<PAGE> 1
SEMI-ANNUAL
REPORT
JNL(R) SERIES TRUST
FOR THE PERIOD ENDED
JUNE 30, 1997
<PAGE> 2
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
PHOTO
Dear Investors:
We are pleased to provide you with this
report on the operations of the JNL Series
Trust for the six-month period ended June
30, 1997.
The JNL Series Trust has sixteen Series,
each of which is managed by one of eight
professional money managers. The
performance of each Series is influenced
by its investment objective and the
investment style of its money manager.
Despite their differing approaches to the
markets, all of the Series returned
positive performance during the six-month
period ended June 30, 1997.
The United States economy exhibited strong
growth and low inflation during the
six-month period. During the first quarter
of 1997, uncertainty surrounding the
strength of the U.S. economy caused
confusion in the financial markets. This
confusion coupled with potential
inflationary pressures caused the Federal Reserve Board to raise short-term
interest rates one-quarter of one percent in March. The equity markets posted
substantial gains throughout much of the period, experiencing only a temporary
decline after the Federal Reserve Board action. In the equity markets, large
company, blue-chip stocks outperformed mid-sized and small company stocks. The
fixed income markets suffered in the first quarter of 1997 due to the robust
economic growth and Federal Reserve Board action, but rebounded in the second
quarter of 1997. Overall, the United States financial markets performed well
during the period.
The international financial markets were volatile during the first quarter of
1997 but generally posted positive gains during the second quarter. The Latin
American markets performed particularly well. The performance of the European
markets was mixed during the period and Japanese equities made strong progress
in the second quarter of 1997 after a rough start early in the year.
Thank you for your continued confidence in our products and services. We strive
to provide successful investment vehicles for your financial goals and hope that
you are pleased with the performance of the JNL Series Trust.
Respectfully,
Andrew B. Hopping
Andrew B. Hopping
President
<PAGE> 3
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
JNL JNL JNL JNL/EAGLE
AGGRESSIVE CAPITAL GLOBAL JNL/ALGER CORE
GROWTH GROWTH EQUITIES GROWTH EQUITY
SERIES SERIES SERIES SERIES SERIES
----------------- ----------------- ----------------- ----------------- --------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at cost.... $57,386,835 $52,783,377 $ 93,106,846 $54,714,690 $5,664,300
=========== =========== ============ =========== ==========
Investments in securities, at value... $62,267,285 $61,247,396 $110,948,045 $65,096,135 $6,445,300
Cash.................................. 7,682 58,071 - - 480,265
Foreign currency...................... 35,267 12,850 3,733,813 - -
Deposit at broker for short sales..... - - - - -
Receivables:
Dividends and interest............... 17,662 4,632 144,424 61,335 10,895
Forward foreign currency
exchange contracts.................. 44,699 17,378 565,282 - -
Foreign taxes recoverable............ 5,827 2,510 82,834 - 76
Fund shares sold..................... 173,220 127,052 473,965 147,688 29,048
Investment securities sold........... 240,626 406,429 7,549,398 460,656 417
Reimbursement from Adviser........... 3,083 1,876 9,941 - 2,941
----------- ----------- ------------ ----------- ----------
TOTAL ASSETS.......................... 62,795,351 61,878,194 123,507,702 65,765,814 6,968,942
----------- ----------- ------------ ----------- ----------
LIABILITIES
Payables:
Investment advisory fees............. 46,311 46,058 86,803 48,599 4,650
Custodian overdraft.................. - - 5,070,659 - -
Forward foreign currency
exchange contracts.................. 14,872 76,218 187,346 - -
Dividends to shareholders............ - - - - -
Fund shares redeemed................. 21,942 30,741 30,960 37,191 2,475
Investment securities purchased...... 474,265 702,506 5,656,962 2,532,199 151,373
Securities sold short, at value
(Proceeds of $8,248,773)............ - - - - -
Call options written, at value
(Premiums received $2,848).......... - - - - 3,713
Other liabilities..................... 65,258 53,477 142,348 38,489 23,594
----------- ----------- ------------ ----------- ----------
TOTAL LIABILITIES..................... 622,648 909,000 11,175,078 2,656,478 185,805
----------- ----------- ------------ ----------- ----------
NET ASSETS............................ $62,172,703 $60,969,194 $112,332,624 $63,109,336 $6,783,137
=========== =========== ============ =========== ==========
NET ASSETS CONSIST OF:
Paid-in capital....................... $56,582,013 $54,627,799 $ 92,557,071 $51,987,984 $5,966,727
Undistributed net investment income... 288,795 106,682 348,042 (16,761) 21,760
Accumulated net realized gain (loss)
on investments and foreign
currency related items............... 392,025 (2,170,339) 1,188,668 756,668 14,515
Net unrealized appreciation
(depreciation) on:
Investments.......................... 4,880,450 8,464,019 17,841,199 10,381,445 781,000
Foreign currency related items....... 29,420 (58,967) 397,644 - -
Options written...................... - - - - (865)
Short positions...................... - - - - -
----------- ----------- ------------ ----------- ----------
NET ASSETS............................ $62,172,703 $60,969,194 $112,332,624 $63,109,336 $6,783,137
=========== =========== ============ =========== ==========
TOTAL SHARES OUTSTANDING (NO PAR
VALUE), UNLIMITED SHARES AUTHORIZED.. 4,378,694 4,024,407 6,274,355 4,843,749 538,082
=========== =========== ============ =========== ==========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE........... $ 14.20 $ 15.15 $ 17.90 $ 13.03 $ 12.61
=========== =========== ============ =========== ==========
<CAPTION>
JNL/EAGLE
SMALLCAP JNL/PUTNAM
EQUITY GROWTH
SERIES SERIES
----------------- -----------------
<S> <C> <C>
ASSETS
Investments in securities, at cost..... $5,694,744 $63,755,698
========== ===========
Investments in securities, at value.... $6,669,744 $68,616,738
Cash................................... 294,510 -
Foreign currency....................... - -
Deposit at broker for short sales...... - 746,286
Receivables:
Dividends and interest................ 3,978 94,367
Forward foreign currency
exchange contracts................... - -
Foreign taxes recoverable............. - 602
Fund shares sold...................... 42,327 220,364
Investment securities sold............ - 51,111
Reimbursement from Adviser............ 2,642 -
---------- -----------
TOTAL ASSETS........................... 7,013,201 69,729,468
---------- -----------
LIABILITIES
Payables:
Investment advisory fees.............. 4,864 44,000
Custodian overdraft................... - -
Forward foreign currency
exchange contracts................... - -
Dividends to shareholders............. - -
Fund shares redeemed.................. 3,315 216,549
Investment securities purchased....... - 284,903
Securities sold short, at value
(Proceeds of $8,248,773)............ - 8,785,053
Call options written, at value
(Premiums received $2,848).......... - -
Other liabilities...................... 22,164 73,978
---------- -----------
TOTAL LIABILITIES...................... 30,343 9,404,483
---------- -----------
NET ASSETS............................. $6,982,858 $60,324,985
========== ===========
NET ASSETS CONSIST OF:
Paid-in capital........................ $5,943,206 $55,227,459
Undistributed net investment income.... (11,734) 123,788
Accumulated net realized gain (loss)
on investments and foreign
currency related items................ 76,386 648,978
Net unrealized appreciation
(depreciation) on:
Investments........................... 975,000 4,861,040
Foreign currency related items........ - -
Options written....................... - -
Short positions....................... - (536,280)
---------- -----------
NET ASSETS............................. $6,982,858 $60,324,985
========== ===========
TOTAL SHARES OUTSTANDING (NO PAR
VALUE), UNLIMITED SHARES AUTHORIZED... 517,462 3,892,704
========== ===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE............ $ 13.49 $ 15.50
========== ===========
</TABLE>
See notes to the financial statements.
2
<PAGE> 4
<TABLE>
<CAPTION>
PPM PPM SALOMON
JNL/PUTNAM PPM AMERICA/JNL AMERICA/JNL BROTHERS/JNL
VALUE AMERICA/JNL HIGH YIELD MONEY GLOBAL
EQUITY BALANCED BOND MARKET BOND
SERIES SERIES SERIES SERIES SERIES
- ------------------- ------------------- ------------------- -------------------- -------------------
<S> <C> <C> <C> <C>
$51,682,727 $40,854,996 $37,672,042 $37,888,743 $26,030,482
=========== =========== =========== =========== ===========
$54,696,151 $42,358,157 $38,694,896 $37,888,743 $26,784,706
- - - - -
- - - - -
- - - - -
127,288 269,366 613,633 97 323,378
- - - - 8,931
4,921 - - - -
402,153 111,180 281,931 199,181 71,627
419,802 206,046 - - 1,125,439
1,651 1,390 215 530 5,511
----------- ----------- ----------- ----------- -----------
55,651,966 42,946,139 39,590,675 38,088,551 28,319,592
----------- ----------- ----------- ----------- -----------
36,169 25,379 22,831 19,026 17,737
- - - - 2,854
- - - - 3,833
- - - 4,070 -
9,919 14,473 11,509 176,066 8,669
1,604,135 368,802 798,640 - 1,868,289
- - - - -
- - - - -
48,943 41,985 29,367 33,168 52,034
----------- ----------- ----------- ----------- -----------
1,699,166 450,639 862,347 232,330 1,953,416
----------- ----------- ----------- ----------- -----------
$53,952,800 $42,495,500 $38,728,328 $37,856,221 $26,366,176
=========== =========== =========== =========== ===========
$47,454,185 $38,151,519 $36,251,362 $37,856,221 $25,000,314
317,693 530,284 1,032,166 - 688,276
3,167,498 2,310,536 421,946 - (81,643)
3,013,424 1,503,161 1,022,854 - 754,224
- - - - 5,005
- - - - -
- - - - -
----------- ----------- ----------- ----------- -----------
$53,952,800 $42,495,500 $38,728,328 $37,856,221 $26,366,176
=========== =========== =========== =========== ===========
3,267,397 3,261,326 3,402,292 37,856,221 2,352,786
=========== =========== =========== =========== ===========
$ 16.51 $ 13.03 $ 11.38 $ 1.00 $ 11.21
=========== =========== =========== =========== ===========
<CAPTION>
T.ROWE
SALOMON T. ROWE PRICE/JNL T. ROWE
BROTHERS/JNL PRICE/JNL INTERNATIONAL PRICE/JNL
U.S. GOVERNMENT ESTABLISHED EQUITY MID-CAP
& QUALITY BOND GROWTH INVESTMENT GROWTH
SERIES SERIES SERIES SERIES
---------------------- ----------------- ------------------ --------------------
<S> <C> <C> <C>
$21,752,277 $70,522,410 $63,174,874 $81,830,188
=========== =========== =========== ===========
$21,828,286 $81,262,589 $74,180,154 $92,378,697
- - - -
- 53,115 570,919 234
- - - -
134,435 67,471 321,821 21,035
- 2 191 -
- 6,419 58,926 314
70,922 236,854 121,044 297,195
2,037,328 228,261 18,110 1,163,462
2,098 - 5,616 -
----------- ----------- ----------- -----------
24,073,069 81,854,711 75,276,781 93,860,937
----------- ----------- ----------- -----------
9,656 53,558 63,924 69,083
- - - -
- 815 135 -
- - - -
9,365 25,494 13,159 54,424
6,622,782 729,705 627,750 2,109,452
- - - -
- - - -
30,678 47,226 85,965 54,870
----------- ----------- ----------- -----------
6,672,481 856,798 790,933 2,287,829
----------- ----------- ----------- -----------
$17,400,588 $80,997,913 $74,485,848 $91,573,108
=========== =========== =========== ===========
$16,970,288 $67,111,227 $61,959,817 $80,428,659
407,981 152,783 525,964 (71,068)
(53,690) 2,994,098 988,182 667,215
76,009 10,740,179 11,005,280 10,548,509
- (374) 6,605 (207)
- - - -
- - - -
----------- ----------- ----------- -----------
$17,400,588 $80,997,913 $74,485,848 $91,573,108
=========== =========== =========== ===========
1,666,186 5,482,303 5,524,808 5,796,131
=========== =========== =========== ===========
$ 10.44 $ 14.77 $ 13.48 $ 15.80
=========== =========== =========== ===========
</TABLE>
3
<PAGE> 5
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<CAPTION>
JNL JNL JNL
AGGRESSIVE CAPITAL GLOBAL JNL/ALGER
GROWTH GROWTH EQUITIES GROWTH
SERIES SERIES SERIES SERIES
---------- ------- -------- ---------
INVESTMENT INCOME
<S> <C> <C> <C> <C>
Dividends............................................ $ 151,294 $ 49,084 $ 807,064 $ 172,280
Interest............................................. 378,241 183,169 217,734 86,317
Foreign tax withholding.............................. (8,931) (2,475) (102,665) (1,366)
---------- ---------- ----------- ----------
TOTAL INVESTMENT INCOME............................... 520,604 229,778 922,133 257,231
---------- ---------- ----------- ----------
EXPENSES
Investment advisory fees............................. 206,843 221,929 369,034 237,460
Custodian fees....................................... 28,097 19,263 78,285 5,694
Portfolio accounting fees............................ 11,891 11,891 20,725 11,951
Professional fees.................................... 11,096 12,047 16,122 12,645
Trustee fees......................................... 950 955 975 955
Other................................................ 10,441 11,521 12,177 10,717
---------- ---------- ----------- ----------
TOTAL OPERATING EXPENSES.............................. 269,318 277,606 497,318 279,422
Less:
Reimbursement from Advisor........................... (29,815) (20,634) (72,586) (5,430)
---------- ---------- ----------- ----------
NET OPERATING EXPENSES BEFORE
INTEREST EXPENSE AND DIVIDENDS
ON SHORT POSITIONS................................... 239,503 256,972 424,732 273,992
---------- ---------- ----------- ----------
Interest expense..................................... - - - -
Dividends on short positions......................... - - - -
---------- ---------- ----------- ----------
NET EXPENSES.......................................... 239,503 256,972 424,732 273,992
---------- ---------- ----------- ----------
NET INVESTMENT INCOME (LOSS).......................... 281,101 (27,194) 497,401 (16,761)
========== ========== =========== ==========
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments.......................................... 395,724 (1,984,964) 1,372,355 1,457,247
Foreign currency related items....................... 58,782 2,777 (109,388) -
Options written...................................... - - - -
Short transactions................................... - - - -
Futures transactions................................. (10,119) - (47,070) -
Net change in unrealized appreciation
(depreciation) on:
Investments.......................................... 3,044,663 5,837,684 11,203,814 6,716,761
Foreign currency related items...................... 33,453 13,265 256,433 -
Options written...................................... - - - -
Short positions...................................... - - - -
---------- ---------- ----------- ----------
NET REALIZED AND UNREALIZED
GAIN (LOSS).......................................... 3,522,503 3,868,762 12,676,144 8,174,008
---------- ---------- ----------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS...................................... $3,803,604 $3,841,568 $13,173,545 $8,157,247
========== ========== =========== ==========
<CAPTION>
JNL/EAGLE JNL/EAGLE
CORE SMALLCAP JNL/PUTNAM
EQUITY EQUITY GROWTH
SERIES SERIES SERIES
---------- ------- --------
INVESTMENT INCOME
<S> <C> <C> <C>
Dividends............................................ $ 39,325 $ 5,765 $ 247,216
Interest............................................. 2,917 3,318 125,466
Foreign tax withholding.............................. (514) - (1,776)
-------- -------- ----------
TOTAL INVESTMENT INCOME............................... 41,728 9,083 370,906
-------- -------- ----------
EXPENSES
Investment advisory fees............................. 17,115 17,978 177,534
Custodian fees....................................... 1,692 782 9,031
Portfolio accounting fees............................ 11,946 11,946 11,951
Professional fees.................................... 4,706 4,706 8,838
Trustee fees......................................... 915 915 940
Other................................................ 2,049 2,049 7,780
-------- -------- ----------
TOTAL OPERATING EXPENSES.............................. 38,423 38,376 216,074
Less:
Reimbursement from Advisor........................... (18,455) (17,559) (8,952)
-------- -------- ----------
NET OPERATING EXPENSES BEFORE
INTEREST EXPENSE AND DIVIDENDS
ON SHORT POSITIONS................................... 19,968 20,817 207,122
-------- -------- ----------
Interest expense..................................... - - 5,966
Dividends on short positions......................... - - 34,030
-------- -------- ----------
NET EXPENSES.......................................... 19,968 20,817 247,118
-------- -------- ----------
NET INVESTMENT INCOME (LOSS).......................... 21,760 (11,734) 123,788
======== ======== ==========
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments.......................................... 21,129 85,723 (327,211)
Foreign currency related items....................... - - (4)
Options written...................................... (2,187) - -
Short transactions................................... - - 317,885
Futures transactions................................. - - -
Net change in unrealized appreciation
(depreciation) on:
Investments.......................................... 701,271 761,291 4,570,692
Foreign currency related items...................... - - -
Options written...................................... (408) - -
Short positions...................................... - - (536,280)
-------- -------- ----------
NET REALIZED AND UNREALIZED
GAIN (LOSS).......................................... 719,805 847,014 4,025,082
-------- -------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS...................................... $741,565 $835,280 $4,148,870
======== ======== ==========
</TABLE>
SEE NOTES TO THE FINANCIAL STATEMENTS.
4
<PAGE> 6
<TABLE>
<CAPTION>
PPM PPM
JNL/PUTNAM PPM AMERICA/JNL AMERICA/JNL SALOMON
VALUE AMERICA/JNL HIGH YIELD MONEY BROTHERS/JNL
EQUITY BALANCED BOND MARKET GLOBAL BOND
SERIES SERIES SERIES SERIES SERIES
---------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
$ 425,633 $ 141,914 $ 11,975 $ - $ -
38,625 545,877 1,125,085 897,712 756,069
(1,976) (284) - - (131)
---------- ---------- ---------- -------- ----------
462,282 687,507 1,137,060 897,712 755,938
---------- ---------- ---------- -------- ----------
126,716 135,150 92,446 96,101 78,137
18,922 10,908 4,712 6,428 14,844
11,951 11,956 11,951 11,956 20,725
8,855 9,322 6,657 9,177 6,677
940 915 945 940 927
5,879 6,924 3,986 3,527 4,586
---------- ---------- ---------- -------- ----------
173,263 175,175 120,697 128,129 125,896
(23,402) (15,866) (9,762) (8,002) (33,328)
---------- ---------- ---------- -------- ----------
149,861 159,309 110,935 120,127 92,568
---------- ---------- ---------- -------- ----------
- - - - -
- - - - -
---------- ---------- ---------- -------- ----------
149,861 159,309 110,935 120,127 92,568
---------- ---------- ---------- -------- ----------
312,421 528,198 1,026,125 777,585 663,370
========== ========== ========== ======== ==========
3,035,341 1,681,791 252,381 - (113,274)
(5) - - - (25,816)
- - - - -
- - - - -
- - - - -
1,062,329 889,072 608,904 - 550,860
- - - - 20,666
- - - - -
- - - - -
---------- ---------- ---------- -------- ----------
4,097,665 2,570,863 861,285 - 432,436
---------- ---------- ---------- -------- ----------
$4,410,086 $3,099,061 $1,887,410 $777,585 $1,095,806
========== ========== ========== ======== ==========
<CAPTION>
T. ROWE
SALOMON T. ROWE PRICE/JNL T. ROWE
BROTHERS/JNL PRICE/JNL INTERNATIONAL PRICE/JNL
U.S. GOVERNMENT ESTABLISHED EQUITY MID-CAP
& QUALITY BOND GROWTH INVESTMENT GROWTH
SERIES SERIES SERIES SERIES
--------------- ----------- ------------- ---------
<S> <C> <C> <C>
$ - $ 332,334 $ 834,213 $ 86,454
464,746 104,304 85,498 206,708
- (15,888) (99,374) (468)
--------- ---------- ---------- ----------
464,746 420,750 820,337 292,694
--------- ---------- ---------- ----------
46,747 224,144 316,085 313,898
4,952 15,253 38,535 14,988
11,906 11,896 20,725 11,936
5,300 11,261 15,169 15,309
922 960 965 970
3,160 10,020 8,879 12,698
--------- ---------- ---------- ----------
72,987 273,534 400,358 369,799
(16,222) (9,463) (40,446) (6,338)
--------- ---------- ---------- ----------
56,765 264,071 359,912 363,461
--------- ---------- ---------- ----------
- - - -
- - - -
--------- ---------- ---------- ----------
56,765 264,071 359,912 363,461
--------- ---------- ---------- ----------
407,981 156,679 460,425 (70,767)
========= ========== ========== ==========
(63,645) 3,051,814 1,116,702 695,662
- (22,159) (144,993) (11,782)
- - - -
- - - -
- - - -
26,228 6,745,522 5,871,412 5,437,730
- (430) 3,545 (207)
- - - -
- - - -
--------- ---------- ---------- ----------
(37,417) 9,774,747 6,846,666 6,121,403
--------- ---------- ---------- ----------
$ 370,564 $9,931,426 $7,307,091 $6,050,636
========= ========== ========== ==========
</TABLE>
5
<PAGE> 7
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
<TABLE>
<CAPTION>
JNL AGGRESSIVE GROWTH SERIES JNL CAPITAL GROWTH SERIES
---------------------------------------- --------------------------------------
PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, SIX MONTHS APRIL 1,
ENDED 1996 TO ENDED 1996 TO
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1997 1996 1997 1996
------------------ -------------------- ------------------ ------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)............... $ 281,101 $ 119,340 $ (27,194) $ 163,301
Net realized gain (loss) on:
Investments............................... 385,605 602,416 (1,984,964) (221,942)
Foreign currency related
items..................................... 58,782 9,765 2,777 28,945
Net change in unrealized
appreciation (depreciation) on:
Investments............................... 3,044,663 999,505 5,837,684 872,041
Foreign currency related
items..................................... 33,453 (4,062) 13,265 (71,967)
------------ ----------- ----------- -----------
Net increase in net assets
from operations........................... 3,803,604 1,726,964 3,841,568 770,378
------------ ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................. - (104,404) - (3)
From net realized gains on
investment transactions................... - (1,470,576) - (390,495)
Return of capital.......................... - (289,382) - -
------------ ----------- ----------- -----------
Total distributions to
shareholders............................. - (1,864,362) - (390,498)
------------ ----------- ----------- -----------
SHARE TRANSACTIONS:
Proceeds from the sale of
shares................................... 33,320,171 26,877,906 27,250,998 34,276,844
Reinvestment of distributions............. - 1,746,593 - 374,294
Cost of shares redeemed................... (4,505,717) (7,459,511) (7,069,523) (7,662,400)
----------- ----------- ----------- -----------
Net increase in net assets
from share transactions.................. 28,814,454 21,164,988 20,181,475 26,988,738
----------- ----------- ----------- -----------
Net increase in net assets................ 32,618,058 21,027,590 24,023,043 27,368,618
Net assets beginning of
period................................... 29,554,645 8,527,055 36,946,151 9,577,533
----------- ----------- ----------- -----------
NET ASSETS END OF PERIOD.................. $62,172,703 $29,554,645 $60,969,194 $36,946,151
=========== =========== =========== ===========
UNDISTRIBUTED NET
INVESTMENT INCOME........................ $ 288,795 $ 7,694 $ 106,682 $ 133,876
=========== =========== =========== ===========
<CAPTION>
JNL GLOBAL EQUITIES SERIES
-----------------------------------
PERIOD FROM
SIX MONTHS APRIL 1,
ENDED 1996 TO
JUNE 30, DECEMBER 31,
1997 1996
---------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss)................... $ 497,401 $ 92,001
Net realized gain (loss) on:
Investments................................... 1,325,285 1,196,113
Foreign currency related
items......................................... (109,388) (2,943)
Net change in unrealized
appreciation (depreciation) on:
Investments................................... 11,203,814 4,236,085
Foreign currency related
items......................................... 256,433 128,253
------------ ------------
Net increase in net assets
from operations............................... 13,173,545 5,649,509
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income..................... - (238,326)
From net realized gains on
investment transactions....................... - (2,687,572)
Return of capital.............................. - (955,663)
------------ ------------
Total distributions to
shareholders.................................. - (3,881,561)
------------ ------------
SHARE TRANSACTIONS:
Proceeds from the sale of
shares........................................ 60,633,846 38,726,566
Reinvestment of distributions.................. - 3,277,573
Cost of shares redeemed........................ (10,113,241) (11,274,162)
------------ ------------
Net increase in net assets
from share transactions....................... 50,520,605 30,729,977
------------ ------------
Net increase in net assets..................... 63,694,150 32,497,925
Net assets beginning of
period........................................ 48,638,474 16,140,549
------------ ------------
NET ASSETS END OF PERIOD....................... $112,332,624 $ 48,638,474
============ ============
UNDISTRIBUTED NET
INVESTMENT INCOME............................. $ 348,042 $ (149,359)
============ ============
</TABLE>
- ------------------------------
* Commencement of operations.
See notes to the financial statements.
6
<PAGE> 8
<TABLE>
<CAPTION>
JNL/EAGLE SMALLCAP
JNL/ALGER GROWTH SERIES JNL/EAGLE CORE EQUITY SERIES EQUITY SERIES
- ------------------------------------------ ------------------------------------------- ------------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, SIX MONTHS SEPTEMBER 16, SIX MONTHS SEPTEMBER 16,
ENDED 1996 TO ENDED 1996* TO ENDED 1996* TO
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1997 1996 1997 1996 1997 1996
- ----------------- ----------------------- ------------------ ----------------------- ----------------- -----------------------
<S> <C> <C> <C> <C> <C>
$ (16,761) $ (3,590) $ 21,760 $ 4,657 $ (11,734) $ (1,017)
1,457,247 (523,886) 18,942 (4,427) 85,723 (9,337)
- - - - - -
6,716,761 3,281,071 700,863 79,272 761,291 213,709
- - - - - -
----------- ----------- ---------- ---------- ---------- ----------
8,157,247 2,753,595 741,565 79,502 835,280 203,355
----------- ----------- ---------- ---------- ---------- ----------
- - - (4,657) - -
- - - - - -
- - - (320) - -
----------- ----------- ---------- ---------- ---------- ----------
- - - (4,977) - -
----------- ----------- ---------- ---------- ---------- ----------
21,190,205 34,332,656 4,164,355 2,027,399 4,747,096 1,760,997
- - - 2,270 - -
(4,490,207) (7,483,397) (76,980) (149,997) (543,607) (20,263)
----------- ----------- ---------- ---------- ---------- ----------
16,699,998 26,849,259 4,087,375 1,879,672 4,203,489 1,740,734
----------- ----------- ---------- ---------- ---------- ----------
24,857,245 29,602,854 4,828,940 1,954,197 5,038,769 1,944,089
38,252,091 8,649,237 1,954,197 - 1,944,089 -
----------- ----------- ---------- ---------- ---------- ----------
$63,109,336 $38,252,091 $6,783,137 $1,954,197 $6,982,858 $1,944,089
=========== =========== ========== ========== ========== ==========
$ (16,761) $ - $ 21,760 $ - $ (11,734) $ -
=========== =========== ========== ========== ========== ==========
<CAPTION>
JNL/PUTNAM GROWTH SERIES
------------------------------------------
PERIOD FROM
SIX MONTHS APRIL 1,
ENDED 1996 TO
JUNE 30, DECEMBER 31,
1997 1996
----------------- -----------------------
<S> <C>
$ 123,788 $ 80,288
(9,326) 1,130,393
(4) -
4,034,412 152,651
- -
------------ -----------
4,148,870 1,363,332
------------ -----------
- (83,226)
- (608,389)
- -
------------ -----------
- (691,615)
------------ -----------
44,384,677 21,124,451
- 673,981
(11,012,077) (2,184,704)
------------ -----------
33,372,600 19,613,728
------------ -----------
37,521,470 20,285,445
22,803,515 2,518,070
------------ -----------
$ 60,324,985 $22,803,515
============ ===========
$ 123,788 $ -
============ ===========
</TABLE>
7
<PAGE> 9
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
JNL/PUTNAM VALUE PPM AMERICA/JNL
EQUITY SERIES BALANCED SERIES
------------------------------------ ------------------------------------
PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, SIX MONTHS APRIL 1,
ENDED 1996 TO ENDED 1996 TO
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1997 1996 1997 1996
---------------- ------------------ ---------------- ------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)........ $ 312,421 $ 174,463 $ 528,198 $ 279,327
Net realized gain (loss) on:
Investments........................ 3,035,341 299,700 1,681,791 933,110
Foreign currency related
items............................ (5) - - -
Net change in unrealized
appreciation (depreciation) on:
Investments........................ 1,062,329 1,455,960 889,072 476,858
Foreign currency related
items............................ - - - -
--------------- ----------------- --------------- -----------------
Net increase in net assets
from operations.................... 4,410,086 1,930,123 3,099,061 1,689,295
--------------- ----------------- --------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.......... - (183,956) - (301,815)
From net realized gain on
investment transactions............ - (226,911) - (364,079)
Return of capital................... - - - -
--------------- ----------------- --------------- -----------------
Total distributions to
shareholders....................... - (410,867) - (665,894)
--------------- ----------------- --------------- -----------------
SHARE TRANSACTIONS:
Proceeds from the sale of
shares............................. 33,836,730 15,648,559 17,448,456 21,937,839
Reinvestment of distributions....... - 398,998 - 652,446
Cost of shares redeemed............. (2,054,694) (3,171,440) (2,470,594) (3,955,738)
--------------- ----------------- --------------- -----------------
Net increase in net assets
from share transactions............ 31,782,036 12,876,117 14,977,862 18,634,547
--------------- ----------------- --------------- -----------------
Net increase in net assets.......... 36,192,122 14,395,373 18,076,923 19,657,948
Net assets beginning of
period............................. 17,760,678 3,365,305 24,418,577 4,760,629
--------------- ----------------- --------------- -----------------
NET ASSETS END OF PERIOD............ $53,952,800 $17,760,678 $42,495,500 $24,418,577
=============== ================= =============== =================
UNDISTRIBUTED NET
INVESTMENT INCOME.................. $ 317,693 $ 5,272 $ 530,284 $ 2,086
=============== ================= =============== =================
<CAPTION>
PPM AMERICA/JNL
HIGH YIELD BOND SERIES
-----------------------------------
PERIOD FROM
SIX MONTHS APRIL 1,
ENDED 1996 TO
JUNE 30, DECEMBER 31,
1997 1996
--------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss)........ $ 1,026,125 $ 691,766
Net realized gain (loss) on:
Investments....................... 252,381 217,828
Foreign currency related
items........................... - -
Net change in unrealized
appreciation (depreciation) on:
Investments....................... 608,904 383,145
Foreign currency related
items........................... - -
-------------- -----------------
Net increase in net assets
from operations................... 1,887,410 1,292,739
-------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.......... - (798,203)
From net realized gain on
investment transactions........... - (23,388)
Return of capital................... - -
-------------- -----------------
Total distributions to
shareholders...................... - (821,591)
-------------- -----------------
SHARE TRANSACTIONS:
Proceeds from the sale of
shares............................ 26,437,309 12,401,767
Reinvestment of distributions....... - 790,186
Cost of shares redeemed............. (2,992,787) (6,422,234)
-------------- -----------------
Net increase in net assets
from share transactions........... 23,444,522 6,769,719
-------------- -----------------
Net increase in net assets.......... 25,331,932 7,240,867
Net assets beginning of
period............................ 13,396,396 6,155,529
-------------- -----------------
NET ASSETS END OF PERIOD............ $38,728,328 $13,396,396
============== =================
UNDISTRIBUTED NET
INVESTMENT INCOME................... $ 1,032,166 $ 6,041
============== =================
</TABLE>
See notes to the financial statements.
8
<PAGE> 10
<TABLE>
<CAPTION>
SALOMON BROTHERS/JNL
PPM AMERICA/JNL SALOMON BROTHERS/JNL U.S. GOVERNMENT
MONEY MARKET SERIES GLOBAL BOND SERIES & QUALITY BOND SERIES
- ------------------------------------------------ ------------------------------------- ------------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, SIX MONTHS APRIL 1, SIX MONTHS APRIL 1,
ENDED 1996 TO ENDED 1996 TO ENDED 1996 TO
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1997 1996 1997 1996 1997 1996
- ----------------------- ----------------------- ----------------- ------------------ ----------------- -----------------------
<S> <C> <C> <C> <C> <C>
$ 777,585 $ 614,491 $ 663,370 $ 574,698 $ 407,981 $ 288,314
- - (113,274) 275,846 (63,645) 29,022
- - (25,816) 57,170 - -
- - 550,860 178,039 26,228 82,805
- - 20,666 (21,421) - -
------------- ------------ ----------- ----------- ----------- -----------
777,585 614,491 1,095,806 1,064,332 370,564 400,141
------------- ------------ ----------- ----------- ----------- -----------
(777,585) (614,491) - (754,598) - (318,115)
- - - (280,691) - (30,967)
- - - - - -
------------- ------------ ----------- ----------- ----------- -----------
(777,585) (614,491) - (1,035,289) - (349,082)
------------- ------------ ----------- ----------- ----------- -----------
49,513,756 43,176,521 15,544,519 9,953,802 9,604,691 8,748,229
753,715 606,298 - 870,854 - 330,365
(36,163,437) (26,846,271) (2,757,092) (4,750,819) (2,406,407) (2,304,702)
------------- ------------ ----------- ----------- ----------- -----------
14,104,034 16,936,548 12,787,427 6,073,837 7,198,284 6,773,892
------------- ------------ ----------- ----------- ----------- -----------
14,104,034 16,936,548 13,883,233 6,102,880 7,568,848 6,824,951
23,752,187 6,815,639 12,482,943 6,380,063 9,831,740 3,006,789
------------- ------------ ----------- ----------- ----------- -----------
$ 37,856,221 $ 23,752,187 $26,366,176 $12,482,943 $17,400,588 $ 9,831,740
============= ============ =========== =========== =========== ===========
$ - $ - $ 688,276 $ 24,906 $ 407,981 $ -
============= ============ =========== =========== =========== ===========
<CAPTION>
T. ROWE PRICE/JNL
ESTABLISHED GROWTH SERIES
-------------------------------------
PERIOD FROM
SIX MONTHS APRIL 1,
ENDED 1996 TO
JUNE 30, DECEMBER 31,
1997 1996
----------------- ------------------
<S> <C>
$ 156,679 $ 93,779
3,051,814 93,499
(22,159) (12,360)
6,745,522 3,384,049
(430) 44
---------------- -----------------
9,931,426 3,559,011
---------------- -----------------
- (91,356)
- (212,086)
- (1,234,953)
---------------- -----------------
- (1,538,395)
---------------- -----------------
42,450,763 27,757,264
- 1,489,773
(3,675,217) (7,748,754)
---------------- -----------------
38,775,546 21,498,283
---------------- -----------------
48,706,972 23,518,899
32,290,941 8,772,042
---------------- -----------------
$80,997,913 $32,290,941
================ =================
$ 152,783 $ (3,896)
================ =================
</TABLE>
9
<PAGE> 11
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
T. ROWE PRICE/JNL
INTERNATIONAL T. ROWE PRICE/JNL
EQUITY INVESTMENT SERIES MID-CAP GROWTH SERIES
------------------------------------- -----------------------------------
PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, SIX MONTHS APRIL 1,
ENDED 1996 TO ENDED 1996 TO
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1997 1996 1997 1996
----------------- ------------------ --------------- ----------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)........ $ 460,425 $ 294,949 $ (70,767) $ (39,345)
Net realized gain (loss) on:
Investments........................ 1,116,702 203,836 695,662 750,795
Foreign currency related
items.............................. (144,993) 25,484 (11,782) (3)
Net change in unrealized
appreciation (depreciation) on:
Investments........................ 5,871,412 2,679,873 5,437,730 3,708,604
Foreign currency related
items.............................. 3,545 2,709 (207) -
---------------- -------------- --------------- -----------------
Net increase in net assets
from operations.................... 7,307,091 3,206,851 6,050,636 4,420,051
---------------- -------------- --------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income......... - (465,733) - (144,094)
From net realized gain on
investment transactions............ - (51,200) - (1,107,685)
Return of capital................... - - - -
---------------- -------------- --------------- -----------------
Total distributions to
shareholders....................... - (516,933) - (1,251,779)
---------------- -------------- --------------- -----------------
SHARE TRANSACTIONS:
Proceeds from the sale of
shares............................. 21,608,084 22,581,023 44,299,012 41,147,930
Reinvestment of distributions....... - 255,509 - 1,198,205
Cost of shares redeemed............. (2,633,656) (1,533,092) (5,881,029) (8,955,066)
---------------- -------------- --------------- -----------------
Net increase in net assets
from share transactions............ 18,974,428 21,303,440 38,417,983 33,391,069
---------------- -------------- --------------- -----------------
Net increase in net assets.......... 26,281,519 23,993,358 44,468,619 36,559,341
Net assets beginning of
period............................. 48,204,329 24,210,971 47,104,489 10,545,148
---------------- -------------- --------------- -----------------
NET ASSETS END OF PERIOD............ $ 74,485,848 $48,204,329 $91,573,108 $47,104,489
================ ============== =============== =================
UNDISTRIBUTED NET
INVESTMENT INCOME................. $ 525,964 $ 65,539 $ (71,068) $ (301)
================ ============== =============== =================
</TABLE>
See notes to the financial statements.
