<PAGE> 1
ANNUAL REPORT
JNL(R) SERIES TRUST
FOR THE PERIOD ENDED
DECEMBER 31, 1996
<PAGE> 2
DEAR SHAREHOLDER:
This report relates to the operation of the JNL Series Trust for the period from
April 1, 1996 to December 31, 1996*. The following Money Manager commentaries,
graphs and tables provide you with information regarding each Series'
performance during the period.
JNL AGGRESSIVE GROWTH SERIES
JANUS CAPITAL CORPORATION
[JANUS LOGO] WARREN B. LAMMERT
OBJECTIVE:
JNL Aggressive Growth Series is a non-diversified Series that seeks as its
investment objective long-term growth of capital by investing primarily in
common stocks of issuers of any size, including larger, well-established
companies and smaller, emerging growth companies.
MONEY MANAGER COMMENTARY:
Domestic financial markets were volatile during the period from April 1, 1996
through December 31, 1996. The volatility reflected the genuine debate over the
rate of economic growth. Stocks remained remarkably resilient during the second
quarter of 1996, although the performance in certain sectors, such as small
stocks and technology, was mixed. The equity markets dropped in July, but
recovered and launched yet another record-setting rally which lasted through the
remainder of the period. Large stocks recovered quickly during the rally, while
smaller stocks continued to languish.
The basic investment strategy for the Series is to find individual companies
that exhibit earnings growth potential that may not yet be fully recognized by
the market. We will develop industry themes when market conditions create new
opportunities in certain industries or sectors; however, portfolio construction
is still based on Janus' fundamental, bottom up research. Technology was an
important theme in the Series' portfolio and we benefited from good moves in
many of our technology holdings at the beginning of the period. The July
downdraft hit technology stocks and companies with small- to mid-sized market
capitalization hardest, but the Series overcame early losses in the September
run-up. During the fourth quarter of the year, the Series' large stocks
performed well while small- and mid-cap holdings inhibited performance.
The strategies and techniques we applied resulted in the Series out-performing
the S&P 500 Index. The S&P 500 Index is a widely used indicator of stock market
trends. The Series' performance was positively impacted by its technology
holdings at the beginning of the period and its large stock holdings during the
fourth quarter.
We remain very excited about the Series' individual holdings and we expect to
continue the strategies we have employed in the past by taking advantage of
favorable buying opportunities as they are presented.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL AGGRESSIVE GROWTH SERIES AND THE S&P 500 INDEX
[GRAPH]
JNL AGGRESSIVE S&P 500
GROWTH SERIES INDEX
1995
5/15 $10,000 $10,000
5/31 $10,130 $10,130
6/30 $10,860 $10,356
7/31 $11,860 $10,694
8/31 $11,870 $10,726
9/30 $12,190 $11,179
10/31 $11,910 $11,139
11/30 $12,490 $11,627
12/31 $12,409 $11,851
1996
1/31 $12,761 $12,254
2/29 $13,402 $12,368
3/31 $13,578 $12,487
4/30 $14,126 $12,671
5/31 $14,446 $12,996
6/30 $14,022 $13,046
7/31 $13,030 $12,469
8/31 $13,774 $12,732
9/30 $14,601 $13,448
10/31 $14,529 $13,819
11/30 $14,901 $14,862
1996
12/31 $14,761 $14,568
AVERAGE ANNUAL TOTAL RETURN 1 year ... 18.95% Since inception** ... 26.88%
1
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost.
Performance numbers are net of all Series operating expenses, but do not
reflect the deduction of insurance charges.
- ---------------
* During the period, the JNL Series Trust changed its fiscal year from March 31
to December 31.
** Inception date May 15, 1995.
Jackson National Financial Services, Inc.
<PAGE> 3
JNL CAPITAL GROWTH SERIES
JANUS CAPITAL CORPORATION
JANUS LOGO JAMES P. GOFF
OBJECTIVE:
JNL Capital Growth Series is a non-diversified Series that seeks as its
investment objective long-term growth of capital by emphasizing investments in
common stocks of medium-sized companies. Although the Series expects to
emphasize such securities, it may also invest in smaller or larger companies.
MONEY MANAGER COMMENTARY:
The market was volatile during the period from April 1, 1996 through December
31, 1996. Interest rates rose moderately in the second quarter of 1996,
pressuring equity valuations. This resulted in increased volatility, especially
in small stocks. The equities market dropped in July and companies with small-
and mid-sized market capitalizations were subject to indiscriminate selling.
Large stocks rebounded in August and September, while the small- and mid-cap
sectors staged a moderate comeback that intensified at the end of September and
carried into early October. During the fourth quarter of the year, large stocks
continued to outperform smaller stocks.
The investment strategy for the Series is to find individual companies which
exhibit growth potential that may not yet be fully recognized by the market. We
look at individual opportunities, and take advantage of the Series' policy that
allows a concentrated investment approach when appropriate. The Series holds
positions in a broad spectrum of industries, including wireless communication
companies. While the fundamentals of the companies have not changed or have even
improved, they were generally out of sync with market psychology, which weighed
heavily on their respective performances. Additionally, a narrow earnings miss
by an industrial supply company hurt performance early in the fourth quarter.
The strategies and techniques we applied resulted in the Series outperforming
the S&P 500 Index and the S&P MidCap 400 Index. The S&P 500 Index is a widely
used indicator of stock market trends and the S&P MidCap 400 Index is a widely
used indicator of mid-cap trends. The Series has begun comparing its performance
to the S&P MidCap 400 Index because this Index represents a more appropriate
benchmark for the Series. The Series' performance was positively impacted by
strong performances of individual stocks.
The low valuations in the mid-cap sector offer a number of attractive buying
opportunities, as small- to mid-cap stocks have lagged their larger
counterparts. We expect to continue the strategies that we have employed in the
past by selecting stocks one at a time, and we firmly believe that the Series'
most exciting growth lies ahead.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL CAPITAL GROWTH SERIES, THE S&P 500 INDEX AND THE
S&P MIDCAP 400 INDEX
[GRAPH]
<TABLE>
<CAPTION>
JNL Capital Growth Series S&P 500 Index S&P MidCap 400 Index
<S> <C> <C> <C>
1995
- ----
5/15 $10,000 $10,000 $10,000
5/31 $10,020 $10,130 $10,009
6/30 $10,910 $10,356 $10,417
7/31 $11,560 $10,694 $10,959
8/31 $11,930 $10,726 $11,161
9/30 $12,480 $11,179 $11,432
10/31 $12,090 $11,139 $11,138
11/30 $12,580 $11,627 $11,622
12/31 $13,353 $11,851 $11,593
1996
- ----
1/31 $13,161 $12,254 $11,761
2/29 $13,769 $12,368 $12,160
3/31 $14,794 $12,487 $12,306
4/30 $15,285 $12,671 $12,683
5/31 $15,893 $12,997 $12,854
6/30 $15,627 $13,046 $12,661
7/31 $14,111 $12,469 $11,807
8/31 $15,274 $12,733 $12,489
9/30 $16,331 $13,448 $13,034
10/31 $15,925 $13,819 $13,072
11/30 $16,075 $14,863 $13,807
12/31 $15,600 $14,568 $12,823
1996
- ----
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 16.83%
Since inception*... 31.24%
Past performance is not predictive of future performance. Investment return
and principal value will fluctuate so that an investor's shares, when redeemed,
may be more or less than their original cost.
Performance numbers are net of all Series operating expenses, but do not
reflect the deduction of insurance charges.
- ---------------
* Inception date May 15, 1995
2
<PAGE> 4
JNL GLOBAL EQUITIES SERIES
JANUS CAPITAL CORPORATION
[JANUS LOGO] HELEN YOUNG HAYES
OBJECTIVE:
JNL Global Equities Series seeks as its investment objective long-term growth of
capital by investing primarily in common stocks of foreign and domestic issuers
of any size. This Series normally invests in issuers from at least five
different countries including the United States.
MONEY MANAGER COMMENTARY:
The economic backdrop in the United States was mixed during the period from
April 1, 1996 to December 31, 1996. Several indicators argued for increased
momentum in the rate of economic growth during the second quarter of 1996,
however, inflation remained in check. Domestic equity markets performed well
during the third quarter, despite a rocky start in July. The U.S. stock markets
experienced a strong fourth quarter rally, with larger, more well-established
stocks leading the way. A number of European markets rallied with the domestic
markets in September, when economic data suggested that the U.S. economy was
slowing. Although most foreign markets failed to keep pace with the U.S., many
posted healthy gains and some set a number of individual records during the
fourth quarter.
The basic strategy for this Series is to find individual companies that exhibit
earnings growth potential that may not yet be fully recognized by the market on
a worldwide basis. The Series was well-diversified across a broad range of
stocks and countries throughout the period, with a majority of assets in both
Europe and the U.S. The percentage held domestically was reduced significantly
while the percentage of foreign stocks increased during the second quarter of
1996 as we uncovered companies with strong earnings growth potential around the
world.
The strategies and techniques we applied resulted in the Series outperforming
the Morgan Stanley Capital International ("MSCI") World Index. The MSCI World
Index is a widely used indicator of worldwide market trends. The Series'
performance was positively impacted by strong performances in a number of
holdings, both domestically and abroad.
We expect to continue the strategies we have employed in the past using
intensive research, attention to detail and sound investment judgment. Foreign
markets are less efficient, and therefore more favorable to security selection.
By utilizing our dedicated research staff to uncover companies with strong
earnings growth potential around the world, the Series' portfolio should
continue to benefit from global investing.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL GLOBAL EQUITIES SERIES AND THE MSCI WORLD INDEX
[GRAPH]
<TABLE>
<CAPTION>
JNL Global Equities Series MSCI World Index
-------------------------- -----------------
1995
- ----
<S> <C> <C>
5/15 $10,000 $10,000
5/31 $10,180 $10,046
6/30 $10,680 $10,026
7/31 $11,600 $10,511
8/31 $11,910 $10,260
9/30 $12,240 $10,543
10/31 $12,150 $10,360
11/30 $12,470 $10,703
12/31 $12,926 $10,999
1996
- ----
1/31 $13,317 $11,182
2/29 $13,513 $11,233
3/31 $14,151 $11,402
4/30 $14,614 $11,588
5/31 $15,211 $11,581
6/30 $15,736 $11,623
7/31 $15,221 $11,194
8/31 $15,839 $11,305
9/30 $16,065 $11,730
10/31 $16,260 $11,794
11/30 $17,104 $12,437
12/31 $16,980 $12,221
1996
- ----
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 31.36%
Since inception* ... 38.22%
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost.
Performance numbers are net of all Series operating expenses, but do not
reflect the deduction of insurance charges.
- ---------------
* Inception date May 15, 1995
3
<PAGE> 5
JNL/ALGER GROWTH SERIES
FRED ALGER MANAGEMENT, INC.
[FRED ALGER LOGO] DAVID D. ALGER
OBJECTIVE:
JNL/Alger Growth Series seeks as its investment objective long-term capital
appreciation by investing in a diversified, actively managed portfolio of equity
securities, primarily of companies with total market capitalization of $1
billion or greater.
MONEY MANAGER COMMENTARY:
The period from April 1, 1996 to December 31, 1996 proved to be an interesting
and turbulent time in the market. In a sense, these past nine months have been
almost a cycle. We began 1996 with the assumption that the economy was
exceedingly weak, went through a period from mid-March to late October during
which the popular view was that the economy was too strong, and then moved back
in the direction to close the year where we began it.
The economic uncertainty which existed throughout most of the period resulted in
defensive positioning of investors. As a result, there was a flight to blue-chip
stocks. Therefore, both the Dow Jones Industrial Average and the S&P 500 Index
enjoyed very strong years. The performance of the S&P 500 was primarily driven
by a handful of blue-chip type stocks noted for stable and predictable earnings
growth. The portfolio typically invests in stocks of companies that are expected
to grow their earnings at a faster rate (25% and above). Thus, the portfolio did
not perform as well as funds largely investing in blue-chip companies or broad
market indices. In addition, many of the growth stocks the Series invested in
were hit more severely during the sell off in July and recovered less
impressively.
The strategies and techniques we applied resulted in the Series underperforming
the S&P 500 Index. The S&P 500 Index is a widely used indicator of stock market
trends. Although there were shifts within the Series' portfolio, our strategy
remained consistent, emphasizing the individual selection of quality growth
stocks through in-depth, internal research conducted by talented analysts. At no
time during this period did we stray from the philosophy and process that have
driven our long term success as an investment manager.
The good news is that we feel that the factors which have contributed to our
recent performance are now behind us, setting the stage for a strong rebound in
1997. We continue to maintain that economic growth is not overly robust. Factors
which support our belief include a recent drop in the price of gold, the rising
dollar and slowing corporate profits. We contend that the stock market continues
to be undervalued relative to the bond market. Furthermore, we feel that growth
stocks are undervalued relative to the rest of the stock market. Currently, good
quality growth stocks, which typically trade in the range of 1.5 to 2.5 times
the market multiple, are trading at 1.1 times based on our 1997 estimated
earnings per share: below the low-end of the historical range. In other words,
investors are paying only a very small premium for quality growth stocks, such
as those in the Series' portfolio. As it becomes clearer in the months ahead
that the economy is expanding at a noninflationary, steady pace, we expect that
investor confidence will rebound and premiums for growth stocks will expand.
This should translate into strong performance for the Series.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/ALGER GROWTH SERIES AND THE S&P 500 INDEX
[GRAPH]
<TABLE>
<CAPTION>
JNL/Alger Growth Series S&P 500 Index
----------------------- -------------
1995
- ----
<S> <C> <C>
10/16 $10,000 $10,000
10/31 $10,170 $ 9,979
11/30 $10,050 $10,417
12/31 $ 9,840 $10,617
1996
- ----
1/31 $10,140 $10,978
2/29 $10,470 $11,080
3/31 $10,380 $11,187
4/30 $10,580 $11,352
5/31 $10,620 $11,643
6/30 $10,430 $11,687
7/31 $ 9,660 $11,171
8/31 $10,070 $11,407
9/30 $10,760 $12,048
10/31 $10,830 $12,380
11/30 $11,490 $13,315
12/31 $11,160 $13,051
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 13.41%
Since inception*... 9.46%
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost.
Performance numbers are net of all Series operating expenses, but do not reflect
the deduction of insurance charges.
- ---------------
* Inception date October 16, 1995
4
<PAGE> 6
JNL/EAGLE CORE EQUITY SERIES
EAGLE ASSET MANAGEMENT, INC.
EAGLE LOGO TEAM MANAGEMENT
OBJECTIVE:
JNL/Eagle Core Equity Series seeks as its investment objective long-term capital
appreciation and, secondarily, current income by investing primarily in a
diversified portfolio of common stocks which the sub-adviser believes offers
above-average potential for long-term capital appreciation. The investment
strategies which the sub-adviser utilizes to pursue the Series' objective are
the growth equity strategy, the value equity strategy and the equity income
strategy. In pursuing the growth equity strategy, the sub-adviser will invest in
securities which it believes have sufficient growth potential to offer
above-average long-term capital appreciation. In pursuing the value equity
strategy, the sub-adviser will invest in securities which it believes indicate
above-average financial soundness and high intrinsic value relative to price. In
pursuing the equity income strategy, the sub-adviser will invest in income
producing securities.
MONEY MANAGER COMMENTARY:
The Series commenced operations on September 16, 1996. Volatility marked the
period from commencement of operations to December 31, 1996, with stocks overall
having strong performance for the final three months of the year. Value stocks
were some of the best performers. Growth stocks provided slightly lower returns
in response to the uncertain economic climate going forward. Stock market
valuations were high by historical standards but many positive elements for
capital appreciation were in place.
Our strategy for the Series combines three investment styles: 40% growth equity,
40% value equity and 20% equity income. During the period, as could be expected,
the three portions of the Series performed differently. The growth equity
portion of the Series' portfolio performed well but not quite as well as the
overall market because growth stocks as a sector were not as widely purchased as
value stocks. Cyclicals and oil stocks were two of the best performing
industries for the last three months of 1996. The growth equity portion of the
Series' portfolio was underweighted in these sectors as most stocks in these
industries did not meet our growth criteria. The value equity portion of the
Series was invested slower than the other two parts. The stock market had such a
strong run in the past two years that undervalued issues were more difficult to
locate. We bought many tobacco, oil and telephone utility stocks during the
quarter. The equity income portion of the Series was the most conservative of
the three sections, however it performed the best during the fourth quarter.
Position sizes were increased, and we added some new holdings. The new holdings
included a diverse group of real estate investment trusts, utilities and stocks
of pharmaceutical, basic materials, processed food, electronics and oil
companies. We also purchased some convertible bonds.
The strategies and techniques we applied resulted in the Series underperforming
the S&P 500 Index. The S&P 500 Index is a widely used indicator of stock market
trends.
Stock market valuations are high by historical standards but many positive
elements for continued capital appreciation in stocks are in place. For
instance, growth is modest and stable, interest rates are reasonable compared to
the last decade, corporate earnings continue to increase strongly, and inflation
is low. Given the variety of investment styles within the Series, the portfolio
is positioned to perform well in most economic environments that can be
reasonable envisioned.
[GRAPH]
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/EAGLE CORE EQUITY SERIES AND THE S&P 500 INDEX
<TABLE>
<CAPTION>
JNL/Eagle Equity Series S&P 500 Index
Period ----------------------- -------------
- ------
<S> <C> <C>
09/16/96 $10,000 $10,000
09/30/96 $10,060 $10,054
10/31/96 $10,250 $10,332
11/30/96 $10,810 $11,112
12/31/96 $10,648 $10,892
</TABLE>
Total Return for period from September 16, 1996 to December 31, 1996... 6.47%
Past performance is not predictive of future performance. Investment return
and principal value will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original cost. Performance numbers
are net of all Series operating expenses, but do not reflect the deduction
of insurance charges.
5
<PAGE> 7
JNL/EAGLE SMALLCAP EQUITY SERIES
EAGLE ASSET MANAGEMENT, INC.
[EAGLE LOGO] BERT L. BOKSEN
OBJECTIVE:
JNL/Eagle SmallCap Equity Series seeks as its investment objective long-term
capital appreciation by investing primarily in equity securities of smaller
companies which the sub-adviser believes offer potential for rapid growth.
MONEY MANAGER COMMENTARY:
The Series commenced operations on September 16, 1996. Volatility marked the
period from commencement of operations to December 31, 1996, with stocks overall
having strong performance for the final three months of the year. Small company
stocks as a sector did not perform as well as larger companies. Value stocks
were some of the best performers and growth stocks provided slightly lower
returns. Stock market valuations were high by historical standards but many
positive elements for capital appreciation were in place. Small company stocks
were reasonably valued relative to larger cap stocks and to the economic
conditions.
The Series invests in securities of companies that appear to be undervalued in
relation to their long-term earning power or the asset value of their issuers
and that have significant further growth potential. We perform extensive
research before investing in a company and focus the Series' assets in rapidly
growing companies that are undervalued companies. During the period, we selected
approximately 30 stocks for the Series. We focused on individual companies
rather than industry sectors, but the Series' holdings represented a wide
diversification of sectors.
The strategies and techniques we applied resulted in the Series outperforming
the Russell 2000 Index. The Russell 2000 Index is a widely used indicator of the
stock market performance of small companies. The Series' performance was
positively impacted by individual security selection that we believe is a result
of our fundamental research.
We believe that small company stocks are undervalued and that in the upcoming
year they will continue to provide a good opportunity in the United States
capital markets for capital appreciation. We expect to continue our strategy of
fundamental research and individual security selection.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/EAGLE SMALLCAP EQUITY SERIES AND THE RUSSELL 2000 INDEX
[GRAPH]
<TABLE>
<CAPTION>
JNL/Eagle SmallCap Equity Series Russell 2000 Index
------------------------------- ------------------
1996
- ----
<S> <C> <C>
9/16 $10,000 $10,000
9/30 $10,360 $10,120
10/31 $10,420 $ 9,964
11/30 $11,110 $10,372
12/31 $11,540 $10,639
1996
- ----
</TABLE>
Total Return for period from September 16, 1996 to December 31, 1996... 15.40%
Past performance is not predictive of future performance. Investment return
and principal value will fluctuate so that an investor's shares, when redeemed,
may be more or less than their original cost.
Performance numbers are net of all Series operating expenses, but do not
reflect the deduction of insurance charges.
6
<PAGE> 8
JNL/PHOENIX INVESTMENT COUNSEL BALANCED SERIES
PHOENIX INVESTMENT COUNSEL, INC.
C. EDWIN RILEY, JR.
[PHOENIX INVESTMENTS LOGO]
OBJECTIVE:
JNL/Phoenix Investment Counsel Growth Series seeks as its investment objective
reasonable income, long-term capital growth and preservation of capital. It is
intended that this Series will invest in common stocks and fixed income
securities, with emphasis on income-producing securities which appear to have
some potential for capital enhancement.
MONEY MANAGER COMMENTARY:
The stock market had a turbulent time during the period from April 1, 1996 to
December 31, 1996. While stocks of companies with small- and mid-sized market
capitalizations were strong performers in the first half of the year, stocks of
companies with large-sized market capitalizations dominated during the second
half. Interest rates also oscillated during the period. Interest rates rose
during the second quarter of 1996, then became locked in a trading range during
the third quarter.
In selecting investments for the Series' portfolio, we emphasized theme
development and stock selection. We allocated the Series' assets fairly
consistently throughout the period, keeping a strong preference for stocks. The
equity portion of the Series' portfolio was characterized by above-average
growth characteristics. The fixed income portion of the Series' portfolio was
invested predominately in U.S. Government and agency mortgage-backed securities.
The strategies and techniques we applied resulted in the Series underperforming
the S&P 500 Index and outperforming the Lehman Brothers Aggregate Bond Index.
The S&P 500 Index is a widely used indicator of stock market trends. The Lehman
Brothers Aggregate Bond Index is an indicator of bond trends. The Series'
performance was negatively impacted on the equity side by stock selection and
positively impacted on the fixed income side by portfolio duration.
We anticipate moderate economic growth domestically and stronger than expected
global growth. We also anticipate that interest rates will remain fairly stable
but vulnerable to periodic strong economic news. We expect to employ strategies
which focus on the earnings growth found in technology, healthcare and financial
stocks.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/PHOENIX INVESTMENT COUNSEL BALANCED SERIES, THE S&P 500 INDEX
AND THE LEHMAN BROTHERS AGGREGATE BOND INDEX*
<TABLE>
<CAPTION>
JNL PHOENIX
INVESTMENT
COUNSEL BALANCED S&P 500 LEHMAN BROTHERS
SERIES INDEX AGGREGATE BOND INDEX
1995
----
<S> <C> <C> <C>
5/15 $10,000 $10,000 $10,000
5/31 $10,070 $10,130 $10,070
6/30 $10,210 $10,356 $10,210
7/31 $10,460 $10,694 $10,245
8/31 $10,660 $10,726 $10,368
9/30 $10,840 $11,179 $10,469
10/31 $10,890 $11,139 $10,605
11/30 $11,270 $11,627 $10,764
12/31 $11,545 $11,851 $10,915
1996
----
1/31 $11,712 $12,254 $10,988
2/29 $11,712 $12,368 $10,797
3/31 $11,660 $12,487 $10,722
4/30 $11,650 $12,671 $10,662
5/31 $11,879 $12,997 $10,588
6/30 $11,984 $13,046 $10,404
7/31 $11,556 $12,469 $10,472
8/31 $11,734 $12,733 $10,619
9/30 $12,266 $13,448 $10,778
10/31 $12,589 $13,819 $11,017
11/30 $13,090 $14,863 $11,206
1996
----
12/31 $12,793 $14,568 $11,102
</TABLE>
AVERAGE ANNUAL TOTAL RETURN 1 year ... 10.81% Since inception *... 16.25%
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost.
*The return for the Lehman Brothers Aggregate Bond Index as for the period
from May 15, 1995 to May 31, 1995 has been calculated as a percentage of the
one month return for May 1995.
Performance numbers are net of all Series operating expenses, but do not
reflect the deduction of insurance charges.
- ---------------
* Inception date May 15, 1995
7
<PAGE> 9
[PHOENIX JNL/PHOENIX INVESTMENT COUNSEL GROWTH SERIES
INVESTMENTS PHOENIX INVESTMENT COUNSEL, INC.
LOGO] VAN HARRISSIS
OBJECTIVE:
JNL/Phoenix Investment Counsel Growth Series seeks as its investment objective
long-term appreciation of capital. Since income is not an objective, any income
generated by the investment of this Series' assets will be incidental to its
objectives. It is intended that this Series will invest primarily in the common
stocks of companies believed by the sub-adviser to have appreciation potential.
MONEY MANAGER COMMENTARY:
The stock market had a turbulent time during the period from April 1, 1996 to
December 31, 1996. The third quarter of 1996 was a rollercoaster ride for the
stock market. The S&P 500 Index started the quarter with a strong correction and
ended with an even stronger rally. The swings in the over-the-counter stock
market were even wider. The recovery rally was led by technology and healthcare
stocks. Financial stocks continued to show strength in both the correction and
rally phases. While stocks of companies with small- and mid-sized market
capitalization were strong performers in the first half of the year, stocks of
companies with large-sized market capitalizations dominated during the second
half.
At the beginning of the period, the Series benefited most from holdings in three
areas: energy, healthcare and retail stocks. We decreased the risk posture in
the Series' portfolio during the second and third quarters of 1996 to protect
against a difficult environment and to lock in gains from the first part of the
year. Technology and healthcare stocks provided stronger returns during the
third quarter of the year, while energy stocks lagged. As the period drew to a
close, we increased the Series' concentration in large capitalization stocks
with strong visible earnings growth. We also increased technology, healthcare
and financial holdings.
The strategies and techniques we applied resulted in the Series outperforming
the S&P 500 Index. The S&P 500 Index is a widely used indicator of stock market
trends. The Series' performance was positively impacted by the energy,
technology and healthcare stocks it held and was further enhanced by good stock
selection.
We anticipate moderate economic growth domestically and stronger than expected
global growth. We also anticipate that interest rates will remain fairly stable
but vulnerable to periodic strong economic news. We expect to employ strategies
which focus on the earnings growth found in technology, healthcare and financial
stocks.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/PHOENIX INVESTMENT COUNSEL GROWTH SERIES AND THE S&P 500 INDEX
[GRAPH]
<TABLE>
<CAPTION>
JNL Phoenix Investment Counsel Growth Series S&P 500 Index
-------------------------------------------- -------------
<S> <C> <C>
1995
- ----
5/15 $10,000 $10,000
5/31 $10,030 $10,130
6/30 $10,540 $10,356
7/31 $11,490 $10,694
8/31 $11,640 $10,726
9/30 $12,080 $11,179
10/31 $11,880 $11,139
11/30 $12,560 $11,627
12/31 $12,734 $11,851
1996
- ----
1/31 $13,285 $12,254
2/29 $13,692 $12,368
3/31 $13,769 $12,487
4/30 $14,827 $12,671
5/31 $15,345 $12,996
6/30 $15,356 $13,046
7/31 $14,463 $12,469
8/31 $15,091 $12,733
9/30 $15,521 $13,448
10/31 $15,719 $13,819
11/30 $16,578 $14,863
12/31 $16,148 $14,568
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 26.81%
Since inception *... 34.04%
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be more or less than their original cost.
Performance numbers are net of all Series operating expenses, but do not
reflect the deduction of insurance charges.
- ---------------
* Inception date May 15, 1995
8
<PAGE> 10
PPM AMERICA/JNL HIGH YIELD BOND SERIES
PPM AMERICA, INC.
TEAM MANAGEMENT
[PPM-AMER LOGO]
OBJECTIVE:
PPM America/JNL High Yield Bond Series seeks as its primary investment objective
a high level of current income. Its secondary investment objective is capital
appreciation with an emphasis on higher-yielding, higher-risk, lower-rated or
unrated corporate bonds.
MONEY MANAGER COMMENTARY:
The high yield market outperformed all other domestic fixed income sectors
during the last six months of 1996. Comparatively low interest rate sensitivity
enabled high yield bonds to significantly outperform investment grade-rated
corporate bonds. The high yield market also significantly outperformed
governments, agencies, mortgage-backed and asset-backed securities. However,
during the fourth quarter of 1996, total return performance broken down by
credit quality was a reversal of the trend experienced during the first three
quarters of the year, with the highest-rated credit quality sectors
outperforming the lowest-rated quality sectors.
The Series' industry and quality weightings remained relatively constant during
the first part of the period. The Series maintained its overweighting of B-rated
credits, as well as securities in the basic industry and capital goods sectors.
During the fourth quarter of the year, the Series' exposure to B-rated credits
was further increased at the expense of credits rated in the Ba category,
reflecting our strategy to capture additional yield from lower-rated credits.
Additionally, the Series' exposure to cyclical and financial industry securities
was reduced moderately, while its exposure to consumer noncyclical, technology
and telecommunications sectors was increased.
The strategies and techniques applied resulted in the Series underperforming the
Lehman Brothers High Yield Index. The Lehman Brothers High Yield Index is a
widely used indicator of high yield bond performance. The Series' performance
was negatively impacted by security selection.
Over the intermediate term, we expect the high yield market will continue to
perform well, reflecting solid market fundamentals as well as strong demand for
the securities. We plan to continue our strategy of searching out opportunities
in the high yield market which offer potential capital appreciation over the
short to intermediate term.
[GRAPH]
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
PPM AMERICA/JNL HIGH YIELD BOND SERIES AND THE
LEHMAN BROTHERS HIGH YIELD INDEX*
<TABLE>
<CAPTION>
PPM America/JNL High Lehman Brothers
Period Yield Bond Series High Yield Index
- ------ -------------------- ----------------
<S> <C> <C>
05/15/95 $10,000 $10,000
05/31/95 $ 9,970 $10,140
06/30/95 $ 9,930 $10,207
07/31/95 $10,120 $10,333
08/31/95 $10,120 $10,365
09/30/95 $10,230 $10,493
10/31/95 $10,360 $10,557
11/30/95 $10,430 $10,650
12/31/95 $10,625 $10,818
01/31/96 $10,793 $11,008
02/29/96 $10,867 $l1,017
03/31/96 $10,783 $11,009
04/30/96 $10,772 $11,034
05/31/96 $10,867 $l1,100
06/30/96 $10,878 $11,192
07/31/96 $11,004 $11,243
08/31/96 $11,183 $11,365
09/30/96 $11,426 $11,639
10/31/96 $11,552 $11,728
11/30/96 $11,805 $11,959
12/31/96 $11,995 $12,046
</TABLE>
AVERAGE ANNUAL TOTAL RETURN 1 year ... 12.90% Since inception * ... 11.76%
Past performance is not predictive of future performance. Investment return
and principal value will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original cost.
*The return for the Lehman Brothers High Yield Index for the period from
May 15, 1995 to May 31, 1995 has been calculated as a percentage of the one
month return for May 1995.
Performance numbers are net of all Series operating expenses, but do not
reflect the deduction of insurance charges.
- ---------------
* Inception date May 15, 1995
9
<PAGE> 11
PPM AMERICA/JNL VALUE EQUITY SERIES
PPM AMERICA, INC.
[PPM-AMER LOGO] TEAM MANAGEMENT
OBJECTIVE:
PPM America/JNL Value Equity Series seeks as its investment objective a high
total return by investing in common stocks which the sub-adviser believes to be
undervalued relative to the stock market in general at the time of purchase.
MONEY MANAGER COMMENTARY:
The United States equity market, as measured by the S&P 500 Index, was volatile
during the period from April 1, 1996 to December 31, 1996. The equity markets
were strong during the second quarter of 1996, but suffered a minor correction
in July. They roared back in August and September and continued to surge until
the end of the period. A benign interest rate environment and strong corporate
earnings were key factors in the market's rally. The equity markets were very
expensive relative to historic norms during the period and traditional valuation
indicators suggested that the risk/reward trade-off for the overall equity
markets was not particularly attractive at current market levels.
The stock selection philosophy that guides our management of the Series is
relative valuation based and we attempt to identify relatively attractively
priced sectors and securities. The Series is overweighted relative to the
overall market in the finance, electric utilities, telecommunications and
transportation sectors because, in our view, these sectors are attractively
priced.
The strategies and techniques we applied resulted in the Series outperforming
the S&P 500 Index. The S&P 500 Index is a widely used indicator of stock market
trends. The Series' performance was positively impacted by the Series' positions
in the finance sector and by several individual portfolio holdings.
The United States equity market currently looks very expensive relative to
historic norms. We expect to continue the strategies we have employed in the
past by emphasizing sectors and securities which offer potentially above average
dividend yields at attractive valuations.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
PPM AMERICA/JNL VALUE EQUITY SERIES AND THE S&P 500 INDEX
[GRAPH]
<TABLE>
<CAPTION>
PPM America/JNL Value Equity Series S&P 500 Index
----------------------------------- -------------
1995
- ----
<S> <C> <C>
5/15 $10,000 $10,000
5/31 $10,210 $10,130
6/30 $10,340 $10,356
7/31 $10,720 $10,694
8/31 $10,850 $10,726
9/30 $11,380 $11,179
10/31 $11,350 $11,139
11/30 $11,980 $11,627
12/31 $12,262 $11,851
1996
- ----
1/31 $12,735 $12,254
2/29 $12,889 $12,368
3/31 $13,115 $12,487
4/30 $13,310 $12,671
5/31 $13,669 $12,997
6/30 $13,618 $13,046
7/31 $13,053 $12,469
8/31 $13,453 $12,733
9/30 $13,905 $13,448
10/31 $14,254 $13,819
11/30 $15,343 $14,863
12/31 $15,245 $14,568
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 24.33%
Since inception *... 29.41%
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost
Performance numbers are net of all Series operating expenses, but do not reflect
the deduction of insurance charges.
- ---------------
* Inception date May 15, 1995
10
<PAGE> 12
[SALOMON BROTHERS ASSET MANAGEMENT LOGO]
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SALOMON BROTHERS ASSET MANAGEMENT INC
STEVEN GUTERMAN
OBJECTIVE:
Salomon Brothers/JNL Global Bond Series seeks as its investment objective a high
level of current income. As a secondary objective, the Series will seek capital
appreciation. The Series seeks to achieve its objectives by investing in a
globally diverse portfolio of fixed income investments and by giving the
sub-adviser broad discretion to deploy the Series' assets among certain segments
of the fixed income market that the sub-adviser believes will best contribute to
achievement of the Series' investment objectives. In pursuing its investment
objectives, the Series reserves the right to invest predominantly in securities
rated in medium or lower rating categories or as determined by the sub-adviser
to be of comparable quality. Although the Series has the ability to invest up to
100% of the Series' assets in lower-rated securities, the Series' sub-adviser
does not anticipate investing in excess of 75% of the Series' assets in such
securities.
