACTIONS
Transactions of trust shares for the period ending March 31, 1996 were as
follows:
<TABLE>
<CAPTION>
SHARES DISTRIBUTIONS SHARES NET
PURCHASED REINVESTED REDEEMED INCREASE
--------- ------------- --------- ---------
<S> <C> <C> <C> <C>
JNL Aggressive Growth Series.............................. 642,443 17,149 (10,167) 649,425
JNL Capital Growth Series................................. 675,761 33,752 (18,489) 691,024
JNL Global Equities Series................................ 1,146,694 29,253 (2,063) 1,173,884
JNL/Alger Growth Series................................... 848,221 -- (15,332) 832,889
JNL/Phoenix Investment Counsel Balanced Series............ 422,105 9,270 (5,359) 426,016
JNL/Phoenix Investment Counsel Growth Series.............. 191,590 10,203 (390) 201,403
PPM America/JNL High Yield Bond Series.................... 575,596 26,997 (1,060) 601,533
PPM America/JNL Money Market Series....................... 7,080,475 234,137 (498,973) 6,815,639
PPM America/JNL Value Equity Series....................... 259,328 5,480 (1,185) 263,623
Salomon Brothers/JNL Global Bond Series................... 586,655 29,530 (6,247) 609,938
Salomon Brothers/JNL U.S. Government & Quality
Bond Series............................................. 293,083 7,487 (2,677) 297,893
T. Rowe Price/JNL Established Growth Series............... 723,123 65,547 (16,467) 772,203
T. Rowe Price/JNL International Equity Investment
Series.................................................. 2,155,419 -- (2,549) 2,152,870
T. Rowe Price/JNL Mid-Cap Growth Series................... 783,616 21,614 (19,833) 785,397
</TABLE>
NOTE 6. FOREIGN SECURITIES
Investing in securities of foreign companies and foreign governments
involves special risks and considerations not typically associated with
investing in U.S. companies and the U.S. Government. These risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign companies and foreign
governments and their markets may be less liquid and their prices more volatile
than those of securities of comparable U.S. companies and the U.S. Government.
<PAGE> 16
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
NOTE 7. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
At March 31, 1996, the following Series had entered into position hedge
forward foreign currency exchange contracts that obligate the Series to deliver
and receive currencies at specified future dates. The unrealized appreciation
(depreciation) of $42, $(265), $12,452, and $5,819 in the JNL Aggressive Growth
Series, JNL Capital Growth Series, JNL Global Equities Series and Salomon
Brothers/JNL Global Bond Series, respectively, is included in net unrealized
appreciation on foreign currency related items in the accompanying financial
statements. The terms of the open contracts are as follows:
JNL AGGRESSIVE GROWTH SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 3/31/96 CURRENCY TO BE RECEIVED AT 3/31/96
- ---------- ----------------------------------- ------------ ------------------------- ------------
<C> <C> <S> <C> <C> <C>
6/28/96 52,000 Swiss Franc $ 44,081 $ 43,920 US $ 43,920
10/1/96 140,000 Swiss Franc 119,791 $119,812 US 119,812
7/15/96 16,000 Deutsche Mark 10,905 $ 11,253 US 11,253
6/28/96 175,000 Deutsche Mark 119,155 $118,886 US 118,886
6/28/96 145,000 Finnish Marka 31,419 $ 31,521 US 31,521
6/28/96 17,000 British Sterling Pound 25,917 $ 25,866 US 25,866
10/1/96 35,000 British Sterling Pound 53,275 $ 53,239 US 53,239
8/9/96 80,000,000 Italian Lire 50,159 $ 49,748 US 49,748
8/9/96 29,787 US Dollar 29,787 47,000,000 Italian Lire 29,468
10/1/96 5,000,000 Japanese Yen 47,975 $ 48,227 US 48,227
7/15/96 235,000 Swedish Kronor 35,147 $ 35,247 US 35,247
6/28/96 682,000 Swedish Kronor 102,006 $102,472 US 102,472
-------- --------
$669,617 $669,659
======== ========
</TABLE>
JNL CAPITAL GROWTH SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 3/31/96 CURRENCY TO BE RECEIVED AT 3/31/96
- ---------- ----------------------------------- ------------ ------------------------- ------------
<C> <C> <S> <C> <C> <C>
6/28/96 48,000 British Sterling Pound $ 73,178 $ 73,033 US $ 73,033
10/1/96 115,000 British Sterling Pound 175,046 $174,926 US 174,926
-------- --------
$248,224 $247,959
======== ========
</TABLE>
<PAGE> 17
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
JNL GLOBAL EQUITIES SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 3/31/96 CURRENCY TO BE RECEIVED AT 3/31/96
- ---------- ------------------------------------ ------------ ------------------------------------- ------------
<C> <C> <S> <C> <C> <C> <C>
5/9/96 122,000 Swiss Franc $ 102,888 $109,555 US $ 109,555
5/9/96 121,000 Deutsche Mark 82,143 $ 86,527 US 86,527
4/11/96 230,000 Deutsche Mark 155,885 $159,335 US 159,335
7/25/96 600,000 Deutsche Mark 409,199 $408,540 US 408,540
5/9/96 82,922 US Dollar 82,922 121,000 Deutsche Mark 82,143
4/11/96 157,394 US Dollar 157,394 230,000 Deutsche Mark 155,885
7/25/96 171,999 US Dollar 171,999 250,000 Deutsche Mark 170,500
5/9/96 93,000 Finnish Marka 20,106 $ 21,999 US 21,999
5/23/96 132,000 British Sterling Pound 201,345 $202,382 US 202,382
8/22/96 78,000 British Sterling Pound 118,801 $119,573 US 119,573
4/11/96 96,000,000 Japanese Yen 900,224 $920,898 US 920,898
8/8/96 18,000,000 Japanese Yen 171,552 $173,004 US 173,004
8/22/96 650,000 Japanese Yen 6,207 $ 6,323 US 6,323
9/17/96 42,600,000 Japanese Yen 408,202 $414,939 US 414,939
5/9/96 457,000 Netherland Florins 277,245 $291,083 US 291,083
5/23/96 2,286,000 Swedish Kronor 341,952 $323,452 US 323,452
8/22/96 6,400,000 Swedish Kronor 957,114 $931,492 US 931,492
----------- -----------
$ 4,565,178 $ 4,577,630
=========== ===========
</TABLE>
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 3/31/96 CURRENCY TO BE RECEIVED AT 3/31/96
- ---------- ------------------------------------ ------------ ------------------------------------- ------------
<C> <C> <S> <C> <C> <C> <C>
4/22/96
4/22/96 694,322 Belgium Franc 22,915 $ 23,102 US 23,102
4/22/96 24,735 US Dollar 24,735 747,730 Belgium Franc 24,678
4/22/96 126,319 Canadian Dollar 92,737 $ 92,622 US 92,622
4/22/96 943,500 Deutsche Mark 639,855 $643,485 US 643,485
4/22/96 366,968 US Dollar 366,968 542,652 Deutsche Mark 368,011
4/22/96 343,793 Danish Kroner 60,334 $ 60,399 US 60,399
4/22/96 305,175 French Franc 60,662 $ 60,817 US 60,817
4/22/96 61,562 US Dollar 61,562 310,766 French Franc 61,773
4/22/96 78,130 British Sterling Pound 119,226 $118,842 US 118,842
4/22/96 85,067 US Dollar 85,067 56,299 British Sterling Pound 85,911
4/22/96 106,895,189 Italian Lire 67,907 $ 66,881 US 66,881
4/22/96 66,370 US Dollar 66,370 106,704,983 Italian Lire 67,786
4/22/96 6,697,822 Japanese Yen 62,903 $ 64,588 US 64,588
4/22/96 62,065 US Dollar 62,065 6,578,880 Japanese Yen 61,785
4/22/96 251,712 Netherland Florins 152,532 $153,368 US 153,368
4/22/96 77,023 US Dollar 77,023 125,856 Netherland Florins 76,266
----------- -----------
$ 2,051,523 $ 2,057,342
=========== ===========
</TABLE>
<PAGE> 18
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
NOTE 8. RECLASSIFICATION OF PERMANENT BOOK-TO-TAX DIFFERENCES
As a result of permanent book-to-tax differences, the following
reclassifications were made to the statements of assets and liabilities. Due to
net operating losses, undistributed net investment income has been increased and
paid-in capital has been decreased by $4,334 for JNL/Alger Growth Series. Due to
"paydown" gains and losses, undistributed net investment income has been
increased and accumulated net realized gain on investments and foreign currency
related items has been decreased by $263 for JNL/Phoenix Investment Counsel
Balanced Series and by ($1,059) for Salomon Brothers/JNL U.S. Government &
Quality Bond Series. Due to "Section 988" gains/losses (net of post-October
losses), undistributed net investment income has been increased and accumulated
net realized gain on investments and foreign currency related items has been
decreased by ($6,959) for JNL Aggressive Growth Series; ($808) for JNL Capital
Growth Series; ($37,105) for JNL Global Equity Series; $21,357 for Salomon
Brothers/JNL Global Bond Series; $99 for T. Rowe Price/JNL Established Growth
Series; and ($98,371) for T. Rowe Price/JNL International Equity Investment
Series. Due to ordinary losses being used to offset net short-term capital gain,
undistributed net investment income has been increased and net realized gain on
investments and foreign currency related items has been decreased by $27,928 for
JNL Capital Growth Series. Due to acquisitions of passive foreign investment
companies, undistributed net investment income has been increased and
accumulated net realized gain on investments and foreign currency related items
has been decreased by $34,698 for T. Rowe Price/JNL International Equity
Investment Series. Due to capital gains received on holdings of other registered
investment companies, undistributed net investment income has been decreased and
accumulated net realized gain on investments and foreign currency related items
has been increased by $876 for T. Rowe Price/JNL International Equity Investment
Series.
<PAGE> 19
JNL AGGRESSIVE GROWTH SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- ----------
<S> <C> <C>
COMMON STOCKS -- 73.77%
- -----------------------
FINLAND -- 0.52%
- ----------------
DURABLE GOODS -- 0.52%
Metra Oy, B Shares................... 1,172 $ 46,157
GERMANY -- 1.98%
- ----------------
AUTOMOBILE & PARTS -- 0.24%
Porsche AG(a)........................ 37 21,177
COMPUTERS & SOFTWARE -- 1.74%
SAP Systeme.......................... 1,059 152,500
----------
Total Germany...................... 173,677
INDIA -- 0.48%
- --------------
CONFECTIONS & BEVERAGES -- 0.48%
PT Hanjaya Mandala Sampoerna......... 4,000 41,797
ITALY -- 0.30%
- --------------
BANKS -- 0.18%
Banca Popolare Di Bergamo............ 1,047 16,041
PRINTING & PUBLISHING -- 0.12%
Arnoldo Mondadori Editore............ 1,307 10,824
----------
Total Italy........................ 26,865
JAPAN -- 0.70%
- --------------
COMPUTERS & SOFTWARE -- 0.70%
NTT Data Communications Systems
Company.............................. 2 61,049
MEXICO -- 0.56%
- ---------------
BROKERAGE -- 0.56%
Grupo Financiero Inbursa, S.A. de
C.V.................................. 12,900 49,526
SWEDEN -- 2.97%
- ---------------
BANK -- 0.37%
Skandinaviska Enskilda Banken........ 4,436 32,721
HOLDING COMPANY -- 2.07%
Kinnevik AB, B Shares................ 5,272 181,420
SECURITY SYSTEMS -- 0.53%
Securitas AB, B Shares............... 769 46,022
----------
Total Sweden....................... 260,163
SWITZERLAND -- 2.66%
- --------------------
DRUGS -- 1.81%
Ciba-Geigy AG........................ 64 80,054
Sandoz AG............................ 67 78,516
----------
158,570
BANKS -- 0.85%
Roche Holding AG..................... 9 74,698
----------
Total Switzerland.................. 233,268
UNITED KINGDOM -- 0.36%
- -----------------------
DRUGS -- 0.36%
SmithKline Beecham, Class A.......... 3,145 31,542
UNITED STATES -- 63.24%
- -----------------------
<CAPTION>
MARKET
SHARES VALUE
---------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
AEROSPACE & AIRCRAFT -- 0.34%
General Motors Corp -- Class H....... 475 30,044
APPAREL -- 1.13%
Gucci Group N.V.-N.Y.(a)............. 1,675 $ 80,400
Tommy Hilfiger Corp.(a).............. 400 18,350
----------
98,750
BANKS -- 4.60%
Chase Manhattan Corp................. 1,950 143,325
First Interstate Bancorp, Inc........ 1,375 238,562
Glendale Federal Bank FSB(a)......... 1,175 21,297
----------
403,184
BUSINESS SERVICES -- 4.53%
America Online, Inc.(a).............. 2,000 112,000
American Management Services,
Inc.(a)............................ 225 5,737
APAC Teleservices, Inc.(a)........... 825 58,781
First Data Corp...................... 1,150 81,075
Global Direct Mail Corp.(a).......... 2,475 86,316
Keane, Inc.(a)....................... 1,775 53,028
----------
396,937
CHEMICALS -- 1.59%
W.R. Grace & Co...................... 925 72,381
Praxair, Inc......................... 1,400 55,825
Witco Corp........................... 325 11,456
----------
139,662
COMPUTERS & SOFTWARE -- 16.47%
Altera Corp.(a)...................... 425 23,747
Analog Devices, Inc.(a).............. 9,237 258,636
Ciber, Inc.(a)....................... 1,775 58,131
Cisco Systems, Inc.(a)............... 6,250 289,844
Computer Associates International.... 450 32,231
Danka Business Systems PLC-ADR....... 1,600 67,600
Fulcrum Technologies, Inc.(a)........ 825 30,938
International Business Machines
Corp. ............................. 1,650 183,356
Intuit, Inc.(a)...................... 900 40,500
Itron, Inc.(a)....................... 1,400 62,650
LSI Logic Corp.(a)................... 1,325 35,444
Macromedia, Inc.(a).................. 925 39,544
McAfee Associates, Inc.(a)........... 75 4,106
Peoplesoft, Inc.(a).................. 625 35,938
Pittway Corp......................... 2,025 100,238
Seagate Technology, Inc.(a).......... 550 30,113
Shiva Corp.(a)....................... 75 6,806
Sterling Commerce, Inc.(a)........... 1,600 49,200
Sterling Software(a)................. 625 44,062
Stratacom, Inc.(a)................... 1,150 42,119
Technology Solutions Co.(a).......... 250 6,781
Wonderware Corp.(a).................. 75 1,763
----------
1,443,747
</TABLE>
See notes to the financial statements.