10
<PAGE> 12
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS (UNAUDITED)
<TABLE>
<CAPTION>
JNL AGGRESSIVE GROWTH SERIES JNL CAPITAL GROWTH SERIES
-------------------------------------- --------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, MAY 15, SIX MONTHS APRIL 1, MAY 15,
ENDED 1996 TO 1995* ENDED 1996 TO 1995*
JUNE 30, DECEMBER 31, TO MARCH 31, JUNE 30, DECEMBER 31, TO MARCH 31,
1997 1996 1996 1997 1996 1996
---------- ------------ ------------ ---------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF
PERIOD........................................ $ 13.38 $ 13.13 $ 10.00 $ 14.46 $ 13.86 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income
(loss).................................... 0.06 0.05 0.01 (0.03) 0.06 -
Net realized and unrealized gains on
investments and foreign currency
related items............................. 0.76 1.10 3.53 0.72 0.70 4.70
--------- ----------- ---------- -------- ----------- ----------
Total income from investment
operations................................ 0.82 1.15 3.54 0.69 0.76 4.70
--------- ----------- ---------- -------- ----------- ----------
LESS DISTRIBUTIONS:
From net investment income.................. - (0.05) - - - -
From net realized gains on investment
transactions.............................. - (0.71) (0.41) - (0.16) (0.84)
Return of capital........................... - (0.14) - - - -
--------- ----------- ---------- -------- ----------- ----------
Total distributions......................... - (0.90) (0.41) - (0.16) (0.84)
--------- ----------- ---------- -------- ----------- ----------
Net increase............................... 0.82 0.25 3.13 0.69 0.60 3.86
--------- ----------- ---------- -------- ----------- ----------
NET ASSET VALUE, END OF PERIOD............... $ 14.20 $ 13.38 $ 13.13 $ 15.15 $ 14.46 $ 13.86
========= =========== ========== ======== =========== ==========
TOTAL RETURN (a)............................. 6.13% 8.72% 35.78% 4.77% 5.45% 47.94%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in
thousands)............................... $62,173 $29,555 $ 8,527 $60,969 $36,946 $ 9,578
Ratio of net operating expenses
to average net assets (b) (c)............ 1.10% 1.09% 1.09% 1.10% 1.09% 1.09%
Ratio of net investment income to average
net assets (b)(c)........................ 1.29% 0.77% 0.27% (0.11)% 0.91% (0.49)%
Ratio of interest expense and dividends
on short positions to average net assets
(b)...................................... - - - - - -
Portfolio turnover......................... 75.11% 85.22% 163.84% 51.45% 115.88% 128.56%
Average commission rate paid (d)........... $0.0262 $0.0242 n/a $0.0367 $0.0196 n/a
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR FEES PAID INDIRECTLY
Ratio of expenses to average net assets
(b)...................................... 1.24% 1.40% 2.77% 1.19% 1.27% 2.08%
Ratio of net investment income to average
net assets (b)........................... 1.15% 0.46% (1.41)% (0.20)% 0.73% (1.48)%
</TABLE>
- ---------------
* Commencement of operations
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all 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 Advisor's expense reimbursement and
fees paid indirectly.
(d) Disclosure required for fiscal years beginning after September 1, 1995.
See notes to the financial statements.
12
<PAGE> 13
<TABLE>
<CAPTION>
JNL GLOBAL EQUITIES SERIES JNL/ALGER GROWTH SERIES JNL/EAGLE CORE EQUITY SERIES
- -------------------------------------- -------------------------------------- ------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, MAY 15, SIX MONTHS APRIL 1, OCTOBER 16, SIX MONTHS SEPTEMBER 16,
ENDED 1996 TO 1995* ENDED 1996 TO 1995* ENDED 1996* TO
JUNE 30, DECEMBER 31, TO MARCH 31, JUNE 30, DECEMBER 31, TO MARCH 31, JUNE 30, DECEMBER 31,
1997 1996 1996 1997 1996 1996 1997 1996
- ---------- ------------ ------------ ---------- ------------ ------------ -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 15.20 $ 13.75 $ 10.00 $ 11.16 $ 10.38 $ 10.00 $ 10.62 $ 10.00
0.10 0.03 0.10 - - - 0.04 0.03
2.60 2.72 4.02 1.87 0.78 0.38 1.95 0.62
- ---------- ---------- ---------- ------- -------- -------- ------- -------
2.70 2.75 4.12 1.87 0.78 0.38 1.99 0.65
- ---------- ---------- ---------- ------- -------- -------- ------- -------
- (0.08) - - - - - (0.03)
- (0.90) (0.37) - - - - -
- (0.32) - - - - - -
- ---------- ---------- ---------- ------- -------- -------- ------- -------
- (1.30) (0.37) - - - - (0.03)
- ---------- ---------- ---------- ------- -------- -------- ------- -------
2.70 1.45 3.75 1.87 0.78 0.38 1.99 0.62
- ---------- ---------- ---------- ------- -------- -------- ------- -------
$ 17.90 $ 15.20 $ 13.75 $ 13.03 $ 11.16 $ 10.38 $ 12.61 $ 10.62
========== ========== ========== ======= ======== ======== ======= =======
17.76% 19.99% 41.51% 16.76% 7.51% 3.80% 18.74% 6.47%
$112,333 $ 48,638 $ 16,141 $63,109 $ 38,252 $ 8,649 $ 6,783 $ 1,954
1.15% 1.14% 1.15% 1.125% 1.07% 1.03% 1.05% 1.05%
1.35% 0.37% 0.39% (0.07)% (0.02)% (0.17)% 1.14% 1.10%
- - - - - - - -
40.70% 52.02% 142.36% 51.91% 59.92% 50.85% 22.58% 1.36%
$ 0.0043 $ 0.0162 n/a $0.0720 $ 0.0441 n/a $0.0591 $0.0452
1.35% 1.63% 2.25% 1.15% 1.19% 1.89% 2.02% 4.57%
1.15% (0.12)% (0.71)% (0.09)% (0.14)% (1.03)% 0.17% (2.42)%
</TABLE>
13
<PAGE> 14
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
JNL/EAGLE SMALLCAP
EQUITY SERIES JNL/PUTNAM GROWTH SERIES
------------------------- --------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM
SIX MONTHS SEPTEMBER 16, SIX MONTHS APRIL 1, MAY 15,
ENDED 1996* TO ENDED 1996 TO 1995*
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, TO MARCH 31,
1997 1996 1997 1996 1996
---------- ------------- ---------- ------------ ------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF
PERIOD........................................ $ 11.54 $ 10.00 $ 14.21 $ 12.50 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income
(loss)...................................... (0.02) (0.01) 0.03 0.04 0.01
Net realized and unrealized gains on
investments and foreign currency related
items....................................... 1.97 1.55 1.26 2.12 3.66
-------- -------- --------- ----------- ----------
Total income from investment
operations.................................. 1.95 1.54 1.29 2.16 3.67
-------- -------- --------- ----------- ----------
LESS DISTRIBUTIONS:
From net investment
income...................................... - - - (0.05) -
From net realized gains on investment
transactions................................ - - - (0.40) (1.17)
Return of capital............................ - - - - -
-------- -------- --------- ---------- ---------
Total distributions.......................... - - - (0.45) (1.17)
-------- -------- --------- ---------- ----------
Net increase................................. 1.95 1.54 1.29 1.71 2.50
-------- -------- --------- ----------- ----------
NET ASSET VALUE, END OF PERIOD................ $ 13.49 $ 11.54 $ 15.50 $ 14.21 $ 12.50
======== ======== ========= =========== ==========
TOTAL RETURN (a).............................. 16.90% 15.40% 9.08% 17.28% 37.69%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in
thousands).................................. $ 6,983 $ 1,944 $ 60,325 $ 22,804 $ 2,518
Ratio of net operating expenses to average
net assets (b) (c) (e)...................... 1.10% 1.10% 1.05% 1.04% 0.95%
Ratio of net investment income to average
net assets (b) (c).......................... (0.62)% (0.26)% 0.63% 0.94% 0.28%
Ratio of interest expense and dividends on
short positions to average net assets
(b)......................................... - - 0.25% - -
Portfolio turnover........................... 26.30% 28.01% 220.95% 184.33% 255.03%
Average commission rate paid (d)............. $0.0593 $0.0264 $ 0.0481 $ 0.0175 n/a
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR FEES PAID INDIRECTLY
Ratio of expenses to average net assets (b)
(f)......................................... 2.03% 4.77% 1.10% 1.27% 5.38%
Ratio of net investment income to average
net assets (b).............................. (1.55)% (3.93)% 0.58% 0.71% (4.15)%
</TABLE>
* Commencement of operations
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all 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 Advisor's expense reimbursement and
fees paid indirectly.
(d) Disclosure required for fiscal years beginning after September 1, 1995.
(e) For the JNL/Putnam Growth Series during the six months ended June 30, 1997,
the net operating expense ratio excludes interest expense and dividends on
short positions. The ratio including interest expense and dividends on
short positions during the six months ended June 30, 1997 was 1.25%.
(f) For the JNL/Putnam Growth Series during the six months ended June 30, 1997,
the expense ratio excludes interest expense and dividends on short
positions. The ratio including interest expense and dividends on short
positions during the six months ended June 30, 1997 was 1.30%.
See notes to the financial statements.
14
<PAGE> 15
<TABLE>
<CAPTION>
JNL/PUTNAM VALUE EQUITY SERIES PPM AMERICA/JNL BALANCED SERIES PPM AMERICA/JNL HIGH YIELD BOND SERIES
- -------------------------------------- --------------------------------------- -------------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, MAY 15, SIX MONTHS APRIL 1, MAY 15, SIX MONTHS APRIL 1, MAY 15,
ENDED 1996 TO 1995* ENDED 1996 TO 1995* ENDED 1996 TO 1995*
JUNE 30, DECEMBER 31, TO MARCH 31, JUNE 30, DECEMBER 31, TO MARCH 31, JUNE 30, DECEMBER 31, TO MARCH 31,
1997 1996 1996 1997 1996 1996 1997 1996 1996
- ---------- ------------ ------------ ----------- ------------ ------------ ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 14.50 $ 12.77 $10.00 $ 11.92 $ 11.17 $ 10.00 $ 10.67 $ 10.23 $ 10.00
0.09 0.10 0.23 0.16 0.10 0.25 0.30 0.51 0.73
1.92 1.97 2.86 0.95 0.98 1.40 0.41 0.64 0.04
- ---------- ----------- ----------- ---------- ----------- ----------- ------------ --------- ------------
2.01 2.07 3.09 1.11 1.08 1.65 0.71 1.15 0.77
- ---------- ----------- ----------- ---------- ----------- ----------- ------------ --------- ------------
- (0.15) (0.17) - (0.15) (0.19) - (0.69) (0.54)
- (0.19) (0.15) - (0.18) (0.29) - (0.02) -
- - - - - - - - -
- ---------- ----------- ----------- ---------- ----------- ----------- ------------ --------- ------------
- (0.34) (0.32) - (0.33) (0.48) - (0.71) (0.54)
- ---------- ----------- ----------- ---------- ----------- ----------- ------------ --------- ------------
2.01 1.73 2.77 1.11 0.75 1.17 0.71 0.44 0.23
- ---------- ----------- ----------- ---------- ----------- ----------- ------------ --------- ------------
$ 16.51 $ 14.50 $12.77 $ 13.03 $ 11.92 $ 11.17 $ 11.38 $ 10.67 $ 10.23
========== =========== =========== ========== =========== =========== ============ ========= ============
13.86% 16.25% 31.14% 9.31% 9.72% 16.60% 6.65% 11.24% 7.82%
$53,953 $17,761 $ 3,365 $42,495 $24,419 $ 4,761 $38,728 $13,396 $ 6,156
0.97% 0.85% 0.87% 0.99% 1.04% 1.01% 0.90% 0.88% 0.88%
2.02% 2.29% 2.33% 3.28% 2.39% 2.99% 8.33% 8.64% 8.34%
- - - - - - - - -
92.65% 13.71% 30.12% 121.49% 158.15% 115.84% 94.25% 113.08% 186.21%
$0.0370 $0.0259 n/a $0.0347 $0.0494 n/a n/a n/a n/a
1.12% 1.53% 2.28% 1.09% 1.22% 3.71% 0.98% 1.21% 1.50%
1.87% 1.61% 0.91% 3.18% 2.21% 0.29% 8.25% 8.31% 7.72%
</TABLE>
15
<PAGE> 16
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
PPM AMERICA/JNL MONEY MARKET SERIES SALOMON BROTHERS/JNL GLOBAL BOND SERIES
---------------------------------------- --------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, MAY 15, SIX MONTHS APRIL 1, MAY 15,
ENDED 1996 TO 1995* ENDED 1996 TO 1995*
JUNE 30, DECEMBER 31, TO MARCH 31, JUNE 30, DECEMBER 31, TO MARCH 31,
1997 1996 1996 1997 1996 1996
------------ ------------ ------------ ---------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 1.00 $ 1.00 $ 1.00 $ 10.63 $ 10.46 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).................... 0.02 0.04 0.04 0.27 0.42 0.81
Net realized and unrealized gains on
investments and foreign currency related
items.......................................... - - - 0.31 0.70 0.24
-------- ----------- ----------- --------- ----------- -----------
Total income from investment
operations..................................... 0.02 0.04 0.04 0.58 1.12 1.05
-------- ----------- ----------- --------- ----------- -----------
LESS DISTRIBUTIONS:
From net investment income...................... (0.02) (0.04) (0.04) - (0.69) (0.56)
From net realized gains on investment
transactions................................... - - - - (0.26) (0.03)
Return of capital............................... - - - - - -
------- ----------- ----------- --------- ----------- -----------
Total distributions............................. (0.02) (0.04) (0.04) - (0.95) (0.59)
------- ----------- ----------- --------- ----------- -----------
Net increase.................................... - - - 0.58 0.17 0.46
------- ----------- ----------- --------- ----------- -----------
NET ASSET VALUE, END OF PERIOD................. $ 1.00 $ 1.00 $ 1.00 $ 11.21 $ 10.63 $ 10.46
======= =========== =========== ========= =========== ===========
TOTAL RETURN (a)................................. 2.41% 3.61% 4.59% 5.46% 10.68% 10.74%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in
thousands)..................................... $37,856 $23,752 $6,816 $26,366 $12,483 $ 6,380
Ratio of net operating expenses to average
net assets (b) (c)............................. 0.75% 0.75% 0.75% 1.00% 0.99% 1.00%
Ratio of net investment income to average
net assets (b) (c)............................. 4.85% 4.75% 5.06% 7.21% 7.52% 9.01%
Ratio of interest expense and dividends on
short positions to average net assets (b)...... - - - - - -
Portfolio turnover.............................. - - - 84.42% 109.85% 152.89%
Average commission rate paid (d)................ n/a n/a n/a n/a n/a n/a
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR FEES PAID INDIRECTLY
Ratio of expenses to average net assets (b)...... 0.80% 0.85% 1.30% 1.36% 1.44% 2.14%
Ratio of net investment income to average
net assets (b).................................. 4.80% 4.65% 4.51% 6.85% 7.07% 7.87%
</TABLE>
- ---------------------------------------
* Commencement of operations
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all 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 Advisor's expense reimbursement and
fees paid indirectly.
(d) Disclosure required for fiscal years beginning after September 1, 1995.
See notes to the financial statements.
16
<PAGE> 17
<TABLE>
<CAPTION>
SALOMON BROTHERS/JNL U.S. T. ROWE PRICE/JNL T. ROWE PRICE/JNL INTERNATIONAL
GOVERNMENT & QUALITY BOND SERIES ESTABLISHED GROWTH SERIES EQUITY INVESTMENT SERIES
- --------------------------------------- -------------------------------------- ---------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, MAY 15, SIX MONTHS APRIL 1, MAY 15, SIX MONTHS APRIL 1, MAY 15,
ENDED 1996 TO 1995* ENDED 1996 TO 1995* ENDED 1996 TO 1995*
JUNE 30, DECEMBER 31, TO MARCH 31, JUNE 30, DECEMBER 31, TO MARCH 31, JUNE 30, DECEMBER 31, TO MARCH 31,
1997 1996 1996 1997 1996 1996 1997 1996 1996
- ----------- ------------ ------------ ---------- ------------ ------------ ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 10.20 $ 10.09 $ 10.00 $ 12.56 $ 11.36 $ 10.00 $ 12.08 $ 11.25 $ 10.00
0.24 0.24 0.45 0.03 0.03 0.07 0.08 0.06 0.04
- 0.24 0.02 2.18 1.81 2.68 1.32 0.90 1.21
- ----------- -------- -------- -------- ------- -------- ------- ------- -------
0.24 0.48 0.47 2.21 1.84 2.75 1.40 0.96 1.25
- ----------- -------- -------- -------- ------- -------- ------- ------- -------
- (0.34) (0.34) - (0.04) (0.06) - (0.12) -
- (0.03) (0.04) - (0.09) (1.33) - (0.01) -
- - - - (0.51) - - - -
- ----------- -------- -------- -------- ------- -------- ------- ------- -------
- (0.37) (0.38) - (0.64) (1.39) - (0.13) -
- ----------- -------- -------- -------- ------- -------- ------- ------- -------
0.24 0.11 0.09 2.21 1.20 1.36 1.40 0.83 1.25
- ----------- -------- -------- -------- ------- -------- ------- ------- -------
$ 10.44 $ 10.20 $ 10.09 $ 14.77 $ 12.56 $ 11.36 $ 13.48 $ 12.08 $ 11.25
=========== ======== ======== ======== ======= ======== ======= ======= =======
2.35% 4.82% 4.65% 17.60% 16.12% 28.23% 11.59% 8.54% 12.50%
$ 17,401 $ 9,832 $ 3,007 $ 80,998 $32,291 $ 8,772 $74,486 $48,204 $24,211
0.85% 0.84% 0.84% 1.00% 1.00% 1.00% 1.24% 1.25% 1.25%
6.11% 5.72% 5.41% 0.60% 0.59% 0.75% 1.59% 1.09% 0.78%
- - - - - - - - -
152.20% 218.50% 253.37% 36.76% 36.41% 101.13% 7.86% 5.93% 16.45%
n/a n/a n/a $ 0.0349 $0.0288 n/a $0.0018 $0.0257 n/a
1.09% 1.37% 2.53% 1.04% 1.11% 1.11% 1.38% 1.29% 2.14%
5.87% 5.19% 3.72% 0.56% 0.48% 0.48% 1.45% 1.05% (0.11)%
</TABLE>
17
<PAGE> 18
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
T. ROWE PRICE/JNL
MID-CAP GROWTH SERIES
--------------------------------------
PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, MAY 15,
ENDED 1996 TO 1995*
JUNE 30, DECEMBER 31, TO MARCH 31,
1997 1996 1996
---------- ------------ ------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 14.89 $ 13.43 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income
(loss)................................ (0.01) (0.05) 0.06
Net realized and unrealized gains on
investments and foreign currency
related items.......................... 0.92 1.92 3.90
------- ------- -------
Total income from investment
operations............................. 0.91 1.87 3.96
------- ------- -------
LESS DISTRIBUTIONS:
From net investment income................ - (0.05) -
From net realized gains on investment
transactions........................... - (0.36) (0.53)
Return of capital......................... - - -
------- ------- -------
Total distributions....................... - (0.41) (0.53)
------- ------- -------
Net increase.............................. 0.91 1.46 3.43
------- ------- -------
NET ASSET VALUE, END OF PERIOD............ $ 15.80 $ 14.89 $ 13.43
======= ======= =======
TOTAL RETURN (A)........................... 6.11% 13.91% 40.06%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in thousands)... $91,573 $47,104 $10,545
Ratio of net operating expenses to average
net assets (b) (c)...................... 1.10% 1.10% 1.10%
Ratio of net investment income to average
net assets (b) (c)...................... (0.21)% (0.18)% 0.82%
Ratio of interest expense and dividends on
short postions to average net assets
(b)..................................... - - -
Portfolio turnover......................... 22.65% 25.05% 66.04%
Average commission rate paid (d)........... $0.0487 $0.0326 n/a
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR FEES PAID INDIRECTLY
Ratio of expenses to average net assets
(b) .................................... 1.12% 1.14% 2.10%
Ratio of net investment income to average
net assets (b).......................... (0.23)% (0.22)% (0.18)%
</TABLE>
- ----------------------------
* Commencement of operations
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all 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 Advisor's expense reimbursement and
fees paid indirectly.
(d) Disclosure required for fiscal years beginning after September 1, 1995.
See notes to the financial statements.
18
<PAGE> 19
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
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 sixteen (16) 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/Eagle Core Equity and JNL/Eagle SmallCap
Equity for which Eagle Asset Management, Inc. serves as sub-adviser; JNL/Putnam
Growth and JNL/Putnam Value Equity for which Putnam Investments, Inc. serves as
the sub-advisor; PPM America/JNL Balanced, PPM America/JNL High Yield Bond and
PPM America/JNL Money Market 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. Effective May 1, 1997, the JNL/Phoenix Investment Counsel Balanced
Series is the PPM America/JNL Balanced Series and is managed by PPM America,
Inc., the JNL/Phoenix Investment Counsel Growth Series is the JNL/Putnam Growth
Series and is managed by Putnam Investment Management, Inc., and the PPM
America/JNL Value Equity Series is the JNL/Putnam Value Equity Series and is
managed by Putnam Investment Management, Inc. 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 accounts.
As of June 30, 1997, Jackson National's investment in the Trust totaled
$52,523,453.
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 net increase (decrease) in
net assets from operations 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 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.
19
<PAGE> 20
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for no later than trade date plus one. Dividend income is recorded
on the exdividend 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 close of the New York Stock Exchange.
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 forward
foreign currency exchange 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 gains (losses) 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 forward foreign currency exchange 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 forward foreign currency exchange contracts as
of June 30, 1997.
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 reflects 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.
UNREGISTERED SECURITIES -- Some of the Series own certain investment
securities which are unregistered and thus restricted to resale. These
securities are valued by the Series after giving due consideration to pertinent
factors including recent private sales, market conditions and the issuer's
financial performance. Where future dispositions of the securities require
registration under the Securities Act of 1933, the Series have the right to
include their securities in such registration generally without cost to the
Series. The Series have no right to require registration of unregistered
securities. Unregistered and other illiquid securities are limited to 15% (10%
in the case of PPM America/JNL Money Market Series and the JNL/Alger Growth
Series) of the net assets of a Series.
OPTIONS TRANSACTIONS -- Some of the Series may write covered call options
on portfolio securities. The risk in writing a call option is that the Series
gives up the opportunity of profit if the market price of the security
increases. Option contracts are valued at the closing prices on their
exchanges and the Series will realize a gain or loss upon expiration or closing
of the option transaction. When an option is exercised, the proceeds on sales
for a written call option are adjusted by the amount of premium received.
20
<PAGE> 21
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FUTURES CONTRACTS -- Certain Series in the Trust may utilize futures
contracts to a limited extent. The risk associated with the use of futures
contracts includes the possibility of an illiquid market. Futures contracts
are valued based upon their quoted daily settlement prices. Changes in initial
settlement value are accounted for as unrealized appreciation (depreciation)
until the contracts are terminated at which time realized gains and losses are
recognized.
SHORT POSITIONS -- Certain Series in the Trust may sell securities short
for hedging purposes. For financial statement purposes, an amount equal to the
settlement amount is included in the Statement of Assets and Liabilities as an
asset and equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current value of the short position. The
Series is liable for any dividends payable on securities while those securities
are in a short position. As collateral for its short positions, the Series is
required under the 1940 Act to maintain segregated assets consisting of cash,
cash equivalents or liquid securities. These segregated assets are required to
be adjusted daily to reflect changes in the value of the securities sold short.
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. During the period between the sale and repurchase, the
Series forgoes principal and interest paid on the mortgage securities sold.
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
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 gains distributions, if any, on Series shares are
reinvested automatically in additional shares of the Series at the NAV
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.
For federal income tax purposes, JNL Capital Growth Series, JNL/Alger
Growth Series and JNL/Eagle SmallCap Equity Series have capital loss carryovers
totaling $168,603, $696,137 and $5,034, respectively, 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 of the assets of the Trust.
As compensation for its services, JNFSI receives a fee from the Trust
computed separately for each Series. The fee, which is accrued daily and
payable monthly, is based on the average daily net assets of each Series. The
following is a schedule of the fees each Series is currently obligated to pay
JNFSI.
21
<PAGE> 22
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
$0 TO $50 TO $150 TO $300 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/Eagle Core Equity Series.............................. .90% .85% .85% .75% .75%
JNL/Eagle SmallCap Equity Series.......................... .95% .95% .90% .90% .85%
JNL/Putnam Growth Series*................................. .90% .90% .85% .80% .80%
JNL/Putnam Value Equity Series**.......................... .90% .90% .85% .80% .80%
PPM America/JNL Balanced Series***........................ .75% .70% .675% .65% .625%
PPM America/JNL High Yield Bond Series.................... .75% .70% .675% .65% .625%
PPM America/JNL Money Market Series....................... .60% .60% .575% .55% .525%
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>
* Prior to May 1, 1997, the fee for the JNL/Putnam Growth Series was .90%,
.85%, .80%, .75% and .70%, respectively.
** Prior to May 1, 1997, the fee for the JNL/Putnam Value Equity Series was
.75%, .70%, .675%, .65% and .625%, respectively.
*** Prior to May 1, 1997, the fee for the PPM America/JNL Balanced Series was
.90%, .80%, .75%, .70% and .65%, respectively.
As compensation for their services, the sub-advisers receive fees from
JNFSI computed separately for each Series. The fees are calculated on the basis
of the average net assets of each 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>
$0 TO $50 TO $100 TO $150 TO $300 TO OVER
(M - MILLIONS) $50 M $100 M $150M $300 M $500M $500 M
- -------------- ---------- -------- ---------- ---------- ---------- ------
<S> <C> <C> <C> <C> <C> <C>
JNL Aggressive Growth Series.............................. .55% .55% .50% .50% .50% .45%
JNL Capital Growth Series................................. .55% .55% .50% .50% .50% .45%
JNL Global Equities Series................................ .55% .55% .50% .50% .50% .45%
JNL/Alger Growth Series................................... .55% .55% .55% .55% .50% .45%
JNL/Eagle Core Equity Series.............................. .45% .40% .40% .40% .30% .30%
JNL/Eagle SmallCap Equity Series.......................... .50% .50% .50% .45% .45% .40%
JNL/Putnam Growth Series*................................. .50% .50% .50% .45% .35% .35%
JNL/Putnam Value Equity Series**.......................... .50% .50% .50% .45% .35% .35%
PPM America/JNL Balanced Series*.......................... .25% .20% .20% .175% .15% .125%
PPM America/JNL High Yield Series......................... .25% .20% .20% .175% .15% .125%
PPM America/JNL Money Market Series....................... .20% .15% .15% .125% .10% .075%
Salomon Brothers/JNL Global Bond Series................... .375% .35% .35% .30% .30% .25%
Salomon Brothers/JNL U.S. Government & Quality Bond Series .225% .225% .225% .175% .15% .10%
<CAPTION>
$0 TO $20 TO $50 TO
$20 M $50 M $200 M $200 M+
--------- ---------- ---------- ------------
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>
* Prior to May 1, 1997, the sub-advisory fees for these Series were payable to
Phoenix Investment Counsel, Inc. and were: $0 to $50 million - .50%; $50 to
$150 million - .40%; $150 to $300 million - .30%; $300 to $500 million - .25%;
over $500 million - .20%.
22
<PAGE> 23
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
** Prior to May 1, 1997, the sub-advisory fee for this Series was payable to
PPM and was: $0 to $50 million - .25%; $50 to $150 million - .20%; $150 to
$300 million - .175%; $300 to $500 million - .15%; over $500 million -
.125%.
*** When average 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 $4,000
for each meeting of the Board of Trustees attended as well as certain 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 $7,500 to
non-affiliated Trustees for the six month period ended June 30, 1996.
Each Series is also charged for operating expenses, including trustee
fees, custodian and accounting services fees, legal and auditing services, and
other miscellaneous expenses. 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.
NOTE 4. SECURITY TRANSACTIONS
During the six months ended June 30, 1997, 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.............................. $ 40,326 $23,223
JNL Capital Growth Series................................. 40,207 21,233
JNL Global Equities Series................................ 77,933 27,996
JNL/Alger Growth Series................................... 39,306 23,966
JNL/Eagle Core Equity Series.............................. 4,752 826
JNL/Eagle SmallCap Equity Series.......................... 4,958 952
JNL/Putnam Growth Series.................................. 107,046 67,500
JNL/Putnam Value Equity Series............................ 59,583 28,682
PPM America/JNL Balanced Series........................... 52,362 34,574
PPM America/JNL High Yield Bond Series.................... 46,169 22,118
Salomon Brothers/JNL Global Bond Series................... 27,150 19,586
Salomon Brothers/JNL U.S. Government & Quality Bond Series 44,068 40,374
T. Rowe Price/JNL Established Growth Series............... 53,868 18,481
T. Rowe Price/JNL International Equity Investment Series.. 22,503 4,334
T. Rowe Price/JNL Mid-Cap Growth Series................... 47,431 13,398
</TABLE>
Included in these transactions were purchases and sales of U.S. Government
obligations of $8,007,083 and $5,008,162 in the PPM America/JNL Balanced
Series; $4,419,278 and $4,439,684 in the Salomon Brothers/JNL Global Bond
Series; $20,784,518 and $14,886,113 in the Salomon Brothers/JNL U.S. Government
& Quality Bond Series, respectively.