MONEY MANAGER COMMENTARY:
The emerging market sector was strong during the period from April 1, 1996 to
December 31, 1996, as countries such as Argentina, Brazil, Mexico and Venezuela
bought back Brady Bonds from the marketplace. The sector was viewed so
positively that both Argentina and Mexico were able to issue billions of
unsecured U. S. dollar denominated debt to the global investor community at
record low yields. High yield corporate debt also posted strong gains. The
investment grade sector was positioned defensively throughout most of the period
but had its best quarter of the year in the fourth quarter.
In response to the positive outlook for the emerging markets sector and the
overall performance of high yield debt securities, the Series purchased and
maintained emerging markets and high yield debt securities throughout the
period. The Series' holdings in U.S. investment grade securities remained
relatively unchanged throughout the period. We diversified the Series holdings
in non-U.S. dollar denominated securities in response to falling budget debts
globally.
The strategies and techniques we applied resulted in the Series outperforming
the Salomon Brothers Broad Investment Grade Index. The Salomon Brothers Broad
Investment Grade Index is a widely used indicator of investment grade bond
trends. The Series' performance was positively impacted by its investments in
emerging markets securities and high yield securities.
We anticipate that the emerging markets and high yield bond sectors will
continue to perform well. We expect to continue the strategies we have employed
in the past by maintaining the Series' positions in these sectors.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
SALOMON BROTHERS/JNL GLOBAL BOND SERIES AND THE
SALOMON BROTHERS BROAD INVESTMENT GRADE INDEX
[GRAPH]
<TABLE>
<CAPTION>
Salomon Brothers/ Salomon Brothers Broad
JNL Global Bond Series Investment Grade Index
---------------------- ----------------------
1995
- ----
<S> <C> <C>
5/15 $10,000 $10,000
5/31 $ 9,930 $10,194
6/30 $10,040 $10,265
7/31 $10,070 $10,245
8/31 $10,110 $10,362
9/30 $10,240 $10,459
10/31 $10,210 $10,599
11/30 $10,420 $10,764
12/31 $10,715 $10,913
1996
- ----
1/31 $11,138 $10,987
2/29 $11,011 $10,800
3/31 $11,074 $10,722
4/30 $11,191 $10,643
5/31 $11,286 $10,637
6/30 $11,371 $10,774
7/31 $11,434 $10,803
8/31 $11,593 $10,788
9/30 $11,911 $10,976
10/31 $11,985 $11,223
11/30 $12,176 $11,408
12/31 $12,257 $11,307
1996
- ----
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 14.39%
Since inception *... 13.25%
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be more or less than their original cost.
Performance numbers are net of all Series operating expenses, but do not
reflect the deduction of insurance charges.
- ---------------
* Inception date May 15, 1995
11
<PAGE> 13
[SALOMON BROTHERS ASSET MANAGEMENT LOGO]
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
SALOMON BROTHERS ASSET MANAGEMENT INC
STEVEN GUTERMAN
OBJECTIVE:
Salomon Brothers/JNL U.S. Government & Quality Bond Series seeks as its
investment objective a high level of current income, by investing primarily in
debt obligations and mortgage-backed securities issued or guaranteed by the U.S.
Government, its agencies or instrumentalities including collateralized mortgage
obligations backed by such securities. The Series may also invest a portion of
its assets in investment-grade bonds.
MONEY MANAGER COMMENTARY:
In general, the performance of the U.S. Government bond market and the Salomon
Brothers/JNL U.S. Government & Quality Bond Series was hindered by the dramatic
rise in interest rates during the first half of 1996. Although a rally occurred
in the fourth quarter as inflation remained in check while economic indicators
signaled moderate growth, it was not enough to overcome the dramatic rise in
rates during the first half of 1996.
For most of the year, the Series maintained a neutral duration strategy in
anticipation of higher yields. This defensive strategy was taken in response to
reports of stronger economic growth (e.g. strong job growth and increases in
consumption and housing activity). Market participants also focused on stronger
than expected rises in average hourly earnings which led to concerns that
inflationary pressures could develop and influence the Federal Reserve to hike
short term rates.
The Series also had an overweight allocation to the mortgage pass-through sector
versus its benchmark. Mortgage pass-through securities performed strongly in
1996 as higher interest rates reduced the incentive for homeowners to refinance
their mortgages.
The strategies and techniques we applied resulted in the Series underperforming
the Salomon Brothers Treasury Index. The Salomon Brothers Treasury Index is a
widely used indicator of treasury bond trends.
Bonds are likely to experience volatility early in 1997 as investors sort out
the implications of stronger growth. We do not expect Fed action in the first
several months of 1997. Given our optimistic view of inflation, we believe
interest rates will move modestly lower during the year.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
AND THE SALOMON BROTHERS TREASURY INDEX
[GRAPH]
<TABLE>
<CAPTION>
Salomon Brothers/JNL Salomon Brothers
U.S. Government & Treasury
Quality Bond Series Index
------------------- ----------------
<S> <C> <C>
1995
- ----
5/15 $10,000 $10,000
5/31 $10,030 $10,199
6/30 $10,140 $10,277
7/31 $10,060 $10,242
8/31 $10,180 $10,356
9/30 $10,270 $10,449
10/31 $10,410 $10,612
11/30 $10,560 $10,784
12/31 $10,694 $10,934
1996
- ----
1/31 $10,767 $11,005
2/29 $10,549 $10,786
3/31 $10,466 $10,691
4/30 $10,424 $10,608
5/31 $10,393 $10,606
6/30 $10,507 $10,737
7/31 $10,528 $10,761
8/31 $10,528 $10,740
9/30 $10,694 $10,916
10/31 $10,902 $11,161
11/30 $11,099 $11,348
12/31 $10,970 $11,232
1996
- ----
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 2.58%
Since inception *... 5.82%
Past performance is not predictive of future performance. Investment return
and principal value will fluctuate so that an investor's shares, when redeemed,
may be more or less than their original cost.
Performance numbers are net of all Series operating expenses, but do not
reflect the deduction of insurance charges.
- ---------------
* Inception date May 15, 1995
12
<PAGE> 14
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
T. ROWE PRICE ASSOCIATES, INC.
[T.ROWE PRICE LOGO] JOHN D. GILLESPIE
OBJECTIVE:
T. Rowe Price/JNL Established Growth Series seeks as its investment objective
long-term growth of capital and increasing dividend income through investment
primarily in common stocks of well-established growth companies.
MONEY MANAGER COMMENTARY:
The period from April 1, 1996 to December 31, 1996, was terrific for common
stock investors. The economy was characterized by low interest rates, low
inflation, positive economic growth, and rising corporate profits. While the
third quarter of 1996 started off with a sell-off in the stock market triggered
by worries of higher interest rates, the market came roaring back in September
as rate fears eased. International markets generally were up less than United
States markets in nominal terms plus they were penalized by a strong dollar
against most major currencies.
Financial stocks were a featured part of the Series' portfolio. The financial
sector was characterized by low relative valuation and dependable earnings
growth. Other favorable trends in this sector included consolidation,
deregulation, increasing returns on invested capital, and shareholder-oriented
financial engineering. We increased the Series' exposure to technology
securities early in the third quarter of 1996 but eliminated technology stocks
that no longer had dominant market positions toward the end of the period.
Technology stocks rebounded sharply in the last half of the third quarter, but
overall lagged the market. In response to the strong relative performance of the
healthcare sector combined with a sense of foreboding regarding the possible
resurrection of healthcare reform initiatives, we began a process of selectively
reducing our exposure to healthcare stocks. Foreign investing helped the Series'
overall performance during the first part of the period. European stocks, the
bulk of the Series' foreign exposure, generated solid returns even after
deducting the effect of a stronger dollar.
The strategies and techniques we applied resulted in the Series outperforming
the S&P 500 Index. The S&P 500 Index is a widely used indicator of stock market
trends. The Series' performance was positively impacted by its holdings in both
domestic and foreign stocks.
We anticipate continued slow economic growth domestically and we are also
optimistic about foreign markets. We expect to continue the strategies we have
employed in the past and will continue to seek attractive investments in the
upcoming years.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES AND THE S&P 500 INDEX
<TABLE>
<CAPTION>
T. Rowe Price/JNL Established Growth Series S&P 500 Index
------------------------------------------- -------------
1995
- ----
<S> <C> <C>
5/15 $10,000 $10,000
5/31 $10,230 $10,130
6/30 $10,760 $10,356
7/31 $11,210 $10,694
8/31 $11,230 $10,726
9/30 $11,720 $11,179
10/31 $11,570 $11,139
11/30 $11,820 $11,627
12/31 $12,146 $11,851
1996
- ----
1/31 $12,776 $12,254
2/29 $12,834 $12,368
3/31 $12,823 $12,487
4/30 $13,116 $12,671
5/31 $13,387 $12,996
6/30 $13,376 $13,046
7/31 $12,879 $12,469
8/31 $13,241 $12,732
9/30 $14,019 $13,448
10/31 $14,166 $13,819
11/30 $15,080 $14,862
12/31 $14,890 $14,568
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 22.59%
Since inception *... 27.56%
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost.
Performance numbers are net of all Series operating expenses, but do not reflect
the deduction of insurance charges.
- ---------------
* Inception date May 15, 1995
13
<PAGE> 15
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
ROWE PRICE-FLEMING INTERNATIONAL, INC.
[T. ROWE PRICE LOGO] ADVISORY COMMITTEE
OBJECTIVE:
T. Rowe Price/JNL International Equity Investment Series seeks as its investment
objective long-term growth of capital through investments primarily in common
stocks of established, non-U.S. companies.
MONEY MANAGER COMMENTARY:
International markets turned in mixed performances during the period from April
1, 1996 to December 31, 1996; however, most world stock markets finished 1996
just like they began the year - on a strong and positive note. The trends put in
place early in the year remained unchanged with United States equities again
leading the charge while the international markets followed to varying degrees.
European markets did the best job keeping pace with the United States markets,
the markets of Asia and Latin America turned in a mixed performance but did have
their winners, and Japan continued its protracted slide and produced another
lackluster year.
The emphasis on holdings in the Series' portfolio was biased toward the fast
growing economics of the Pacific and Latin Americas at the expense of Japan. The
Series' holdings in the European markets favored the Netherlands, France and
Norway over the United Kingdom, Germany and Switzerland. We emphasized holdings
of reasonably-valued growth-oriented companies and our trading throughout the
period was modest.
The strategies and techniques we applied resulted in the Series outperforming
the Morgan Stanley Europe and Australasia, Far East Equity ("E.A.FE.") Index.
The Morgan Stanley E.A.FE. Index is a widely used indicator of international
market trends. The Series' performance was positively impacted by the country
posture of the Series' portfolio and individual stock selections.
We anticipate low interest rates, accelerating earnings growth, reasonable
valuations and a greater awareness of shareholder value in international markets
in the upcoming year. We expect to continue the strategies we have employed in
the past by purchasing good growth companies at reasonable valuations.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
AND THE MORGAN STANLEY E.A.FE. INDEX
<TABLE>
<CAPTION>
T.Rowe Price/JNL International Equity Investment Series Morgan Stanley E.A.FE. Index
------------------------------------------------------- ----------------------------
1995
- ----
<S> <C> <C>
5/15 $10,000 $10,000
5/31 $ 9,900 $ 9,999
6/30 $ 9,950 $ 9,810
7/31 $10,530 $10,407
8/31 $10,250 $ 9,997
9/30 $10,430 $10,178
10/31 $10,240 $ 9,981
11/30 $10,360 $10,153
12/31 $10,720 $10,548
1996
- ----
1/31 $10,970 $10,578
2/29 $11,050 $10,600
3/31 $11,250 $10,811
4/30 $11,570 $11,112
5/31 $11,500 $10,893
6/30 $11,630 $10,940
7/31 $11,280 $10,606
8/31 $11,440 $10,614
9/30 $11,710 $10,882
10/31 $11,640 $10,756
11/30 $12,220 $11,169
12/31 $12,211 $11,010
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 13.91%
Since inception *... 12.99%
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost.
Performance numbers are net of all Series operating expenses, but do not reflect
the deduction of insurance charges.
- ---------------
* Inception date May 15, 1995
14
<PAGE> 16
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
T. ROWE PRICE ASSOCIATES, INC.
[T.ROWE PRICE LOGO] BRIAN W. BERGHUIS
OBJECTIVE:
T. Rowe Price/JNL Mid-Cap Growth Series seeks as its investment objective
long-term growth of capital by investing primarily in the common stock of
companies with medium-sized market capitalizations ("mid-cap") and the potential
for above average growth.
MONEY MANAGER COMMENTARY:
The stock market enjoyed another vintage period from April 1, 1996 to December
31, 1996. In spite of rising interest rates, the stock market turned in a strong
performance in the second quarter of 1996. The sharp stock market correction in
late June and early July was followed by another strong performance during the
remainder of the period. Throughout the period, mid-cap stocks lagged behind
stocks of companies with large-sized market capitalizations.
The Series held securities from a broad range of sectors. The best performing
groups were energy stocks, benefiting from higher natural gas prices and rising
demand, and financial stocks, reflecting a reasonably steady interest rate
environment. Technology stocks were mixed throughout the period.
The strategies and techniques we applied resulted in the Series outperforming
the S&P MidCap 400 Index. The S&P MidCap 400 Index is a widely used indicator of
mid-cap market trends. The Series' performance was positively impacted by its
holdings in energy and financial stocks.
We remain optimistic about the long-term prospects for mid-cap growth companies.
We expect to continue the strategies we have employed in the past by seeking
companies with high growth rates and low average price/earnings ratios.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES AND THE S&P MIDCAP 400 INDEX
<TABLE>
<CAPTION>
T. Rowe Price/ S&P MidCap
JNL Mid-Cap Growth Series 400 Index
------------------------- ----------
1995
- ----
<S> <C> <C>
5/15 $10,000 $10,000
5/31 $10,020 $10,009
6/30 $10,740 $10,417
7/31 $11,460 $10,959
8/31 $11,780 $11,161
9/30 $12,230 $11,432
10/31 $12,120 $11,138
11/30 $12,580 $11,622
12/31 $12,922 $11,593
1996
- ----
1/31 $12,922 $11,761
2/29 $13,672 $12,160
3/31 $14,006 $12,306
4/30 $14,434 $12,683
5/31 $14,851 $12,854
6/30 $14,496 $12,661
7/31 $13,725 $11,806
8/31 $14,548 $12,489
9/30 $15,237 $13,033
10/31 $15,007 $13,071
11/30 $15,737 $13,807
12/31 $15,955 $13,822
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 23.47%
Since inception *... 33.06%
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost.
Performance numbers are net of all Series operating expenses, but do not
reflect the deduction of insurance charges.
- ---------------
* Inception date May 15, 1995
15
<PAGE> 17
[THIS PAGE INTENTIONALLY LEFT BLANK]
16
<PAGE> 18
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of
JNL Series Trust
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the JNL Aggressive Growth Series,
JNL Capital Growth Series, JNL Global Equities Series, JNL/Alger Growth Series,
JNL/Eagle Core Equity Series, JNL/Eagle SmallCap Equity Series, JNL/Phoenix
Investment Counsel Balanced Series, JNL/Phoenix Investment Counsel Growth
Series, PPM America/JNL High Yield Bond Series, PPM America/JNL Money Market
Series, PPM America/JNL Value Equity Series, Salomon Brothers/JNL Global Bond
Series, Salomon Brothers/JNL U.S. Government & Quality Bond Series, T. Rowe
Price/JNL Established Growth Series, T. Rowe Price/JNL International Equity
Investment Series and T. Rowe Price/JNL Mid-Cap Growth Series (constituting JNL
Series Trust, hereafter referred to as the "Trust") at December 31, 1996, and
the results of each of their operations, changes in each of their net assets and
the financial highlights for the periods indicated, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1996 by
correspondence with the custodians and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Milwaukee, Wisconsin
February 14, 1997
17
<PAGE> 19
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
JNL/PHOENIX
JNL JNL/EAGLE JNL/EAGLE INVESTMENT
AGGRESSIVE JNL CAPITAL JNL GLOBAL JNL/ALGER CORE SMALLCAP COUNSEL
GROWTH GROWTH EQUITIES GROWTH EQUITY EQUITY BALANCED
SERIES SERIES SERIES SERIES SERIES SERIES SERIES
----------- ----------- ----------- ----------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at
cost............................ $28,034,841 $34,996,580 $42,282,196 $34,475,613 $1,716,644 $1,603,053 $23,665,613
=========== =========== =========== =========== ========== ========== ===========
Investments in securities, at
value........................... $29,870,628 $37,622,915 $48,919,581 $38,140,297 $1,796,373 $1,816,762 $24,279,702
Cash.............................. 52,939 85,390 29,133 -- 200,612 288,068 --
Foreign currency.................. -- 167,261 103,663 -- -- -- --
Receivables:
Dividends and interest.......... 5,869 964 37,956 30,860 2,342 455 94,610
Forward foreign currency
exchange contracts............ 1,310,318 1,577,985 7,119,501 -- -- -- --
Foreign taxes recoverable....... 1,100 2,522 15,309 -- -- -- --
Fund shares sold................ 277,666 273,586 300,349 167,463 -- -- 104,931
Investment securities sold...... 76,634 983,969 272,901 424,266 1,042 -- --
Reimbursements from Advisor..... -- -- 29,212 -- 4,995 4,381 --
Prepaid expenses.................. -- -- -- -- -- -- --
----------- ----------- ----------- ----------- ---------- ---------- -----------
TOTAL ASSETS...................... 31,595,154 40,714,592 56,827,605 38,762,886 2,005,364 2,109,666 24,479,243
----------- ----------- ----------- ----------- ---------- ---------- -----------
LIABILITIES
Payables:
Advisor......................... 30,608 33,921 41,135 42,247 1,401 1,374 20,342
Custodian foreign currency
overdraft..................... 16,829 -- -- -- -- -- --
Custodian overdraft............. -- -- -- -- -- -- 3,563
Forward foreign currency
exchange contracts............ 1,314,817 1,655,680 6,981,532 -- -- -- --
Dividends to shareholders....... 117,769 16,204 603,988 -- 2,707 -- 13,449
Fund shares redeemed............ 357,911 3,665 360,582 2,127 34 30 1,099
Investment securities
purchased..................... 181,141 2,041,254 159,458 449,595 35,152 154,312 3,630
Options written, at value
(premiums received $1,043)...... -- -- -- -- 1,500 -- --
Accrued expenses and other
liabilities..................... 21,434 17,717 42,436 16,826 10,373 9,861 18,583
----------- ----------- ----------- ----------- ---------- ---------- -----------
TOTAL LIABILITIES................. 2,040,509 3,768,441 8,189,131 510,795 51,167 165,577 60,666
----------- ----------- ----------- ----------- ---------- ---------- -----------
NET ASSETS........................ $29,554,645 $36,946,151 $48,638,474 $38,252,091 $1,954,197 $1,944,089 $24,418,577
=========== =========== =========== =========== ========== ========== ===========
NET ASSETS CONSIST OF:
Paid-in capital................. $27,767,559 $34,446,324 $42,036,466 $35,287,986 $1,879,352 $1,739,717 $23,173,657
Undistributed net investment
income........................ 7,694 133,876 (149,359) -- -- -- 2,086
Accumulated net realized gain
(loss) on investments and
foreign currency related
items......................... (52,362) (188,152) (27,229) (700,579) (4,427) (9,337) 628,745
Net unrealized appreciation
(depreciation) on:
Investments................... 1,835,787 2,626,335 6,637,385 3,664,684 79,729 213,709 614,089
Foreign currency related
items....................... (4,033) (72,232) 141,211 -- -- -- --
Options written............... -- -- -- -- (457) -- --
----------- ----------- ----------- ----------- ---------- ---------- -----------
NET ASSETS........................ $29,554,645 $36,946,151 $48,638,474 $38,252,091 $1,954,197 $1,944,089 $24,418,577
=========== =========== =========== =========== ========== ========== ===========
TOTAL SHARES OUTSTANDING (NO PAR
VALUE), UNLIMITED SHARES
AUTHORIZED...................... 2,208,950 2,555,038 3,199,648 3,428,898 184,058 168,506 2,049,217
=========== =========== =========== =========== ========== ========== ===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE...... $13.38 $14.46 $15.20 $11.16 $10.62 $11.54 $11.92
=========== =========== =========== =========== ========== ========== ===========
</TABLE>
See notes to the financial statements.
18
<PAGE> 20
<TABLE>
<CAPTION>
SALOMON T. ROWE
JNL/PHOENIX PPM PPM PPM SALOMON BROTHERS/JNL T. ROWE PRICE/JNL
INVESTMENT AMERICA/JNL AMERICA/JNL AMERICA/JNL BROTHERS/JNL U.S. PRICE/JNL INTERNATIONAL
COUNSEL HIGH YIELD MONEY VALUE GLOBAL GOVERNMENT ESTABLISHED EQUITY
GROWTH BOND MARKET EQUITY BOND & QUALITY BOND GROWTH INVESTMENT
SERIES SERIES SERIES SERIES SERIES SERIES SERIES SERIES
----------- ----------- ----------- ----------- ------------ -------------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$23,800,643 $13,109,087 $23,003,245 $16,392,155 $13,370,742 $11,866,620 $28,994,231 $42,636,723
============ ============== ============ ============ ============ ============== ============ ============
$24,090,991 $13,523,037 $23,003,245 $18,343,250 $13,574,106 $11,916,401 $32,988,888 $47,770,591
10,359 -- -- -- -- -- -- --
-- -- -- -- -- -- 532 548,170
18,717 292,496 31 36,625 240,675 115,022 30,238 87,212
-- -- -- -- 5,599,964 -- -- --
272 -- -- -- -- -- 464 36,889
256,232 253,885 783,413 110,290 58,862 26,556 212,122 170,174
1,206,353 1,300 -- -- -- -- -- 11,116
3,965 -- -- 11,144 15 -- 5,058 --
-- 813 227 -- -- -- 3,747 --
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
25,586,889 14,071,531 23,786,916 18,501,309 19,473,622 12,057,979 33,241,049 48,624,152
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
16,199 8,431 11,965 10,663 9,100 5,537 22,257 45,096
-- -- -- -- 2,416 -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- 5,615,570 -- -- --
17,634 31,405 8,194 11,867 164,436 18,716 48,622 261,424
912 1,691 843 39,394 73,501 3,845 28,431 4,756
2,731,642 615,535 -- 661,506 1,102,544 2,184,744 833,185 72,609
16,987 18,073 13,727 17,201 23,112 13,397 17,613 35,938
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
2,783,374 675,135 34,729 740,631 6,990,679 2,226,239 950,108 419,823
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$22,803,515 $13,396,396 $23,752,187 $17,760,678 $12,482,943 $ 9,831,740 $32,290,941 $48,204,329
============ ============== ============ ============ ============ ============== ============ ============
$21,854,859 $12,806,840 $23,752,187 $15,672,149 $12,212,887 $ 9,772,004 $28,335,681 $42,985,389
-- 6,041 -- 5,272 24,906 -- (3,896) 65,539
658,308 169,565 -- 132,162 57,447 9,955 (35,557) 16,473
290,348 413,950 -- 1,951,095 203,364 49,781 3,994,657 5,133,868
-- -- -- -- (15,661) -- 56 3,060
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$22,803,515 $13,396,396 $23,752,187 $17,760,678 $12,482,943 $ 9,831,740 $32,290,941 $48,204,329
============ ============== ============ ============ ============ ============== ============ ============
1,604,348 1,255,147 23,752,187 1,225,273 1,174,127 963,480 2,571,210 3,989,593
============ ============== ============ ============ ============ ============== ============ ============
$14.21 $10.67 $1.00 $14.50 $10.63 $10.20 $12.56 $12.08
============ ============== ============ ============ ============ ============== ============ ============
<CAPTION>
T. ROWE
PRICE/JNL
MID-CAP
GROWTH
SERIES
---------
<S> <C>
$42,772,841
===========
$47,883,620
==
12,339
--
314
280,259
115,264
806
--
-----------
48,292,602
-----------
35,547
==
--
53,574
2,647
1,075,875
20,470
-----------
1,188,113
-----------
$47,104,489
===========
$42,010,676
(301)
(16,665)
5,110,779
--
-----------
$47,104,489
===========
===========
===========
</TABLE>
19
<PAGE> 21
JNL SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE NINE MONTHS ENDED DECEMBER 31, 1996*
<TABLE>
<CAPTION>
JNL/PHOENIX
JNL JNL JNL JNL/ JNL/EAGLE INVESTMENT
AGGRESSIVE CAPITAL GLOBAL JNL/ALGER EAGLE CORE SMALLCAP COUNSEL
GROWTH GROWTH EQUITIES GROWTH EQUITY EQUITY BALANCED
SERIES SERIES SERIES SERIES SERIES* SERIES* SERIES
---------- ------- -------- --------- ---------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends............................ $ 68,842 $ 276,523 $ 270,951 $ 121,872 $ 8,749 $ 2,525 $ 65,313
Interest............................. 221,102 83,548 128,161 99,498 328 753 335,923
Foreign tax withholding.............. (2,804) (2,253) (23,275) -- (4) -- (274)
-------- ---------- ---------- ---------- -------- -------- ----------
TOTAL INVESTMENT INCOME................ 287,140 357,818 375,837 221,370 9,073 3,278 400,962
-------- ---------- ---------- ---------- -------- -------- ----------
EXPENSES
Investment advisory fees............. 145,930 169,538 247,941 195,472 3,785 3,709 104,754
Custodian fees....................... 38,301 25,104 117,996 11,344 1,040 537 9,088
Transfer agent fees.................. 1,266 1,266 1,266 1,066 -- -- 1,066
Portfolio accounting fees............ 3,438 3,516 3,749 2,866 -- -- 2,479
Registration fees.................... 58 118 88 99 322 322 50
Professional fees.................... 18,559 18,558 24,358 19,258 12,862 12,862 19,258
Trustee fees......................... 1,357 1,362 1,357 1,357 440 440 1,356
Other................................ 7,023 7,594 8,003 8,079 851 851 4,916
-------- ---------- ---------- ---------- -------- -------- ----------
TOTAL EXPENSES......................... 215,932 227,056 404,758 239,541 19,300 18,721 142,967
Less:
Reimbursement from Advisor........... (45,898) (29,898) (118,829) (4,467) (14,884) (14,426) (20,493)
Fees paid indirectly................. (2,234) (2,641) (2,093) (10,114) -- -- (839)
-------- ---------- ---------- ---------- -------- -------- ----------
NET EXPENSES........................... 167,800 194,517 283,836 224,960 4,416 4,295 121,635
-------- ---------- ---------- ---------- -------- -------- ----------
NET INVESTMENT INCOME (LOSS)........... 119,340 163,301 92,001 (3,590) 4,657 (1,017) 279,327
-------- ---------- ---------- ---------- -------- -------- ----------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments.......................... 602,416 (221,942) 1,196,113 (523,886) (4,427) (9,337) 933,110
Foreign currency related items....... 9,765 28,945 (2,943) -- -- -- --
Net change in unrealized appreciation
(depreciation) on:
Investments........................ 999,505 872,041 4,236,085 3,281,071 79,272 213,709 476,858
Foreign currency related items..... (4,062) (71,967) 128,253 -- -- -- --
-------- ---------- ---------- ---------- -------- -------- ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS)............................... 1,607,624 607,077 5,557,508 2,757,185 74,845 204,372 1,409,968
-------- ---------- ---------- ---------- -------- -------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS...................... $1,726,964 $ 770,378 $5,649,509 $2,753,595 $ 79,502 $203,355 $1,689,295
======== ========== ========== ========== ======== ======== ==========
</TABLE>
- -------------------------
* For period beginning September 16, 1996, commencement of operations, for
JNL/Eagle Core Equity Series and JNL/Eagle SmallCap Equity Series.
See notes to the financial statements.
20
<PAGE> 22
<TABLE>
<CAPTION>
T. ROWE
JNL/PHOENIX PPM SALOMON T. ROWE PRICE/JNL
INVESTMENT PPM AMERICA/JNL PPM SALOMON BROTHERS/JNL PRICE/JNL INTERNATIONAL
COUNSEL AMERICA/JNL MONEY AMERICA/JNL BROTHERS/JNL U.S. GOVERNMENT ESTABLISHED EQUITY
GROWTH HIGH YIELD MARKET VALUE EQUITY GLOBAL BOND & QUALITY BOND GROWTH INVESTMENT
SERIES BOND SERIES SERIES SERIES SERIES SERIES SERIES SERIES
----------- ----------- ----------- ------------ ------------ --------------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 72,873 $ 4,681 $ -- $ 235,569 $ -- $ -- $ 196,524 $ 568,552
96,978 758,156 711,067 3,240 651,374 330,690 60,800 111,792
(640) (502) -- -- (878) -- (6,107) (46,836)
-------- ---------- ---------- ---------- -------- -------- ----------
169,211 762,335 711,067 238,809 650,496 330,690 251,217 633,508
-------- ---------- ---------- ---------- -------- -------- ----------
76,618 59,890 77,345 56,818 64,789 35,080 133,940 297,941
4,983 7,083 8,291 31,960 11,067 7,581 10,126 15,444
1,066 1,066 1,065 1,066 1,166 1,266 1,266 1,266
1,080 2,458 2,457 2,479 3,196 2,747 3,443 3,883
50 99 75 24 77 37 195 77
18,358 21,457 17,058 18,358 24,858 18,159 18,957 24,858
1,356 1,356 1,356 1,356 1,357 1,357 1,357 1,357
5,164 3,443 2,722 4,245 3,491 2,683 6,426 6,200
-------- ---------- ---------- ---------- -------- -------- ----------
108,675 96,852 110,369 116,306 110,001 68,910 175,710 351,026
(19,190) (24,657) (13,678) (46,993) (33,688) (26,313) (18,006) (12,467)
(562) (1,626) (115) (4,967) (515) (221) (266) --
-------- ---------- ---------- ---------- -------- -------- ----------
88,923 70,569 96,576 64,346 75,798 42,376 157,438 338,559
-------- ---------- ---------- ---------- -------- -------- ----------
80,288 691,766 614,491 174,463 574,698 288,314 93,779 294,949
-------- ---------- ---------- ---------- -------- -------- ----------
1,130,393 217,828 -- 299,700 275,846 29,022 93,499 203,836
-- -- -- -- 57,170 -- (12,360) 25,484
152,651 383,145 -- 1,455,960 178,039 82,805 3,384,049 2,679,873
-- -- -- -- (21,421) -- 44 2,709
-------- ---------- ---------- ---------- -------- -------- ----------
1,283,044 600,973 -- 1,755,660 489,634 111,827 3,465,232 2,911,902
-------- ---------- ---------- ---------- -------- -------- ----------
$1,363,332 $1,292,739 $614,491 $1,930,123 $1,064,332 $400,141 $3,559,011 $3,206,851
======== ========== ========== ========== ======== ======== ==========
<CAPTION>
T. ROWE
PRICE/JNL
MID-CAP
GROWTH
SERIES
---------
<S> <C>
$ 72,375
132,476
(234)
204,617
210,778
10,199
1,066
3,376
99
19,258
1,356
8,667
254,799
(10,714)
(123)
243,962
(39,345)
750,795
(3)
3,708,604
--
4,459,396
$4,420,051
</TABLE>
21
<PAGE> 23
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
JNL AGGRESSIVE JNL CAPITAL JNL GLOBAL
GROWTH SERIES GROWTH SERIES EQUITIES SERIES
--------------------------- --------------------------- ---------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, MAY 15, APRIL 1, MAY 15, APRIL 1, MAY 15,
1996 TO 1995* 1996 TO 1995* 1996 TO 1995*
DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31,
1996 1996 1996 1996 1996 1996
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income
(loss)................... $ 119,340 $ 14,650 $ 163,301 $ (27,120) $ 92,001 $ 41,731
Net realized gain (loss)
on:
Investments.............. 602,416 1,017,633 (221,942) 822,061 1,196,113 1,904,209
Foreign currency related
items.................. 9,765 (27,706) 28,945 (6,783) (2,943) (114,384)
Net change in unrealized
appreciation
(depreciation) on:
Investments.............. 999,505 836,282 872,041 1,754,294 4,236,085 2,401,300
Foreign currency related
items.................. (4,062) 29 (71,967) (265) 128,253 12,958
----------- ---------- ----------- ---------- ----------- -----------
Net increase in net assets
from operations.......... 1,726,964 1,840,888 770,378 2,542,187 5,649,509 4,245,814
----------- ---------- ----------- ---------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS:
Net investment income...... (104,404) -- (3) -- (238,326) (2,088)
Net realized gain on
investment
transactions............. (1,470,576) (205,786) (390,495) (422,240) (2,687,572) (365,329)
Return of capital.......... (289,382) -- -- -- (955,663) --
----------- ---------- ----------- ---------- ----------- -----------
Total distributions to
shareholders............. (1,864,362) (205,786) (390,498) (422,240) (3,881,561) (367,417)
----------- ---------- ----------- ---------- ----------- -----------
SHARE TRANSACTIONS:
Proceeds from the sale of
shares................... 26,877,906 6,815,571 34,276,844 7,274,705 38,726,566 11,922,082
Reinvestment of
distributions............ 1,746,593 205,786 374,294 422,240 3,277,573 367,417
Cost of shares redeemed.... (7,459,511) (129,404) (7,662,400) (239,359) (11,274,162) (27,347)
----------- ---------- ----------- ---------- ----------- -----------
Net increase in net assets
from share
transactions............. 21,164,988 6,891,953 26,988,738 7,457,586 30,729,977 12,262,152
----------- ---------- ----------- ---------- ----------- -----------
Net increase in net
assets................... 21,027,590 8,527,055 27,368,618 9,577,533 32,497,925 16,140,549
Net assets beginning of
period................... 8,527,055 -- 9,577,533 -- 16,140,549 --
----------- ---------- ----------- ---------- ----------- -----------
NET ASSETS END OF PERIOD... $29,554,645 $8,527,055 $36,946,151 $9,577,533 $48,638,474 $16,140,549
=========== ========== =========== ========== =========== ===========
UNDISTRIBUTED NET
INVESTMENT INCOME........ $ 7,694 $ 7,691 $ 133,876 $ -- $ (149,359) $ 2,538
=========== ========== =========== ========== =========== ===========
<CAPTION>
JNL/ALGER
GROWTH SERIES
---------------------------
PERIOD FROM PERIOD FROM
APRIL 1, OCTOBER 16,
1996 TO 1995*
DECEMBER 31, TO MARCH 31,
1996 1996
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income
(loss)................... $ (3,590) $ (4,334)
Net realized gain (loss)
on:
Investments.............. (523,886) (176,693)
Foreign currency related
items.................. -- --
Net change in unrealized
appreciation
(depreciation) on:
Investments.............. 3,281,071 383,613
Foreign currency related
items.................. -- --
----------- ----------
Net increase in net assets
from operations.......... 2,753,595 202,586
----------- ----------
DISTRIBUTIONS TO
SHAREHOLDERS:
Net investment income...... -- --
Net realized gain on
investment
transactions............. -- --
Return of capital.......... -- --
----------- ----------
Total distributions to
shareholders............. -- --
----------- ----------
SHARE TRANSACTIONS:
Proceeds from the sale of
shares................... 34,332,656 8,603,764
Reinvestment of
distributions............ -- --
Cost of shares redeemed.... (7,483,397) (157,113)
----------- ----------
Net increase in net assets
from share
transactions............. 26,849,259 8,446,651
----------- ----------
Net increase in net
assets................... 29,602,854 8,649,237
Net assets beginning of
period................... 8,649,237 --
----------- ----------
NET ASSETS END OF PERIOD... $38,252,091 $8,649,237
=========== ==========
UNDISTRIBUTED NET
INVESTMENT INCOME........ $ -- $ --
=========== ==========
</TABLE>
- -------------------------
* Commencement of operations.