<PAGE> 20
JNL AGGRESSIVE GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
CONFECTIONS & BEVERAGES -- 0.31%
Starbucks Corp.(a)................... 1,150 $ 26,809
CONTAINERS -- 0.92%
Crown Cork & Seal Co., Inc........... 1,650 80,438
DRUGS -- 11.08%
Amgen, Inc.(a)....................... 2,425 140,953
Centocor, Inc(a)..................... 4,675 168,884
Eli Lilly & Co....................... 7,600 494,000
Jones Medical Industries, Inc........ 325 12,513
Merck & Co, Inc...................... 1,175 73,144
SmithKline Beecham PLC-ADR........... 1,600 82,200
----------
971,694
DURABLE GOODS -- 1.37%
Alco Standard Corp................... 2,300 119,888
GAMES & TOYS -- 0.29%
Galoob (Lewis) Toys, Inc.(a)......... 1,275 25,819
HEALTH PRODUCTS -- 2.97%
Conceptus, Inc.(a)................... 4,675 94,669
PacifiCare Health Systems, Inc. --
Class B(a)......................... 1,500 127,875
Sofamor Danek Group, Inc.(a)......... 650 22,019
UpJohn Co............................ 398 15,870
----------
260,433
HOTEL & MOTEL -- 1.57%
Hospitality Franchise System,
Inc.(a).............................. 2,500 121,562
La Quinta Inns, Inc.................. 550 16,156
----------
137,718
HOUSEHOLD FURNITURE & APPLIANCES -- 1.68%
Singer Co............................ 5,525 147,103
INSURANCE -- 2.09%
UNUM Corp............................ 3,075 182,962
MEDICAL SERVICES & SUPPLIES -- 2.51%
Arrow International, Inc............. 125 5,203
Biomet, Inc.(a)...................... 825 11,550
Coherent, Inc.(a).................... 525 22,313
Daig Corp.(a)........................ 1,675 40,409
Genzyme Corp.-General Division(a).... 800 44,000
ICU Medical, Inc.(a)................. 2,125 30,844
Medpartners/Mullikin, Inc.(a)........ 1,250 38,594
Respironics, Inc.(a)................. 1,300 27,300
----------
220,213
MINING -- 0.80%
Freeport-McMoRan, Inc................ 725 28,909
Potash Corp. of Saskatchewan, Inc.... 656 41,000
----------
69,909
OIL & GAS -- 0.45%
Triton Energy Corp.(a)............... 700 39,025
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
---------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
PACKAGED FOOD -- 0.33%
General Mills, Inc................... 500 $ 29,188
RECREATION & LEISURE -- 1.06%
Coleman Co.(a)....................... 350 15,444
International Game Technology........ 5,675 77,322
----------
92,766
RETAIL -- 0.61%
Baby Superstore, Inc.(a)............. 1,175 53,462
TECHNOLOGY -- 0.85%
Adtran, Inc.(a)...................... 175 8,006
Glenayre Technologies, Inc.(a)....... 1,200 45,900
ABR Information Services, Inc.(a).... 450 20,925
----------
74,831
TELECOMMUNICATIONS -- 5.00%
Ascend Communications, Inc.(a)....... 1,125 60,609
Cincinnati Bell, Inc................. 575 29,900
Commnet Cellular(a).................. 1,875 52,266
Korean Mobile
Telecommunications(144a)(a)........ 800 37,400
MFS Communications Co., Inc.(a)...... 100 6,225
Millicom International Cellular
S.A.(a)............................ 1,050 45,412
Paging Network, Inc.(a).............. 4,775 119,375
Picturetel Corp. (a)................. 775 24,025
Premisys Communications, Inc.(a)..... 350 11,375
U.S. Satellite Broadcasting Co.(a)... 350 11,463
Westell Technologies, Inc. -- Class
A(a)............................... 1,125 41,625
----------
439,675
TRANSPORTATION -- 0.69%
AMR Corp.(a)......................... 300 26,850
Amway Asia Pacific Limited........... 100 3,337
Wisconsin Central Transportation
Corp.(a)........................... 450 29,925
----------
60,112
Total United States................ 5,544,369
----------
Total Common Stocks
(cost $5,632,131).............. 6,468,413
----------
SHORT-TERM INVESTMENTS -- 26.23%
- --------------------------------
COMMERCIAL PAPER -- 26.23%
Federal Home Discount Note
5.27%, 04/01/1996 (cost
$2,300,000)........................ $2,300,000 2,300,000
----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $7,932,131) $8,768,413
==========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
<PAGE> 21
JNL CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
--------- ----------
<S> <C> <C>
COMMON STOCKS -- 94.90%
- -----------------------
FRANCE -- 1.76%
- ---------------
CONSUMER PRODUCTS -- 1.76%
Grand Optical Photoservice............. 1,482 $ 172,483
SWITZERLAND -- 1.79%
- --------------------
LEISURE TIME -- 1.79%
Fotolabo S.A........................... 349 176,201
UNITED KINGDOM -- 5.13%
- -----------------------
CONFECTIONS & BEVERAGES -- 0.42%
PizzaExpress........................... 8,480 40,970
FOOD SERVICE -- 4.71%
J.D. Wetherspoon PLC................... 34,595 462,083
----------
Total United Kingdom................. 503,053
UNITED STATES -- 86.22%
- -----------------------
AUTOMOBILE & PARTS -- 3.22%
APS Holding Corp. -- Class A(a)........ 7,950 137,138
AutoZone, Inc.(a)...................... 4,175 141,428
O'Reilly Automotive, Inc.(a)........... 1,075 37,356
----------
315,922
BROADCASTING & COMMUNICATIONS -- 0.10%
Westwood One, Inc.(a).................. 550 10,106
BUSINESS SERVICES -- 7.02%
American Business Information,
Inc.(a).............................. 4,725 75,600
American List Corp. ................... 2,350 74,025
Barnett, Inc.(a)....................... 3,150 70,875
CUC International, Inc.(a)............. 9,250 270,562
First Data Corp........................ 1,775 125,138
Loewen Group, Inc...................... 2,488 72,774
----------
688,974
CHEMICALS -- 1.90%
W.R. Grace & Co........................ 2,375 185,844
COMPUTERS & SOFTWARE -- 2.70%
Acxiom Corp............................ 825 19,697
Black Box Corp.(a)..................... 7,900 134,300
Ciber, Inc.(a)......................... 1,050 34,388
Fair Isaac & Co., Inc.................. 750 22,500
Pyxis Corp.(a)......................... 400 10,275
Technology Solutions Co.(a)............ 1,600 43,400
----------
264,560
CONSUMER PRODUCTS -- 0.92%
Culligan Water Technologies, Inc....... 2,775 90,187
CONTAINERS -- 1.88%
Sealed Air Corp.(a).................... 5,400 184,275
DRUGS -- 5.46%
Depotech Corp.(a)...................... 1,725 42,263
Interneuron Pharmaceuticals, Inc.(a)... 2,600 96,525
Neorx Corp.(a)......................... 475 3,859
R.P. Scherer Corp.(a).................. 3,800 166,725
Theratech, Inc.(a)..................... 10,625 225,781
----------
535,153
<CAPTION>
MARKET
SHARES VALUE
--------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
ELECTRONICS -- 3.66%
Littelfuse, Inc.(a).................... 1,650 $ 62,288
Littelfuse, Inc. Warrants
Strike Price $8.36, 12/27/2001....... 1,850 52,956
Pittway Corp. -- Class A............... 75 3,713
Trigen Energy Corp..................... 11,100 240,037
----------
358,994
FINANCIAL SERVICES -- 0.54%
First USA Paymentech, Inc.(a).......... 1,500 52,875
FOOD SERVICE -- 7.73%
JP Foodservice(a)...................... 8,075 151,406
Lone Star Steakhouse & Saloon(a)....... 9,025 345,206
Papa John's International, Inc.(a)..... 5,850 261,056
----------
757,668
HEALTH PRODUCTS & CARE -- 5.49%
Cardinal Health, Inc................... 700 44,975
Gulf South Medical Supply, Inc.(a)..... 225 8,494
Medaphis Corp.(a)...................... 8,375 406,188
Sybron International Corp.(a).......... 3,225 79,013
----------
538,670
HOTEL & MOTEL -- 5.73%
Hospitality Franchise Systems,
Inc.(a)................................ 11,550 561,619
INSURANCE -- 0.90%
Protective Life Corp................... 2,625 88,594
MEDICAL SERVICES & SUPPLIES -- 2.78%
Exogen, Inc.(a)........................ 6,225 85,594
Healthsouth Corp.(a)................... 1,375 46,750
Medpartners/Mullikin, Inc.(a).......... 1,550 47,856
Omnicare, Inc.......................... 850 45,794
Respironics, Inc.(a)................... 2,200 46,200
----------
272,194
MINING -- 1.78%
Minerals Technologies, Inc............. 5,050 174,856
OFFICE EQUIPMENT & SUPPLIES -- 0.31%
Viking Office Products(a).............. 550 30,594
PRINTING & PUBLISHING -- 0.24%
Scientific Games Holding Co............ 850 23,800
REAL ESTATE -- 4.67%
Insignia Financial -- Class A(a)....... 18,800 458,250
RECREATION -- 1.96%
Family Golf Centers, Inc.(a)........... 7,200 192,600
RETAIL -- 9.43%
General Nutrition Cos., Inc.(a)........ 14,350 358,750
Global DirectMail Corp.(a)............. 1,950 68,006
Mossimo, Inc.(a)....................... 1,425 46,134
Petco Animal Supplies(a)............... 8,325 372,544
Price/Costco, Inc.(a).................. 1,600 30,000
Sunglass Hut International, Inc.(a).... 1,500 49,687
----------
925,121
</TABLE>
See notes to the financial statements.
<PAGE> 22
JNL CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
--------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
TELECOMMUNICATIONS -- 16.26%
Arch Communications Group(a)........... 6,450 $ 149,156
CommNet Cellular(a).................... 8,325 232,059
Millicom International Cellular
S.A.(a).............................. 4,750 205,438
Mobilemedia Corp. -- Class A(a)........ 425 8,819
Omnipoint Corp.(a)..................... 2,375 60,562
Paging Network, Inc.(a)................ 28,925 723,125
Pricellular Corp. -- Class A(a)........ 9,531 127,480
360 Communications Co.(a).............. 3,700 88,338
----------
1,594,977
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
TRANSPORTATION -- 1.54%
Wisconsin Central Transportation
Corp.(a)............................... 2,275 $ 151,287
----------
Total United States.................. 8,457,120
----------
Total Common Stocks
(cost $7,554,563)................ 9,308,857
----------
SHORT-TERM INVESTMENTS -- 5.10%
- -------------------------------
COMMERCIAL PAPER -- 5.10%
Federal Home Discount Note,
5.27%, 04/01/1996 (cost $500,000).... $500,000 $ 500,000
----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $8,054,563)...................... $9,808,857
==========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
<PAGE> 23
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS -- 91.21%
- -----------------------
AUSTRIA -- 0.63%
- ----------------
REAL ESTATE -- 0.63%
Bohler-Gruppen AS(144a)............. 1,480 $ 114,755
DENMARK -- 0.20%
- ----------------
BANKS -- 0.20%
Unidanmark AS....................... 791 35,812
FINLAND -- 2.47%
- ----------------
COMPUTERS & SOFTWARE -- 0.73%
Tietotehdas Oy...................... 3,978 133,061
FOOD SERVICE -- 1.74%
Raision Tehtaat Oy.................. 9,194 315,468
-----------
Total Finland..................... 448,529
FRANCE -- 2.77%
- ---------------
CONSUMER GOODS -- 1.43%
Grand Optical-Photoservice.......... 2,223 258,725
INDUSTRIAL MACHINERY -- 0.24%
Sidel, S.A.......................... 174 44,442
HOLDING COMPANY -- 1.10%
Lagardere Groupe.................... 7,533 199,733
-----------
Total France...................... 502,900
GERMANY -- 3.47%
- ----------------
AUTOMOBILE & PARTS -- 0.27%
Porsche AG(a)....................... 85 48,650
CHEMICALS -- 2.44%
Hoechst AG.......................... 1,253 443,878
HEALTH PRODUCTS & CARE -- 0.09%
Gehe AG (a)......................... 28 16,121
RETAIL -- 0.67%
Adidas AG........................... 1,676 122,605
-----------
Total Germany..................... 631,254
HONG KONG -- 2.08%
- ------------------
BUILDING EQUIPMENT -- 0.04%
New World Infrastructure(144a)...... 3,400 7,255
FINANCIAL SERVICES -- 2.04%
Citic Pacific Limited............... 33,000 127,596
First Pacific Company Ltd........... 50,000 69,831
HSBC Holdings....................... 6,400 96,418
JCG Holdings Limited................ 86,000 77,848
-----------
371,693
-----------
Total Hong Kong................... 378,948
INDONESIA -- 1.66%
- ------------------
CONFECTIONS & BEVERAGES -- 1.00%
HM Sampoerna........................ 17,500 182,861
RETAIL -- 0.66%
Matahari Putra Prima................ 55,250 120,545
-----------
Total Indonesia................... 303,406
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
ITALY -- 4.28%
- --------------
AGRICULTURAL MACHINERY -- 0.98%
Gildemeister Italy.................. 13,000 $ 50,931
Parmalat Finanziaria SPA............ 139,458 128,106
-----------
179,037
BUSINESS SERVICES -- 0.82%
BCA Pop Di Milano................... 33,268 148,350
RETAIL -- 2.40%
Bulgari SPA (144a).................. 4,912 61,643
Marzotto & Figli SPA................ 4,074 29,768
Pagnossin SPA....................... 54,000 345,374
-----------
436,785
TELECOMMUNICATIONS -- 0.08%
Telecom Italia Mobile(a)............ 8,004 14,532
-----------
Total Italy....................... 778,704
JAPAN -- 12.99%
- ---------------
AEROSPACE & AIRCRAFT -- 0.62%
Mitsubishi Heavy Industries
Limited........................... 13,000 112,472
AUTOMOBILE & PARTS -- 1.92%
Honda Motor Co...................... 11,000 239,981
Isuzu Motors Limited................ 14,000 81,142
Yamaha Motor Co..................... 3,000 29,494
-----------
350,617
COMMUNICATIONS -- 2.01%
NTT Data Communications Systems
Company........................... 12 366,292
DRUGS -- 1.94%
Eisai Limited....................... 10,350 207,388
Takeda Chemical Industries.......... 5,000 78,184
Yamanouchi Pharmaceutical........... 3,000 66,854
-----------
352,426
ELECTRONICS -- 1.34%
Omron Corp.......................... 11,000 244,101
GROCERY -- 0.32%
Ito-Yokado Co....................... 1,000 59,457
HOUSEHOLD FURNITURE & APPLIANCES -- 0.31%
Amway Japan Limited................. 1,100 55,618
OFFICE EQUIPMENT & SUPPLIES -- 1.47%
Canon, Inc.......................... 14,000 267,416
REAL ESTATE -- 0.53%
Mitsubishi Estate................... 6,000 82,584
Mitsui Fudosan Co................... 1,000 13,015
-----------
95,599
RETAIL -- 2.28%
Credit Saison Co.................... 8,500 185,440
Daimaru, Inc........................ 4,000 28,502
Hankyu Department Stores............ 6,000 84,270
Isetan.............................. 8,000 116,854
-----------
415,066
</TABLE>
See notes to the financial statements.