23
<PAGE> 24
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
The federal income tax cost basis and gross unrealized appreciation and
depreciation on investments as of June 30, 1997 were as follows (in thousands):
<TABLE>
<CAPTION>
TAX GROSS GROSS NET
COST UNREALIZED UNREALIZED UNREALIZED
BASIS APPRECIATION DEPRECIATION APPRECIATION
----------- ---------------- -------------------- ------------------
<S> <C> <C> <C> <C>
JNL Aggressive Growth Series............................ $57,697 $ 5,489 $ (919) $ 4,570
JNL Capital Growth Series............................... 52,803 8,838 (394) 8,444
JNL Global Equities Series.............................. 93,117 19,518 (1,687) 17,831
JNL/Alger Growth Series................................. 54,716 10,745 (365) 10,380
JNL/Eagle Core Equity Series............................ 5,677 800 (32) 768
JNL/Eagle SmallCap Equity Series........................ 5,695 1,129 (154) 975
JNL/Putnam Growth Series................................ 64,090 4,417 (426) 3,991
JNL/Putnam Value Equity Series.......................... 52,017 3,212 (533) 2,679
PPM America/JNL Balanced Series......................... 40,862 1,617 (121) 1,496
PPM America/JNL High Yield Bond Series.................. 37,672 1,048 (25) 1,023
Salomon Brothers/JNL Global Bond Series................. 26,033 817 (65) 752
Salomon Brothers/JNL U.S. Government & Quality
Bond Series........................................... 21,752 107 (31) 76
T. Rowe Price/JNL Established Growth Series............. 70,553 11,365 (655) 10,710
T. Rowe Price/JNL International Equity Investment Series 63,181 12,379 (1,380) 10,999
T. Rowe Price/JNL Mid-Cap Growth Series................. 81,830 13,428 (2,879) 10,549
</TABLE>
NOTE 5. TRUST TRANSACTIONS
Transactions of trust shares for the six months ended June 30, 1997 were
as follows:
<TABLE>
<CAPTION>
SHARES DISTRIBUTIONS SHARES NET
PURCHASED REINVESTED REDEEMED INCREASE
---------------- ------------- --------------- ------------
<S> <C> <C> <C> <C>
JNL Aggressive Growth Series...................... 2,510,471 - (340,727) 2,169,744
JNL Capital Growth Series......................... 1,987,917 - (518,548) 1,469,369
JNL Global Equities Series........................ 3,712,508 - (637,801) 3,074,707
JNL/Alger Growth Series........................... 1,799,987 - (385,136) 1,414,851
JNL/Eagle Core Equity Series...................... 360,605 - (6,581) 354,024
JNL/Eagle SmallCap Equity Series.................. 395,670 - (46,714) 348,956
JNL/Putnam Growth Series *........................ 3,030,429 - (742,073) 2,288,356
JNL/Putnam Value Equity Series *.................. 2,174,911 - (132,787) 2,042,124
PPM America/JNL Balanced Series *................. 1,413,155 - (201,046) 1,212,109
PPM America/JNL High Yield Bond Series............ 2,420,716 - (273,571) 2,147,145
PPM America/JNL Money Market Series............... 49,513,756 753,715 (36,163,437) 14,104,034
Salomon Brothers/JNL Global Bond Series........... 1,434,402 - (255,743) 1,178,659
Salomon Brothers/JNL U.S Government & Quality Bond
Series.......................................... 937,619 - (234,913) 702,706
T. Rowe Price/JNL Established Growth Series....... 3,185,601 - (274,508) 2,911,093
T. Rowe Price/JNL International Equity Investment
Series.......................................... 1,750,794 - (215,579) 1,535,215
T. Rowe Price/JNL Mid-Cap Growth Series........... 3,037,669 - (404,713) 2,632,956
</TABLE>
24
<PAGE> 25
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Transactions of trust shares for the period ending December 31, 1996 were
as follows:
<TABLE>
<CAPTION>
SHARES DISTRIBUTIONS SHARES NET
PURCHASED REINVESTED REDEEMED INCREASE
---------------- ------------- --------------- ------------
<S> <C> <C> <C> <C>
JNL Aggressive Growth Series...................... 1,957,943 130,538 (528,956) 1,559,525
JNL Capital Growth Series......................... 2,355,859 25,885 (517,730) 1,864,014
JNL Global Equities Series........................ 2,508,660 215,630 (698,526) 2,025,764
JNL/Alger Growth Series........................... 3,282,099 - (686,090) 2,596,009
JNL/Eagle Core Equity Series...................... 198,190 214 (14,346) 184,058
JNL/Eagle SmallCap Equity Series.................. 170,418 - (1,912) 168,506
JNL/Phoenix Investment Counsel Growth Series...... 1,507,501 47,430 (151,986) 1,402,945
JNL/Phoenix Investment Counsel Balanced Series.... 1,895,883 54,735 (327,417) 1,623,201
PPM America/JNL Value Equity Series............... 1,153,246 27,517 (219,113) 961,650
PPM America/JNL High Yield Bond Series............ 1,157,121 74,057 (577,564) 653,614
PPM America/JNL Money Market Series............... 43,176,521 606,298 (26,846,271) 16,936,548
Salomon Brothers/JNL Global Bond Series........... 898,823 81,924 (416,558) 564,189
Salomon Brothers/JNL U.S Government & Quality Bond
Series........................................... 852,084 32,389 (218,886) 665,587
T. Rowe Price/JNL Established Growth Series....... 2,278,033 118,612 (597,638) 1,799,007
T. Rowe Price/JNL International Equity Investment
Series........................................... 1,947,418 21,151 (131,846) 1,836,723
T. Rowe Price/JNL Mid-Cap Growth Series........... 2,905,453 80,471 (608,146) 2,377,778
</TABLE>
* Effective May 1, 1997, the JNL/Phoenix Investment Counsel Balanced Series
is the PPM America/JNL Balanced Series and is managed by PPM America,
Inc., the JNL/Phoenix Investment Counsel Growth Series is the JNL/Putnam
Growth Series and is managed by Putnam Investment Management, Inc., and
the PPM America/JNL Value Equity Series is the JNL/Putnam Value Equity
Series and is managed by Putnam Investment Management, Inc.
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.
NOTE 7. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
At June 30, 1997, 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 $29,827, ($58,732), $375,570 and $5,098, 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 6/30/97 CURRENCY TO BE RECEIVED AT 6/30/97
- ---------- ---------------------------- ------------ --------------------------- ------------
<S> <C> <C> <C> <C> <C> <C>
8/11/97 335,000 Deutsche Mark $192,671 202,756 US $ $202,756
8/11/97 113,537 US $ 113,537 190,000 Deutsche Mark 109,276
8/13/97 250,000 Deutsche Mark 143,804 149,986 US $ 149,986
10/23/97 275,000 Deutsche Mark 158,997 164,197 US $ 164,197
7/15/97 150,000 Finnish Markka 28,921 32,408 US $ 32,408
7/23/97 10,000 Finnish Markka 1,929 2,120 US $ 2,120
</TABLE>
25
<PAGE> 26
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JNL AGGRESSIVE GROWTH SERIES (CONTINUED)
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 6/30/97 CURRENCY TO BE RECEIVED AT 6/30/97
- ---------- ------------------------------------ ------------ ------------------------------------ -------------
<S> <C> <C> <C> <C> <C> <C>
9/25/97 250,000 Finnish Markka $ 48,457 50,261 US $ $ 50,261
10/22/97 15,000 Finnish Markka 2,913 2,951 US $ 2,951
11/28/97 1,000,000 Finnish Markka 194,737 198,681 US $ 198,681
12/4/97 130,000 Finnish Markka 25,327 25,750 US $ 25,750
7/15/97 20,000 British Sterling Pound 33,292 33,691 US $ 33,691
7/15/97 32,733 US $ 32,733 20,000 British Sterling Pound 33,292
7/18/97 35,000 British Sterling Pound 58,255 58,349 US $ 58,349
7/18/97 57,251 US $ 57,251 35,000 British Sterling Pound 58,255
9/25/97 50,000 British Sterling Pound 83,050 79,845 US $ 79,845
10/22/97 4,000 British Sterling Pound 6,639 6,512 US $ 6,512
11/28/97 120,000 British Sterling Pound 198,936 194,412 US $ 194,412
12/4/97 47,000 British Sterling Pound 77,903 76,726 US $ 76,726
7/15/97 25,000,000 Italian Lira 14,702 16,151 US $ 16,151
7/15/97 15,925 US $ 15,925 25,000,000 Italian Lira 14,702
9/25/97 470,000 Netherlands Guilder 240,902 250,493 US $ 250,493
9/25/97 10,607 US $ 10,607 20,000 Netherlands Guilder 10,251
12/4/97 347,000 Swedish Krona 45,143 45,392 US $ 45,393
------------ -------------
$1,786,631 $1,816,458
============ =============
</TABLE>
JNL CAPITAL GROWTH SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 6/30/97 CURRENCY TO BE RECEIVED AT 6/30/97
- ---------- -------------------------------- ------------------- -------------------------------- ---------------
<S> <C> <C> <C> <C> <C>
7/18/97 115,000 British Sterling Pound $ 191,409 191,717 US $ $ 191,717
7/24/97 1,500,000 British Sterling Pound 2,496,206 2,463,168 US $ 2,463,168
7/24/97 939,809 US $ 939,809 575,000 British Sterling Pound 956,879
7/28/97 210,000 British Sterling Pound 349,428 339,624 US $ 339,624
8/20/97 400,000 British Sterling Pound 665,119 637,722 US $ 637,722
11/28/97 125,000 British Sterling Pound 207,225 202,513 US $ 202,513
12/4/97 48,000 British Sterling Pound 79,560 78,401 US $ 78,401
---------------- -------------
$4,928,756 $4,870,024
================ =============
</TABLE>
JNL GLOBAL EQUITIES SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 6/30/97 CURRENCY TO BE RECEIVED AT 6/30/97
- ---------- ------------------------------------ --------------- ------------------------------------ ---------------
<S> <C> <C> <C> <C> <C> <C>
7/18/97 600,000 Swiss Franc $ 411,884 444,685 US $ $ 444,985
7/23/97 150,000 Swiss Franc 103,035 107,976 US $ 107,976
7/24/97 600,000 Swiss Franc 412,193 427,198 US $ 427,198
8/11/97 400,000 Swiss Franc 275,370 277,681 US $ 277,681
8/11/97 282,267 US $ 282,267 400,000 Swiss Franc 275,370
9/12/97 1,500,000 Swiss Franc 1,036,393 1,037,775 US $ 1,037,775
11/12/97 122,000 Swiss Franc 84,918 87,455 US $ 87,455
7/17/97 275,000 Deutsche Mark 157,877 175,710 US $ 175,170
7/18/97 30,000 Deutsche Mark 17,224 19,134 US $ 19,134
7/23/97 400,000 Deutsche Mark 229,744 249,196 US $ 249,196
7/24/97 200,000 Deutsche Mark 114,880 123,343 US $ 123,343
8/11/97 75,000 Deutsche Mark 43,135 45,715 US $ 45,715
7/18/97 750,000 Finnish Markka 144,638 160,875 US $ 160,875
11/12/97 93,000 Finnish Markka 18,089 18,467 US $ 18,467
7/18/97 500,000 French Franc 85,187 94,434 US $ 94,434
7/31/97 159,417 US $ 159,417 924,620 French Franc 157,673
8/4/97 3,000,000 French Franc 511,709 547,815 US $ 547,815
8/11/97 2,000,000 French Franc 341,286 358,025 US $ 358,025
11/28/97 6,000,000 French Franc 1,031,281 1,057,222 US $ 1,057,222
7/2/97 231,546 US $ 231,546 139,143 British Sterling Pound 231,702
7/24/97 1,955,640 US $ 1,955,640 1,200,000 British Sterling Pound 1,996,965
7/24/97 1,800,000 British Sterling Pound 2,995,447 2,949,120 US $ 2,949,120
7/28/97 1,200,000 British Sterling Pound 1,996,732 1,940,711 US $ 1,940,711
7/18/97 115,250,000 Japanese Yen 1,008,257 1,016,628 US $ 1,016,628
</TABLE>
26
<PAGE> 27
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JNL GLOBAL EQUITIES SERIES (CONTINUED)
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 6/30/97 CURRENCY TO BE RECEIVED AT 6/30/97
- ---------- --------------------------------- --------------- --------------------------------- --------------
<S> <C> <C> <C> <C> <C> <C>
9/11/97 9,000,000 Japanese Yen $ 79,346 75,857 US $ $ 75,857
11/4/97 216,750,000 Japanese Yen 1,926,239 1,885,400 US $ 1,885,400
11/4/97 442,811 US $ 442,811 50,000,000 Japanese Yen 444,346
12/18/97 21,000,000 Japanese Yen 187,869 190,045 US $ 190,045
7/21/97 264,974 US $ 264,974 500,000 Netherlands Guilder 255,117
7/21/97 1,500,000 Netherlands Guilder 765,351 837,054 US $ 837,054
7/24/97 2,300,000 Netherlands Guilder 1,173,796 1,262,176 US $ 1,262,176
8/11/97 200,000 Netherlands Guilder 102,195 107,348 US $ 107,348
7/18/97 6,400,000 Swedish Krona 827,948 929,895 US $ 929,895
7/23/97 700,000 Swedish Krona 90,575 99,573 US $ 99,573
11/3/97 118,000 South African Rand 25,180 22,597 US $ 22,597
11/3/97 25,220 US $ 25,220 118,000 South African Rand 25,180
----------- -----------
$19,559,653 $19,935,223
=========== ===========
</TABLE>
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 6/30/97 CURRENCY TO BE RECEIVED AT 6/30/97
- ---------- --------------------------- ------------- --------------------------- -------------
<S> <C> <C> <C> <C> <C> <C>
7/3/97 423,631 French Franc $ 72,101 75,784 US $ $ 75,784
7/3/97 73,460 US $ 73,460 426,763 French Franc 72,635
7/16/97 19,362 Australian $ 14,608 14,997 US $ 14,997
7/16/97 719,750 Canadian $ 521,778 520,051 US $ 520,051
7/16/97 443,781 US $ 443,781 616,412 Canadian $ 446,863
7/16/97 521,738 Danish Kroner 78,651 80,070 US $ 80,071
7/16/97 29,476 US $ 29,476 521,738 Danish Kroner 28,749
10/3/97 54,901 Canadian $ 39,984 39,668 US $ 39,668
10/3/97 70,547 Irish Punts 106,662 107,020 US $ 107,020
10/6/97 18,992 US $ 18,992 32,477 Deutsche Mark 18,753
---------- ----------
$1,399,493 $1,404,591
========== ==========
</TABLE>
27
<PAGE> 28
JNL AGGRESSIVE GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- -------------
COMMON STOCKS -- 72.95%
- -----------------------
<S> <C> <C>
FINLAND -- 1.14%
- ----------------
CONGLOMERATES -- 1.14%
Metra Oy, B Shares.......................... 23,650 $ 712,768
FRANCE -- 1.07%
- ---------------
CHEMICALS -- 0.92%
Rhone Poulenc SA............................. 14,005 571,954
COMPUTERS & TECHNOLOGY -- 0.15%
Axime (En Segin) (a)........................ 806 95,320
----------
Total France............................. 667,274
GERMANY -- 2.64%
- ----------------
AUTOMOBILES -- 2.64%
Volkswagen AG................................ 2,146 1,645,090
NETHERLANDS-- 0.53%
- -------------------
CHEMICALS -- 0.38%
Akzo Nobel NV................................ 1,706 233,794
HOUSEHOLD APPLIANCES & FURNISHINGS -- 0.15%
Philips Electronic NV....................... 1,337 95,767
----------
Total Netherlands........................ 329,561
SWEDEN -- 0.37%
- ---------------
INSURANCE -- 0.27%
Skandia Foersaekrings AB..................... 4,474 164,836
SECURITY SYSTEMS -- 0.10%
Securitas AB................................ 2,307 65,015
----------
Total Sweden............................. 229,851
UNITED KINGDOM -- 0.98%
- -----------------------
CONGLOMERATES -- 0.98%
Rentokil Initial PLC......................... 174,760 612,905
UNITED STATES -- 66.22%
- -----------------------
APPAREL & TEXTILES -- 0.60%
Gucci Group N.V.-N.Y......................... 5,750 370,156
BANKS -- 4.43%
Ambanc Holding Co., Inc..................... 1,950 31,687
Bank of New York, Inc....................... 9,350 406,725
BankAmerica Corp............................ 9,500 613,344
Citicorp.................................... 6,175 744,473
Fleet Financial Group, Inc.................. 1,175 74,319
Klamath First Bancorp, Inc.................. 1,950 37,294
PFF Bancorp, Inc. (a)....................... 2,125 39,844
Provident Financial Holdings, Inc. (a)...... 1,400 23,275
Roslyn Bancorp, Inc......................... 5,075 116,091
State Street Corporation.................... 3,700 171,125
Wells Fargo & Co............................ 1,841 496,150
----------
2,754,327
<CAPTION>
SHARES MARKET VALUE
---------------- -------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
BUSINESS SERVICES -- 4.62%
First Data Corp............................. 18,200 $ 799,662
Intelliquest Information Group (a).......... 6,275 141,187
Lamar Advertising Co. Class A (a)........... 6,275 160,013
Nokia Corp. ADR............................. 17,900 1,320,125
Outdoor Systems, Inc........................ 3,600 137,700
Technology Solutions Co. (a)................ 1,875 74,063
Teletech Holdings, Inc...................... 9,350 245,438
----------
2,878,188
CHEMICALS -- 2.65%
Monsanto Co................................. 38,350 1,651,447
COMPUTERS & BUSINESS EQUIPMENT -- 3.45%
Cisco Systems, Inc. (a)..................... 12,025 807,178
Compaq Computer Corp........................ 5,675 563,244
EMC Corp. (a)............................... 7,775 303,225
Indus Group, Inc. (a)....................... 3,775 76,444
Intelligroup, Inc. (a)...................... 20,000 192,500
Sapient Corp. (a)........................... 4,075 201,713
----------
2,144,304
DRUGS & HEALTH CARE -- 10.31%
Fresenius Medical Care ADR (a).............. 5,700 166,012
Idexx Laboratories, Inc. (a)................ 10,100 125,619
Omnicare, Inc............................... 25,950 814,181
Pacificare Health Systems Class B........... 2,450 156,494
Protein Design Labs, Inc. (a)............... 2,925 83,362
Rhone Poulenc Rorer, Inc.................... 11,300 1,026,888
Sofamor Danek Group, Inc. (a) ............. 6,625 303,094
Teva Pharmaceutical Industries, Ltd. ADR.... 20,725 1,341,944
Warner Lambert Co........................... 19,325 2,401,131
----------
6,418,725
ELECTRICAL EQUIPMENT -- 3.58%
ASM Lithography Holdings NV (a)............. 3,125 182,812
Philips Electronics NV...................... 13,423 964,778
UCAR International, Inc. (a)................ 15,150 693,113
Westinghouse Electric Corp.................. 16,275 386,766
----------
2,227,469
ELECTRONICS -- 4.50%
Analog Devices, Inc. (a).................... 28,383 753,923
Intel Corp.................................. 6,950 985,597
KLA-Tencor Corp. (a)........................ 2,225 108,469
Pittway Corp., Class A...................... 19,125 951,469
----------
2,799,458
FINANCIAL SERVICES -- 3.38%
Amresco, Inc. (a)........................... 1,950 41,925
Associates First Capital Corp. Class A...... 16,325 906,038
Astoria Financial Corp...................... 1,375 65,312
Catskill Financial Corp..................... 1,075 16,663
Charles Schwab Corp......................... 8,975 365,170
First USA Paymentech, Inc................... 8,950 258,991
</TABLE>
See notes to the financial statements.
28
<PAGE> 29
JNL AGGRESSIVE GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
COMMON STOCKS (CONTINUED) -------- ------------
- -------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
FINANCIAL SERVICES (CONTINUED)
Household International, Inc................ 575 $ 67,527
Peekskill Financial Corp.................... 1,025 15,375
TF Financial Corp........................... 1,700 33,363
Travelers Group, Inc........................ 4,750 299,547
Western National Corp....................... 1,350 36,197
----------
2,106,108
GAS EXPLORATION -- 0.41%
Triton Energy Corp. Class A (a)............. 5,600 256,550
HOUSEHOLD APPLIANCES & FURNISHINGS -- 0.31%
Industrie Natuzzi SPA ADR................... 7,525 192,828
INDUSTRIAL MACHINERY -- 0.20%
Chicago Bridge & Iron NV.................... 5,700 126,112
INSURANCE -- 3.57%
Equifax, Inc................................ 9,875 367,227
Nationwide Financial Services, Inc. Class A. 14,325 380,508
Reliance Group Holdings, Inc................ 4,675 55,516
UNUM Corp................................... 33,854 1,421,868
----------
2,225,119
MINING -- 1.16%
Minnesota Mining & Manufacturing Co......... 5,400 550,800
Potash Corp. of Saskatchewan, Inc........... 2,308 173,244
----------
724,044
OIL -- 0.42%
Texaco, Inc................................ 2,400 261,000
PETROLEUM SERVICES -- 3.20%
Noble Drilling Corp. (a).................... 26,975 608,623
Santa Fe International Corp. (a)............ 40,700 1,383,800
----------
1,992,423
PUBLISHING -- 0.28%
Scholastic Corp. (a)...................... 5,000 175,000
REAL ESTATE -- 0.50%
Redwood Trust, Inc........................ 6,700 313,225
RETAIL -- 2.13%
Abercrombie & Fitch Co. Class A (a)....... 11,825 218,762
Costco Cos., Inc. (a)..................... 18,925 622,159
Linens & Things, Inc. (a)................. 10,900 322,912
Nordstrom, Inc............................ 3,350 164,359
----------
1,328,192
SAVINGS & LOAN -- 0.73%
Dime Bancorp, Inc......................... 3,275 57,312
FSF Financial Corp........................ 200 3,475
<CAPTION>
SHARES MARKET VALUE
-------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
SAVINGS & LOAN (CONTINUED)
First Defiance Financial Corp............ 1,725 $ 25,012
First Savings Bancorp.................... 325 7,231
Great Western Financial Corp............. 5,250 282,188
North Central Bancshares, Inc............ 1,050 16,275
Queens County Bancorp.................... 1,350 61,425
----------
452,918
SOFTWARE -- 9.34%
Aspen Technology, Inc. (a)............... 22,250 837,156
HBO & Co................................. 13,700 943,587
JDA Software Group, Inc. (a)............. 1,875 63,984
Microsoft Corp. (a)...................... 1,700 214,838
Parametric Technology Corp. (a).......... 65,025 2,767,627
Peoplesoft, Inc. (a)..................... 7,750 408,813
Rational Software Corp. (a).............. 3,625 60,945
Wind River Systems, Inc. (a)............. 13,550 518,288
----------
5,815,238
TELECOMMUNICATIONS -- 5.34%
Ascend Communications, Inc. (a)........... 7,050 277,594
Cincinnati Bell, Inc...................... 50,760 1,598,940
Lucent Technologies, Inc.................. 11,400 821,512
Millicom International Cellular SA (a).... 1,050 50,137
Pricellular Corp., Class A (a)............ 5,750 52,828
Worldcom, Inc. (a)........................ 16,304 521,728
----------
3,322,739
TRANSPORTATION -- 1.11%
Caliber Systems, Inc..................... 16,600 618,350
Wisconsin Central Transportation Corp.(a) 1,950 72,638
----------
690,988
----------
Total United States................. 41,226,558
----------
Total Common Stock
(cost $40,545,619)................ 45,424,007
----------
<CAPTION>
PRINCIPAL AMOUNT
----------------
SHORT TERM INVESTMENTS -- 27.05%
- --------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES -- 27.05%
Federal Home Loan Bank Discount Note
5.63%, 10/15/1997....................... $3,500,000 3,444,042
Federal Home Loan Mortgage Discount Note
5.75%, 07/01/1997........................ 8,400,000 8,400,000
Federal National Mortgage Assoc. Discount Note
5.50%, 07/02/1997........................ 5,000,000 4,999,236
----------
Total Short Term Investments
(cost $16,841,216)....................... 16,843,278
----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $57,386,835)....................... $62,267,285
===========
</TABLE>
- ------------------------------------------------------
(a) Non-income producing security.
See notes to the financial statements.
29
<PAGE> 30
JNL CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS -- 92.19%
- -----------------------
<S> <C> <C>
UNITED KINGDOM -- 10.86%
- ------------------------
CONGLOMERATES -- 0.59%
Rentokil Initial PLC.......................... 102,950 $ 361,058
FOOD & BEVERAGES -- 10.27%
Pizza Express................................ 270,377 2,836,633
J.D. Wetherspoon PLC......................... 153,044 3,453,412
------------
6,290,045
------------
Total United Kingdom....................... 6,651,103
UNITED STATES --81.33%
- ----------------------
AIRLINES -- 0.34%
Ryanair Holdings PLC ADR (a)................. 7,625 206,828
APPAREL & TEXTILES -- 0.12%
G & K Services, Inc. Class A................. 2,025 75,431
AUTOMOBILE -- 0.86%
O'Reilly Automotive, Inc. (a)................ 13,625 524,563
BANKS -- 0.63%
First Empire State Corp...................... 1,100 370,700
Northern Trust Corp.......................... 350 16,931
------------
387,631
BROADCASTING & MEDIA -- 6.11%
Central Newspapers, Inc. Class A............. 5,675 406,472
Clear Channel Communications, Inc. (a)....... 29,200 1,795,800
Evergreen Media Corp. Class A (a)............ 22,050 983,981
Heftel Broadcasting Corp. (a)................ 10,125 559,406
------------
3,745,659
BUILDING & CONSTRUCTION -- 7.61%
Fastenal Co.................................. 95,175 4,663,575
BUSINESS SERVICES -- 7.21%
Apollo Group, Inc. (a)....................... 39,925 1,407,356
Catalina Marketing Corp. (a)................. 2,800 134,750
Coinmachine Laundry Corp. (a)................ 20,700 491,625
Outdoor Systems, Inc. (a).................... 21,400 818,550
Paychex, Inc................................. 34,850 1,324,300
Profit Recovery Group International, Inc.(a). 14,950 207,431
Robert Half International, Inc. (a).......... 675 31,767
------------
4,415,779
CHEMICALS -- 0.47%
Minerals Technologies, Inc................... 7,750 290,625
COMPUTERS & BUSINESS EQUIPMENT -- 0.10%
Amdahl Corp. (a)............................. 6,925 60,594
DRUGS & HEALTH CARE -- 11.22%
Depotech Corp. (a)........................... 19,875 270,797
Healthcare Financial Partners, Inc. (a)...... 17,650 359,619
Karrington Health, Inc. (a).................. 12,775 191,625
Omnicare, Inc................................ 49,850 1,564,044
<CAPTION>
SHARES MARKET VALUE
--------------- ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
DRUGS & HEALTH CARE (CONTINUED)
Sofamor Danek Group, Inc. (a).................... 50,900 $ 2,328,675
Sunrise Assisted Living, Inc. (a)................ 8,400 294,000
Sybron International Corp. (a)................... 350 13,956
Teva Pharmaceutical Industries ADR............... 28,550 1,848,612
------------
6,871,328
ELECTRICAL EQUIPMENT -- 4.11%
Barnett, Inc. (a)................................ 45,200 1,107,400
Dentsply International, Inc...................... 3,500 171,500
Littlefuse, Inc. (a)............................. 43,800 1,237,350
------------
2,516,250
ELECTRONICS -- 0.55%
Methode Electronics, Inc. Class A................ 16,800 333,900
FINANCIAL SERVICES -- 6.57%
Associates First Capital Corp.................... 3,975 220,612
Charles Schwab Corp.............................. 14,075 572,677
Credit Acceptance Corp. (a)...................... 16,875 217,266
Federal Agricultural Mortgage Corp. Class C (a).. 3,975 144,094
Finova Group, Inc................................ 925 70,762
Household International, Inc..................... 1,050 123,309
Insignia Financial Group, Inc. (a)............... 83,550 1,514,344
Medallion Financial Corp......................... 33,475 640,209
Regions Financial Corp........................... 3,600 113,850
TCF Financial Corp............................... 1,250 61,719
Travelers Group, Inc............................. 2,800 176,575
Western National Corp............................ 6,275 168,248
------------
4,023,665
FOOD & BEVERAGES -- 0.89%
JP Foodservice, Inc. (a)......................... 14,475 415,252
Weider Nutrition International, Inc. Class A..... 8,300 131,762
------------
547,014
GAS EXPLORATION -- 1.13%
Trigen Energy Corp............................... 27,675 691,875
HOTELS & RESTAURANTS -- 7.94%
Choice Hotels Holdings, Inc. (a)................. 8,800 149,050
HFS, Inc. (a).................................... 38,975 2,260,550
Papa John's International, Inc. (a).............. 66,787 2,454,422
------------
4,864,022
INDUSTRIAL MACHINERY -- 0.20%
JLK Direct Distribution, Inc. (a)................ 4,850 124,281
INSURANCE -- 5.13%
AFLAC, Inc....................................... 2,250 106,312
Hartford Life, Inc. Class A...................... 16,800 630,000
Nationwide Financial Services, Inc. Class A...... 5,150 136,797
Progressive Corp................................. 6,900 600,300
Protective Life Corp............................. 24,650 1,238,663
UICI (a)......................................... 14,625 431,438
------------
3,143,510
</TABLE>
See notes to the financial statements.
30
<PAGE> 31
JNL CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
LEISURE TIME -- 5.14%
Family Golf Centers, Inc. (a)................ 39,475 $ 907,925
Premier Parks, Inc........................... 22,700 837,063
Regal Cinemas, Inc. (a)...................... 27,000 891,000
Royal Caribbean Cruises, Ltd................. 14,575 509,214
------------
3,145,202
PLASTICS -- 1.85%
Sealed Air Corp. (a)......................... 23,825 1,131,688
POLLUTION CONTROL -- 2.32%
Culligan Water Technologies, Inc. (a)........ 31,700 1,418,575
RETAIL -- 6.02%
Costco Cos., Inc. (a)........................ 4,325 142,184
Meyer Fred, Inc. (a)......................... 6,125 316,586
MSC Industrial Direct, Inc. (a).............. 7,275 291,909
Petco Animal Supplies (a).................... 82,690 2,480,700
Quality Food Centers, Inc.................... 8,900 338,200
Safeway, Inc. (a)............................ 2,500 115,313
------------
3,684,892
TELECOMMUNICATIONS -- 2.28%
Cincinnati Bell, Inc......................... 8,700 274,050
Comnet Cellular, Inc. (a).................... 3,125 108,594
Pricellular Corp. Class A (a)................ 76,032 698,544
Univision Communications, Inc. Class A....... 8,100 316,913
------------
1,398,101
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
TRANSPORTATION -- 2.53%
Wisconsin Central Transportation Corp. (a)... 41,575 $ 1,548,669
------------
Total United States.......................... 49,813,657
------------
Total Common Stocks
(cost $48,036,316)........................... 56,464,760
------------
WARRANTS -- 0.14%
- -----------------
ELECTRICAL EQUIPMENT -- 0.14%
Littlefuse, Inc. Series A, (Expire 12/27/2001)
(cost $48,137)............................... 3,700 83,712
<CAPTION>
PRINCIPAL AMOUNT
----------------
SHORT TERM INVESTMENTS -- 7.67%
- -------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 0.81%
Ford Motor Credit Co., 5.55%, 07/11/1997..... $ 500,000 499,229
U.S. GOVERNMENT AGENCIES -- 6.86%
Federal Home Loan Mortgage Discount Note
5.75%, 07/01/1997......................... 2,200,000 2,200,000
Federal National Mortgage Assoc. Discount Note
5.50%, 07/02/1997......................... 2,000,000 1,999,695
------------
4,199,695
------------
Total Short Term Investments
(cost $4,698,924)......................... 4,698,924
------------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $52,783,377)........................ $61,247,396
===========
</TABLE>
- ---------------------------------
(a) Non-income producing security.
See notes to the financial statements.
31
<PAGE> 32
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION> MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 98.38%
- -----------------------
AUSTRALIA -- 0.41%
- ------------------
INVESTMENT COMPANY -- 0.01%
Colonial Ltd.................................................... 4,601 $ 11,753
SOFTWARE -- 0.40%
CI Technology Group............................................. 390,241 442,387
----------
Total Australia............................................... 454,140
AUSTRIA -- 0.26%
- ----------------
APPAREL & TEXTILES -- 0.26%
Wolford AG...................................................... 3,016 292,660
BELGIUM -- 0.30%
- ----------------
FINANCIAL SERVICES -- 0.09%
Credit Communal Holding Dexia................................... 962 103,339
TELECOMMUNICATIONS -- 0.21%
Telinfo SA (a).................................................. 3,799 231,762
----------
Total Belgium................................................. 335,101
BRAZIL -- 0.12%
- ---------------
TOBACCO -- 0.12%
Souza Cruz SA................................................... 13,500 142,330
DENMARK -- 1.60%
- ----------------
BANKS -- 0.69%
Amtssparekassen Fyn............................................. 2,930 188,864
BG Bank......................................................... 1,942 107,338
Jyske Bank...................................................... 2,023 174,273
Spar Nord Holding............................................... 185 8,637
Sydbank......................................................... 4,691 214,065
Unidanmark Series A............................................. 1,193 67,017
----------
760,194
CONGLOMERATES -- 0.75%
Sophus Berendsen Series B....................................... 5,784 836,254
INVESTMENT COMPANIES -- 0.01%
FIH Series B.................................................... 559 14,228
TRANSPORTATION -- 0.15%
SAS Danmark A/S................................................. 13,907 162,321
----------
Total Denmark................................................. 1,772,997
FINLAND -- 1.81%
- ----------------
COMPUTERS & SOFTWARE -- 0.37%
Tietotehdas Oy, Class B......................................... 4,775 413,798
CONGLOMERATES -- 0.48%
Amer Group Ltd. Series B........................................ 17,561 316,201
Metra AB Series B............................................... 7,132 214,946
----------
531,147
<CAPTION>
MARKET
SHARES VALUE
------ ------
COMMON STOCKS -- (CONTINUED)
- ----------------------------
<S> <C> <C>
FINLAND -- (CONTINUED)
- ----------------------
DRUGS & HEALTH CARE -- 0.61%
Orion - Yhtyma Oy................................................. 17,654 $ 669,069
FOOD & BEVERAGES -- 0.35%
Raision Tehtaat Oy................................................ 5,668 389,673
----------
Total Finland................................................... 2,003,687
FRANCE -- 8.06%
- ---------------
BANKS -- 1.11%
Banque National Paris............................................. 20,620 849,825
Dexia France...................................................... 3,885 378,141
----------
1,227,966
BUSINESS SERVICES -- 1.22%
Cap Gemini........................................................ 11,865 625,887
Grandoptical Photo................................................ 4,790 727,054
----------
1,352,941
CHEMICALS -- 1.49%
Rhone Poulenc SA.................................................. 40,513 1,654,520
COMPUTER SERVICES -- 0.63%
Axime (a)......................................................... 5,891 696,691
ELECTRICAL EQUIPMENT -- 0.44%
Alcatel Alsthom................................................... 2,804 351,174
Carbone Lorraine.................................................. 557 135,537
----------
486,711
FINANCIAL SERVICES -- 0.02%
Compagnie de Suez................................................. 7,040 17,310
GAS EXPLORATION -- 1.35% ----------
Elf Aquitaine..................................................... 13,909 1,500,554
PUBLISHING -- 0.77%
Lagardere......................................................... 29,686 862,287
RETAIL -- 0.33%
Carrefour......................................................... 495 359,498
RUBBER & TIRES -- 0.70%
Michelin.......................................................... 12,996 780,419
----------
Total France.................................................... 8,938,897
GERMANY -- 8.64%
- ----------------
APPAREL & TEXTILES -- 0.51%
Adidas AG......................................................... 5,148 569,672
AUTOMOBILE & PARTS -- 2.93%
Bayerische Motoren Werke.......................................... 475 392,996
Volkswagen AG..................................................... 3,729 2,858,594
----------
3,251,590
</TABLE>
See notes to the financial statements.