See notes to the financial statements.
22
<PAGE> 24
<TABLE>
<CAPTION>
JNL/ JNL/EAGLE
EAGLE CORE SMALLCAP JNL/PHOENIX INVESTMENT JNL/PHOENIX INVESTMENT PPM AMERICA/JNL
EQUITY SERIES EQUITY SERIES COUNSEL BALANCED SERIES COUNSEL GROWTH SERIES HIGH YIELD BOND SERIES
------------- ------------- --------------------------- --------------------------- ---------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
SEPTEMBER 16, SEPTEMBER 16, APRIL 1, MAY 15, APRIL 1, MAY 15, APRIL 1, MAY 15,
1996* TO 1996* TO 1996 TO 1995* 1996 TO 1995* 1996 TO 1995*
DECEMBER 31, DECEMBER 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31,
1996 1996 1996 1996 1996 1996 1996 1996
------------- ------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 4,657 $ (1,017) $ 279,327 $ 64,994 $ 80,288 $ 3,173 $ 691,766 $ 384,605
(4,427) (9,337) 933,110 121,825 1,130,393 254,010 217,828 (24,875)
-- -- -- -- -- -- -- --
79,272 213,709 476,858 137,231 152,651 137,697 383,145 30,805
-- -- -- -- -- -- -- --
---------- ---------- ----------- ---------- ----------- ---------- ----------- ----------
79,502 203,355 1,689,295 324,050 1,363,332 394,880 1,292,739 390,535
---------- ---------- ----------- ---------- ----------- ---------- ----------- ----------
(4,657) -- (301,815) (40,871) (83,226) (235) (798,203) (272,127)
-- -- (364,079) (61,660) (608,389) (117,706) (23,388) --
(320) -- -- -- -- -- -- --
---------- ---------- ----------- ---------- ----------- ---------- ----------- ----------
(4,977) -- (665,894) (102,531) (691,615) (117,941) (821,591) (272,127)
---------- ---------- ----------- ---------- ----------- ---------- ----------- ----------
2,027,399 1,760,997 21,937,839 4,496,694 21,124,451 2,128,041 12,401,767 5,775,829
2,270 -- 652,446 102,531 673,981 117,941 790,186 272,127
(149,997) (20,263) (3,955,738) (60,115) (2,184,704) (4,851) (6,422,234) (10,835)
---------- ---------- ----------- ---------- ----------- ---------- ----------- ----------
1,879,672 1,740,734 18,634,547 4,539,110 19,613,728 2,241,131 6,769,719 6,037,121
---------- ---------- ----------- ---------- ----------- ---------- ----------- ----------
1,954,197 1,944,089 19,657,948 4,760,629 20,285,445 2,518,070 7,240,867 6,155,529
-- -- 4,760,629 -- 2,518,070 -- 6,155,529 --
---------- ---------- ----------- ---------- ----------- ---------- ----------- ----------
$1,954,197 $1,944,089 $24,418,577 $4,760,629 $22,803,515 $2,518,070 $13,396,396 $6,155,529
========== ========== =========== ========== =========== ========== =========== ==========
$ -- $ -- $ 2,086 $ 24,386 $ -- $ 2,938 $ 6,041 $ 112,478
========== ========== =========== ========== =========== ========== =========== ==========
</TABLE>
23
<PAGE> 25
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
PPM AMERICA/JNL PPM AMERICA/JNL SALOMON BROTHERS/JNL
MONEY MARKET SERIES VALUE EQUITY SERIES GLOBAL BOND SERIES
---------------------------- ---------------------------- ----------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, MAY 15, APRIL 1, MAY 15, APRIL 1, MAY 15,
1996 TO 1995* 1996 TO 1995* 1996 TO 1995*
DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31,
1996 1996 1996 1996 1996 1996
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)....... $ 614,491 $ 234,137 $ 174,463 $ 48,909 $ 574,698 $ 417,787
Net realized gain (loss) on:
Investments...................... -- -- 299,700 90,665 275,846 76,520
Foreign currency related items... -- -- -- -- 57,170 14,461
Net change in unrealized
appreciation (depreciation) on:
Investments...................... -- -- 1,455,960 495,135 178,039 25,325
Foreign currency related items... -- -- -- -- (21,421) 5,760
----------- ---------- ----------- ---------- ----------- ----------
Net increase in net assets from
operations....................... 614,491 234,137 1,930,123 634,709 1,064,332 539,853
----------- ---------- ----------- ---------- ----------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income.............. (614,491) (234,137) (183,956) (34,144) (754,598) (284,881)
Net realized gain on investment
transactions..................... -- -- (226,911) (31,292) (280,691) (13,959)
Return of capital.................. -- -- -- -- -- --
----------- ---------- ----------- ---------- ----------- ----------
Total distribution to
shareholders..................... (614,491) (234,137) (410,867) (65,436) (1,035,289) (298,840)
----------- ---------- ----------- ---------- ----------- ----------
SHARE TRANSACTIONS:
Proceeds from the sale of shares... 43,176,521 7,080,475 15,648,559 2,744,940 9,953,802 5,906,032
Reinvestment of distributions...... 606,298 234,137 398,998 65,436 870,854 298,840
Cost of shares redeemed............ (26,846,271) (498,973) (3,171,440) (14,344) (4,750,819) (65,822)
----------- ---------- ----------- ---------- ----------- ----------
Net increase in net assets from
share transactions............... 16,936,548 6,815,639 12,876,117 2,796,032 6,073,837 6,139,050
----------- ---------- ----------- ---------- ----------- ----------
Net increase in net assets......... 16,936,548 6,815,639 14,395,373 3,365,305 6,102,880 6,380,063
Net assets beginning of period..... 6,815,639 -- 3,365,305 -- 6,380,063 --
----------- ---------- ----------- ---------- ----------- ----------
NET ASSETS END OF PERIOD........... $ 23,752,187 $6,815,639 $17,760,678 $3,365,305 $12,482,943 $6,380,063
=========== ========== =========== ========== =========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME........................... $ -- $ -- $ 5,272 $ 14,765 $ 24,906 $ 154,263
=========== ========== =========== ========== =========== ==========
</TABLE>
- ------------------------
* Commencement of operations.
See notes to the financial statements.
24
<PAGE> 26
<TABLE>
<CAPTION>
SALOMON BROTHERS/JNL T. ROWE PRICE/JNL
U.S. GOVERNMENT & T. ROWE PRICE/JNL INTERNATIONAL T. ROWE PRICE/JNL
QUALITY BOND SERIES ESTABLISHED GROWTH SERIES EQUITY INVESTMENT SERIES MID-CAP GROWTH SERIES
---------------------------- ---------------------------- ---------------------------- ----------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, MAY 15, APRIL 1, MAY 15, APRIL 1, MAY 15, APRIL 1, MAY 15,
1996 TO 1995* 1996 TO 1995* 1996 TO 1995* 1996 TO 1995*
DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31,
1996 1996 1996 1996 1996 1996 1996 1996
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 288,314 $ 101,972 $ 93,779 $ 39,667 $ 294,949 $ 144,763 $ (39,345) $ 45,840
29,022 16,922 93,499 755,376 203,836 28,284 750,795 646,003
-- -- (12,360) (688) 25,484 (98,371) (3) (638)
82,805 (33,024) 3,384,049 610,608 2,679,873 2,453,995 3,708,604 1,402,175
-- -- 44 12 2,709 351 -- --
----------- ---------- ----------- ---------- ----------- ----------- ----------- -----------
400,141 85,870 3,559,011 1,404,975 3,206,851 2,529,022 4,420,051 2,093,380
----------- ---------- ----------- ---------- ----------- ----------- ----------- -----------
(318,115) (69,090) (91,356) (32,938) (465,733) -- (144,094) (1,703)
(30,967) (8,103) (212,086) (672,346) (51,200) -- (1,107,685) (266,093)
-- -- (1,234,953) -- -- -- -- --
----------- ---------- ----------- ---------- ----------- ----------- ----------- -----------
(349,082) (77,193) (1,538,395) (705,284) (516,933) -- (1,251,779) (267,796)
----------- ---------- ----------- ---------- ----------- ----------- ----------- -----------
8,748,229 2,948,026 27,757,264 7,552,012 22,581,023 21,710,034 41,147,930 8,712,257
330,365 77,193 1,489,773 705,284 255,509 -- 1,198,205 267,796
(2,304,702) (27,107) (7,748,754) (184,945) (1,533,092) (28,085) (8,955,066) (260,489)
----------- ---------- ----------- ---------- ----------- ----------- ----------- -----------
6,773,892 2,998,112 21,498,283 8,072,351 21,303,440 21,681,949 33,391,069 8,719,564
----------- ---------- ----------- ---------- ----------- ----------- ----------- -----------
6,824,951 3,006,789 23,518,899 8,772,042 23,993,358 24,210,971 36,559,341 10,545,148
3,006,789 -- 8,772,042 -- 24,210,971 -- 10,545,148 --
----------- ---------- ----------- ---------- ----------- ----------- ----------- -----------
$ 9,831,740 $3,006,789 $32,290,941 $8,772,042 $48,204,329 $24,210,971 $47,104,489 $10,545,148
=========== ========== =========== ========== =========== =========== =========== ===========
$ -- $ 31,823 $ (3,896) $ 6,828 $ 65,539 $ 80,214 $ (301) $ 44,137
=========== ========== =========== ========== =========== =========== =========== ===========
</TABLE>
25
<PAGE> 27
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
JNL AGGRESSIVE JNL CAPITAL JNL GLOBAL
GROWTH SERIES GROWTH SERIES EQUITIES SERIES
---------------------------- ---------------------------- ----------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, MAY 15, APRIL 1, MAY 15, APRIL 1, MAY 15,
1996 TO 1995* 1996 TO 1995* 1996 TO 1995*
DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31,
1996 1996 1996 1996 1996 1996
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $ 13.13 $10.00 $ 13.86 $10.00 $ 13.75 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)......... 0.05 0.01 0.06 -- 0.03 0.10
Net realized and unrealized gains on
investments and foreign currency
related items...................... 1.10 3.53 0.70 4.70 2.72 4.02
------- ------- ------- ------ ------- ------
Total income from investment
operations......................... 1.15 3.54 0.76 4.70 2.75 4.12
------- ------- ------- ------ ------- ------
LESS DISTRIBUTIONS:
From net investment income........... (0.05) -- -- -- (0.08) --
From net realized gains on investment
transactions....................... (0.71) (0.41) (0.16) (0.84) (0.90) (0.37)
Return of capital.................... (0.14) -- -- -- (0.32) --
------- ------- ------- ------ ------- ------
Total distributions.................. (0.90) (0.41) (0.16) (0.84) (1.30) (0.37)
------- ------- ------- ------ ------- ------
Net increase......................... 0.25 3.13 0.60 3.86 1.45 3.75
------- -------- ------- ------ ------- -------
NET ASSET VALUE, END OF PERIOD....... $ 13.38 $ 13.13 $ 14.46 $13.86 $ 15.20 $ 13.75
======= ======== ======= ====== ======= =======
TOTAL RETURN(A)...................... 8.72% 35.78% 5.45% 47.94% 19.99% 41.51%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in
thousands)......................... $29,555 $ 8,527 $36,946 $9,578 $48,638 $16,141
Ratio of net expenses to average net
assets(b)(c)....................... 1.09% 1.09% 1.09% 1.09% 1.14% 1.15%
Ratio of net investment income to
average net assets(b)(c)........... 0.77% 0.27% 0.91% (0.49)% 0.37% 0.39%
Portfolio turnover rate.............. 85.22% 163.84% 115.88% 128.56% 52.02% 142.36%
Average commission rate paid(d)...... $0.0242 n/a $0.0196 n/a $0.0162 n/a
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR FEES PAID
INDIRECTLY
Ratio of expenses to average net
assets(b).......................... 1.40% 2.77% 1.27% 2.08% 1.63% 2.25%
Ratio of net investment income to
average net assets(b).............. 0.46% (1.41)% 0.73% (1.48)% (0.12)% (0.71)%
</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.
26
<PAGE> 28
<TABLE>
<CAPTION>
JNL/EAGLE JNL/EAGLE
CORE EQUITY SMALLCAP JNL/PHOENIX INVESTMENT JNL/PHOENIX INVESTMENT
JNL/ALGER GROWTH SERIES SERIES EQUITY SERIES COUNSEL BALANCED SERIES COUNSEL GROWTH SERIES
-------------------------- ------------- ------------- -------------------------- --------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, OCTOBER 16, SEPTEMBER 16, SEPTEMBER 16, APRIL 1, MAY 15, APRIL 1, MAY 15,
1996 TO 1995* TO 1996* TO 1996* TO 1996 TO 1995* TO 1996 TO 1995* TO
DECEMBER 31, MARCH 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, MARCH 31, DECEMBER 31, MARCH 31,
1996 1996 1996 1996 1996 1996 1996 1996
------------ ----------- ------------- ------------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$10.38 $10.00 $10.00 $10.00 $11.17 $10.00 $12.50 $10.00
-- -- 0.03 (0.01) 0.10 0.25 0.04 0.01
0.78 0.38 0.62 1.55 0.98 1.40 2.12 3.66
------- ------ ------ ------ ------- ------ ------- ------
0.78 0.38 0.65 1.54 1.08 1.65 2.16 3.67
------- ------ ------ ------ ------- ------ ------- ------
-- -- (0.03) -- (0.15) (0.19) (0.05) --
-- -- -- -- (0.18) (0.29) (0.40) (1.17)
-- -- -- -- -- -- -- --
------- ------ ------ ------ ------- ------ ------- ------
-- -- (0.03) -- (0.33) (0.48) (0.45) (1.17)
------- ------ ------ ------ ------- ------ ------- ------
0.78 0.38 0.62 1.54 0.75 1.17 1.71 2.50
------- ------ ------ ------ ------- ------ ------- ------
$11.16 $10.38 $10.62 $11.54 $11.92 $11.17 $14.21 $12.50
======= ====== ====== ====== ======= ====== ======= ======
7.51% 3.80% 6.47% 15.40% 9.72% 16.60% 17.28% 37.69%
$38,252 $8,649 $ 1,954 $ 1,944 $24,419 $4,761 $22,804 $2,518
1.07% 1.03% 1.05% 1.10% 1.04% 1.01% 1.04% 0.95%
(0.02)% (0.17)% 1.10% (0.26)% 2.39% 2.99% 0.94% 0.28%
59.92% 50.85% 1.36% 28.01% 158.15% 115.84% 184.33% 255.03%
$0.0441 n/a $0.0452 $0.0264 $0.0494 n/a $0.0175 n/a
1.19% 1.89% 4.57% 4.77% 1.22% 3.71% 1.27% 5.38%
(0.14)% (1.03)% (2.42)% (3.93)% 2.21% 0.29% 0.71% (4.15)%
<CAPTION>
PPM AMERICA/JNL HIGH
YIELD BOND SERIES
--------------------------
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
DECEMBER 31, MARCH 31,
1996 1996
------------ -----------
<S> <C>
$10.23 $10.00
0.51 0.73
0.64 0.04
------- ------
1.15 0.77
------- ------
(0.69) (0.54)
(0.02) --
-- --
------- ------
(0.71) (0.54)
------- ------
0.44 0.32
------- ------
$10.67 $10.23
======= ======
11.24% 7.82%
$13,396 $6,156
0.88% 0.88%
8.64% 8.34%
113.08% 186.21%
n/a n/a
1.21% 1.50%
8.31% 7.72%
</TABLE>
27
<PAGE> 29
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
PPM AMERICA/JNL PPM AMERICA/JNL SALOMON BROTHERS/JNL
MONEY MARKET SERIES VALUE EQUITY SERIES GLOBAL BOND SERIES
--------------------------- --------------------------- ---------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, MAY 15, APRIL 1, MAY 15, APRIL 1, MAY 15,
1996 TO 1995* 1996 TO 1995* 1996 TO 1995*
DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31,
1996 1996 1996 1996 1996 1996
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 1.00 $1.00 $ 12.77 $10.00 $ 10.46 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)............ 0.04 0.04 0.10 0.23 0.42 0.81
Net realized and unrealized gains on
investments and foreign currency
related items......................... -- -- 1.97 2.86 0.70 0.24
------- ----- ------- ------ ------- ------
Total income from investment
operations............................ 0.04 0.04 2.07 3.09 1.12 1.05
------- ------ ------- ------ ------- ------
LESS DISTRIBUTIONS:
From net investment income.............. (0.04) (0.04) (0.15) (0.17) (0.69) (0.56)
From net realized gains on investment
transactions.......................... -- -- (0.19) (0.15) (0.26) (0.03)
Return of capital....................... -- -- -- -- -- --
------- ------ ------- ------ ------- ------
Total distributions..................... (0.04) (0.04) (0.34) (0.32) (0.95) (0.59)
------- ------ ------- ------ ------- ------
Net increase............................ -- -- 1.73 2.77 0.17 0.46
------- ------ ------- ------ ------- ------
NET ASSET VALUE, END OF PERIOD.......... $ 1.00 $ 1.00 $ 14.50 $12.77 $ 10.63 $10.46
======= ====== ======= ====== ======= ======
TOTAL RETURN(A)......................... 3.61% 4.59% 16.25% 31.14% 10.68% 10.74%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in
thousands)............................ $23,752 $6,816 $17,761 $3,365 $12,483 $6,380
Ratio of net expenses to average net
assets(b)(c).......................... 0.75% 0.75% 0.85% 0.87% 0.99% 1.00%
Ratio of net investment income to
average net assets(b)(c).............. 4.75% 5.06% 2.29% 2.33% 7.52% 9.01%
Portfolio turnover rate................. -- -- 13.71% 30.12% 109.85% 152.89%
Average commission rate paid(d)......... n/a n/a $0.0259 n/a n/a n/a
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR FEES PAID INDIRECTLY
Ratio of expenses to average net
assets(b)............................. 0.85% 1.30% 1.53% 2.28% 1.44% 2.14%
Ratio of net investment income to
average net assets(b)................. 4.65% 4.51% 1.61% 0.91% 7.07% 7.87%
</TABLE>
- -------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized.
(b) Annualized.
(c) Computed after giving effect to the 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.
28
<PAGE> 30
<TABLE>
<CAPTION>
SALOMON BROTHERS/JNL U.S. T. ROWE PRICE/
GOVERNMENT & QUALITY T. ROWE PRICE/JNL JNL INTERNATIONAL T. ROWE PRICE/JNL
BOND SERIES ESTABLISHED GROWTH SERIES EQUITY INVESTMENT SERIES MID-CAP GROWTH SERIES
--------------------------- --------------------------- --------------------------- ---------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, MAY 15, APRIL 1, MAY 15, APRIL 1, MAY 15, APRIL 1, MAY 15,
1996 TO 1995* 1996 TO 1995* 1996 TO 1995* 1996 TO 1995*
DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, TO MARCH 31,
1996 1996 1996 1996 1996 1996 1996 1996
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 10.09 $ 10.00 $ 11.36 $ 10.00 $ 11.25 $ 10.00 $ 13.43 $ 10.00
0.24 0.45 0.03 0.07 0.06 0.04 (0.05) 0.06
0.24 0.02 1.81 2.68 0.90 1.21 1.92 3.90
-------- -------- -------- -------- -------- ------- -------- --------
0.48 0.47 1.84 2.75 0.96 1.25 1.87 3.96
-------- -------- -------- -------- -------- ------- -------- --------
(0.34) (0.34) (0.04) (0.06) (0.12) -- (0.05) --
(0.03) (0.04) (0.09) (1.33) (0.01) -- (0.36) (0.53)
-- -- (0.51) -- -- -- -- --
-------- -------- -------- -------- -------- ------- -------- --------
(0.37) (0.38) (0.64) (1.39) (0.13) -- (0.41) (0.53)
-------- -------- -------- -------- -------- ------- -------- --------
0.11 0.09 1.20 1.36 0.83 1.25 1.46 3.43
-------- -------- -------- -------- -------- ------- -------- --------
$ 10.20 $ 10.09 $ 12.56 $ 11.36 $ 12.08 $ 11.25 $ 14.89 $ 13.43
======== ======== ======== ======== ======== ======== ======== ========
4.82% 4.65% 16.12% 28.23% 8.54% 12.50% 13.91% 40.06%
$ 9,832 $ 3,007 $ 32,291 $ 8,772 $ 48,204 $24,211 $ 47,104 $ 10,545
0.84% 0.84% 1.00% 1.00% 1.25% 1.25% 1.10% 1.10%
5.72% 5.41% 0.59% 0.75% 1.09% 0.78% (0.18)% 0.82%
218.50% 253.37% 36.41% 101.13% 5.93% 16.45% 25.05% 66.04%
n/a n/a $ 0.0288 n/a $ 0.0257 n/a $ 0.0326 n/a
1.37% 2.53% 1.11% 2.09% 1.29% 2.14% 1.14% 2.10%
5.19% 3.72% 0.48% (0.34)% 1.05% (0.11)% (0.22)% (0.18)%
</TABLE>
29
<PAGE> 31
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
JNL Series Trust ("Trust") is an open-end management investment company
organized under the laws of Massachusetts, by a Declaration of Trust, dated June
1, 1994. The Trust is registered with the Securities and Exchange Commission
under the Investment Company Act of 1940. The Trust currently offers shares in
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 composed of the following Series: JNL Aggressive Growth, JNL
Capital Growth and JNL Global Equities for which Janus Capital Corporation
serves as the sub-advisor; JNL/Alger Growth for which Fred Alger Management,
Inc. serves as the sub-advisor; JNL/Eagle Core Equity and JNL/Eagle SmallCap
Equity for which Eagle Asset Management, Inc. serves as sub-advisor; JNL/Phoenix
Investment Counsel Balanced and JNL/Phoenix Investment Counsel Growth for which
Phoenix Investment Counsel, Inc. serves as the sub-advisor; PPM America/JNL High
Yield Bond, PPM America/JNL Money Market and PPM America/JNL Value Equity for
which PPM America, Inc. serves as the sub-advisor; 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-advisor; 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-advisor; and T. Rowe Price/JNL International
Equity Investment for which Rowe Price-Fleming International, Inc. serves as the
sub-advisor. Salomon Brothers Asset Management Inc has entered into a
sub-advisory consulting agreement with its London based affiliate, Salomon
Brothers Asset Management Limited pursuant to which it will provide certain
sub-advisory services to Salomon Brothers Asset Management Inc relating to
currency transactions and investments in non-dollar denominated debt securities
for the benefit of the Series. Jackson National Financial Services, Inc.
("JNFSI"), a wholly-owned subsidiary of Jackson National Life Insurance Company
("Jackson National"), serves as investment advisor ("Advisor") for all the
Series of the Trust. PPM America, Inc. is an affiliate of the Advisor. Shares
are presently offered only to Jackson National and its separate account. As of
December 31, 1996, Jackson National's investment in the Trust totaled
$45,710,487.
The costs associated with the organization of the Trust and certain other
initial period costs have been borne by Jackson National.
Effective December 31, 1996, the Trust changed its fiscal year end to
December 31.
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 income and expenses during
the reported 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.
30
<PAGE> 32
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on a trade date basis. Dividend income is recorded on the
ex-dividend date. 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 December 31,
1996.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- The Series may purchase
securities on a when-issued or delayed delivery basis. On the trade date, the
Series record purchases of when-issued securities and 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.
DOLLAR ROLL TRANSACTIONS -- The Salomon Brothers/ JNL Global Bond Series
and the Salomon Brothers/JNL
31
<PAGE> 33
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 annually. All income, dividends, and capital
gains distributions, if any, on Series shares are reinvested automatically in
additional shares of the Series at the net asset value determined on the first
business day following the record date, unless otherwise requested by the
shareholder.
FEDERAL INCOME TAXES -- The Trust's policy is to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute income in amounts that will avoid federal income or
excise taxes for each Series. The Trust may periodically make reclassifications
among certain of its capital accounts as a result of the recognition and
characterization of certain income and capital gain distributions determined
annually in accordance with federal tax regulations which may differ from
generally accepted accounting principles.
For federal income tax purposes, JNL Capital Growth Series, JNL/Alger
Growth Series and JNL/Eagle SmallCap Equity Series have capital loss carryovers
totalling $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 advisor 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-advisors to manage the
investment and reinvestment of the assets of the Trust.
As compensation for its services, JNFSI receives a fee from each Series.
The fees, which are accrued daily and payable monthly, are calculated on the
basis of the average daily net assets of each Series. Once the average net
assets of a Series exceed specified amounts, the fee is reduced with respect to
such excess. The following is a schedule of the fees each Series is currently
obligated to pay JNFSI.
<TABLE>
<CAPTION>
$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%
</TABLE>
32
<PAGE> 34
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (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/Eagle Core Equity Series................................ .90% .85% .85% .75% .75%
JNL/Eagle SmallCap Equity Series............................ .95% .95% .90% .90% .85%
JNL/Phoenix Investment Counsel Balanced Series.............. .90% .80% .75% .70% .65%
JNL/Phoenix Investment Counsel Growth Series................ .90% .85% .80% .75% .70%
PPM America/JNL High Yield Bond Series...................... .75% .70% .675% .65% .625%
PPM America/JNL Money Market Series......................... .60% .60% .575% .55% .525%
PPM America/JNL Value Equity Series......................... .75% .70% .675% .65% .625%
Salomon Brothers/JNL Global Bond Series..................... .85% .85% .80% .80% .75%
Salomon Brothers/JNL U.S. Government & Quality Bond
Series.................................................... .70% .70% .65% .60% .55%
T. Rowe Price/JNL Established Growth Series................. .85% .85% .80% .80% .80%
T. Rowe Price/JNL International Equity Investment Series.... 1.10% 1.05% 1.00% .95% .90%
T. Rowe Price/JNL Mid-Cap Growth Series..................... .95% .95% .90% .90% .90%
</TABLE>
As compensation for their services, the sub-advisors receive fees from
JNFSI computed separately for each Series. The fee for each Series is stated as
an annual percentage of the net assets of such Series. The following is a
schedule of the management fees JNFSI currently is obligated to pay the
sub-advisors 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 $150 M $300 M $500 M $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/Phoenix Investment Counsel Balanced Series......... .50% .40% .40% .30% .25% .20%
JNL/Phoenix Investment Counsel Growth Series........... .50% .40% .40% .30% .25% .20%
PPM America/JNL High Yield Bond Series................. .25% .20% .20% .175% .15% .125%
PPM America/JNL Money Market Series.................... .20% .15% .15% .125% .10% .075%
PPM America/JNL Value Equity Series.................... .25% .20% .20% .175% .15% .125%
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%
</TABLE>
<TABLE>
<CAPTION>
$0 TO $20 TO $50 TO $200
$20 M $50 M $200 M M+
----- ------ ------ ----
<S> <C> <C> <C> <C>
T. Rowe Price/JNL Established Growth Series................. .45% .40% .40%** .40%
T. Rowe Price/JNL International Equity Investment Series.... .75% .60% .50% .50%**
T. Rowe Price/JNL Mid-Cap Growth Series..................... .60% .50% .50%** .50%
</TABLE>
* Prior to September 16, 1996, the sub-advisory fees payable to Janus for these
Series were: $0 to $50 million -- .60%; $50 to $150 million -- .55%; $150 to
$300 million -- .45%; $300 to $500 million -- .40%; over $500 million -- .40%.
** When average net assets exceed this amount, the sub-advisory fee asterisked
is applicable to all amounts in this Series.
Trustees not affiliated with Jackson National receive a fee of $2,500 for
each meeting of the Board of Trustees attended as well as 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 $20,000 to non-affiliated Trustees
for the period ended December 31, 1996.
Each Series is charged for those expenses that are directly attributable to
it, such as advisory, custodian, accounting services and certain shareholder
service fees, while other expenses that cannot be directly attributable to a
Series are allocated in equal proportion to each Series.
33
<PAGE> 35
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
Currently, the Advisor reimburses each of the Series for annual expenses
(excluding the investment advisory fee) prior to fees paid indirectly in excess
of .15 % of average daily net assets. These voluntary reimbursements may be
modified or discontinued by the Advisor at any time.
During the period ended December 31, 1996, the Series earned credits on
uninvested cash balances held by certain Series at the custodian. These credits
were used to reduce custodian expenses. Of the credits for the JNL/Alger Growth
Series, $10,114 was used to reduce expenses and the remaining $58,958 in credits
are included in interest income.
NOTE 4. SECURITY TRANSACTIONS
During the period ended December 31, 1996, cost of purchases and proceeds
from sales and maturities of securities, other than short-term investments, were
as follows (in thousands):
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM SALES
PURCHASES AND MATURITIES
--------- -------------------
<S> <C> <C>
JNL Aggressive Growth Series................................ $29,706 $12,904
JNL Capital Growth Series................................... 49,090 25,376
JNL Global Equities Series.................................. 42,931 16,034
JNL/Alger Growth Series..................................... 39,382 13,988
JNL/Eagle Core Equity Series................................ 1,739 18
JNL/Eagle SmallCap Equity Series............................ 1,967 355
JNL/Phoenix Investment Counsel Balanced Series.............. 37,329 20,960
JNL/Phoenix Investment Counsel Growth Series................ 36,290 17,825
PPM America/JNL High Yield Bond Series...................... 17,786 11,343
PPM America/JNL Value Equity Series......................... 14,173 1,628
Salomon Brothers/JNL Global Bond Series..................... 18,882 12,774
Salomon Brothers/JNL U.S. Government & Quality Bond
Series.................................................... 21,718 15,072
T. Rowe Price/JNL Established Growth Series................. 26,615 7,325
T. Rowe Price/JNL International Equity Investment Series.... 22,137 2,036
T. Rowe Price/JNL Mid-Cap Growth Series..................... 35,253 6,673
</TABLE>
Included in these transactions were purchases and sales of U.S. Government
obligations of $13,728,073 and $6,229,697 in the JNL/Phoenix Investment Counsel
Balanced Series; $3,608,199 and $1,501,046 in the Salomon Brothers/JNL Global
Bond Series; $11,928,476 and $4,375,100 in the Salomon Brothers/JNL U.S.
Government & Quality Bond Series, respectively.