<PAGE> 24
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------
JAPAN (CONTINUED)
- ----------------
STEEL -- 0.25%
Kobe Steel Limited.................. 7,000 $ 21,695
NKK Corp............................ 8,000 23,146
-----------
44,841
-----------
Total Japan....................... 2,363,905
NETHERLANDS -- 6.54%
- -------------------
BUILDING & CONSTRUCTION -- 0.91%
Hunter Douglas N.V.................. 2,433 164,899
COMPUTERS & SOFTWARE -- 2.21%
Getronics N.V....................... 5,547 402,137
PACKAGES FOODS -- 1.63%
Nutricia Verenigde Bedrijuen........ 2,952 295,647
PRINTING & PUBLISHING -- 1.79%
Wolters Kluwer N.V.................. 2,966 326,305
-----------
Total Netherlands................. 1,188,988
NORWAY -- 0.84%
- --------------
BANKS -- 0.17%
Fokus Bank(144a).................... 5,469 30,018
MEDICAL SERVICES & SUPPLIES -- 0.67%
Hafslund Nycomed.................... 4,328 121,477
-----------
Total Norway...................... 151,495
PHILIPPINES -- 0.30%
- -------------------
BUILDING & CONSTRUCTION -- 0.30%
DMCI Holdings, Inc.................. 83,350 54,123
SPAIN -- 0.43%
- -------------
FINANCIAL SERVICES -- 0.43%
Argentaria Corp..................... 1,855 78,462
SWEDEN -- 11.52%
- ---------------
BANKS -- 0.29%
Nordbanken.......................... 2,317 38,306
Sparbanken Sverige AB............... 1,337 15,103
-----------
53,409
BUSINESS SERVICES -- 2.06%
WM -- Data AB....................... 8,507 373,566
COMMERCIAL SERVICES -- 3.00%
Securitas AB........................ 9,121 545,865
COMPUTERS & SOFTWARE -- 0.28%
Frontec AB.......................... 1,349 50,862
DRUGS -- 0.55%
Astra A............................. 2,159 100,138
ELECTRONICS -- 2.79%
Assa Abloy AB....................... 45,132 459,173
Assa Abloy AB-Rights................ 43,191 48,466
-----------
507,639
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------
SWEDEN (CONTINUED)
- -----------------
HEALTH PRODUCTS & CARE -- 0.97%
Gentinge Industrier................. 1,414 $ 71,930
Nobelpharma AB...................... 6,656 104,565
-----------
176,495
HOLDING COMPANY -- 1.59%
Kinnevik AB......................... 8,388 288,649
-----------
Total Sweden...................... 2,096,623
SWITZERLAND -- 10.23%
- --------------------
DRUGS -- 5.60%
CIBA................................ 180 225,151
Roche Holding....................... 57 473,085
Sandoz AG........................... 274 321,094
-----------
1,019,330
ELECTRONICS -- 1.88%
Micronas Semi AG.................... 477 342,603
LEISURE & ENTERTAINMENT -- 0.78%
Fotolabo S.A........................ 280 141,364
TRANSPORTATION -- 1.97%
SwissAir............................ 341 358,073
-----------
Total Switzerland................. 1,861,370
UNITED KINGDOM -- 6.26%
- ----------------------
BUSINESS SERVICES -- 0.09%
Rentokil Group...................... 3,113 17,179
COMPUTERS & SOFTWARE -- 1.95%
JBA Holdings........................ 10,386 64,511
Misys............................... 26,216 290,337
-----------
354,848
DRUGS -- 1.05%
SmithKline Beecham.................. 19,102 191,577
FOOD SERVICE -- 0.27%
J.D. Wetherspoon PLC................ 3,662 48,913
PRINTING & PUBLISHING -- 1.43%
EMAP................................ 2,114 20,701
WPP Group........................... 78,054 238,300
-----------
259,001
TELECOMMUNICATIONS -- 1.47%
Orange PCC.......................... 75,792 266,682
-----------
Total United Kingdom.............. 1,138,200
UNITED STATES -- 24.53%
- ----------------------
AUTOMOBILE & PARTS -- 0.06%
Tata Engineering & Locomotive Co.
Limited(144a)..................... 700 10,850
BANKS -- 0.57%
Citicorp............................ 1,300 104,000
</TABLE>
See notes to the financial statements.
<PAGE> 25
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------
UNITED STATES (CONTINUED)
- ------------------------
BROADCAST & COMMUNICATIONS -- 2.00%
Grupo Televisa S.A. Sponsored
GDR(a)............................ 3,525 $ 87,684
Indonesian Satellite Corp........... 5,375 183,422
Katz Media Group Inc.(a)............ 5,650 93,225
-----------
364,331
CHEMICALS -- 0.41%
Eli Lilly & Co...................... 25 1,625
Waters Corp......................... 3,025 73,356
-----------
74,981
COMPUTERS & SOFTWARE -- 4.85%
First Data Corp..................... 3,600 253,800
International Business Machines
Corp.............................. 5,000 555,625
Sun Microsystems, Inc............... 1,100 48,125
SunGard Data Systems, Inc.(a)....... 700 23,975
-----------
881,525
CONFECTIONS & BEVERAGES -- 0.21%
Quilmes Industrial S.A.............. 3,600 38,700
DRUGS -- 4.08%
Healthsouth Corp.(a)................ 1,275 43,350
Pfizer Inc.......................... 4,100 274,700
Pliva D.D.(144a).................... 4,387 128,583
SmithKline Beecham PLC ADR.......... 5,750 296,125
-----------
742,758
ELECTRICAL -- 0.43%
UCAR International, Inc............. 2,025 78,722
ELECTRONICS -- 0.24%
Samsung Electronics America GDR
(144a)............................ 750 42,938
FINANCIAL SERVICES -- 0.28%
Federal National Mortgage
Association....................... 75 2,391
First Interstate Bancorp............ 275 47,712
-----------
50,103
HEALTH PRODUCTS & CARE -- 0.62%
De Rigo SPA-ADR..................... 2,075 58,359
Medaphis Corporation(a)............. 1,125 54,562
-----------
112,921
HOTEL & MOTEL -- 1.18%
Hospitality Franchise Systems,
Inc.(a)........................... 3,650 177,481
Renaissance Hotel Group N.V.(a)..... 1,700 36,550
-----------
214,031
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------
UNITED STATES (CONTINUED)
- ------------------------
HOUSEHOLD FURNISHINGS -- 0.27%
AMRE, Inc.(a)....................... 2,650 $ 49,356
METALS & MINING -- 0.42%
Potash Corp. of Saskatchewan,
Inc............................... 1,236 77,250
OIL -- 2.12%
YPF Sociedad Anonima................ 19,150 385,394
REAL ESTATE -- 1.03%
Hong Kong Land Holdings ADR......... 78,000 187,200
RETAIL -- 1.22%
General Nutrition Companies, Inc.... 2,475 61,875
Gucci Group N.V.-N.Y.(a)............ 3,350 160,800
-----------
222,675
TELECOMMUNICATIONS -- 4.54%
Korean Mobile Telecommunications,
Inc. (144a)....................... 1,550 72,463
Millicom International Cellular
S.A.(a)........................... 8,250 356,812
Paging Network, Inc.(a)............. 1,050 26,250
Philippine Long Distance(a)......... 2,850 151,763
Telecom Argentina S.A. -- Class B
ADR............................... 250 10,375
Telefonos De Argentina S.A. ADR..... 3,825 98,016
Telefonos De Mexico S.A. ADR........ 1,225 40,272
Telekomunikasi Indonesia ADR(a)..... 2,250 69,469
-----------
825,420
-----------
Total United States............... 4,463,155
-----------
Total Common Stocks
(cost $14,189,329)............ 16,590,629
-----------
SHORT-TERM INVESTMENTS -- 8.80%
- ------------------------------
COMMERCIAL PAPER -- 8.80%
Federal Home Discount Note,
5.27%, 04/01/1996 (cost
$1,600,000)....................... $1,600,000 1,600,000
-----------
TOTAL INVESTMENTS -- 100%
- ------------------------
(cost $15,789,329).................. $18,190,629
===========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
<PAGE> 26
JNL/ALGER GROWTH SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ----------
<S> <C> <C>
COMMON STOCKS -- 100%
- --------------------
AEROSPACE & DEFENSE -- 3.85%
Boeing Company.......................... 1,600 $ 138,600
McDonnell Douglas Corp.................. 1,800 164,925
----------
303,525
AGRICULTURAL MACHINERY -- 1.87%
Case Equipment Corp..................... 2,900 147,537
ALUMINUM -- 1.75%
Aluminum Co. of America................. 2,200 137,775
BANKS -- 4.84%
Chemical Banking Corp................... 3,000 211,500
MBNA Corp............................... 5,750 170,344
----------
381,844
BUILDING & CONSTRUCTION -- 1.89%
Clayton Homes, Inc...................... 7,125 148,734
CHEMICALS -- 0.97%
Monsanto Co............................. 500 76,750
COMPUTERS & TECHNOLOGY -- 15.40%
America On-Line, Inc.(a)................ 1,300 72,800
Cabletron Systems, Inc.(a).............. 600 39,750
Cisco Systems, Inc.(a).................. 3,600 166,950
First Data Corp......................... 2,878 202,899
Intuit, Inc.(a)......................... 500 22,500
International Business Machines Corp.... 1,200 133,350
Microchip Technology, Inc.(a)........... 3,500 96,250
Seagate Technology, Inc.(a)............. 3,300 180,675
3Com Corp.(a)........................... 4,600 183,425
U.S. Robotics Corp.(a).................. 900 116,325
----------
1,214,924
CONSUMER PRODUCTS -- 1.65%
Colgate-Palmolive Co.................... 1,675 130,441
DRUGS -- 5.99%
Eli Lilly & Co.......................... 1,900 123,500
Liposome Co., Inc.(a)................... 1,400 29,225
Merck & Company, Inc.................... 2,200 136,950
Pfizer, Inc............................. 1,200 80,400
SmithKline Beecham PLC-ADR.............. 2,000 103,000
----------
473,075
ELECTRONICS -- 6.52%
Adaptec, Inc(a)......................... 1,500 72,375
Linear Technology Corp.................. 2,900 121,075
Maxim Integrated Products(a)............ 4,200 130,200
XILINX, Inc.(a)......................... 6,000 190,500
----------
514,150
FINANCE COMPANIES -- 3.51%
Greentree Financial Corp................ 4,000 137,500
The Money Store, Inc.................... 5,000 139,375
----------
276,875
<CAPTION>
MARKET
SHARES VALUE
------ ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------
HEALTH CARE & PRODUCTS -- 17.73%
Amgen, Inc.(a).......................... 1,300 $ 75,562
Biochemical Pharmaceuticals, Inc.(a).... 5,100 209,100
Columbia HCA/Healthcare Corp............ 4,000 231,000
Guidant Corp............................ 2,100 113,662
Healthsource, Inc.(a)................... 2,000 77,500
Johnson & Johnson....................... 338 31,180
Nellcor Puritan Bennett, Inc.(a)........ 2,000 128,500
Oxford Health Plans, Inc.(a)............ 2,200 193,050
St. Jude Medical, Inc.(a)............... 3,000 111,936
Summit Technology, Inc.(a).............. 1,800 42,525
United HealthCare Corp.(a).............. 3,000 184,500
----------
1,398,515
INSURANCE -- 5.06%
American International Group, Inc....... 2,500 234,062
Travelers Group, Inc.................... 2,500 165,000
----------
399,062
MERCHANDISING -- 2.44%
General Nutrition Cos.(a)............... 7,700 192,500
MISCELLANEOUS -- 1.48%
Loewen Group, Inc....................... 4,000 117,000
OFFICE EQUIPMENT -- 6.53%
Altera Corp.(a)......................... 2,000 111,750
Digital Equipment Corp.(a).............. 2,700 148,838
OfficeMax, Inc.(a)...................... 8,200 198,850
Viking Office Products, Inc.(a)......... 1,000 55,625
----------
515,063
RESTAURANTS -- 4.54%
Boston Chicken, Inc.(a)................. 4,000 136,248
Lone Star Steakhouse & Saloon(a)........ 5,800 221,850
----------
358,098
RETAIL -- 3.75%
Gap, Inc................................ 1,500 83,063
Gucci Group NV-NY(a).................... 3,000 144,000
Tommy Hilfiger Corp.(a)................. 1,500 68,813
----------
295,876
SERVICE INDUSTRIES -- 2.93%
Alco Standard Corp...................... 700 36,488
Service Corp. International............. 4,000 195,000
----------
231,488
TELECOMMUNICATIONS -- 5.78%
Bay Network, Inc.(a).................... 3,000 92,250
Glenayre Technologies, Inc.(a).......... 2,400 91,800
LCI International, Inc.(a).............. 1,700 41,650
WorldCom, Inc.(a)....................... 5,000 230,000
----------
455,700
WASTE DISPOSAL -- 1.52%
United Waste Systems, Inc.(a)........... 2,400 120,000
----------
TOTAL INVESTMENTS -- 100%
- ------------------------
(cost $7,505,319)....................... $7,888,932
==========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
<PAGE> 27
JNL/PHOENIX INVESTMENT COUNSEL BALANCED SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
--------- ----------
<S> <C> <C>
COMMON STOCKS -- 48.81%
- ----------------------
AEROSPACE & AIRCRAFT -- 2.28%
Boeing Company........................ 600 $ 51,975
United Technologies Corp.............. 500 56,125
----------
108,100
BANKS -- 2.22%
Bank of Boston Corp................... 300 14,888
Bankers Trust New York Corp........... 500 35,437
Citicorp.............................. 600 48,000
Integra Financial Corp.(a)............ 100 7,013
----------
105,338
CHEMICALS -- 1.20%
IMC Global, Inc....................... 300 10,950
Monsanto Co........................... 300 46,050
----------
57,000
COMPUTERS & TECHNOLOGY -- 5.65%
Bay Networks, Inc.(a)................. 1,150 35,363
Cisco Systems, Inc.(a)................ 1,000 46,375
Digital Equipment Corp.(a)............ 700 38,588
Informix Corp.(a)..................... 800 21,100
International Business Machines
Corp................................ 500 55,562
Oracle Systems Corp.(a)............... 1,100 51,838
Silicon Graphics Inc.(a).............. 300 7,500
3Com Corp.(a)......................... 300 11,962
----------
268,288
CONFECTIONS & BEVERAGES -- 0.80%
Pepsico, Inc.......................... 600 37,950
CONSUMER PRODUCTS -- 3.78%
Colgate-Palmolive Co.................. 500 38,938
Gillette Co........................... 300 15,525
Kimberly-Clark Corp................... 400 29,800
Philip Morris Cos., Inc............... 600 52,650
Proctor & Gamble Co................... 500 42,375
----------
179,288
DRUGS -- 1.20%
Amgen, Inc.(a)........................ 700 40,688
Genome Therapeuticals Corp.(a)........ 800 8,300
Watson Pharmaceuticals, Inc.(a)....... 200 8,000
----------
56,988
ELECTRIC UTILITIES -- 0.26%
Teco Energy, Inc...................... 500 12,438
ELECTRONICS -- 4.07%
Emerson Electric Co................... 600 48,450
General Electric Co................... 600 46,725
Honeywell, Inc........................ 800 44,200
Perkin-Elmer Corp..................... 1,000 54,125
----------
193,500
FINANCIAL SERVICES -- 1.07%
Donaldson Lufkin & Jenrette........... 200 6,700
Federal National Mortgage
Association......................... 700 22,312
Great Western Financial Corp.......... 900 21,712
----------
50,724
<CAPTION>
MARKET
SHARES VALUE
--------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------
HEALTH PRODUCTS & CARE -- 5.00%
Alza Corp.(a)......................... 500 $ 15,375
American Home Products Corp........... 400 43,350
Becton Dickinson & Co................. 100 8,188
Caremark International, Inc........... 600 15,075
Genzyme Corp.(a)...................... 200 11,000
Johnson & Johnson..................... 600 55,350
Manor Care, Inc....................... 500 19,625
Medtronic, Inc........................ 500 29,812
Upjohn Company........................ 1,000 39,875
----------
237,650
HOUSEHOLD FURNITURE & APPLIANCES --
0.23%
Newell Company........................ 400 10,700
INSURANCE -- 3.32%
Ace Limited........................... 500 22,312
Allstate Corp......................... 1,000 42,125
American International Group, Inc..... 500 46,812
Chubb Corp............................ 50 4,694
Progressive Corp...................... 100 4,462
Transatlantic Holdings, Inc........... 65 4,436
Travelers Group, Inc.................. 500 33,000
----------
157,841
MANUFACTURING -- 2.55%
Allied Signal, Inc.................... 700 41,388
Fluor Corp............................ 800 54,600
Tyco International Limited............ 700 25,025
----------
121,013
MEDIA -- 1.40%
HBO & Co.............................. 200 18,850
Knight Ridder, Inc.................... 100 6,812
TeleCommunications, Inc. -- Liberty
Media -- Class A(a)................. 200 5,275
TeleCommunications, Inc. --
Class A(a).......................... 800 14,850
Scholastic Corp.(a)................... 300 20,625
----------
66,412
METALS & MINING -- 0.39%
Potash Corp. of Saskatchewan, Inc..... 300 18,750
OIL & GAS -- 6.15%
Baker Hughes, Inc..................... 800 23,400
British Petroleum PLC - ADR........... 500 53,409
Enron Oil & Gas Co.................... 200 5,275
Ensco International, Inc.(a).......... 1,000 27,875
Halliburton Co........................ 500 28,438
Mobil Corp............................ 300 34,762
Schlumberger Limited.................. 600 47,475
Sonat Offshore Drilling, Inc.......... 300 15,300
Texaco, Inc........................... 300 25,800
Tidewater, Inc........................ 800 30,400
----------
292,134
PACKAGED FOODS -- 0.93%
Nabisco Holdings Corp. -- Class A..... 750 24,563
Sysco Corp............................ 600 19,725
----------
44,288
</TABLE>
See notes to the financial statements.