32
<PAGE> 33
<TABLE>
<CAPTION> MARKET
SHARES VALUE
------ ------
COMMON STOCKS -- (CONTINUED)
- ----------------------------
<S> <C> <C>
GERMANY -- (CONTINUED)
- ----------------------
BANKS -- 3.22%
Deutsche Bank AG....................................................... 42,803 $ 2,500,789
Pfandbriefbank Schweizerischer Hypothek................................ 18,544 1,066,432
-----------
3,567,221
BUILDING & CONSTRUCTION -- 0.25%
Tarkett AG........................................................... 10,649 274,758
CHEMICALS -- 0.08%
SGL Carbon AG........................................................ 684 93,652
DRUGS & HEALTH CARE -- 0.63%
Altana AG............................................................ 657 700,659
ELECTRICAL ENERGY -- 0.47%
Veba AG.............................................................. 9,187 516,212
ELECTRICAL EQUIPMENT -- 0.18%
Siemens AG........................................................... 3,321 197,173
TRANSPORTATION -- 0.37%
Lufthansa AG......................................................... 21,550 413,306
-----------
Total Germany...................................................... 9,584,243
GREECE -- 0.14%
- ---------------
TELECOMMUNICATIONS -- 0.14%
Hellenic Telecommunication Organization SA........................... 6,454 151,558
HONG KONG -- 2.04%
- ------------------
CONGLOMERATES -- 0.43%
Hutchison Whampoa.................................................... 55,000 475,650
FINANCIAL SERVICES -- 0.81%
First Pacific Co. ................................................... 650,000 830,612
JCG Holdings Limited................................................. 86,000 69,379
-----------
899,991
TRANSPORTATION -- 0.80%
Jiangsu Expressway................................................... 1,396,000 495,527
Pacific Ports Company (a)............................................ 1,636,000 327,314
Shenzhen Expressway.................................................. 244,000 66,926
-----------
889,767
-----------
Total Hong Kong.................................................... 2,265,408
INDONESIA -- 0.95%
- ------------------
FINANCIAL SERVICES -- 0.89%
Putra Surya Multidana (a)............................................ 619,000 986,277
TOBACCO -- 0.06%
HM Sampoerna......................................................... 17,000 64,833
-----------
Total Indonesia.................................................... 1,051,110
<CAPTION> MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
- ----------------------------
ITALY -- 2.18%
- --------------
BANKS -- 0.31%
Credito Italiano.................................................... 184,989 $ 338,507
ELECTRICAL EQUIPMENT -- 0.67%
Gewiss.............................................................. 43,492 748,507
FOOD & BEVERAGES -- 0.24%
Parmalat Finanziaria SPA............................................ 188,469 266,696
RUBBER & TIRES -- 0.18%
Pirelli SPA......................................................... 82,564 204,519
TELECOMMUNICATIONS -- 0.78%
Stet SPA (a) ....................................................... 97,392 567,308
Telecom Italia Mobile (a)........................................... 42,479 137,467
Telecom Italia...................................................... 52,359 156,809
----------
861,584
----------
Total Italy...................................................... 2,419,813
JAPAN -- 12.25%
- ---------------
AUTOMOBILES & PARTS -- 1.02%
Denso Corp. ......................................................... 28,000 669,342
Mitsubishi Motor..................................................... 61,000 436,399
Yamaha Motor Co...................................................... 3,000 29,838
----------
1,135,579
BANKS -- 0.90%
Mitsubishi Trust & Banking........................................... 13,000 205,287
Mitsui Trust & Banking............................................... 43,000 324,507
Sumitomo Trust & Banking............................................. 44,000 472,169
----------
1,001,963
COMPUTERS & BUSINESS EQUIPMENT -- 1.60%
Fujitsu.............................................................. 39,000 541,005
NTT Data Corp........................................................ 32 1,236,782
----------
1,777,787
DRUGS & HEALTH CARE -- 2.27%
Eisai Co............................................................. 11,000 208,253
Shiseido Co.......................................................... 31,000 511,167
Takeda Chemical Industries........................................... 29,000 814,692
Torii Pharmaceutical Co.............................................. 42,000 985,692
----------
2,519,804
ELECTRICAL EQUIPMENT -- 0.98%
Hitachi.............................................................. 97,000 1,083,232
FINANCIAL SERVICES -- 0.47%
Nomura Securities.................................................... 38,000 523,818
HOUSEHOLD FURNITURE & APPLIANCES -- 0.90%
Sony Corp............................................................ 11,400 993,596
INSURANCE -- 0.46%
Tokio Marine & Fire.................................................. 39,000 510,382
</TABLE>
See notes to the financial statements.
33
<PAGE> 34
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
COMMON STOCKS -- (CONTINUED)
- ----------------------------
<S> <C> <C>
JAPAN -- (CONTINUED)
- --------------------
PHOTOGRAPHY -- 0.32%
Canon, Inc................................................................. 13,000 $ 353,865
REAL ESTATE -- 1.27%
Mitsubishi Estate Co. Ltd.................................................. 65,000 941,372
Mitsui Fudosan Co.......................................................... 34,000 468,679
-----------
1,410,051
RETAIL -- 0.36%
Isetan..................................................................... 7,000 86,721
Mitsubishi Corp............................................................ 8,000 99,808
Mitsui & Co................................................................ 22,000 211,133
-----------
397,662
TELECOMMUNICATIONS -- 1.70%
Nippon Telegraph & Telephone Corp.......................................... 196 1,880,998
-----------
Total Japan.............................................................. 13,588,737
MEXICO -- 0.38%
- ---------------
FOOD & BEVERAGES -- 0.38%
Fomento Economico Mexico................................................... 70,000 416,609
NETHERLANDS -- 7.16%
- --------------------
BANKS -- 1.09%
ING Groep NV .............................................................. 26,173 1,206,713
BUSINESS SERVICES -- 0.90%
CMG ....................................................................... 35,955 798,634
Vedior (a)................................................................. 7,395 195,527
-----------
994,161
CHEMICALS -- 0.85%
Akzo Nobel NV.............................................................. 6,885 943,535
COMPUTERS & BUSINESS EQUIPMENT -- 0.77%
Getronics NV............................................................... 20,865 673,922
Oce NV..................................................................... 1,433 184,846
-----------
858,768
ENTERTAINMENT -- 0.05%
Polygram NV................................................................ 963 50,532
FOOD & BEVERAGES -- 0.39%
Nutricia Verenigde Bedrijuen............................................... 2,737 432,253
HOUSEHOLD FURNITURE & APPLIANCES -- 2.61%
Hunter Douglas N.V......................................................... 2,433 206,995
Philips Electronics........................................................ 37,503 2,686,292
-----------
2,893,287
PUBLISHING -- 0.37%
Wolters Kluwer NV.......................................................... 3,374 410,814
<CAPTION>
MARKET
SHARES VALUE
------ ------
COMMON STOCKS -- (CONTINUED)
- ----------------------------
<S> <C> <C>
NETHERLANDS -- (CONTINUED)
- --------------------------
TRANSPORTATION -- 0.13%
Koninklijke Nedlloyd Groep NV................................................. 5,133 $ 148,271
----------
Total Netherlands............................................................ 7,938,334
NORWAY -- 0.75%
- ---------------
COMPUTERS & BUSINESS EQUIPMENT -- 0.10%
Merkantildata AS.............................................................. 5,594 110,671
INDUSTRIAL MACHINERY -- 0.18%
Tomra System AS............................................................... 9,800 200,568
TELECOMMUNICATIONS -- 0.20%
Tandberg AS (a)............................................................... 7,635 81,254
Tandberg Televisjo (a)........................................................ 19,444 144,586
----------
225,840
TRANSPORTATION -- 0.27%
SAS Norge ASA B shares........................................................ 28,208 296,351
----------
Total Norway................................................................. 833,430
PHILIPPINES -- 0.09%
- --------------------
BANKS -- 0.07%
Equitable Banking Corp........................................................ 20,500 74,225
ELECTRIC UTILITIES -- 0.02%
Manila Electric Co............................................................ 4,880 24,052
----------
Total Philippines............................................................ 98,277
PORTUGAL -- 0.17%
- -----------------
ELECTRIC UTILITIES -- 0.17%
Electridad de Portugal........................................................ 10,544 193,495
SINGAPORE -- 1.08%
- ------------------
TELECOMMUNICATIONS -- 1.08%
Datacraft Asia................................................................ 376,000 1,195,680
SPAIN -- 1.37%
- --------------
APPAREL & TEXTILES -- 0.33%
Adolfo Dominguez (a).......................................................... 9,300 366,067
BANKS -- 0.05%
Corporacion Financiera Reunida................................................ 14,586 61,373
BUILDING & CONSTRUCTION -- 0.16%
Grupo Acciona................................................................. 1,608 181,152
COMMERCIAL SERVICES -- 0.18%
Prosegur, Companhia de Seguridad.............................................. 15,975 195,148
CONGLOMERATES -- 0.04%
Azkoyen....................................................................... 400 49,678
</TABLE>
See notes to the financial statements.
34
<PAGE> 35
<TABLE>
<CAPTION> MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
- ----------------------------
SPAIN -- (CONTINUED)
- --------------------
FOOD & BEVERAGES -- 0.58%
Telepizza.................................................................... 11,090 $ 647,260
RETAIL -- 0.03%
Cortefiel SA................................................................. 644 28,103
----------
Total Spain................................................................ 1,528,781
SWEDEN -- 7.94%
- ---------------
AUTOMOBILE & PARTS -- 0.18%
Autoliv, Inc................................................................. 5,204 200,141
BANKS -- 0.16%
Nordbanken AB................................................................ 3,110 104,933
Sparbanken Sverige Series A.................................................. 3,416 75,955
-----------
180,888
BUSINESS SERVICES -- 1.13%
Securitas AB, Class B........................................................ 26,891 757,836
WM-Data AB B Shares.......................................................... 28,290 497,374
-----------
1,255,210
COMPUTERS & BUSINESS EQUIPMENT -- 0.43%
Enator AB.................................................................... 26,718 476,644
CONGLOMERATES -- 0.19%
Kinnevik Investment Series B................................................. 7,623 212,366
DRUGS & HEALTH CARE -- 1.56%
Astra AB Series A............................................................ 25,405 472,920
Ortivus Series B............................................................. 30,829 1,259,384
-----------
1,732,304
ELECTRONICS -- 0.59%
Pricer AB Series B (a)....................................................... 18,985 652,836
HOUSEHOLD FURNITURE & APPLIANCES -- 1.17%
Electrolux AB Series B....................................................... 17,987 1,297,492
INSURANCE -- 0.44%
Skandia Forsakrings AB....................................................... 13,490 497,014
INVESTMENT COMPANIES -- 0.22%
Bure Investment AB........................................................... 9,821 123,786
Incentive AB Series B........................................................ 1,278 116,805
-----------
240,591
NON-FERROUS METALS -- 1.07%
Assa Abloy AB Series B....................................................... 58,124 1,187,201
REAL ESTATE -- 0.33%
Tornet Fastighet............................................................. 30,814 362,494
TELECOMMUNICATIONS -- 0.14%
Ericcson LM Tel Series B.................................................... 4,046 159,267
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
- ----------------------------
SWEDEN -- (CONTINUED)
- ---------------------
TRANSPORTATION -- 0.32%
SAS Sverige AB................................................................. 28,856 $ 350,651
-----------
Total Sweden................................................................. 8,805,099
SWITZERLAND -- 6.28%
- --------------------
BANKS -- 1.15%
Credit Suisse Group............................................................ 4,356 559,418
Schw Bankgesellsch............................................................. 623 712,610
-----------
1,272,028
BUSINESS SERVICES -- 0.31%
Fotolabo S.A................................................................... 84 26,753
Kuoni Reisen AG................................................................ 92 315,068
-----------
341,821
DRUGS & HEALTH CARE -- 2.54%
Ares Serono SA................................................................. 121 175,285
Novartis AG.................................................................... 973 1,555,467
Roche Holding AG............................................................... 120 1,085,343
-----------
2,816,095
FOOD & BEVERAGES -- 0.41%
Hero........................................................................... 818 456,623
INDUSTRIAL MACHINERY -- 0.23%
Sulzer AG...................................................................... 297 254,281
INSURANCE -- 1.24%
Baloise Holdings............................................................... 134 319,397
Zurich Versicherun............................................................. 2,655 1,056,545
-----------
1,375,942
RETAIL -- 0.27%
Selecta Gruppe................................................................. 1,626 247,241
Tag Heuer International SA..................................................... 336 50,400
-----------
297,641
TRANSPORTATION -- 0.13%
Sairgroup...................................................................... 134 150,153
-----------
Total Switzerland............................................................ 6,964,584
UNITED KINGDOM -- 13.99%
- ------------------------
BANKS -- 2.14%
Barclays PLC................................................................... 30,316 601,784
Lloyd's TSB Group PLC.......................................................... 173,060 1,778,176
-----------
2,379,960
BROADCASTING -- 0.06%
Pearson PLC.................................................................... 5,614 65,069
BUILDING & CONSTRUCTION -- 0.73%
Powerscreen International PLC.................................................. 74,340 813,356
</TABLE>
See notes to the financial statements.
35
<PAGE> 36
JNL CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -------
COMMON STOCKS -- (CONTINUED)
- ----------------------------
<S> <C> <C>
UNITED KINGDOM -- (CONTINUED)
- -----------------------------
BUSINESS SERVICES -- 1.31%
BTG PLC......................................................................... 59,538 $ 622,654
Logica PLC...................................................................... 72,529 827,361
-----------
1,450,015
CHEMICALS -- 0.14%
Victrex PLC..................................................................... 52,695 153,568
CONGLOMERATES -- 6.18%
Hays PLC........................................................................ 122,753 1,165,198
Misys PLC....................................................................... 23,591 530,756
Rentokil Initial PLC............................................................ 746,851 2,619,299
Siebe PLC....................................................................... 122,291 2,073,171
Ti Group PLC.................................................................... 53,613 467,390
-----------
6,855,814
DRUGS & HEALTH CARE -- 0.71%
Biocompatibles International PLC................................................ 5,117 111,459
Glaxo Wellcome PLC.............................................................. 10,168 210,390
London International Group PLC.................................................. 36,736 105,224
SmithKline Beecham PLC.......................................................... 19,464 358,331
-----------
785,404
ELECTRONICS -- 0.64%
Electrocomponents PLC........................................................... 95,469 710,661
FINANCIAL SERVICES -- 0.34%
JBA Holdings PLC................................................................ 25,709 376,756
FOOD & BEVERAGES -- 0.07%
Wetherspoon (JD) PLC............................................................ 3,662 82,632
LEISURE & ENTERTAINMENT -- 0.77%
Compass Group PLC............................................................... 55,727 623,631
London Clubs International PLC.................................................. 36,132 227,445
-----------
851,076
PRECIOUS METALS -- 0.05%
Johnson Matthey PLC............................................................. 5,443 52,210
RETAIL -- 0.16%
Harvey Nichols PLC.............................................................. 38,612 181,971
SOFTWARE -- 0.08%
Sema Group PLC.................................................................. 4,350 89,826
TELECOMMUNICATIONS -- 0.27%
Freepages Group PLC (a)......................................................... 492,475 295,243
TRANSPORTATION -- 0.34%
Stagecoach Holdings PLC......................................................... 35,805 377,433
-----------
Total United Kingdom.......................................................... 15,520,994
<CAPTION>
MARKET
SHARES VALUE
------ ------
COMMON STOCKS -- (CONTINUED)
- ----------------------------
<S> <C> <C>
UNITED STATES -- 20.42%
- -----------------------
AEROSPACE -- 0.06%
Computer Sciences Corp......................................................... 975 $ 70,322
APPAREL & TEXTILES -- 0.43%
Gucci Group NV................................................................. 7,350 473,156
AUTOMOBILE & PARTS -- 0.23%
Mahindra & Mahindra GDR........................................................ 3,807 55,677
Tata Engineering GDR (144a).................................................... 5,968 90,415
Tata Engineering & Locomotive Co. Ltd. (144a).................................. 700 8,838
Tata Engineering & Locomotive Co. Ltd. (144a).................................. 8,025 101,320
----------
256,250
BANKS -- 1.74%
Banco Frances Del Rio La Plata ADR............................................. 3,166 102,895
BankAmerica Corp............................................................... 2,850 184,003
Citicorp....................................................................... 3,575 431,011
Uniao de Bancos Brasileiros GDR................................................ 13,125 487,266
Wells Fargo & Co............................................................... 2,708 729,806
----------
1,934,981
BROADCAST & COMMUNICATIONS -- 0.87%
Canwest Global Communications Corp............................................. 6,150 91,097
Global Star Telecom............................................................ 4,950 151,594
Grupo Television SA de CV ADR.................................................. 20,225 614,334
TV Filme, Inc. (a)............................................................. 10,825 112,309
----------
969,334
BUSINESS SERVICES -- 0.59%
Danka Business Systems ADR..................................................... 4,425 180,872
Manpower, Inc. ................................................................ 7,400 329,300
Robert Half International, Inc................................................. 3,000 141,188
----------
651,360
COMPUTERS & BUSINESS EQUIPMENT -- 0.87%
Dassault Systems SA ADR........................................................ 1,500 106,875
Electronics For Imaging, Inc. (a).............................................. 3,625 171,281
International Business Machines Corp. ......................................... 5,650 509,559
Wang Labs, Inc................................................................. 8,150 173,697
----------
961,412
COSMETICS & TOILETRIES -- 0.15%
Nu Skin Asia Pacific Inc. Class A.............................................. 6,200 164,300
DRUGS & HEALTH CARE -- 3.86%
Amway Asia Pacific Ltd......................................................... 10,050 438,431
Elan PLC ADR (a)............................................................... 9,325 421,956
Fresenius Medical Care ADR..................................................... 29,100 847,538
Gedeon Richter Ltd. GDR (144a)................................................. 6,075 558,171
Grupo Casa Autrey SA de CV ADR................................................. 11,950 242,734
Omnicare, Inc.................................................................. 12,600 395,325
Pfizer Inc..................................................................... 4,100 489,950
Rhone Poulenc Rorer, Inc....................................................... 3,175 288,528
</TABLE>
See notes to the financial statements.
36
<PAGE> 37
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
COMMON STOCKS -- (CONTINUED)
- ----------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
DRUGS & HEALTH CARE (CONTINUED)
- -------------------------------
SmithKline Beecham PLC ADR...................................................... 4,150 $ 380,244
Teva Pharmaceutical Industries ADR.............................................. 2,775 179,681
United Healthcare Corp.......................................................... 775 40,300
-----------
4,282,858
ELECTRICAL EQUIPMENT -- 2.26%
Philips Electronics............................................................. 32,794 2,357,069
UCAR International, Inc. (a).................................................... 3,300 150,975
-----------
2,508,044
ENERGY -- 0.13%
Companhia Energetica de Minas Gerais ADR........................................ 1,875 94,399
Mosenergo ADR (144a)............................................................ 1,325 54,988
-----------
149,387
FINANCIAL SERVICES -- 0.73%
Associates First Capital Corp. Class A.......................................... 1,650 91,575
Romania Investment Fund......................................................... 230 223,790
Student Loan Marketing Association.............................................. 3,875 492,125
-----------
807,490
HOTELS & RESTAURANTS -- 0.08%
Indian Hotels, Ltd. GDR (144a).................................................. 5,161 93,993
INDUSTRIAL MACHINERY -- 1.06%
Pfeiffer Vacuum Technology AG ADR (a)........................................... 18,825 548,278
Rofin-Sinar Technologies, Inc. (a).............................................. 33,050 632,081
-----------
1,180,359
OIL -- 0.77%
Magyar Olaj-es Gazipari Rt. GDR (144a).......................................... 13,487 299,062
Oil Co Lukoil ADR............................................................... 3,225 254,503
Tatneft ADR (a)................................................................. 2,750 296,335
-----------
849,900
RETAIL -- 0.08%
Disco SA ADR (a)................................................................ 2,300 91,137
SOFTWARE -- 0.98%
Parametric Technology Corp. (a)................................................. 25,350 1,078,959
TELECOMMUNICATIONS -- 4.71%
Cincinnati Bell, Inc............................................................ 1,950 61,425
Ericcson LM Tel Co. ADR Class B................................................. 12,100 476,437
Iridium World Communications, Ltd. Class A...................................... 11,275 204,359
Lucent Technologies, Inc........................................................ 7,525 542,270
Mas Technology, Ltd.(a)......................................................... 11,600 172,550
Millicom International Cellular SA (a)......................................... 6,125 292,469
Nokia Corp. ADR................................................................. 6,825 503,344
Nortel Inversora SA ADR Series B (a)............................................ 36,400 987,350
Quinenco SA ADR (a)............................................................. 22,725 420,413
Portugal Telecom SA ADR......................................................... 3,600 144,450
<CAPTION>
MARKET
SHARES VALUE
-------- --------
COMMON STOCKS -- (CONTINUED)
- ----------------------------
<S> <C> <C>
UNITED STATES -- (CONTINUED)
- ----------------------------
TELECOMMUNICATIONS -- (CONTINUED)
- ---------------------------------
SK Telecom ADR............................................................................ 3,816 $ 38,399
Telecom Argentina Stet France ADR Class B................................................. 1,875 98,438
Telefonica de Argentina SA ADR............................................................ 4,325 149,753
Telecommunicacoes Brasileiras SA ADR...................................................... 5,975 906,706
Telefonica del Peru SA ADR................................................................ 8,625 225,867
-----------
5,224,230
TRANSPORTATION -- 0.82%
Ryanair Holdings PLC ADR (a).............................................................. 33,375 905,297
-----------
Total United States..................................................................... 22,652,769
-----------
Total Common Stocks
(cost $91,580,485)............................................................... 109,148,733
-----------
PREFERRED STOCKS -- 1.62%
- -------------------------
BRAZIL -- 0.98%
- ---------------
FOOD & BEVERAGES -- 0.02%
Companhia Cervejaria Brahma................................................................ 21,000 15,996
ELECTRIC UTILITIES -- 0.35%
Centrais Eletricas Brasileiras SA.......................................................... 20,000 29,725
Companhia Energetica de Minas Gerais....................................................... 6,241,000 321,746
Companhia Paranaense de Energia - Copel.................................................... 2,000,000 37,156
-----------
388,627
TELECOMMUNICATIONS -- 0.61%
Ericsson Telecom SA........................................................................ 11,400,000 677,721
-----------
Total Brazil............................................................................. 1,082,344
FINLAND -- 0.11%
- ----------------
TELECOMMUNICATIONS -- 0.11%
Nokia Oy AB................................................................................ 1,703 127,215
GERMANY -- 0.53%
- ----------------
AUTOMOBILES & PARTS -- 0.08%
Porsche AG................................................................................. 64 85,133
DRUGS & HEALTH CARE -- 0.45%
Fresenius AG............................................................................... 1,888 428,673
Fresenius Medical Care AG (a).............................................................. 1,058 75,947
-----------
504,620
-----------
Total Germany............................................................................ 589,753
-----------
Total Preferred Stocks
(cost $1,526,361).................................................................. 1,799,312
-----------
</TABLE>
See notes to the financial statements.
37
<PAGE> 38
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)(continued)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
RIGHTS & WARRANTS -- 0.00%
- --------------------------
GREECE -- 0.00%
- ---------------
TELECOMMUNICATIONS -- 0.00%
Hellenic Telecommunication Organization SA
(cost $0)........................................ 6,454 $ -
------------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $93,106,846)................................ $110,948,045
============
</TABLE>
(a) Non-income producing security.
See notes to the financial statements.
38
<PAGE> 39
JNL/ALGER GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS -- 91.48%
- -----------------------
<S> <C> <C>
AEROSPACE & DEFENSE -- 5.23%
AlliedSignal, Inc........................... 9,900 $831,600
Boeing, Co.................................. 22,400 1,188,600
Gulfstream Aerospace Corp. (a).............. 12,100 356,950
United Technologies, Inc.................... 12,400 1,029,200
------------
3,406,350
AIRLINES -- 0.80%
AMR Corp. (a)............................... 5,600 518,000
APPAREL & TEXTILES -- 2.94%
Cintas Corp................................. 6,300 433,125
Gucci Group NV N.Y.......................... 14,100 907,687
Tommy Hilfiger Corp. (a).................... 14,300 574,681
------------
1,915,493
BANKS -- 2.84%
Banc One Corp............................... 6,878 333,192
Citicorp.................................... 12,600 1,519,087
------------
1,852,279
BUSINESS SERVICES -- 4.65%
ADT Ltd. (a)................................ 9,600 316,800
CUC International, Inc. (a)................. 28,600 738,238
First Data Corp............................. 14,956 657,129
Nokia Corp.................................. 14,600 1,076,750
Service Corp International, Inc............. 7,200 236,700
------------
3,025,617
CHEMICALS -- 3.05%
DuPont E.I. De Nemours & Co................. 20,600 1,295,225
IMC Global, Inc............................. 8,100 283,500
Monsanto Co................................. 9,400 404,788
------------
1,983,513
COMPUTERS & TECHNOLOGY -- 6.15%
Bay Networks, Inc. (a)...................... 13,600 361,250
Cisco Systems, Inc. (a)..................... 23,600 1,584,150
Hewlett-Packard, Inc........................ 11,200 627,200
International Business Machines, Inc........ 10,000 901,875
Sundstrand Corp............................. 9,500 530,219
------------
4,004,694
DRUGS & HEALTH CARE -- 11.28%
Becton Dickinson & Co....................... 11,000 556,875
Biochem Pharmaceuticals, Inc. (a)........... 7,000 155,750
Bristol Myers Squibb Co..................... 7,000 567,000
Eli Lilly & Co.............................. 16,500 1,803,656
McKesson Corp............................... 3,700 286,750
Merck & Co.................................. 17,500 1,811,250
Oxford Health Plans, Inc. (a)............... 4,300 308,525
Pfizer, Inc................................. 5,200 621,400
Schering-Plough, Inc........................ 6,200 296,825
Warner-Lambert, Inc......................... 7,500 931,875
------------
7,339,906
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
ELECTRICAL EQUIPMENT -- 2.95%
General Electric Co......................... 20,000 $1,307,500
Westinghouse Electric Corp.................. 26,500 612,813
------------
1,920,313
ELECTRONICS -- 11.53%
Adaptec, Inc. (a)........................... 8,500 295,375
Altera Corp. (a)............................ 13,300 671,650
Ericsson LM Tel Co.......................... 4,500 177,187
Intel Corp.................................. 3,900 553,069
Linear Technology Corp...................... 24,700 1,278,225
Maxim Integrated Products (a)............... 20,200 1,148,875
Motorola, Inc............................... 8,700 661,200
Tellabs, Inc. (a)........................... 12,000 670,500
Texas Instruments, Inc...................... 15,300 1,286,156
Xilinx, Inc. (a)............................ 15,500 760,469
------------
7,502,706
FINANCIAL SERVICES -- 4.94%
Charles Schwab Corp......................... 11,900 484,181
Household International, Inc................ 1,400 164,413
Money Store (The), Inc...................... 12,000 344,250
Morgan Stanley, Dean Witter, Discover & Co.. 38,775 1,669,748
PaineWebber Group, Inc...................... 15,800 553,000
------------
3,215,592
FOOD & BEVERAGES -- 1.56%
Pepsico, Inc................................ 15,600 585,975
Pioneer Hi-Bred International, Inc.......... 5,400 432,000
------------
1,017,975
HOTELS & RESTAURANTS -- 0.33%
Mirage Resorts, Inc. (a).................... 8,500 214,625
HOUSEHOLD APPLIANCES & FURNISHINGS -- 1.80%
Sunbeam Corp................................ 31,100 1,174,025
HOUSEHOLD PRODUCTS -- 5.18%
Colgate Palmolive Co........................ 14,800 965,700
Corning, Inc................................ 11,500 639,688
Gillette, Inc............................... 16,900 1,601,275
Newell Co................................... 4,100 163,355
------------
3,370,018
INDUSTRIAL MACHINERY -- 2.87%
Applied Materials, Inc. (a)................. 8,700 616,069
Tyco International, Ltd..................... 18,000 1,252,125
------------
1,868,194
INSURANCE -- 3.70%
American International Group, Inc........... 10,000 1,493,750
Equifax, Inc................................ 12,500 464,844
MGIC Investment Corp........................ 9,400 450,613
------------
2,409,207
</TABLE>
See notes to the financial statements.
39
<PAGE> 40
JNL/ALGER GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
LEISURE TIME -- 2.23%
Carnival Corp............................... 22,900 $ 944,625
International Game Technology, Inc.......... 28,500 505,875
------------
1,450,500
PETROLEUM SERVICES -- 4.00%
Diamond Offshore Drilling, Inc. (a)......... 9,000 703,125
EVI, Inc. (a)............................... 7,800 327,600
Halliburton Co.............................. 8,900 705,325
Schlumberger, Ltd........................... 5,000 625,000
Smith International, Inc. (a)............... 4,000 243,000
------------
2,604,050
POLLUTION CONTROL -- 1.41%
USA Waste Services, Inc. (a)................ 14,500 560,063
United Waste Systems, Inc. (a).............. 8,800 360,800
------------
920,863
RETAIL -- 5.09%
Home Depot, Inc............................. 24,500 1,688,969
Rite Aid Corp............................... 5,000 249,375
TJX Cos, Inc................................ 8,000 211,000
Wal-Mart Stores, Inc........................ 34,500 1,166,531
------------
3,315,875
SOFTWARE -- 5.38%
Microsoft Corp. (a)......................... 9,000 1,137,375
Oracle Corp. (a)............................ 26,100 1,314,787
Parametric Technology Corp. (a)............. 24,600 1,047,037
------------
3,499,199
<CAPTION>
MARKET
SHARES VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
TELECOMMUNICATIONS -- 1.57%
Worldcom, Inc. (a).......................... 32,000 $ 1,024,000
-------------
Total Common Stocks
(cost $49,171,549).......................... 59,552,994
-------------
<CAPTION>
PRINCIPAL AMOUNT
----------------
SHORT TERM INVESTMENTS -- 8.52%
- -------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 4.45%
Merrill Lynch & Co., Inc.
5.56%, 07/02/1997....................... $ 900,000 899,861
OGE Energy Corp.
5.65%, 07/07/1997....................... 1,000,000 999,058
South Western Electric
5.80%, 07/10/1997....................... 1,000,000 998,550
-----------
2,897,469
MONEY MARKET FUNDS -- 4.07%
State Street Global Advisor Fund,
5.29% (b)................................ 2,645,672 2,645,672
-----------
Total Short Term Investments
(cost $5,543,141).................... 5,543,141
-----------
TOTAL INVESTMENTS -- 100%
(cost $54,714,690)................... $65,096,135
===========
</TABLE>
- ---------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 1997.
See notes to the financial statements.
40
<PAGE> 41
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- -------------
COMMON STOCKS -- 97.40%
- -----------------------
<S> <C> <C>
APPAREL & TEXTILES -- 0.55%
Intimate Brands, Inc......................... 1,700 $ 35,700
AUTOMOBILES & PARTS -- 0.59%
Ford Motor Company........................... 1,000 37,750
BANKS -- 3.16%
BankAmerica Corp............................. 1,200 77,475
Mellon Bank Corp............................. 800 36,100
NationsBank Corp............................. 1,400 90,300
-------------
203,875
BUILDING & CONSTRUCTION -- 0.50%
Harsco Corp.................................. 800 32,400
BUSINESS SERVICES -- 5.45%
CUC International, Inc....................... 2,500 64,531
Nokia Corp. ADR.............................. 1,000 73,750
Omnicom Group................................ 2,200 135,575
Service Corp. International.................. 1,000 32,875
Unisource Worldwide.......................... 2,800 44,800
-------------
351,531
CHEMICALS -- 3.36%
Crompton & Knowles Corp...................... 2,000 44,500
DuPont E I De Nemours & Co................... 800 50,300
Imperial Chemical Industries PLC ADR......... 1,000 56,875
Monsanto Co.................................. 1,500 64,594
-------------
216,269
COMPUTERS & BUSINESS EQUIPMENT -- 2.12%
Cisco Systems, Inc........................... 1,200 80,550
Hewlett Packard, Co.......................... 1,000 56,000
-------------
136,550
CONGLOMERATES -- 1.04%
Fortune Brands, Inc.......................... 1,800 67,163
DRUGS & HEALTH CARE -- 8.81%
Abbott Laboratories.......................... 400 26,700
Bausch & Lomb, Inc........................... 1,200 56,550
Columbia/HCA Healthcare Corp................. 1,600 62,900
Eli Lilly & Co............................... 800 87,450
Johnson & Johnson Co......................... 1,200 77,250
Merck & Co................................... 800 82,800
Pharmacia & Upjohn........................... 1,200 41,700
Pfizer, Inc.................................. 800 95,600
SmithKline Beecham PLC ADR................... 400 36,650
-------------
567,600
ELECTRIC UTILITIES -- 2.26%
FPL Group, Inc............................... 700 32,244
Nipsco Industries, Inc....................... 900 37,181
Sierra Pacific Resources, Inc................ 700 22,400
Teco Energy, Inc............................. 2,100 53,681
-------------
145,506
<Caption
SHARES MARKET VALUE
---------------- -------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
ELECTRICAL EQUIPMENT -- 7.80%
Atmel Corp. (a).............................. 1,500 $ 42,000
Essex International, Inc. (a)................ 3,200 89,200
Fisher Scientific International, Inc......... 1,600 76,000
General Electric Co.......................... 2,100 137,287
Philips Electronics N V...................... 1,300 93,438
Westinghouse Electric Corp................... 2,800 64,750
-------------
502,675
ELECTRONICS -- 4.81%
Intel Corp................................... 500 70,906
Lexmark International Group, Inc. Class A (a) 2,000 60,750
Raytheon Co.................................. 1,100 56,100
S3, Inc. (a)................................. 4,500 49,500
Tellabs, Inc. (a)............................ 1,300 72,638
-------------
309,894
FINANCIAL SERVICES -- 8.40%
American Express Corp........................ 1,000 74,500
Charles Schwab Corp.......................... 1,500 61,031
Chase Manhattan Corp......................... 500 48,531
Federal Home Loan Mortgage Corp.............. 2,500 85,938
Federal National Mortgage Association........ 2,500 109,063
Student Loan Marketing Association........... 500 63,500
Travelers Group, Inc......................... 1,566 98,756
-------------
541,319
FOOD & BEVERAGES -- 2.19%
Coca-Cola Co................................. 1,000 67,500
Heinz H J Co................................. 900 41,513
Nabisco Holdings Corp. Class A............... 800 31,900
-------------
140,913
GAS & PIPELINE UTILITIES -- 2.16%
American WaterWorks, Inc..................... 1,600 34,200
UGI Corp..................................... 1,200 26,550
Wicor, Inc................................... 1,000 38,938
Williams Cos., Inc........................... 900 39,375
-------------
139,063
GAS EXPLORATION -- 0.82%
Enron Corp................................... 1,300 53,056
HOTELS & RESTAURANTS -- 1.43%
Marriott International, Inc.................. 1,500 92,062
HOUSEHOLD APPLIANCES & FURNISHINGS -- 1.17%
Sunbeam Corp................................. 2,000 75,500
HOUSEHOLD PRODUCTS -- 3.43%
Black & Decker Corp.......................... 1,500 55,781
Gillette Co.................................. 1,000 94,750
Procter & Gamble Co.......................... 500 70,625
-------------
221,156
INDUSTRIAL MACHINERY -- 1.18%
American Standard Cos., Inc. (a)............. 1,700 76,075
</TABLE>
See notes to the financial statements.