The federal income tax cost basis and gross unrealized appreciation and
depreciation on investments as of December 31, 1996, were as follows (in
thousands):
<TABLE>
<CAPTION>
TAX GROSS GROSS
COST UNREALIZED UNREALIZED NET UNREALIZED
BASIS APPRECIATION DEPRECIATION APPRECIATION
----- ------------ ------------ --------------
<S> <C> <C> <C> <C>
JNL Aggressive Growth Series............................. $28,099 $2,522 $ (750) $1,772
JNL Capital Growth Series................................ 34,938 4,094 (1,409) 2,685
JNL Global Equities Series............................... 42,410 7,450 (940) 6,510
JNL/Alger Growth Series.................................. 34,480 4,738 (1,078) 3,660
JNL/Eagle Core Equity Series............................. 1,717 103 (24) 79
JNL/Eagle SmallCap Equity Series......................... 1,603 264 (50) 214
JNL/Phoenix Investment Counsel Balanced Series........... 23,695 876 (291) 585
JNL/Phoenix Investment Counsel Growth Series............. 23,812 689 (410) 279
PPM America/JNL High Yield Bond Series................... 13,109 435 (21) 414
PPM America/JNL Value Equity Series...................... 16,392 1,997 (46) 1,951
Salomon Brothers/JNL Global Bond Series.................. 13,367 412 (205) 207
</TABLE>
34
<PAGE> 36
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TAX GROSS GROSS
COST UNREALIZED UNREALIZED NET UNREALIZED
BASIS APPRECIATION DEPRECIATION APPRECIATION
----- ------------ ------------ --------------
<S> <C> <C> <C> <C>
Salomon Brothers/JNL U.S. Government & Quality
Bond Series............................................ $11,871 $ 66 $ (21) $ 45
T. Rowe Price/JNL Established Growth Series.............. 29,030 4,544 (585) 3,959
T. Rowe Price/JNL International Equity Investment
Series................................................. 42,818 6,723 (1,770) 4,953
T. Rowe Price/JNL Mid-Cap Growth Series.................. 42,790 6,400 (1,306) 5,094
</TABLE>
NOTE 5. TRUST TRANSACTIONS
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 Balanced Series......... 1,895,883 54,735 (327,417) 1,623,201
JNL/Phoenix Investment Counsel Growth Series........... 1,507,501 47,430 (151,986) 1,402,945
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
PPM America/JNL Value Equity Series.................... 1,153,246 27,517 (219,113) 961,650
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>
Transactions of trust shares for the period ending March 31, 1996 were as
follows:
<TABLE>
<CAPTION>
SHARES DISTRIBUTIONS SHARES NET
PURCHASED REINVESTED REDEEMED INCREASE
--------- ------------- -------- --------
<S> <C> <C> <C> <C>
JNL Aggressive Growth Series........................... 642,443 17,149 (10,167) 649,425
JNL Capital Growth Series.............................. 675,761 33,752 (18,489) 691,024
JNL Global Equities Series............................. 1,146,694 29,253 (2,063) 1,173,884
JNL/Alger Growth Series................................ 848,221 -- (15,332) 832,889
JNL/Phoenix Investment Counsel Balanced Series......... 422,105 9,270 (5,359) 426,016
JNL/Phoenix Investment Counsel Growth Series........... 191,590 10,203 (390) 201,403
PPM America/JNL High Yield Bond Series................. 575,596 26,997 (1,060) 601,533
PPM America/JNL Money Market Series.................... 7,080,475 234,137 (498,973) 6,815,639
PPM America/JNL Value Equity Series.................... 259,328 5,480 (1,185) 263,623
Salomon Brothers/JNL Global Bond Series................ 586,655 29,530 (6,247) 609,938
Salomon Brothers/JNL U.S. Government & Quality Bond
Series............................................... 293,083 7,487 (2,677) 297,893
T. Rowe Price/JNL Established Growth Series............ 723,123 65,547 (16,467) 772,203
T. Rowe Price/JNL International Equity Investment
Series............................................... 2,155,419 -- (2,549) 2,152,870
T. Rowe Price/JNL Mid-Cap Growth Series................ 783,616 21,614 (19,833) 785,397
</TABLE>
35
<PAGE> 37
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 December 31, 1996, the following Series had entered into "position
hedge" forward foreign currency exchange contracts that obligate the Series to
deliver and receive currencies at specified future dates. The unrealized
appreciation (depreciation) of $(4,194), $(71,007), $139,453, and $(15,606) 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 12/31/96 CURRENCY TO BE RECEIVED AT 12/31/96
- ---------- ------------------------ ------------ ----------------------- ------------
<C> <S> <C> <C> <C>
4/22/97 99,832 US $ $ 99,832 150,000 Deutsche Mark $ 98,200
4/22/97 150,000 Deutsche Mark 98,200 98,457 US $ 98,457
1/27/97 10,000 Finnish Marka 2,178 2,234 US $ 2,234
4/22/97 15,000 Finnish Marka 3,285 3,292 US $ 3,292
5/27/97 1,000,000 Finnish Marka 219,527 223,140 US $ 223,140
6/4/97 130,000 Finnish Marka 28,554 28,341 US $ 28,341
1/16/97 35,000 British Sterling Pound 59,943 54,600 US $ 54,600
4/22/97 4,000 British Sterling Pound 6,833 6,340 US $ 6,340
5/27/97 120,000 British Sterling Pound 204,783 201,576 US $ 201,576
6/04/97 47,000 British Sterling Pound 80,188 78,729 US $ 78,729
1/27/97 35,786 US $ 35,786 55,000,000 Italian Lire 36,203
1/27/97 70,000,000 Italian Lire 46,076 45,625 US $ 45,625
2/10/97 30,000,000 Italian Lire 19,734 19,526 US $ 19,526
5/12/97 50,000,000 Italian Lire 32,790 32,731 US $ 32,731
5/27/97 35,765 US $ 35,765 55,000,000 Italian Lire 36,056
5/27/97 110,000,000 Italian Lire 72,111 72,746 US $ 72,746
1/27/97 80,000 Swedish Kronor 11,744 12,164 US $ 12,164
3/11/97 235,000 Swedish Kronor 34,565 34,417 US $ 34,417
4/22/97 29,228 US $ 29,228 200,000 Swedish Kronor 29,474
4/22/97 400,000 Swedish Kronor 58,948 60,441 US $ 60,441
5/27/97 190,000 Swedish Kronor 28,046 28,847 US $ 28,847
6/04/97 577,000 Swedish Kronor 85,202 85,985 US $ 85,985
---------- ----------
$1,293,318 $1,289,124
========== ==========
</TABLE>
36
<PAGE> 38
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
JNL CAPITAL GROWTH SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 12/31/96 CURRENCY TO BE RECEIVED AT 12/31/96
- ---------- ------------------------ ------------ ----------------------- ------------
<C> <S> <C> <C> <C> <C>
1/16/97 115,000 British Sterling Pound $ 196,955 179,400 US $ $ 179,400
1/24/97 300,000 British Sterling Pound 513,711 465,090 US $ 465,090
5/27/97 125,000 British Sterling Pound 213,315 209,975 US $ 209,975
6/04/97 48,000 British Sterling Pound 81,894 80,403 US $ 80,403
-------- --------
$1,005,875 $ 934,868
======== ========
</TABLE>
JNL GLOBAL EQUITIES SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 12/31/96 CURRENCY TO BE RECEIVED AT 12/31/96
- ---------- ------------------------ ------------ ----------------------- ------------
<C> <S> <C> <C> <C> <C>
1/16/97 600,000 Swiss Franc $ 448,999 484,539 US $ $ 484,539
1/17/97 150,000 Swiss Franc 112,377 125,408 US $ 125,408
3/04/97 1,400,000 Swiss Franc 1,052,746 1,058,809 US $ 1,058,809
5/12/97 122,000 Swiss Franc 92,398 98,125 US $ 98,125
1/16/97 30,000 Deutsche Mark 19,516 19,840 US $ 19,840
1/17/97 275,000 Deutsche Mark 178,909 183,541 US $ 183,541
1/27/97 400,000 Deutsche Mark 260,402 272,067 US $ 272,067
3/04/97 1,400,000 Deutsche Mark 913,560 900,354 US $ 900,354
1/16/97 750,000 Finnish Marka 163,222 165,213 US $ 165,213
5/12/97 93,000 Finnish Marka 20,395 20,701 US $ 20,701
1/16/97 500,000 French Franc 96,458 97,656 US $ 97,656
1/16/97 164,211 US $ 164,211 100,000 British Sterling Pound 171,265
1/16/97 100,000 British Sterling Pound 171,265 156,000 US $ 156,000
1/17/97 345,213 US $ 345,213 210,000 British Sterling Pound 359,649
1/17/97 210,000 British Sterling Pound 359,649 324,971 US $ 324,971
1/16/97 115,250,000 Japanese Yen 997,420 1,057,276 US $ 1,057,276
3/11/97 9,000,000 Japanese Yen 78,489 80,413 US $ 80,413
6/17/97 21,000,000 Japanese Yen 185,716 189,309 US $ 189,309
1/17/97 6,400,000 Swedish Kronor 939,106 970,727 US $ 970,727
1/27/97 700,000 Swedish Kronor 102,758 106,727 US $ 106,727
11/03/97 118,000 South African Rand 22,925 22,597 US $ 22,597
---------- ----------
$6,725,734 $6,865,187
========== ==========
</TABLE>
37
<PAGE> 39
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 12/31/96 CURRENCY TO BE RECEIVED AT 12/31/96
- ---------- ------------------------ ------------ ----------------------- ------------
<C> <S> <C> <C> <C>
1/22/97 19,327 Australian $ $ 15,357 15,268 US $ $ 15,268
1/22/97 645,849 Canadian $ 472,117 482,318 US $ 482,318
1/22/97 1,309,879 US $ 1,309,879 1,971,084 Deutsche Mark 1,282,766
1/22/97 2,030,669 Deutsche Mark 1,321,543 1,333,702 US $ 1,333,702
1/22/97 29,973 US $ 29,973 178,341 Danish Kroner 30,310
1/22/97 698,859 Danish Kroner 118,774 120,141 US $ 120,141
1/22/97 654,334 US $ 654,334 396,126 Irish Punts 671,193
1/22/97 508,142 Irish Punts 860,992 830,025 US $ 830,025
1/22/97 415,507 US $ 415,507 590,796 New Zealand $ 417,095
1/22/97 590,796 New Zealand $ 417,094 417,146 US $ 417,146
-------- --------
$5,615,570 $5,599,964
========== ==========
</TABLE>
NOTE 8. RECLASSIFICATION OF PERMANENT BOOK-TO-TAX DIFFERENCES
As a result of permanent book-to-tax differences, the following
reclassifications were made to the statement of assets and liabilities. For the
period ended December 31, 1996, accumulated net realized gain (loss) on
investments and foreign currency related items was increased (decreased) by
$14,933, $29,422, $5,572, ($188), ($50,543), $2,022, $13,147, ($156,109) and
($39,044), respectively, for the JNL Aggressive Growth Series, JNL Capital
Growth Series, JNL Global Equities Series, JNL/Phoenix Investment Counsel
Balanced Series, Salomon Brothers/JNL Global Bond Series, Salomon Brothers/JNL
U.S. Government & Quality Bond Series, T. Rowe Price/JNL Established Growth
Series, T. Rowe Price/JNL International Equity Investment Series and T. Rowe
Price/JNL Mid-Cap Growth Series; undistributed net investment income was
increased (decreased) by ($14,933), ($29,422), ($5,572), $3,590, $1,017, $188,
$50,543, ($2,022), ($13,147), $156,109 and $139,001, respectively, for JNL
Aggressive Growth Series, JNL Capital Growth Series, JNL Global Equities Series,
JNL/Alger Growth Series, JNL/Eagle SmallCap Equity Series, JNL/Phoenix
Investment Counsel Balanced Series, Salomon Brothers/JNL Global Bond Series,
Salomon Brothers/JNL U.S. Government & Quality Bond Series, T. Rowe Price/JNL
Established Growth Series, T. Rowe Price/JNL International Equity Investment
Series and T. Rowe Price/JNL Mid-Cap Growth Series; and net increases
(decreases) of ($3,590), ($1,017) and ($99,957), respectively, for the JNL/Alger
Growth Series, JNL/Eagle SmallCap Equity Series and T. Rowe Price/JNL Mid-Cap
Growth Series, were reclassified in the Series' paid-in capital.
38
<PAGE> 40
JNL AGGRESSIVE GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 83.26%
- -----------------------------------------
FINLAND -- 0.81%
- -----------------------------------------
DURABLE GOODS -- 0.81%
Metra Oy, B Shares..................... 4,307 $ 241,567
FRANCE -- 0.31%
- -----------------------------------------
COMPUTER SERVICES -- 0.31%
Axime (a).............................. 806 93,206
ITALY -- 0.43%
- -----------------------------------------
BANKS -- 0.06%
Banca Popolare Di Bergamo.............. 1,047 17,254
TELECOMMUNICATIONS -- 0.37%
Telecom Italia Mobile (a).............. 43,732 110,555
-----------
Total Italy.......................... 127,809
MEXICO -- 0.05%
- -----------------------------------------
BROKERAGE -- 0.05%
Grupo Financiero Inbursa, S.A. de
C.V. .................................. 4,300 14,694
SWEDEN -- 0.66%
- -----------------------------------------
HOLDING COMPANY -- 0.28%
Kinnevik AB, B Shares.................. 3,018 83,195
SECURITY SYSTEMS -- 0.22%
Securitas AB, B Shares................. 2,307 67,148
TELECOMMUNICATIONS -- 0.16%
Netcom Systems AB (a).................. 2,940 47,636
-----------
Total Sweden......................... 197,979
UNITED KINGDOM -- 1.74%
- -----------------------------------------
BUSINESS SERVICES -- 1.24%
Rentokil Group......................... 49,326 371,825
DRUGS -- 0.06%
Glaxo Wellcome......................... 1,128 18,359
FINANCIAL -- 0.44%
Barclays............................... 7,653 131,177
-----------
Total United Kingdom................. 521,361
UNITED STATES -- 79.26%
- -----------------------------------------
AEROSPACE & AIRCRAFT -- 0.66%
U.S. Robotics Corp. (a) ............... 2,725 196,200
APPAREL -- 3.86%
Abercrombie & Fitch Co. (a)............ 15,225 251,212
Nike, Inc., Class B.................... 6,975 416,756
Nordstrom, Inc. ....................... 1,150 40,753
Gucci Group N.V.-N.Y................... 6,650 424,769
Tommy Hilfiger Corp. (a)............... 400 19,200
-----------
1,152,690
BANKS -- 7.50%
Chase Manhattan Corp. ................. 3,375 301,219
Wells Fargo & Co. ..................... 7,191 1,939,772
-----------
2,240,991
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------
UNITED STATES (CONTINUED)
- -----------------------------------------
BUSINESS SERVICES -- 1.51%
Intelliquest Information Group, Inc.
(a).................................... 6,750 $ 153,563
Lamar Advertising Co. (a).............. 5,475 132,769
Outdoor Systems Inc. (a)............... 5,175 145,547
Quintiles Transnational Corp. (a)...... 75 4,969
West Teleservices Corp. (a)............ 625 14,219
-----------
451,067
CHEMICALS -- 3.70%
Lilly Eli & Co. ....................... 7,475 545,675
Monsanto Co. .......................... 8,950 347,931
Praxair, Inc. ......................... 1,300 59,963
SmithKline Beecham PLC -- ADR.......... 2,225 151,300
-----------
1,104,869
COMPUTERS & TECHNOLOGY -- 23.73%
Baan Co NVF (a)........................ 425 14,769
Black Box Corp. (a).................... 825 34,031
Cisco Systems, Inc. (a)................ 16,025 1,019,591
Documentum, Inc. (a)................... 950 32,062
Ecsoft Group, PLC (a).................. 4,800 46,200
First Data Corp. ...................... 16,100 587,650
HBO & Co. ............................. 16,525 981,172
HNC Software, Inc. (a)................. 6,600 206,250
Indus Group, Inc. (a).................. 3,775 97,206
Intel Corp. ........................... 3,150 412,453
Intelligroup, Inc. (a)................. 20,000 220,000
International Business Machines
Corp. ............................... 3,250 490,750
JDA Software, Inc. (a)................. 6,200 176,700
Keane, Inc. (a)........................ 10,000 317,500
Meta Group, Inc. (a)................... 9,150 247,050
Microsoft Corp. (a).................... 1,500 123,938
Netscape Communications Corp. (a)...... 5,600 318,500
Oracle Systems Corp. (a)............... 1,650 68,887
Parametric Technology Corp. (a)........ 9,875 507,328
Peoplesoft, Inc. (a)................... 11,550 553,678
Sapient Corp. (a)...................... 800 33,700
Sun Microsystems, Inc. (a)............. 9,750 250,453
Verifone, Inc. (a)..................... 3,000 88,500
Xylan Corp. (a)........................ 9,150 258,488
-----------
7,086,856
CONSTRUCTION -- 0.12%
Fastenal Co. .......................... 825 37,744
DRUGS -- 2.31%
Centocor, Inc (a)...................... 14,700 525,525
Glaxo Wellcome -- ADR.................. 1,175 37,306
Pharmaceutical Product Development,
Inc. (a)............................. 5,050 127,513
-----------
690,344
</TABLE>
See notes to the financial statements.
39
<PAGE> 41
JNL AGGRESSIVE GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------
UNITED STATES (CONTINUED)
- -----------------------------------------
ELECTRONICS -- 2.79%
Advanced Micro Devices, Inc. (a)....... 950 $ 24,462
Analog Devices, Inc. (a)............... 8,425 285,397
Cambridge Technology Partners, Inc.
(a).................................. 425 14,264
Etec Systems, Inc. (a)................. 750 28,688
Pittway Corp., Class A (a)............. 8,975 480,163
-----------
832,974
FINANCIAL SERVICES -- 5.05%
Associates First Capital Corp. ........ 7,025 309,978
Concord EFS, Inc. (a).................. 2,775 78,394
First USA Paymentech, Inc. (a)......... 29,725 1,006,935
National Processing, Inc. (a).......... 5,575 89,200
Schwab, Charles Corp. ................. 750 24,000
-----------
1,508,507
FOOD SERVICE & RESTAURANT -- 0.05%
Papa John's International, Inc. (a).... 412 13,905
GAMES & TOYS -- 0.15%
Galoob Toys, Inc. (a).................. 3,125 43,750
HEALTH PRODUCTS -- 3.62%
Bristol-Myers Squibb Co. .............. 2,375 258,281
Fresenius Medical Care -- ADR (a)...... 8,225 231,328
Omnicare, Inc. ........................ 12,275 394,334
Warner Lambert Co. .................... 2,650 198,750
-----------
1,082,693
HOTEL & MOTEL -- 2.83%
Doubletree Corp. (a)................... 5,725 257,625
Extended Stay America, Inc. (a)........ 950 19,119
Hospitality Franchise System, Inc.
(a).................................. 9,500 567,625
-----------
844,369
INSURANCE -- 1.62%
Compdent Corp. (a)..................... 5,300 186,825
SunAmerica, Inc. ...................... 1,700 75,438
UNUM Corp. ............................ 3,075 222,169
-----------
484,432
MACHINERY -- 1.00%
Rofin-Sinar Technologies, Inc. (a)..... 25,450 299,037
MEDICAL SERVICES & SUPPLIES -- 0.99%
Target Therapeutics, Inc. (a).......... 7,025 295,050
MINING -- 1.00%
Potash Corp. of Saskatchewan, Inc. .... 3,520 299,200
OFFICE EQUIPMENT & SUPPLIES -- 0.16%
Danka Business Systems PLC............. 1,400 49,525
OIL & GAS -- 1.26%
Triton Energy Corp. (a)................ 7,750 375,875
REAL ESTATE -- 0.26%
Redwood Trust, Inc. ................... 2,050 76,363
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------
UNITED STATES (CONTINUED)
- -----------------------------------------
RECREATION -- 0.07%
Universal Outdoor Holdings, Inc. (a)... 900 $ 21,150
RESTAURANTS -- 0.15%
Planet Hollywood International, Inc.
(a).................................... 2,325 45,919
RETAIL -- 0.20%
Linen N Things, Inc. (a)............... 3,050 59,856
TELECOMMUNICATIONS -- 13.62%
Ascend Communications, Inc. (a)........ 6,100 378,962
Cincinnati Bell, Inc. ................. 12,250 754,906
Comnet Cellular, Inc. (a).............. 1,750 48,781
Lucent Technologies, Inc. ............. 4,000 185,000
MFS Communications Co., Inc. (a)....... 19,747 1,076,212
Millicom International Cellular S.A.
(a).................................. 1,050 33,731
Nokia Corp. ........................... 4,775 275,159
Paging Network, Inc. (a)............... 5,900 89,975
Palmer Wireless, Inc. (a).............. 5,800 60,900
Premiere Technologies, Inc. (a)........ 1,225 30,625
Pricellular Corp., Class A (a)......... 6,375 73,312
Telecomunicacoes Brasileiras SA........ 1,475 112,837
Teletech Holdings, Inc. (a)............ 12,600 327,600
WorldCom, Inc. (a)..................... 23,800 620,287
-----------
4,068,287
TRANSPORTATION -- 0.26%
Wisconsin Central Transportation Corp.
(a).................................... 1,950 77,269
WHOLESALE -- 0.79%
Alco Standard Corp. (a)................ 4,575 236,184
-----------
Total United States.................. 23,675,106
-----------
Total Common Stocks
(cost $23,035,935)............... 24,871,722
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 16.74%
- --------------------------------------
U.S. TREASURY BILLS -- 0.67%
5.11%, 01/09/1997................... $ 200,000 199,773
COMMERCIAL PAPER -- 16.07%
Federal Home Discount Note
6.50%, 01/02/1997................. 4,800,000 4,799,133
----------
Total Short Term Investments
(cost $4,998,906)............. 4,998,906
----------
TOTAL INVESTMENTS -- 100%
- --------------------------------------
(cost $28,034,841).................. $29,870,628
==========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
40
<PAGE> 42
JNL CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 89.31%
- ----------------------------------------
FRANCE -- 0.47%
- ----------------------------------------
CONSUMER PRODUCTS -- 0.47%
Grand Optical Photoservice............ 1,086 $ 176,029
UNITED KINGDOM -- 12.61%
- ----------------------------------------
BUSINESS SERVICES -- 2.89%
Rentokil Group........................ 144,216 1,087,117
CONFECTIONS & BEVERAGES -- 4.01%
PizzaExpress PLC...................... 166,850 1,507,853
FOOD SERVICE/RESTAURANT -- 5.71%
J.D. Wetherspoon PLC.................. 108,196 2,150,203
-----------
Total United Kingdom................ 4,745,173
UNITED STATES -- 76.23%
- ----------------------------------------
AUTOMOBILES & PARTS -- 0.69%
O'Reilly Automotive, Inc.(a).......... 8,125 260,000
BANKS -- 0.51%
Fifth Third Bancorp................... 2,700 169,594
First Empire State Corp. ............. 75 21,600
-----------
191,194
BROADCASTING & COMMUNICATIONS -- 0.80%
Univision Communications, Inc. (a).... 8,100 299,700
BUILDING MATERIALS -- 1.50%
Barnett, Inc.(a)...................... 7,675 209,144
Boston Scientific Corp.(a)............ 5,950 357,000
-----------
566,144
BUSINESS SERVICES -- 4.76%
CUC International, Inc.(a)............ 39,388 935,465
Paychex, Inc. ........................ 4,075 209,608
Pet Food Warehouse, Inc.(a)........... 80,800 338,350
Profit Recovery Group International,
Inc.(a)............................. 11,525 184,400
Robert Half International, Inc.(a).... 3,575 122,891
-----------
1,790,714
COMPUTERS & SOFTWARE -- 0.75%
Sanchez Computer Associates,
Inc.(a)............................... 425 3,347
Safeguard Scientifics, Inc.(a)........ 8,800 279,400
-----------
282,747
CONSUMER PRODUCTS -- 4.13%
CoinMachine Laundry Corp.(a).......... 48,150 866,700
Culligan Water Technologies,
Inc.(a)............................. 16,925 685,462
-----------
1,552,162
CONTAINERS -- 1.93%
Sealed Air Corp.(a)................... 17,475 727,399
DRUGS -- 0.98%
Depotech Corp.(a)..................... 11,425 187,084
Teva Pharmaceutical Industries --
ADR................................. 3,600 180,900
-----------
367,984
ELECTRONICS -- 0.49%
Littlefuse, Inc.(a)................... 3,825 185,513
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ----------------------------------------
UNITED STATES (CONTINUED)
- ----------------------------------------
FINANCIAL SERVICES -- 6.90%
APS Holding Corp.(a).................. 7,950 $ 123,225
Associates First Capital Corp. ....... 8,425 371,753
Concord EFS, Inc.(a).................. 4,475 126,419
First USA Paymentech, Inc.(a)......... 8,725 295,559
Insignia Financial Group, Inc.(a)..... 57,525 1,294,312
Schwab, Charles Corp. ................ 12,050 385,600
-----------
2,596,868
FOOD SERVICE -- 4.18%
JP Foodservice, Inc.(a)............... 14,750 411,156
Papa John's International, Inc.(a).... 34,387 1,160,561
-----------
1,571,717
HEALTH PRODUCTS & CARE -- 0.25%
Forest Labs, Inc.(a).................. 2,825 92,519
HOTEL & MOTEL -- 6.59%
Choice Hotels Holdings, Inc.(a)....... 22,550 397,444
Doubletree Corp.(a)................... 8,000 360,000
Hospitality Franchise Systems,
Inc.(a)............................. 28,825 1,722,294
-----------
2,479,738
HOUSING -- 1.24%
Karrington Health, Inc.(a)............ 12,775 159,688
Omnicare, Inc. ....................... 9,575 307,597
-----------
467,285
INSURANCE -- 2.22%
Protective Life Corp. ................ 11,775 469,528
UICI(a)............................... 11,250 365,625
-----------
835,153
MACHINERY -- 0.67%
MSC Industrial Direct Co., Inc.(a).... 6,850 253,450
MEDICAL SERVICES & SUPPLIES -- 0.73%
Fresenius Medical Care -- ADR (a)..... 9,750 274,219
MINING -- 1.38%
Minerals Technologies, Inc. .......... 12,700 520,700
OFFICE EQUIPMENT & SUPPLIES -- 2.82%
Viking Office Products, Inc. (a)...... 39,725 1,060,161
RECREATION -- 2.10%
Family Golf Centers, Inc.(a).......... 26,200 789,275
RESTAURANTS -- 0.46%
Planet Hollywood International,
Inc.(a)............................... 8,800 173,800
RETAIL -- 13.37%
Fastenal Co. ......................... 55,375 2,533,406
Global DirectMail Corp.(a)............ 40,025 1,746,091
Petco Animal Supplies(a).............. 36,100 749,075
-----------
5,028,572
TELECOMMUNICATIONS -- 11.22%
Cincinnati Bell, Inc. ................ 2,900 178,713
Comnet Cellular, Inc.(a).............. 9,950 277,356
</TABLE>
See notes to the financial statements.
41
<PAGE> 43
JNL CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ----------------------------------------
UNITED STATES (CONTINUED)
- ----------------------------------------
TELECOMMUNICATIONS (CONTINUED)
- ----------------------------------------
Millicom International Cellular
SA(a)............................... 11,250 $ 361,403
Omnipoint Corp.(a).................... 27,650 532,263
Paging Network, Inc.(a)............... 115,625 1,763,281
Pricellular Corp. -- Class A(a)....... 34,207 393,381
Teletech Holdings, Inc.(a)............ 27,450 713,700
-----------
4,220,097
TRANSPORTATION -- 3.45%
Wisconsin Central Transportation
Corp.(a).............................. 32,725 1,296,727
UTILITIES -- 2.11%
Trigen Energy Corp. .................. 27,675 795,656
-----------
Total United States................. 28,679,494
-----------
Total Common Stocks
(cost $30,999,299).............. 33,600,696
-----------
OPTIONS -- 0.19%
- ----------------------------------------
WARRANTS -- 0.19%
Littlefuse, Inc. (a) (Expire
12/27/2001)
(cost $48,137)...................... 1,850 73,075
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 10.50%
- -------------------------------------
U.S. TREASURY BILL -- 0.40%
5.11%, 01/09/1997.................. $ 150,000 $ 149,830
COMMERCIAL PAPER -- 10.10%
Federal Home Discount Note
6.50%, 01/02/1997................ 3,800,000 3,799,314
----------
Total Short-Term Investments
(cost $3,949,144)............ 3,949,144
----------
TOTAL INVESTMENTS -- 100%
- -------------------------------------
(cost $34,996,580)................. $37,622,915
==========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
42
<PAGE> 44
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 98.51%
- --------------------------------------
AUSTRALIA -- 1.75%
- --------------------------------------
HOTELS -- 1.07%
Crown Ltd.(a)....................... 250,726 $ 524,131
LEISURE -- 0.68%
Aristocrat Leisure Ltd.............. 127,384 331,091
----------
Total Australia................... 855,222
BELGIUM -- 0.50%
- --------------------------------------
BANKS -- 0.18%
Credit Communal Holding Dexia(a).... 962 87,778
TELECOMMUNICATIONS -- 0.32%
Telinfo SA(a)....................... 3,799 154,941
----------
Total Belgium..................... 242,719
BRAZIL -- 0.26%
- --------------------------------------
TOBACCO -- 0.26%
Souza Cruz SA....................... 19,000 124,704
FINLAND -- 3.45%
- --------------------------------------
COMPUTERS & SOFTWARE -- 0.69%
Tietotehdas Oy, Class B............. 3,978 336,314
CONSUMER PRODUCTS -- 0.67%
Amer Group Ltd...................... 6,327 130,666
Metra AB............................ 3,566 200,006
----------
330,672
FOOD SERVICE -- 2.09%
Huhtamaki Oy........................ 14,290 664,796
Raision Tehtaat Oy.................. 5,678 357,961
----------
1,022,757
----------
Total Finland..................... 1,689,743
FRANCE -- 2.39%
- --------------------------------------
BUSINESS SERVICES -- 1.18%
Cap Gemini.......................... 6,284 303,875
Sligos.............................. 2,081 272,734
----------
576,609
COMPUTER SERVICES -- 0.77%
Axime(a)............................ 3,290 380,457
CONSUMER GOODS -- 0.41%
Grand Optical-Photoservice.......... 1,223 198,235
FURNITURE -- 0.02%
Moulinex(a)......................... 263 6,057
RECREATION -- 0.01%
Club Mediterranee................... 86 5,582
----------
Total France...................... 1,166,940
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
GERMANY -- 5.00%
- --------------------------------------
APPAREL -- 0.90%
Eurobike AG (a)..................... 2,408 $ 73,548
Wolford AG.......................... 3,016 364,867
----------
438,415
CHEMICALS -- 2.95%
BASF AG............................. 14,047 541,140
SGL Carbon AG....................... 1,338 168,685
Hoechst AG.......................... 15,500 732,291
----------
1,442,116
RETAIL -- 1.15%
Adidas AG........................... 6,531 564,481
----------
Total Germany..................... 2,445,012
HONG KONG -- 0.28%
- --------------------------------------
BUILDING EQUIPMENT -- 0.02%
New World Infrastructure Ltd.(a).... 3,400 9,935
HOLDING COMPANY -- 0.26%
First Pacific Company Ltd.(a)....... 35,000 45,478
JCG Holdings Limited................ 86,000 83,949
----------
129,427
----------
Total Hong Kong................... 139,362
INDONESIA -- 0.21%
- --------------------------------------
CONFECTIONS & BEVERAGES -- 0.21%
HM Sampoerna........................ 19,000 101,355
ITALY -- 1.91%
- --------------------------------------
AGRICULTURAL MACHINERY -- 0.59%
Parmalat Finanziaria SPA............ 188,469 288,232
FINANCIAL SERVICES -- 0.34%
BCA Pop Di Milano................... 33,268 168,862
MANUFACTURING -- 0.41%
Pagnossin SPA....................... 54,000 200,053
TELECOMMUNICATIONS -- 0.57%
Telecom Italia Mobile(a)............ 56,638 143,182
Telecom Italia SPA.................. 52,359 135,988
----------
279,170
----------
Total Italy....................... 936,317
JAPAN -- 4.90%
- --------------------------------------
AUTOMOBILE & PARTS -- 0.65%
Honda Motor Co...................... 8,000 228,650
Isuzu Motors Limited................ 14,000 62,257
Yamaha Motor Co..................... 3,000 26,941
----------
317,848
</TABLE>
See notes to the financial statements.
43
<PAGE> 45
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
JAPAN -- (CONTINUED)
- --------------------------------------
BUILDING EQUIPMENT -- 0.21%
Kawasaki Heavy Industries........... 25,000 $ 103,402
COMPUTERS & SOFTWARE -- 1.02%
NTT Data Communications Systems
Company(a)........................ 17 497,625
DRUGS -- 0.66%
Eisai Limited....................... 11,000 216,562
Takeda Chemical Industries.......... 5,000 104,913
----------
321,475
ELECTRONICS -- 0.19%
Sony Corp........................... 1,400 91,754
HOUSEHOLD FURNITURE & APPLIANCES --
0.07%
Amway Japan Limited................. 1,100 35,334
REAL ESTATE -- 0.36%
Mitsubishi Estate Co. Ltd........... 12,000 123,305
Mitsui Fudosan Co................... 6,000 60,098
----------
183,403
RETAIL -- 0.79%
Credit Saison Co.................... 9,900 221,406
Hankyu Department Stores............ 6,000 59,580
Isetan.............................. 8,000 103,618
----------
384,604
TELECOMMUNICATIONS -- 0.95%
Nippon Telegraph & Telephone
Corp.............................. 61 462,464
----------
Total Japan....................... 2,397,909
NETHERLANDS -- 4.92%
- --------------------------------------
BUILDING & CONSTRUCTION -- 0.33%
Hunter Douglas N.V.................. 2,433 164,173
COMPUTERS & SOFTWARE -- 1.16%
Getronics N.V....................... 20,865 566,793
CONSUMER PRODUCTS -- 0.91%
Nutricia Verenigde Bedrijven........ 2,929 445,330
ELECTRONICS -- 0.88%
Philips Electronics................. 10,617 430,460
ENTERTAINMENT -- 0.25%
Endomol Entertainment (a)........... 3,686 122,760
OFFICE EQUIPMENT & SUPPLIES -- 0.47%
Oce Grinten......................... 2,105 228,727
PRINTING & PUBLISHING -- 0.92%
Wolters Kluwer N.V.................. 3,374 448,499
----------
Total Netherlands................. 2,406,742
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
NORWAY -- 0.79%
- --------------------------------------
ENVIRONMENTAL SERVICES -- 0.31%
Tomra System AS..................... 9,800 $ 151,340
TELECOMMUNICATIONS -- 0.48%
Tandberg AS (a)..................... 7,635 235,813
----------
Total Norway...................... 387,153
PHILIPPINES -- 0.35%
- --------------------------------------
BUILDING & CONSTRUCTION -- 0.35%
Hi-Cement Corp.(a).................. 521,500 172,511
PORTUGAL -- 0.34%
- --------------------------------------
BUILDING & CONSTRUCTION -- 0.34%
Cimpor-Cimentos de Portugal -- SA... 7,656 164,822
SINGAPORE -- 1.28%
- --------------------------------------
TELECOMMUNICATIONS -- 1.28%
Datacraft Asia Ltd.................. 376,000 627,920
SOUTH AFRICA -- 0.10%
- --------------------------------------
METALS & MINING -- 0.10%
De Beers Centenary Link AG.......... 1,727 49,464
SOUTH KOREA -- 0.01%
- --------------------------------------
BANKS -- 0.01%
Kookmin Bank........................ 324 5,945
SPAIN -- 0.30%
- --------------------------------------
COMMERCIAL SERVICES -- 0.30%
Prosegur CIA de Seguridad SA(a)..... 15,975 147,660
SWEDEN -- 10.35%
- --------------------------------------
BANKS -- 0.55%
Bure Investment AB.................. 9,821 116,644
Nordbanken AB....................... 3,110 94,168
Sparbanken Sverige AB............... 3,416 58,604
----------
269,416
BUILDING & CONSTRUCTION -- 0.19%
Incentive AB........................ 1,278 92,759
COMMERCIAL SERVICES -- 1.60%
Securitas AB, Class B............... 26,891 782,689
COMPUTERS & SOFTWARE -- 1.76%
Enator AB(a)........................ 4,965 127,039
Enator AB(a)........................ 993 25,044
Frontec AB, Class B(a).............. 9,481 164,043
WM - Data AB........................ 6,301 545,109
----------
861,235
ELECTRONICS -- 1.96%
Assa Abloy AB(a).................... 52,840 960,741
</TABLE>
See notes to the financial statements.