<PAGE> 28
JNL/PHOENIX INVESTMENT COUNSEL BALANCED SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------
RETAIL -- 1.02%
Federated Department Stores,
Inc.(a)............................. 1,200 $ 38,700
OfficeMax, Inc.(a).................... 400 9,700
----------
48,400
TELECOMMUNICATIONS -- 3.14%
Ascend Communications, Inc.(a)........ 600 32,325
AT&T Corp............................. 400 24,500
Bell Atlantic Corp.................... 200 12,350
BBN Corp.(a).......................... 150 3,806
Equifax, Inc.......................... 800 16,100
GTE Corp.............................. 600 26,325
Interpublic Group Companies, Inc...... 500 23,625
NYNEX Corp............................ 200 9,975
----------
149,006
TRANSPORTATION -- 1.75%
AMR Corp.(a).......................... 500 44,750
Delta Air Lines, Inc.................. 500 38,437
----------
83,187
WASTE DISPOSAL -- 0.40%
WMX Technologies, Inc................. 600 19,050
----------
Total Common Stocks
(cost $2,162,786)................. 2,318,045
----------
CORPORATE BONDS -- 0.22%
- -----------------------
MEDIA -- 0.22%
Continental Cablevision (144a) 8.30%,
05/15/2006.......................... $10,000 10,325
----------
Total Corporate Bonds
(cost $9,975)..................... 10,325
----------
MUNICIPAL BONDS -- 1.05%
- -----------------------
CALIFORNIA -- 0.31%
Long Beach Pension Obligation -- FSA
Insured, 6.87%, 09/01/2006.......... 5,000 4,927
Ventura County Municipal Bond -- FSA
Insured, 6.58%, 11/01/2006.......... 5,000 4,801
San Bernardino County Authority
Pension -- MBIA Insured, 6.94%
08/01/2009.......................... 5,000 4,839
----------
14,567
FLORIDA -- 0.55%
Miami Beach Pension Project -- AMBAC
Insured, 8.60%, 09/01/2021.......... 10,000 11,172
University of Miami -- MBIA
Insured, Adjustable Rate --
7.65%, 04/01/2020................... 15,000 15,000
----------
26,172
MICHIGAN -- 0.10%
Michigan Public Power Agency -- MBIA
Insured, 5.25%, 01/01/2018.......... 5,000 4,662
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
MUNICIPAL BONDS (CONTINUED)
- --------------------------
SOUTH CAROLINA -- 0.09%
South Carolina State Series C -- FGIC
Insured, 5.00%, 01/01/2025.......... $ 5,000 $ 4,392
----------
Total Municipal Bonds
(cost $50,243).................... 49,793
----------
GOVERNMENT BONDS -- 29.26%
- -------------------------
U.S. TREASURY NOTES -- 21.35%
5.75%, 09/30/1997..................... 140,000 140,109
6.875%, 07/31/1999.................... 200,000 205,250
5.875%, 11/15/2005.................... 300,000 289,125
5.625%, 02/15/2006.................... 400,000 379,376
----------
1,013,860
U.S. GOVERNMENT AGENCIES -- 7.91%
Resolution Trust Corporation Strip
Interest 6.80%, 05/25/2027.......... 98,994 98,994
Government National Mortgage
Association 6.50%, 12/15/2023....... 290,031 276,225
----------
375,219
----------
Total Government Bonds
(cost $1,407,756)................. 1,389,079
----------
MORTGAGE BACKED SECURITIES -- 2.13%
- ----------------------------------
Residential Funding Mortgage Security
I 6.75%, 02/25/2011
(cost $101,394)..................... 100,000 101,394
----------
SHORT-TERM INVESTMENTS -- 18.53%
- -------------------------------
U.S. TREASURY BILLS -- 13.49%
5.17%, 04/18/1996..................... 120,000 119,690
5.20%, 04/18/1996..................... 250,000 249,350
4.79%, 05/16/1996..................... 130,000 129,222
4.76%, 08/15/1996..................... 145,000 142,234
----------
640,496
DISCOUNT NOTES -- 5.04%
FNMA Discount Note
5.17%, 06/12/1996................... 105,000 104,895
Amoco Corp Discount Note 5.30%,
04/18/1996.......................... 135,000 134,642
----------
239,537
----------
Total Short-Term Investments
(cost $879,284)................... 880,033
----------
TOTAL INVESTMENTS -- 100%
- ------------------------
(cost $4,611,438)..................... $4,748,669
==========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
<PAGE> 29
JNL/PHOENIX INVESTMENT COUNSEL GROWTH SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
-------- ----------
<S> <C> <C>
COMMON STOCKS -- 76.84%
- ----------------------
AEROSPACE & AIRCRAFT -- 1.25%
United Technologies Corp.............. 300 $ 33,675
BANKS -- 2.68%
Citicorp.............................. 400 32,000
Nationsbank Corp...................... 500 40,062
----------
72,062
BROADCAST & COMMUNICATIONS -- 7.08%
American Radio Systems Corp. --
Class A(a).......................... 900 30,375
EchoStar Communications Corp. --
Class A(a).......................... 900 30,375
Tele-Communications -- Class A(a)..... 1,200 22,274
Time Warner, Inc...................... 700 28,613
U.S. West Media Group(a).............. 1,000 20,625
U.S. Satellite Broadcasting Company --
Class A(a).......................... 1,000 32,750
Walt Disney Co........................ 400 25,550
----------
190,562
CHEMICALS -- 3.70%
Guidant Corp.......................... 1,000 54,125
Eli Lilly & Co........................ 700 45,500
----------
99,625
COMPUTERS & SOFTWARE -- 11.15%
Bay Networks, Inc.(a)................. 250 7,687
Cisco Systems, Inc.(a)................ 600 27,825
Intuit, Inc.(a)....................... 300 13,500
Microsoft Corp.(a).................... 700 72,188
Oracle Systems Corp.(a)............... 400 18,850
Prism Solutions, Inc.................. 1,000 26,500
Red Brick Systems, Inc.(a)............ 700 30,100
Shiva Corp.(a)........................ 400 36,300
Sterling Commerce, Inc.(a)............ 1,000 30,750
Storage Technology Corp.(a)........... 1,400 36,575
----------
300,275
CONSUMER PRODUCTS -- 5.82%
Kimberly-Clark Corp................... 400 29,800
Nabisco Holdings Corp. -- Class A..... 700 22,925
Perkin-Elmer Corp..................... 500 27,063
Philip Morris Cos., Inc............... 300 26,325
Stewart Enterprises, Inc. -- Class
A................................... 500 21,375
WM. Wrigley JR. Co.................... 500 29,313
----------
156,801
<CAPTION>
MARKET
SHARES VALUE
-------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------
DRUGS -- 3.98%
Biochemical Pharmaceutical, Inc.(a)... 600 $ 24,600
Biogen, Inc.(a)....................... 500 29,750
Elan Corp. PLC ADR(a)................. 600 38,550
INCYTE Pharmaceuticals, Inc.(a)....... 500 14,250
----------
107,150
ELECTRONICS -- 2.60%
Input/Output, Inc.(a)................. 800 24,800
Raychem Corp.......................... 700 45,150
----------
69,950
HEALTH PRODUCTS & CARE -- 4.92%
Bristol-Myers Squibb Co............... 400 34,250
ESC Medical Systems Ltd.(a)........... 1,000 34,500
Johnson & Johnson..................... 200 18,450
United Healthcare Corp................ 400 24,600
Vencor, Inc.(a)....................... 600 20,700
----------
132,500
INSURANCE -- 2.17%
ACE Limited........................... 800 35,700
CIGNA Corp............................ 200 22,850
----------
58,550
MEDICAL SERVICES & SUPPLIES -- 2.70%
Omnicare, Inc......................... 500 26,937
U.S. Surgical Corp.................... 1,400 45,850
----------
72,787
OFFICE EQUIPMENT & SUPPLIES -- 1.30%
Harnischfeger Industries, Inc......... 900 34,875
OIL & GAS -- 11.80%
Diamond Offshore Drilling(a).......... 800 34,300
Halliburton Co........................ 800 45,500
Louisiana Land and Exploration Co..... 1,500 69,938
Noble Drilling Corp.(a)............... 5,000 61,875
Pride Petroleum Services, Inc.(a)..... 3,000 42,375
Reading & Bates Corp.(a).............. 2,200 43,450
YPF Sociedad Anonima ADR.............. 1,000 20,125
----------
317,563
PAPER -- 2.42%
Boise Cascade Corp.................... 800 33,600
Champion International Corp........... 700 31,675
----------
65,275
RETAIL -- 5.45%
Baby Superstore, Inc.(a).............. 400 18,200
Corporate Express(a).................. 700 23,100
Federated Department Stores,
Inc.(a)............................. 1,200 38,700
Home Depot, Inc....................... 700 33,512
Sunglass Hut International(a)......... 1,000 33,125
----------
146,637
</TABLE>
See notes to the financial statements.
<PAGE> 30
JNL/PHOENIX INVESTMENT COUNSEL GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
-------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------
TELECOMMUNICATIONS -- 7.21%
Cellular Communications -- Class
A(a)................................ 1,500 $ 49,875
Frontier Corp......................... 700 22,050
MFS Communications Company,
Inc.(a)............................. 400 24,900
Newbridge Networks Corp.(a)........... 600 33,750
Omnipoint Corp.(a).................... 1,300 33,150
PanAmSat Corp.(a)..................... 1,000 30,500
----------
194,225
TRANSPORTATION -- 0.61%
Burlington Northern Sante Fe.......... 200 16,425
----------
Total Common Stocks
(cost $1,931,799)................. 2,068,937
----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
-------- ----------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 23.16%
- -------------------------------
U.S. TREASURY BILLS -- 23.16%
4.995%, 04/11/1996.................... $115,000 $ 114,755
5.17%, 04/18/1996..................... 120,000 119,690
5.20%, 04/18/1996..................... 120,000 119,688
5.105%, 04/25/1996.................... 115,000 114,609
4.77%, 05/09/1996..................... 155,000 154,901
----------
Total Short-Term Investments
(cost $623,084)................... 623,643
----------
TOTAL INVESTMENTS -- 100%
- ------------------------
(cost $2,554,883)..................... $2,692,580
==========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
<PAGE> 31
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
CORPORATE BONDS -- 94.44%
- ------------------------
AEROSPACE & AIRCRAFT -- 1.74%
Coltec Industries, Inc.,
9.75%, 11/01/1999................... $100,000 $ 102,000
AGRICULTURAL MACHINERY -- 1.72%
AGCO Corp. (144a),
8.50%, 03/15/2006................... 100,000 100,750
AUTOMOTIVE & ACCESSORIES -- 5.29%
Aftermarket Technology Corp., 12.00%,
08/01/2004.......................... 100,000 108,000
Lear Seating Corp., 8.25%,
02/01/2002.......................... 100,000 96,000
SPX Corp., 11.75%, 06/01/2002......... 100,000 105,500
----------
309,500
BUILDING -- 1.87%
Schuller International Group, Inc.,
10.875%, 12/15/2004................. 100,000 109,250
CHEMICALS -- 7.40%
Arcadian Partners, 10.75%,
05/01/2005.......................... 200,000 217,500
Laroche Industries, Inc., 13.00%,
08/15/2004.......................... 100,000 107,000
Terra Industries, Inc.,
10.50%, 06/15/2005.................. 100,000 108,500
----------
433,000
COMMUNICATIONS -- 1.59%
MFS Communications Co., Inc., 8.875%,
01/15/2006(a)....................... 150,000 93,000
CONSUMER PRODUCTS -- 1.80%
Coty, Inc., 10.25%, 05/01/2005........ 100,000 105,000
DEFENSE -- 1.89%
Alliant Techsystems, Inc., 11.75%,
03/01/2003.......................... 100,000 110,000
FABRICATED METAL PRODUCTS -- 2.10%
UCAR Global Enterprises, Inc., 12.00%,
01/15/2005.......................... 107,000 123,050
FINANCIAL -- 5.36%
AIM Management Group, Inc., 9.00%,
11/15/2003.......................... 200,000 207,500
Van Kampen Merritt, Inc., 9.75%,
02/15/2003.......................... 100,000 105,875
----------
313,375
FOOD & BEVERAGES -- 4.34%
Cott Corp., 9.00%, 07/01/2005......... 150,000 148,500
Dominick's Finer Foods, 10.875%,
05/01/2005.......................... 100,000 105,250
----------
253,750
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- --------------------------
GAMING -- 8.80%
Aztar Corp., 11.00%, 10/01/2002....... $100,000 $ 101,000
Showboat, Inc.
9.25%, 05/01/08..................... 100,000 102,000
13.00%, 08/01/09.................... 100,000 114,500
Station Casinos, Inc.,
10.125%, 03/15/2006................. 200,000 197,000
----------
514,500
HEALTH CARE -- 1.68%
GranCare, Inc., 9.375%, 09/15/2005.... 100,000 98,500
LEISURE & RECREATION -- 1.86%
AMF Group, Inc. (144a), 12.25%,
03/15/2006(a)....................... 200,000 109,000
MACHINERY -- 1.46%
American Standard Corp., 10.50%,
06/01/2005(a)....................... 100,000 85,250
MEDIA CABLE -- 7.11%
Century Communications -- Class A,
9.50%, 03/01/2005................... 100,000 101,500
Jones Intercable, Inc.,
9.625%, 03/15/2002.................. 100,000 103,500
Rogers Cablesystems Limited
10.00%, 03/15/2005.................. 100,000 104,000
11.00%, 12/01/2015.................. 100,000 107,000
----------
416,000
NON-FERROUS METALS -- 1.68%
Bar Technologies (144a), 13.50%,
04/01/2001.......................... 100,000 98,244
OIL SERVICE -- 1.77%
Falcon Drilling, Inc., 9.75%,
01/15/2005.......................... 100,000 103,500
PAPER -- 10.00%
Buckeye Cellulose Corp., 8.50%,
12/15/2005.......................... 100,000 97,500
Crown Paper Co., 11.00%, 09/01/2005... 200,000 185,000
Quno Corp., 9.125%, 05/15/2005........ 200,000 202,000
Riverwood International Corp., 10.25%,
04/01/2006.......................... 100,000 100,000
----------
584,500
PETROLEUM -- 8.79%
Clark Oil Refining Corp., 10.50%,
12/01/2001.......................... 100,000 104,000
Louis Dreyfus Natural Gas Corp.,
9.25%, 06/15/2004................... 100,000 106,500
Oryx Energy Co., 8.125%, 10/15/2005... 100,000 97,869
Plains Resources, Inc.,
10.25%, 3/15/2006................... 100,000 100,750
United Meridian Corp., 10.375%,
10/15/2005.......................... 100,000 105,000
----------
514,119
</TABLE>
See notes to the financial statements.