41
<PAGE> 42
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- -------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
INSURANCE -- 2.05%
American International Group, Inc............ 600 $ 89,625
Marsh & McLennan Cos., Inc................... 600 42,825
-------------
132,450
METALS -- 1.00%
Allegheney Teldyne, Inc...................... 2,400 64,800
MUTUAL FUNDS -- 3.84%
SPDR Trust................................... 2,800 247,275
OIL -- 4.56%
Ashland, Inc................................. 1,200 55,650
British Petroleum Co. PLC ADR................ 800 59,900
Exxon Corp................................... 600 36,900
Mobil Corp................................... 1,400 97,825
Royal Dutch Petroleum Co..................... 800 43,500
-------------
293,775
PETROLEUM SERVICES -- 3.45%
Baker Hughes, Inc............................ 1,500 58,031
Halliburton Co............................... 500 39,625
Schlumberger Ltd............................. 1,000 125,000
-------------
222,656
PLASTICS -- 1.55%
Illinois Tool Works, Inc..................... 2,000 99,875
PUBLISHING -- 0.73%
McGraw Hill Cos., Inc........................ 800 47,050
REAL ESTATE -- 1.39%
Haagen Alexander Properties, Inc............. 1,000 16,250
Nationwide Health Properties, Inc............ 600 13,200
Public Storage, Inc.......................... 500 14,625
Rouse Co..................................... 1,100 32,450
Sun Communities, Inc......................... 400 13,425
-------------
89,950
RETAIL -- 5.64%
CompUSA, Inc. (a)............................ 2,800 60,200
Federated Department Stores, Inc. (a)........ 1,600 55,600
Home Depot, Inc.............................. 1,500 103,406
Kohl's Corp.................................. 1,500 79,406
Walgreen Co.................................. 1,200 64,350
-------------
362,962
SOFTWARE -- 2.32%
Microsoft Corp. (a).......................... 600 75,825
Peoplesoft, Inc. (a)......................... 1,400 73,850
-------------
149,675
<CAPTION>
SHARES MARKET VALUE
---------------- -------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
TELECOMMUNICATIONS -- 5.02%
AT & T Corp.................................. 1,800 $ 63,113
Alltel Corp.................................. 1,100 36,781
Bell Atlantic Corp........................... 800 60,700
Frontier Corp................................ 1,200 23,925
GTE Corp..................................... 800 35,100
Telecomunicacoes Brasileiras ADR............. 400 60,700
Telefonica de Espana SA ADR.................. 500 43,125
-------------
323,444
TOBACCO -- 4.62%
Philip Morris Cos., Inc...................... 2,300 102,062
RJR Nabisco Holdings Corp.................... 3,400 112,200
UST, Inc..................................... 3,000 83,250
-------------
297,512
-------------
Total Common Stocks
(cost $5,513,027)............................ 6,277,481
-------------
PREFERRED STOCKS -- 2.16%
- -------------------------
GAS & PIPELINE UTILITIES -- 0.59%
MCN Energy Group, Inc........................ 700 38,063
HOTELS & RESTAURANTS -- 0.46%
Wendy's Financing, Inc....................... 500 29,312
INSURANCE -- 0.53%
Jefferson Pilot Corp......................... 300 34,425
LEISURE TIME -- 0.20%
AMC Entertainment, Inc....................... 400 12,700
RETAIL -- 0.38%
Kmart Financing I............................ 450 24,694
-------------
Total Preferred Stocks
(cost $125,547).............................. 139,194
-------------
<CAPTION>
PRINCIPAL AMOUNT
----------------
<S> <C> <C>
CORPORATE BONDS -- 0.44%
- ------------------------
RETAIL -- 0.44%
Home Depot, Inc.
3.25%, 10/01/2001, convertable until
10/01/2001 (cost $25,726).................. $25,000 28,625
-------------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $5,664,300)............................ $6,445,300
=============
- --------------------------------------------------------
(a) Non-income producing security
</TABLE>
See notes to the financial statements.
42
<PAGE> 43
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF CALL OPTIONS WRITTEN (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
CONTRACTS
(100 SHARES
PER CONTRACT) MARKET VALUE
- ------------- -------------
<S> <C> <C>
3 Nabisco Holdings Corp, Class A
Expiration September, 1997, Exercise Price $40.00..... $(1,050)
1 Schlumberger Ltd.
Expiration August, 1997, Exercise Price $120.00....... (900)
1 Schlumberber Ltd
Expiration November, 1997, Exercise Price $120.00..... (1,388)
2 SmithKline Beecham PLC ADR
Expiration August, 1997, Exercise Price $95.00........ (375)
------------
Total Call Options Written
(Premiums received $2,848).......................... $(3,713)
============
</TABLE>
See notes to the financial statements.
43
<PAGE> 44
JNL/EAGLE SMALLCAP EQUITY SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ -------------
COMMON STOCKS -- 100.00%
- ------------------------
<S> <C> <C>
APPAREL & TEXTILES -- 1.82%
Barry R.G. Corp. (a)........................ 10,000 $ 121,250
BUILDING & CONSTRUCTION -- 8.30%
C.D.I. Corp. (a)............................ 6,000 250,125
Hughes Supply, Inc.......................... 2,000 80,000
Lennar Corp................................. 7,000 223,563
-------------
553,688
BUSINESS SERVICES -- 8.12%
Interim Services, Inc. (a).................. 5,000 222,500
RCM Technologies, Inc. (a).................. 15,000 159,375
Wackenhut Corp. Class B..................... 8,000 159,500
-------------
541,375
COMMERCIAL SERVICES -- 2.09%
Steiner Leisure Ltd. (a).................... 5,000 139,375
DRUGS & HEALTH CARE -- 8.88%
Alternative Living Services, Inc. (a)....... 5,200 116,675
Angeion Corp. (a)........................... 15,000 64,687
Arbor Health Care Co. (a)................... 5,000 155,000
Nabi, Inc. (a).............................. 30,000 198,750
Protein Design Labs, Inc. (a)............... 2,000 57,000
-------------
592,112
EDUCATION -- 2.85%
Strayer Education, Inc...................... 5,000 190,000
ELECTRICAL EQUIPMENT -- 6.96%
Coherent, Inc. (a).......................... 3,500 155,750
Pioneer Standard Electronics, Inc........... 9,000 121,500
SymmetriCom, Inc. (a)....................... 13,000 186,875
-------------
464,125
ELECTRONICS -- 11.17%
Computer Products, Inc. (a)................. 9,000 225,000
Sawtek, Inc. (a)............................ 6,000 202,500
Trident International, Inc. (a)............. 10,000 180,000
TriQuint Semiconductor, Inc. (a)............ 4,000 137,500
-------------
745,000
FINANCIAL SERVICES -- 7.93%
Advest Group, Inc........................... 9,000 213,750
Ampex Corp. Class A (a)..................... 26,500 154,031
Legg Mason, Inc............................. 3,000 161,438
-------------
529,219
GAS EXPLORATION -- 2.63%
Chieftain International, Inc. (a)........... 8,000 175,500
<CAPTION>
SHARES MARKET VALUE
------ -------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
HOTELS AND RESTAURANTS -- 3.08%
Apple South, Inc............................ 3,000 $ 45,750
Capstar Hotel Co. (a)....................... 5,000 160,000
-------------
205,750
HOUSEHOLD, APPLIANCES & FURNISHINGS -- 5.52%
Chicago Miniature Lamp, Inc. (a)............ 7,000 174,125
Furniture Brands International, Inc......... 10,000 193,750
-------------
367,875
LEISURE TIME -- 1.47%
International Speedway Corp. Class B........ 5,000 98,125
NON-FERROUS METALS -- 2.26%
Imco Recycling, Inc......................... 8,000 151,000
PETROLEUM SERVICES -- 7.98%
Gulf Island Fabrication, Inc. (a)........... 6,000 153,750
Marine Drilling Companies, Inc. (a)......... 4,100 80,463
Precision Drilling Corp. (a)................ 4,000 193,500
Seacor Smit, Inc. (a)....................... 2,000 104,625
-------------
532,338
POLLUTION CONTROL -- 1.25%
Superior Services, Inc. (a)................. 3,500 83,125
PUBLISHING -- 5.05%
Houghton Mifflin Co......................... 2,200 146,850
World Color Press, Inc. (a)................. 8,000 190,000
-------------
336,850
RETAIL -- 5.52%
Cash America International, Inc............. 10,000 105,000
Claire's Stores, Inc........................ 7,000 122,500
Footstar, Inc............................... 3,000 78,375
Ugly Duckling Corp. (a)..................... 4,000 62,000
-------------
367,875
STEEL -- 1.43%
Envirosource, Inc. (a)...................... 13,300 26,600
UNR Industries, Inc......................... 10,000 68,750
-------------
95,350
TELECOMMUNICATIONS -- 3.87%
Spectrian Corp. (a)......................... 7,000 258,125
TRANSPORTATION -- 1.82%
Hvide Marine, Inc. Class A (a).............. 5,500 121,687
-------------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $5,694,744)........................... $6,669,744
=============
</TABLE>
- --------------------------
(a) Non-income producing security.
See notes to the financial statements.
44
<PAGE> 45
JNL/PUTNAM GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
COMMON STOCKS -- 95.55%
- -----------------------
<S> <C> <C>
AEROSPACE --2.39%
Boeing Co.................................... 17,200 $ 912,675
United Technologies Corp..................... 8,800 730,400
-----------
1,643,075
AIRLINES --0.55%
U.S. Airways Group, Inc. (c)................ 13,800 378,603
ALUMINUM --0.60%
Aluminum Company of America (c)............. 5,500 414,563
APPAREL & TEXTILES --0.71%
Liz Claiborne, Inc.......................... 10,400 484,900
BANKS -- 8.87%
Banc One Corp............................... 12,800 620,000
BankAmerica Corp. (c)....................... 35,000 2,259,688
BankBoston Corp............................. 800 57,650
Barnett Banks, Inc.......................... 16,500 866,250
Citicorp.................................... 9,900 1,193,569
Comerica, Inc............................... 4,600 312,800
MBNA Corp................................... 21,200 776,450
-----------
6,086,407
BUSINESS SERVICES -- 0.39%
Service Corp. International................. 8,200 269,575
CHEMICALS -- 2.35%
Du Pont E I De Nemours & Co................. 12,600 792,225
Morton International, Inc................... 2,400 72,450
Praxair, Inc................................ 13,300 744,800
-----------
1,609,475
COMPUTERS & BUSINESS EQUIPMENT -- 3.02%
Cisco Systems, Inc. (a)..................... 2,900 194,663
Compaq Computer Corp. (a)................... 3,200 317,600
Dell Computer Corp. (a) (c)................. 7,100 833,806
EMC Corp. (a)............................... 18,600 725,400
-----------
2,071,469
CONGLOMERATES -- 1.28%
Textron, Inc................................ 13,200 876,150
COSMETICS & TOILETRIES -- 0.74%
Avon Products, Inc.......................... 7,200 508,050
DRUGS & HEALTH CARE --16.60%
Abbott Laboratories, Inc.................... 17,800 1,188,150
Bristol Myers Squibb Co..................... 15,200 1,231,200
Cardinal Health, Inc........................ 11,000 629,750
Eli Lilly & Co. (c)......................... 11,700 1,278,956
Healthsouth Corp. (a)....................... 29,400 733,162
Johnson & Johnson Co. (c)................... 12,400 798,250
Merck & Co., Inc............................ 16,200 1,676,700
Oxford Health Plans, Inc. (a)............... 6,600 473,550
Pfizer, Inc. (c)............................ 17,000 2,031,500
<CAPTION>
SHARES MARKET VALUE
------- ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
DRUGS & HEALTH CARE (CONTINUED)
- -------------------------------
Tenet Healthcare Corp....................... 2,300 $ 67,994
United States Surgical Corp................. 15,300 569,925
Warner-Lambert Co........................... 5,700 708,225
-----------
11,387,362
ELECTRICAL EQUIPMENT -- 3.28%
General Electric Co......................... 29,400 1,922,025
Westinghouse Electric Corp.................. 14,300 330,688
-----------
2,252,713
ELECTRONICS -- 4.75%
Honeywell, Inc.............................. 12,800 971,200
Intel Corp.................................. 4,000 567,250
Motorola, Inc............................... 13,000 988,000
Philips Electronics NV N.Y. (c)............ 16,000 731,903
-----------
3,258,353
FINANCIAL SERVICES -- 4.00%
American Express Co......................... 12,900 961,050
Chase Manhattan Corp........................ 6,000 582,375
Traveler's Group, Inc....................... 19,000 1,198,188
-----------
2,741,613
FOOD & BEVERAGES -- 4.01%
Campbell Soup Co............................ 11,800 590,000
Coca-Cola Co................................ 17,500 1,181,250
ConAgra, Inc................................ 7,200 461,700
Sara Lee Corp............................... 12,400 516,150
-----------
2,749,100
GAS & PIPELINE UTILITIES -- 1.87%
Sonat, Inc. (c)............................. 25,000 1,281,250
HOTELS & RESTAURANTS -- 1.29%
HFS, Inc.
(c).......................................... 4,200 230,076
Marriott International, Inc.................. 10,700 656,712
-----------
886,788
HOUSEHOLD PRODUCTS -- 4.33%
Clorox Co................................... 3,800 501,600
Colgate Palmolive Co........................ 7,800 508,950
Gillette Co................................. 14,700 1,392,825
Proctor & Gamble Co......................... 4,000 565,000
-----------
2,968,375
INDUSTRIAL MACHINERY -- 1.39%
American Standard Cos., Inc. (a)............. 7,200 322,200
Tyco International, Ltd..................... 9,100 633,019
-----------
955,219
INSURANCE -- 3.65%
Aetna, Inc.................................. 6,500 665,437
American International Group, Inc........... 6,600 985,875
Conseco, Inc................................ 14,200 525,400
MGIC Investment Corp........................ 6,800 325,975
-----------
2,502,687
</TABLE>
See notes to the financial statements.
45
<PAGE> 46
JNL/PUTNAM GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- -----------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
LEISURE TIME -- 1.11%
Walt Disney Co.............................. 9,500 $ 762,375
MINING -- 0.50%
Potash Corp. (c)............................ 4,500 343,732
NEWSPAPERS -- 1.76%
Gannett, Inc................................ 12,200 1,204,750
OIL -- 3.16%
British Petroleum PLC ADR................... 11,200 838,600
Exxon Corp.................................. 10,000 615,000
Mobil Corp.................................. 10,200 712,725
-----------
2,166,325
PACKAGING -- 0.85%
Illinois Tool Works, Inc. (c)............... 13,200 585,398
PETROLEUM SERVICES -- 4.98%
Baker Hughes, Inc........................... 8,800 340,450
Elf Aquitaine PLC ADR....................... 4,500 244,969
Halliburton Co. (c)......................... 16,600 1,315,550
Noble Drilling Corp. (c).................... 4,200 70,149
Schlumberger, Ltd........................... 5,900 737,500
Transocean Offshore, Inc. (c)............... 11,800 709,105
-----------
3,417,723
RETAIL -- 6.12%
Consolidated Stores Corp.................... 13,625 473,469
Costco Cos., Inc. (a)....................... 20,400 670,650
CVS Corp.................................... 19,996 1,024,795
Home Depot, Inc............................. 2,500 172,344
Lowe's Cos., Inc............................ 900 33,412
Safeway, Inc. (a)........................... 14,700 678,038
TJX Cos, Inc................................ 20,400 538,050
Walgreen Co................................. 11,400 611,325
-----------
4,202,083
SAVINGS & LOAN -- 0.84%
Washington Mutual, Inc...................... 9,700 579,575
SOFTWARE --6.34%
BMC Software, Inc. (a)...................... 10,800 598,050
Computer Associates International, Inc...... 14,000 779,625
HBO & Co.................................... 8,500 585,437
<CAPTION>
SHARES MARKET VALUE
------ ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
SOFTWARE (CONTINUED)
- --------------------
Microsoft Corp. (a)......................... 11,800 $ 1,491,225
Parametric Technology Corp. (a)............. 9,600 408,600
Peoplesoft, Inc. (a)........................ 9,200 485,300
-----------
4,348,237
TELECOMMUNICATIONS -- 3.40%
Ascend Communcations, Inc. (a).............. 8,100 318,937
Lucent Technologies, Inc.................... 4,300 309,869
Sprint Corp................................. 17,900 941,988
Telefonos de Mexico SA ADR (c).............. 9,000 367,290
Tellabs, Inc. (a)........................... 7,100 396,713
-----------
2,334,797
WASTE MANAGEMENT -- 0.42%
Republic Industries, Inc. (a)............... 11,700 291,036
-----------
Total Common Stocks
(cost $60,700,718)........................... 65,561,758
-----------
WARRANTS -- 0.53%
- -----------------
ELECTRONICS -- 0.53%
Intel Corp. (a) (c) (cost $362,503)......... 3,500 362,503
-----------
<CAPTION>
PRINCIPAL AMOUNT
----------------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 3.92%
- -------------------------------
MONEY MARKET FUNDS -- 0.00%
State Street Global Advisor Funds, 5.29%, (b)...... $ 477 477
REPURCHASE AGREEMENTS -- 3.92%
Repurchase Agreement with United Bank of
Switzerland, 5.90% (Collateralized by
$1,830,000 U.S. Treasury Bond, 11.25%,
due 02/15/2015, market value, $2,737,711)
acquired on 06/30/1997, due
07/01/1997............ 2,692,000 2,692,000
-----------
Total Short Term Investments
(cost $2,692,477)......................... 2,692,477
-----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $63,755,698).......................... $68,616,738
===========
</TABLE>
- --------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 1997.
(c) Securities have been pledged as collateral for open short positions.
See notes to the financial statements.
46
<PAGE> 47
JNL/PUTNAM GROWTH SERIES
SCHEDULE OF SECURITIES SOLD SHORT (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
COMMON STOCK SOLD SHORT
- -----------------------
<S> <C> <C>
Aluminum Company of America............................... 2,600 $ 195,975
BankAmerica Corp.......................................... 13,800 890,963
Dell Computer Corp........................................ 4,600 540,213
Eli Lilly & Co............................................ 4,700 513,769
Halliburton Co............................................ 8,400 665,700
HFS, Inc.................................................. 4,200 230,076
Illinois Tool Works, Inc.................................. 13,200 585,398
Johnson & Johnson......................................... 5,600 360,500
Noble Drilling Corp....................................... 4,200 70,149
Pfizer, Inc............................................... 8,400 1,003,800
Philips Electronics NV.................................... 16,000 731,903
Potash Corp............................................... 4,500 343,732
Sonat, Inc................................................ 16,300 835,375
Telefonos de Mexico SA ADR................................ 9,000 367,290
Transocean Offshore, Inc.................................. 11,800 709,105
U.S. Airways Group, Inc................................... 13,800 378,602
------------
Total Common Stock Sold Short
(Proceeds $7,849,950)................................... $8,422,550
============
WARRANTS SOLD SHORT
- -------------------
Intel Corp. (Proceeds $398,824)........................... 3,500 $ 362,503
============
</TABLE>
See notes to the financial statements.
47
<PAGE> 48
JNL/PUTNAM VALUE EQUITY SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
COMMON STOCKS -- 95.40%
- -----------------------
<S> <C> <C>
AEROSPACE -- 3.69%
Northrop Grumman Corp...................... 6,200 $ 544,437
Rockwell International Corp................ 7,000 413,000
TRW, Inc................................... 12,600 715,838
United Technologies Corp................... 4,135 343,205
------------
2,016,480
AGRICULTURAL MACHINERY -- 1.05%
New Holland NV............................. 21,000 574,875
AIRLINES -- 0.80%
Delta Air Lines, Inc....................... 5,310 435,420
AUTOMOBILE & PARTS -- 4.93%
Dana Corp.................................. 11,110 422,180
Eaton Corp................................. 4,620 403,384
Ford Motor Co.............................. 13,235 499,621
General Motors Corp........................ 11,000 612,562
Lear Corp.................................. 7,860 348,788
Tenneco, Inc............................... 9,075 410,077
------------
2,696,612
BANKS -- 10.29%
Banc One Corp.............................. 12,545 607,648
Bankers Trust NY Corp...................... 5,900 513,300
First Tennessee National Corp.............. 2,600 124,800
Fleet Financial Group, Inc................. 11,200 708,400
Huntington Bancshares, Inc................. 4,200 123,375
JP Morgan & Co., Inc....................... 9,200 960,250
KeyCorp.................................... 8,400 469,350
Mellon Bank Corp........................... 6,600 297,825
Mercantile Bancorporation, Inc............. 3,500 212,625
Old Kent Financial Corp.................... 2,310 124,740
PNC Bank Corp.............................. 22,600 940,725
Summit Bancorp............................. 5,300 265,662
Union Planters Corp........................ 5,355 277,791
------------
5,626,491
BUILDING & CONSTRUCTION -- 1.96%
Armstrong World Industries................. 6,700 491,612
Masco Corp................................. 13,925 581,369
------------
1,072,981
BUSINESS SERVICES -- 0.73%
NCR Corp................................... 13,500 401,625
CHEMICALS -- 3.85%
DuPont E I DeNemours & Co.................. 9,000 565,875
Eastman Chemical Co........................ 8,400 533,400
Hercules, Inc.............................. 7,395 354,036
Witco Corp................................. 17,200 652,525
------------
COMPUTERS & BUSINESS EQUIPMENT -- 5.97%
Hewlett Packard Co......................... 11,000 616,000
Intel Corp................................. 2,995 424,728
International Business Machines Corp....... 12,200 1,100,287
Xerox Corp................................. 14,275 1,125,941
------------
3,266,956
<CAPTION>
MARKET
SHARES VALUE
------ ------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
CONGLOMERATES -- 0.78%
Fortune Brands, Inc........................ 11,400 $ 425,362
CONTAINERS & GLASS -- 2.28%
Crown Cork & Seal, Inc..................... 8,800 470,250
Owens Illinois, Inc........................ 17,740 549,940
Temple Inland, Inc......................... 4,200 226,800
------------
1,246,990
DRUGS & HEALTH CARE -- 5.42%
American Home Products Corp................ 8,200 627,300
Baxter International, Inc.................. 16,750 875,188
Bristol Myers Squibb Co.................... 7,200 583,200
Pharmacia & Upjohn, Inc.................... 25,300 879,175
------------
ELECTRIC UTILITIES -- 0.79%
2,964,863
Duke Power Co.............................. 9,068 434,722
ELECTRICAL EQUIPMENT -- 1.57%
Cooper Industries, Inc..................... 10,200 507,450
General Signal Corp........................ 8,000 349,000
------------
856,450
ELECTRONICS -- 2.60%
General Motors Corp. Class H............... 8,100 467,775
Motorola, Inc.............................. 7,475 568,100
Texas Instruments, Inc..................... 4,575 384,586
------------
1,420,461
FINANCIAL SERVICES -- 1.36%
Beneficial Corp............................ 3,930 279,276
Regions Financial Corp..................... 6,100 192,912
Salomon, Inc............................... 4,900 272,563
------------
744,751
FOOD & BEVERAGES -- 2.57%
General Mills, Inc......................... 7,700 501,462
Sara Lee Corp.............................. 11,600 482,850
Whitman Corp............................... 16,550 418,922
------------
1,403,234
FOREST PRODUCTS -- 1.36%
Weyerhauser Co............................. 14,300 743,600
GAS EXPLORATION -- 0.90%
Occidental Petroleum Corp.................. 19,700 493,731
GAS & PIPELINE UTILITIES -- 0.70%
Coastal Corp............................... 7,200 382,950
HOUSEHOLD APPLIANCES & FURNISHINGS -- 0.80%
Whirlpool Corp............................. 8,000 436,500
HOUSEHOLD PRODUCTS -- 2.00%
Colgate Palmolive Co....................... 8,100 528,525
Tupperware Corp............................ 14,430 566,845
------------
1,095,370
</TABLE>
See notes to the financial statements.
48
<PAGE> 49
JNL/PUTNAM VALUE EQUITY SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
INSURANCE -- 3.34%
American General Corp...................... 11,600 $553,900
Aon Corp................................... 12,100 626,175
CIGNA Corp................................. 1,065 189,037
USF & G Corp............................... 19,200 460,800
------------
1,829,912
LIQUOR -- 0.63%
Anheuser Busch Cos., Inc................... 8,180 343,049
MINING -- 0.96%
Freeport McMoran Copper & Gold............. 17,890 523,283
OIL -- 5.38%
Amoco Corp................................. 7,400 643,337
Atlantic Richfield Co...................... 4,475 315,487
British Petroleum PLC ADR.................. 7,780 582,528
ENI SPA ADR................................ 1,900 107,350
Exxon Corp................................. 8,880 546,120
Mobil Corp................................. 8,200 572,975
YPF Sociedad Anonima ADR................... 5,600 172,200
------------
2,939,997
PAPER -- 3.68%
Kimberly Clark Corp........................ 19,400 965,150
Minnesota Mining & Manufacturing Co........ 10,300 1,050,600
------------
PETROLEUM SERVICES -- 2.39% 2,015,750
Elf Aquitane............................... 13,300 724,019
Total SA ADR............................... 11,500 582,188
------------
PHOTOGRAPHY -- 3.10% 1,306,207
Eastman Kodak Co........................... 9,600 736,800
Polaroid Corp.............................. 17,300 960,150
------------
POLLUTION CONTROL -- 0.44% 1,696,950
Waste Management, Inc...................... 7,460 239,653
PUBLISHING -- 1.04%
McGraw Hill Cos., Inc...................... 9,665 568,423
RAILROADS & EQUIPMENT -- 2.50%
Canadian National Railway Co............... 6,400 280,000
Norfolk Southern Corp...................... 5,200 523,900
Union Pacific Corp......................... 8,000 564,000
------------
1,367,900
RETAIL -- 2.96%
Kmart Corp................................. 47,300 579,425
Lowe's Cos., Inc........................... 14,405 534,786
Sears Roebuck & Co......................... 9,400 505,250
------------
1,619,461
<CAPTION>
MARKET
SHARES VALUE
------ ------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
SAVINGS & LOAN -- 0.69%
Ahmanson HF & Co........................... 8,800 $378,400
SOFTWARE -- 1.01%
Computer Associates International, Inc..... 9,900 551,306
TELECOMMUNICATIONS -- 6.85%
Ameritech Corp............................. 7,910 537,385
AT&T Corp.................................. 9,055 317,491
Bellsouth Corp............................. 13,700 635,338
Lucent Technologies, Inc................... 900 64,856
SBC Communications, Inc.................... 12,110 749,306
Sprint Corp................................ 20,500 1,078,813
US West, Inc............................... 9,600 361,800
------------
3,744,989
TIRES & RUBBER -- 1.11%
Goodyear Tire & Rubber, Inc................ 9,570 605,901
TOBACCO -- 2.29%
Gallaher Group PLC ADR..................... 10,600 195,437
Phillip Morris Cos., Inc................... 15,150 672,281
RJR Nabisco Holdings Corp.................. 11,720 386,760
------------
1,254,478
TRANSPORTATION -- 0.63%
Ryder Systems, Inc......................... 10,500 346,500
------------
Total Common Stocks
(cost $49,233,140)..................... 52,178,419
------------
PREFERRED STOCK -- 0.84%
AGRICULTURAL MACHINERY -- 0.84%
Case Corp. (cost $392,805)................. 2,800 460,950
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 3.76%
MONEY MARKET FUNDS -- 0.00%
State Street Global Advisor Fund,
5.29%, (a)................................. $782 82
REPURCHASE AGREEMENTS -- 3.76%
Repurchase agreement with United Bank of
Switzerland, 5.90% (Collateralized by
$1,397,000 U.S. Treasury Bond, 11.25%, due
02/15/2015, market value - $2,089,936),
acquired on 6/30/1997, due 07/01/1997...... 2,056,000 2,056,000
------------
Total Short Term Investments
(cost $2,056,782).......................... 2,056,782
------------
TOTAL INVESTMENTS -- 100%
(cost $51,682,727)......................... $54,696,151
===========
</TABLE>
(a) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 1997.
See notes to the financial statements.
49
<PAGE> 50
PPM AMERICA/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS -- 48.91%
- -----------------------
<S> <C> <C>
AEROSPACE -- 2.60%
Lockheed Martin Corp......................... 3,600 $ 372,825
TRW, Inc..................................... 7,400 420,413
United Technologies Corp..................... 3,700 307,100
------------
1,100,338
APPAREL & TEXTILES -- 1.14%
VF Corp...................................... 5,700 483,075
AUTOMOBILES & PARTS -- 1.92%
Ford Motor Co................................ 10,900 411,475
General Motors Corp.......................... 7,200 400,950
------------
812,425
BANKS -- 3.37%
BankAmerica Corp............................. 3,000 193,687
Charter One Financial, Inc................... 8,300 447,162
KeyCorp...................................... 7,300 407,888
Mellon Bank Corp............................. 8,400 379,050
------------
1,427,787
CHEMICALS -- 2.58%
Grace W.R. & Co.............................. 4,900 270,112
PPG Industries, Inc.......................... 7,000 406,875
Rohm & Haas Co............................... 4,600 414,288
------------
1,091,275
COMPUTERS & BUSINESS EQUIPMENT -- 2.39%
International Business Machines Corp......... 5,700 514,069
Xerox Corp................................... 6,300 496,913
------------
1,010,982
CONGLOMERATES -- 0.31%
Fortune Brands, Inc.......................... 3,500 130,594
DRUGS & HEALTH CARE -- 2.22%
Columbia/HCA Healthcare Corp................. 10,000 393,125
Pharmacia & Upjohn, Inc...................... 6,100 211,975
Wellpoint Health Networks, Inc. (a).......... 7,300 334,888
------------
939,988
ELECTRIC UTILITIES -- 2.97%
GPU, Inc..................................... 11,600 416,150
Ohio Edison Co............................... 19,200 418,800
Peco Energy Co............................... 20,200 424,200
------------
1,259,150
ELECTRICAL EQUIPMENT -- 0.94%
Cooper Industries, Inc....................... 8,000 398,000
ELECTRONICS -- 0.75%
Harris Corp.................................. 3,800 319,200
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
FINANCIAL SERVICES -- 2.57%
<S> <C> <C>
American Financial Group, Inc................ 5,000 $ 212,600
Beneficial Corp.............................. 6,200 440,587
Chase Manhattan Corp......................... 4,500 436,781
------------
1,089,968
GAS EXPLORATION -- 1.15%
Occidental Petroleum Corp.................... 19,400 486,213
INDUSTRIAL MACHINERY -- 1.06%
Parker Hannifin Corp......................... 7,400 449,088
INSURANCE -- 4.60%
Aegon NV..................................... 1 66
Aetna, Inc................................... 3,900 399,262
American General Corp........................ 8,400 401,100
Cigna Corp................................... 2,200 390,500
Hartford Financial Services Group, Inc....... 5,000 413,750
TransAmerica Corp............................ 3,700 346,181
------------
1,950,859
LIQUOR -- 0.66%
Anheuser Busch Cos., Inc..................... 6,700 280,981
MINING -- 0.91%
Phelps Dodge Corp............................ 4,500 383,344
OIL & GAS -- 2.24%
Ashland, Inc................................. 6,500 301,437
Chevron Corp................................. 5,600 414,050
Exxon Corp................................... 3,800 233,700
------------
949,187
PAPER -- 0.96%
Mead Corp.................................... 6,500 404,625
PHOTOGRAPHY -- 0.89%
Polaroid Corp................................ 6,800 377,400
RETAIL -- 1.94%
Federated Department Stores, Inc............. 11,800 410,050
J.C. Penney, Inc............................. 7,900 412,281
------------
822,331
STEEL -- 0.52%
Nucor Corp................................... 3,900 220,350
TELECOMMUNICATIONS -- 5.33%
AT&T Corp.................................... 11,400 399,712
GTE Corp..................................... 9,500 416,812
SBC Communications, Inc...................... 6,900 426,938
Sprint Corp.................................. 9,800 515,725
U S West, Inc................................ 13,200 497,475
------------
2,256,662
</TABLE>
See notes to the financial statements.
50
<PAGE> 51
PPM AMERICA/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
TOBACCO -- 2.00%
Philip Morris Cos., Inc...................... 9,600 $ 426,000
RJR Nabisco Holdings Corp.................... 12,700 419,100
------------
845,100
TOYS -- 0.88%
Hasbro, Inc.................................. 13,200 374,550
TRANSPORTATION -- 2.01%
Burlington Northern Santa Fe................. 4,800 431,400
CSX Corp..................................... 7,600 421,800
------------
853,200
------------
Total Common Stocks
(cost $19,336,972)......................... 20,716,672
------------
<CAPTION>
PRINCIPAL AMOUNT
----------------
CORPORATE BONDS -- 18.86%
- -------------------------
<S> <C> <C>
AUTOMOBILES & PARTS -- 0.73%
Exide Corp.,
10.00%, 04/15/2005........................... $ 300,000 310,500
BROADCASTING -- 0.75%
Capstar Broadcasting Partners, Inc. (144a),
(step-up bond), 12.75%, 02/01/2009........... 500,000 317,500
BUILDING & CONSTRUCTION -- 0.70%
D R Horton, Inc.,
8.375%, 06/15/2004........................... 300,000 297,750
CONSUMER PRODUCTS -- 1.39%
Coty, Inc.,
10.25%, 05/01/2005........................... 300,000 318,000
Revlon Worldwide Corp. (144a), Zero Coupon,
03/15/2001................................... 400,000 271,000
------------
589,000
DEFENSE -- 0.78%
Alliant Techsystems, Inc.
11.75%, 03/01/2003........................... 300,000 331,875
FABRICATED METALS PRODUCTS -- 0.80%
UCAR Global Enterprises, Inc.
12.00%, 01/15/2005........................... 300,000 337,500
GAMING -- 2.22%
Horseshoe Gaming, Inc, Series B,
12.75%, 09/30/2000........................... 300,000 334,500
Rio Hotel & Casino, Inc.,
9.50%, 04/15/2007............................ 300,000 309,000
Station Casinos, Inc. (144a),
9.75%, 04/15/2007............................ 300,000 297,375
------------
940,875
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- ------------
CORPORATE BONDS (CONTINUED)
- ---------------------------
<S> <C> <C>
INDUSTRIAL MACHINERY -- 1.98%
Mesa Operating Co. (step-up bond),
11.625%, 07/01/2006.......................... $ 400,000 $ 308,000
Therma Wave, Inc. (144a),
10.625%, 05/15/2004.......................... 200,000 212,000
U.S. Can Corp., Series B,
10.125%, 10/15/2006.......................... 300,000 318,750
------------
838,750
MEDIA & CABLE -- 1.36%
Century Communications Corp.