44
<PAGE> 46
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
SWEDEN -- (CONTINUED)
- --------------------------------------
HEALTH PRODUCTS & CARE -- 2.49%
Althin Medical AB, Class B.......... 3,964 $ 86,024
Nobel Bio-Care AB................... 17,824 313,623
Medical Invest Svenska AB -- Ser. A
(a)............................... 3,711 97,946
Medical Invest Svenska AB -- Ser. B
(a)............................... 27,118 719,711
----------
1,217,304
HOLDING COMPANY -- 0.43%
Kinnevik AB......................... 7,623 210,139
INDUSTRIAL MACHINERY -- 0.05%
Atlas Copco AB...................... 949 22,960
NON-FERROUS METALS -- 0.10%
Sandvik AB.......................... 1,847 49,832
REAL ESTATE -- 0.96%
Tornet Fastighets AB(a)............. 30,814 469,898
TELECOMMUNICATIONS -- 0.26%
Ericsson (LM) Tel................... 4,046 125,179
----------
Total Sweden...................... 5,062,152
SWITZERLAND -- 6.75%
- --------------------------------------
BANKS -- 1.03%
Credit Suisse Group................. 4,894 502,746
BUILDING & CONSTRUCTION -- 0.37%
Sulzer AG........................... 313 180,761
BUSINESS SERVICES -- 0.29%
Fotolabo S.A........................ 84 32,634
SGS Holding......................... 44 108,151
----------
140,785
DRUGS -- 4.55%
Novartis AG (a)..................... 1,029 1,178,758
Roche Holding AG.................... 135 1,050,448
----------
2,229,206
INSURANCE -- 0.21%
SCHW Ruckversicher.................. 98 104,626
TRANSPORTATION -- 0.30%
SwissAir............................ 180 145,641
----------
Total Switzerland................. 3,303,765
THAILAND -- 0.14%
- --------------------------------------
BANKS -- 0.14%
Bangkok Bank Public Co. Ltd......... 7,200 69,625
UNITED KINGDOM -- 23.09%
- --------------------------------------
AUTOMOBILES -- 0.09%
Mahindra & Mahindra Ltd............. 3,807 42,829
BUSINESS SERVICES -- 8.59%
- --------------------------------------
CMG, (a)............................ 35,955 520,634
Freepages Group PLC (a)............. 123,635 91,079
Hays PLC............................ 132,309 1,273,902
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
UNITED KINGDOM -- (CONTINUED)
- --------------------------------------
BUSINESS SERVICES -- (CONTINUED)
- --------------------------------------
Page, Michael Group................. 8,729 $ 62,062
Rentokil Group...................... 299,007 2,253,950
----------
4,201,627
CHEMICALS -- 0.16%
Victrex............................. 17,447 80,704
COMPUTERS & SOFTWARE -- 2.12%
BTG................................. 58,900 459,131
Misys PLC........................... 26,216 498,989
Sema Group Systems AG............... 4,350 81,232
----------
1,039,352
CONSUMER PRODUCTS -- 0.37%
Compass Group PLC................... 7,436 78,984
London International Group.......... 36,736 103,845
----------
182,829
DRUGS -- 0.89%
Glaxo Wellcome PLC.................. 10,168 165,489
SmithKline Beecham -- ADR........... 19,464 269,435
----------
434,924
ELECTRONICS -- 1.07%
Electrocomponents................... 66,131 522,296
ENTERTAINMENT -- 0.77%
London Clubs International PLC...... 72,264 376,362
FINANCIAL -- 1.68%
Barclays............................ 19,057 326,649
JBA Holdings PLC.................... 25,709 235,640
Lloyd's TSB Group................... 35,000 258,438
----------
820,727
FOOD SERVICE -- 0.75%
Harvey Nichols PLC.................. 49,582 295,606
Wetherspoon PLC..................... 3,662 72,776
----------
368,382
MANUFACTURING -- 0.88%
Lucas Varity PLC, (a)............... 112,800 430,947
METALS & MINING -- 1.46%
Powerscreen International, PLC...... 73,539 711,830
PRINTING & PUBLISHING -- 2.15%
Dorling Kindersley.................. 7,795 54,720
EMAP................................ 2,114 26,674
Lagardere S.C.A..................... 25,512 700,185
Pearson PLC......................... 5,614 71,654
WPP Group........................... 45,864 198,794
----------
1,052,027
RETAIL -- 1.23%
ASDA Group.......................... 228,750 482,033
Thorn PLC........................... 27,165 117,744
----------
599,777
</TABLE>
See notes to the financial statements.
45
<PAGE> 47
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
UNITED KINGDOM -- (CONTINUED)
- --------------------------------------
TRANSPORTATION -- 0.88%
Stagecoach Holdings................. 35,805 $ 429,390
----------
Total United Kingdom.............. 11,294,003
UNITED STATES -- 29.44%
- --------------------------------------
AGRICULTURAL EQUIPMENT -- 0.58%
New Holland NV (a).................. 13,500 281,812
APPAREL -- 0.24%
Nike, Inc. Class B.................. 1,925 115,019
AUTOMOBILE & PARTS -- 0.33%
Lucas Varity PLC -- ADR (a)......... 425 16,150
Tata Engineering.................... 8,025 75,490
Tata Engineering & Locomotive Co.
Limited (144a).................... 700 6,585
Tata Engineering & Locomotive Co.
Limited (144a).................... 5,968 63,410
----------
161,635
BANKS -- 2.69%
Banco Frances Del Rio La Plata --
ADR............................... 7,791 214,259
Citicorp............................ 1,200 123,600
Wells Fargo & Co.................... 3,633 980,002
----------
1,317,861
BROADCAST & COMMUNICATIONS -- 0.93%
Canwest Global Communications
Corp.............................. 6,150 63,037
Grupo Televisa SA................... 9,825 251,766
TV Filme, Inc.(a)................... 10,825 138,019
----------
452,822
BUSINESS SERVICES -- 1.04%
Select Appointments Holdings PLC --
ADR (a)........................... 44,300 509,450
COMPUTERS & TECHNOLOGY -- 3.19%
Cisco Systems, Inc. (a)............. 3,175 202,009
Dassault Systemes SA(a)............. 1,975 91,344
First Data Corp..................... 7,200 262,800
International Business Machines
Corp.............................. 3,475 524,725
Parametric Technology Corp. (a)..... 9,050 464,944
SunGuard Data Systems, Inc.(a)...... 400 15,800
----------
1,561,622
CONFECTIONS & BEVERAGES -- 0.45%
Pepsico, Inc........................ 7,500 219,375
DRUGS -- 0.63%
Elan Corp.(a)....................... 9,325 310,056
ELECTRICAL -- 0.80%
Raychem Corp........................ 2,900 232,363
UCar International, Inc.(a)......... 4,175 157,084
----------
389,447
ELECTRONICS -- 1.58%
Philips Electronics................. 19,324 772,960
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
UNITED STATES -- (CONTINUED)
- --------------------------------------
ENERGY -- 0.18%
Gazprom -- ADR (144a) (a)........... 2,750 $ 48,813
Mosenergo -- ADR (144a) (a)......... 1,325 40,148
----------
88,961
FINANCIAL SERVICES -- 0.15%
Associates First Capital Corp....... 1,650 72,806
FOOD SERVICE/RESTAURANT -- 0.13%
Disco SA(a)......................... 2,300 64,975
HEALTH PRODUCTS & CARE -- 2.75%
Grupo Casa Autrey -- ADR............ 11,950 233,025
Pfizer Inc.......................... 4,100 339,788
Physio -- Control International
Corp. (a)......................... 12,925 290,813
SmithKline Beecham -- ADR........... 4,150 282,200
Vivra, Inc. (a)..................... 7,175 198,209
----------
1,344,035
HOTEL & MOTEL -- 0.48%
Hospitality Franchise Systems,
Inc.(a)........................... 1,100 65,725
Indian Hotels Co.(a)................ 5,161 102,067
Mandarin Oriental International
Ltd............................... 47,200 66,552
----------
234,344
MACHINERY -- 2.15%
Pfeiffer Vacuum Technology AG(a).... 18,825 338,850
Rofin-Sinar Technologies, Inc.(a)... 60,675 712,931
----------
1,051,781
MEDICAL-HOSPITAL SERVICES -- 1.70%
Fresenius Medical Care -- ADR(a).... 29,625 833,203
OFFICE EQUIPMENT & SUPPLIES -- 0.80%
Danka Business Systems PLC.......... 11,100 392,663
OIL -- 0.92%
Bouygues Offshore SA, (a)........... 21,225 273,272
Oil Co Lukoil (a)................... 1,075 48,295
Tatneft -- ADR (a).................. 2,750 126,500
----------
448,067
RETAIL -- 0.93%
Santa Isabel SA..................... 2,900 65,612
Gucci Group N.V.-N.Y................ 6,100 389,637
----------
455,249
TELECOMMUNICATIONS -- 5.74%
Airtouch Communications, Inc.(a).... 1,375 34,719
Ericsson LM Tel Co.................. 12,100 365,269
Korean Mobile Telecommunications,
Inc. (144a)(a).................... 13,442 173,059
Lucent Technologies, Inc............ 10,050 464,813
MFS Communications, Inc.(a)......... 5,300 288,850
Millicom International Cellular
SA(a)............................. 7,100 228,088
Nokia Corp. -- ADR.................. 6,825 393,291
Paging Network, Inc.(a)............. 75 1,144
Portugal Telecom SA -- ADR.......... 3,600 101,700
</TABLE>
See notes to the financial statements.
46
<PAGE> 48
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
UNITED STATES -- (CONTINUED)
- --------------------------------------
TELECOMMUNICATIONS -- (CONTINUED)
- --------------------------------------
Telecom Argentina Stet France -- ADR
Class B........................... 75 $ 3,028
Telefonos De Argentina -- ADR....... 4,325 111,909
Telecomunicacoes Brasileiras SA..... 6,250 478,125
Telefonica Del Peru SA.............. 8,625 162,797
----------
2,806,792
TRANSPORTATION -- 0.01%
Tranz Rail Holdings -- ADR(a)....... 300 5,306
WHOLESALE -- 1.04%
Alco Standard Corp. (a)............. 9,875 509,797
----------
Total United States............... 14,400,038
----------
Total Common Stocks
(cost $41,619,865).............. 48,191,083
----------
PREFERRED STOCKS -- 1.49%
- --------------------------------------
BRAZIL -- 0.14%
- --------------------------------------
BEVERAGES -- 0.03%
Brahma.............................. 21,000 11,479
ENERGY -- 0.11%
Cemig CIA Energetica Minas.......... 1,611,000 54,883
----------
Total Brazil...................... 66,362
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
PREFERRED STOCKS -- (CONTINUED)
- --------------------------------------
FINLAND -- 0.20%
- --------------------------------------
COMMUNICATIONS -- 0.20%
Nokia Oy AB......................... 1,703 $ 98,774
GERMANY -- 1.01%
- --------------------------------------
AUTOMOBILES -- 0.12%
Porsche AG.......................... 64 56,564
HEALTH PRODUCTS & CARE -- 0.89%
Fresenius AG........................ 1,700 351,313
Fresenius Medical Care AG........... 1,058 85,222
----------
436,535
----------
Total Germany..................... 493,099
UNITED STATES -- 0.14%
- --------------------------------------
FOOD & BEVERAGES -- 0.14%
Quilmes Industrial Quinsa -- ADR.... 7,700 70,263
----------
Total Preferred Stocks
(cost $662,331)................. 728,498
----------
TOTAL INVESTMENTS -- 100%
- --------------------------------------
(cost $42,282,196).................. $48,919,581
==========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
47
<PAGE> 49
JNL/ALGER GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 94.49%
- --------------------------------------
AEROSPACE & DEFENSE -- 3.77%
Boeing Co. ......................... 6,500 $ 691,437
Gulfstream Aerospace Corp.(a)....... 7,100 172,175
Ingram Micro, Inc.(a)............... 17,000 391,000
United Technologies Corp. .......... 2,800 184,800
-----------
1,439,412
APPAREL -- 0.57%
Tommy Hilfiger Corp.(a)............. 4,500 216,000
BANKS -- 4.43%
Chase Manhattan Corp. .............. 9,000 803,250
Citicorp............................ 8,600 885,800
-----------
1,689,050
BROADCASTING -- 0.44%
Univision Communications, Inc.(a)... 4,500 166,500
BUILDING & CONSTRUCTION -- 0.41%
Case Corp. ......................... 2,900 158,050
CHEMICALS -- 2.06%
Monsanto Co. ....................... 20,200 785,275
COMPUTERS & TECHNOLOGY -- 19.81%
Cisco Systems, Inc.(a).............. 19,000 1,208,875
Computer Associates International,
Inc. ............................. 2,900 144,275
Compuware Corp.(a).................. 8,000 401,000
First Data Corp. ................... 26,056 951,044
Hewlett Packard Co. ................ 5,500 276,375
Informix Corp.(a)................... 22,000 448,250
Intel Corp. ........................ 9,700 1,270,094
Linear Technology Corp. ............ 5,200 228,150
Microsoft Corp.(a).................. 9,000 743,625
Parametric Technology Corp.(a)...... 6,900 354,487
Sabre Group Holdings, Inc.(a)....... 5,400 150,525
Sun Microsystems, Inc.(a)........... 16,000 411,000
Sundstrand Corp. ................... 9,500 403,750
3Com Corp.(a)....................... 7,700 564,987
-----------
7,556,437
CONSUMER PRODUCTS -- 0.93%
CUC International, Inc.(a).......... 15,000 356,250
DRUGS -- 6.23%
Eli Lilly & Co. .................... 11,400 832,200
Merck & Company, Inc. .............. 13,000 1,030,250
Pfizer, Inc. ....................... 6,200 513,825
-----------
2,376,275
ELECTRICAL EQUIPMENT -- 2.52%
Boston Scientific Corp.(a).......... 4,500 270,000
General Electric Co. ............... 7,000 692,125
-----------
962,125
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
ELECTRONICS -- 7.64%
Adaptec, Inc(a)..................... 23,200 $ 928,000
Altera Corp.(a)..................... 10,300 748,681
Maxim Integrated Products(a)........ 3,900 168,675
Picturetel Corp.(a)................. 12,400 322,400
Tellabs, Inc.(a).................... 10,000 376,250
Xilinx, Inc.(a)..................... 10,000 368,125
-----------
2,912,131
ENERGY SERVICES -- 2.03%
Halliburton Co. .................... 8,900 536,225
Tidewater, Inc. .................... 5,300 239,825
-----------
776,050
FINANCE COMPANIES -- 4.11%
Green Tree Financial Corp. ......... 8,000 309,000
MBNA Corp. ......................... 4,550 188,825
MGIC Investment Corp. .............. 4,700 357,200
Money Store (The), Inc. ............ 12,000 331,500
Schwab Charles Corp. ............... 11,900 380,800
-----------
1,567,325
GAMING -- 0.73%
Mirage Resorts, Inc.(a)............. 12,800 276,800
HEALTH CARE & PRODUCTS -- 7.45%
Biochemical Pharmaceuticals,
Inc.(a)........................... 7,100 356,775
Bristol Myers Squibb Co. ........... 3,500 380,625
Columbia HCA/Healthcare Corp. ...... 15,500 631,625
Medtronic, Inc. .................... 10,100 686,800
Warner Lambert Co. ................. 10,500 787,500
-----------
2,843,325
HOSPITALITY -- 2.60%
Boston Chicken, Inc.(a)............. 10,900 391,038
Lone Star Steakhouse & Saloon(a).... 12,800 342,400
Outback Steakhouse, Inc.(a)......... 2,500 66,875
Safeway, Inc.(a).................... 4,500 192,375
-----------
992,688
INDUSTRIAL MACHINERY -- 0.56%
Tyco International, Ltd. ........... 4,000 211,500
INSURANCE -- 3.84%
American International Group,
Inc. ............................. 10,000 1,082,500
Equifax, Inc. ...................... 12,500 382,813
-----------
1,465,313
LEISURE TIME & RECREATION -- 1.36%
International Game Technology....... 28,500 520,125
MERCHANDISING -- 2.82%
Nike, Inc. Class B.................. 12,500 746,875
9 West Group, Inc.(a)............... 3,000 139,125
TJX Companies, Inc. ................ 4,000 189,500
-----------
1,075,500
</TABLE>
See notes to the financial statements.
48
<PAGE> 50
JNL/ALGER GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
OIL -- 2.29%
BJ Services Co.(a).................. 3,800 $ 193,800
Schlumberger Ltd. .................. 5,000 499,375
Smith International, Inc.(a)........ 4,000 179,500
-----------
872,675
RETAIL -- 5.66%
Dollar General Corp. ............... 7,000 224,000
Gucci Group N V..................... 7,600 485,450
Home Depot, Inc. ................... 19,500 977,438
Office Max, Inc.(a)................. 25,800 274,125
Rite Aid Corp. ..................... 5,000 198,750
-----------
2,159,763
SERVICE INDUSTRIES -- 3.49%
Loewen Group, Inc. ................. 13,200 516,450
Service Corp. International......... 29,000 812,000
-----------
1,328,450
TELECOMMUNICATIONS -- 5.51%
Ascend Communications, Inc.(a)...... 6,100 378,962
Cascade Communications Co.(a)....... 4,400 242,550
LCI International, Inc.(a).......... 4,700 101,050
Nokia Corp.......................... 4,100 236,263
Pairgain Technologies, Inc. (a)..... 4,400 133,925
Qualcomm, Inc. (a).................. 5,000 199,375
Telecomunicacoes Brasileiras SA --
ADR............................... 6,400 489,600
WorldCom, Inc.(a)................... 12,300 320,569
-----------
2,102,294
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
TEXTILES -- 0.97%
Cintas Corp. ....................... 6,300 $ 370,125
WASTE DISPOSAL -- 2.26%
United Waste Systems, Inc.(a)....... 8,800 302,500
USA Waste Services, Inc.(a)......... 17,500 557,812
-----------
860,312
-----------
Total Common Stocks
(cost $32,375,066).............. 36,039,750
-----------
PRINCIPAL
AMOUNT
----------
SHORT-TERM INVESTMENTS -- 5.51%
- --------------------------------------
MONEY MARKET FUNDS -- 4.47%
State Street Global Advisor Fund,
5.38%(b).......................... $1,703,214 1,703,214
U.S. TREASURY BILLS -- 1.04%
4.80%, 02/20/1997................... 400,000 397,333
-----------
Total Short-Term Investments
(cost $2,100,547)............... 2,100,547
-----------
TOTAL INVESTMENTS -- 100%
- --------------------------------------
(cost $34,475,613).................. $38,140,297
===========
</TABLE>
- -------------------------
(a) Non-income producing.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1996.
See notes to the financial statements.
49
<PAGE> 51
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 96.42%
- ---------------------------------------
APPAREL & TEXTILES -- 0.57%
Intimate Brands, Inc. ............... 600 $ 10,200
AUTOMOBILES -- 0.53%
Ford Motor Co. ...................... 300 9,562
BANKS -- 2.79%
BankAmerica Corp. ................... 200 19,950
Mellon Bank Corp. ................... 150 10,650
NationsBank Corp. ................... 200 19,550
----------
50,150
BUILDING CONSTRUCTION -- 0.38%
Harsco Corp. ........................ 100 6,850
BUSINESS SERVICES -- 4.18%
CUC International Inc.(a)............ 850 20,187
First Data Corp. .................... 500 18,250
Omnicom Group........................ 800 36,600
----------
75,037
COMPUTERS AND BUSINESS EQUIPMENT -- 3.02%
Cisco Systems, Inc.(a)............... 300 19,088
Hewlett Packard Co. ................. 700 35,175
----------
54,263
DOMESTIC OIL -- 1.95%
Ashland, Inc. ....................... 800 35,100
DRUGS & HEALTH CARE -- 6.44%
Abbott Laboratories.................. 200 10,150
Johnson & Johnson.................... 500 24,875
Lilly Eli & Co....................... 300 21,900
Merck & Co., Inc. ................... 300 23,775
Pfizer, Inc. ........................ 300 24,862
SmithKline Beecham PLC............... 150 10,200
----------
115,762
ELECTRIC UTILITIES -- 4.76%
FPL Group, Inc. ..................... 250 11,500
Nipsco Industries, Inc. ............. 300 11,888
Pacificorp........................... 1,500 30,750
Teco Energy, Inc. ................... 1,300 31,363
----------
85,501
ELECTRICAL EQUIPMENT -- 8.15%
Atmel Corp.(a)....................... 1,000 33,125
General Electric Co. ................ 400 39,550
Philips Electronics NV............... 1,000 40,000
Westinghouse Electric Corp. ......... 1,700 33,787
----------
146,462
ELECTRONICS -- 4.20%
Ericsson L M Tel Co. ................ 700 21,131
General Motors Corp. Series E........ 500 28,125
Intel Corp. ......................... 200 26,188
----------
75,444
FINANCIAL SERVICES -- 7.09%
American Express Corp................ 300 16,950
Chase Manhattan Corp................. 400 35,700
Federal Home Loan Mortgage Corp. .... 200 22,025
Federal National Mortgage
Association........................ 600 22,350
Travelers Group, Inc. ............... 666 30,220
----------
127,245
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------
FOOD & BEVERAGES -- 1.57%
Heinz H J Co. ....................... 300 $ 10,725
Pepsico, Inc. ....................... 600 17,550
----------
28,275
GAS AND PIPELINE UTILITIES -- 2.69%
American Water Works, Inc............ 600 12,375
UGI Corp. ........................... 500 11,188
Wicor, Inc. ......................... 300 10,763
Williams Cos., Inc. ................. 375 14,063
----------
48,389
GAS EXPLORATION -- 1.80%
Enron Corp. ......................... 750 32,344
HOTELS AND RESTAURANTS -- 1.54%
Marriott International, Inc. ........ 500 27,625
HOUSEHOLD APPLIANCES & FURNISHINGS --
1.72%
Sunbeam Corp. ....................... 1,200 30,900
HOUSEHOLD PRODUCTS -- 5.37%
Black & Decker Corp.................. 1,100 33,137
Gillette Co. ........................ 400 31,100
Procter & Gamble Co. ................ 300 32,250
----------
96,487
INDUSTRIAL MACHINERY -- 1.84%
Thermo Electron Corp(a).............. 800 33,000
INSURANCE -- 3.68%
Allstate Corp........................ 400 23,150
American International Group,
Inc. .............................. 300 32,475
Marsh & McLennan Companies, Inc. .... 100 10,400
----------
66,025
INTERNATIONAL OIL -- 4.77%
Exxon Corp........................... 100 9,800
Mobil Corp. ......................... 100 12,225
Royal Dutch Petroleum Co. ........... 200 34,150
Texaco, Inc. ........................ 300 29,437
----------
85,612
OFFICE FURNISHINGS AND SUPPLIES --
0.58%
Wallace Computer Services, Inc. ..... 300 10,350
PLASTICS -- 1.33%
Illinois Tool Works, Inc. ........... 300 23,962
PUBLISHING -- 0.64%
McGraw Hill Companies, Inc. ......... 250 11,531
REAL ESTATE -- 3.45%
Cali Realty Corp. ................... 300 9,263
Duke Realty Investments, Inc. ....... 200 7,700
Haagen Alexander Properties, Inc. ... 450 6,638
Nationwide Health Properties,
Inc. .............................. 300 7,275
Rouse Co. ........................... 450 14,288
Storage Trust Realty................. 300 8,100
Sun Communities, Inc. ............... 250 8,625
----------
61,889
RETAIL TRADE -- 3.83%
Home Depot, Inc. .................... 500 25,062
Kohls Corp. (a)...................... 500 19,625
Walgreen Co. ........................ 600 24,000
----------
68,687
</TABLE>
See notes to the financial statements.
50
<PAGE> 52
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------
SOFTWARE -- 2.08%
Microsoft Corp.(a)................... 200 $ 16,525
Oracle Systems Corp.(a).............. 500 20,875
----------
37,400
TELECOMMUNICATIONS -- 7.53%
AT&T................................. 900 39,150
Alltel Corp. ........................ 350 10,981
Bell Atlantic Corp. ................. 500 32,375
Frontier Corp. ...................... 400 9,050
GTE Corp. ........................... 200 9,100
Telefonica de Espana SA.............. 500 34,625
----------
135,281
TELECOMMUNICATION SERVICES -- 1.70%
Telecomunicacoes Brasileiras......... 400 30,600
TOBACCO -- 6.24%
American Brands, Inc. ............... 700 34,737
Philip Morris Companies Inc. ........ 400 45,050
UST, Inc. ........................... 1,000 32,375
----------
112,162
----------
Total Common Stocks
(cost $1,651,495)................ 1,732,095
----------
PREFERRED STOCKS -- 3.58%
- ---------------------------------------
FINANCIAL SERVICES -- 0.65%
Sci Finances LLC..................... 125 11,766
HOUSEHOLD PRODUCTS -- 0.71%
Corning Delaware LP.................. 200 12,725
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
PREFERRED STOCKS (CONTINUED)
- ---------------------------------------
INSURANCE -- 0.51%
Jefferson Pilot Corp. ............... 100 $ 9,100
LEISURE TIME -- 0.45%
AMC Entertainment, Inc. ............. 300 8,100
RESTAURANT -- 0.58%
Wendy's.............................. 200 10,400
RETAIL TRADE -- 0.68%
Kmart................................ 250 12,187
----------
Total Preferred Stocks
(cost $65,149)................... 64,278
----------
TOTAL INVESTMENTS -- 100%
- ---------------------------------------
(cost $1,716,644).................... $1,796,373
==========
CALL OPTIONS WRITTEN
- ---------------------------------------
<CAPTION>
COMMON STOCK/EXPIRATION MARKET
DATE/EXERCISE PRICE CONTRACTS VALUE
- --------------------------------------- ----- ----------
<S> <C> <C>
General Motors Corp./January 17,
1997/$55(b).......................... 5 $ (1,500)
</TABLE>
- -------------------------
(a) Non-income producing.
(b) Security represents the only call option written in reporting period.
See notes to the financial statements.
51
<PAGE> 53
JNL/EAGLE SMALLCAP EQUITY SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 100%
- ------------------------------------------
APPAREL & TEXTILES -- 3.63%
Barry R G Corp(a)....................... 6,000 $ 66,000
BUSINESS SERVICES -- 2.60%
Wackenhut Corp.......................... 3,100 47,275
CHEMICALS -- 2.64%
Tetra Technologies, Inc.(a)............. 1,900 47,975
COMMERCIAL SERVICES -- 4.39%
NCO Group Inc.(a)....................... 500 8,437
Superior Services, Inc(a)............... 3,500 71,313
----------
79,750
COMMUNICATIONS EQUIPMENT -- 4.59%
Ampex Corp.(a).......................... 7,000 65,625
RMH Teleservices Inc.(a)................ 2,300 17,825
----------
83,450
CONSTRUCTION -- 8.50%
Hughes Supply Inc....................... 2,000 86,250
Lennar Corp............................. 2,500 68,125
----------
154,375
DRUGS & HEALTH CARE -- 2.89%
Angeion Corp.(a)........................ 15,000 52,500
ELECTRONICS -- 5.02%
Computational Systems, Inc.(a).......... 2,000 38,500
Computer Products Inc.(a)............... 2,700 52,650
----------
91,150
ENVIRONMENTAL -- 7.12%
Envirosource, Inc.(a)................... 13,300 35,744
IMCO Recycling, Inc..................... 6,400 93,600
----------
129,344
FINANCIAL SERVICES -- 4.24%
Legg Mason, Inc......................... 2,000 77,000
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------------------------
HOTELS AND RESTAURANTS -- 10.05%
Apple South, Inc........................ 3,000 $ 40,500
Bristol Hotel Co.(a).................... 2,000 63,500
Capstar Hotel Co.(a).................... 4,000 78,500
----------
182,500
MAINTENANCE -- 3.73%
American Residential Services,
Inc.(a)............................... 2,500 67,812
PETROLEUM SERVICES -- 13.57%
Camco International, Inc................ 1,100 50,737
Marine Drilling Companies, Inc.(a)...... 4,100 80,719
Precision Drilling Corp(a).............. 1,100 38,225
Trico Marine Services, Inc.(a).......... 1,600 76,800
----------
246,481
PUBLISHING -- 11.12%
Houghton Mifflin Co..................... 1,200 67,950
National Education Corp(a).............. 5,000 76,250
World Color Press, Inc.(a).............. 3,000 57,750
----------
201,950
RACETRACKS -- 3.39%
International Speedway Corp(a).......... 3,000 61,500
REAL ESTATE -- 5.78%
Mid-America Apartment Communities,
Inc................................... 1,600 46,200
Public Storage, Inc..................... 1,900 58,900
----------
105,100
RETAIL -- 6.74%
Cash America International, Inc......... 8,000 68,000
Ugly Duckling Corp.(a).................. 2,800 54,600
----------
122,600
----------
TOTAL INVESTMENTS -- 100%
- ------------------------------------------
(cost $1,603,053)....................... $1,816,762
- ------------------------- ==========
(a) Non-income producing.
</TABLE>
See notes to the financial statements.
52
<PAGE> 54
JNL/PHOENIX INVESTMENT COUNSEL BALANCED SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 51.05%
- --------------------------------------
AEROSPACE & AIRCRAFT -- 1.21%
AlliedSignal, Inc. ................. 1,700 $ 113,900
Boeing Co. ......................... 1,700 180,838
----------
294,738
APPAREL -- 0.71%
Nike, Inc., Class B................. 2,900 173,275
AUTOMOBILES -- 0.18%
Chrysler Corp. ..................... 1,300 42,900
BROADCASTING -- 0.44%
Westinghouse Electric Corp. ........ 5,400 107,325
BANKS -- 3.01%
BankAmerica Corp. .................. 1,300 129,675
Chase Manhattan Corp. .............. 1,300 116,025
Citicorp............................ 1,500 154,500
First USA, Inc. .................... 5,300 183,513
Mellon Bank Corp. .................. 1,250 88,750
NationsBank Corp. .................. 600 58,650
----------
731,113
BUSINESS SERVICES -- 1.52%
Cognizant Corp. .................... 4,000 132,000
First Data Corp. ................... 3,800 138,700
New York Times Co. ................. 1,500 57,000
Service Corp. International......... 1,500 42,000
----------
369,700
CHEMICALS -- 1.43%
DuPont EI & Co. De Neumours......... 1,700 160,437
Monsanto Co. ....................... 4,800 186,600
----------
347,037
COMPUTERS & TECHNOLOGY -- 7.27%
Computer Associates International,
Inc. ............................. 3,250 161,688
Cisco Systems, Inc.(a).............. 6,600 419,925
GT Interactive Software Corp.(a) ... 3,000 21,375
International Business Machines
Corp. ............................ 2,000 302,000
Microsoft Corp.(a).................. 1,500 123,938
Oracle Systems Corp.(a)............. 5,000 208,750
Sun Microsystems, Inc.(a)........... 8,000 205,500
3Com Corp.(a)....................... 3,100 227,463
Xerox Corp. ........................ 1,800 94,725
----------
1,765,364
CONGLOMERATES -- 1.46%
General Electric Co. ............... 3,000 296,625
Tyco International, Ltd. ........... 1,100 58,163
----------
354,788
CONSUMER PRODUCTS -- 2.36%
Colgate Palmolive Co. .............. 800 73,800
Gillette Co. ....................... 2,100 163,275
Minnesota Mining & Manufacturing
Co. .............................. 1,200 99,450
Proctor & Gamble Co. ............... 2,200 236,500
----------
573,025
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
DRUGS -- 0.94%
Bristol Myers Squibb Co. ........... 1,700 $ 184,875
Lilly Eli & Co. .................... 600 43,800
----------
228,675
ELECTRONICS -- 3.58%
Boston Scientific Corp.(a) ......... 2,000 120,000
Emerson Electric Co. ............... 300 29,025
Honeywell, Inc. .................... 2,000 131,500
Intel Corp. ........................ 2,700 353,531
Micron Technology, Inc. ............ 1,800 52,425
Perkin-Elmer Corp. ................. 1,900 111,862
Texas Instruments, Inc. ............ 1,100 70,125
----------
868,468
ENTERTAINMENT -- 0.43%
Disney, Walt Co. ................... 1,500 104,437
FINANCIAL SERVICES -- 2.33%
Conseco, Inc. ...................... 2,800 178,500
MBNA Corp. ......................... 2,000 83,000
T. Rowe Price & Assoc., Inc. ....... 3,150 137,025
Travelers Group, Inc. .............. 3,666 166,345
----------
564,870
FOOD & BEVERAGES -- 2.06%
Campbell Soup Co. .................. 1,300 104,325
Coca-Cola Co. ...................... 2,300 121,038
Pepsico, Inc. ...................... 8,600 251,550
Seagram Ltd. ....................... 600 23,250
----------
500,163
HEALTH PRODUCTS & CARE -- 4.40%
Abbott Laboratories................. 1,200 60,900
American Home Products Corp. ....... 2,600 152,425
Amgen, Inc.(a)...................... 1,600 87,000
Columbia/HCA Healthcare Corp. ...... 6,000 244,500
Johnson & Johnson................... 2,000 99,500
Merck & Co., Inc. .................. 2,800 221,900
Pfizer, Inc. ....................... 1,900 157,462
Warner Lambert Co. ................. 600 45,000
----------
1,068,687
HOTEL -- 1.42%
Hospitality Franchise Systems,
Inc.(a)........................... 2,500 149,375
Hilton Hotels Corp. ................ 3,500 91,438
Marriott International, Inc. ....... 1,900 104,975
----------
345,788
</TABLE>
See notes to the financial statements.