<PAGE> 32
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- --------------------------
PRINTING & PUBLISHING -- 5.46%
Big Flower Press, Inc.,
10.75%, 08/01/2003.................. $125,000 $ 127,500
Hollinger International, Inc., 9.25%,
02/01/2006.......................... 100,000 97,000
K-III Communications (144a) 8.50%,
02/01/2006.......................... 100,000 95,000
----------
319,500
STEEL -- 3.65%
AK Steel Corp, Inc.,
10.75%, 04/01/2004.................. 100,000 110,000
Weirton Steel Corp.,
11.50%, 03/01/1998.................. 100,000 103,500
----------
213,500
TEXTILES -- 3.56%
Day International Group, 11.125%,
06/01/2005.......................... 100,000 103,500
Synthetic Industries, Inc.,
12.75%, 12/01/2002.................. 100,000 105,000
----------
208,500
TRANSPORTATION -- 1.75%
Viking Star Shipping, Inc., 9.625%,
07/15/2003.......................... 100,000 102,500
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- --------------------------
WASTE MANAGEMENT -- 1.77%
Norcal Waste System, Inc.
(144a)(step-up bond), 12.50%,
11/15/2005(b)....................... $100,000 $ 103,500
----------
Total Corporate Bonds
(cost $5,492,935)................. 5,523,788
----------
SHORT-TERM INVESTMENTS -- 5.56%
- ----------------------------------------
COMMERCIAL PAPER -- 5.56%
- ----------------------------------------
American Express Corp.,
5.50%, 04/02/1996................... 125,000 124,963
Ford Motor Credit Co.,
5.58%, 04/01/1996................... 200,000 199,970
----------
Total Short-Term Investments
(cost $324,981)................... 324,933
----------
TOTAL INVESTMENTS -- 100%
- ------------------------
(cost $5,817,916)..................... $5,848,721
==========
</TABLE>
- -------------------------
(a) Denotes deferred interest security that receives no coupon payments until a
predetermined date at which time the stated coupon rate becomes effective.
(b) Coupon payment periodically increases over the life of the security. Rate
stated is rate in effect on March 31, 1996.
See notes to the financial statements.
<PAGE> 33
PPM AMERICA/JNL MONEY MARKET SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 100%
- -----------------------------
COMMERCIAL PAPER -- 100%
- -----------------------
CAPTIVE FINANCE -- 17.81%
American Express Credit Corp., 4.94%,
07/18/1996.......................... $150,000 $ 147,777
Chrysler Financial Corp., 5.55%,
04/04/1996.......................... 185,000 184,914
Ford Motor Credit Co.,
5.14%, 04/19/1996................... 200,000 199,486
General Motors Acceptance Corp.,
5.14%, 04/22/1996................... 250,000 249,250
J C Penny Corp., 5.27%, 04/12/1996.... 220,000 219,646
Pitney Bowes Credit Corp., 5.23%,
05/24/1996.......................... 215,000 213,345
----------
1,214,418
CHEMICALS -- 3.64%
E.I. DuPont De Nemours Co., 5.27%,
05/10/1996.......................... 250,000 248,573
COMPUTERS -- 3.13%
International Business Machines Credit
Corp., 5.03%, 05/22/1996............ 215,000 213,468
CONSUMER FINANCE -- 11.77%
American General Financial Corp.,
5.36%, 04/29/1996................... 175,000 174,270
Beneficial Corp., 5.32%, 05/09/1996... 235,000 233,680
Household Financial Corp., 5.25%,
08/30/1996.......................... 205,000 200,486
Norwest Financial, Inc.,
5.35%, 05/06/1996................... 195,000 194,043
----------
802,479
CONSUMER PRODUCTS -- 13.59%
Coca-Cola Co., 5.30%, 04/15/1996...... 105,000 104,783
Conagra, Inc., 5.32%, 04/04/1996...... 105,000 104,953
H J Heinz Co., 5.33%, 04/30/1996...... 200,000 199,141
Hershey Foods Corp., 5.30%,
04/26/1996.......................... 200,000 199,264
Pepsico, Inc.
5.25%, 04/24/1996................... 100,000 99,665
5.24%, 04/25/1996................... 110,000 109,616
Tyson Foods, Inc., 5.35%,
04/18/1996.......................... 110,000 109,722
----------
927,144
ENERGY -- 8.48%
Amoco Corp., 5.27%, 05/10/1996........ 200,000 198,858
Chevron Oil Financial Co., 5.20%,
04/26/1996.......................... 180,000 179,350
Dresser Industries, Inc.,
5.25%, 04/02/1996................... 200,000 199,971
----------
578,179
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (CONTINUED)
COMMERCIAL PAPER (CONTINUED)
- ---------------------------
HEALTH CARE -- 8.02%
Allegan, Inc., 5.10%, 05/14/1996...... $110,000 $ 109,330
American Home Products Corp., 5.27%,
05/24/1996.......................... 250,000 248,060
Schering Corp., 5.50%, 04/03/1996..... 190,000 189,942
----------
547,332
INDEPENDENT FINANCE -- 9.88%
Associates Corp. -- North America,
5.50%, 04/05/1996................... 205,000 204,875
CIT Group Holdings, Inc., 5.20%,
04/22/1996.......................... 220,000 219,333
General Electric Capital Corp., 5.35%,
04/04/1996.......................... 250,000 249,888
----------
674,096
MORTGAGE BANKING -- 3.14%
Countrywide Corp., 5.26%,
04/26/1996.......................... 215,000 214,215
TELECOMMUNICATIONS -- 19.07%
American Telephone & Telegraph Co.,
5.20%, 05/17/1996................... 190,000 188,737
Ameritech Corp., 5.25%, 07/08/1996.... 250,000 246,427
Bell South Telecommunications, 5.27%,
04/23/1996.......................... 180,000 179,420
GTE Northwest
5.32%, 04/09/1996................... 150,000 149,823
5.54%, 04/02/1996................... 100,000 99,985
Southwestern Bell Capital Corp.,
5.27%, 06/05/1996................... 250,000 247,621
U S West Communications, Inc., 5.15%,
05/17/1996.......................... 190,000 188,750
----------
1,300,763
UTILITIES -- 1.47%
Florida Power Corp., 5.40%,
04/02/1996.......................... 100,000 99,985
----------
TOTAL INVESTMENTS -- 100%
(cost $6,820,652)..................... $6,820,652
==========
</TABLE>
See notes to the financial statements.
<PAGE> 34
PPM AMERICA/JNL VALUE EQUITY SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ----------
<S> <C> <C>
COMMON STOCKS -- 100%
- ---------------------
AEROSPACE -- 4.86%
Lockheed Martin Corp.................... 550 $ 41,731
Rockwell International Corp............. 900 52,988
United Technologies Corp................ 600 67,350
----------
162,069
AUTOMOTIVE -- 5.59%
Ford Motor Co........................... 1,500 51,562
General Motors Corp..................... 1,200 63,900
TRW, Inc................................ 800 71,300
----------
186,762
BANKS -- 8.97%
BankAmerica Corp........................ 800 62,000
Boatmen's Bancshares, Inc............... 800 31,400
Chemical Banking Corp................... 1,000 70,500
KeyCorp................................. 1,800 69,525
Mellon Bank Corp........................ 1,200 66,150
----------
299,575
CAPITAL GOODS -- 1.40%
General Electric Co..................... 600 46,725
CHEMICALS -- 4.16%
W.R. Grace & Co......................... 900 70,425
PPG Industries, Inc..................... 1,400 68,425
----------
138,850
COMPUTERS -- 2.33%
International Business Machines Corp.... 700 77,787
CONSUMER -- 2.27%
Polaroid Corp........................... 1,000 45,000
Dial Corp............................... 1,100 30,800
----------
75,800
ELECTRIC UTILITIES -- 7.57%
Edison International.................... 3,000 51,375
General Public Utilities Corp........... 2,100 69,300
Ohio Edison Co.......................... 2,900 65,613
PECO Energy Co.......................... 2,500 66,562
----------
252,850
ELECTRONICS & INSTRUMENTATION -- 4.11%
Harris Corp............................. 1,000 61,875
Xerox Corp.............................. 600 75,300
----------
137,175
FINANCIAL -- 2.98%
Beneficial Corp......................... 1,200 69,150
Student Loan Marketing Association...... 400 30,600
----------
99,750
FOOD & BEVERAGE -- 7.26%
American Brands, Inc.................... 1,200 50,850
Anheuser-Busch Cos., Inc................ 800 53,900
Earthgrains Co.......................... 32 956
Philip Morris Co., Inc.................. 800 70,200
RJR Nabisco Holdings Corp............... 2,200 66,550
----------
242,456
<CAPTION>
MARKET
SHARES VALUE
------ ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
HEALTH CARE -- 9.04%
Baxter International, Inc............... 1,200 $ 54,300
Bristol Myers Squibb Co................. 800 68,500
Columbia/ HCA Healthcare Corp........... 1,100 63,525
Upjohn Co............................... 1,400 55,825
U.S. Healthcare, Inc.................... 1,300 59,637
----------
301,787
INSURANCE -- 7.13%
American General Corp................... 1,300 44,850
CIGNA Corp.............................. 700 79,975
ITT Hartford Group, Inc................. 1,400 68,600
Transamerica Corp....................... 600 44,925
----------
238,350
LEISURE & ENTERTAINMENT -- 1.99%
Hasbro, Inc............................. 1,800 66,600
MANUFACTURING -- 2.13%
Parker-Hannifin Corp.................... 1,900 71,250
MERCHANDISING -- 6.71%
Dayton Hudson Corp...................... 700 59,412
Federated Department Stores, Inc.(a).... 2,100 67,725
Nike, Inc. -- Class B................... 400 32,500
J.C. Penney Co., Inc.................... 1,300 64,675
----------
224,312
NON-FERROUS METALS -- 2.05%
Phelps Dodge Corp....................... 1,000 68,625
PETROLEUM -- 9.62%
Ashland, Inc............................ 1,700 65,238
Chevron Corp............................ 1,200 67,350
Exxon Corp.............................. 900 73,463
Occidental Petroleum Corp............... 2,700 72,225
Texaco, Inc............................. 500 43,000
----------
321,276
RAILROADS -- 3.03%
Burlington Northern Sante Fe, Inc....... 400 32,850
CSX Corp................................ 1,500 68,438
----------
101,288
TELECOMMUNICATIONS -- 4.81%
360 Communications Co.(b)............... 0 8
Sprint Corp............................. 2,100 79,800
US West, Inc............................ 2,500 80,938
----------
160,746
TEXTILES -- 1.99%
VF Corporation.......................... 1,200 66,300
----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $2,845,198)....................... $3,340,333
==========
</TABLE>
- -------------------------
(a) Non-income producing.
(b) Less than one full share of this security is held in the Series.
See notes to the financial statements.
<PAGE> 35
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
CORPORATE BONDS -- 40.36%
- -------------------------
UNITED STATES -- 40.36%
- -----------------------
AEROSPACE INDUSTRIES -- 2.21%
Talley Industries,
10.75%, 10/15/2003............... $150,000 $ 150,750
CAPITAL GOODS -- 2.24%
Alvey Systems, (144a),
11.375%, 01/31/2003.............. 150,000 152,250
FINANCIAL -- 3.09%
Empress River Casino Financial,
10.75%, 04/01/2002............... 150,000 153,750
Mellon Financial,
9.75%, 06/15/2001................ 50,000 56,222
----------
209,972
INDUSTRIAL -- 21.12%
Foamex L.P.,
11.875%, 10/01/2004.............. 250,000 237,500
Inter-City Products,
9.75%, 03/01/2000................ 150,000 132,000
Jordan Industries, Inc.,
10.375%, 08/01/2003.............. 250,000 230,625
Penn Traffic Co.,
9.625%, 04/15/2005............... 250,000 215,625
Samsonite Corp.,
11.125%, 07/15/2005.............. 150,000 148,875
Selmer Co., Inc.,
11.00%, 05/15/2005............... 250,000 259,375
Telex Communications,
12.00%, 07/15/2004............... 200,000 212,500
----------
1,436,500
PUBLISHING -- 3.75%
American Media Operations,
11.625%, 11/15/2004.............. 250,000 255,000
TELECOMMUNICATION -- 6.12%
Adelphia Communications,
12.50%, 05/15/2002............... 250,000 258,125
People's Choice
13.125%, 06/01/2004(a)........... 250,000 158,125
----------
416,250
TRANSPORTATION -- 1.83%
Airplanes Pass-through Trust,
10.875%, 03/15/2019.............. 125,000 125,000
----------
Total Corporate Bonds
(cost $2,749,458).............. 2,745,722
----------
GOVERNMENT BONDS -- 46.23%
- --------------------------
ARGENTINA -- 2.65%
- ------------------
Argentina Floating Rate Bond,
6.3125%, 03/31/2005(b)........... 250,000 180,000
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
GOVERNMENT BONDS (CONTINUED)
- ----------------------------
AUSTRALIA -- 0.39%
- ------------------
Australia Government Bond,
6.75%, 11/15/2006................ $ 40,000 $ 26,765
BRAZIL -- 4.58%
- ---------------
Brazil C Bond (payment-in-kind
bond),
8.00%, 04/15/2014(c)............. 520,200 311,730
BULGARIA -- 1.83%
- -----------------
Bulgaria Floating Rate
Government Bond
6.25%, 07/28/2024(b)............. 250,000 124,531
CANADA -- 1.31%
- ---------------
Canadian Government Bond,
9.00%, 12/01/2004................ 112,000 89,478
DENMARK -- 0.80%
- ----------------
Denmark Bullet,
8.00%, 03/15/2006................ 300,000 54,382
ECUADOR -- 1.28%
- ----------------
Ecuador Pars (step-up bond),
3.25%, 02/28/2025(d)............. 250,000 87,187
GERMANY -- 3.84%
- ----------------
Germany (Federal Republic),
6.00%, 02/16/2006................ 130,000 85,158
Bundesobl (Germany),
6.00%, 02/20/1998................ 250,000 175,551
----------
Total Germany.................... 260,709
MEXICO -- 2.34%
- ---------------
Mexico Pars,
6.25%, 12/31/2019................ 250,000 159,062
NETHERLANDS -- 1.11%
- --------------------
Netherland Government Bond,
6.25%, 07/15/1998................ 120,000 75,820
POLAND -- 2.78%
- ---------------
Poland PDI (step-up bond),
3.75%, 10/27/2014(d)............. 250,000 189,218
UNITED KINGDOM -- 0.46%
- -----------------------
United Kingdom Treasury Bond,
8.50%, 12/07/2005................ 20,000 31,246
UNITED STATES -- 20.78%
- -----------------------
U.S. GOVERNMENT AGENCIES -- 8.65%
- ---------------------------------
Federal Home Loan Mortgage Company
6.50%, 02/01/2026(e)............. 300,000 285,187
Federal National Mortgage
Association
13.00%, 11/15/2015............... 15,000 17,977
6.50%, 02/01/2026(e)............. 300,000 284,812
----------
587,976
</TABLE>
See notes to the financial statements.
<PAGE> 36
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
GOVERNMENT BONDS (CONTINUED)
- ----------------------------
U.S. TREASURY NOTES -- 12.13%
U.S. Treasury Note
5.00%, 01/31/1998................ $300,000 $ 296,156
5.625%, 02/28/2001............... 90,000 88,200
5.625%, 02/15/2006............... 465,000 441,025
----------
825,381
----------
Total United States.............. 1,413,357
----------
VENEZUELA -- 2.08%
- ------------------
Republic of Venezuela-Par,
6.75%, 03/31/2020.................. 250,000 141,250
----------
Total Government Bonds
(cost $3,115,674).............. 3,144,735
----------
RIGHTS -- 0.00%
- ---------------
MEXICO -- 0.00%
- ---------------
Mexico Value Recovery Rights,
6.25%, 06/30/2003 (cost $0)...... 250,000 0
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
WARRANTS -- 0.00%
- -----------------
VENEZUELA -- 0.00%
- ------------------
Republic of Venezuela Warrants (cost
$0)................................ 1,250 $ 0
SHORT-TERM INVESTMENTS -- 13.41%
- --------------------------------
REPURCHASE AGREEMENT -- 13.41%
Repurchase Agreement with Merrill
Lynch, 5.40% (Collateralized by
U.S. Treasury STRIP), acquired on
3/29/96, due 4/1/96 (cost
$912,000)........................ $912,000 912,000
----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $6,777,132).................. $6,802,457
=========
</TABLE>
- -------------------------
(a) Denotes deferred interest security that receives no coupon payments until a
predetermined date at which time the stated coupon rate becomes effective.