9.50%, 08/15/2000............................ 250,000 258,750
Rogers Cantel, Inc.
9.375%, 06/01/2008........................... 300,000 316,500
------------
575,250
PAPER -- 1.55%
Buckeye Cellulose Corp.,
9.25%, 09/15/2008............................ 15,000 15,675
S.D. Warren Co., Series B
12.00%, 12/15/2004........................... 300,000 333,000
Stone Container Corp.,
12.25%, 04/01/2002........................... 300,000 306,000
------------
654,675
PETROLEUM SERVICES -- 2.18%
DI Industries, Inc.,
8.875%, 07/01/2007........................... 300,000 298,524
Nuevo Energy Co.,
9.50%, 04/15/2006............................ 300,000 312,000
Pride Petroleum Services,
9.375%, 05/01/2007........................... 300,000 313,500
------------
924,024
POLLUTION CONTROL -- 0.73%
Allied Waste Industries, Inc. (144a),
(step-up bond), 11.30%, 07/01/2007........... 500,000 307,500
RETAIL -- 1.54%
Smith's Food & Drug Co.,
11.25%, 05/15/2007........................... 300,000 351,000
Specialty Retailers, Inc. (144a),
8.50%, 07/15/2005............................ 300,000 300,000
------------
651,000
STEEL -- 0.71%
W.R. Carpenter North America, Inc. (144a),
10.625%, 07/15/2007.......................... 300,000 301,500
TRANSPORTATION -- 1.44%
Coach USA, Inc. (144a),
9.375%, 07/01/2007........................... 300,000 297,000
Continental Airlines, Inc.,
9.50%, 12/15/2001............................ 300,000 313,500
------------
610,500
------------
Total Corporate Bonds
(cost $7,889,961)......................... 7,988,199
------------
</TABLE>
See notes to the financial statements.
51
<PAGE> 52
PPM AMERICA/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- ------------
U.S. GOVERNMENT SECURITIES -- 30.21%
- ------------------------------------
<S> <C> <C>
U.S. GOVERNMENTAL AGENCIES -- 15.98%
Federal Home Loan Mortgage Corp.
6.75%, 06/15/2004............................ $ 631,461 $ 631,179
6.50%, 04/01/2012............................ 745,092 730,653
7.50%, 03/01/2027............................ 747,137 749,938
Federal National Mortgage Association
7.50%, 04/01/2012............................ 745,429 756,140
8.00%, 08/01/2026............................ 740,024 756,438
Government National Mortgage Association
6.50%, 12/15/2023............................ 259,113 249,720
6.50%, 04/15/2026............................ 2,473,283 2,365,843
9.00%, 04/15/2027............................ 501,537 530,059
------------
6,769,970
U.S. TREASURY BONDS -- 3.29%
6.97%, 11/15/2016, principal only (c)........ 1,100,000 297,913
7.625%, 02/15/2025........................... 1,000,000 1,095,000
------------
1,392,913
U.S. TREASURY NOTES -- 10.94%
5.125%, 07/30/1998........................... 500,000 496,875
5.875%, 03/31/1999........................... 1,600,000 1,596,000
6.875%, 07/31/1999........................... 200,000 202,906
5.875%, 11/30/2001........................... 1,000,000 980,780
6.625%, 03/31/2002........................... 500,000 504,530
5.875%, 11/15/2005........................... 300,000 287,016
6.50%, 10/15/2006............................ 570,000 567,595
------------
4,635,702
------------
Total U.S. Government Securities
(cost $12,779,630)......................... 12,798,585
------------
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- ------------
MORTGAGE BACKED SECURITIES -- 1.19%
- -----------------------------------
<S> <C> <C>
Prudential Home Loan Mortgage Securities Co.,
Series 1993-44, Class A5
6.00%, 11/25/2023............................ $ 520,936 $ 503,355
------------
Total Mortgage Backed Securities
(cost $497,087)........................... 503,355
------------
SHORT TERM INVESTMENTS -- 0.83%
- -------------------------------
COMMERCIAL PAPER -- 0.81%
American Express Credit Corp.
5.50%, 07/01/1997............................ 120,000 120,000
5.56%, 07/02/1997............................ 125,000 124,980
Household Financial Corp.
6.08%, 07/01/1997............................ 100,000 100,000
------------
344,980
MONEY MARKET FUNDS -- 0.02%
State Street Global Advisor Fund,
5.29% (b).................................... 6,365 6,365
------------
Total Short Term Investments
(cost $351,345)........................... 351,345
------------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $40,854,996)........................... $42,358,157
============
</TABLE>
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 1997.
(c) The interest rate disclosed for principal only strip represents effective
Myield at June 30, 1997, based upon estimated future cash flows.
See notes to the financial statements.
52
<PAGE> 53
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
CORPORATE BONDS -- 94.63%
- -------------------------
<S> <C> <C>
AGRICULTURAL MACHINERY -- 0.79%
AGCO Corp. (144a), 8.50%, 03/15/2006.............. $300,000 $306,750
APPAREL & TEXTILES -- 3.62%
Pillowtex Corp., 10.00%, 11/15/2006............... 830,000 871,500
Tultex Corp. (144a), 9.625%, 04/15/2007........... 500,000 531,250
-------------
1,402,750
AUTOMOBILES & PARTS -- 2.77%
Exide Corp., (step-up bond), 10.00%,
04/15/2005 (a).................................. 700,000 724,500
Lear Seating Corp., 9.50%, 07/15/2006.............. 325,000 346,125
-------------
1,070,625
BANKS -- 1.98%
First Nationwide Holdings, 10.625%, 10/01/2003.... 700,000 766,500
BROADCASTING -- 1.64%
Capstar Broadcasting Partners (144a),
(step-up bond), 12.75%, 02/01/2009.............. 1,000,000 635,000
BUILDING & CONSTRUCTION -- 3.51%
D.R. Horton, Inc., 8.375%, 06/15/2004............. 500,000 496,250
Johns Manville International Group, Inc.,
10.875%, 12/15/2004............................. 500,000 555,000
Toll Corp., 8.75%, 11/15/2006..................... 300,000 306,000
-------------
1,357,250
CHEMICALS -- 4.07%
Freedom Chemical Co., 10.625%, 10/15/2006......... 500,000 524,375
Key Plastics, Inc. (144a), 10.25%, 03/15/2007..... 500,000 525,000
Laroche Industries, Inc., 13.00%, 08/15/2004...... 475,000 524,875
-------------
1,574,250
COMMUNICATIONS -- 3.48%
Centennial Cellular Corp., 8.875%, 11/01/2001..... 300,000 298,500
Gray Communications, 10.625%, 10/01/2006.......... 200,000 214,000
K-III Communications, Ser. B, 8.50%, 02/01/2006... 200,000 200,000
Rogers Cantel Mobile, Inc., 9.375%, 06/01/2008.... 300,000 316,500
Rogers Cantel Mobile, Inc., 9.75%, 06/01/2016..... 200,000 213,000
Rogers Communications, Inc.,
10.875%, 04/15/2004............................. 100,000 104,750
-------------
1,346,750
CONSUMER PRODUCTS -- 3.94%
Coty, Inc., 10.25%, 05/01/2005.................... 600,000 636,000
Revlon Worldwide Corp. (144a), Zero Coupon,
03/15/2001 (a).................................. 1,000,000 677,500
Simmons Co., 10.75%, 04/15/2006.................. 200,000 210,500
-------------
1,524,000
DEFENSE -- 1.43%
Alliant Techsystems, Inc., 11.75%, 03/01/2003..... 500,000 553,125
DRUGS & HEALTH CARE -- 2.62%
Leiner Health Products (144a),
9.625%, 07/01/2007.............................. 1,000,000 1,012,500
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
CORPORATE BONDS (CONTINUED)
- ---------------------------
<S> <C> <C>
ELECTRONICS -- 1.81%
Tracor, Inc. (144a), 8.50%, 03/01/2007............ $700,000 $700,000
FABRICATED METAL PRODUCTS -- 0.60%
UCAR Global Enterprises, Inc.,
12.00%, 01/15/2005.............................. 207,000 232,875
FOOD & BEVERAGES -- 3.86%
Dominick's Finer Foods, Series B,
10.875%, 05/01/2005............................. 600,000 663,000
International Home Foods, Inc.,
10.375%, 11/01/2006............................. 700,000 717,500
Keebler Corp., 10.75%, 07/01/2006................. 100,000 112,000
-------------
1,492,500
GAMING -- 5.74%
Harvey's Casino Resorts, 10.625%, 06/01/2006...... 200,000 212,000
Horseshoe Gaming, Series B, 12.75%, 09/30/2000.... 800,000 892,000
Rio Hotel & Casino, Inc. (144a),
9.50%, 04/15/2007............................... 400,000 412,000
Station Casinos, Inc., 10.125%, 03/15/2006........ 700,000 705,250
-------------
2,221,250
INDUSTRIAL MACHINERY -- 5.51%
Day International Group, Inc., Series B,
11.125%, 06/01/2005............................. 100,000 106,000
Mesa Operating Co., (step-up bond), 11.625%,
07/01/2006...................................... 700,000 539,000
Therma-Wave, Inc. (144a), 10.625%, 05/15/2004..... 800,000 848,000
U.S. Can Corp., Series B, 10.125%, 10/15/2006..... 600,000 637,500
-------------
2,130,500
MEDIA CABLE -- 7.13%
Century Communications
9.75%, 02/15/2002................................ 400,000 417,000
9.50%, 03/01/2005................................ 100,000 102,500
Frontiervision, 11.00%,10/15/2006................. 400,000 419,000
Jones Intercable, Inc., 9.625%, 03/15/2002........ 425,000 445,187
Marcus Cable Co., 11.875%,10/01/2005.............. 735,000 793,800
Rogers Cablesystems Limited
9.625%, 08/01/2002............................... 450,000 474,750
10.00%, 03/15/2005............................... 100,000 108,000
-------------
2,760,237
MERCHANDISING -- 1.08%
E & S Holdings Corp.,
10.375%, 10/01/2006............................. 400,000 416,000
PACKAGING -- 0.81%
Printpack, Inc., Series B, 10.625%, 08/15/2006.... 300,000 315,000
PAPER -- 4.57%
Doman Industries Ltd., 8.75%, 03/15/2004.......... 200,000 193,000
S.D. Warren Co., Series B, 12.00%, 12/15/2004..... 500,000 555,000
Stone Container Corp., 12.25%, 04/01/2002......... 1,000,000 1,020,000
-------------
1,768,000
</TABLE>
See notes to the financial statements.
53
<PAGE> 54
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
CORPORATE BONDS (CONTINUED)
- ---------------------------
<S> <C> <C>
PETROLEUM SERVICES -- 13.62%
Cliffs Drilling Co., Series B,
10.25%, 05/03/2015.............................. $300,000 $319,500
Cross Timbers Oil Co., Series B (144a),
9.25%, 04/01/2007............................... 400,000 413,000
DI Industries, Inc., 8.875%, 07/01/2007........... 500,000 497,540
Nuevo Energy Co., 9.50%, 04/15/2006............... 700,000 728,000
Ocean Energy, Inc. (144a), 8.875%, 07/15/2007..... 800,000 798,640
Parker Drilling Co., Series B, 9.75%, 11/15/2006 700,000 735,875
Pride Petroleum Services, Inc.,
9.375%, 05/01/2007.............................. 1,000,000 1,045,000
Veritas DGC, Inc., 9.75%, 10/15/2003.............. 700,000 731,500
-------------
5,269,055
POLLUTION CONTROL -- 2.24%
Allied Waste Industries, Inc. (144a),
(step-up bond), 11.30%, 06/01/2007.............. 500,000 307,500
Norcal Waste System, Inc., Series B,
(step-up bond), 13.00%, 11/15/2005.............. 500,000 560,000
-------------
867,500
PRINTING & PUBLISHING -- 1.32%
Hollinger International Publishing, Inc.,
9.25%, 03/15/2007............................... 500,000 510,000
RETAIL -- 5.38%
Finlay Enterprises, Inc., (step-up bond),
12.00%, 05/01/2005.............................. 400,000 380,000
Smith's Food & Drug, 11.25%,05/15/2007............ 600,000 702,000
Specialty Retailers, Inc. (144a),
8.50%, 07/15/2005............................... 1,000,000 1,000,000
-------------
2,082,000
STEEL -- 4.79%
Carpenter W.R. North America Inc. (144a),
10.625%, 06/15/2007............................. 1,000,000 1,005,000
NS Group, Inc., 13.50%, 07/15/2003................ 450,000 526,500
Oregon Steel Mills, Inc., 11.00%, 06/15/2003...... 300,000 321,000
-------------
1,852,500
TOBACCO -- 1.88%
Dimon, Inc., 8.875%, 06/01/2006................... 700,000 728,075
TRANSPORTATION -- 4.44%
Coach USA, Inc. (144a), 9.375%, 07/01/2007........ 1,000,000 990,000
Continental Airlines, Inc., 9.50%, 12/15/2001..... 500,000 522,500
Viking Star Shipping, Inc., 9.625%, 07/15/2003... 200,000 204,000
-------------
1,716,500
-------------
Total Corporate Bonds
(cost $35,644,193)............................ 36,611,492
-------------
<CAPTION>
MARKET
SHARES VALUE
------ ------
COMMON STOCKS -- 0.71%
- ----------------------
<S> <C> <C>
CHEMICALS -- 0.17%
General Chemical Group, Inc....................... 2,500 $66,875
ELECTRONICS -- 0.22%
Bell & Howell Co.................................. 2,700 83,194
FOREST PRODUCTS -- 0.18%
Buckeye Cellulose Corp............................ 2,100 70,875
INDUSTRIAL MACHINERY -- 0.14%
U.S. Can Corp..................................... 3,800 54,150
-------------
Total Common Stocks
(cost $255,854)............................... 275,094
-------------
PREFERRED STOCKS -- 1.52%
- -------------------------
BROADCASTING -- 1.52%
American Radio Systems Corp. (144a)
(cost $556,665)................................. 5,533 589,211
-------------
WARRANTS & RIGHTS -- 0.00%
- --------------------------
INDUSTRIAL MACHINERY -- 0.00%
Terex Corp.
(cost $831)..................................... 400 4,600
-------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
SHORT TERM INVESTMENTS -- 3.14%
- -------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 3.10%
- -------------------------
Disney Walt Co., 5.45%, 07/01/1997................ $325,000 325,000
Ford Motor Credit Co., 5.46%, 07/01/1997.......... 600,000 600,000
Household Financial Corp., 6.08%, 07/01/1997...... 275,000 275,000
-------------
1,200,000
MONEY MARKET FUNDS -- 0.04%
- ---------------------------
State Street Global Advisor Fund, 5.29%, (b)...... 14,499 14,499
-------------
Total Short Term Investments
(cost $1,214,499)............................. 1,214,499
-------------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $37,672,042)................................ $ 38,694,896
=============
</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) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 1997.
See notes to the financial statements.
54
<PAGE> 55
PPM AMERICA/JNL MONEY MARKET SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- ------------
COMMERCIAL PAPER -- 99.99%
- --------------------------
<S> <C> <C>
CAPTIVE FINANCE -- 17.90%
American Express Credit Corp.
5.53%, 07/01/1997........................... $ 500,000 $ 500,000
Chrysler Financial Corp.
5.52%, 07/10/1997........................... 500,000 499,310
5.52%, 07/17/1997........................... 230,000 229,436
5.57%, 07/25/1997........................... 437,000 435,377
Ford Motor Credit Co.
5.35%, 07/07/1997........................... 150,000 149,866
5.70%, 07/07/1997........................... 150,000 149,857
5.35%, 07/23/1997........................... 370,000 368,790
5.35%, 07/25/1997........................... 225,000 224,198
5.58%, 08/26/1997........................... 560,000 555,139
General Motors Acceptance Corp.
5.37%, 07/07/1997........................... 200,000 199,821
5.44%, 07/14/1997........................... 135,000 134,735
5.61%, 09/04/1997........................... 250,000 247,468
5.77%, 10/20/1997........................... 270,000 265,196
5.69%, 10/27/1997........................... 425,000 417,074
5.77%, 12/08/1997........................... 300,000 292,307
J C Penney Corp.
5.55%, 08/22/1997........................... 250,000 247,996
John Deere Capital Corp.
5.70%, 09/26/1997........................... 305,000 300,799
Sears Roebuck Acceptance Corp.
5.54%, 07/15/1997........................... 125,000 124,731
5.52%, 07/16/1997........................... 250,000 249,425
5.53%, 07/18/1997........................... 250,000 249,347
5.55%, 07/29/1997........................... 350,000 348,489
5.61%, 08/28/1997........................... 250,000 247,740
5.65%, 11/03/1997........................... 350,000 343,134
----------
6,780,235
CASINOS -- 1.20%
Circus Circus Enterprises, Inc.
5.93%, 08/20/1997........................... 460,000 456,211
CHEMICALS -- 0.77%
DuPont E I DeNemours & Co.
5.62%, 12/02/1997........................... 300,000 292,788
COMPUTERS -- 2.65%
International Business Machines Credit Corp.
5.50%, 07/08/1997........................... 500,000 499,465
5.51%, 07/15/1997........................... 100,000 99,786
5.54%, 07/18/1997........................... 165,000 164,568
5.54%, 07/25/1997........................... 240,000 239,114
---------
1,002,933
CONSUMER FINANCE -- 18.20%
American General Financial Corp.
5.61%, 07/16/1997........................... 300,000 299,299
5.65%, 07/28/1997........................... 250,000 248,941
5.59%, 08/28/1997........................... 295,000 292,343
5.56%, 09/15/1997........................... 220,000 217,418
5.59%, 10/08/1997........................... 275,000 270,773
5.71%, 11/10/1997........................... 215,000 210,499
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- ------------
COMMERCIAL PAPER (CONTINUED)
- ----------------------------
<S> <C> <C>
CONSUMER FINANCE (CONTINUED)
Beneficial Corp.
5.63%, 07/15/1997........................... $ 300,000 $ 299,343
5.58%, 08/28/1997........................... 205,000 203,157
5.56%, 09/18/1997........................... 715,000 706,276
5.54%, 10/14/1997........................... 410,000 403,375
Heller Financial, Inc.
5.40%, 07/08/1997........................... 275,000 274,711
5.57%, 07/15/1997........................... 120,000 119,740
5.62%, 07/17/1997........................... 400,000 399,001
5.55%, 07/18/1997........................... 250,000 249,345
5.75%, 10/14/1997........................... 210,000 206,478
5.73%, 10/28/1997........................... 300,000 294,318
Household Financial Corp.
6.08%, 07/01/1997........................... 190,000 190,000
5.62%, 07/30/1997........................... 280,000 278,732
5.59%, 08/25/1997........................... 650,000 644,449
5.59%, 09/03/1997........................... 425,000 420,776
Northwest Financial, Inc.
5.54%, 07/22/1997........................... 370,000 368,804
5.55%, 07/24/1997........................... 300,000 298,936
------------
6,896,714
CONSUMER PRODUCTS -- 6.39%
Conagra, Inc.
5.72%, 07/03/1997........................... 530,000 529,832
5.75%, 08/27/1997........................... 250,000 247,724
Hasbro, Inc.
5.62%, 07/21/1997........................... 850,000 847,346
5.64%, 08/08/1997........................... 500,000 497,023
5.63%, 08/20/1997........................... 300,000 297,654
------------
2,419,579
DRUGS & HEALTH CARE -- 9.36%
A H Robins Co., Inc.
5.65%, 08/04/1997........................... 314,000 312,324
5.56%, 08/27/1997........................... 392,000 388,549
Allergan
5.53%, 07/02/1997........................... 350,000 349,946
5.58%, 09/09/1997........................... 305,000 301,691
American Home Products Corp.
6.07%, 07/01/1997........................... 500,000 500,000
5.60%, 07/07/1997........................... 415,000 414,613
Schering Corp.
5.31%, 07/22/1997........................... 150,000 149,535
5.32%, 07/22/1997........................... 150,000 149,535
5.33%, 07/22/1997........................... 400,000 398,756
5.64%, 09/02/1997........................... 390,000 386,150
5.70%, 10/16/1997........................... 200,000 196,612
------------
3,547,711
FINANCIAL SERVICES -- 4.13%
Merrill Lynch & Co.
5.65%, 08/12/1997........................... 500,000 496,704
5.65%, 10/01/1997........................... 400,000 394,224
5.70%, 10/01/1997........................... 405,000 399,101
5.75%, 10/20/1997........................... 280,000 275,036
------------
1,565,065
</TABLE>
See notes to financial statements.
55
<PAGE> 56
PPM AMERICA/JNL MONEY MARKET SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- ------------
<S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
- ----------------------------
INDEPENDENT FINANCE -- 11.72%
Associates Corp. of North America
5.52%, 07/17/1997........................... $ 290,000 $ 289,289
5.54%, 07/23/1997........................... 300,000 298,984
5.63%, 07/31/1997........................... 800,000 796,247
CIT Group Holdings, Inc.
5.55%, 07/28/1997........................... 515,000 512,856
5.54%, 08/13/1997........................... 550,000 546,361
5.59%, 08/27/1997........................... 500,000 495,575
General Electric Capital Corp.
5.35%, 07/28/1997........................... 290,000 288,836
5.40%, 08/04/1997........................... 125,000 124,363
5.76%, 10/22/1997........................... 250,000 245,480
5.63%, 10/30/1997........................... 487,000 477,784
5.72%, 12/08/1997........................... 375,000 365,467
----------
4,441,242
INSURANCE -- 0.65%
USAA Capital Corp.
5.26%, 08/25/1997........................... 250,000 247,991
LEISURE TIME -- 2.08%
Walt Disney Co.
5.35%, 07/09/1997........................... 550,000 549,346
5.35%, 07/10/1997........................... 240,000 239,679
----------
789,025
MORTGAGE BANKING -- 4.04%
Countrywide Credit Corp.
5.67%, 07/23/1997........................... 200,000 199,307
5.61%, 08/11/1997........................... 300,000 298,083
5.59%, 09/10/1997........................... 425,000 420,314
5.59%, 09/16/1997........................... 620,000 612,587
----------
1,530,291
OIL -- 2.61%
Chevron UK Investment PLC
5.57%, 09/17/1997........................... 1,000,000 987,932
OFFICE EQUIPMENT -- 2.30%
Pitney Bowes Credit Corp.
5.67%, 09/16/1997........................... 535,000 528,511
5.62%, 12/02/1997........................... 350,000 341,586
----------
870,097
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- ------------
COMMERCIAL PAPER (CONTINUED)
- ----------------------------
<S> <C> <C>
PACKAGING -- 1.55%
Crown Cork & Seal, Inc.
5.80%, 07/10/1997........................... $ 180,000 $ 179,739
5.77%, 07/14/1997........................... 100,000 99,792
5.80%, 08/08/1997........................... 190,000 188,837
5.82%, 08/25/1997........................... 120,000 118,933
----------
587,301
PUBLISHING -- 2.70%
McGraw Hill, Inc.
5.58%, 07/14/1997........................... 600,000 598,791
5.44%, 08/11/1997........................... 427,000 424,355
----------
1,023,146
TELECOMMUNICATIONS -- 8.61%
American Telephone & Telegraph Co.
6.05%, 07/01/1997........................... 500,000 500,000
Ameritech Corp.
5.33%, 07/11/1997........................... 732,000 730,916
GTE Corp.
5.58%, 09/12/1997........................... 1,540,000 1,522,575
Southwestern Bell Telephone Co.
5.60%, 07/09/1997........................... 510,000 509,365
----------
3,262,856
UTILITIES -- 3.12%
Pacific Gas & Electric Co.
5.56%, 07/24/1997........................... 500,000 498,224
5.55%, 08/04/1997........................... 400,000 397,903
5.59%, 08/26/1997........................... 290,000 287,478
----------
1,183,605
----------
TOTAL COMMERCIAL PAPER
- ----------------------
(cost $37,884,722).......................... 37,884,722
----------
MONEY MARKET FUNDS -- 0.01%
- ---------------------------
State Street Global Advisor Fund
5.29% (a) (cost $4,021).................... 4,021 4,021
----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $37,888,743).......................... $ 37,888,743
============
</TABLE>
(a) Dividend yields change daily to reflect current market conditions. Rate
shown is the quoted yield as of June 30, 1997.
See notes to the financial statements.
56
<PAGE> 57
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- -------------
CORPORATE BONDS -- 38.45%
- -------------------------
<S> <C> <C>
AEROSPACE INDUSTRIES -- 1.57%
Jordan Industries, Inc., 10.375%, 08/01/2003... $ 250,000 $ 265,000
Talley Industries, 10.75%, 10/15/2003.......... 150,000 157,500
-------------
422,500
BROADCASTING -- 1.62%
Cablevision Systems Corp., 10.50%, 05/15/2016.. 250,000 272,500
SFX Broadcasting, Inc., 10.75%, 05/15/2006..... 150,000 162,000
-------------
434,500
BUILDING & CONSTRUCTION -- 1.08%
Southdown, Inc. Series B, 10.00%, 03/01/2006... 125,000 135,938
Synthetic Industries, Inc. (144a), 9.25%, -------------
02/15/2007.................................. 150,000 152,250
-------------
288,188
BUSINESS SERVICES -- 1.93%
Iron Mountain, Inc., 10.125%, 10/01/2006....... 150,000 160,500
Ryder Trucks, Inc., 10.00%, 12/01/2006......... 200,000 206,000
Williams Scotsman, Inc. (144a), 9.875%, -------------
06/01/2007.................................. 150,000 151,500
-------------
518,000
CAPITAL GOODS -- 0.29%
Alvey Systems, 11.375%, 01/31/2003............. 75,000 77,625
CASINOS -- 0.55%
Trump Atlantic City Associates,
11.25%, 05/01/2006.......................... 150,000 146,625
CHEMICALS -- 1.11%
Freedom Chemical Co. (144a),
10.625%, 10/15/2006......................... 150,000 157,312
NL Industries (step-up bond),
13.00%, 10/15/2005 (a) (d).................. 150,000 140,250
-------------
297,562
CONTAINERS & GLASS -- 0.95%
Stone Container Corp., 12.25%, 04/01/2002...... 250,000 255,000
COSMETICS & TOILETRIES -- 1.60%
French Fragrances, Inc. (144a), 10.375%,
05/15/2007.................................. 250,000 260,000
Revlon Worldwide Corp. (144a),
Zero Coupon, 03/15/2001..................... 250,000 169,375
-------------
429,375
DRUGS & HEALTH CARE -- 2.67%
Eye Care Centers of America, Inc.,
12.00%, 10/01/2003.......................... 200,000 220,000
Integrated Health Services, Inc.,
9.50%, 09/15/2007........................... 100,000 102,250
Packard Bioscience, Inc., 9.375%, 03/01/2007... 150,000 150,000
Urohealth Systems, Inc. (144a), 12.50%, -------------
04/01/2004.................................. 250,000 242,500
-------------
714,750
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- -------------
CORPORATE BONDS (CONTINUED)
- ---------------------------
<S> <C> <C>
ELECTRONICS -- 0.99%
Clark-Schwebel, 10.50%, 04/15/2006............. $ 250,000 $ 266,250
FINANCIAL SERVICES -- 2.71%
Coleman Escrow Corp., Zero Coupon, 05/15/2001.. 300,000 189,750
Foamex LP/ Foamex Cap Corp. (144a),
9.875%, 06/15/2007.......................... 125,000 129,375
Midland Bank PLC, 7.65%, 05/01/2025............ 100,000 104,631
PaineWebber Group, Inc., 7.00%, 03/01/2000..... 300,000 302,043
-------------
725,799
FOOD & BEVERAGES -- 1.74%
CFP Holdings, Inc., 11.625%, 01/15/2004........ 200,000 207,000
Dole Foods, Inc., 6.75%, 07/15/2000............ 100,000 100,059
Twin Laboratories, Inc. (144a), 10.25%, -------------
05/15/2006.................................. 150,000 158,250
-------------
465,309
HOTELS & RESTAURANTS -- 0.42%
Wyndham Hotel Corp., 10.50%, 05/15/2006........ 100,000 112,000
HOUSEHOLD APPLIANCES & FURNISHINGS -- 1.16%
Collins & Aikman Floorcover,
10.00%, 01/15/2007.......................... 150,000 152,625
Rayovac Corp., 10.25%, 11/01/2006.............. 150,000 156,750
-------------
309,375
INDUSTRIAL MACHINERY -- 0.74%
Harnischfeger Industries, Inc.,
6.875%, 02/15/2027.......................... 200,000 197,564
LIQUOR -- 0.59%
Stroh Brewery Co., 11.10%, 07/01/2006.......... 150,000 156,750
METALS & MINING -- 0.60%
Renco Metals, Inc., 11.50%, 07/01/2003......... 150,000 159,750
OFFICE SUPPLIES -- 0.76%
Pen-Tab Industries, Inc., 10.875%, 02/01/2007.. 200,000 203,500
PACKAGING -- 0.41%
Tekni Plex, Inc., 11.25%, 04/01/2007........... 100,000 108,500
PAPER -- 0.72%
Doman Industries Ltd., 8.75%, 03/15/2004....... 200,000 193,000
PETROLEUM SERVICES -- 3.01%
Cliffs Drilling, 10.25%, 05/15/2003............ 150,000 159,750
Cross Timbers Oil Co., 9.25%, 04/01/2007....... 150,000 154,875
National Energy Group, Inc. (144a),
10.75%, 11/01/2006.......................... 150,000 156,375
Occidental Petroleum Corp., 9.25%, 08/01/2019.. 150,000 177,519
Parker Drilling Co., 9.75%, 11/15/2006......... 150,000 157,688
-------------
806,207
</TABLE>
See notes to the financial statements.
57
<PAGE> 58
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- -------------
CORPORATE BONDS (CONTINUED)
- ---------------------------
<S> <C> <C>
POLLUTION CONTROL -- 1.81%
Allied Waste Industries, Inc. (144a),
(step-up bond), 11.30%, 07/01/2007 (a) (d).................................. $ 200,000 $ 123,000
Envirosource, Inc., 9.75%, 06/15/2003.......................................... 200,000 194,000
Norcal Waste System, (step-up bond), Series B
13.00%, 11/15/2005 (a) (d).................................................. 150,000 168,000
-------------
485,000
PUBLISHING -- 1.97%
American Media Operations Inc., 11.625%,
11/15/2004.................................................................. 250,000 272,500
Hollinger International Publishing, Inc.
9.25%, 03/15/2007........................................................... 250,000 255,000
-------------
527,500
RETAIL -- 2.33%
Pueblo Xtra, International, 9.50%, 08/01/2003.................................. 100,000 97,000
Riddell Sports, Inc., 10.50%, 07/15/2007....................................... 250,000 255,625
Selmer Inc. (144a), 11.00%, 05/15/2005......................................... 250,000 272,500
-------------
625,125
SOFTWARE -- 0.39%
Printpack, Inc. (144a), 10.625%, 08/15/2006.................................... 100,000 105,000
TELECOMMUNICATIONS -- 3.38%
Adelphia Communications, 12.50%, 05/15/2002.................................... 150,000 159,000
Diamond Cable Communications, Inc.,
(step-up bond), 11.75%, 12/15/2005 (a) (d).................................. 225,000 155,812
Intermedia Communications, (step-up bond),
12.50%, 05/15/2006 (a) (d).................................................. 244,000 175,680
International CableTel, Inc., (step-up bond),
11.50%, 02/01/2006 (a) (d).................................................. 225,000 156,375
Marcus Cable Co LP, (step-up bond), 14.25%,
12/15/2005 (a) (d) ......................................................... 200,000 158,000
U.S. West Capital Funding, 6.85%, 01/15/2002................................... 100,000 99,893
-------------
904,760
TRANSPORTATION -- 1.35%
Central Transport Rental Group,
9.50%, 04/30/2003........................................................... 150,000 144,000
Sun International Ltd., 9.00%, 03/15/2007...................................... 100,000 101,875
TFM SA de CV, 1.00%, 06/15/2009................................................ 200,000 116,000
-------------
361,875
-------------
Total Corporate Bonds
(cost $10,015,367).......................................................... 10,297,389
-------------
GOVERNMENT BONDS -- 33.51%
- --------------------------
ARGENTINA -- 2.38%
- ------------------
Argentina Floating Rate Bond,
6.75%, 03/31/2005 (b)....................................................... 679,000 638,260
AUSTRALIA -- 0.07%
- ------------------
Australia Government Bond, 10.00%, 10/15/2007.................................. 20,00 18,301
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- -------------
GOVERNMENT BONDS (CONTINUED)
- ----------------------------
<S> <C> <C>
BRAZIL -- 3.96%
- ---------------
Brazil Government Bond, 10.125%, 05/15/2027.................................... $ 25,000 $ 24,063
Brazil C Bond (payment-in-kind bond),
8.00%, 04/15/2014 (b)(c).................................................... 1,288,748 1,035,831
-------------
Total Brazil............................................................. 1,059,894
CANADA -- 0.54%
- ---------------
Canadian Government Bond
7.50%, 09/01/2000........................................................... 150,000 115,292
7.00%, 12/01/2006........................................................... 40,000 30,385
-------------
Total Canada............................................................. 145,677
DENMARK -- 0.21%
- ----------------
Denmark Government Bond, 8.00%, 03/15/2006..................................... 330,000 55,932
ECUADOR -- 0.44%
- ----------------
Ecuador Pars (step-up bond),
3.50%, 02/28/2025 (a) (d)................................................... 250,000 117,500
GERMANY -- 0.19%
- ----------------
Germany (Federal Republic)
8.25%, 09/20/2001........................................................... 40,000 26,262
6.00%, 07/04/2007........................................................... 40,000 23,448
-------------
Total Germany............................................................ 49,710
IRELAND -- 0.40%
- ----------------
Ireland Government Bond, 6.25%, 04/01/1999..................................... 70,000 106,404
MEXICO -- 2.34%
- ---------------
Mexico Global Bond, 11.50%, 05/15/2026......................................... 550,000 626,175
MOROCCO -- 1.53%
- ----------------
Morocco Restructure & Consolidation Agreement,
6.8125%, 01/01/2009 (b)..................................................... 450,000 410,625
PANAMA -- 0.57%
- ---------------
Panama Government Bond, 3.703%,
07/17/2014 (b).............................................................. 200,000 154,000
RUSSIA -- 1.14%
- ---------------
Russia Interest Notes, 1.00%, 12/31/2016....................................... 400,000 305,500
SOUTH KOREA -- 0.81%
- --------------------
Korea Development Bank, 9.60%, 12/01/2000...................................... 200,000 217,246
UNITED STATES -- 16.73%
- -----------------------
U.S. GOVERNMENT AGENCIES -- 9.91%
Federal Home Loan Mortgage Company
10.00%, 05/15/2020.......................................................... 50,000 45,969
6.50%, TBA (e)............................................................. 300,000 287,343
</TABLE>
58
See notes to the financial statements.