53
<PAGE> 55
JNL/PHOENIX INVESTMENT COUNSEL BALANCED SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
INSURANCE -- 2.90%
Allstate Corp. ..................... 4,200 $ 243,075
American International Group,
Inc. ............................. 1,400 151,550
Chubb Corp. ........................ 900 48,375
ITT Hartford Group, Inc. ........... 500 33,750
Marsh & McLennan Cos., Inc. ........ 1,000 104,000
TIG Holdings, Inc. ................. 3,600 121,950
----------
702,700
MACHINERY -- 0.98%
Deere & Co. ........................ 2,700 109,687
Dover Corp. ........................ 1,400 70,350
Thermo Electron Corp.(a)............ 1,400 57,750
----------
237,787
OIL & GAS -- 7.01%
Anadarko Petroleum Corp. ........... 1,500 97,125
Apache Corp. ....................... 2,700 95,513
Baker Hughes, Inc. ................. 3,300 113,850
Chevron Corp. ...................... 2,800 182,000
Columbia Gas Systems, Inc. ......... 1,500 95,437
Consolidated Natural Gas Co. ....... 2,000 110,500
Enron Oil & Gas Co. ................ 3,200 80,800
Ensco International, Inc.(a)........ 2,000 97,000
Exxon Corp. ........................ 1,500 147,000
Halliburton Co. .................... 2,000 120,500
Mobil Corp. ........................ 200 24,450
Noble Affiliates, Inc. ............. 3,500 167,562
Royal Dutch Petroleum Co. .......... 700 119,525
Schlumberger Ltd. .................. 1,500 149,813
Transocean Offshore, Inc. .......... 1,600 100,200
----------
1,701,275
REAL ESTATE -- 0.21%
Redwood Trust, Inc. ................ 1,400 52,150
RETAIL -- 3.32%
CVS Corp. .......................... 1,400 57,925
Home Depot, Inc. ................... 3,500 175,437
Lowe's Companies, Inc. ............. 3,000 106,500
Office Depot, Inc.(a)............... 500 8,875
Petsmart, Inc.(a)................... 4,500 98,437
Safeway Stores, Inc.(a)............. 5,200 222,300
Staples, Inc.(a).................... 7,500 135,469
----------
804,943
TELECOMMUNICATIONS -- 0.61%
Ameritech Corp. .................... 1,000 60,625
Bell Atlantic Corp. ................ 1,000 64,750
Lucent Technologies, Inc. .......... 500 23,125
----------
148,500
TRANSPORTATION -- 0.39%
Tidewater, Inc. .................... 2,100 95,025
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
WASTE DISPOSAL -- 0.88%
Philip Environmental, Inc.(a)....... 3,500 50,750
Republic Industries, Inc.(a)........ 1,500 46,781
USA Waste Services, Inc.(a)......... 3,600 114,750
----------
212,281
----------
Total Common Stocks
(cost $11,738,209).............. 12,395,014
----------
<CAPTION>
PRINCIPAL
CORPORATE BONDS -- 0.11% AMOUNT
- -------------------------------------- ----------
<S> <C> <C>
FINANCIAL -- 0.04%
Astra (144a)
8.750%, 08/07/2003................ $ 10,000 10,150
INDUSTRIAL -- 0.07%
Buckeye Cellulos
9.250%, 09/15/2008................ 15,000 15,600
----------
Total Corporate Bonds
(cost $24,875).................. 25,750
----------
MUNICIPAL BONDS -- 0.17%
- --------------------------------------
CALIFORNIA -- 0.06%
Long Beach Pension Obligation -- FSA
Insured, 6.87%, 09/01/2006........ 5,000 4,961
San Bernardino County Authority
Pension -- MBIA Insured, 6.94%,
08/01/2009........................ 5,000 4,962
Ventura County Municipal Bond -- FSA
Insured, 6.58%, 11/01/2006........ 5,000 4,902
----------
14,825
FLORIDA -- 0.11%
Miami Beach Pension Project -- AMBAC
Insured, 8.60%, 09/01/2021........ 10,000 10,698
University of Miami -- MBIA Insured
Adjustable Rate, 7.65%,
04/01/2020........................ 15,000 15,132
----------
25,830
----------
Total Municipal Bonds
(cost $40,970).................. 40,655
----------
U.S. GOVERNMENT SECURITIES -- 36.57%
- --------------------------------------
U.S. TREASURY NOTES -- 20.20%
6.875%, 07/31/1999.................. 200,000 204,062
6.250%, 10/31/2001.................. 500,000 500,470
5.875%, 11/30/2001.................. 1,000,000 985,470
5.875%, 11/15/2005.................. 300,000 289,266
6.500%, 10/15/2006.................. 2,900,000 2,915,863
6.000%, 02/15/2026.................. 10,000 9,102
----------
4,904,233
U.S. GOVERNMENTAL AGENCIES -- 16.37%
Resolution Trust Corporation Strip
Interest, 6.80%, 05/25/2027....... 95,896 94,901
See notes to the financial statements.
</TABLE>
54
<PAGE> 56
JNL/PHOENIX INVESTMENT COUNSEL BALANCED SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES (CONTINUED)
- --------------------------------------
U.S. GOVERNMENTAL AGENCIES (CONTINUED)
- --------------------------------------
Government National Mortgage
Association
6.50%, 12/15/2023................. $ 270,829 $ 259,912
6.50%, 04/15/2026................. 3,795,555 3,620,010
----------
3,879,922
----------
Total U.S. Government Securities
(cost $8,920,638)............... 8,879,056
----------
MORTGAGE BACKED SECURITIES -- 1.26%
- --------------------------------------
Countrywide Mortgage Backed
Securities, Inc., 8.00%,
12/25/2026........................ 95,806 97,213
DLJ Mortgage Acceptance Corp. 1996-
CF1 A1B, (144a), 7.58%,
03/13/2028........................ 50,000 51,688
Green Tree 1996-4 A6, 7.40%,
06/15/2027........................ 15,000 15,126
Residential Funding Mortgage
Security I
6.75%, 03/25/2011................. 97,126 95,062
TLFC Equipment Lease Trust
5.98%, 11/20/2002................. 48,244 48,123
----------
Total Mortgage Backed Securities
(cost $308,906)................. 307,212
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 10.84%
- --------------------------------------
COMMERCIAL PAPER -- 10.84%
Albertsons, Inc.
5.38%, 01/28/1997................. $ 265,000 $ 263,931
Amoco Co.
5.25%, 01/06/1997................. 315,000 314,770
Gannett, Inc.
5.35%, 01/10/1997................. 550,000 549,264
General Electric Capital Corp.
5.37%, 01/13/1997................. 300,000 299,463
Proctor & Gamble
5.33%, 01/07/1997................. 330,000 329,707
Receivables Capital Corp.
5.55%, 02/14/1997................. 525,000 521,439
Schering Corp.
5.45%, 01/30/1997................. 355,000 353,441
----------
Total Short-Term Investments
(cost $2,632,015)............... 2,632,015
----------
TOTAL INVESTMENTS -- 100%
- --------------------------------------
(cost $23,665,613).................. $24,279,702
==========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
55
<PAGE> 57
JNL/PHOENIX INVESTMENT COUNSEL GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 90.56%
- ---------------------------------------
AEROSPACE & AIRCRAFT -- 2.64%
AlliedSignal, Inc. .................. 3,200 $ 214,400
Boeing Co. .......................... 2,100 223,387
United Technologies Corp. ........... 3,000 198,000
-----------
635,787
BANKS -- 6.33%
Ahmanson H F & Co. .................. 6,700 217,750
BankAmerica Corp. ................... 2,200 219,450
Citicorp............................. 3,100 319,300
MBNA Corp. .......................... 5,600 232,400
NationsBank Corp. ................... 1,100 107,525
Republic NY Corp..................... 2,600 212,225
Wells Fargo & Co. ................... 800 215,800
-----------
1,524,450
BUSINESS SERVICES -- 2.67%
ADT Ltd. ............................ 9,500 217,312
Cognizant Corp. ..................... 6,700 221,100
First Data Corp...................... 5,600 204,400
-----------
642,812
CHEMICALS -- 2.74%
Du Pont E I De Nemours & Co. ........ 2,300 217,063
IMC Global, Inc. .................... 5,700 223,013
Potash Corp. ........................ 2,600 221,000
-----------
661,076
COMPUTERS & SOFTWARE -- 11.07%
Cisco Systems, Inc.(a)............... 10,600 674,425
Compaq Computer Corp(a).............. 4,400 326,700
Computer Associates International,
Inc. .............................. 5,800 288,550
Hewlett Packard Co. ................. 2,100 105,525
International Business Machines
Corp............................... 3,000 453,000
Microsoft Corp.(a)................... 5,300 437,912
3Com Corp(a)......................... 5,200 381,550
-----------
2,667,662
CONFECTIONS & BEVERAGES -- 2.59%
Coca-Cola Co. ....................... 9,000 473,625
Pepsico, Inc. ....................... 5,100 149,175
-----------
622,800
CONSUMER PRODUCTS -- 8.85%
Colgate Palmolive Co. ............... 2,400 221,400
Crown Cork & Seal, Inc. ............. 4,300 233,813
Eastman Kodak Co. ................... 1,300 104,325
Gillette Co. ........................ 3,100 241,025
Philip Morris Cos, Inc. ............. 6,000 675,750
Procter & Gamble Co. ................ 2,000 215,000
Seagram Co. Ltd. .................... 5,500 213,125
Unilever NV.......................... 1,300 227,825
-----------
2,132,263
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------
DIVERSIFIED -- 0.90%
Tyco International, Ltd. ............ 4,100 $ 216,787
ELECTRONICS -- 9.93%
Adaptec, Inc.(a)..................... 5,100 204,000
Atmel Corp.(a)....................... 3,100 102,687
Boston Scientific Corp.(a)........... 3,600 216,000
Checkpoint Systems, Inc.(a).......... 3,100 76,725
General Electric Corp. .............. 4,600 454,825
Intel Corp. ......................... 5,300 693,969
Perkin Elmer Corp. .................. 3,900 229,612
Raychem Corp. ....................... 4,000 320,500
S3, Inc.(a).......................... 5,700 92,625
-----------
2,390,943
FINANCIAL SERVICES -- 5.99%
Allstate Corp. ...................... 3,700 214,137
American Express Co. ................ 4,000 226,000
Chase Manhattan Corp................. 3,600 321,300
Federal National Mortgage
Association........................ 6,200 230,950
First USA Inc. ...................... 6,600 228,525
Travelers Group, Inc. ............... 4,900 222,337
-----------
1,443,249
HEALTH PRODUCTS & CARE -- 1.79%
Columbia/HCA Healthcare Corp. ....... 5,300 215,975
Mallinckrodt, Inc. .................. 4,900 216,213
-----------
432,188
INSURANCE -- 2.03%
Conseco, Inc. ....................... 3,400 216,750
Equifax, Inc. ....................... 5,100 156,187
SunAmerica, Inc. .................... 2,600 115,375
-----------
488,312
MEDICAL SERVICES & SUPPLIES -- 10.02%
American Home Products Corp. ........ 3,700 216,913
Amgen, Inc.(a)....................... 3,800 206,625
Centocor(a).......................... 3,100 110,825
Johnson & Johnson.................... 4,300 213,925
Medtronic, Inc. ..................... 3,200 217,600
Merck & Co. ......................... 8,400 665,700
Pharmacia & Upjohn, Inc. ............ 5,600 221,900
Pfizer, Inc. ........................ 5,500 455,813
Warner Lambert, Co. ................. 1,400 105,000
-----------
2,414,301
</TABLE>
See notes to the financial statements.
56
<PAGE> 58
JNL/PHOENIX INVESTMENT COUNSEL GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------
OIL & GAS -- 11.28%
Anadarko Petroleum Corp. ............ 3,200 $ 207,200
BJ Services Co.(a)................... 6,500 331,500
Burlington Resources, Inc. .......... 2,100 105,788
Diamond Offshore Drilling(a)......... 5,900 336,300
Dresser Industries, Inc. ............ 4,100 127,100
Elf Aquitaine Sponsored -- ADR....... 5,500 248,875
Ensco International, Inc.(a)......... 5,300 257,050
Halliburton Co. ..................... 5,300 319,325
Louisiana Land & Exploration Co. .... 3,900 209,138
Rowan Cos, Inc.(a)................... 4,500 101,813
Schlumberger, Ltd. .................. 2,100 209,737
Tidewater, Inc. ..................... 5,800 262,450
-----------
2,716,276
RETAIL -- 7.51%
American Stores, Co. ................ 5,300 216,638
CVS Corp. ........................... 5,400 223,425
Federated Department Stores,
Inc.(a)............................ 6,500 221,813
Home Depot, Inc. .................... 9,000 451,125
Price/Costco, Inc.(a)................ 13,600 341,700
TJX Cos, Inc. ....................... 7,500 355,312
-----------
1,810,013
TELECOMMUNICATIONS -- 2.86%
Ameritech Corp. ..................... 3,800 230,375
GTE Corp............................. 5,100 232,050
SBC Communications, Inc. ............ 4,400 227,700
-----------
690,125
TRANSPORTATION -- 1.36%
Burlington Northern Sante Fe......... 3,800 328,225
-----------
Total Common Stocks
(cost $21,526,921)............... 21,817,269
-----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ ------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 9.44%
- ---------------------------------------
U.S. GOVERNMENT AGENCIES -- 0.40%
Federal Home Loan Mortgage,
5.23%, 01/16/1997.................. $ 97,000 $ 96,789
COMMERCIAL PAPER -- 9.04%
Amoco
5.25%, 01/06/1997.................. 485,000 484,646
Ciesco L P
5.38%, 01/09/1997.................. 300,000 299,642
5.38%, 01/13/1997.................. 255,000 254,543
Gannett, Inc.
5.35%, 01/10/1997.................. 55,000 54,926
General Electric Co.
5.28%, 01/08/1997.................. 420,000 419,569
General Electric Cap Corp.
5.37%, 01/14/1997.................. 430,000 429,166
International Lease Finance Corp.
5.35%, 01/17/1997.................. 235,000 234,441
-----------
2,176,933
-----------
Total Short-Term Investments
(cost $2,273,722)................ 2,273,722
-----------
TOTAL INVESTMENTS -- 100%
- ---------------------------------------
(cost $23,800,643)................... $24,090,991
===========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to the financial statements.
57
<PAGE> 59
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE BONDS -- 92.93%
- -----------------------------------------------------------------
AGRICULTURAL MACHINERY -- 0.76%
AGCO Corp. (144a), 8.50%,
03/15/2006....................... $100,000 $ 102,625
AUTOMOTIVE & ACCESSORIES -- 5.74%
Exide Corp., (Step-Up), 12.25%,
12/15/2004(a).................... 200,000 184,000
Hayes Wheels International, Inc.,
11.00%, 07/15/2006............... 100,000 109,125
Lear Seating Corp., 9.50%,
07/15/2006....................... 200,000 216,000
Speedy Muffler King, Inc., 10.875%,
10/01/2006....................... 250,000 266,562
-----------
775,687
BANKS -- 2.40%
First Nationwide Bank, (144a),
10.625%, 10/01/2003.............. 300,000 324,000
BUILDING PRODUCTS -- 2.23%
Toll Corp., 8.75%, 11/15/2006...... 300,000 301,500
CHEMICALS -- 2.41%
Laroche Industries, Inc., 13.00%,
08/15/2004....................... 300,000 325,500
COMMUNICATIONS -- 9.80%
Bell & Howell Co. Ser. B (Step-Up),
11.50%, 03/01/2005............... 300,000 217,500
Centennial Cellular Corp., 8.875%,
11/01/2001....................... 300,000 289,500
Gray Communications, 10.625%,
10/01/2006....................... 200,000 212,000
K-III Communications, 8.50%,
02/01/2006....................... 200,000 196,500
Paging Network, Inc., 10.125%,
08/01/2007....................... 300,000 306,000
Rogers Communications, Inc.,
10.875%, 04/15/2004.............. 100,000 105,000
-----------
1,326,500
CONSUMER PRODUCTS -- 6.32%
Coty, Inc., 10.25%, 05/01/2005..... 400,000 434,000
Celestica International, Inc.,
10.50%, 12/31/2006............... 400,000 420,000
-----------
854,000
DEFENSE -- 0.83%
Alliant Techsystems, Inc., 11.75%,
03/01/2003....................... 100,000 112,250
FABRICATED METAL PRODUCTS -- 3.28%
Ryerson Tull, Inc., 8.50%,
07/15/2001....................... 200,000 205,000
UCAR Global Enterprises, Inc.,
12.00%, 01/15/2005............... 207,000 238,568
-----------
443,568
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- -------------------------------------
FINANCIAL -- 2.47%
Schuller International Group, Inc.,
10.875%, 12/15/2004.............. $300,000 $ 333,750
FOOD & BEVERAGES -- 6.33%
Americold Corp., 11.50%,
03/01/2005....................... 100,000 105,000
Dominick's Finer Foods, 10.875%,
05/01/2005....................... 300,000 332,250
International Home Foods, Inc.,
10.375%, 11/01/2006.............. 300,000 309,750
Keebler Corp., (144a), 10.75%,
07/01/2006....................... 100,000 109,000
-----------
856,000
GAMING -- 5.92%
Argosy Gaming Co., (144a) 13.25%,
06/01/2004....................... 200,000 186,500
Aztar Corp.
11.00%, 10/01/2002............... 100,000 96,750
13.75%, 10/01/2004............... 100,000 106,500
Harvey's Casino Resorts, 10.625%,
06/01/2006....................... 200,000 210,000
Station Casinos, Inc., 10.125%,
03/15/2006....................... 200,000 201,000
-----------
800,750
INDUSTRIAL -- 9.44%
Clark-Schwebel, Inc., 10.50%,
04/15/2006....................... 100,000 106,000
Freedom Chemical Co., 10.625%,
10/15/2006....................... 300,000 315,000
Norcal Waste System, Inc.,
(Step-Up) 12.75%,
11/15/2005(a).................... 300,000 331,500
U.S. Can Corp., 10.125%,
10/15/2006....................... 300,000 315,375
Veritas DGC, Inc., 9.75%,
10/15/2003....................... 200,000 208,000
-----------
1,275,875
MACHINERY -- 0.80%
Terex Corp., (144a), 13.25%,
05/15/2002....................... 100,000 107,750
MEDIA CABLE -- 7.69%
Century Communications
9.75%, 02/15/2002................ 100,000 103,000
9.50%, 03/01/2005................ 100,000 102,500
Frontiervision, 11.00%,
10/15/2006....................... 200,000 202,937
Jones Intercable, Inc., 9.625%,
03/15/2002....................... 200,000 210,000
Marcus Cable Co., 11.875%,
10/01/2005....................... 200,000 211,750
Rogers Cablesystems Limited
9.625%, 08/01/2002............... 100,000 104,250
10.00%, 03/15/2005............... 100,000 106,500
-----------
1,040,937
</TABLE>
See notes to the financial statements.
58
<PAGE> 60
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- -------------------------------------
MERCHANDISING -- 3.87%
E&S Holdings Corp., (144a),
10.375%, 10/01/2006.............. $400,000 $ 419,000
Simmons Co., 10.75%, 04/15/2006.... 100,000 105,250
-----------
524,250
OIL & GAS -- 5.09%
Cliffs Drilling Co., 10.25%,
05/15/2003....................... 300,000 319,125
Parker Drilling Co., 9.75%,
11/15/2006....................... 350,000 369,250
-----------
688,375
PAPER -- 3.29%
Doman Industries Ltd., 8.75%,
03/15/2004....................... 200,000 187,000
Quno Corp., 9.125%, 05/15/2005..... 250,000 258,125
-----------
445,125
PETROLEUM -- 1.58%
Nuevo Energy Co., 9.50%,
04/15/2006....................... 100,000 106,250
Plains Resources, Inc., 10.25%,
03/15/2006....................... 100,000 107,000
-----------
213,250
PRINTING & PUBLISHING -- 3.28%
Big Flower Press, Inc., 10.75%
08/01/2003....................... 125,000 131,250
Printpack Inc., (144a), 10.625%,
08/15/2006....................... 300,000 312,000
-----------
443,250
RETAIL -- 1.63%
Smith's Food & Drug, 11.25%,
05/15/2007....................... 200,000 221,000
STEEL -- 1.51%
Bar Technologies, Inc., 13.50%,
04/01/2001....................... 100,000 101,500
NS Group, Inc., 13.50%,
07/15/2003....................... 100,000 102,250
-----------
203,750
TEXTILES -- 2.41%
Day International Group, 11.125%,
06/01/2005....................... 100,000 105,000
Synthetic Industries, Inc., 12.75%,
12/01/2002....................... 200,000 220,500
-----------
325,500
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- -------------------------------------
TOBACCO -- 2.30%
Dimon, Inc., 8.875%, 06/01/2006.... $300,000 $ 311,250
TRANSPORTATION -- 1.55%
Viking Star Shipping, Inc., 9.625%,
07/15/2003....................... 200,000 209,250
-----------
Total Corporate Bonds
(cost $12,152,861)........... 12,565,692
-----------
WARRANTS & RIGHTS -- 0.01%
- -------------------------------------
STEEL -- 0.00%
Bar Technologies, Inc.............. 100 550
MISCELLANEOUS -- 0.01%
Terex Corp......................... 400 1,400
-----------
Total Warrants & Rights
(cost $831).................... 1,950
-----------
SHORT TERM INVESTMENTS -- 7.06%
- -------------------------------------
COMMERCIAL PAPER -- 6.69%
- -------------------------------------
American Express Corp.,
5.90%, 01/02/1997................ 250,000 249,959
Disney Walt Co., 5.47%,
01/02/1997....................... 250,000 249,962
Ford Motor Credit Co., 6.00%,
01/02/1997....................... 225,000 224,962
General Motors Acceptance Corp.,
5.78%, 01/06/97.................. 180,000 179,856
-----------
904,739
MONEY MARKET FUNDS -- 0.37%
- -------------------------------------
State Street Global Advisor Fund,
5.38%(b)......................... 50,656 50,656
-----------
Total Short Term Investments
(cost $955,395).............. 955,395
-----------
TOTAL INVESTMENTS -- 100%
- -------------------------------------
(cost $13,109,087)................. $13,523,037
==========
</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 December 31, 1996.
See notes to the financial statements.
59
<PAGE> 61
PPM AMERICA/JNL MONEY MARKET SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
COMMERCIAL PAPER -- 99.99%
- --------------------------------------
CAPTIVE FINANCE -- 25.09%
American Express Credit Corp.
5.32%, 01/08/1997................. $ 250,000 $ 249,741
5.30%, 01/21/1997................. 130,000 129,617
5.31%, 01/27/1997................. 125,000 124,521
5.30%, 03/17/1997................. 160,000 158,233
5.31%, 03/17/1997................. 300,000 296,681
5.27%, 03/28/1997................. 170,000 167,860
Chrysler Financial Corp.
5.31%, 01/08/1997................. 109,000 108,887
5.33%, 01/09/1997................. 274,000 273,675
5.33%, 01/28/1997................. 250,000 249,001
5.41%, 01/30/1997................. 260,000 258,867
Ford Motor Credit Co.
5.31%, 01/15/1997................. 100,000 99,794
5.33%, 01/23/1997................. 225,000 224,267
5.34%, 01/23/1997................. 145,000 144,527
5.31%, 01/24/1997................. 215,000 214,271
5.32%, 03/17/1997................. 105,000 103,836
5.33%, 04/01/1997................. 200,000 197,335
General Motors Acceptance Corp.
5.45%, 01/06/1997................. 110,000 109,917
5.31%, 01/13/1997................. 110,000 109,805
5.46%, 01/27/1997................. 110,000 109,566
5.32%, 02/03/1997................. 100,000 99,512
5.48%, 02/24/1997................. 100,000 99,178
5.38%, 04/22/1997................. 100,000 98,341
J C Penney Corp.
5.30%, 02/20/1997................. 300,000 297,792
5.31%, 02/28/1997................. 191,000 189,366
5.33%, 03/07/1997................. 190,000 188,172
John Deere Capital Corp.
5.42%, 02/24/1997................. 325,000 322,358
5.40%, 02/28/1997................. 175,000 173,478
Sears Roebuck Acceptance Corp.
5.32%, 01/13/1997................. 125,000 124,778
5.45%, 01/13/1997................. 200,000 199,637
5.40%, 01/17/1997................. 100,000 99,760
5.32%, 01/23/1997................. 400,000 398,700
5.35%, 01/31/1997................. 150,000 149,331
-----------
5,770,804
COMPUTERS -- 4.08%
International Business Machines
Credit Corp.
5.40%, 01/08/1997................. 310,000 309,675
5.31%, 01/14/1997................. 450,000 449,137
5.29%, 01/31/1997................. 180,000 179,207
-----------
938,019
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
- --------------------------------------
CONSUMER FINANCE -- 20.83%
American General Financial Corp.
5.45%, 01/14/1997................. $ 250,000 $ 249,508
5.50%, 01/17/1997................. 195,000 194,523
5.29%, 01/29/1997................. 165,000 164,321
5.50%, 01/30/1997................. 200,000 199,114
Beneficial Corp.
5.33%, 01/06/1997................. 165,000 164,878
5.30%, 01/10/1997................. 195,000 194,742
5.30%, 01/28/1997................. 150,000 149,405
5.29%, 02/07/1997................. 250,000 248,638
5.32%, 02/10/1997................. 150,000 149,113
Heller Financial, Inc.
5.47%, 01/09/1997................. 200,000 199,757
5.45%, 01/31/1997................. 105,000 104,523
5.36%, 02/21/1997................. 410,000 406,887
5.33%, 04/25/1997................. 190,000 186,793
Household Financial Corp.
5.32%, 01/08/1997................. 130,000 129,866
5.29%, 01/17/1997................. 320,000 319,248
5.30%, 01/17/1997................. 130,000 129,694
5.53%, 01/21/1997................. 300,000 299,078
5.29%, 01/30/1997................. 150,000 149,361
Norwest Financial, Inc.
5.30%, 01/06/1997................. 200,000 199,853
5.41%, 01/07/1997................. 250,000 249,775
5.31%, 01/15/1997................. 105,000 104,783
5.30%, 01/17/1997................. 100,000 99,764
5.39%, 01/24/1997................. 225,000 224,225
5.30%, 02/07/1997................. 150,000 149,183
5.29%, 02/10/1997................. 125,000 124,265
-----------
4,791,297
CONSUMER PRODUCTS -- 9.67%
Coca-Cola Co., 5.95%, 01/10/1997.... 200,000 199,703
Conagra, Inc.
5.45%, 01/24/1997................. 100,000 99,652
5.49%, 02/18/1997................. 150,000 148,900
5.49%, 02/21/1997................. 270,000 267,900
Heinz H J Co.
5.28%, 01/03/1997................. 480,000 479,859
5.28%, 01/07/1997................. 200,000 199,824
5.40%, 01/24/1997................. 255,000 254,120
Proctor & Gamble Co.
5.60%, 01/14/1997................. 200,000 199,596
5.27%, 01/21/1997................. 220,000 219,356
Tyson Foods, Inc., 5.55%,
01/08/1997........................ 155,000 154,833
-----------
2,223,743
</TABLE>
See notes to the financial statements.
60
<PAGE> 62
PPM AMERICA/JNL MONEY MARKET SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
- --------------------------------------
HEALTH CARE -- 6.56%
American Home Products Corp., 5.33%,
01/28/1997........................ $ 650,000 $ 647,402
Schering Corp.
5.30%, 01/29/1997................. 220,000 219,093
5.32%, 01/29/1997................. 185,000 184,235
5.35%, 02/11/1997................. 65,000 64,604
5.30%, 04/22/1997................. 400,000 393,463
-----------
1,508,797
INDEPENDENT FINANCE -- 5.99%
Associates Corp. -- North America
5.31%, 01/14/1997................. 110,000 109,789
5.38%, 01/23/1997................. 300,000 299,014
General Electric Capital Corp.
5.56%, 01/07/1997................. 200,000 199,815
5.55%, 01/29/1997................. 350,000 348,530
5.41%, 01/30/1997................. 105,000 104,541
5.30%, 02/28/1997................. 200,000 198,291
5.34%, 06/16/1997................. 120,000 117,045
-----------
1,377,025
INSURANCE -- 3.89%
USAA Capital Corp.
5.35%, 01/16/1997................. 250,000 249,443
5.29%, 02/06/1997................. 400,000 397,884
5.32%, 02/25/1997................. 250,000 247,968
-----------
895,295
MORTGAGE BANKING -- 4.88%
Countrywide Corp.
5.36%, 01/15/1997................. 150,000 149,687
5.35%, 01/16/1997................. 750,000 748,328
5.36%, 01/22/1997................. 225,000 224,297
-----------
1,122,312
OIL & GAS -- 6.45%
Chevron UK Investment PLC, 5.30%,
01/27/1997........................ 1,000,000 996,172
Consolidated Natural Gas Co.
5.60%, 01/16/1997................. 220,000 219,487
5.62%, 01/22/1997................. 270,000 269,115
-----------
1,484,774
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
- --------------------------------------
PACKAGING -- 1.86%
Crown, Cork & Seal, Inc.
5.78%, 01/15/1997................. $ 140,000 $ 139,684
5.70%, 01/28/1997................. 290,000 288,760
-----------
428,444
TELECOMMUNICATIONS -- 9.21%
American Telephone & Telegraph Co.,
5.40%, 04/07/1997................. 185,000 182,335
Ameritech Corp.
5.27%, 01/10/1997................. 140,000 139,816
5.33%, 07/11/1997................. 732,000 711,300
Bell South Telecommunications Corp.,
5.50%, 02/13/1997................. 150,000 149,015
GTE Corp.
6.17%, 01/02/1997................. 270,000 269,954
5.47%, 01/14/1997................. 165,000 164,674
5.55%, 01/31/1997................. 360,000 358,335
5.55%, 02/19/1997................. 145,000 143,905
-----------
2,119,334
UTILITIES -- 1.48%
Florida Power Corp., 5.58%,
01/08/1997........................ 342,000 341,629
-----------
TOTAL COMMERCIAL PAPER
- --------------------------------------
(cost $23,001,473).................. 23,001,473
-----------
MONEY MARKET FUNDS -- 0.01%
- --------------------------------------
State Street Global Advisor Fund,
5.38%,(a) (cost $1,772)........... 1,772 1,772
-----------
TOTAL INVESTMENTS -- 100%
- --------------------------------------
(cost $23,003,245).................. $23,003,245
===========
</TABLE>
- -------------------------
(a) Dividend yields change daily to reflect current market conditions. Rate
shown is the quoted yield as of December 31, 1996.
See notes to the financial statements.
61
<PAGE> 63
PPM AMERICA/JNL VALUE EQUITY SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 96.17%
- ---------------------------------------
AEROSPACE -- 5.69%
Lockheed Martin Corp. ............... 1,900 $ 173,850
Rockwell International Corp.......... 4,400 267,850
TRW, Inc. ........................... 7,100 351,450
United Technologies Corp. ........... 3,800 250,800
-----------
1,043,950
AUTOMOTIVE -- 3.78%
Ford Motor Co. ...................... 11,100 353,812
General Motors Corp. ................ 6,100 340,075
-----------
693,887
BANKS -- 6.46%
BankAmerica Corp. ................... 2,700 269,325
Charter One Financial, Inc. ......... 5,500 231,000
KeyCorp.............................. 6,800 343,400
Mellon Bank Corp. ................... 4,800 340,800
-----------
1,184,525
CHEMICALS -- 4.38%
Grace (W.R.) & Co. .................. 3,500 181,125
PPG Industries, Inc. ................ 6,300 353,587
Rohm & Haas Co. ..................... 3,300 269,363
-----------
804,075
COMPUTERS AND BUSINESS MACHINES --
4.49%
International Business Machines
Corp. ............................. 2,800 422,800
Xerox Corp. ......................... 7,600 399,950
-----------
822,750
DOMESTIC OIL -- 1.39%
Ashland, Inc. ....................... 5,800 254,475
DRUGS & HEALTH CARE -- 6.21%
Baxter International, Inc. .......... 4,400 180,400
Bristol Myers Squibb Co. ............ 2,300 250,125
Columbia/HCA Healthcare Corp. ....... 6,900 281,175
Pharmacia & Upjohn Co. .............. 4,200 166,425
Wellpoint Health Networks, Inc.(a)... 7,600 261,250
-----------
1,139,375
ELECTRIC UTILITIES -- 7.68%
Edison International................. 17,900 355,763
General Public Utilities Corp. ...... 10,300 346,338
Ohio Edison Co. ..................... 15,500 352,625
PECO Energy Co. ..................... 14,000 353,500
-----------
1,408,226
ELECTRICAL EQUIPMENT -- 1.95%
Cooper Industries, Inc. ............. 8,500 358,062
ELECTRONICS & INSTRUMENTATION -- 2.02%
Harris Corp. ........................ 5,400 370,575
FINANCIAL SERVICES -- 3.75%
Beneficial Corp. .................... 5,500 348,562
Chase Manhattan Corp New............. 3,800 339,150
-----------
687,712
FOOD, BEVERAGE, AND TOBACCO -- 7.45%
American Brands, Inc. ............... 7,900 392,037
Anheuser-Busch Cos., Inc. ........... 5,900 236,000
Philip Morris Co., Inc. ............. 3,300 371,663
RJR Nabisco Holdings Corp. .......... 10,800 367,200
-----------
1,366,900
GAS EXPLORATION -- 1.91%
Occidental Petroleum Corp. .......... 15,000 350,625
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------------
INDUSTRIAL MACHINERY -- 1.94%
Parker Hannifin Corp................. 9,200 $ 356,500
INSURANCE -- 10.67%
Aetna, Inc. ......................... 4,700 376,000
American General Corp. .............. 6,500 265,687
CIGNA Corp. ......................... 2,600 355,225
ITT Hartford Group, Inc. ............ 5,100 344,250
Providian Corp. ..................... 6,900 354,488
TransAmerica Corp. .................. 3,300 260,700
-----------
1,956,350
INTERNATIONAL OIL -- 3.84%
Chevron Corp. ....................... 5,400 351,000
Exxon Corp. ......................... 3,600 352,800
-----------
703,800
LEISURE & ENTERTAINMENT -- 1.76%
Hasbro, Inc. ........................ 8,300 322,663
MERCHANDISING -- 3.64%
Federated Department Stores,
Inc.(a)............................ 9,400 320,775
Penney (J.C.) Co., Inc. ............. 7,100 346,125
-----------
666,900
MINING -- 1.91%
Phelps Dodge Corp. .................. 5,200 351,000
PAPER -- 1.93%
Mead Corp. .......................... 6,100 354,562
PHOTOGRAPHY -- 1.66%
Polaroid Corp. ...................... 7,000 304,500
RAILROADS -- 3.06%
Burlington Northern Sante Fe,
Inc. .............................. 2,400 207,300
CSX Corp. ........................... 8,400 354,900
-----------
562,200
TELECOMMUNICATIONS -- 6.69%
AT&T................................. 9,200 400,200
Sprint Corp. ........................ 10,200 406,725
US West, Inc. ....................... 13,000 419,250
-----------
1,226,175
TEXTILES -- 1.91%
VF Corporation....................... 5,200 351,000
-----------
TOTAL COMMON STOCKS
- ---------------------------------------
(cost $15,689,692)................... 17,640,787
-----------
PRINCIPAL
AMOUNT
--------
SHORT-TERM INVESTMENTS -- 3.83%
- ---------------------------------------
MONEY MARKET FUNDS -- 3.83%
State Street Global Advisor Fund,
5.38%,(b) (cost $702,463).......... $702,463 702,463
-----------
TOTAL INVESTMENTS -- 100%
- ---------------------------------------
(cost $16,392,155)................... $18,343,250
===========
</TABLE>
- -------------------------
(a) Non-income producing.