(b) Coupon is indexed to 6 Month Libor rate. Stated rate is in effect on March
31, 1996.
(c) Currently a portion of this security's coupon payment is received in
additional principal.
(d) Coupon payment periodically increases over the life of the security. Rate
stated is rate in effect on March 31, 1996.
(e) Investment purchased on a when-issued basis.
See notes to the financial statements.
<PAGE> 37
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
GOVERNMENT BONDS -- 68.19%
- --------------------------
U.S. TREASURY NOTES -- 14.10%
U.S. Treasury Note
6.50%, 08/15/2005................. $ 80,000 $ 80,313
5.625%, 02/15/2006................ 185,000 175,461
8.125%, 08/15/2019................ 140,000 159,993
----------
415,767
U.S. GOVERNMENT AGENCIES -- 54.09%
Federal Home Loan Mortgage Corp.
5.94% 06/13/2000.................. 300,000 296,391
6.00%, 10/01/2010................. 96,641 92,865
11.75%, 01/01/2011................ 17,553 19,562
Federal National Mortgage
Association
14.50%, 11/15/2014................ 13,966 17,388
12.50%, 08/01/2015................ 9,955 11,483
13.00%, 11/15/2015................ 31,263 37,467
11.50%, 09/01/2019................ 9,924 11,220
11.50%, 02/01/2020................ 49,449 55,908
9.50%, 08/01/2022................. 57,860 62,381
6.50%, 06/20/2025(a).............. 450,000 427,359
7.00%, 08/01/2025(a).............. 100,000 97,437
Government National Mortgage
Association
7.00%, 12/15/2025(a).............. 50,000 48,703
Student Loan Marketing Association
7.50%, 03/08/2000................. 400,000 417,188
----------
1,595,352
----------
Total Government Bonds
(cost $2,034,159)............. 2,011,119
----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ----------
<S> <C> <C>
CORPORATE BONDS -- 8.07%
- ------------------------
FINANCIAL -- 8.07%
Associate Corp.
5.60%, 01/15/2001................. $100,000 $ 96,552
Ford Motor Credit Co.
6.25%, 12/08/2005................. 150,000 141,521
----------
Total Corporate Bonds
(cost $248,057)............... 238,073
----------
SHORT-TERM INVESTMENTS -- 23.74%
- --------------------------------
REPURCHASE AGREEMENT -- 23.74%
Repurchase agreement with Merrill
Lynch, 5.40% (Collateralized by
U.S. Treasury Strip), acquired on
3/29/96, due 4/1/96
(cost $700,000)........ 700,000 700,000
----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $2,982,216)................... $2,949,192
=========
</TABLE>
- -------------------------
(a) Investment purchased on a when-issued basis.
See notes to the financial statements.
<PAGE> 38
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------------- ----------
<S> <C> <C>
COMMON STOCKS -- 91.81%
- -----------------------
FRANCE -- 1.41%
- ---------------
CONFECTIONS & BEVERAGES -- 1.41%
LVMH Moet-Hennessy.................... 500 $ 126,912
GERMANY -- 1.40%
- ----------------
BANKS -- 1.40%
Deutsche Bank AG...................... 2,500 125,868
HONG KONG -- 2.59%
- ------------------
FINANCE COMPANIES -- 2.59%
Hutchinson Whampoa Ltd................ 37,000 232,536
ITALY -- 3.70%
- --------------
FINANCE COMPANIES -- 2.03%
Banca Fideuram SPA.................... 124,000 182,472
TELECOMMUNICATIONS -- 1.67%
Telecom Italia SPA.................... 32,000 50,657
Telecom Italia Di Risp(b)............. 16,500 23,282
Telecom Italia Mobile(b).............. 32,000 58,097
Telecom Italia Mobile Di Risp(b)...... 16,500 18,163
----------
150,199
----------
Total Italy......................... 332,671
NETHERLANDS -- 0.57%
- --------------------
CONSUMER PRODUCTS -- 0.57%
Hagemeyer NV.......................... 750 51,150
SWEDEN -- 3.53%
- ---------------
DRUGS -- 2.15%
Astra AB -- Class B................... 4,200 192,917
FINANCE COMPANIES -- 1.38%
Kinnevik AB........................... 3,600 123,883
----------
Total Sweden........................ 316,800
SWITZERLAND -- 1.15%
- --------------------
INDUSTRIAL MACHINERY -- 1.15%
Sig Schweizerische Industrie.......... 45 103,201
UNITED KINGDOM -- 1.61%
- -----------------------
TELECOMMUNICATIONS -- 1.61%
Vodafone Group PLC.................... 39,000 144,369
UNITED STATES -- 75.85%
- -----------------------
AUTOMOBILE & PARTS -- 0.68%
Exide Corp............................ 2,600 60,775
BROADCAST & COMMUNICATIONS -- 4.93%
Gaylord Entertainment Co. -- Class
A................................... 3,300 89,100
TeleCommunications -- Class A(b)...... 2,000 37,124
Time Warner, Inc...................... 3,100 126,712
Turner Broadcasting -- Class B........ 600 16,275
Viacom, Inc. -- Class A(b)............ 300 12,300
Viacom, Inc. -- Class B............... 1,700 71,613
Walt Disney Co........................ 1,400 89,425
----------
442,549
<CAPTION>
MARKET
SHARES VALUE
------------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
BUSINESS SERVICES -- 1.17%
Silicon Graphics, Inc.(b)............. 1,000 $ 25,000
3Com Corp.(b)......................... 2,000 79,750
----------
104,750
CHEMICALS -- 1.35%
Great Lakes Chemical Corp............. 1,800 121,275
COMPUTERS & SOFTWARE -- 6.76%
Adobe Systems, Inc.................... 2,000 64,500
Automatic Data Processing............. 2,300 90,563
Bay Networks, Inc.(b)................. 3,400 104,550
Cirrus Logic, Inc.(b)................. 1,100 19,869
Ceridian Corp.(b)..................... 2,100 90,300
First Data Corp....................... 951 67,045
Intuit, Inc.(b)....................... 1,600 72,000
Microsoft Corp.(b).................... 400 41,250
Oracle Systems Corp.(b)............... 900 42,412
Sybase, Inc.(b)....................... 600 13,950
----------
606,439
CONFECTIONS & BEVERAGES -- 4.84%
Anheuser-Busch Cos., Inc.............. 600 40,425
Coca-Cola Co.......................... 2,700 223,088
Pepsico, Inc.......................... 2,700 170,775
----------
434,288
CONSUMER PRODUCTS -- 4.04%
Campbell Soup Co...................... 800 48,700
Eastman Kodak Co...................... 1,500 106,500
Philip Morris Cos., Inc............... 800 70,200
Pioneer HI Bred International, Inc.... 1,000 52,625
Proctor & Gamble Co................... 1,000 84,750
----------
362,775
DIVERSIFIED -- 1.28%
Alco Standard Corp.................... 2,200 114,675
DRUGS -- 6.91%
Amgen, Inc.(b)........................ 4,100 238,313
Cardinal Health, Inc.................. 2,100 134,925
Medeva PLC Sponsored ADS.............. 4,500 66,375
Merck & Company, Inc.................. 1,500 93,375
SmithKline Beecham PLC-ADR............ 1,700 87,550
----------
620,538
ELECTRONICS -- 4.37%
Altera Corp.(b)....................... 600 33,525
Emerson Electric Co................... 900 72,675
General Electric Co................... 2,700 210,262
Intel Corp............................ 500 28,438
Xilinx, Inc.(b)....................... 1,500 47,625
----------
392,525
</TABLE>
See notes to the financial statements.
<PAGE> 39
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
FINANCIAL SERVICES -- 5.97%
Federal Home Loan Mortgage Corp....... 2,700 $ 230,175
Federal National Mortgage
Association......................... 7,000 223,125
JP Morgan & Co., Inc.................. 1,000 83,000
----------
536,300
FOOD SERVICE -- 0.53%
McDonald's Corp....................... 1,000 48,000
HEALTH PRODUCTS & CARE -- 4.85%
Johnson & Johnson..................... 2,400 221,400
Pfizer, Inc........................... 1,800 120,600
Warner-Lambert Co..................... 900 92,925
----------
434,925
HOUSEHOLD FURNITURE & APPLIANCES --
0.48%
Newell Company........................ 1,600 42,800
INDUSTRIAL MACHINERY -- 0.55%
Corning, Inc.......................... 1,400 49,000
INSURANCE -- 6.04%
Ace Limited........................... 1,000 44,625
American International Group.......... 1,200 112,350
Partner Re Holdings Limited(a)........ 3,500 104,125
UNUM Corp............................. 2,100 124,950
Zurich Reinsurance(b)................. 4,800 156,600
----------
542,650
MEDICAL SERVICES & SUPPLIES -- 3.35%
Columbia/HCA Health Corp.............. 2,100 121,275
Genentech, Inc.(b).................... 2,000 105,250
St. Jude Medical, Inc.(b)............. 2,000 74,624
----------
301,149
METALS & MINING -- 1.20%
Ashanti Goldfields Co. Limited
(144a).............................. 700 16,975
Barrick Gold Corp..................... 2,600 78,975
Pohang Iron & Steel Co. ADR........... 500 12,125
----------
108,075
OIL & GAS -- 1.79%
Royal Dutch Petroleum Co. ADR......... 300 42,373
Schlumberger Limited.................. 1,500 118,688
----------
161,061
PACKAGED FOOD -- 1.87%
HJ Heinz Co........................... 2,400 79,500
Sara Lee Corp......................... 2,700 88,088
----------
167,588
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
------------- ----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
PRINTING & PUBLISHING -- 1.31%
Reuters Holdings PLC ADR.............. 1,800 $ 117,225
RETAIL -- 5.43%
Circuit City Stores, Inc.............. 1,900 56,762
General Nutrition Companies,
Inc.(b)............................. 2,700 67,500
Harcourt General, Inc................. 2,400 108,900
Hasbro, Inc........................... 1,800 66,600
Home Depot, Inc....................... 1,700 81,388
Revco D.S., Inc.(b)................... 2,700 74,250
Toys R Us, Inc.(b).................... 1,200 32,400
----------
487,800
TELECOMMUNICATIONS -- 6.15%
Alltel Corp........................... 3,600 111,600
DSC Communications Corp.(b)........... 2,100 56,700
Ericsson LM Telephone Co. ADR......... 4,600 98,325
Grupo Iusacell S.A. ADR(b)............ 1,900 20,663
Telecomunicacoes Brasileiras Telebras
SA ADR.............................. 1,400 69,650
Vodafone Group PLC ADR................ 5,200 195,000
----------
551,938
----------
Total United States................. 6,809,100
----------
Total Common Stocks
(cost $7,631,999)............... 8,242,607
----------
SHORT-TERM INVESTMENTS -- 8.19%
- -------------------------------
U.S. GOVERNMENT AGENCIES -- 1.22%
Federal National Mortgage Association
5.18%, 04/04/1996................... $ 110,000 109,953
U.S. TREASURY BILLS -- 3.08%
U.S. Treasury Bill
5.105%, 04/25/1996.................. 277,000 276,057
COMMERCIAL PAPER -- 3.89%
Preferred Receivables, 5.47%,
04/10/1996.......................... 155,000 154,788
Hewlett-Packard, 5.32%, 04/26/1996.... 195,000 194,280
----------
Total Commercial Paper.............. 349,068
----------
Total Short Term Investments
(cost $735,078)................. 735,078
----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $8,367,077)..................... $8,977,685
=========
</TABLE>
- -------------------------
(a) Security not registered under the Securities Act of 1933. Issuer will bear
all registration costs if the issuer chooses to register the security under
the Securities Act of 1933. Total value of unregistered securities in the
Series as a percentage of net assets is 1.19%.
(b) Non-income producing.
See notes to the financial statements.
<PAGE> 40
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS -- 100%
- ---------------------
ARGENTINA -- 0.17%
- ----------------
ENERGY -- 0.14%
Naviera Perez Compano -- Class B........ 4,452 $ 25,206
Sociedad Comercial Del Plata............ 2,790 7,536
-----------
32,742
TELECOMMUNICATIONS -- 0.03%
Telecom Argentina STET.................. 1,630 6,816
-----------
Total Argentina....................... 39,558
AUSTRALIA -- 1.90%
- ----------------
BASIC INDUSTRY -- 0.81%
Amcor Limited........................... 3,000 19,525
Broken Hill Proprietary Co.............. 4,043 57,623
Lend Lease Corp......................... 1,365 19,775
Smith (Howard) Limited.................. 5,000 27,340
Tab Corp. Holdings Limited.............. 8,000 32,479
Western Mining Corp. Holdings Limited... 4,000 26,471
-----------
183,213
CONSUMER PRODUCTS -- 0.45%
Coca-Cola Amatil........................ 2,771 27,919
News Corp............................... 6,015 35,242
Publishing & Broadcasting Limited....... 5,000 21,903
Sydney Harbour Casino(a)................ 12,000 18,023
-----------
103,087
FINANCIAL COMPANIES -- 0.24%
National Australia Bank................. 2,000 17,835
Westpac Banking Corp.................... 8,000 37,673
-----------
55,508
ENERGY -- 0.32%
Australia Gas Light Co.................. 9,000 38,017
Woodside Petroleum Limited.............. 6,000 33,605
-----------
71,622
TRANSPORTATION & STORAGE -- 0.08%
TNT Limited............................. 11,000 13,596
TNT Limited 8% Convertible Preferred.... 3,000 4,248
-----------
17,844
-----------
Total Australia...................... 431,274
AUSTRIA -- 0.13%
- --------------
ENERGY -- 0.04%
EVN-Energie Versorgung Niedr............ 60 8,178
FINANCIAL COMPANIES -- 0.04%
Creditanstalt Bankverein................ 140 8,307
TRANSPORTATION & STORAGE -- 0.05%
Flughafen Wien AG....................... 190 12,993
-----------
Total Austria........................ 29,478
BELGIUM -- 1.10%
- ---------------
BASIC INDUSTRY -- 0.29%
UCB..................................... 39 64,272
FINANCIAL COMPANIES -- 0.81%
Generale Banque......................... 180 63,926
Kredietbank............................. 440 120,224
-----------
184,150
-----------
Total Belgium......................... 248,422
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
BELGIUM (CONTINUED)
- -------------------
CANADA -- 0.40%
- --------------
BASIC INDUSTRY -- 0.32%
Alcan Aluminium......................... 1,850 $ 59,745
Macmillan Bloedel....................... 1,020 13,008
-----------
72,753
FINANCIAL COMPANIES -- 0.08%
Royal Bank of Canada.................... 740 17,313
-----------
Total Canada.......................... 90,066
DENMARK -- 0.25%
- ----------------
FINANCIAL COMPANIES -- 0.20%
Den Danske Bank AB...................... 390 24,706
Unidanmark.............................. 480 21,732
-----------
46,438
TELECOMMUNICATIONS -- 0.05%
Teledanmark -- Class B.................. 200 10,424
-----------
Total Denmark......................... 56,862
FINLAND -- 0.13%
- --------------
CAPITAL GOODS -- 0.13%
Nokia (AB) OY........................... 880 30,480
FRANCE -- 7.99%
- --------------
BASIC INDUSTRY -- 1.00%
GTM Entrepose........................... 300 20,675
Lapeyre................................. 700 39,275
Poliet.................................. 650 68,421
Saint-Gobain............................ 750 97,418
-----------
225,789
CAPITAL GOODS -- 0.55%
Chargeurs............................... 190 48,642
Legrand................................. 122 22,898
Promodes................................ 80 20,894
Rexel................................... 150 33,069
-----------
125,503
CONSUMER PRODUCTS -- 4.30%
Accor................................... 355 53,514
Canal Plus.............................. 100 23,396
Carrefour Super Marche.................. 270 197,768
Castorama Dubois Investissment.......... 212 38,737
Ecco Ste................................ 370 85,317
Guilbert SA............................. 181 26,134
Hermes International.................... 30 7,978
L'Oreal................................. 100 31,341
LVMH Moet-Hennessy Louis Vuitton........ 660 167,523
Pinault Printemps Redoute............... 490 135,273
Sanofi.................................. 368 26,750
</TABLE>
See notes to the financial statements.