<PAGE> 59
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- -------------
GOVERNMENT BONDS (CONTINUED)
- ----------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
U.S. GOVERNMENT AGENCIES (CONTINUED)
Federal National Mortgage Association
13.00%, 11/01/2015.............................................................. $ 15,000 $ 12,528
7.00%, 11/18/2015............................................................... 1,500,000 1,512,422
10.40%, 04/25/2019.............................................................. 100,000 75,147
8.77%, 03/17/2020, interest only (g)............................................ 841,140 26,516
6.50%, 02/01/2026............................................................... 300,675 272,577
9.02%, 10/17/2036, interest only (g)............................................ 4,295,000 129,018
7.00%, TBA (e).................................................................. 300,000 293,904
-------------
2,655,424
U.S. TREASURY BOND -- 0.22%
6.625%, 02/15/2027.............................................................. 60,000 58,706
U.S. TREASURY NOTES -- 6.60%
5.00%, 01/31/1998............................................................... 300,000 298,923
6.25%, 05/31/1999............................................................... 160,000 160,450
6.50%, 08/31/2001............................................................... 150,000 150,726
6.125%, 12/30/2001.............................................................. 40,000 39,606
6.625%, 03/31/2002.............................................................. 1,000,000 1,009,060
3.375%, 01/15/2007 (f).......................................................... 70,000 68,316
6.625%, 05/15/2007.............................................................. 40,000 40,331
-------------
1,767,412
-------------
Total United States.......................................................... 4,481,542
VENEZUELA -- 2.20%
Republic of Venezuela--Par, 6.75%, 03/31/2020................................... 750,000 589,687
-------------
Total Government Bonds
(cost $8,526,277)............................................................ 8,976,453
-------------
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- ------------
ASSET BACKED SECURITIES -- 4.28%
- --------------------------------
<S> <C> <C>
Airplane Pass-through Trust, 10.875%,
03/15/2019...................................................................... $ 125,000 $ 141,245
Mid State Trust, Series VI, 7.34%, 07/01/2035...................................... 1,000,000 1,005,625
-------------
Total Asset Backed Securities
(cost $1,124,844).......................................................... 1,146,870
-------------
WARRANTS -- 0.00%
- -----------------
VENEZUELA -- 0.00%
Republic of Venezuela Warrants (cost $0)........................................ 1,250 0
-------------
SHORT TERM INVESTMENTS -- 23.76%
- --------------------------------
MONEY MARKET FUNDS -- 0.00%
State Street Global Advisor Fund, 5.29%, (f).................................... 994 994
REPURCHASE AGREEMENTS -- 23.76%
Repurchase Agreement with J P Morgan, 5.95%,
(Collateralized by $3,181,000 U.S. Treasury
Note 7.375% due 11/15/1997, market value -
$3,230,206), acquired on 06/30/1997, due
07/01/1997................................................................... 3,181,000 3,181,000
Repurchase agreement with United Bank of
Switzerland, 5.875%, (Collateralized by
$3,182,000 U.S. Treasury Bond 11.125% due
02/15/2015, market value - $4,760,326),
acquired on 06/30/1997, due
07/01/1997................................................................... 3,182,000 3,182,000
-------------
6,363,000
-------------
Total Short Term Investments
(cost $6,363,994).......................................................... 6,363,994
-------------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $26,030,482)........................................................... $26,784,706
=============
</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 is rate in effect on
June 30, 1997.
(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 in effect as of June 30, 1997.
(e) Investment purchased on a when-issued basis.
(f) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 1997.
(g) The interest rates disclosed for interest only strips represent effective
yields at June 30, 1997 based upon estimated future cash flows.
See notes to the financial statements.
59
<PAGE> 60
SALOMON BROTHERS/JNL
U.S. GOVERNMENT & QUALITY BOND SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT ------------
-----------
U.S. GOVERNMENT SECURITIES -- 54.11%
- ------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY & AGENCY
BACKED ISSUES -- 40.88%
Federal Home Loan Bank
5.94%, 06/13/2000.................................................................... $ 300,000 $ 296,577
Federal Home Loan Mortgage Corp.
6.00%, 09/01/2010.................................................................... 4,209 4,092
11.75%, 01/01/2011................................................................... 4,999 5,536
7.00%, 07/01/2011.................................................................... 120,496 120,483
8.25%, 04/01/2017.................................................................... 479,887 500,618
Federal National Mortgage Association
14.50%, 11/01/2014................................................................... 9,302 11,500
12.50%, 08/01/2015................................................................... 7,390 8,537
12.50%, 09/01/2015................................................................... 25,917 30,452
13.00%, 11/01/2015................................................................... 22,941 26,726
12.00%, 01/01/2016................................................................... 768,514 888,066
12.50%, 01/15/2016................................................................... 387,691 454,810
11.50%, 04/01/2019................................................................... 8,126 9,147
10.50%, 08/01/2020................................................................... 144,055 158,054
11.00%, 09/01/2020................................................................... 397,456 443,592
6.50%, 03/01/2026.................................................................... 429,923 411,518
7.00%, 05/01/2026.................................................................... 338,051 331,713
7.00%, TBA (a)....................................................................... 2,650,000 2,582,652
7.50%, TBA (a)....................................................................... 1,700,000 1,703,706
Government National Mortgage Association
13.50%, 07/15/2010................................................................... 193,427 229,683
7.00%, TBA (a)....................................................................... 300,000 294,468
Student Loan Marketing Association
7.50%, 03/08/2000.................................................................... 400,000 411,064
----------
8,922,994
U.S. TREASURY BOND -- 10.53%
6.625%, 02/15/2027................................................................... 2,350,000 2,299,334
U.S. TREASURY NOTES -- 2.70%
5.625%, 02/28/2001................................................................... 500,000 488,830
6.50%, 05/31/2001.................................................................... 100,000 100,547
----------
589,377
----------
Total U.S. Government Securities
(cost $11,744,696).................................................................. 11,811,705
----------
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE
---------------- ------------
CORPORATE BONDS -- 3.90%
- ------------------------
<S> <C> <C>
BANKS -- 0.71%
Banc One Corp.
7.60%, 05/01/2007.................................................................... $ 150,000 $ 154,190
COMPUTERS & BUSINESS EQUIPMENT -- 0.48%
Xerox Corp.
8.125%, 04/15/2002................................................................... 100,000 105,215
PETROLEUM SERVICES -- 2.71%
Occidental Petroleum Corp.
9.25%, 08/01/2019.................................................................... 500,000 591,730
----------
Total Corporate Bonds
(cost $842,135)..................................................................... 851,135
----------
SHORT TERM INVESTMENTS -- 41.99%
- --------------------------------
MONEY MARKET FUNDS -- 0.00%
State Street Global Advisor Fund, 5.29% (b)........................................... 421 421
REPURCHASE AGREEMENTS -- 12.25%
Repurchase agreement with J.P. Morgan,
5.95% (Collateralized by $1,337,000
U.S. Treasury Note, 11.25% due 02/15/2015,
market value -- $2,000,175), acquired on
06/30/1997, due 07/01/1997.......................................................... 1,337,000 1,337,000
Repurchase agreement with United Bank of
Switzerland, 5.875% (Collateralized by
$1,337,000 U.S. Treasury Note, 8.875% due
02/15/1999, market value -- $1,439,327),
acquired on 06/30/1997, due 07/01/1997................................................ 1,337,000 1,337,000
----------
2,674,000
U.S. GOVERNMENT AGENCIES -- 29.74%
Federal Farm Credit Bank Discount Note
5.38%, 07/01/1997.................................................................... 3,500,000 3,500,000
5.40%, 07/11/1997.................................................................... 1,500,000 1,497,750
Student Loan Marketing Assoc. Discount Note
5.38%, 07/31/1997.................................................................... 1,500,000 1,493,275
----------
6,491,025
----------
Total Short Term Investments
(cost $9,165,446)................................................................... 9,165,446
----------
TOTAL INVESTMENTS -- 100%
-------------------------
(cost $21,752,277).................................................................. $21,828,286
===========
</TABLE>
(a) Investment purchased on a when-issued basis.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 1997.
See notes to the financial statements.
60
<PAGE> 61
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS -- 93.75%
- -----------------------
<S> <C> <C>
FRANCE -- 0.33%
- ---------------
LIQUOR -- 0.33%
LVMH, Louis Vuitton Moet-Hennessy............. 990 $ 266,170
HONG KONG -- 0.61%
- ------------------
CONGLOMERATES -- 0.61%
Hutchinson Whampoa Ltd........................ 47,000 406,464
Swire Pacific................................. 10,000 90,032
-------------
496,496
ITALY -- 0.64%
- --------------
BANKS -- 0.47%
Banca Fideuram SPA............................ 118,200 386,334
TELECOMMUNICATIONS -- 0.17%
Telecom Italia SPA............................ 30,600 60,585
Telecom Italia Mobile (b)..................... 22,900 74,107
-------------
134,692
-------------
Total Italy................................ 521,026
MALAYSIA -- 0.43%
- -----------------
INDUSTRIAL MACHINERY -- 0.43%
United Engineers Ltd.......................... 47,900 345,396
MEXICO -- 0.37%
- ---------------
HOUSEHOLD PRODUCTS -- 0.37%
Kimberly Clark de Mexico, SA de CV............ 74,500 299,969
NETHERLANDS -- 2.24%
- --------------------
HOUSEHOLD PRODUCTS -- 0.31%
Hagemeyer N.V................................. 4,900 253,125
NEWSPAPERS -- 0.67%
Ver Ned Uitgevers N.V......................... 24,700 546,121
PUBLISHING -- 0.40%
Elsevier N.V.................................. 19,300 322,502
REAL ESTATE -- 0.30%
Security Capital U.S. Realty.................. 16,400 244,360
SOFTWARE -- 0.56%
Getronics N.V................................. 14,100 455,418
-------------
Total Netherlands.......................... 1,821,526
PORTUGAL -- 0.99%
- -----------------
TELECOMMUNICATIONS -- 0.99%
Telecel - Communicacoes Pessoais SA, (a)...... 9,700 804,613
SOUTH AFRICA -- 0.31%
- ---------------------
CHEMICALS -- 0.31%
Rustenburg Platinum Holdings.................. 13,900 254,287
SWEDEN -- 1.26%
- ---------------
DRUGS & HEALTH CARE -- 0.56%
Astra AB Class B.............................. 25,800 455,265
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
SWEDEN (CONTINUED)
- ------------------
FINANCIAL SERVICES -- 0.27%
Kinnevik AB Class B.......................... 7,800 $ 217,297
RETAIL -- 0.43%
Hennes & Mauritz AB Class B................... 10,000 351,625
-------------
Total Sweden............................... 1,024,187
SWITZERLAND -- 1.45%
- --------------------
CONGLOMERATES -- 0.17%
Sig Schweizerische Industrie AG............... 45 136,387
DRUGS & HEALTH CARE -- 1.28%
Novartis AG................................... 650 1,039,110
-------------
Total Switzerland.......................... 1,175,497
UNITED KINGDOM -- 2.26%
- -----------------------
CONGLOMERATES -- 1.85%
Rentokil Initial PLC.......................... 152,000 533,083
Tomkins PLC................................... 224,600 972,469
-------------
1,505,552
TELECOMMUNICATIONS -- 0.41%
Vodafone Group PLC............................ 67,300 328,379
-------------
Total United Kingdom....................... 1,833,931
UNITED STATES -- 82.86%
- -----------------------
AEROSPACE -- 1.87%
AlliedSignal, Inc............................. 14,200 1,192,800
Boeing Co..................................... 6,200 328,987
-------------
1,521,787
APPAREL & TEXTILES -- 0.36%
Nike, Inc. Class B............................ 5,000 291,875
AUTOMOBILE & PARTS -- 1.85%
Danaher Corp.................................. 29,500 1,498,969
BANKS -- 4.35%
Citicorp...................................... 6,600 795,712
Mellon Bank Corp.............................. 4,100 185,012
Northern Trust Corp........................... 11,700 565,987
Norwest Corp.................................. 17,300 973,125
Toronto Dominion Bank......................... 7,800 231,075
Wells Fargo & Co.............................. 2,900 781,550
-------------
3,532,461
BUILDING & CONSTRUCTION -- 0.69%
Masco Corp.................................... 13,500 563,625
BUSINESS SERVICES -- 5.30%
ADT Ltd....................................... 7,100 234,300
Automatic Data Processing, Inc................ 10,100 474,700
CUC International (a)......................... 20,400 526,575
First Data Corp............................... 31,702 1,392,907
H&R Block, Inc................................ 22,400 722,400
</TABLE>
See notes to the financial statements.
61
<PAGE> 62
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
June 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
BUSINESS SERVICES (CONTINUED)
Interpublic Group Cos., Inc................... 8,600 $ 527,288
Service Corp. International, Inc.............. 13,100 430,662
-------------
4,308,832
CHEMICALS --1.39%
Great Lakes Chemical Corp..................... 14,700 769,912
Rustenburg Platinum Holdings ADR (a).......... 19,418 355,346
-------------
1,125,258
COMPUTERS & BUSINESS EQUIPMENT -- 2.61%
Cisco Systems, Inc. (a)....................... 11,600 778,650
Dell Computer Corp. (a)....................... 1,600 187,900
Fore Systems, Inc. (a)........................ 3,900 53,137
Hewlett Packard Co............................ 9,900 554,400
3Com Corp. (a)................................ 12,100 544,500
-------------
2,118,587
DRUGS & HEALTH CARE -- 9.09%
Baxter International, Inc..................... 8,800 459,800
Biogen, Inc. (a).............................. 7,300 247,288
Columbia/HCA Healthcare Corp.................. 21,200 833,425
Genentech, Inc. (a)........................... 12,300 724,931
Healthsouth Corp. (a)......................... 23,700 591,019
Johnson & Johnson Co.......................... 17,000 1,094,375
Medtronic, Inc................................ 5,300 429,300
Merck & Co., Inc.............................. 7,900 817,650
Pacificare Health Systems Class B (a)......... 3,700 236,337
Pfizer, Inc................................... 10,200 1,218,900
Warner Lambert Co............................. 5,900 733,075
-------------
7,386,100
ELECTRICAL EQUIPMENT -- 3.73%
Boston Scientific Corp. (a)................... 10,300 632,806
General Electric Co........................... 36,700 2,399,262
-------------
3,032,068
ELECTRONICS -- 4.55%
Analog Devices, Inc. (a)...................... 13,200 350,625
Electronic Data Systems Corp.................. 1,700 69,700
Ericcson LM Tel Co. Class B ADR............... 2,900 114,187
Intel Corp.................................... 5,100 723,244
Linear Technology Corp........................ 10,500 543,375
Maxim Integrated Products, Inc. (a)........... 10,900 619,938
Molex, Inc. Class A........................... 7,275 253,716
Motorola, Inc................................. 4,200 319,200
Teleflex, Inc................................. 17,600 550,000
Xilinx, Inc. (a).............................. 3,100 152,094
-------------
3,696,079
FINANCIAL SERVICES -- 5.21%
Corporate Express, Inc. (a)................... 15,100 218,006
Federal Home Loan Mortgage Corp............... 74,400 2,557,500
Federal National Mortgage Association......... 25,400 1,108,075
Green Tree Financial Corp..................... 9,700 345,563
-------------
4,229,144
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
FOOD & BEVERAGES -- 4.17%
CPC International, Inc........................ 5,200 $ 480,025
Coca-Cola Co.................................. 9,100 614,250
Hershey Foods Corp............................ 2,200 121,688
Pepsico, Inc.................................. 23,100 867,694
Pioneer Hi-Bred International, Inc............ 6,900 552,000
Sara Lee Corp................................. 11,300 470,363
Unilever N.V.................................. 1,300 283,400
-------------
3,389,420
GOLD -- 1.05%
Barrick Gold Corp............................. 13,400 294,800
Newmont Mining Corp........................... 14,300 557,700
-------------
852,500
HOUSEHOLD PRODUCTS -- 1.72%
Corning, Inc.................................. 16,700 928,937
Proctor & Gamble Co........................... 3,300 466,125
-------------
1,395,062
INDUSTRIAL MACHINERY -- 1.28%
Trimas Corp................................... 14,300 402,187
Tyco International, Ltd....................... 9,100 633,019
-------------
1,035,206
INSURANCE -- 8.60%
Ace Ltd....................................... 21,300 1,573,537
Berkshire Hathaway, Inc. Class A (a).......... 25 1,180,000
Exel Ltd...................................... 8,800 464,200
Fairfax Financial Holdings, Ltd. (a).......... 1,300 376,552
Mutual Risk Management, Ltd................... 12,700 582,612
PartnerRe Ltd................................. 2,400 91,500
St. Paul Cos., Inc............................ 6,300 480,375
Traveler's Group, Inc.,....................... 20,300 1,280,169
UNUM Corp..................................... 22,900 961,800
-------------
6,990,745
LEISURE TIME -- 1.68%
Carnival Corp. Class A........................ 10,300 424,875
Walt Disney Co................................ 11,700 938,925
-------------
1,363,800
NEWSPAPERS -- 1.12%
Reuters Holdings ADR.......................... 3,400 214,200
Tribune Co.................................... 14,500 696,906
-------------
911,106
OFFICE FURNISHINGS & SUPPLIES -- 0.41%
Ikon Office Solutions, Inc.................... 13,500 336,656
OIL -- 2.20%
Mobil Corp.................................... 8,200 572,975
Royal Dutch Petroleum Co...................... 22,400 1,218,000
-------------
1,790,975
</TABLE>
See notes to the financial statements.
62
<PAGE> 63
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
PAPER -- 0.80%
Kimberly Clark Corp........................... 13,100 $ 651,725
PETROLEUM SERVICES -- 1.35%
Halliburton Co................................ 4,200 332,850
Schlumberger Ltd.............................. 2,100 262,500
Western Atlas, Inc. (a)....................... 6,900 505,425
------------
1,100,775
POLLUTION CONTROL -- 0.44%
USA Waste Services, Inc. (a).................. 9,300 359,213
REAL ESTATE -- 0.80%
Starwood Lodging Trust Co..................... 15,200 648,850
RESTAURANTS -- 0.38%
Boston Chicken, Inc. (a)...................... 1,700 23,800
McDonald's Corp............................... 5,900 285,044
------------
308,844
RETAIL -- 3.97%
Circuit City Stores, Inc...................... 10,000 355,625
CVS Corp...................................... 4,336 222,220
Home Depot, Inc............................... 6,300 434,306
Kohl's Corp. (a).............................. 6,200 328,213
Safeway, Inc. (a)............................. 7,100 327,488
Tag Heuer International ADR (a)............... 61,900 932,369
Wal-Mart Stores, Inc.......................... 18,600 628,912
------------
3,229,133
SOFTWARE -- 4.52%
BMC Software, Inc. (a)........................ 17,600 974,600
Microsoft Corp. (a)........................... 8,600 1,086,825
Oracle Corp. (a).............................. 19,350 974,756
Parametric Technology Corp. (a)............... 15,000 638,438
------------
3,674,619
STEEL -- 0.07%
Pohang Iron & Steel Co. ADR................... 1,700 54,400
TELECOMMUNICATIONS -- 4.46%
Ascend Communications, Inc. (a)............... 6,600 259,875
Cox Communications, Inc. Class A (a).......... 14,400 345,600
Grupo Iusacell Series D ADR (a)............... 54,800 808,300
Lucent Technologies, Inc...................... 2,600 187,362
Telecomunicacoes Brasileiras ADR.............. 4,900 743,575
Vodafone Group PLC ADR........................ 12,400 600,625
Worldcom, Inc. (a)............................ 21,300 681,600
------------
3,626,937
<CAPTION>
SHARES MARKET VALUE
---------------- ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
TOBACCO -- 1.50%
Philip Morris Cos., Inc....................... 27,500 $ 1,220,313
TOYS -- 0.85%
Hasbro, Inc................................... 4,950 140,456
Mattel, Inc................................... 16,300 552,163
------------
692,619
TRANSPORTATION -- 0.49%
Tranz Rail Holdings Ltd. ADR (a).............. 23,700 399,938
------------
Total United States......................... 67,337,621
------------
Total Common Stock
(cost $65,440,540)......................... 76,180,719
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
SHORT TERM INVESTMENTS -- 6.25%
- -------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 6.02%
Archer Daniels Midland Co., 5.52%, 07/15/1997. $ 268,000 267,425
Chubb Capital Corp., 5.53%, 07/21/1997........ 545,000 543,326
Kellogg Co., 5.50%, 07/24/1997................ 719,000 716,473
Met Life Funding, Inc., 5.50%, 07/08/1997..... 149,000 148,841
Motorola Credit Corp., 5.50%, 08/18/1997...... 1,150,000 1,141,567
Pfizer, Inc., 5.52%, 08/05/1997............... 1,234,000 1,227,377
Preferred Receivables Funding Corp.,
5.57%, 07/02/1997............................ 199,000 198,969
5.58%, 08/04/1997............................ 656,000 652,543
------------
4,896,521
FOREIGN GOVERNMENT AGENCIES -- 0.18%
Western Australian Treasury, 5.50%, 07/11/1997 146,000 145,777
MONEY MARKET FUNDS -- 0.00%
State Street Global Advisor Fund 5.29%, (b)... 878 878
U.S. GOVERNMENT AGENCIES -- 0.05%
Federal National Mortgage Association,
5.45%, 09/08/1997............................ 10,000 9,895
U.S. Treasury Bill, 4.90%, 08/21/1997......... 29,000 28,799
------------
38,694
------------
Total Short Term Investments
(cost $5,081,870).......................... 5,081,870
------------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $70,522,410)........................... $81,262,589
============
</TABLE>
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 1997.
See notes to the financial statements.
63
<PAGE> 64
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------------ ---------------
COMMON STOCKS -- 92.60%
- -----------------------
<S> <C> <C>
ARGENTINA -- 0.21%
- ------------------
OIL -- 0.20%
Perez Companc Class B............................ 18,903 $ 151,815
TELECOMMUNICATIONS -- 0.01%
Telecom Argentina................................ 1,630 8,510
---------------
Total Argentina................................. 160,325
AUSTRALIA -- 1.70%
- ------------------
BANKS -- 0.42%
Australia & New Zealand Bank Group Ltd........... 7,000 52,373
Commonwealth Installment Receipt Trustee Ltd..... 10,300 90,647
National Australia Bank.......................... 5,113 73,303
St. George Bank Ltd.............................. 8,000 53,265
Westpac Banking Corp............................. 8,000 48,187
---------------
317,775
BROADCASTING -- 0.23%
Publishing & Broadcasting Ltd.................... 13,000 74,963
News Corp........................................ 20,330 97,564
---------------
172,527
BUILDING & CONSTRUCTION -- 0.04%
Boral Ltd........................................ 9,000 28,363
ELECTRIC UTILITIES -- 0.14%
Australia Gas & Light Co., Ltd................... 18,237 107,504
FINANCIAL SERVICES -- 0.16%
Lend Lease Corp.................................. 2,365 50,046
Tab Corp. Holdings Ltd........................... 12,000 65,297
---------------
115,343
INSURANCE -- 0.03%
National Mutual Holdings, Ltd.................... 15,000 24,260
LIQUOR -- 0.09%
Fosters Brewing Group, Ltd....................... 34,000 63,211
METALS & MINING -- 0.09%
WMC, Ltd......................................... 10,000 63,105
OIL -- 0.46%
Broken Hill Proprietary Co....................... 11,843 218,552
Woodside Petroleum, Ltd.......................... 14,000 120,618
---------------
339,170
PUBLISHING -- 0.04%
Fairfax (John) Holdings, Ltd..................... 12,000 28,477
---------------
Total Australia................................. 1,259,735
<CAPTION>
SHARES MARKET VALUE
------------ ---------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
AUSTRIA -- 0.02%
- ----------------
BUSINESS SERVICES -- 0.01%
Flughafen Wien AG................................ 190 $ 8,026
ENERGY -- 0.01%
EVN-Energie Versorgung Niederoesterreich AG...... 60 7,730
---------------
Total Austria................................... 15,756
BELGIUM -- 1.12%
- ----------------
BANKS -- 0.98%
Credit Communal Dexia............................ 545 58,545
Generale de Banque............................... 356 137,037
Kredietbank...................................... 1,320 531,962
---------------
727,544
BASIC INDUSTRY -- 0.14%
UCB.............................................. 33 104,558
---------------
Total Belgium................................... 832,102
BRAZIL -- 0.21%
- ---------------
BASIC INDUSTRY -- 0.05%
White Martins SA................................. 11,320,000 33,122
BROADCASTING -- 0.10%
Telecommunicacoes Brasileiras SA................. 562,439 76,277
ELECTRONICS -- 0.03%
Sider Nacional................................... 706,000 23,281
ENERGY -- 0.03%
Centrais Electricas Brasileiras SA (a)........... 42,330 23,671
---------------
Total Brazil.................................... 156,351
CANADA -- 0.27%
- ---------------
BASIC INDUSTRY -- 0.19%
Alcon Aluminium.................................. 4,160 142,789
FINANCIAL COMPANIES -- 0.18%
Royal Bank of Canada, Montreal................... 1,310 59,431
---------------
Total Canada.................................... 202,220
CZECHOSLOVAKIA -- 0.02%
- -----------------------
TELECOMMUNICATION SERVICES -- 0.02%
SPT Telecommunications AS........................ 130 13,633
DENMARK -- 0.17%
- ----------------
BANKS -- 0.16%
Den Danske Bank.................................. 800 77,832
Unidanmark....................................... 670 37,638
---------------
115,470
</TABLE>
See notes to the financial statements.
64
<PAGE> 65
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------------ ---------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
DENMARK (CONTINUED)
- -------------------
TELECOMMUNICATIONS -- 0.01%
Tele Danmark Class B............................. 200 $ 10,392
---------------
Total Denmark................................... 125,862
FRANCE -- 8.08%
- ---------------
BANKS -- 0.26%
Dexia France..................................... 838 81,566
Societe Generale................................. 1,020 113,860
---------------
195,426
BROADCASTING -- 0.34%
Canal Plus....................................... 530 103,174
Societe Television Francaise 1................... 1,660 148,297
---------------
251,471
BUILDING & CONSTRUCTION -- 0.14%
GTM Entrepose.................................... 410 20,518
Lapeyre.......................................... 1,290 85,609
---------------
106,127
BUSINESS SERVICES -- 1.38%
Eaux (Cie Generale).............................. 7,750 993,032
Havas............................................ 400 28,826
---------------
1,021,858
CONGLOMERATES -- 0.02%
Chargeurs International.......................... 250 14,404
CONTAINERS & GLASS -- 0.33%
Compagnie de Saint Gobain........................ 1,650 240,620
DRUGS & HEALTH CARE -- 0.46%
L'Oreal.......................................... 162 68,255
Sanofi........................................... 2,779 272,381
---------------
340,636
ELECTRICAL EQUIPMENT -- 0.48%
Alcatel Alsthom.................................. 2,340 293,062
Legrand.......................................... 359 63,227
---------------
356,289
ELECTRONICS -- 0.35%
Schneider........................................ 4,916 261,665
GAS EXPLORATION -- 0.37%
Elf Aquitaine.................................... 2,530 272,946
INSURANCE -- 0.24%
AXA.............................................. 2,341 145,598
Assurances Generales de France................... 1,086 34,705
---------------
180,303
<CAPTION>
SHARES MARKET VALUE
------------ ---------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
FRANCE (CONTINUED)
- ------------------
LEISURE & RECREATION -- 0.67%
Accor............................................ 405 $ 60,646
Pathe (a)........................................ 370 73,412
Sodexho Alliance................................. 710 363,536
---------------
497,594
LIQUOR -- 0.67%
LVMH Luis Vuitton Moet-Hennessy.................. 1,835 493,355
OIL -- 0.83%
Primagaz (Cie Des Gaz Petrole)................... 755 66,806
Total Class B.................................... 5,437 549,556
---------------
616,362
PAPER -- 0.11%
Guilbert SA...................................... 598 84,662
RETAIL -- 1.37%
Carrefour Super Marche........................... 674 489,498
Pinault Printemps Redoute........................ 1,090 523,791
---------------
1,013,289
TRANSPORTATION -- 0.06%
Rexel............................................ 153 46,967
---------------
Total France.................................... 5,993,974
GERMANY -- 3.84%
- ----------------
AUTOMOBILES -- 0.20%
Buderus AG....................................... 78 42,933
Volkswagen AG.................................... 140 107,322
---------------
150,255
BANKS -- 0.56%
Bayerische Hypotheken - und Wechsel Gank AG...... 3,778 112,965
Commerzbank AG................................... 2,210 62,596
Deutsche Bank AG................................. 4,136 241,648
---------------
417,209
BASIC INDUSTRY -- 0.51%
Bayer AG......................................... 8,074 310,257
Hoechst AG....................................... 1,640 69,564
---------------
378,821
BUILDING & CONSTRUCTION -- 0.09%
Bilfinger & Berger Bau AG........................ 1,100 44,780
Hornback Baumarkt AG............................. 200 8,428
Praktiker Bau - und Heimwerkemaekte AG........... 629 11,180
---------------
64,388
DRUGS & HEALTH CARE -- 0.94%
Gehe AG.......................................... 7,164 488,800
Rhon Klinikum AG................................. 1,230 162,204
Schering AG...................................... 434 46,371
---------------
697,375
</TABLE>
See notes to the financial statements.
65
<PAGE> 66
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------------ -----------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
GERMANY (CONTINUED)
- -------------------
ELECTRIC UTILITIES -- 0.51%
Veba AG.......................................... 6,775 $ 380,684
INDUSTRIAL MACHINERY -- 0.24%
Mannesmann AG.................................... 238 106,030
Siemens AG....................................... 1,212 71,958
-----------
177,988
INSURANCE -- 0.35%
Allianz Holdings AG............................. 1,240 259,504
SOFTWARE -- 0.23%
SAP AG.......................................... 850 170,575
TELECOMMUNICATIONS -- 0.21%
Deutsche Telekom................................. 6,320 152,193
-----------
Total Germany.................................. 2,849,992
HONG KONG -- 3.43%
- ------------------
APPAREL & TEXTILES -- 0.03%
Yizheng Chemical Fiber Co., Ltd.................. 144,000 25,650
CONGLOMERATES -- 1.36%
First Pacific Co. ............................... 149,315 190,804
Hutchinson Whampoa, Ltd.......................... 55,000 475,650
Swire Pacific.................................... 38,000 342,119
-----------
1,008,573
ELECTRIC UTILITIES -- 0.10%
China Light & Power.............................. 13,000 73,664
FINANCE SERVICES -- 0.53%
Dao Heng Bank Group, Ltd......................... 31,000 169,659
Guoco Group, Inc. ............................... 43,000 226,453
-----------
396,112
OIL -- 0.06%
Shanghai Petrochemical Co., Ltd. Class H.......... 180,000 43,215
REAL ESTATE -- 1.17%
New World Development Co., Ltd.................... 87,034 519,016
Wharf Holdings.................................... 81,000 351,297
-----------
870,313
TRANSPORTATION -- 0.18%
Cathay Pacific Air................................ 63,000 130,517
-----------
Total Hong Kong................................. 2,548,044
ITALY -- 2.18%
- --------------
BANKS -- 0.36%
Banca Commerciale Italiana........................ 14,000 28,996
<CAPTION>
MARKET
SHARES VALUE
------------ --------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
ITALY (CONTINUED)
- -----------------
BANKS (CONTINUED)
Banca Fideuram................................... 21,040 $ 68,769
Credito Italiano................................. 90,833 166,213
-----------
263,978
FINANCIAL COMPANIES -- 0.25%
IMI Spa.......................................... 10,040 90,383
Mediolanum....................................... 8,108 91,453
-----------
181,836
GAS EXPLORATION -- 0.40%
Ente Nazionale Idrocarburi Spa (ENI)............. 52,818 299,119
GAS & PIPELINE UTILITIES -- 0.04%
Ital Gas (Societa Italiana II Gas) Spa........... 10,000 32,361
PUBLISHING -- 0.02%
Seat SPA RNC (a)................................. 13,000 2,715
Seat SPA (a)..................................... 38,000 12,252
----------
14,967
RETAIL -- 0.02%
La Rinascente.................................... 3,000 16,672
TELECOMMUNICATIONS -- 1.09%
Stet Societa' Finanziaria Telefonica............. 51,000 297,075
Telecom Italia Mobile............................ 10,797 19,312
Telecom Italia Mobile............................ 112,601 364,389
Telecom Italia SPA............................... 42,979 128,717
----------
809,493
----------
Total Italy.................................... 1,618,426
JAPAN -- 22.66%
- ---------------
AUTOMOBILES -- 0.08%
Honda Motor Co................................. 2,000 60,199
AUTOMOBILE PARTS -- 0.90%
Denso Corp..................................... 28,000 669,342
BUILDING & CONSTRUCTION -- 0.91%
Daiwa House Industry Co.......................... 24,000 293,142
Inax Corp........................................ 5,000 37,428
Kumagai Gumi..................................... 10,000 16,664
National House Industrial........................ 3,000 39,522
Nippon Hodo...................................... 3,000 25,938
Sekisui House.................................... 14,000 141,686
Sumitomo Forestry Co., Ltd....................... 11,000 120,921
----------
675,301
BUSINESS SERVICES -- 0.65%
Kokuyo Co........................................ 9,000 243,413
Toppan Printing Co............................... 15,000 235,561
----------
478,974
</TABLE>
See notes to the financial statements.