(b) Dividend yield change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1996.
See notes to the financial statements.
62
<PAGE> 64
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE BONDS -- 40.37%
- --------------------------------------
UNITED STATES -- 40.37%
- --------------------------------------
AEROSPACE INDUSTRIES -- 1.14%
Talley Industries, 10.75%,
10/15/2003........................ $ 150,000 $ 154,875
CAPITAL GOODS -- 1.15%
Alvey Systems, 11.375%,
01/31/2003........................ 150,000 156,375
FINANCIAL -- 5.69%
Foamex LP/ Foamex Capital Corp.,
11.875%, 10/01/2004............... 250,000 266,250
Mellon Financial, 9.75%,
06/15/2001........................ 50,000 55,584
Paine Webber Group, Inc., 7.00%,
03/01/2000........................ 300,000 302,061
Trump Atlantic City Associates,
11.25%, 05/01/2006................ 150,000 148,500
-----------
772,395
INDUSTRIAL -- 23.59%
Clark-Schwebel, 10.50%,
04/15/2006........................ 250,000 266,250
Cliffs Drilling, 10.25%,
05/15/2003........................ 150,000 159,563
Dole Foods, Inc., 6.75%,
07/15/2000........................ 100,000 99,848
Freedom Chemical Co., 10.625%,
10/15/2006 (144a)................. 150,000 157,500
Iron Mountain, Inc., 10.125%,
10/01/2006........................ 150,000 159,000
Jordan Industries, Inc.,
10.375%, 08/01/2003............... 250,000 246,250
NL Industries, (Step-Up), 13.00%,
10/15/2005(a)..................... 150,000 129,000
National Energy Group, Inc., 10.75%,
11/01/2006 (144a)................. 150,000 158,250
Norcal Waste System,
13.00%, (Step-Up), 11/15/2005..... 150,000 165,750
Parker Drilling Co.,
9.75%, 11/15/2006................. 150,000 158,250
Penn Traffic Co., 9.625%,
04/15/2005........................ 250,000 140,000
Printpack, Inc., 10.625%, 08/15/2006
(144a)............................ 100,000 104,000
Rayovac Corp., 10.25%, 11/01/2006... 150,000 153,750
Remington Product Co., 11.00%,
05/15/2006 (144a)................. 150,000 128,250
Renco Metals, Inc.,
11.50%, 07/01/2003................ 150,000 156,750
Selmer Co., Inc., (144a), 11.00%,
05/15/2005........................ 250,000 270,000
Southdown, Inc. Ser. B, 10.00%,
03/01/2006........................ 125,000 131,875
Stroh Brewery Co., 11.10%,
07/01/2006........................ 150,000 156,375
Twin Labs, Inc., (144a), 10.25%,
05/15/2006........................ 150,000 154,500
Wyndham Hotel Corp., 10.50%,
05/15/2006........................ 100,000 106,500
-----------
3,201,661
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- --------------------------------------
UNITED STATES (CONTINUED)
- ----------------------------------------------------------------
PUBLISHING -- 1.98%
American Media Operations,
11.625%, 11/15/2004............... $ 250,000 $ 268,750
TELECOMMUNICATION -- 5.03%
Adelphia Communications,
12.50%, 05/15/2002................ 150,000 153,750
Diamond Cable Communications, Inc.,
11.75%, 12/15/2005................ 225,000 162,000
People's Choice (Step-Up), 13.125%,
06/01/2004(a)..................... 200,000 84,000
Telex Communications, Inc., 12.00%,
07/15/2004........................ 200,000 222,000
Winstar Communications, Inc., (Step-
Up), 14.00%, 10/15/2005(a)........ 100,000 61,000
-----------
682,750
TRANSPORTATION -- 1.02%
Airplanes Pass-through Trust,
10.875%, 03/15/2019............... 125,000 137,664
UTILITIES -- 0.77%
Arkla, Inc., 8.875%, 07/15/1999..... 100,000 105,044
-----------
Total Corporate Bonds
(Cost $5,455,638)............... 5,479,514
-----------
GOVERNMENT BONDS -- 51.37%
- --------------------------------------
ARGENTINA -- 4.40%
- --------------------------------------
Argentina Floating Rate Bond,
6.625%, 03/31/2005(b)............. 686,000 596,820
AUSTRALIA -- 0.11%
- --------------------------------------
Australia Government Bond, 6.75%,
11/15/2006........................ 20,000 15,223
BRAZIL -- 3.16%
- --------------------------------------
Brazil IDU Trust -- Merrill,
6.6875%, 01/01/2001(b)............ 227,500 220,106
Brazil C Bond (payment-in-kind
bond), 8.00%, 04/15/2014(c)....... 275,343 208,990
-----------
429,096
CANADA -- 3.41%
- --------------------------------------
Canadian Government Bond, 6.50%,
08/01/1999........................ 330,000 251,851
7.50%, 09/01/2000................. 150,000 118,028
7.00%, 09/01/2001................. 120,000 93,069
-----------
Total Canada...................... 462,948
DENMARK -- 0.67%
- --------------------------------------
Denmark Government Bond, 8.00%,
11/15/2001........................ 480,000 90,446
ECUADOR -- 0.86%
- --------------------------------------
Ecuador Pars (Step-Up), 3.25%,
02/28/2025(d)..................... 250,000 116,250
</TABLE>
See notes to the financial statements.
63
<PAGE> 65
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
GOVERNMENT BONDS (CONTINUED)
- --------------------------------------
GERMANY -- 0.86%
- --------------------------------------
Germany (Federal Republic),
8.25%, 09/20/2001................. $ 40,000 $ 29,761
7.50%, 11/11/2004................. 120,000 87,177
-----------
Total Germany..................... 116,938
IRELAND -- 1.39%
- --------------------------------------
Ireland Government Bond,
6.25%, 04/01/1999................. 50,000 85,197
6.50%, 10/18/2001................. 60,000 103,355
-----------
Total Ireland..................... 188,552
MEXICO -- 1.93%
- --------------------------------------
Mexico Global Bond, 11.50%,
05/15/2026........................ 250,000 262,500
MOROCCO -- 2.72%
- --------------------------------------
Morocco Loan Participation, 6.4375%,
01/01/2009(b)..................... 450,000 369,563
PANAMA -- 1.02%
- --------------------------------------
Panama Government Bond, 3.50%,
07/17/2014........................ 200,000 139,000
PHILIPPINES -- 1.79%
- --------------------------------------
Philippines Debt Conversion Bond,
6.375%, 12/01/2009(b)............. 250,000 243,125
SOUTH KOREA -- 1.62%
- --------------------------------------
Korea Development Bank, 9.60%,
12/01/2000........................ 200,000 220,222
UNITED STATES -- 26.02%
- --------------------------------------
U.S. GOVERNMENT AGENCIES -- 7.50%
Federal Home Loan Mortgage Company
10.00%, 05/15/2020................ 49,212 52,796
6.50%, 10/01/2026(e).............. 300,000 286,779
Federal National Mortgage
Association
13.00%, 11/01/2015................ 12,339 14,571
10.40%, 04/25/2019................ 80,186 86,501
7.00%, 03/01/2026(e).............. 300,000 293,343
6.50%, 02/01/2026................. 297,604 283,839
-----------
1,017,829
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
GOVERNMENT BONDS (CONTINUED)
- --------------------------------------
UNITED STATES (CONTINUED)
- ----------------------------------------------------------------
U.S. TREASURY NOTES -- 18.52%
U.S. Treasury Note
5.00%, 01/31/1998................. $ 300,000 $ 297,890
5.625%, 02/28/2001................ 650,000 637,104
6.25%, 04/30/2001................. 300,000 300,657
6.50%, 08/31/2001................. 150,000 151,641
5.875%, 11/15/2005................ 275,000 265,161
6.875%, 05/15/2006................ 190,000 195,789
7.00%, 07/15/2006................. 50,000 51,946
6.75%, 08/15/2026................. 60,000 60,450
6.50%, 10/15/2026................. 550,000 553,008
-----------
2,513,646
-----------
Total United States............. 3,531,475
-----------
VENEZUELA -- 1.41%
- --------------------------------------
Republic of Venezuela-Par, 6.75%,
03/31/2020........................ 250,000 190,938
-----------
Total Government Bonds
(Cost $6,793,608)............. 6,973,096
-----------
WARRANTS -- 0.00%
- --------------------------------------
VENEZUELA -- 0.00%
Republic of Venezuela Warrants (cost
$0)............................... 1,250 --
-----------
SHORT TERM INVESTMENTS -- 8.26%
- --------------------------------------
MONEY MARKET FUNDS -- 0.00%
State Street Global Advisor Fund,
5.38%(f).......................... 496 496
REPURCHASE AGREEMENTS -- 8.26%
Repurchase Agreement with J P
Morgan, 6.60% (Collateralized by
$933,000 U.S. Treasury Bond 8.50%
due 02/15/20, market value --
$1,179,661), acquired on 12/31/96,
due 01/02/97...................... 1,121,000 1,121,000
-----------
Total Short Term Investments
(Cost $1,121,496)............. 1,121,496
-----------
TOTAL INVESTMENTS -- 100%
- --------------------------------------
(Cost $13,370,742).................. $13,574,106
===========
</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
December 31, 1996.
(c) Currently a portion of this security's coupon payment is received in
additional principal.
(d) Coupon payment periodically increases over the life of the security. Rate
stated is in effect as of December 31, 1996.
(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 December 31, 1996.
See notes to the financial statements.
64
<PAGE> 66
SALOMON BROTHERS/JNL
U.S. GOVERNMENT & QUALITY BOND SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES -- 73.58%
- --------------------------------------
U.S. TREASURY NOTES -- 35.22%
U.S. Treasury Note
5.75%, 12/31/1998................. $1,000,000 $ 998,203
5.625%, 02/28/2001................ 500,000 490,080
6.50%, 05/31/2001................. 100,000 101,094
6.625%, 07/31/2001................ 300,000 304,782
6.50%, 08/31/2001................. 500,000 505,470
6.50%, 08/15/2005................. 80,000 80,513
5.875%, 11/15/2005................ 185,000 178,381
6.875%, 05/15/2006................ 250,000 257,616
7.00%, 07/15/2006................. 725,000 753,210
6.50%, 10/15/2006................. 525,000 527,872
-----------
4,197,221
U.S. TREASURY BONDS -- 5.80%
8.125%, 08/15/2019................ 140,000 161,941
6.75%, 08/15/2026................. 525,000 528,937
-----------
690,878
U.S. GOVERNMENT AGENCY & AGENCY BACKED
ISSUES -- 32.56%
Federal Home Loan Mortgage Corp.
5.94%, 06/13/2000................. 300,000 297,141
6.00%, 09/01/2010................. 4,465 4,333
11.75%, 01/01/2011................ 5,802 6,396
7.00%, 07/01/2011................. 127,812 127,732
8.25%, 04/01/2017................. 496,983 513,950
Federal National Mortgage
Association
14.50%, 11/01/2014................ 11,225 13,845
12.50%, 08/01/2015................ 7,833 9,201
12.50%, 09/01/2015................ 28,513 33,494
13.00%, 11/15/2015................ 26,078 30,797
12.00%, 01/01/2016................ 26,999 31,209
11.50%, 04/01/2019................ 8,665 9,880
11.50%, 02/01/2020................ 39,814 45,401
10.50%, 08/01/2020................ 160,644 176,709
7.00%, 08/01/2025(a).............. 100,000 97,781
6.50%, 03/01/2026................. 440,611 420,783
7.00%, 05/01/2026................. 342,833 335,225
7.00%, 10/01/2026(a).............. 800,000 782,248
Government National Mortgage
Association
13.50%, 07/15/2010................ 196,013 235,996
7.00%, 12/25/2025(a).............. 300,000 293,436
Student Loan Marketing Association
7.50%, 03/08/2000................. 400,000 414,436
-----------
3,879,993
-----------
Total U.S. Government Securities
(cost $8,708,609)............. 8,768,092
</TABLE> -----------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE BONDS -- 2.00%
- --------------------------------------
FINANCIAL -- 2.00%
Associate Corp.
5.60%, 01/15/2001................. $ 100,000 $ 96,399
Ford Motor Credit Co.
6.25%, 12/08/2005................. 150,000 142,122
-----------
Total Corporate Bonds
(cost $248,223)............... 238,521
-----------
SHORT TERM INVESTMENTS -- 24.42%
- --------------------------------------
MONEY MARKET FUNDS -- 0.01%
State Street Global Advisor Fund,
5.38%,(b)......................... 788 788
REPURCHASE AGREEMENTS -- 24.41%
Repurchase agreement with J.P.
Morgan, 6.60% (Collateralized by
$2,787,000 U.S. Treasury Bond
7.125% due 02/15/23, market value
-- $2,931,419), acquired on
12/31/1996, due 01/02/1997........ 2,909,000 2,909,000
-----------
Total Short Term Investments
(cost $2,909,788)............. 2,909,788
-----------
TOTAL INVESTMENTS -- 100%
- --------------------------------------
(cost $11,866,620).................. $11,916,401
</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 December 31, 1996.
See notes to the financial statements.
65
<PAGE> 67
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 93.81%
- --------------------------------------
FRANCE -- 0.53%
- --------------------------------------
CONFECTIONS & BEVERAGES -- 0.53%
LVMH (Louis Vuitton
Moet-Hennessy)...................... 630 $ 175,941
HONG KONG -- 0.88%
- --------------------------------------
FINANCE COMPANIES -- 0.88%
Hutchinson Whampoa Ltd.............. 37,000 290,613
ITALY -- 0.87%
- --------------------------------------
FINANCE COMPANIES -- 0.51%
Banca Fideuram SPA.................. 77,200 169,718
TELECOMMUNICATIONS -- 0.36%
Telecom Italia SPA.................. 18,600 36,293
Telecom Italia Mobile (a)........... 32,000 80,897
-----------
117,190
-----------
Total Italy....................... 286,908
MALAYSIA -- 0.90%
- --------------------------------------
BUILDING & CONSTRUCTION -- 0.90%
United Engineers (Malaysia) Ltd. ... 32,900 297,018
MEXICO -- 0.61%
- --------------------------------------
CONSUMER PRODUCTS -- 0.61%
Kimberly-Clark De Mexico, SA de
CV.................................. 10,200 201,486
NETHERLANDS -- 2.39%
- --------------------------------------
CONSUMER PRODUCTS -- 1.65%
Elsevier NV......................... 12,700 214,793
Hagemeyer NV........................ 1,650 131,981
Ver Ned Uitgevers................... 9,400 196,548
-----------
543,322
COMPUTERS & TECHNOLOGY -- 0.74%
Getronic NV......................... 9,000 244,483
-----------
Total Netherlands................. 787,805
PORTUGAL -- 1.16%
- --------------------------------------
TELECOMMUNICATIONS -- 1.16%
Telecel -- Communicacoes Pessoais,
SA, (a)........................... 6,000 383,102
SOUTH AFRICA -- 0.38%
- --------------------------------------
METALS & MINING -- 0.38%
Rustenburg Platinum Holdings........ 9,100 124,484
SWEDEN -- 3.18%
- --------------------------------------
DRUGS -- 2.25%
Astra AB -- Class B................. 4,700 226,734
Novartis AG (a)..................... 450 515,390
-----------
742,124
FINANCE COMPANIES -- 0.43%
Kinnevik AB -- Class B.............. 5,100 140,589
RETAIL -- 0.50%
Hennes & Mauritz -- Class B......... 1,200 166,102
-----------
Total Sweden...................... 1,048,815
SWITZERLAND -- 0.35%
- --------------------------------------
INDUSTRIAL MACHINERY -- 0.35%
Sig Schweizerische Industrie........ 45 113,970
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
UNITED KINGDOM -- 3.34%
- --------------------------------------
BUSINESS SERVICES -- 1.21%
Rentokil Group PLC.................. 52,700 $ 397,259
FINANCIAL SERVICES -- 1.63%
Tomkins PLC......................... 116,300 537,965
TELECOMMUNICATIONS -- 0.50%
Vodafone Group PLC.................. 39,000 165,033
-----------
Total United Kingdom.............. 1,100,257
UNITED STATES -- 79.22%
- --------------------------------------
AUTOMOBILE & PARTS -- 0.59%
Exide Corp. ........................ 8,500 195,500
BROADCAST & COMMUNICATIONS -- 1.52%
Walt Disney Co. .................... 7,200 501,300
BUSINESS SERVICES -- 2.00%
CUC International (a)............... 8,600 204,250
Gaylord Entertainment Co. .......... 15,035 343,926
Sabre Group Holdings, Inc., (a)..... 4,000 111,500
-----------
659,676
CHEMICALS -- 0.45%
Great Lakes Chemical Corp. ......... 3,200 149,600
COMPUTERS & SOFTWARE -- 7.53%
Automatic Data Processing, Inc...... 8,600 368,725
Cisco Systems, Inc. (a)............. 8,600 547,175
Ceridian Corp. (a).................. 3,200 129,600
First Data Corp. ................... 9,502 346,823
Microsoft Corp. (a)................. 4,200 347,025
Oracle Systems Corp. (a)............ 7,150 298,513
3Com Corp. (a)...................... 6,100 447,588
-----------
2,485,449
CONFECTIONS & BEVERAGES -- 5.26%
Anheuser-Busch Cos., Inc. .......... 6,800 272,000
Coca-Cola Co. ...................... 18,200 957,775
Pepsico, Inc. ...................... 17,300 506,025
-----------
1,735,800
CONSUMER PRODUCTS -- 4.65%
Crown Cork & Seal, Inc. ............ 4,900 266,437
Nike, Inc. Class B.................. 3,500 209,125
Philip Morris Cos., Inc. ........... 2,500 281,562
Pioneer HI Bred International,
Inc. ............................. 5,400 378,000
Proctor & Gamble Co. ............... 3,700 397,750
-----------
1,532,874
DIVERSIFIED -- 1.14%
Tyco International, Ltd. ........... 7,100 375,412
DRUGS -- 4.52%
Amgen, Inc. (a)..................... 7,300 396,937
Biogen, Inc. (a).................... 6,800 263,500
Cardinal Health, Inc. .............. 6,900 401,925
Merck & Co., Inc. .................. 5,400 427,950
-----------
1,490,312
</TABLE>
See notes to the financial statements.
66
<PAGE> 68
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
UNITED STATES (CONTINUED)
- --------------------------------------
ELECTRONICS -- 8.38%
Electronic Data Systems Corp. ...... 6,800 $ 294,100
General Electric Co. ............... 10,800 1,067,850
Hewlett Packard Co. ................ 6,300 316,575
Intel Corp. ........................ 6,300 824,907
Maxim Integrated Products, Inc.
(a)............................... 2,900 125,425
Xilinx, Inc. (a).................... 3,700 136,206
-----------
2,765,063
FINANCIAL SERVICES -- 6.98%
Federal Home Loan Mortgage Corp. ... 9,900 1,090,238
Federal National Mortgage
Association....................... 25,400 946,150
Green Tree Financial Corp. ......... 6,900 266,513
-----------
2,302,901
FOOD SERVICE -- 0.75%
McDonald's Corp. ................... 5,500 248,875
HEALTH PRODUCTS & CARE -- 5.49%
Johnson & Johnson................... 12,500 621,875
Pfizer, Inc. ....................... 6,200 513,825
Warner-Lambert Co. ................. 9,000 675,000
-----------
1,810,700
INSURANCE -- 6.77%
Ace Limited......................... 5,400 324,675
Fairfax Financial Holding........... 850 180,019
Partner Re Holdings Limited......... 13,700 465,800
Traveler's/Aetna Property Casualty
Corp. ............................ 19,400 686,275
UNUM Corp. ......................... 8,000 578,000
-----------
2,234,769
MEDICAL SERVICES & SUPPLIES -- 5.69%
Boston Scientific Corp. (a)......... 2,600 156,000
Columbia / HCA Health Corp. ........ 9,200 374,900
Genentech, Inc. (a)................. 8,900 477,262
Medtronic, Inc. .................... 3,500 238,000
Tag Heuer International, SA (a)..... 39,100 630,488
-----------
1,876,650
MERCHANDISING -- 1.01%
Tupperware Corp. ................... 6,200 332,475
METALS & MINING -- 1.09%
Barrick Gold Corp................... 9,100 261,625
Pohang Iron & Steel Co. -- ADR...... 800 16,200
Rustenburg Platinum Holdings........ 6,008 82,204
-----------
360,029
OIL & GAS -- 2.00%
Royal Dutch Petroleum Co. -- ADR.... 1,700 290,275
Western Atlas, Inc. (a)............. 5,200 368,550
-----------
658,825
PACKAGED FOOD -- 0.95%
Heinz H J Co. ...................... 8,800 314,600
PRINTING & PUBLISHING -- 0.93%
Reuters Holdings PLC -- ADR......... 4,000 306,000
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- --------------------------------------
UNITED STATES (CONTINUED)
- --------------------------------------
RETAIL -- 6.66%
American Stores Co.................. 5,000 $ 204,375
Circuit City Stores, Inc. .......... 11,000 331,375
Gucci Group N V..................... 1,700 108,587
Hasbro, Inc. ....................... 6,900 268,238
Home Depot, Inc. ................... 6,400 320,800
Revco D.S., Inc. (a)................ 17,800 658,600
Walmart Stores, Inc. ............... 13,300 304,237
-----------
2,196,212
TELECOMMUNICATIONS -- 3.15%
Compania Anon Nacional Telecom De
Venezuela -- ADR (a).............. 7,100 199,688
Grupo Iusacell S.A. -- ADR (a)...... 1,900 14,488
Grupo Iusacell S.A. DE CV (a)....... 36,300 208,725
Telecomunicacoes Brasileiras
Telebras SA -- ADR................ 3,400 260,100
Vodafone Group PLC -- ADR........... 8,600 355,825
-----------
1,038,826
TRANSPORTATION -- 0.86%
Tranz Rail Holdings -- ADR (a)...... 16,100 284,769
WHOLESALE -- 0.85%
Alco Standard Corp. (a)............. 5,400 278,775
-----------
Total United States............... 26,135,392
-----------
Total Common Stock
(cost $26,952,849)............ 30,945,791
-----------
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
CORPORATE BONDS -- 0.19%
- --------------------------------------
INDUSTRIAL -- 0.19%
Reliance Industries Ltd. Convertible
B, 3.50%, 11/03/1999, convertible
until 10/03/1999.................... $ 60,000 63,381
----------
Total Corporate Bonds
(cost $61,666).................. 63,381
----------
SHORT-TERM INVESTMENTS -- 6.00%
- --------------------------------------
COMMERCIAL PAPER -- 5.22%
Abbott Laboratories
6.15%, 01/03/1997................. 1,260,000 1,259,569
Ciesco L P
5.45%, 02/06/1997................. 100,000 99,455
Dillard Investment Company
5.52%, 01/10/1997................. 181,000 180,750
Kellogg Company
5.38%, 02/07/1997................. 185,000 183,977
-----------
1,723,751
FEDERAL HOME LOAN MORTGAGE NOTES -- 0.60%
5.50%, 01/09/1997................... 197,000 196,759
</TABLE>
See notes to the financial statements.
67
<PAGE> 69
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
SHORT-TERM INVESTMENTS (CONTINUED)
- --------------------------------------
UNITED STATES (CONTINUED)
- --------------------------------------
MONEY MARKET FUNDS -- 0.00%
State Street Global Advisor Fund
5.38% (b)......................... $ 386 $ 386
U.S. TREASURY BILLS -- 0.18%
4.98%, 01/23/1997................. 59,000 58,820
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
SHORT-TERM INVESTMENTS (CONTINUED)
- --------------------------------------
UNITED STATES (CONTINUED)
- --------------------------------------
Total Short Term Investments
(cost $1,979,716)................. $ 1,979,716
-----------
TOTAL INVESTMENTS -- 100%
- --------------------------------------
(cost $28,994,231).................. $32,988,888
===========
</TABLE>
- -------------------------
(a) Non-income producing.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted as of December 31, 1996.
See notes to the financial statements.
68
<PAGE> 70
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 93.73%
- ---------------------------------------
ARGENTINA -- 0.23%
- ----------------
ENERGY -- 0.21%
Naviera Perez Compano -- Class B..... 13,430 $ 94,432
Sociedad Comercial Del Plata......... 2,790 7,144
-----------
101,576
TELECOMMUNICATIONS -- 0.02%
Telecom Argentina STET............... 1,630 6,717
-----------
Total Argentina.................... 108,293
AUSTRALIA -- 1.64%
- ---------------------------------------
BASIC INDUSTRY -- 0.59%
Broken Hill Properties Co............ 8,043 114,562
Lend Lease Corp...................... 2,365 45,868
Smith (Howard) Ltd................... 3,113 25,610
Tab Corp. Holdings Ltd............... 12,000 57,229
Western Mining Corp. Holdings Ltd.... 6,000 37,819
-----------
281,088
CONSUMER PRODUCTS -- 0.27%
Coca-Cola Amatil..................... 971 10,381
News Corp............................ 16,330 86,186
Publishing & Broadcasting Ltd........ 7,000 34,051
-----------
130,618
FINANCIAL COMPANIES -- 0.41%
Australia & New Zealand Bank Group
Ltd................................ 7,000 44,122
Commonwealth Installment Receipts.... 7,300 45,433
National Australia Bank.............. 3,113 36,621
Westpac Banking Corp................. 12,000 68,293
-----------
194,469
ENERGY -- 0.32%
Australia Gas Light Co............... 14,237 81,024
Woodside Petroleum Ltd............... 10,000 73,047
-----------
154,071
INSURANCE -- 0.05%
National Mutual Holdings............. 15,000 22,415
-----------
Total Australia.................... 782,661
AUSTRIA -- 0.04%
- ---------------------------------------
ENERGY -- 0.02%
EVN-Energie Versorgung Niedr......... 60 9,032
TRANSPORTATION & STORAGE -- 0.02%
Flughafen Wien AG.................... 190 9,686
-----------
Total Austria...................... 18,718
BELGIUM -- 0.99%
- ---------------------------------------
BASIC INDUSTRY -- 0.18%
UCB.................................. 33 86,017
FINANCIAL COMPANIES -- 0.81%
Credit Communal Holding Dexia(a)..... 241 21,990
Generale Banque...................... 356 127,634
Kredietbank.......................... 730 239,288
-----------
388,912
-----------
Total Belgium...................... 474,929
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ --------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
BRAZIL -- 0.47%
- ---------------------------------------
BASIC INDUSTRY -- 0.08%
Sider Nacional....................... 706,000 $ 20,043
White Martins SA..................... 11,320,000 16,341
-----------
36,384
ENERGY -- 0.23%
Electrobras.......................... 42,330 15,154
Gruma SA De CV(a).................... 11,531 70,311
Gruma SA De CV -- ADR (144a)......... 1,047 25,180
-----------
110,645
TELECOMMUNICATIONS -- 0.16%
Telebras............................. 755,750 54,185
Companhia Brasileira De Dist......... 1,390 24,747
-----------
78,932
-----------
Total Brazil....................... 225,961
CANADA -- 0.29%
- ---------------------------------------
BASIC INDUSTRY -- 0.21%
Alcan Aluminium...................... 3,040 103,235
FINANCIAL COMPANIES -- 0.08%
Royal Bank of Canada................. 570 20,023
Royal Bank of Canada................. 740 16,397
-----------
36,420
-----------
Total Canada....................... 139,655
CZECH REPUBLIC -- 0.03%
- ---------------------------------------
TELECOMMUNICATIONS -- 0.03%
SPT Telecommunications AS............ 130 16,185
DENMARK -- 0.23%
- ---------------------------------------
FINANCIAL COMPANIES -- 0.21%
Den Danske Bank AB................... 800 64,507
Unidanmark........................... 670 34,690
-----------
99,197
TELECOMMUNICATIONS -- 0.02%
Teledanmark -- Class B............... 200 11,034
-----------
Total Denmark...................... 110,231
FINLAND -- 0.21%
- ---------------------------------------
CAPITAL GOODS -- 0.21%
Nokia (AB) OY........................ 1,770 102,660
FRANCE -- 8.53%
- ---------------------------------------
BASIC INDUSTRY -- 0.67%
Cie De Saint Gobain.................. 1,350 190,980
GTM Entrepose........................ 410 18,965
Lapeyre.............................. 880 50,543
Pathe(a)............................. 250 60,229
-----------
320,717
CAPITAL GOODS -- 0.49%
Chargeurs............................ 250 12,383
Legrand.............................. 359 61,165
Rexel................................ 220 66,782
Schneider............................ 1,980 91,549
-----------
231,879
</TABLE>
See notes to the financial statements.
69
<PAGE> 71
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
FRANCE (CONTINUED)
- -----------------------------------------------------------------
CONSUMER PRODUCTS -- 4.44%
Accor................................ 435 $ 55,082
Canal Plus........................... 420 92,767
Carrefour Super Marche............... 705 458,722
Castorama Dubois Investissment....... 212 36,488
Guilbert SA.......................... 598 116,984
Havas................................ 400 28,062
L'Oreal.............................. 162 61,010
LVMH Louis Vuitton Moet-Hennessy..... 1,240 346,297
Pinault Printemps Redoute............ 893 354,205
Sanofi............................... 1,467 145,894
Sodexho.............................. 480 267,361
Television Francais.................. 1,660 158,689
-----------
2,121,561
ENERGY -- 1.15%
Elf Aquitaine........................ 1,790 162,941
Primagaz (Cie Des Gaz Petrole)....... 755 88,909
Total SA -- Class B.................. 3,667 298,251
-----------
550,101
FINANCIAL COMPANIES -- 0.11%
CLF Dexia............................ 160 13,939
Credit Local De France............... 244 21,256
Societe Generale..................... 180 19,462
-----------
54,657
INSURANCE -- 0.18%
AXA.................................. 815 51,836
Assurances Generales................. 1,086 35,059
-----------
86,895
TELECOMMUNICATIONS -- 0.19%
Alcatel Alsthom...................... 1,110 89,168
UTILITIES -- 1.30%
Eaux (Cie Generale Des).............. 4,990 618,400
-----------
Total France....................... 4,073,378
GERMANY -- 3.55%
- ---------------------------------------
BASIC INDUSTRY -- 1.62%
Bayer AG............................. 9,116 372,033
Bilfinger & Berger Bauag............. 1,100 40,389
Hoechst AG........................... 1,110 52,442
Schering AG.......................... 434 36,637
Veba AG.............................. 4,685 270,968
-----------
772,469
CAPITAL GOODS -- 0.30%
Buderus AG........................... 78 38,524
Mannesmann AG........................ 238 103,162
-----------
141,686
CONSUMER PRODUCTS -- 0.91%
Altana AG............................ 31 24,134
Gehe AG.............................. 5,604 358,717
Hornbach Baumarkt AG................. 200 6,343
Praktiker Bau-und Heimwerkemaekte.... 629 12,590
Volkswagen AG........................ 80 33,273
-----------
435,057
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
GERMANY (CONTINUED)
- -----------------------------------------------------------------
COMPUTERS & SOFTWARE -- 0.08%
Sap AG............................... 280 $ 38,121
FINANCIAL COMPANIES -- 0.45%
Allianz AG Holdings.................. 94 171,042
Deutsche Bank AG..................... 923 43,127
-----------
214,169
MEDICAL SERVICES & SUPPLIES -- 0.19%
Rhon-Klinikum AG..................... 900 94,164
-----------
Total Germany...................... 1,695,666
HONG KONG -- 3.58%
- ---------------------------------------
BASIC INDUSTRY -- 0.15%
Cathay Pacific Air................... 47,000 74,135
CHEMICALS -- 0.19%
Shanghai Petrochemical Co. Ltd....... 180,000 54,690
Yizheng Chemical Fiber Co. Ltd....... 144,000 35,002
-----------
89,692
FINANCE COMPANIES -- 3.24%
Dao Heng Bank Group Ltd.............. 23,000 110,324
Guangdong Investments Ltd............ 94,000 90,542
Guangzhou Investments................ 194,000 92,805
Hopewell Holdings.................... 251,000 162,260
Hutchison Whampoa Ltd................ 36,000 282,759
New World International.............. 50,205 339,157
Swire Pacific Co..................... 21,000 200,239
Wharf Holdings....................... 54,000 269,494
-----------
1,547,580
-----------
Total Hong Kong.................... 1,711,407
ITALY -- 1.70%
- ---------------------------------------
BASIC INDUSTRY -- 0.28%
Ente Nazionale Idrocarburi Spa
(ENI).............................. 24,000 123,164
Finanziaria Autogrill Spa(a)......... 3,031 2,937
Unicem (Union-Cem-March Emil)........ 1,400 9,136
-----------
135,237
CONSUMER PRODUCTS -- 0.04%
Rinascente (La)...................... 3,000 17,403
FINANCIAL COMPANIES -- 0.32%
Banca Fideuram....................... 21,040 46,255
IMI Spa.............................. 7,040 60,330
Istituto National Assicurazioni...... 8,000 10,421
Mediolanum(a)........................ 3,950 37,391
-----------
154,397
UTILITIES -- 0.09%
Italgas (Societa Italiana II Gas)
Spa................................ 10,000 41,760
TELECOMMUNICATIONS -- 0.97%
STET................................. 38,000 172,841
STET Di Risp......................... 13,000 43,919
Telecom Italia Di Risp............... 26,979 70,071
Telecom Italia Mobile(a)............. 63,601 160,784
Telecom Italia Spa................... 10,797 15,409
-----------
463,024
-----------
Total Italy........................ 811,821
</TABLE>
See notes to the financial statements.