<PAGE> 41
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
FRANCE (CONTINUED)
- ------------------
CONSUMER PRODUCTS (CONTINUED)
Sodexho................................. 130 $ 49,857
Television Francais..................... 1,270 129,901
-----------
973,489
ENERGY -- 0.77%
Elf Aquitaine........................... 1,000 67,825
Primagaz (Cie Des Gaz Petrole).......... 325 32,790
Primagaz (Cie Des Gaz Petrole)
Warrants.............................. 15 244
Total -- Class B........................ 1,100 74,280
-----------
175,139
FINANCIAL COMPANIES -- 0.32%
Assurances Generales De France.......... 766 21,299
Credit Local De France.................. 404 31,646
Societe Generale........................ 180 20,020
-----------
72,965
UTILITIES -- 1.05%
Eaux (Cie Generale Des)................. 2,340 239,345
-----------
Total France.......................... 1,812,230
GERMANY -- 4.35%
- ----------------
BASIC INDUSTRY -- 1.91%
Bayer AG................................ 450 153,287
Bilfinger & Berger Bauag................ 90 35,327
Hoechst AG.............................. 89 31,528
Shering AG.............................. 522 41,333
Siemens AG.............................. 78 42,927
Veba AG................................. 2,635 128,060
-----------
432,462
CAPITAL GOODS -- 0.42%
Buderus AG.............................. 58 21,922
Krones AG............................... 70 28,496
Mannesmann AG........................... 128 46,645
-----------
97,063
CONSUMER PRODUCTS -- 1.15%
Altana.................................. 21 13,513
Fielmann AG............................. 336 15,977
Gehe AG(a).............................. 243 139,906
Gehe AG Rights(a)....................... 60 33,813
Hornbach Baumarkt AG.................... 200 6,719
Hornbach Holdings....................... 400 22,894
Praktiker Bau-und Heimwerkemaekte(a).... 309 7,325
Volkswagen AG........................... 60 21,032
-----------
261,179
FINANCIAL COMPANIES -- 0.87%
Allianz AG Holdings..................... 74 137,489
Deutsche Bank AG........................ 1,200 60,417
-----------
197,906
-----------
Total Germany......................... 988,610
HONG KONG -- 4.49%
- ------------------
CHEMICALS -- 0.28%
Shanghai Petrochemical Co. Limited...... 122,000 37,864
Yizheng Chemical Fiber Co. Limited...... 102,000 26,380
-----------
64,244
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
FINANCE COMPANIES -- 4.21%
Dao Heng Bank Group Limited............. 16,000 $ 66,210
First Pacific Co........................ 88,461 123,546
Guangdon Investments Limited............ 74,000 47,608
Guangzhou Investments................... 250,000 65,466
Guoco Group............................. 18,000 98,461
Hopewell Holdings....................... 179,000 104,164
Hutchison Whampoa....................... 19,000 119,410
New World International................. 24,000 112,350
Swire Pacific Co........................ 12,000 105,910
Wharf Holdings.......................... 30,000 112,117
-----------
955,242
-----------
Total Hong Kong....................... 1,019,486
ITALY -- 1.94%
- --------------
BASIC INDUSTRY -- 0.27%
Danieli & Co. Di Risp................... 2,000 7,899
Ente Nazionale Idrocarburi SpA (ENI).... 6,000 21,768
Finanziaria Autogrill Spa(a)............ 3,031 3,282
Sasib................................... 2,106 8,050
Sasib Di Risp........................... 6,000 11,925
Unicem (Union-CEM-March Emil)........... 1,400 8,829
-----------
61,753
CONSUMER PRODUCTS -- 0.10%
Rinascente (La)......................... 3,000 19,350
SME (Meridionale De Finanziaria)........ 3,031 3,313
-----------
22,663
FINANCIAL COMPANIES -- 0.68%
Assicurazioni Generali Spa.............. 4,000 89,312
Banca Fideuram.......................... 25,440 37,436
IMI Spa................................. 1,000 6,842
Istituto National Assicurazioni......... 8,000 10,906
RAS..................................... 1,100 10,721
-----------
155,217
UTILITIES -- 0.10%
Italgas (Societa Italiana II Gas) Spa... 8,000 23,188
TELECOMMUNICATIONS -- 0.79%
STET.................................... 20,000 55,486
STET Di Risp............................ 10,000 19,876
Telecom Italia Di Risp.................. 10,797 11,885
Telecom Italia Mobile................... 33,601 61,004
Telecom Italia Spa...................... 18,979 30,044
-----------
178,295
-----------
Total Italy........................... 441,116
JAPAN -- 25.01%
- ---------------
BASIC INDUSTRY -- 5.79%
Daiwa House Industry Co................. 9,000 141,573
Inax.................................... 4,000 38,577
Ishihara Sangyo Kaisha.................. 4,000 14,307
Kumagai Gumi............................ 8,000 33,109
</TABLE>
See notes to the financial statements.
<PAGE> 42
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
JAPAN (CONTINUED)
- -----------------
BASIC INDUSTRY (CONTINUED)
Kuraray Co. Limited..................... 8,000 $ 86,142
Mitsubishi Paper Mills Limited.......... 6,000 35,674
National House Industry................. 2,000 34,083
Nippon Hodo............................. 2,000 33,708
Nippon Steel Corp....................... 41,000 141,273
Sangetsu Co. Limited.................... 1,000 24,157
Sekisui Chemical Co. Limited............ 9,000 117,978
Sekisui House........................... 7,000 87,828
Shinetsu Chemical Co. Limited........... 5,250 101,264
Sumitomo Elecric Industries Limited..... 12,000 161,798
Sumitomo Forestry Co. Limited........... 4,000 61,423
Teijin.................................. 17,000 93,914
Tokyo Steel Manufacturing............... 4,000 72,659
Yurtec Corp............................. 2,000 34,644
-----------
1,314,111
CAPITAL GOODS -- 9.13%
Advantest............................... 1,100 49,644
Alps Electric Co........................ 4,000 43,446
Amada Co. Limited....................... 8,000 84,644
Canon, Inc.............................. 9,000 171,910
Citizen Watch Co........................ 5,000 41,058
DDI Corp................................ 11 83,942
Dai Nippon Screen Manufacturing......... 7,000 66,198
Daifuku Co. Limited..................... 2,000 30,150
Fanuc Co. Limited....................... 2,000 81,273
Hitachi Limited......................... 12,000 116,854
Hitachi Zosen Corp...................... 12,000 64,719
Kokuyo Co............................... 4,000 109,363
Komatsu Limited......................... 10,000 89,232
Komori Corp............................. 3,000 76,404
Kyocera Corp............................ 3,000 203,933
Makita Corp............................. 6,000 90,449
Mitsubishi Heavy Industries Limited..... 24,000 207,641
Murata Manufacturing Co. Limited........ 3,000 103,371
NEC Corp................................ 17,000 197,378
Nippon Telephone & Telegraph Corp....... 11 80,543
SEGA Enterprises........................ 1,000 45,318
Tokyo Electron Limited.................. 1,000 34,176
-----------
2,071,646
CONSUMER PRODUCTS -- 6.78%
Daiichi Pharmaceutical.................. 7,000 110,112
Honda Motor Co.......................... 3,000 65,449
Ito-Yokado Co........................... 2,000 118,914
Marui Co. Limited....................... 6,000 130,899
Matsushita Electric Industrial Co....... 8,000 130,337
Mitsubishi Corp......................... 5,000 65,543
Pioneer Electronic Corp................. 5,000 102,996
Sankyo.................................. 6,000 137,641
Seven Eleven Japan Co. Limited.......... 1,100 70,965
Sharp Corp.............................. 9,000 144,101
Sony Corp............................... 2,000 119,663
Sumitomo Corp........................... 14,000 148,127
TDK Corp................................ 2,000 103,184
Toppan Printing......................... 7,000 91,105
-----------
1,539,036
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
JAPAN (CONTINUED)
- -----------------
ENERGY -- 0.15%
Mitsui Petrochemical Industries......... 4,000 $ 32,996
FINANCIAL COMPANIES -- 1.81%
Mitsui Fudosan.......................... 14,000 182,210
Nomura Securities Co. Limited........... 8,000 176,030
Tokio Marine & Fire Insurance Co........ 4,000 52,060
-----------
410,300
TRANSPORTATION & STORAGE -- 1.35%
East Japan Railway...................... 24 123,596
Nippondenso Co.......................... 9,000 182,022
-----------
305,618
-----------
Total Japan........................... 5,673,707
MALAYSIA -- 3.32%
- -----------------
BASIC INDUSTRY -- 1.21%
Berjaya Sports Toto Berhad.............. 19,000 57,109
Tajong.................................. 9,000 33,459
Technology Resources Industries......... 51,000 183,548
-----------
274,116
CAPITAL GOODS -- 0.84%
Renong Berhad........................... 45,000 73,324
Renong Berhad Rights(a)................. 8,200 0
Renong Berhad Warrants(a)............... 5,125 0
United Engineers (Malaysia) Berhad...... 17,000 117,659
-----------
190,983
FINANCIAL COMPANIES -- 1.27%
Affin Holdings Berhad................... 55,000 123,987
Affin Holdings Berhad Warrants(a)....... 11,000 10,354
Commerce Asset-Holdings Berhad
Warrants(a)........................... 9,000 28,653
MBF Capital Berhad...................... 32,000 42,270
Multi-Purpose Holding................... 52,000 84,319
-----------
289,583
-----------
Total Malaysia........................ 754,682
MEXICO -- 0.92%
- --------------
BASIC INDUSTRY -- 0.36%
Cemex SA................................ 12,063 42,954
Cemex SA -- Class B..................... 4,950 18,972
Grupo Embotellador De Mexico............ 13,433 19,240
-----------
81,166
CONSUMER PRODUCTS -- 0.35%
Fomento Ecomomico Ser B................. 8,359 23,612
Grupo Industrial Maseca SA De Cv --
Class B............................... 20,800 17,489
Grupo Modelo SA -- Class C.............. 1,784 8,245
Kimberly-Clark Mexicano -- Class A...... 1,532 29,256
-----------
78,602
FINANCIAL COMPANIES -- 0.21%
Gruma SA De Cv.......................... 6,890 24,397
</TABLE>
See notes to the financial statements.
<PAGE> 43
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
MEXICO (CONTINUED)
- ------------------
FINANCIAL COMPANIES (CONTINUED)
Grupo Financiero Banamex -- Class A..... 11,288 $ 24,101
Grupo Financiero Banamex -- Class L..... 124 237
-----------
48,735
-----------
Total Mexico.......................... 208,503
NETHERLANDS -- 10.22%
- --------------------
BASIC INDUSTRY -- 0.12%
Akzo Nobel NV........................... 238 26,457
CONSUMER PRODUCTS -- 6.81%
Ahold (Kon) NV.......................... 1,170 56,429
CSM NV.................................. 2,500 119,818
Elsevier NV............................. 26,474 405,321
Hagemeyer............................... 530 36,146
Koninklijka Ahold NV.................... 957 37,643
Nutricia (Verenigde Bedrijven).......... 380 38,057
Polygram NV............................. 2,637 159,576
Unilever NV............................. 890 121,342
Wolters Kluwer.......................... 5,204 572,519
-----------
1,546,851
ENERGY -- 1.70%
Royal Dutch Petroleum Co................ 2,720 385,162
FINANCIAL COMPANIES -- 1.59%
ABN AMRO Holdings NV.................... 1,888 93,914
Fortis AMEV NV.......................... 1,080 76,139
Internationale Nederlanden Groep........ 2,620 190,257
-----------
360,310
-----------
Total Netherlands..................... 2,318,780
NEW ZEALAND -- 0.68%
- -------------------
BASIC INDUSTRY -- 0.34%
Carter Holt Harvey...................... 11,000 24,274
Fernz Corp.............................. 5,000 15,836
Fletcher Challenge Building(a).......... 1,750 4,303
Fletcher Challenge Energy............... 1,750 3,266
Fletcher Challenge Forest Division...... 15,993 21,350
Fletcher Challenge Paper(a)............. 3,500 7,485
-----------
76,514
TELECOMMUNICATIONS -- 0.24%
New Zealand Telecom..................... 12,000 53,943
TRANSPORTATION & STORAGE -- 0.10%
Air New Zealand -- Class B.............. 7,000 23,123
-----------
Total New Zealand..................... 153,580
NORWAY -- 1.42%
- --------------
CAPITAL GOODS -- 0.57%
Kvaerner Industrier..................... 360 12,939
Orkla AS................................ 2,540 116,840
-----------
129,779
ENERGY -- 0.80%
Norsk Hydro............................. 3,960 172,280
Saga Petroleum -- Class B............... 710 8,303
-----------
180,583
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
NORWAY (CONTINUED)
- ------------------
TRANSPORTATION & STORAGE -- 0.05%
Bergesen D-Y AS......................... 650 $ 11,301
-----------
Total Norway.......................... 321,663
PORTUGAL -- 0.45%
- ----------------
CONSUMER PRODUCTS -- 0.45%
Jeronimo Martins SGPS................... 1,370 102,456
SINGAPORE -- 2.69%
- ----------------
CAPITAL GOODS -- 0.34%
Far East-Levingston Shipbuilding........ 5,000 27,886
Jurong Shipyard......................... 4,000 23,730
Sembawang Corp.......................... 5,000 25,044
-----------
76,660
CONSUMER PRODUCTS -- 0.33%
Fraser & Neave Limited.................. 2,400 27,112
Singapore Press Holdings................ 2,400 47,915
-----------
75,027
FINANCIAL COMPANIES -- 1.79%
DBS Land................................ 13,000 49,876
Development Bank of Singapore........... 3,000 36,874
Overseas Union Bank..................... 13,000 92,362
Singapore Land.......................... 12,000 87,815
United Industrial Corp.................. 22,000 23,602
United Overseas Bank.................... 10,000 100,888
United Overseas Bank Warrants........... 3,000 12,682
-----------
404,099
TRANSPORTATION & STORAGE -- 0.23%
Keppel Corp............................. 3,000 27,282
Neptune Orient Lines.................... 13,000 14,778
Singapore Airlines...................... 1,000 10,373
-----------
52,433
-----------
Total Singapore....................... 608,219
SPAIN -- 2.54%
- -------------
BASIC INDUSTRY -- 0.06%
Fomento de Construcciones y Contratas
SA.................................... 144 12,878
CONSUMER PRODUCTS -- 0.11%
Centros Comerciales Pryca............... 1,144 25,992
ENERGY -- 0.47%
Repsol.................................. 2,812 106,028
FINANCIAL COMPANIES -- 0.73%
Corp. Bancaria de Espana................ 845 35,742
Banco De Santander SA................... 1,424 67,804
Banco Popular Espanol................... 354 61,149
-----------
164,695
UTILITIES -- 1.17%
Empresa Nacional De Elec (Endesa)....... 2,380 136,334
Gas Natural Sdg SA...................... 428 74,000
Iberdrola I SA.......................... 6,068 55,977
-----------
266,311
-----------
Total Spain........................... 575,904
</TABLE>
See notes to the financial statements.