66
<PAGE> 67
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------- ------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
JAPAN (CONTINUED)
- -----------------
CHEMICALS -- 1.41%
Kuraray Co....................................... 16,000 $ 159,134
Mitsui Petrochemical Industries.................. 5,000 24,080
Sekisui Chemical Co., Ltd........................ 25,000 253,010
Shin-Etsu Chemical Co............................ 15,000 397,836
Teijin........................................... 45,000 212,005
-------------
1,046,065
CONSUMER PRODUCTS -- 0.28%
Kao Corp......................................... 15,000 208,079
DRUGS & HEALTH CARE -- 1.45%
Daiichi Pharmecutical Co......................... 19,000 334,846
Sankyo Co........................................ 20,000 671,785
Shiseido Co...................................... 4,000 65,957
-------------
1,072,588
ELECTRICAL EQUIPMENT -- 2.80%
Hitachi, Ltd..................................... 31,000 346,187
Makita Corp...................................... 13,000 190,543
NEC Corp......................................... 56,000 781,713
Sumitomo Electric Industires, Ltd................ 44,000 737,044
Yurtec Corp...................................... 2,100 24,367
-------------
2,079,854
ELECTRONICS -- 3.13%
Advantest........................................ 1,210 92,898
Alps Electric Co................................. 6,000 83,755
Dai Nippon Screen Manufacturing.................. 14,000 131,914
Fanuc Co., Ltd................................... 3,900 149,712
Kyocera Corp..................................... 10,000 793,928
Murata Manufacturing Co., Ltd.................... 10,000 397,836
TDK Corp......................................... 7,000 513,610
Tokyo Electron, Ltd.............................. 3,300 157,774
-------------
2,321,427
FINANCIAL COMPANIES -- 0.48%
Nomura Securities Co., Ltd....................... 26,000 358,402
HOUSEHOLD APPLIANCES -- 2.56%
Matsushita Electric Industrial Co................ 30,000 604,606
Pioneer Electronic Corp.......................... 11,000 266,795
Sangetsu Co...................................... 1,000 21,288
Sharp Corp....................................... 26,000 358,402
Sony Corp........................................ 7,400 644,966
--------------
1,896,057
INDUSTRIAL MACHINERY -- 1.82%
Amada Co., Ltd................................... 16,000 140,988
Daifuku Co. Ltd.................................. 2,000 26,348
Hitachi Zosen Corp............................... 24,000 95,481
Ishihara Sangyo Kaisha (a)....................... 6,000 17,746
Komatsu, Ltd..................................... 24,000 194,730
Komori Corp...................................... 8,000 189,845
Mitsubishi Heavy Industires, Ltd................. 89,000 682,525
-------------
1,347,663
<CAPTION>
MARKET
SHARES VALUE
------ ------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
JAPAN (CONTINUED)
- -----------------
INSURANCE -- 0.01%
Tokio Marine & Fire Insurance Co................. 6,000 $ 78,520
LEISURE & RECREATION -- 0.09%
Sega Enterprises................................. 2,000 66,306
PAPER -- 0.04%
Mitsubishi Paper Mills, Ltd...................... 8,000 31,269
PHOTOGRAPHY -- 1.17%
Canon, Inc....................................... 32,000 871,052
REAL ESTATE -- 0.85%
Mitsui Fudosan Co................................ 46,000 634,095
RETAIL -- 2.33%
Citizen Watch Co................................. 7,000 53,987
Ito-Yokado Co.................................... 7,000 406,125
Marui Co., Ltd................................... 19,000 353,080
Mitsubishi Corp.................................. 16,000 199,616
Seven Eleven Japan Co., Ltd...................... 3,000 226,662
Sumitomo Corp.................................... 35,000 332,839
UNY Co........................................... 8,000 156,343
-------------
1,729,652
STEEL -- 0.59%
Kawada Industries................................ 1,000 4,484
Nippon Steel Corp................................ 114,000 364,020
Tokyo Steel Manufacturing........................ 6,000 67,004
-------------
435,508
TELECOMMUNICATIONS -- 0.68%
DDI Corp......................................... 36 265,713
Nippon Telephone & Telegraph Corp................ 25 239,923
-------------
505,636
TRANSPORTATION -- 0.33%
East Japan Railway............................... 47 241,110
-------------
Total Japan.................................... 16,806,099
MALAYSIA -- 1.75%
- -----------------
CONGLOMERATES -- 0.33%
Multi Purpose Holding Berhad..................... 53,000 74,335
Renong Berhad.................................... 130,000 169,968
--------------
244,303
ELECTRICAL EQUIPMENT -- 0.05%
Technology Resources Industries Berhad (a)....... 23,000 39,548
FINANCIAL COMPANIES -- 0.24%
Affin Holdings Berhad............................ 30,000 71,316
Commerce Asset Holdings Berhad................... 40,000 105,388
--------------
176,704
</TABLE>
See notes to the financial statements.
67
<PAGE> 68
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
MALAYSIA (CONTINUED)
INDUSTRIAL MACHINERY -- 0.57%
Time Engineering Berhad.......................... 23,000 $ 34,810
United Engineers Berhad.......................... 54,000 389,382
-----------
424,192
LEISURE & RECREATION -- 0.32%
Berjaya Sports Toto Berhad....................... 37,000 174,445
Resorts World Berhad............................. 21,000 63,232
-----------
237,678
MINING -- 0.24%
Tanjong.......................................... 51,000 175,792
-----------
Total Malaysia................................... 1,298,217
MEXICO -- 0.50%
BANKS -- 0.06%
Grupo Financiero Bancomer Series B (a)........... 14,288 36,675
Grupo Financiero Bancomer Series L............... 465 1,100
-----------
37,775
BASIC INDUSTRY -- 0.10%
Cemex SA......................................... 12,063 52,365
Cemex SA Class B................................. 4,950 24,104
-----------
76,469
FOOD & BEVERAGES -- 0.11%
Fomento Economico Mexicano Class A............... 4,629 27,550
Gruma SA de CV Series B.......................... 11,762 54,759
-----------
82,309
HOUSEHOLD PRODUCTS -- 0.11%
Kimberly Clark Mexicano Class A.................. 20,211 81,378
INDUSTRIAL MACHINERY -- 0.04%
Grupo Industrial Maseca SA De Cv Class B......... 28,800 31,527
LIQUOR -- 0.08%
Grupo Modelo SA Class C.......................... 8,844 61,315
-----------
Total Mexico................................... 370,773
NETHERLANDS -- 9.72%
BANKS -- 0.44%
ABN Amro Holdings NV............................. 17,500 326,303
CHEMICALS -- 0.08%
Akzo Nobel NV.................................... 458 62,765
CONGLOMERATES -- 0.07%
Koninkliijke Pitt Nederland NV................... 1,407 55,193
CONSUMER PRODUCTS -- 0.09%
Hagemeyer NV..................................... 1,252 64,676
<CAPTION>
SHARES MARKET VALUE
------ ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
NETHERLANDS (CONTINUED)
ELECTRICAL EQUIPMENT -- 0.01%
Otra NV.......................................... 670 $ 10,752
FINANCIAL COMPANIES -- 1.35%
Fortis AMEV NV................................... 5,125 228,196
Internationale Nederlanden Groep NV.............. 16,810 775,029
-----------
1,003,225
FOOD & BEVERAGES -- 0.55%
CSM NV........................................... 5,676 284,537
Koninklijke Nutricia Verenigde Bedrijven NV...... 770 121,606
-----------
406,143
HOUSEHOLD PRODUCTS -- 0.69%
Unilever NV...................................... 2,430 511,527
LEISURE & RECREATION -- 0.67%
Polygram NV...................................... 9,407 493,617
OIL -- 2.38%
Royal Dutch Petroleum Co. NV..................... 33,960 1,766,425
PUBLISHING -- 2.90%
Elsevier NV...................................... 53,329 891,126
Wolters Kluwer NV................................ 10,324 1,257,036
-----------
2,148,162
RETAIL -- 0.49%
Koninklijke Ahold NV............................. 4,309 363,529
-----------
Total Netherlands.............................. 7,212,317
NEW ZEALAND -- 0.46%
BUILDING CONSTRUCTION -- 0.17%
Fletcher Challange Building (a).................. 22,050 66,350
Fletcher Challange Forest Division............... 41,365 60,128
-----------
126,478
ENERGY -- 0.01%
Fletcher Challange Energy........................ 1,750 5,290
PAPER -- 0.07%
Carter Holt Harvey............................... 9,400 24,326
Fletcher Challange Paper (a)..................... 10,500 25,462
-----------
49,788
TELECOMMUNICATIONS -- 0.09%
Telecom Corp. of New Zealand, Ltd................ 14,000 71,321
TRANSPORTATION -- 0.12%
Air New Zealand.................................. 20,909 63,911
Tranz Rail Holdings.............................. 4,000 22,823
-----------
86,734
-----------
Total New Zealand.............................. 339,611
</TABLE>
See notes to the financial statements.
68
<PAGE> 69
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------------ ---------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
NORWAY -- 1.61%
- ---------------
CONGLOMERATES -- 0.67%
Orkla AS......................................... 6,740 $ 497,509
ENERGY -- 0.92%
Norsk Hydro AS................................... 12,140 660,899
Saga Petroleum AS Class B........................ 1,190 20,782
---------------
681,681
TRANSPORTATION -- 0.02%
Bergesen D-Y AS.................................. 650 15,387
---------------
Total Norway.................................... 1,194,577
PHILLIPINES -- 0.24%
- --------------------
BANKS -- 0.13%
Philippine National Bank......................... 13,612 92,378
TELECOMMUNICATIONS -- 0.11%
Philippine Long Distance Telephone Co............ 2,600 84,281
---------------
Total Philippines............................... 176,659
PORTUGAL -- 0.38%
- -----------------
RETAIL -- 0.38%
Jeronimo Martins SGPS............................ 3,999 279,346
SINGAPORE -- 1.81%
- ------------------
BANKS -- 0.86%
Development Bank of Singapore.................... 6,000 75,540
Overseas Chinese Bank............................ 4,800 49,689
Overseas Union Bank.............................. 33,000 205,428
United Overseas Bank............................. 30,000 308,456
---------------
639,113
CONGLOMERATES -- 0.02%
United Industrial Corp........................... 22,000 16,619
FOOD & BEVERAGES -- 0.11%
Fraser & Neave................................... 11,400 81,332
INDUSTRIAL MACHINERY -- 0.02%
Keppel Corp...................................... 2,000 8,883
Keppel Corp. Class A............................. 500 2,168
---------------
11,051
PUBLISHING -- 0.34%
Singapore Press Holdings, Ltd.................... 12,400 249,787
REAL ESTATE -- 0.46%
City Developments................................ 8,000 78,338
DBS Land......................................... 23,000 72,714
Singapore Land................................... 31,000 140,939
Wing Tai Holdings................................ 18,000 51,871
---------------
343,862
---------------
Total Singapore................................. 1,341,764
<CAPTION>
COMMON STOCKS (CONTINUED)
- -------------------------
SHARES MARKET VALUE
------------ ---------------
<S> <C> <C>
SOUTH KOREA -- 0.48%
- --------------------
BANKS -- 0.09%
Kook Min Bank.................................... 2,202 $ 31,493
Shinhan Bank..................................... 2,840 35,180
---------------
66,673
ELECTRICAL EQUIPMENT -- 0.17%
Samsung Electronics.............................. 1,600 127,027
ELECTRIC UTILITIES -- 0.15%
Korea Electric Power Corp........................ 3,600 107,432
STEEL -- 0.07%
Pohang Iron & Steel.............................. 700 50,135
---------------
Total South Korea............................... 351,267
SPAIN -- 2.03%
- --------------
BANKS -- 0.79%
Argentaria Corp. SA.............................. 1,205 67,467
Banco Bilbao Vizcaya SA.......................... 910 73,924
Banco Popular Espanol SA......................... 614 150,427
Banco Santander SA............................... 9,642 297,080
---------------
588,898
OIL -- 0.16%
Respol SA........................................ 2,882 121,852
RETAIL -- 0.05%
Centros Comerciales Pryca SA..................... 1,524 32,993
TELECOMMUNICATIONS -- 0.32%
Telefonica de Espana SA.......................... 8,191 236,808
UTILITIES -- 0.71%
Aguas de Barcelona SA............................ 9 363
Empressa Nacional de Electricid SA............... 2,292 192,413
Gas Natural SDG SA............................... 738 161,223
Iberdrola SA..................................... 13,608 171,774
---------------
525,773
---------------
Total Spain..................................... 1,506,324
SWEDEN -- 2.59%
- ---------------
BANKS -- 0.13%
Nordbanken AB.................................... 2,910 98,185
BUSINESS SERVICES -- 0.02%
Esselte AB Class B............................... 560 13,175
CONSTRUCTION & MINING EQUIPMENT -- 0.32%
ABB AB........................................... 8,300 116,418
Atlas Copco AB................................... 4,770 124,561
---------------
240,979
DRUGS & HEALTH CARE -- 0.95%
Astra AB......................................... 39,893 703,949
</TABLE>
See notes to the financial statements.
69
<PAGE> 70
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------------ ---------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
SWEDEN (CONTINUED)
- ------------------
HOUSEHOLD APPLIANCES -- 0.39%
Electrolux AB.................................... 3,980 $ 287,097
METALS & MINING -- 0.32%
Granges AB....................................... 1,990 26,369
Sandvik AB Class A............................... 560 15,890
Sandvik AB Class B............................... 6,830 193,806
---------------
236,065
OFFICE FURNITURE & SUPPLIES -- 0.01%
Scribona AB...................................... 750 8,726
RETAIL -- 0.45%
Hennes & Mauritz AB Class B...................... 9,500 334,044
---------------
Total Sweden.................................... 1,922,220
SWITZERLAND -- 5.98%
- --------------------
BANKS -- 0.41%
Credit Suisse Group AG........................... 850 109,161
Schweizerischer Bankverein AG.................... 720 192,575
---------------
301,736
BUSINESS SERVICES -- 0.56%
Adecco SA (a).................................... 1,073 411,562
CHEMICALS -- 0.07%
Ciba Specialty Chemicals AG (a).................. 543 50,209
DRUGS & HEALTH CARE -- 3.10%
Novartis AG...................................... 873 1,395,604
Roche Holdings AG................................ 100 904,452
---------------
2,300,056
ELECTRICAL EQUIPMENT -- 0.83%
ABB AG........................................... 407 616,075
FOOD & BEVERAGES -- 1.01%
Nestle SA........................................ 570 751,932
---------------
Total Switzerland............................... 4,431,570
THAILAND -- 0.11%
- -----------------
BANKS -- 0.04%
Bangkok Bank Ltd................................. 4,700 32,295
BUILDING & CONSTRUCTION -- 0.05%
Siam Cement Public Co............................ 1,900 32,858
BUSINESS SERVICES -- 0.02%
Advanced Information Service Public Co., Ltd..... 2,540 16,865
---------------
Total Thailand.................................. 82,018
<CAPTION>
SHARES MARKET VALUE
------------ ---------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED KINGDOM -- 15.57%
- ------------------------
APPAREL & TEXTILES -- 0.03%
Coats Viyella PLC................................ 12,000 $ 25,179
AUTOMOBILES -- 0.04%
Rolls-Royce PLC.................................. 7,000 26,695
BANKS -- 2.16%
Abbey National PLC............................... 24,000 327,731
National Westminster Bank PLC.................... 95,000 1,277,494
---------------
1,605,225
BUILDING & CONSTRUCTION -- 0.07%
Laing (John) PLC................................. 7,000 43,481
Heywood Williams Group PLC....................... 3,000 10,242
---------------
53,723
CONGLOMERATES -- 1.41%
Grand Metropolitan PLC........................... 64,000 616,028
Tomkins PLC...................................... 98,000 424,319
---------------
1,040,347
CONTAINERS & GLASS -- 0.17%
Caradon PLC...................................... 37,800 126,526
DRUGS & HEALTH CARE -- 3.04%
Glaxo Wellcome PLC............................... 37,000 765,581
SmithKline Beecham PLC........................... 80,700 1,485,679
---------------
2,251,260
ELECTRONICS -- 0.15%
Electrocomponents PLC............................ 15,000 111,658
FOOD & BEVERAGES -- 1.07%
Cadbury Schweppes PLC............................ 33,000 294,558
Guinness PLC..................................... 48,000 470,015
Hillsdown Holdings PLC........................... 11,000 31,050
---------------
795,623
GAS & PIPELINE UTILITIES -- 0.07%
British Gas PLC.................................. 14,000 51,291
HOTELS & RESTAURANTS -- 0.13%
Ladbroke Group PLC............................... 24,000 94,323
INDUSTRIAL MACHINERY -- 0.15%
GKN PLC.......................................... 2,000 34,305
T&N PLC.......................................... 31,000 73,823
---------------
108,128
LEISURE & RECREATION -- 0.50%
Compass Group PLC................................ 19,000 212,626
Rank Group PLC................................... 25,000 158,412
---------------
371,038
MINING -- 0.54%
Rio Tinto........................................ 23,000 400,830
</TABLE>
See notes to the financial statements.
70
<PAGE> 71
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------------ -----------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
- --------------------------
OIL -- 1.55%
British Petroleum PLC............................ 21,000 $ 261,236
Shell Transport & Trading Co..................... 130,500 891,019
-----------
1,152,255
PAPER -- 0.11%
David S. Smith Holdings.......................... 25,000 78,269
PUBLISHING -- 1.86%
Reed International PLC........................... 96,000 927,240
United Newspapers & Media PLC.................... 39,000 452,354
-----------
1,379,594
RETAIL -- 1.91%
Argos PLC........................................ 23,200 210,561
ASDA Group....................................... 84,000 173,458
Kingfisher PLC................................... 55,000 624,654
Safeway PLC...................................... 37,000 214,116
Sears Holdings PLC............................... 8,000 9,059
Tesco PLC........................................ 30,000 185,348
-----------
1,417,196
TELECOMMUNICATION SERVICES -- 0.59%
Cable & Wireless PLC............................. 48,000 439,639
UTILITIES -- 0.02%
Centrica PLC..................................... 14,000 17,019
-----------
Total United Kingdom............................. 11,545,818
UNITED STATES -- 5.46%
- ----------------------
APPAREL & TEXTILES -- 0.13%
Gucci Group NV N.Y............................... 1,553 99,974
BANKS -- 0.18%
Banco de Galicia Buenos Aires Class B ADR........ 1,571 41,699
Banco Frances del Rio La Plata ADR............... 2,147 69,778
Banco Latinoamericano de Exportaciones SA ADR.... 477 20,571
-----------
132,048
BROADCASTING -- 0.02%
Grupo Television SA de CV ADR.................... 531 16,129
BUILDING & CONSTRUCTION -- 0.16%
Cemex SA ADR..................................... 13,410 116,322
CONTAINERS & GLASS -- 0.02%
Compania Cervecerias Unidas ADR.................. 530 11,627
ELECTRIC UTILITIES -- 0.78%
Centrais Electricas Brasileiras ADR.............. 5,000 139,799
Chilectra SA ADR................................. 1,400 40,293
Chilenger SA ADR................................. 604 16,912
Companhia Energetica De Minas Gerais ADR......... 2,595 130,648
Empresa Nacional Electricidad ADR................ 3,254 73,418
<CAPTION>
MARKET
SHARES VALUE
------------ ----------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
ELECTRIC UTILITIES (CONTINUED)
- ------------------------------
Enersis SA ADR................................... 1,180 $ 41,964
Huaneng Power International, Inc. ADR (a)........ 5,400 137,700
-----------
580,734
ELECTRONICS -- 0.13%
Samsung Electronics Ltd. (144a).................. 1,674 97,092
FINANCIAL SERVICES -- 0.26%
Administradora de Fondas de Pensiones
Provida ADR...................................... 178 3,894
Chile Fund, Inc.................................. 1,320 34,485
Cifra SA de CV ADR............................... 72,603 133,248
Creditcorp Ltd................................... 1,080 23,760
Korea Fund, Inc.................................. 70 1,032
-----------
196,419
FOOD & BEVERAGES -- 0.40%
Gruma SA de CV ADR (144a) (a).................... 3,057 56,876
Panamerican Beverages, Inc. Class A.............. 4,840 159,115
-----------
293,770
GAS EXPLORATION -- 0.03%
Companhia Energetica de Sao Paulo ADR (144a)..... 1,050 21,067
GAS & PIPELINE UTILITIES -- 0.01%
Transportadora de Gas del Sur ADR................ 600 7,500
HOUSEHOLD APPLIANCES -- 0.06%
Industrie Natuzzi SPA ADR........................ 1,810 46,381
OIL & GAS -- 0.17%
YPF Sociedad Anonima ADR......................... 4,166 128,105
REAL ESTATE -- 0.40%
Hong Kong Land Holdings.......................... 105,908 281,715
Sociedad Comercial del Plata ADR (144a) (a)...... 500 16,702
-----------
298,417
RETAIL -- 0.04%
Santa Isabel SA ADR.............................. 959 30,928
SOFTWARE -- 0.12%
Baan Co. (a)..................................... 1,250 86,094
TELECOMMUNICATIONS -- 2.55%
Compania Anonima Nacional Telefonos de Venezuela
ADR (a)........................................ 960 41,400
Compania De Telecomunicaciones de Chile ADR...... 2,195 72,435
Telecom Argentina Stet France ADR................ 180 9,450
Telecomunicacoes Brasileiras ADR................. 8,422 1,278,038
Telefonica de Argentina ADR...................... 3,640 126,035
Telefonica del Peru ADR.......................... 1,717 44,964
Telefonos de Mexico ADR.......................... 6,615 315,866
-----------
1,888,188
-----------
</TABLE>
See notes to the financial statements.
71
<PAGE> 72
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------------ ---------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
Total United States.............................. $ 4,050,795
---------------
Total Common Stocks
(cost $58,095,508)............................. 68,685,795
---------------
RIGHTS & WARRANTS -- 0.01%
- --------------------------
BELGIUM -- 0.00%
- ----------------
BANKS -- 0.00%
Generale De Banque (a)........................... 26 12
BRAZIL -- 0.00%
- ---------------
BANKS -- 0.00%
Uniiao de Bancos Brasileiros SA (a).............. 153,825 0
MALAYSIA -- 0.00%
- -----------------
FINANCIAL SERVICES -- 0.00%
Commerce Asset Holdings.......................... 8,000 285
Commerce Asset Holdings.......................... 5,000 773
---------------
1,058
SINGAPORE -- 0.01%
- ------------------
BANKS -- 0.01%
Overseas Union Bank.............................. 6,600 8,817
SOUTH KOREA -- 0.00%
- --------------------
ELECTRONICS -- 0.00%
Samsung Electronics.............................. 1,600 743
---------------
Total Rights & Warrants
(cost $13,926)................................
10,630
---------------
PREFERRED STOCK -- 2.61%
- ------------------------
AUSTRALIA -- 0.07%
- ------------------
Sydney Harbor Casino Holdings (a)................. 31,000 48,731
BRAZIL -- 1.82%
- ---------------
Banco BradescoSA................................. 10,019,953 100,986
Banco Itau SA.................................... 46,000 25,766
Brasmotor SA..................................... 82,150 18,314
Companhia Cervejaria Brahma...................... 181,043 137,899
Companhia Cimento Partland Itau.................. 73,000 25,090
Companhia de Tecidos Norte de Mina............... 55,000 21,457
Companhia Energetica de Minas Gerais............. 3,311,597 170,725
Lojas Americanas................................. 815,665 11,062
Petrol Brasileiros SA............................ 550,745 152,969
Telecommunicacoes Brasileiras SA................. 1,751,910 265,744
Telecommunicacoes de Rio de Janiero SA........... 165,546 25,527
Telecommunicacoes de Minas Gerais................ 159,959 25,305
<CAPTION>
SHARES MARKET VALUE
------------ ---------------
PREFERRED STOCKS (CONTINUED)
- ----------------------------
<S> <C> <C>
BRAZIL (CONTINUED)
- ------------------
Telecommunicacoes de Sao Paulo................... 712,142 $ 232,519
Uniiao de Bancos Brasileiros SA.................. 3,055,333 112,075
Usinas Siderurgicas de Minas Gerais ADR.......... 2,288 25,487
---------------
Total Brazil................................... 1,353,925
FINLAND -- 0.24%
- ----------------
Nokia AB Series A................................ 2,350 175,546
GERMANY -- 0.24%
- ----------------
Fielmann AG...................................... 336 10,076
Hornbach Holdings AG............................. 510 43,277
Krones AG........................................ 70 28,576
Sap AG........................................... 467 96,929
---------------
Total Germany.................................. 178,858
UNITED STATES -- 0.24%
- ----------------------
Usinas Siderurgicas de Minas Gerais ADR........... 16,320 177,895
---------------
Total Preferred Stocks
(cost $1,510,853)............................. 1,934,955
---------------
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
CORPORATE BONDS -- 0.04%
- ------------------------
MALAYSIA -- 0.04%
- -----------------
CAPITAL GOODS -- 0.04%
Multi Purpose Holdings
3.00%, 11/13/2001............................... $ 86,000 28,962
Renong Berhard
4.00%, 05/22/2001............................... 3,288 2,599
---------------
Total Corporate Bonds
(cost $37,374)................................ 31,561
---------------
SHORT TERM INVESTMENTS -- 4.74%
- -------------------------------
MONEY MARKET FUNDS -- 4.74%
State Street Global Advisor Money Market Fund
5.29% (b)....................................... 1,332,327 1,332,327
State Street Global Advisor Government Fund
5.16% (b) (b)................................... 2,184,886 2,184,886
---------------
Total Short Term Investments
(cost $3,517,213)............................. 3,517,213
---------------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $63,174,874)............................... $ 74,180,154
===============
</TABLE>
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 1997.
See notes to the financial statements.
72
<PAGE> 73
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1996
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
COMMON STOCKS -- 89.79%
- -----------------------
<S> <C> <C>
AEROSPACE & AIRCRAFT -- 2.70%
BE Aerospace, Inc. (a)......................... 45,000 $ 1,423,125
OEA, Inc....................................... 27,000 1,066,500
-----------
2,489,625
APPAREL & TEXTILES -- 1.93%
Warnaco Group, Inc............................. 56,000 1,785,000
AUTOMOBILES & PARTS -- 1.76%
Danaher Corp................................... 32,000 1,626,000
BROADCASTING -- 1.64%
Comcast Corp................................... 44,000 940,500
Jacor Communications, Inc. (a)................. 15,000 573,750
-----------
1,514,250
BUILDING & CONSTRUCTION -- 0.64%
Fastenal Co.................................... 12,000 588,000
BUSINESS SERVICES -- 11.10%
Accustaff, Inc. (a)............................ 36,000 852,750
ADVO, Ltd...................................... 16,000 260,000
Catalina Marketing Corp. (a)................... 26,500 1,275,312
CUC International, Inc. (a).................... 38,400 991,200
Gartner Group, Inc. (a) 39,000 39,000 1,401,562
Gymboree Corp. (a)............................. 44,000 1,056,000
Interim Services, Inc. (a)..................... 34,000 1,513,000
National Data Corp............................. 22,000 952,875
Outdoor Systems, Inc. (a)...................... 24,300 929,475
Sungard Data Systems, Inc. (a)................. 22,000 1,023,000
-----------
10,255,174
CHEMICALS -- 1.47%
Great Lakes Chemical Corp...................... 26,000 1,361,750
COMPUTERS & BUSINESS EQUIPMENT -- 4.29%
Affiliated Computer Services, Inc. (a)......... 36,000 1,008,000
BDM International, Inc. (a).................... 37,000 851,000
Checkfree Corp. (a)............................ 31,000 546,375
DST Systems, Inc. (a).......................... 30,700 1,022,694
Network General Corp. (a)...................... 36,000 535,500
-----------
3,963,569
DRUGS & HEALTH CARE -- 11.65%
Apria Healthcare Group, Inc. (a)............... 9,100 161,525
Biogen, Inc. (a)............................... 27,000 914,625
Cardinal Health, Inc........................... 15,000 858,750
Covance, Inc. (a).............................. 56,000 1,081,500
General Nutrition Cos., Inc. (a)............... 47,000 1,316,000
Gilead Sciences, Inc. (a)...................... 34,000 939,250
Polymer Group, Inc. (a)........................ 21,000 338,625
Quest Diagnostics, Inc. (a).................... 51,000 1,048,688
Quorum Health Group, Inc. (a).................. 33,000 1,179,750
St. Jude Medical, Inc.......................... 25,000 975,000
Sybron International Corp. (a)................. 35,000 1,395,625
US Surgical Corp............................... 14,800 551,300
-----------
10,760,638
<CAPTION>
SHARES MARKET VALUE
------ ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
ELECTRICAL EQUIPMENT -- 0.47%
Anixter International, Inc. (a)................ 25,000 $ 429,687
ELECTRONICS -- 3.88%
Analog Devices, Inc. (a)....................... 28,000 743,750
Maxim Integrated Products, Inc. (a)............ 15,000 853,125
Teleflex, Inc.................................. 40,000 1,250,000
Xilinx, Inc. (a)............................... 15,000 735,938
-----------
3,582,813
FINANCIAL SERVICES -- 4.82%
Corporate Express, Inc. (a).................... 66,000 952,875
Fairfax Financial Holdings, Ltd................ 3,300 955,864
Mercury Finance Co. (a)........................ 33,000 80,437
Money Store, Inc............................... 41,000 1,176,188
Partner Re, Ltd. 34,000 34,000 1,296,250
-----------
4,461,614
FOOD & BEVERAGES -- 2.32%
JP Foodservice, Inc............................ 46,000 1,319,625
Outback Steakhouse, Inc. (a)................... 34,000 822,375
-----------
2,142,000
FUNERAL SERVICES -- 1.23%
Stewart Enterprises............................ 27,000 1,134,000
GAS & PIPELINE UTILITIES -- 1.37%
Cooper Cameron Corp. (a)....................... 27,000 1,262,250
GAS EXPLORATION -- 1.07%
Weatherford Enterra, Inc. (a).................. 25,600 985,600
GOLD -- 2.50%
Battle Mountain Gold Co........................ 141,000 801,937
Cambior, Inc................................... 68,000 769,250
TVX Gold, Inc.................................. 139,000 738,438
-----------
2,309,625
HOTELS & RESTAURANTS -- 2.73%
Boston Chicken, Inc............................ 34,100 477,400
Hospitality Franchise Systems, Inc. (a)........ 13,000 754,000
La Quinta Inns, Inc............................ 59,000 1,290,625
-----------
2,522,025
INDUSTRIAL MACHINERY -- 1.80%
Trimas Corp.................................... 59,000 1,659,375
INSURANCE -- 3.95%
Ace Ltd........................................ 25,000 1,846,875
Nationwide Financial Services, Inc............. 35,000 929,687
PMI Group, Inc................................. 14,000 873,250
-----------
3,649,812
INVESTMENT COMPANIES -- 1.57%
Franklin Resources, Inc. ...................... 20,000 1,451,250
</TABLE>
See notes to the financial statements.
73
<PAGE> 74
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<Caption
SHARES MARKET VALUE
------ ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
LEISURE TIME -- 1.15%
Royal Carribean Cruises, Ltd................... 30,500 $ 1,065,594
OFFICE FURNISHINGS & SUPPLIES -- 2.06%
American Pad & Paper Co. (a)................... 42,000 708,750
Ikon Office Solutions, Inc..................... 48,000 1,197,000
-----------
1,905,750
PETROLEUM SERVICES -- 4.12%
Camco International, Inc....................... 27,000 1,478,250
Smith International, Inc. (a).................. 25,000 1,518,750
United Meridian Corp. (a)...................... 27,000 810,000
-----------
3,807,000
POLLUTION CONTROL -- 2.06%
Culligan Water Technologies, Inc. (a).......... 9,200 411,700
Republic Industries, Inc....................... 21,000 522,375
USA Waste Services, Inc. (a)................... 25,000 965,625
-----------
1,899,700
RETAIL -- 7.49%
Circuit City Stores, Inc....................... 32,000 1,138,000
Costco Cos., Inc. (a).......................... 29,000 953,375
Kohls Corp. (a)................................ 18,000 952,875
MSC Industrial Direct, Inc..................... 23,800 954,975
Richfood Holdings, Inc......................... 39,000 1,014,000
Shopko Stores, Inc............................. 32,000 816,000
Waban, Inc..................................... 34,000 1,094,375
-----------
6,923,600
SOFTWARE -- 3.54%
BMC Software, Inc. (a)......................... 19,000 1,052,125
Intuit, Inc. (a)............................... 16,000 367,000
Platinum Technology, Inc. (a).................. 31,000 410,750
Sterling Communications, Inc. (a).............. 17,000 558,875
Synopsys, Inc. (a)............................. 24,000 882,000
-----------
3,270,750
TELECOMMUNICATIONS -- 4.41%
Aerial Communications, Inc. (a)................ 19,600 166,600
Cascade Communications Corp. (a)............... 17,000 469,625
<Caption
SHARES MARKET VALUE
------ ------------
COMMON STOCKS (CONTINUED)
- -------------------------
<S> <C> <C>
TELECOMMUNICATIONS (CONTINUED)
Cox Communications, Inc. (a)................... 36,000 $ 864,000
Omnipoint Corp. (a)............................ 29,000 482,125
Palmer Wireless, Inc. (a)...................... 34,800 587,250
360 Communications Co. (a)..................... 64,900 1,111,413
Vanguard Cellular Systems, Inc. (a)............ 29,000 395,125
-----------
4,076,138
TOBACCO -- 0.07%
Consolidated Cigar Holdings, Inc. (a).......... 2,300 63,825
-----------
Total Common Stocks
(cost $72,397,905)........................... 82,946,414
-----------
<CAPTION>
PRINCIPAL AMOUNT
----------------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 10.21%
U.S. GOVERNMENTAL AGENCIES -- 10.21%
Federal Farm Credit Bank Discount Notes
5.50%, 07/14/1997............................ $ 530,000 528,947
Federal Home Loan Mortgage Discount Notes
5.42%, 07/02/1997............................ 1,786,000 1,785,731
5.44%, 07/02/1997............................ 423,000 422,936
5.40%, 07/08/1997............................ 1,251,000 1,249,686
5.50%, 07/15/1997............................ 715,000 713,471
5.52%, 07/25/1997............................ 386,000 384,580
Federal National Mortgage Assoc. Discount Notes
5.50%, 07/16/1997............................ 245,000 244,439
5.41%, 07/25/1997............................ 745,000 742,313
5.42%, 08/07/1997............................ 195,000 193,914
5.43%, 08/28/1997............................ 335,000 332,069
5.45%, 09/08/1997............................ 2,860,000 2,830,125
-----------
9,428,211
MONEY MARKET FUNDS -- 0.00%
State Street Global Advisor Fund, 5.29% (b).... 4,072 4,072
-----------
Total Short Term Investments
(cost $9,432,283).......................... 9,432,283
-----------
TOTAL INVESTMENTS -- 100%
(cost $81,830,188)............................. $92,378,697
===========
</TABLE>
- ---------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 1997.
See notes to the financial statements.
74
<PAGE> 75
JACKSON NATIONAL FINANCIAL SERVICES, INC.
<PAGE> 76
VADV 2611 REV. 8/97