70
<PAGE> 72
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
JAPAN -- 20.85%
- ---------------------------------------
BASIC INDUSTRY -- 5.12%
Daiwa House Industry Co.............. 16,000 $ 205,854
Denso Corp........................... 17,000 409,550
Inax................................. 5,000 37,043
Ishihara Sangyo Kaisha............... 6,000 14,507
Kawada Industries.................... 1,000 6,131
Kumagai Gumi......................... 10,000 24,782
Kuraray Co. Ltd...................... 16,000 147,828
Mitsubishi Paper Mills Ltd........... 8,000 31,293
National House Industry.............. 3,000 39,893
Nippon Hodo.......................... 3,000 34,712
Nippon Steel Corp.................... 74,000 218,530
Sangetsu Co. Ltd..................... 1,000 20,896
Sekisui Chemical Co. Ltd............. 19,000 191,952
Sekisui House........................ 14,000 142,647
Shinetsu Chemical Co. Ltd............ 11,000 200,414
Sumitomo Electric Industries Ltd..... 26,000 363,699
Sumitomo Forestry Co. Ltd............ 7,000 85,226
Teijin............................... 36,000 157,292
Tokyo Steel Manufacturing............ 6,000 85,485
Yurtec Corp.......................... 2,100 28,469
-----------
2,446,203
CAPITAL GOODS -- 7.55%
Advantest............................ 1,100 51,576
Alps Electric Co..................... 6,000 65,279
Amada Co. Ltd........................ 12,000 93,256
Canon, Inc........................... 19,000 419,998
Citizen Watch Co..................... 7,000 50,168
DDI Corp............................. 19 125,671
Dai Nippon Screen Manufacturing...... 11,000 81,211
Daifuku Co. Ltd...................... 2,000 25,214
Fanuc Co. Ltd........................ 3,000 96,106
Hitachi Ltd.......................... 21,000 195,838
Hitachi Zosen Corp................... 18,000 69,942
Kokuyo Co............................ 7,000 172,869
Komatsu Ltd.......................... 18,000 147,656
Komori Corp.......................... 5,000 106,208
Kyocera Corp......................... 6,000 374,061
Makita Corp.......................... 10,000 139,884
Mitsubishi Heavy Industries Ltd...... 54,000 428,978
Murata Manufacturing Co. Ltd......... 7,000 232,709
NEC Corp............................. 36,000 435,196
Nippon Telephone & Telegraph Corp.... 18 136,465
SEGA Enterprises..................... 2,000 67,352
Tokyo Electron Ltd................... 3,000 91,961
-----------
3,607,598
CONSUMER PRODUCTS -- 6.44%
Daiichi Pharmaceutical............... 13,000 208,790
Honda Motor Co....................... 2,000 57,163
Ito-Yokado Co........................ 5,000 217,598
Kao Corp............................. 6,000 69,942
Marui Co. Ltd........................ 12,000 216,562
Matsushita Electric Industrial Co.... 18,000 293,757
Mitsubishi Corp...................... 8,000 82,894
Pioneer Electronic Corp.............. 9,000 171,747
Sankyo............................... 12,000 339,867
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
JAPAN (CONTINUED)
- -----------------------------------------------------------------
CONSUMER PRODUCTS (CONTINUED)
- -----------------------------------------------------------------
Seven Eleven Japan Co. Ltd........... 2,000 $ 117,088
Sharp Corp........................... 15,000 213,712
Shiseido Co.......................... 4,000 46,283
Sony Corp............................ 4,500 294,923
Sumitomo Corp........................ 24,000 189,206
TDK Corp............................. 4,000 260,772
Toppan Printing...................... 12,000 150,246
UNY Co............................... 8,000 146,447
-----------
3,076,997
ENERGY -- 0.05%
Mitsui Petrochemical Industries...... 5,000 25,904
FINANCIAL COMPANIES -- 1.29%
Mitsui Fudosan....................... 29,000 290,476
Nomura Securities Co. Ltd............ 18,000 270,443
Tokio Marine & Fire Insurance Co..... 6,000 56,472
-----------
617,391
TRANSPORTATION & STORAGE -- 0.40%
East Japan Railway................... 41 184,449
-----------
Total Japan........................ 9,958,542
MALAYSIA -- 3.24%
- ---------------------------------------
BASIC INDUSTRY -- 1.25%
Berjaya Sports Toto Berhad........... 34,000 169,630
Technology Resources Industries(a)... 29,000 57,185
Time Engineering..................... 23,000 42,621
United Engineers Berhad.............. 36,000 325,005
-----------
594,441
ENTERTAINMENT -- 0.47%
Resorts World Berhad................. 16,000 72,857
Tanjong.............................. 38,000 151,970
-----------
224,827
CAPITAL GOODS -- 0.36%
Renong Berhad........................ 97,000 172,069
FINANCIAL COMPANIES -- 1.16%
Affin Holdings Berhad................ 71,000 195,387
Commerce Asset Holdings.............. 13,000 97,802
MBF Capital Berhad................... 59,000 95,783
Multi-Purpose Holding................ 86,000 166,858
-----------
555,830
-----------
Total Malaysia..................... 1,547,167
MEXICO -- 0.43%
- ---------------------------------------
BASIC INDUSTRY -- 0.13%
Cemex SA............................. 12,063 43,443
Cemex SA -- Class B.................. 4,950 19,493
-----------
62,936
CONSUMER PRODUCTS -- 0.23%
Fomento Ecomomico Ser B.............. 4,629 15,877
Grupo Industrial Maseca SA De Cv --
Class B............................ 28,800 36,512
Grupo Modelo SA -- Class C........... 4,844 28,121
Kimberly-Clark Mexicano -- Class A... 1,532 30,262
-----------
110,772
</TABLE>
See notes to the financial statements.
71
<PAGE> 73
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
<S> <C> <C>
MEXICO (CONTINUED)
- -----------------------------------------------------------------
CONSUMER PRODUCTS (CONTINUED)
- -----------------------------------------------------------------
FINANCIAL COMPANIES -- 0.07%
Grupo Financiero Banamex -- Class
A.................................. 14,288 $ 30,166
Grupo Financiero Banamex -- Class
L.................................. 465 916
-----------
31,082
-----------
Total Mexico....................... 204,790
NETHERLANDS -- 10.20%
- ---------------------------------------
BASIC INDUSTRY -- 0.21%
Akzo Nobel NV........................ 238 32,533
Kon Pitt Nederland................... 1,407 53,705
Otra NV.............................. 670 11,526
-----------
97,764
CONSUMER PRODUCTS -- 6.27%
Ahold (Kon) NV....................... 3,249 203,239
CSM NV............................... 3,666 203,844
Elsevier NV.......................... 55,704 942,112
Hagemeyer NV......................... 780 62,391
Nutricia (Verenigde Bedrijven)....... 550 83,623
Polygram NV.......................... 5,187 264,382
Unilever NV.......................... 1,510 267,278
Wolters Kluwer NV.................... 7,290 969,044
-----------
2,995,913
ENERGY -- 2.10%
Royal Dutch Petroleum Co............. 5,710 1,001,772
FINANCIAL COMPANIES -- 1.62%
ABN AMRO Holdings NV................. 3,528 229,683
Fortis AMEV NV....................... 3,835 134,386
Internationale Nederlanden Groep
NV................................. 11,400 410,704
-----------
774,773
-----------
Total Netherlands.................. 4,870,222
NEW ZEALAND -- 0.61%
- ---------------------------------------
BASIC INDUSTRY -- 0.30%
Carter Holt Harvey................... 13,000 29,502
Fernz Corp........................... 5,000 17,144
Fletcher Challenge Building(a)....... 9,750 29,984
Fletcher Challenge Energy............ 1,750 5,072
Fletcher Challenge Forest Division... 32,993 55,280
Fletcher Challenge Paper(a).......... 3,500 7,200
-----------
144,182
TELECOMMUNICATIONS -- 0.26%
New Zealand Telecom.................. 24,000 122,503
TRANSPORTATION & STORAGE -- 0.05%
Air New Zealand -- Class B........... 8,909 24,186
-----------
Total New Zealand.................. 290,871
NORWAY -- 1.53%
- ---------------------------------------
CAPITAL GOODS -- 0.69%
Orkla AS............................. 4,780 330,136
ENERGY -- 0.81%
Norsk Hydro.......................... 6,890 368,930
Saga Petroleum -- Class B............ 1,190 18,469
-----------
387,399
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
<S> <C> <C>
NORWAY (CONTINUED)
- -----------------------------------------------------------------
CONSUMER PRODUCTS (CONTINUED)
- -----------------------------------------------------------------
TRANSPORTATION & STORAGE -- 0.03%
Bergesen D-Y AS...................... 650 $ 15,738
-----------
Total Norway....................... 733,273
PHILLIPPINES -- 0.17%
- ---------------------------------------
FINANCIAL -- 0.17%
Phillippine National Bank............ 6,900 81,987
PORTUGAL -- 0.43%
- ---------------------------------------
CONSUMER PRODUCTS -- 0.43%
Jeronimo Martins SGPS................ 2,000 103,154
Jeronimo Martins..................... 2,000 33,705
Jeronimo Martins..................... 1,333 68,752
-----------
Total Portugal..................... 205,611
SINGAPORE -- 2.21%
- ---------------------------------------
CAPITAL GOODS -- 0.13%
City Developments.................... 4,000 36,018
Far East-Levingston Shipbuilding..... 5,000 26,084
-----------
62,102
CONSUMER PRODUCTS -- 0.55%
Fraser & Neave Ltd................... 7,400 76,152
Singapore Press Holdings............. 9,400 185,407
-----------
261,559
FINANCIAL COMPANIES -- 1.43%
DBS Land............................. 15,000 55,206
Development Bank of Singapore........ 6,000 81,041
Overseas Union Bank.................. 26,000 200,672
Singapore Land....................... 21,000 116,308
United Industrial Corp............... 22,000 18,552
United Overseas Bank................. 19,000 211,820
-----------
683,599
TRANSPORTATION & STORAGE -- 0.10%
Keppel Corp.......................... 5,000 38,948
Singapore Airlines Ltd............... 1,000 9,076
-----------
48,024
-----------
Total Singapore.................... 1,055,284
SOUTH KOREA -- 0.67%
- ---------------------------------------
BASIC INDUSTRY -- 0.20%
Pohang Iron & Steel.................. 700 30,237
Samsung Electronics.................. 1,000 53,846
Yukong Ltd........................... 688 13,027
-----------
97,110
FINANCIAL COMPANIES -- 0.31%
Cho Hung Bank........................ 4,800 37,491
Hanil Bank........................... 2,900 19,905
Hanil Securities..................... 2,200 15,986
Kook Min Bank........................ 2,000 27,692
Samsung Fire & Marine Insurance...... 10 3,669
Seoul Bank........................... 1,100 5,533
Shin Han Bank........................ 2,840 38,651
-----------
148,927
</TABLE>
See notes to the financial statements.
72
<PAGE> 74
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
SOUTH KOREA (CONTINUED)
- -----------------------------------------------------------------
CONSUMER PRODUCTS (CONTINUED)
- -----------------------------------------------------------------
UTILITIES -- 0.16%
Korea Electric Power Corp............ 2,600 $ 75,692
-----------
Total South Korea.................. 321,729
SPAIN -- 2.58%
- ---------------------------------------
BASIC INDUSTRY -- 0.03%
Fomento de Construcciones y Contratas
SA................................. 144 13,421
CONSUMER PRODUCTS -- 0.09%
Centros Comerciales Pryca............ 1,524 32,282
Centros Commercial................... 610 12,498
-----------
44,780
ENERGY -- 0.40%
Repsol SA............................ 5,022 192,641
FINANCIAL COMPANIES -- 0.67%
Argentaria Corp...................... 1,205 53,927
Banco De Santander SA................ 2,024 129,555
Banco Popular Espanol................ 684 134,350
-----------
317,832
UTILITIES -- 1.39%
Aguas De Barcelona................... 408 16,971
Empresa Nacional De Elec (Endesa).... 3,785 269,389
Gas Natural Sdg SA................... 778 180,979
Iberdrola I SA....................... 10,268 145,528
Telefonica De Espana................. 2,160 50,163
-----------
663,030
-----------
Total Spain........................ 1,231,704
SWEDEN -- 2.66%
- ---------------------------------------
BASIC INDUSTRY -- 0.07%
Stora Kopparbergs Bergsl AB.......... 2,500 34,091
CAPITAL GOODS -- 0.54%
Atlas Copco AB -- Class B............ 4,770 116,104
Sandvik AB -- Class A................ 560 15,109
Sandvik AB -- Class B................ 4,290 116,373
Scribona AB.......................... 750 8,413
-----------
255,999
CONSUMER PRODUCTS -- 1.86%
Astra AB............................. 10,800 521,005
Electrolux Co. AB -- Class B......... 3,000 174,195
Esselte -- Class B................... 560 12,399
Hennes & Mauritz AB -- Class B....... 1,310 181,328
-----------
888,927
ELECTRICAL EQUIPMENT -- 0.19%
ABB AB............................... 830 93,711
-----------
Total Sweden....................... 1,272,728
SWITZERLAND -- 4.34%
- ---------------------------------------
BASIC INDUSTRY -- 0.72%
ABB AG............................... 277 344,569
BUSINESS SERVICES -- 0.38%
Adecco SA(a)......................... 723 181,493
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
SWITZERLAND (CONTINUED)
- -----------------------------------------------------------------
CONSUMER PRODUCTS (CONTINUED)
- -----------------------------------------------------------------
CONSUMER PRODUCTS -- 2.82%
Nestle SA............................ 360 $ 386,492
Novartis AG(a)....................... 433 495,139
Roche Holdings AG.................... 60 466,866
-----------
1,348,497
FINANCIAL COMPANIES -- 0.42%
Credit Suisse Group.................. 610 62,663
Schweizerischer Bankverein........... 720 136,900
-----------
199,563
-----------
Total Switzerland.................. 2,074,122
THAILAND -- 0.39%
- ---------------------------------------
BASIC INDUSTRY -- 0.02%
Siam Cement Public Co................ 300 9,405
CAPITAL GOODS -- 0.04%
Advanced Information Service PLC..... 2,540 21,195
FINANCIAL COMPANIES -- 0.30%
Bangkok Bank......................... 8,700 84,130
Siam Commercial Bank Public Co....... 4,080 29,591
Thai Farmers Bank Public............. 4,200 26,203
-----------
139,924
TELECOMMUNICATIONS -- 0.03%
Total Access Communications.......... 2,000 13,800
-----------
Total Thailand..................... 184,324
UNITED KINGDOM -- 16.61%
- ---------------------------------------
BASIC INDUSTRY -- 1.21%
Caradon PLC.......................... 42,000 172,691
Electrocomponents PLC................ 15,000 118,468
Heywood Williams Grp................. 3,000 12,232
Laing (John)......................... 7,000 33,339
RTZ Corp............................. 15,000 241,048
-----------
577,778
CAPITAL GOODS -- 0.65%
Rolls-Royce.......................... 7,000 30,821
Tomkins.............................. 61,000 282,166
-----------
312,987
CONSUMER GOODS -- 9.63%
ASDA Group........................... 84,000 177,009
Argos................................ 18,200 239,154
Cadbury Schweppes.................... 23,000 194,261
Coats Viyella........................ 12,000 27,548
Compass Group........................ 14,000 148,707
GKN PLC.............................. 2,000 34,298
Glaxo Wellcome....................... 24,000 390,612
Grand Metropolitan................... 38,000 298,167
Guiness.............................. 30,000 235,909
Hillsdown Holdings................... 11,000 37,691
Kingfisher........................... 33,000 356,176
Ladbroke Group....................... 16,000 63,594
Rank Group........................... 4,000 30,015
Rank Organisation.................... 21,000 157,581
Reed International................... 31,000 583,142
Safeway.............................. 31,000 214,031
</TABLE>
See notes to the financial statements.
73
<PAGE> 75
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
- -----------------------------------------------------------------
CONSUMER PRODUCTS (CONTINUED)
- -----------------------------------------------------------------
Sears Holdings....................... 8,000 $ 12,883
Smith (David S)...................... 19,000 101,558
SmithKline Beecham................... 56,000 775,193
T&N PLC.............................. 21,000 62,601
Tesco PLC............................ 23,000 139,489
United Newspapers & Media............ 27,000 322,409
-----------
4,602,028
ENERGY -- 1.55%
British Gas.......................... 14,000 53,726
British Petroleum.................... 16,000 191,879
Shell Transport and Trading Co....... 28,500 494,124
-----------
739,729
FINANCIAL COMPANIES -- 2.59%
Abbey National....................... 36,000 471,201
National Westminster Bank............ 65,000 763,920
-----------
1,235,121
UTILITIES -- 0.98%
Cable & Wireless..................... 31,000 259,173
East Midland Electricity............. 5,000 56,707
London Electricity................... 12,857 149,892
-----------
465,772
-----------
Total United Kingdom............... 7,933,415
UNITED STATES -- 5.32%
- ---------------------------------------
BANKS -- 0.21%
Banco De Galicia Buenos Aires --
ADR................................ 1,581 38,339
Banco Frances Del Rio De La Plata --
ADR................................ 1,327 36,495
Banco Latinoamericano De
Exportaciones SA................... 477 24,208
-----------
99,042
BUILDING & CONSTRUCTION -- 0.20%
Cemex SA -- ADR...................... 13,410 96,248
CONFECTIONS & BEVERAGES -- 0.26%
Compania Cervecerias Unidas -- ADR... 530 8,546
Panamerican Beverages, Inc........... 2,420 113,437
-----------
121,983
DURABLE GOODS -- 0.39%
First Pacific Co..................... 111,315 144,640
Industrie Natuzzi -- ADR............. 1,810 41,630
-----------
186,270
ELECTRIC UTILITIES -- 0.73%
Cemig Cia Energetica Minas Gerais --
ADR................................ 2,595 88,405
Centrais Electricas Brasileiras --
ADR................................ 3,000 53,701
Cesp Cia Energetica De Sao Paolo --
ADR................................ 1,050 12,075
Chilgener SA -- ADR.................. 604 12,608
Empresa National Electric -- ADR..... 1,860 28,830
Enersis SA -- ADR.................... 1,180 32,745
Huaneng Power International, Inc. --
ADR(a)............................. 5,400 121,500
-----------
349,864
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
UNITED STATES (CONTINUED)
- -----------------------------------------------------------------
CONSUMER PRODUCTS (CONTINUED)
- -----------------------------------------------------------------
ELECTRONICS -- 0.17%
Grupo Televisa GDR................... 531 13,607
Samsung Electronics Ltd.(144a)....... 1,650 68,269
-----------
81,876
FINANCIAL SERVICES -- 0.62%
AFP Provida -- ADR................... 178 $ 3,338
Brazil Fund, Inc..................... 870 19,358
Chile Fund, Inc...................... 1,320 27,555
Cifra SA De CV -- ADR................ 53,603 65,503
Guoco Group(a)....................... 32,000 179,145
Korea Fund, Inc...................... 213 3,195
-----------
298,094
METALS & MINING -- 0.26%
USINAS -- ADR........................ 12,080 123,229
OIL & GAS -- 0.22%
Enron Global Power & Pipeline
Partnership........................ 260 7,020
Chilectra SA -- ADR.................. 560 28,901
Repsol SA -- ADR..................... 130 4,956
Sociedad Comercial Del Plata(144a)... 500 12,802
Transportadora De Gas Del Sur --
ADR................................ 600 7,350
YPF Sociedad Anonima -- ADR.......... 1,696 42,824
-----------
103,853
REAL ESTATE -- 0.64%
Hong Kong Land Holdings.............. 109,908 305,544
RETAIL -- 0.04%
Gucci Group NV....................... 328 20,951
TELECOMMUNICATIONS -- 1.58%
Compania Anon Nacional Telefonos De
Vez -- ADR......................... 960 27,000
Compania De Telecomunicaciones Chile
-- ADR............................. 320 32,360
Telecom Argentina STET -- ADR........ 180 7,268
Telecomunicacoes Brasileiras Telebras
SA -- ADR.......................... 5,422 417,443
Telefonica De Argentina -- ADR....... 2,790 72,191
Telefonica De Mexico -- ADR.......... 5,615 185,295
Telefonica Del Peru -- ADR........... 591 11,155
-----------
752,712
-----------
Total United States.............. 2,539,666
-----------
Total Common Stock
(cost $39,621,098)............. 44,777,000
-----------
RIGHTS & WARRANTS -- 0.06%
- ---------------------------------------
BELGIUM -- 0.00%
- ---------------------------------------
BANK -- 0.00%
Generale De Banque(a)................ 26 15
FRANCE -- 0.00%
- ---------------------------------------
ENERGY -- 0.00%
Primagaz (Cie Des Gaz Petrole)
Warrants(a)........................ 15 373
</TABLE>
See notes to the financial statements.
74
<PAGE> 76
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
RIGHTS & WARRANTS (CONTINUED)
- -----------------------------------------------------------------
CONSUMER PRODUCTS (CONTINUED)
- -----------------------------------------------------------------
ITALY -- 0.00%
- ---------------------------------------
BANKS -- 0.00%
Rinascente SPA Warrants(a)........... 150 $ 66
MALAYSIA -- 0.01%
- ---------------------------------------
FINANCIAL -- 0.01%
Multi Purpose Holdings Rights(a)..... 86,000 $ --
Renong Berhad Warrants(a)............ 5,125 2,516
-----------
2,516
PORTUGAL -- 0.03%
- ---------------------------------------
CONSUMER PRODUCTS -- 0.03%
Jeronimo Martins Bond Warrants(a).... 333 17,175
SINGAPORE -- 0.02%
- ---------------------------------------
FINANCIAL -- 0.02%
United Overseas Bank Warrants(a)..... 3,000 10,591
SPAIN -- 0.00%
- ---------------------------------------
UTILITIES -- 0.00%
Aguas De Barcelona(a)................ 5 208
THAILAND -- 0.00%
- ---------------------------------------
FINANCIAL -- 0.00%
Thai Farmers Bank Warrants(a)........ 525 415
-----------
Total Rights & Warrants
(cost $34,956)................... 31,359
-----------
PREFERRED STOCKS -- 1.80%
- ---------------------------------------
AUSTRALIA -- 0.06%
- ---------------------------------------
Sydney Harbour Casino................ 18,000 27,756
BRAZIL -- 1.43%
- ---------------------------------------
Banco Bradesco SA.................... 10,648,890 77,169
Banco Itau SA........................ 46,000 19,921
Brahma............................... 127,043 69,445
Brasmotor SA......................... 82,150 22,808
Cemig CIA Energy..................... 1,321,597 45,024
CIM Port Itau CIA.................... 73,000 25,640
Coteminas-CIA Tec.................... 55,000 17,552
Lojas Americanas..................... 815,665 10,754
Petrol Brasileiros................... 355,745 56,660
Telecomunicacoes Brasileiras SA...... 1,078,910 83,065
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
PREFERRED STOCKS (CONTINUED)
- -----------------------------------------------------------------
BRAZIL (CONTINUED)
- -----------------------------------------------------------------
CONSUMER PRODUCTS (CONTINUED)
- -----------------------------------------------------------------
Telecommunicacoes de Rio de Janiero
SA................................. 148,000 $ 18,728
Telecommunicacoes De Minas Gerais --
Telemig............................ 158,000 19,539
Telesp -- Tel Sao Pau Pref........... 482,405 104,457
Unibanco Uniiao Banco................ 2,036,333 66,434
Usinas............................... 44,146,000 45,034
-----------
Total Brazil....................... 682,230
GERMANY -- 0.22%
- ---------------------------------------
Fielmann AG.......................... 336 10,481
Hornbach Holdings AG................. 510 36,457
Krones AG............................ 70 25,383
Sap AG............................... 257 35,908
-----------
Total Germany...................... 108,229
UNITED STATES -- 0.09%
- ---------------------------------------
Uniao Sid Minas -- ADS............... 4,150 41,915
-----------
Total Preferred Stocks
(cost $878,721).................. 860,130
-----------
PRINCIPAL
AMOUNT
----------
BONDS -- 0.01%
- ---------------------------------------
CAPITAL GOODS -- 0.01%
Renong Berhad...................... $ 8,200 3,442
-----------
Total Bonds
(cost $3,288).................... 3,442
-----------
SHORT TERM INVESTMENTS -- 4.40%
- ---------------------------------------
MONEY MARKET FUNDS -- 4.40%
State Street Global Advisor Fund,
5.38%,(b) (cost $2,098,660)...... 2,098,660 2,098,660
-----------
TOTAL INVESTMENTS -- 100%
- ---------------------------------------
(cost $42,636,723)................. $47,770,591
===========
</TABLE>
- -------------------------
(a) Non-income producing.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1996.
See notes to the financial statements.
75
<PAGE> 77
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 89.36%
- -----------------------------------------
SOUTH AFRICA -- 0.14%
- -----------------------------------------
MINING -- 0.14%
Rustenburg Platinum Holdings........... 5,029 $ 68,795
UNITED STATES -- 89.22%
- -----------------------------------------
AEROSPACE & AIRCRAFT -- 2.82%
BE Aerospace, Inc., (a)................ 18,500 501,813
OEA, Inc. ............................. 18,500 846,375
-----------
1,348,188
APPAREL -- 2.40%
Tommy Hilfiger Corp.(a)................ 4,500 216,000
Warnaco Group, Inc. ................... 31,500 933,188
-----------
1,149,188
BROADCAST & COMMUNICATIONS -- 3.62%
Aerial Communications, Inc., (a)....... 34,700 281,937
Catalina Marketing Corp.(a)............ 7,000 385,875
Comcast Corp. ......................... 30,000 534,375
Cox Communications -- Class A(a)....... 23,000 531,875
-----------
1,734,062
BUSINESS SERVICES -- 4.40%
ADVO, Inc. ............................ 10,000 140,000
CUC International, Inc................. 16,000 380,000
Gymboree Corp., (a).................... 23,000 526,125
Interim Services, Inc., (a)............ 20,100 713,550
National Data Corp. ................... 8,000 348,000
-----------
2,107,675
CHEMICALS -- 1.13%
Airgas, Inc. (a)....................... 5,900 129,800
Great Lakes Chemical Corp. ............ 7,000 327,250
Petrolite Corp. ....................... 1,800 86,400
-----------
543,450
COMPUTERS & SOFTWARE -- 8.84%
Adobe Systems, Inc. ................... 5,800 216,775
BDM International, Inc. ............... 7,000 379,750
BMC Software, Inc. (a)................. 11,000 455,125
Ceridian Corp. ........................ 6,000 243,000
Checkfree Corp., (a)................... 14,000 239,750
DST Systems, Inc., (a)................. 5,400 169,425
Fore Systems, Inc., (a)................ 7,000 230,125
Intuit, Inc. (a)....................... 9,000 283,500
Network General Group, (a)............. 12,000 363,000
Platinum Technology, Inc. (a).......... 21,000 286,125
Shiva Corp.(a)......................... 8,000 279,000
Sterling Communications, Inc. ......... 7,000 246,750
SunGuard Data Systems.................. 13,000 513,500
Synopsys, Inc.(a)...................... 7,000 323,750
-----------
4,229,575
CONSUMER PRODUCTS -- 1.93%
American Pad & Paper Co.(a)............ 31,000 701,375
Polymer Group, Inc., (a)............... 16,000 222,000
-----------
923,375
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
UNITED STATES (CONTINUED)
- -----------------------------------------
DRUGS -- 2.59%
Biogen, Inc. .......................... 14,000 $ 542,500
Cardinal Health, Inc. ................. 12,000 699,000
-----------
1,241,500
DURABLE GOODS -- 3.80%
Alco Standard Corp. ................... 19,000 980,875
Danaher Corp. ......................... 18,000 839,250
-----------
1,820,125
ELECTRONICS -- 5.72%
ADT, Ltd............................... 38,000 869,250
Analog Devices, Inc., (a).............. 12,000 406,500
Dentsply International, Inc. .......... 2,100 99,750
Maxim Integrated Products, Inc. (a).... 12,000 519,000
Teleflex, Inc. ........................ 9,500 495,187
Xilinx, Inc.(a)........................ 9,500 349,719
-----------
2,739,406
ENVIRONMENT -- 1.36%
Philip Environmental, Inc. (a)......... 45,000 652,500
FINANCE COMPANIES -- 5.61%
Corporate Express, Inc., (a)........... 28,000 824,250
Franklin Resources, Inc. .............. 8,000 547,000
Mercury Finance Co..................... 62,000 759,500
Money Store, Inc. ..................... 20,100 555,262
-----------
2,686,012
HEALTH PRODUCTS & CARE -- 7.16%
Apria Healthcare Group, Inc. (a)....... 21,500 403,125
General Nutrition Cos., Inc., (a)...... 41,000 691,875
Gilead Sciences, Inc., (a)............. 12,000 300,000
Pacificare Health Systems, Inc. --
Class B(a)........................... 6,000 511,500
Quorum Health Group, Inc. (a).......... 30,000 892,500
Sybron International Corp.(a).......... 19,000 627,000
-----------
3,426,000
HOTEL & MOTEL -- 2.52%
Hospitality Franchise Systems, Inc. ... 9,000 537,750
La Quinta Inns, Inc. .................. 35,000 669,375
-----------
1,207,125
INSURANCE -- 4.86%
Ace Limited............................ 16,000 962,000
Partner Re Limited..................... 19,000 646,000
PMI Group, Inc. ....................... 13,000 719,875
-----------
2,327,875
MERCHANDISING -- 1.34%
Tupperware Corp. ...................... 12,000 643,500
MINING -- 3.28%
Cambior, Inc. ......................... 30,000 438,750
Oxford Res Corp -- Class A, (a)........ 21,000 648,375
TVX Gold, Inc. (a)..................... 62,300 482,825
-----------
1,569,950
</TABLE>
See notes to the financial statements.
76
<PAGE> 78
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -----------------------------------------------------------------
UNITED STATES (CONTINUED)
- -----------------------------------------
OIL & GAS -- 6.08%
Camco International, Inc............... 17,000 $ 784,125
Cooper Cameron Corp.................... 9,000 688,500
Smith International, Inc.(a)........... 18,000 807,750
Weatherford Enterra, Inc............... 21,000 630,000
-----------
2,910,375
RESTAURANTS -- 4.30%
Boston Chicken, Inc.(a)................ 17,000 609,875
JP Foodservice, Inc.(a)................ 30,000 836,250
Outback Steakhouse, Inc.(a)............ 23,000 615,250
-----------
2,061,375
RETAIL -- 7.21%
Circuit City Stores, Inc. ............. 19,000 572,375
Eckerd Corp., (a)...................... 3,555 113,760
Kohls Corp.(a)......................... 13,000 510,250
MSC Industrial Direct, Inc............. 12,000 444,000
Price/Costco, Inc.(a).................. 29,000 728,625
Revco DS, Inc.(a)...................... 18,400 680,800
Scholastic Corp., (a).................. 6,000 403,500
-----------
3,453,310
STEEL -- 1.55%
Trimas Corp.(a)........................ 31,000 740,125
TELECOMMUNICATIONS -- 3.04%
Palmer Wireless, Inc. Class A(a)....... 21,800 228,900
Telephone & Data Systems, Inc. ........ 6,900 250,125
360 Communications Co. ................ 20,900 483,312
US Cellular Corp.(a)................... 7,000 195,125
Vanguard Cellular Systems -- Class
A(a)................................. 19,000 299,250
-----------
1,456,712
TOBACCO -- 1.15%
Consolidated Cigar Holdings, Inc.(a)... 22,200 549,450
WASTE DISPOSAL -- 2.51%
Republic Industries, Inc., (a)......... 14,000 436,625
USA Waste Services, Inc.(a)............ 24,000 765,000
-----------
1,201,625
-----------
Total United States.................. 42,722,478
-----------
Total Common Stock
(cost $37,680,609)............... 42,791,273
-----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 10.64%
- -----------------------------------------
U.S. TREASURY BILLS -- 9.75%
U.S. Treasury Bill
4.85%, 01/02/1997.................... $221,000 $ 220,970
5.00%, 01/09/1997.................... 488,000 487,458
4.98%, 01/23/1997.................... 133,000 132,595
5.01%, 01/30/1997.................... 375,000 373,486
4.84%, 02/06/1997.................... 331,000 329,398
5.015%, 02/06/1997................... 465,000 462,668
5.06%, 02/06/1997.................... 293,000 291,517
5.02%, 02/13/1997.................... 165,000 164,011
5.045%, 02/13/1997................... 185,000 183,885
4.82%, 03/06/1997.................... 240,000 237,922
4.835%, 03/06/1997................... 56,000 55,515
4.90%, 03/06/1997.................... 365,000 361,820
4.91%, 03/06/1997.................... 255,000 252,792
4.885%, 03/13/1997................... 327,000 323,850
4.86%, 03/20/1997.................... 448,000 443,381
5.02%, 05/01/1997.................... 351,000 345,152
-----------
4,666,420
U.S. GOVERNMENTAL AGENCIES -- 0.89%
Federal Home Loan Mortgage Notes
5.50%, 01/09/1997.................... 185,000 184,774
5.51%, 01/14/1997.................... 241,000 240,520
-----------
425,294
MONEY MARKET FUNDS -- 0.00%
State Street Global Advisor Fund,
5.38%,(b)............................ 633 633
-----------
Total Short Term Investments
(cost $5,092,232)................ 5,092,347
-----------
TOTAL INVESTMENTS -- 100%
- -----------------------------------------
(cost $42,772,841)..................... $47,883,620
===========
</TABLE>
- -------------------------
(a) Non-income producing.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1996.
See notes to the financial statements.
77
<PAGE> 79
VADV 2336 REV. 3/97