<PAGE> 44
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
SWEDEN -- 2.61%
- --------------
BASIC INDUSTRY -- 0.11%
Stora Kopparbergs Bergsl AB............. 1,950 $ 24,945
CAPITAL GOODS -- 0.83%
ASEA AB................................. 480 49,697
Atlas Copco AB -- Class B............... 2,720 48,632
Sandvik AB -- Class A................... 560 11,730
Sandvik AB -- Class B................... 3,360 70,380
Scribona AB............................. 750 7,574
-----------
188,013
CONSUMER PRODUCTS -- 1.67%
Astra AB................................ 5,160 237,012
Electrolux Co. -- Class B............... 1,610 78,528
Esselte -- Class B...................... 560 9,803
Hennes & Mauritz AB -- Class B.......... 740 52,591
-----------
377,934
-----------
Total Sweden.......................... 590,892
SWITZERLAND -- 4.51%
- -------------------
BASIC INDUSTRY -- 0.49%
Ciba Geigy AG........................... 89 111,325
CAPITAL GOODS -- 0.73%
BBC AG Brown, Boveri and Cie............ 137 166,531
CONSUMER PRODUCTS -- 2.66%
Nestle SA............................... 190 214,197
Roche Holdings AG....................... 30 248,992
Sandoz AG............................... 120 140,625
-----------
603,814
FINANCIAL COMPANIES -- 0.63%
CS Holdings............................. 500 45,888
SBC Swiss Bank Corp..................... 200 73,421
Schweizerischer Bankverein.............. 21 23,286
-----------
142,595
-----------
Total Switzerland..................... 1,024,265
THAILAND -- 0.89%
- ----------------
BASIC INDUSTRY -- 0.07%
Siam Cement Public Co................... 300 15,458
CAPITAL GOODS -- 0.11%
Advanced Information Service PLC........ 1,300 24,526
FINANCIAL COMPANIES -- 0.71%
Bangkok Bank............................ 4,000 53,904
Bank of Ayudhya......................... 3,500 22,889
Land & House Public Co.................. 700 11,542
Siam Commercial Bank Public Co.......... 2,800 43,060
Thai Farmers Bank Public................ 2,600 30,503
-----------
161,898
-----------
Total Thailand........................ 201,882
UNITED KINGDOM -- 15.39%
- -----------------------
BASIC INDUSTRY -- 1.11%
Caradon................................. 23,000 71,799
Electrocomponents PLC................... 4,000 21,676
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED KINGDOM (CONTINUED)
- --------------------------
BASIC INDUSTRY (CONTINUED)
Heywood Williams Grp.................... 3,000 $ 10,602
Laing (John)............................ 7,000 32,164
RTZ Corp................................ 8,000 115,892
-----------
252,133
CAPITAL GOODS -- 0.73%
Rolls-Royce............................. 7,000 23,027
Tomkins................................. 37,000 142,896
-----------
165,923
CONSUMER GOODS -- 8.90%
ASDA Group.............................. 49,000 79,474
Argos................................... 11,000 114,687
Argyll Group............................ 15,000 70,296
Cadbury Schweppes....................... 14,000 107,069
Coats Viyella........................... 9,000 28,439
Compass Group........................... 7,000 56,420
GKN PLC................................. 2,000 29,034
Glaxo Wellcome.......................... 11,000 137,859
Grand Metropolitan...................... 20,000 128,837
Guiness................................. 17,000 123,525
Hillsdown Holdings...................... 8,000 22,531
Kingfisher.............................. 16,000 138,973
Ladbroke Group.......................... 13,000 38,598
Rank Organisation....................... 14,000 103,543
Reed International...................... 16,000 270,497
Sears Holdings.......................... 8,000 12,151
Smith (David S)......................... 12,000 56,969
SmithKline Beecham...................... 27,000 271,612
T&N PLC................................. 17,000 44,765
Tesco PLC............................... 13,000 52,886
United News & Media..................... 14,000 131,860
-----------
2,020,025
ENERGY -- 1.23%
British Gas............................. 11,000 38,369
British Petroleum....................... 7,000 61,282
Shell Transport and Trading Co.......... 13,500 178,258
-----------
277,909
FINANCIAL COMPANIES -- 1.97%
Abbey National.......................... 18,000 154,834
National Westminster Bank............... 30,000 291,029
-----------
445,863
TRANSPORTATION & STORAGE -- 0.11%
British Airport Authority PLC........... 3,000 24,500
UTILITIES -- 1.34%
Cable & Wireless........................ 18,000 146,041
East Midland Electricity................ 5,000 45,681
London Electricity...................... 6,857 77,719
National Grid Group PLC................. 11,813 35,119
-----------
304,560
-----------
Total United Kingdom.................. 3,490,913
</TABLE>
See notes to the financial statements.
<PAGE> 45
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES -- 6.50%
- ----------------------
BANKS -- 0.16%
Banco De Galicia ADR.................... 979 $ 23,496
Banco Frances Del Rio De La Plata ADR... 483 13,222
-----------
36,718
BUILDING & CONSTRUCTION -- 0.21%
Cemex SA ADR............................ 6,190 46,425
CONFECTIONS & BEVERAGES -- 0.22%
Baesa -- Class B ADR.................... 222 3,691
Cervecerias Unidas ADR.................. 530 11,263
Panamerican Beverages, Inc. ............ 860 34,723
-----------
49,677
ELECTRIC UTILITIES -- 0.83%
Cemig Cia Energetica Minas Gerais ADR... 1,480 41,298
Cesp Cia Energetica De Sao Paolo ADR.... 510 5,190
Cesp Cia Energetica De Sao Paolo ADR
(144a)(a)............................. 540 5,495
Chilgener SA ADR........................ 604 14,043
Empresa National Electric ADR........... 1,450 27,912
Enersis SA ADR.......................... 690 19,492
Huaneng Power International, Inc.
ADR(a)................................ 4,400 75,350
-----------
188,780
ELECTRONICS -- 0.53%
Grupo Televisa ADR...................... 1,038 25,820
Samsung Electronics GDR (144a).......... 1,651 94,520
-----------
120,340
FINANCIAL SERVICES -- 0.81%
AFP Provida ADR......................... 178 4,183
Brazil Fund, Inc........................ 870 18,814
Chile Fund, Inc......................... 1,320 30,690
Korea Fund, Inc......................... 6,200 130,975
-----------
184,662
<CAPTION>
MARKET
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
MACHINERY -- 0.17%
Centrais Electricas ADR................. 3,000 $ 38,883
METALS & MINING -- 0.42%
Pohang Iron & Steel Co. ADR............. 500 12,125
Uniao Sid Minas Gerais ADR.............. 7,820 83,127
-----------
95,252
OIL & GAS -- 0.37%
Enron Global Power & Pipeline
Partnership........................... 260 6,695
Chilectra SA ADR........................ 390 19,258
Repsol SA ADR........................... 130 4,859
Sociedad Comercial Del Plata ADR
(144a)................................ 500 13,000
Transportadora De Gas Del Sur ADR....... 600 7,200
YPF Sociedad Anonima ADR................ 1,660 33,407
-----------
84,419
REAL ESTATE -- 0.76%
Hong Kong Land Holdings ADR............. 71,343 171,223
RETAIL -- 0.33%
Cifra SA ADR............................ 59,583 75,075
TELECOMMUNICATIONS -- 1.69%
Compania De Telecomunicaciones Chile
ADR................................... 230 19,492
Telecom Argentina STET ADR.............. 180 7,470
Telecomunicacoes Brasileiras Telebras SA
ADR................................... 4,148 206,363
Telefonos De Mexico SA ADR.............. 2,495 82,023
Telefonos De Argentina SA ADR........... 1,930 49,456
Total Access Communications............. 2,000 17,600
-----------
382,404
-----------
Total United States................... 1,473,858
-----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $20,232,891)...................... $22,686,886
===========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
<PAGE> 46
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
COMMON STOCKS -- 87.83%
- -----------------------
SOUTH AFRICA -- 0.79%
- ---------------------
MINING -- 0.79%
Rustenburg Platinum Holdings........... 5,000 $ 87,978
UNITED STATES -- 87.04%
- -----------------------
AEROSPACE & AIRCRAFT -- 1.81%
OEA, Inc............................... 5,500 200,750
AUTOMOBILE & PARTS -- 1.35%
AutoZone, Inc(a)....................... 2,000 67,750
Exide Corp............................. 3,500 81,812
-----------
149,562
APPAREL -- 1.24%
Tommy Hilfiger Corp.(a)................ 3,000 137,625
BANKS -- 0.94%
Marshall & Ilsley Corp................. 4,000 104,500
BROADCAST & COMMUNICATIONS -- 3.21%
Catalina Marketing Corp.(a)............ 2,200 171,875
Comcast Corp. -- Class A............... 3,000 53,061
Cox Communications -- Class A(a)....... 6,000 131,250
-----------
356,186
BUSINESS SERVICES -- 3.71%
CUC International, Inc.(a)............. 2,750 80,437
Olsten Corp............................ 6,800 219,300
Oxford Resource Corp. -- Class A(a).... 4,000 112,000
-----------
411,737
CHEMICALS -- 3.64%
Airgas, Inc.(a)........................ 2,800 111,300
Eckerd Corp.(a)........................ 3,000 144,375
Great Lakes Chemical Corp.............. 1,000 67,375
Guidant Corp........................... 1,500 81,188
-----------
404,238
COMMERCIAL SERVICES -- 1.51%
Alliance Entertainment Corp.(a)........ 9,000 84,375
Career Horizons, Inc.(a)............... 2,800 83,300
-----------
167,675
COMPUTERS & SOFTWARE -- 10.00%
Adobe Systems, Inc..................... 1,700 54,825
America Online, Inc.(a)................ 1,000 56,000
BDM International, Inc.(a)............. 3,300 126,225
BMC Software, Inc.(a).................. 1,200 65,700
Broderbund Software, Inc.(a)........... 1,500 56,625
Ceridian Corp.(a)...................... 2,700 116,100
Electronic Arts, Inc.(a)............... 2,000 53,000
Intuit, Inc.(a)........................ 1,700 76,500
National Data Corp..................... 7,000 238,875
Platinum Technology, Inc.(a)........... 2,000 30,250
Shiva Corp.(a)......................... 500 45,375
SunGard Data Systems, Inc.(a).......... 4,000 137,000
Synopsys, Inc.(a)...................... 1,700 54,400
-----------
1,110,875
<CAPTION>
MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
DRUGS -- 3.96%
Biogen, Inc.(a)........................ 2,500 $ 148,750
Cardinal Health, Inc................... 3,500 224,875
Medeva PLC Sponsored ADS............... 4,500 66,375
-----------
440,000
DURABLE GOODS -- 3.17%
Alco Standard Corp..................... 3,200 166,800
Danaher Corp........................... 5,000 185,000
-----------
351,800
ELECTRONICS -- 5.47%
ADT Limited(a)......................... 17,000 299,625
Altera Corp.(a)........................ 700 39,113
Maxim Integrated Products, Inc.(a)..... 1,600 49,600
Teleflex, Inc.......................... 4,000 180,500
Xilinx, Inc.(a)........................ 1,200 38,100
-----------
606,938
FINANCE COMPANIES -- 2.86%
First USA Paymentech, Inc.(a).......... 200 7,050
Franklin Resources, Inc................ 3,000 171,000
The Money Store, Inc................... 5,000 139,375
-----------
317,425
HEALTH PRODUCTS & CARE -- 7.48%
Apria Healthcare Group, Inc.(a)........ 6,500 206,375
PacifiCare Health Systems -- Class
B(a)................................. 1,500 127,875
Quorum Health Group, Inc.(a)........... 9,000 211,500
St. Jude Medical, Inc.(a).............. 5,000 186,560
Sybron International Corp.(a).......... 4,000 98,000
-----------
830,310
HOTEL & MOTEL -- 1.99%
Hospitality Franchise Systems,
Inc.(a).............................. 2,500 121,562
La Quinta Inns, Inc.................... 3,400 99,875
-----------
221,437
INDUSTRIAL MACHINERY -- 0.83%
Albany International Corp. -- Class
A.................................... 1,000 20,000
MSC Industrial Direct Corp.(a)......... 2,500 72,187
-----------
92,187
INSURANCE -- 6.04%
Ace Limited............................ 5,000 223,125
Partner Re Limited..................... 7,000 208,250
PMI Group, Inc......................... 2,500 109,062
Zurich Reinsurance..................... 4,000 130,500
-----------
670,937
</TABLE>
See notes to the financial statements.
<PAGE> 47
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
MINING -- 1.73%
Freeport-McMoRan Copper & Gold, Inc. --
Class B.............................. 1,500 $ 47,438
Pegasus Gold, Inc.(a).................. 5,000 73,125
TVX Gold, Inc.(a)...................... 8,000 72,000
-----------
192,563
OIL & GAS -- 5.91%
Camco International, Inc............... 4,000 126,000
Cooper Cameron Corp.(a)................ 3,000 126,000
Halliburton Co......................... 1,500 85,313
Republic Industries, Inc.(a)........... 3,100 97,263
Smith International, Inc.(a)........... 6,000 151,500
Weatherford Enterra, Inc.(a)........... 2,000 69,750
-----------
655,826
RETAIL -- 10.00%
Circuit City Stores, Inc............... 6,000 179,250
Circle K Corp.(a)...................... 3,500 107,187
Corporate Express(a)................... 3,000 99,000
General Nutrition Companies, Inc.(a)... 5,000 125,000
Kohls Corp.(a)......................... 2,500 158,438
Petsmart, Inc.(a)...................... 2,500 90,625
Price/Costco, Inc.(a).................. 7,000 131,250
Revco DS, Inc.(a)...................... 8,000 220,000
-----------
1,110,750
STEEL -- 1.98%
Trimas Corp............................ 10,000 220,000
TELECOMMUNICATIONS -- 5.33%
Advo, Inc.............................. 5,000 48,750
Ascend Communications, Inc.(a)......... 1,000 53,875
Paging Network, Inc.(a)................ 3,000 75,000
Telephone & Data Systems, Inc.......... 4,000 185,000
US Cellular Corp.(a)................... 2,000 69,000
Vanguard Cellular Systems, Inc. --
Class A(a)........................... 8,000 160,000
-----------
591,625
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
WASTE DISPOSAL -- 2.88%
Sanifill, Inc.(a)...................... 3,000 $ 115,125
USA Waste Services, Inc.(a)............ 8,000 204,000
-----------
319,125
-----------
Total United States.................. 9,664,071
-----------
Total Common Stocks
(cost $8,349,874)................ 9,752,049
-----------
SHORT-TERM INVESTMENTS -- 12.17%
- --------------------------------
DISCOUNT NOTES -- 1.39%
Federal Farm Credit Bank
5.17%, 04/18/1996.................... $155,000 154,622
U.S. GOVERNMENT AGENCIES -- 1.41%
Federal Home Loan Mortgage Corporation
5.13%, 04/11/1996.................... 82,000 81,883
Federal National Mortgage Association
5.26%, 04/26/1996.................... 75,000 74,726
-----------
156,609
U.S. TREASURY BILLS -- 9.37%
U.S. Treasury Bill
4.99%, 04/11/1996.................... 33,000 32,954
5.11%, 04/18/1996.................... 208,000 207,498
5.17%, 04/18/1996.................... 94,000 93,780
5.20%, 04/18/1996.................... 108,000 107,735
5.105%, 04/25/1996................... 161,000 160,452
5.12%, 04/25/1996.................... 50,000 49,829
5.185%, 04/25/1996................... 315,000 313,911
4.74%, 05/02/1996.................... 25,000 24,898
4.83%, 05/02/1996.................... 50,000 49,792
-----------
1,040,849
-----------
Total Short-Term Investments
(cost $1,352,080).................... 1,352,080
-----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $9,701,954)...................... $11,104,129
===========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
<PAGE> 48
VADV 2336 5/96
